TLI Alt. AO. Prfnpv

    11 August 2008

For immediate release

Alternative Asset Opportunities PCC Limited

The Board of Alternative Asset Opportunities PCC Limited announces that the net
asset value (NAV) of the US Traded Life Interests Fund (the "Company") as at 30
June 2008 was 95.9 pence per share, a decline of approximately 14.7% since 31
May 2008 (112.4 pence per share).

The NAV per share as at 30 June 2008 includes an unrealised loss of 5.8 pence
per share that is the result of marking to market the Company's foreign
exchange positions, consisting of the forward sales of US dollars maturing in
2009 and 2012. This loss to date compares with a loss to date of 3.4 pence per
share as at 31 December 2007. The Company is expected to fully recover this
loss upon the maturity of these positions in 2009 and 2012.

Following the period end the Company has been notified of one policy maturity
within the portfolio. The face value of this policy is US$1 million but the
benefit to NAV of this maturity is not reflected in the NAV per share as at 30
June 2008. The benefit amounts to approximately 0.7 pence per share and is
expected to be reflected in the NAV for July.

The fall in NAV per share of 16.5 pence since 31 May 2008 is attributable to a
number of factors which merit a detailed explanation.

Firstly, the Board has been advised that secondary market demand for Traded
Life Interests (TLIs) is less robust than it was earlier in the year. Having
recently conducted an analysis of its own market purchases, the Investment
Manager has advised the Board that the appropriate discount rate to be applied
in valuing the Company's portfolio should increase. This discount rate is the
aggregate of current US$ swap rates and a risk premium. In the last month US$
swap rates increased modestly and the risk premium has been increased from an
average of 5.21% to 7.25%. The effect of these changes, combined with other
monthly adjustments, accounts for approximately 13 pence per share of the
reduction in NAV set out above.

Secondly, the Board has reviewed the valuation of the policies in the portfolio
with reference to their anticipated maturity profile. So far, although the
policies acquired have been in line with the original targets in terms of
number of policies, age, life insurance company rating etc., the rate of policy
maturities has fallen below expected levels. There are several possible reasons
for this, including:

 1. The `select effect' of policyholders only selling if they felt that their
    current health was reasonable (irrespective of the life expectancy
    assessment) may not have been fully allowed for. Following the changes made
    in June 2007, the valuation policy currently includes a 24-month `select
    adjustment', but there is no published experience for portfolios such as
    this to validate this assumption. It is possible that a 36-month select
    period (which, if adopted in isolation, would improve valuations) may be
    more appropriate, but the Board is reluctant to adopt this longer select
    period without better evidence.
   
 2. The original life expectancy assessments obtained may have understated life
    expectancy. The Board has recently commissioned re-assessments of life
    expectancy for a sample of policies in the portfolio. For the policies
    assessed there was an average increase in life expectancy of 8%, but the
    Board is cautious in inferring that this figure applies to the balance of
    the portfolio due to the wide range of adjustments arising from the
    re-assessments and the modest size of the sample.
   
 3. There may have been changes in life expectancy in the population in
    general. Neither the Board nor the Investment Manager is aware of any
    evidence of any significant changes in life expectancy for the age group
    concerned.
   
Following this review, to the extent that revised life expectancy figures have
been obtained, these have been adopted for the valuation as at 30 June. This
accounts for approximately 3.4 pence per share of the reduction of the NAV set
out above. For information, if the average percentage increase in life
expectancies for the sample was to be applied to the rest of the portfolio,
this would imply an additional reduction in NAV of 9.4 pence per share.
However, the Board currently takes the view that such a reduction cannot be
justified by the limited evidence obtained. The Board is also aware that the
risk premium referred to above, as uplifted, at least partly already reflects
the uncertainties in assessing life expectancy.

The Board is aware that other portfolios have similar experience of low
maturity rates, but has not yet identified any better method of valuation than
that already adopted. The implied assumption is that the mortality experience
of the policies will reflect the life expectancy assessments and hence that the
rate of maturities will increase significantly from current levels. Should
maturities not increase from current levels towards the levels anticipated by
the life expectancy assessments, the current value of the portfolio would be
overstated.

The Board is therefore not proposing any changes to the current valuation
methodology, but it must caution that determining a valuation basis remains a
complex issue for which there is no universally accepted standard approach. The
Board will continue to monitor the state of the secondary market for TLI
policies, the maturity profile of the Company's investment portfolio and other
available statistical evidence to try to ensure that valuations are as robust
as possible. Shareholders are reminded that the future performance of the
Company will depend on the actual pattern of policy maturities as determined by
actual, as opposed to anticipated, mortality rates.

An incidental result of the decrease in NAV per share is that the investment
portfolio is currently over-hedged on the basis originally established (which
was to hedge the current value of the portfolio but not any future gains in
value). The Board is of the view that there is no merit in reversing the
existing currency hedges on the basis that future US$ cash flows are
anticipated from policy maturities and that this would require the
re-instatement of the hedges at a later date, possibly at a net loss to the
Company.



END

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