TLI Alt. AO. Prfnpv

    Stock Exchange Announcement

Alternative Asset Opportunities PCC Limited

19 July 2006

Investment update

Since the last update, reporting the position as at the end of February, the
portfolio purchase programme has been completed. The portfolio now consists of
156 policies on 129 separate lives, with a total face value of $252.6 million,
excluding the recent maturity referred to below.

Two-thirds of the lives assured are male, only one joint life policy is held,
the average age is 82.8 years and the average life expectancy of the lives
assured is 7.3 years.

Monthly premium commitments are approximately $650,000 per month. The
anticipated borrowings have been drawn down and largely utilised although
gearing may rise further in order to pay premiums in the event that no further
maturities occur over the remainder of the year.

There has been one recent maturity within the portfolio since my last
statement, which will realise a profit of approximately $430,000.

As the portfolio is now complete, it is possible to project returns for the
fund based on actual life expectancies and premium requirements, with reference
to the current dollar/sterling exchange rate. The table below sets out a range
of illustrative annualised returns on this basis over the remaining life of the
Fund, with reference to the end April NAV of 107.1 pence. 

Mortality      Proportion     Exit     -10c     -5c    At Exit    +5c    +10c

Assumption     Surviving %  Price(c)     %        %     Price %    %       %

-18 months        42.9       40.04      8.3      9.2     10.1     10.9   11.7

-6 months         47.0       40.17      6.8      7.8      8.8      9.8   10.7

Central           50.1       40.27      5.5      6.7      7.8      8.9    9.9

+6 months         53.5       40.38      3.9      5.3      6.5      7.7    8.9

+18 months        59.5       40.56      0.8      2.5      4.1      5.6    7.0

Note 1           Note 2      Note 3

Notes

1. The central case assumes that claims experience precisely matches the
medical assessment of the policy lives insured. The changes as shown illustrate
the effect of actual life expectancies varying from the medically assessed life
expectancies by the stated number of months.

2. This shows the percentage of policy lives insured assumed to survive
throughout the life of the Fund.

3. This shows the assumed average realisation values per US$1 of TLI policy
face value in respect of the policies of the surviving lives insured at the end
of life of the Fund, by reference to the different mortality assumptions as
stated. The central case corresponds to the market value assumptions used in
arriving at the end-December NAV.

The recent weakness in the US dollar is reflected in the illustrative
projections as shown above. Although the current net assets are hedged until
2009 and 2012, as appropriate, the dollar/ sterling exchange rate has an
impact both when the hedged position is marked to market and on any future
profits arising from maturities.

The company's year end is 30th June and a more detailed update will accompany
the release of the Company's full year results.

Enquiries

Peter Clode/Ernie Hayes       Tel: 01244 317999

Surrenda-link Limited

Simon White                   Tel: 020 7859 9000

RCM (UK) Limited

Nigel Massey                  Tel: 01481 727111

Kleinwort Benson (Channel Islands) Fund

Services

Company Secretary



END

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