TLI Alt. AO. Prfnpv

    Alternative Asset Opportunities PCC Limited

     Life Office (1)                        Value at 31st  Proportion of Total 
                                                                               
                                                 May           Gross Assets    
                                                                               
                                                 2007               %          
                                                                               
                                               (000's)                         
                                                                               
 1   American General Life Insurance            7,406             16.00        
     Company                                                                   
                                                                               
 2   Transamerica Occidental Life Ins Co        7,073             15.30        
                                                                               
 3   C M Life Insurance Company                 5,522             11.90        
                                                                               
 4   Lincoln National Life Insurance Co         5,302             11.50        
                                                                               
 5   Indianapolis Life Insurance Company        4,477              9.70        
                                                                               
 6   John Hancock Life Insurance Company        3,347              7.20        
                                                                               
 7   Pacific Life Insurance Company             2,899              6.30        
                                                                               
 8   Jefferson-Pilot Life Insurance Company     1,522              3.30        
                                                                               
 9   Manufacturers Life                         1,493              3.20        
                                                                               
 10  New York Life Insurance and Annuity        1,305              2.80        
     Corp                                                                      

By reference to the most recent portfolio valuation of the Company as at 31 May
2007, the largest ten investments held by the Company were as follows

.

Notes

(1) Portfolio holdings are shown by life office.

(2) The values shown at 31 May 2007 are expressed in thousands of pounds
Sterling using exchange rates applicable at 31 May 2007. The portfolio assets
are US dollar-denominated.

.

Enquiries

Kleinwort Benson (Channel Islands) Fund Services Limited

Company Secretary

Tel: 01481 727111



END

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