TLI.L Regulatory News (TLI)

Alternative Asset Opportunities PCC Limited (the "Company")

15 July 2013

The following replaces "Net Asset Value(s)" announcement dated Monday 15 July 2013 at 9.54 am under RNS Number 3097J

Net debt at 30 June 2013 should have been announced as US$2,811,000 and not US$3,494,000 as stated. The full correct announcement appears below.

The Board of Alternative Asset Opportunities PCC Limited (the "Company") announces that the net asset value of the US Traded Life Interests Fund at 30 June 2013 was 55.6 pence per share. This represents a decrease of 1.0 penny per share from the NAV at 31 May 2013. During the month LE adjustments on 5 policies reduced NAV by 0.9 pence per share and a profit equivalent to 0.5 pence per share was recognised from the maturity of one policy on one life with a face value of US$1,000,000.

Exchange rate movements had no material impact during the month. The Company's borrowings as at 30 June 2013 stood at US$5,939,000. Net debt, taking into account cash balances and capital debtors (being the above maturity proceeds and one of the two policy maturities announced in the previous month not yet received), amounted to US$2,811,000.

The Board has for some time been concerned at the low level of maturities compared to the life expectancy (LE) projections from our panel of assessors. Earlier this year it therefore requested the Investment Manager to resume the programme of obtaining LE updates, covering a significant portion of the portfolio. Given the difficulties in assessing LEs, the Board is also considering the appropriateness of the 12% discount rate (IRR) utilised in its valuation in the light of the higher IRR requirements of policy buyers seen on many transactions during the last 2-3 years. This work, which is likely to result in a modest reduction in reported NAV, is expected to be completed by early September and the Board will advise Shareholders of the outcome, which will be reflected in the audited financial results for the year ended 30 June 2013. The Board already publishes, and will continue to publish, tables which allow investors to assess the effects of differing valuation assumptions on the NAV.

The table below aims to give investors an appreciation of the effects on valuation of different assumptions as to both LE and IRR.

- The first line of NAVs in the table uses the 'Latest LE' assumption, that is to say either an LE based on a recently updated assessment (obtained on or after 1 January 2011) or, for the remaining 26% of the portfolio by face value (the 'non-updated policies'), either the original LE at the time of purchase or an LE updated before 31 December 2010. The average LE is shown for reference (4.5 years). NAV is then shown at four different discount rates, ranging from 10% to 20%. This shows the effect of IRR on current value, but it also allows investors to assess the effects of forced sales.

- The second line uses the assumption that updated LEs obtained for the non-updated policies would broadly follow those already obtained for other policies, resulting in an LE increase of 10% on the non-updated policies. In practice, the LE changes exhibited by actual revised assessments vary widely and the Board does not feel it is necessarily correct to extrapolate the changes for the non-updated policies. The overall effect is to increase average LE by 0.1 years.

- The third line assumes an increase in LE of 20% on the non-updated policies. The effect on NAV is an incremental increase in LE of 0.2 years.

- Finally, the fourth line shows the outcome of assuming LEs are simply based on the current table of life expectancies for the general population, the 2008 Valuation Basic Table i.e. ignoring medical assessments. The Board does not suggest that this is a realistic assumption, but it gives a measure of the degree to which the portfolio is dependent on assessed LEs being shorter than for the population as a whole.

Sensitivity Matrix

Net Asset Value in pence per share on various assumptions as at 30 June 2013

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