TLI Alt. AO. Prfnpv

    Alternative Asset Opportunities PCC Limited

Net Asset Value as at 31 May 2008

The Board of Alternative Asset Opportunities PCC Limited announces that the net
asset value ("NAV") per share of the US Traded Life Interests Fund as at 31 May
2008 was 112.4 pence.

The NAV per share as at 31 May 2008 is stated after accounting for an
unrealised currency loss of 6.2 pence per share. This loss results from marking
to market the Company's foreign exchange hedges, primarily the forward sales of
US dollars maturing in 2009 and 2012. This unrealised loss compares with an
unrealised loss of 4.8 pence per share as at 30 April 2008. The Company expects
to recover the full value of this loss on the eventual maturity of the above
positions.

The Company has been notified of one policy maturity in the period. The benefit
of this maturity event is reflected in the Company's NAV as at 31 May 2008 and
amounts to approximately 0.6 pence per share.

The Board has also been informed by the Administrator that fees related to the
payment of trail commission were over-accrued for the period 1 July 2007 to 30
April 2008. The adjustment of this accrual has resulted in an increase in the
NAV per share of approximately 1 pence and is reflected in the 31 May 2008
figure.

The Board reported on 16 June 2008 that an error had been identified in the
illustrative projections provided in previous announcements. While the Board
regrets the error in the projections made by the Investment Manager it is
satisfied with the explanation given for this error and reminds Shareholders
that it does not have any impact on the reported NAV per share.

As part of the management of the Company's portfolio and cash flow requirements
and in the light of the current level of policy maturities the Managers are in
discussions with Allied Irish Banks plc regarding the possibility of increasing
and extending the current borrowing facility to meet short term cash flow
requirements should this become necessary.

The Board has recently received a report from the Investment Manager reviewing
and updating the life expectancy assessments of a sample range of policies and
covering other related topics. The Board regularly reviews the methodology used
in estimating the value of the Company's investments and will report any
conclusions from this exercise in due course.

Kleinwort Benson (Channel Islands) Fund Services Limited

Company Secretary

Tel: 01481 727111

Fax 01481 716762



END

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