Annual Financial Report

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED (the "Company")

Annual Financial Report Announcement

For the year ended 30 June 2015

The Directors announce the publication of the Company's annual financial report for the year ended 30 June 2015. The following comprises the Company's annual financial report for the year ended 30 June 2015.

The annual financial report is being made available to be viewed on or downloaded from the Company's website at www.allianzgi.co.uk/TLI and it will shortly be submitted to and available for inspection at http://www.hemscott.com/nsm.do.

The financial information set out in this announcement does not constitute the Company's statutory accounts for the year ended 30 June 2015, but is derived from those accounts, which will be delivered to Shareholders during in early October 2015. The auditor has reported on the annual financial report and their report was unqualified. The audit report draws attention to the inherent uncertainty in the valuation of the Company's traded life interests.

The financial information for the year ended 30 June 2014 has been extracted from the statutory accounts for that year, which have been delivered to Shareholders.

The financial statements have been prepared in accordance with International Financial Reporting Standards. This announcement has been prepared using accounting policies consistent with those set out in the Company's annual financial report for the year ended 30 June 2015.

Neither the contents of the Company's website nor the contents of any website accessible from hyperlinks on the Company's website (or any other website) is incorporated into, or forms part of, this announcement.

The Annual General Meeting (the "AGM") of the Company will be held on 4 November 2015 and notice of the AGM will be sent to shareholders with the annual financial report.

Enquiries:

Tracey Lago

Company Secretary

Telephone number: 020 3246 7405

Melissa Gallagher

Head of Investment Trusts, Allianz Global Investors

Telephone number: 020 3246 7539

16 September 2015

199 Bishopsgate

London

EC2M 3TY

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investor Information

For the year ended 30 June 2015

General information

Alternative Asset Opportunities PCC Limited (the "Company") was registered on 27 February 2004 in Guernsey, as a closed-ended protected cell company in accordance with the provisions of The Companies (Guernsey) Law, 1994, and subsequently re-registered under the provisions of The Companies (Guernsey) Law, 2008, as amended. It was established with one Cell known as the US Traded Life Interests Fund (the "Fund") which had a planned life of approximately 8 years from the date of launch. The Company is regulated by the Guernsey Financial Services Commission as an authorised fund under the Protection of Investors (Bailiwick of Guernsey) Law, 2008, as amended.

Following a Special Resolution passed at an Extraordinary General Meeting on 28 August 2009, the Articles of Incorporation were amended to move from having a fixed life in respect of the Company's Cell, US Traded Life Interests Fund (terminating on 31 March 2012), to offering shareholders annual continuation votes from the Company's 2012 Annual General Meeting onward.

With effect from 1 September 2009, the Company has been managed with a view to being approved as an Investment Trust within the meaning of the Corporation Tax Act 2010, and has been resident in the UK for tax purposes from that date.

The Company's redeemable participating preference shares (the "Shares") were admitted to the Official List of the UK Listing Authority and commenced trading on the London Stock Exchange on 25 March 2004.

Investment objective

The Company's objective in respect of the Fund is to provide investors with an attractive capital return through investment predominantly in a diversified portfolio of US Traded Life Interests ("TLIs").

Investment policy and strategy

The Company has invested the assets of the Fund in a range of TLIs on the lives of US citizens aged, at the time of acquisition, between 78 and 92 years. All TLIs acquired are Whole-Of-Life policies or Universal Life policies. No viatical policies (that is, a policy on the life of an insured who, at the time of policy acquisition, is terminally ill and with a life expectancy of less than 2 years) have been acquired.

The TLIs acquired are policies issued by a range of US life insurance companies. Each underlying life insurance company had an AM Best credit rating of at least "A" at the time of acquisition of the relevant policy. Page 40 to 41 discloses the current ratings against the Company's exposure based on year-end valuation. AM Best is a US credit rating agency which provides the most comprehensive coverage of the US life company sector. Not more than 15 per cent of the gross assets of the Fund, at the time of purchase, have been invested in life policies issued by any single US life insurance company or group.

The Board has overall responsibility for the assets of the Fund, in accordance with the investment objective and policy, and subject to advice received from the Investment Manager. At present there is no intention to acquire further policies, but sales of policies may occasionally be made when appropriate. The Company has a borrowing facility in place with AIB Group (UK) plc the terms of which require the Company to utilise the net proceeds of maturing TLIs to repay any outstanding amounts. At 30 June 2015 and 30 June 2014 there were no borrowings outstanding. Subject to covenants, the Company may return capital to shareholders either by means of the purchase of shares in the market as authorised by shareholders resolution or by return of capital in accordance with the Articles.

Pending the return of capital to shareholders, the cash proceeds of TLIs may be invested in a portfolio that may include US treasury bonds, UK gilts and sterling-denominated corporate bonds with a minimum rating of AA by Standard & Poor's or an equivalent rating by another rating agency.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investor Information (continued)

For the year ended 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investor Information (continued)

For the year ended 30 June 2015

Directors

The Directors have been chosen for their investment and commercial experience and are listed below:

Charles Tracy, Chairman, (aged 69) has over 40 years' experience as a merchant banker, covering both the investment management and banking fields. On joining N.M. Rothschild & Sons in 1975 he was made responsible for Asian and commodity-related investments, working in Malaysia and Hong Kong before taking up the post of Managing Director of N.M. Rothschild & Sons (C.I.) Ltd. in 1981, and remaining in that position until 1998. During that period he was Chairman of the Association of Guernsey Banks and of the Guernsey International Business Association. He is currently non-executive Chairman of Louvre Fund Services Limited and Chairman of the Board of the Guernsey Banking Deposit Compensation Scheme. He is a resident of Guernsey.

Ian Reynolds, Chairman of the Audit Committee, (aged 72) is a former Chief Executive of Commercial Union Life Assurance Company and a former director of Liverpool Victoria Friendly Society. He was, until December 2014, a director of The Equitable Life Assurance Society, and is a former consultant actuary at Towers Perrin. Mr Reynolds is a Fellow of the Institute of Actuaries and a Chartered Director. He is UK resident.

Tim Emmott (aged 62) has 40 years' experience in banking and investment in a variety of analytical, trading and management roles. He has been involved in investing in distressed, illiquid and alternative financial assets for the past 25 years. He is UK resident.

John Scott (aged 63) is currently a director of several UK investment trusts and is Chairman of Scottish Mortgage Investment Trust PLC. Mr Scott held a number of senior appointments at Lazard Brothers & Co., Limited between 1981 and 2001. Prior to that, he worked at Jardine Matheson & Co., Limited. He is a Fellow of the Chartered Insurance Institute and of the Chartered Institute for Securities and Investment. He is UK resident.

The Investment Manager

The Investment Manager, SL Investment Management Limited, which is authorised and regulated in the United Kingdom by the Financial Conduct Authority, was incorporated in 1990 and is an Investment Manager and Investment Advisor for a range of specialist investment products.

The Manager

Allianz Global Investors GmbH, UK Branch, which is authorised by Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) and which is subject to limited regulation by the Financial Conduct Authority, is manager of a number of closed-ended investment companies with approximately £1.22 billion of assets under management in a range of investment companies and investment trusts as at 30 June 2015. The Manager is responsible for managing the cash and fixed interest holdings of the Fund.

Non Mainstream Pooled Investments

The Company is an investment trust and therefore its shares are not subject to the Financial Conduct Authority's (FCA) rules relating to the restrictions on the retail distribution of unregulated collective investment schemes and close substitutes which came into effect on 1 January 2014. Accordingly, its shares can be recommended by IFAs to ordinary retail investors in accordance with the FCA's rules in relation to non-mainstream investment products.

FATCA

The Company is registered with the Internal Revenue Service ("IRS") as a Foreign Financial Institution for the purposes of the Foreign Tax Compliance Act ("FATCA"). The Company's Global Intermediary Identification Number ("GIIN") is 1L9EHP.99999.SL.826.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Financial Highlights

For the period from 1 July 2014 to 30 June 2015

Dividends

The Directors do not propose a dividend for the year ended 30 June 2015 (2014: nil).

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Chairman's Statement

For the year ended 30 June 2015

Introduction

The Company's year can best be understood as three distinct phases. Initially, a good flow of policy maturities towards the end of the last financial year led to a change to the Articles of Incorporation in July 2014 to allow the issue of B shares in order to permit capital distributions. The very satisfactory influx of funds enabled the Company to repay outstanding borrowings and make a capital distribution to shareholders of 2.0 pence per share on 8 August 2014. In the second phase, a further flow of policy maturities enabled a second distribution, again of 2.0 pence per share on 20 March 2015, residual cash being withheld to meet expenses and premium payments for a further period. This caution turned out to be justified, as there has been a 'maturity drought', the US$4 million policy maturity announced on 20 August being the first since January 2015, an unusually long period without a maturity.

While this lack of maturities mainly has a negative effect on cash flow, the Board accepts the importance of continuing to monitor the accuracy of life expectancy (LE) data used. Recent LE assessments have if anything been shorter than before, which may reflect factors specific to individual policies, but is reassuring in this context. Meanwhile it is very helpful to have extended the Company's overdraft facility for a further two years to March 2018, with a modest reduction in charges.

The net asset value (NAV) per share at the end of year was 43.9 pence; adjusted for the distribution to shareholders of 4 pence per share during the year, this means an increase of 7.1% on the NAV per share at the end of last financial year of 44.7 pence. Similarly, the mid-market share price at the year end of 39.5 pence, adjusted for the 4 pence distribution, was 14.4% up on the share price at the previous financial year end of 38.0 pence, implying a tightening of the discount between the share price and the NAV per share.

In contrast to last year, when foreign exchange was a negative factor, the portfolio has gained significantly from the relative strength of the US$ dollar during the year, boosting the NAV per share by 3.5 pence.

Portfolio developments

During the year to 30 June 2015, 4 policy maturities occurred, with a total face value of US$10.9 million. This compares with 13 policies with a face value of US$17.4 million in the year to 30 June 2014, and 45 policy maturities between the Company's launch in 2004 and 30 June 2013.

Fortunately, those policies which did mature were larger ones and the maturity proceeds again exceeded the premiums and expenses for the year of US$9.3 million. Realised gains on the book value of maturing policies amounted to approximately US$8.2 million in the year, or 7.3 pence per share (2014:US$10.2 million, or 8.7 pence).

As at 30 June 2015 there were a total of 85 policies (74 lives) in the portfolio, with a face value of US$131.6 million and a valuation of US$48.1 million. Premiums continue to be paid on policies in force, amounting to US$8.4 million during the year (2014:US$8.4 million).

A policy maturity with a face value of US$4 million occurred after our year end during August 2015, with the proceeds expected to be received in October 2015, which will provide an uplift of approximately 2.0 pence to the NAV per share. The policy maturity is not reflected in the accounts as it occurred after the accounting date.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Chairman's Statement (continued)

For the year ended 30 June 2015

Gearing and Cash Flow

The Board's policy has been to reduce dependence on gearing. The first important stage was reached last year with the elimination of borrowings at the year end. During the year, the Company's total borrowings amounted to US$2,000,000 which was repaid in full in January 2015 with proceeds from policy maturities. The two capital distributions each of 2.0 pence per share, amounting in total to £2.88 million, fall within the terms of the revised lending covenants.

On 15 May 2015 the Company announced that AIB Group (UK) PLC had agreed to extend the US$10 million revolving credit facility on improved terms to 31 March 2018. We are pleased to report that the extension has since been documented thereby securing the financing of the Company for a further period of two years.

Since the year end, the Company has drawn down US$2 million to meet premium and expense commitments. The expected maturity proceeds of US$4 million will be used, when received, to reduce indebtedness.

Valuation of Investments

The NAV is a Directors' valuation, prepared with the assistance of the Investment Manager, utilising estimates of life expectancy to arrive at a series of cash flows, based on actuarial principles discounted to present value using a discount rate (or internal rate of return, IRR). The key factors in the valuation are therefore: the policy face value and the premiums payable; the assumed life expectancy (LE) of the insured; the actuarial mortality table; and the discount rate.

The portfolio is split into three parts: policies with routinely updated LEs, accounting for 82% of the portfolio by face value; small policies (face value under US$500,000) where the cost of regular review is deemed uneconomic to value; and policies for which it is not possible to obtain updated medical records. The Investment Manager continues to carry out a regular programme of LE Updates with the latest review completing in July 2015, shortly after the year end.

The Board continues to apply a 12% discount rate as explained and supported by note 20 on page 54, Market and longevity risk.

Credit and Foreign Currency Risk

As the Investment Manager's report explains, there has been a re-rating of some of the insurance companies which issue the policies in the portfolio. As a result, at the year end 100% of the Company's policies by value were issued by companies with an AM Best rating of 'A-' or better (96.4% with a rating of 'A' or better).

The Company has operated on an unhedged currency basis since the change in investment policy in September 2011 and there is no current intention to initiate any new currency hedges.

During the year the US$ exchange rate moved from 1.7098 on 30 June 2014 to 1.5727 on 30 June 2015.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Chairman's Statement (continued)

For the year ended 30 June 2015

Sensitivity Matrix

As in previous periods, the table below aims to give investors an appreciation of the effects on valuation of differing 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 30 June 2013), or for the remaining policies an LE based on the 2008 Valuation Basic Table. The average LE is shown for reference. NAV is then shown at 4 different discount rates, ranging from 10% to 20%.

· The second line shows the effect of an increase of one year in the valuation LEs.

· The third line shows the effect of a decrease of one year in the valuation LEs.

· Finally, the 4th line shows the outcome of assuming all LEs are based on the current table of life expectancies for the general population, the 2008 Valuation Basic Table, i.e. ignoring LE assessments.

Net Asset Value in pence per share as at 30 June 2015:

The valuations are discussed further within the Investment Manager's Review. The principal risks facing the Company are discussed within the Strategic Report.

Outlook

The recent experience where we saw no maturities for over 6 months makes the Board acutely aware of the need to monitor the Company's cash position, LE updates and its valuation of the policies. While aiming to make cash distributions to shareholders when appropriate, the Board will need to take into account the fluctuating nature of portfolio maturities when deciding on the timing and quantum of such distributions.

It remains the intention of the Board to hold the majority of policies to maturity, but the possibility of policy sales will continue to be kept under review.

Charles Tracy

Chairman

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review

For the year ended 30 June 2015

Portfolio Overview

During the twelve month period from 1 July 2014 to 30 June 2015 there were 4 confirmed policy maturities with a total face amount of $10.9m. The 4 maturities related to 4 individual lives, 3 of which were male and 1 female. As at 30 June 2015, 85 policies remained within the portfolio with exposure to 74 individual lives.

Cumulatively, as of 30 June 2015, there have been 62 policy maturities across 53 lives since inception. Proceeds received from all maturities total $102.9m. Thirteen policies have been sold since inception of the Company, generating proceeds of $11.2m. No policies were sold during the reporting period.

One further maturity (a male life insured) has been identified since the year end. This policy has a death benefit of US$4.0m, and will add approximately 2.0 pence to the NAV per share once formally certified.  

Full Portfolio Summary

Credit Quality Distribution by Holding Life Company

Following the acquisition of Lincoln Benefit Life Company by Resolution Life Holdings, Inc, AM Best downgraded the financial strength rating of Lincoln Benefit Life Company from A+ to A- in July 2014. The Company holds one policy from this life company with a face value of $2m, representing 1.5% of the portfolio face value. Summary details of the Traded Life Interests issued by each life company are shown on page 40 to 41.

In April 2015, AM Best upgraded the rating of Athene Annuity and Life Company from B++ to A-. The Company holds three policies from this life company with a total face value of $4.3m, representing 3.2% of the portfolio face value.

There were no other AM Best rating changes during the period that affected the portfolio. As at the reporting date 96.4% of the Company's policies (by valuation) were issued by life companies with an AM Best rating of 'A' or better.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review (continued)

For the year ended 30 June 2015

Life Group (Parent Company) Distribution (Top 5)

Distribution of Life Expectancy Estimates

The following table shows the distribution of the policies in the portfolio by LE band. Policies are grouped by 12 month LE bands and the table shows the number of lives, the total death benefit and valuation in each group. The LEs are the valuation LEs used for the 30 June 2015 valuation.

It is important to note that the LE is an average of the estimated future lifetime for an individual with a given age and health status. The table is not, therefore, a prediction of when actual maturities will occur and is thus not a cash flow forecast. This has been demonstrated by the fact that, one year ago, there were no policies with a LE of less than one year; and yet maturities totalling US$10.9m of face value were realised during the year.

The current average LE is 4.5 years, the average of the shortest LE estimate is 3.8 years and the average of the longest LE estimate is 5.3 years.

Premium Payments

Premiums remain the largest draw on the Company's cash. As a result, it is important that premium streams are optimised such that AAO pays the minimum premium required to meet the cost of insurance required by the life company. SL Investment Management continues to review all policy statements to identify any scope for further optimisation of the premium payment schedules. Without further maturities other than the US$4 million policy announced on 20 August 2015, the expected cost of premiums for the twelve months to 30 June 2016 is approximately US$8.8 million.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review (continued)

For the year ended 30 June 2015

Policy Expiry Date Analysis

Written into the contract for some policies is an expiry date after which no more premiums will be accepted by the life office and the death benefit will no longer be payable upon death. Where applicable, this usually coincides with the policy anniversary closest to the insured's 100th birthday. There are 42 such policies in the portfolio. The earliest expiry date is May 2020.

There are 6 policies with extension options to age 115, and 2 policies with 'partial' extensions - whereby the policy term is extended until death, but on a reduced death benefit after age 100.

35 policies in the portfolio have no expiry date, including the policy maturity announced on 20 August 2015.

A summary of the policies in the portfolio as at 30 June 2015 is as follows:

For policies with an expiry date, the key metrics are as follows:

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review (continued)

For the year ended 30 June 2015

Policy Expiry Date Analysis (Continued)

The table below summarises the distribution of the time intervals between the LE and the expiry date:

Period Review and Outlook

This reporting period witnessed a lower volume of maturities compared with the previous 12 months. The average face value of the 4 policy maturities during the period was $2.7m; which is notably higher than the $1.5m average face value for the portfolio as a whole. This is attributable in part to the largest policy in the portfolio maturing during the period ($6m face value).

There remains considerable variation in the size of individual face amounts remaining in the portfolio. Therefore short term performance will be driven not just by the frequency of maturities, but also the size of the policy maturities. The table below illustrates the distribution of the 74 lives in the portfolio by face value as at 30 June 2015.

Despite the largest policy in the portfolio (by face value) maturing during the period, a significant proportion of the total death benefit remains linked to a relatively small proportion of lives. 19 lives (26% of total lives) account for 58% of the total face value and 62% of the reported valuation.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review (continued)

For the year ended 30 June 2015

Life Expectancy Updates

With life expectancy assumptions so critical to the pricing and valuation of policies, LEs remain a key focus of the life settlement industry. In September 2014, 21st Services, one of the LE underwriters used by AAO (and most market participants), announced changes to their mortality tables which resulted in longer LE assessments.

Following the announcement, AAO obtained updated 21st Services LEs for all policies in the portfolio valued with reference to medical LEs. On average, the revised 21st Services LEs were 18% longer, resulting in a 5.8% reduction in the November 2014 portfolio valuation. None of the other major LE underwriters has made any significant adjustments to their life expectancy assessments during the period.

The Board has continued with the regular programme of LE updating throughout the year, with new LEs obtained for policies representing $38.8m in face value during the period (29% of the total portfolio). The LEs updated in 2015 were 4 months shorter on average than the prevailing valuation LEs. Incorporating this new LE data resulted in an increase in the valuation equivalent to 1.9 pence per share.

At the reporting date, 82% of total portfolio face value is valued with reference to LEs obtained within the previous 24 months. The remaining 18% of the portfolio is valued using LEs calculated with reference to the 2008 Valuation Basic Table (VBT), which is the latest version of the table currently available.

The US Society of Actuaries Mortality Taskforce exposed the preliminary 2014 VBT mortality tables for comment from the life insurance industry in 2014. Following feedback from the industry, the taskforce was asked to implement further adjustments to the tables and to incorporate improvements in the rates to create a 2015 VBT. The preliminary 2015 VBT tables have now been released for further comments. Based on present information, the 2015 VBT is not expected to have a significant impact on the Company's valuation. The implementation date of the 2015 VBT is, as yet, unknown.

Outlook

The life settlement market is set to remain competitive with new investment capital continuing to enter the market. Strong competition in the secondary and tertiary markets for policies is supporting market prices and prices are expected to remain at current levels for the foreseeable future. Larger investors will likely continue to look to the tertiary market in an attempt to source blocks of policies from existing portfolio holders. A number of large tertiary transactions have been reported over the past 12 months.

The average life insured age for policies seen in the secondary market is approximately 83 years. Therefore with an average life insured age of 91.4 years, the Company holds something of a unique portfolio compared with what is generally available in the market. To build a portfolio from scratch that resembled the age and LE profile seen in AAO would take an investor a significant amount of time and effort.

The total death benefit of the policies held in the portfolio is $131.6m, versus a valuation of $48.1m. Even taking into account future premium commitments, the potential for investment gains by allowing policies to mature is evident. The magnitude and timing of gains will ultimately depend on the actual mortality experienced over the coming years.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Investment Manager's Review (continued)

For the year ended 30 June 2015

Outlook (Continued)

Although the nearly 7 month gap between maturities witnessed in 2015 could be considered as somewhat of an anomaly, there may be further sustained periods of time without maturities in the future. However, with a comfortable liquidity position, the Company is well placed to deal with any short to medium-term lulls in maturities without becoming a forced seller of policies.

SL Investment Management Limited

14 September 2015

 ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Manager's Review

For the year ended 30 June 2015

Borrowings and investments

The Company's two year revolving credit facility with AIB Group (UK) PLC entered into on 31 March 2014 has been extended for an additional period of two years and will expire on 31 March 2018. As at 30 June 2015, there was a nil balance (30 June 2014: nil) on the US$10 million available under the facility. During the year under review, the Company borrowed and repaid US$2 million under the facility.

The terms of the facility provide flexibility for the Company to make capital distributions to shareholders, subject to the availability of sufficient surplus cash. As a result, and following receipt of proceeds from maturities, the Company was able to make two capital distributions in the year under review of 2.0 pence per share to shareholders on both 8 August 2014 and 20 March 2015, (see Note 15 of the financial statements for further details), totalling in aggregate £2.88 million.

Since the year end, the Company has drawn down US$2 million under the facility which remains outstanding at the time of writing and will be repaid on receipt of future maturity proceeds of which US$4 million has recently been identified.

US dollar exposure

The Company no longer hedges its US dollar exposure; the Company is therefore fully exposed to the effect of exchange rates upon its net US dollar positions.

Allianz Global Investors GmbH, UK Branch

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Strategic Report

For the year ended 30 June 2015

Status

The Company was incorporated in and is a Guernsey registered closed-ended protected cell company in accordance with the provisions of The Companies (Guernsey) Law, 1994, and subsequently re-registered under the provisions of The Companies (Guernsey) Law, 2008 ("the law"), as amended. It was established with one Cell known as the US Traded Life Interests Fund (the "Fund") which had a planned life of approximately 8 years from the date of launch. Following a Special Resolution passed at an Extraordinary General Meeting on 28 August 2009, the Articles of Incorporation were amended to move from having a fixed life in respect of the Company's Cell, US Traded Life Interests Fund, to offering Shareholders annual continuation votes from the Company's 2012 Annual General Meeting onward.

Principal Activities, Business Review and Regulatory Environment

The Company is regulated by the Guernsey Financial Services Commission as an authorised fund under the Protection of Investors (Bailiwick of Guernsey) Law, 2008, as amended.

The principal activity of the Company is to carry on business as an investment trust within the meaning of section 1158 of the Corporation Tax Act 2010 ("s1158 of the CT Act"). With effect from 1 September 2009, the Company has been resident in the UK for tax purposes. The Company has obtained approval of its status as an investment trust under s1158 of the CT Act and the Directors are of the opinion that the Company has continued to act in accordance with such. The Company's redeemable participating preference shares (the "Shares") were admitted to the Official List of the UK Listing Authority and commenced trading on the London Stock Exchange on 25 March 2004.

Investment trusts are collective investment vehicles constituted as closed-ended public limited companies. The Company is managed by a board of non-executive Directors and the management of the Company's investments is delegated to the Investment Manager.

This Strategic Report provides information about:

· the Company's strategy and business objectives,

· its performance and results for the year,

· the information and measures which the Directors use to assess, direct and oversee SL Investment Management Limited (the "Investment Manager") and Allianz Global Investors GmbH, UK Branch (the " Manager")

The management of the investments is delegated to SL Investment Management Limited, authorised and regulated by the Financial Conduct Authority while the management of the cash, fixed interest holdings and provision of the administration and company secretarial service is delegated to Allianz Global Investors GmbH, UK Branch, authorised and regulated by Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) and which is subject to limited regulation by the Financial Conduct Authority. The Board acknowledge that a breach of s1158 of the CT Act could lead to the loss of investment trust status and the Company being subject to corporation tax while a breach of the law could result in criminal proceedings, financial and/or reputational damage. Both the Investment Manager and Manager have extensive experience which is relied upon in the services provided to the Company and provide internal controls reports to the Board on a periodic basis.

Investment objective, policy and strategy

The Company's objective in respect of the Fund is to provide investors with an attractive capital return through investment predominantly in a diversified portfolio of US Traded Life Interests ("TLIs"). The Company has invested the assets of the Fund in a range of TLIs on the lives of US citizens aged, at the time of acquisition, between 78 and 92 years. All TLIs acquired are Whole-Of-Life policies or Universal Life policies. No viatical policies (that is, a policy on the life of an insured who is terminally ill and with a life expectancy of less than 2 years) have been acquired.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Strategic Report (continued)

For the year ended 30 June 2015

Performance

The portfolio of investments at the year end is set out on page 40 to 41 and more information is set out in the Investment Manager's Review on pages 9 to 14. In the year ended 30 June 2015, the Company's net asset total return was 3.18p. Details on future trends and factors that may impact on the future performance of the Company are included in the Chairman's Statement and the Investment Manager's Review.

Results and Dividends

Details of the Company's results are shown in the Financial Highlights on page 5. The revenue reserve remains in deficit, and accordingly no dividend is proposed in respect of the year ended 30 June 2015 (2014-nil).

Following a Special Resolution passed by shareholders at an Extraordinary General Meeting on 24 July 2014 the Company's Articles of Incorporation were amended to permit the capitalisation of any part of the amount for the time being standing to the credit of the Share Premium Account and accordingly that such sums be set free for distribution amongst shareholders. On each of 8 August 2014 and 20 March 2015 the Company made a capital distribution paid pro rata to Shareholders through the issue and redemption of 72,000,000 B Shares paid up out of the Company's Share Premium Account, amounting to a sum of 2.0 pence per Share and totalling £1,440,000 in aggregate on each distribution.

Principal Risks and Uncertainties

At least twice per year the Board reviews an in-depth Risk Matrix detailing the risks faced by the Company and what actions are taken or put in place to mitigate such. At every Board meeting, the Directors consider a number of performance measures, including the below Key Performance Indicators ("KPIs") to assess the Company's success in achieving its investment objective, performance measures are considered over various time periods.

The KPIs shown below have been identified by the Directors to determine the progress of the Company and a record of the measures, with comparatives, is disclosed in the Financial Highlights on page 5:

· Net asset value (total return);

· Share price (capital return); and

· Premium or discount to net asset value.

Other KPIs such as LE's, Sensitivity Matrix and Mortality levels experienced as compared with that expected by a standard mortality table adjusted for regularly assessed life expectancies of policyholders are also reviewed at every Board meeting and are detailed within the Chairman's Statement and Investment Manager's Review.

The principal risks identified by the Board are set out below, together with information about the actions taken to mitigate these risks.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Strategic Report (continued)

For the year ended 30 June 2015

Principal Risks and Uncertainties (continued)

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Strategic Report (continued)

For the year ended 30 June 2015

Social, Community, Employee Responsibilities and Environmental Policy

As an investment trust, the Company has no direct social, community, employee or environmental responsibilities. Its principal responsibility to shareholders is to ensure that the investment portfolio is properly managed and invested. The Company has no employees and accordingly no requirement to report separately in this area as the management of the portfolio has been delegated to the Investment Manager. In light of the nature of the Company's business there are no relevant human rights issues and the Company does not have a human rights policy.

On behalf of the Board

Charles Tracy

Chairman

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Directors' Report

For the year ended 30 June 2015

The Directors have pleasure in submitting their Annual Financial Report for the year ended 30 June 2015 with comparatives for the year ended 30 June 2014. Information pertaining to the business review is now included in the Strategic Report on pages 16 to 19.

Revenue, capital and dividends

The Statement of Comprehensive Income set out on page 36 shows a revenue deficit for the year amounting to £717,625 (2014: revenue deficit for the year £774,514). There was a capital surplus for the year amounting to £3,030,997 (2014: capital deficit for the year £1,946,705). The Directors have not paid an interim dividend (2014: nil) and do not propose the payment of a final dividend for the year (2014: nil).

Assets

At the year end the net assets attributable to the Shares were £31,619,631 (2014: £32,186,259). Based on this figure the net asset value per Share in the Fund was 43.9p (2014: 44.7p).

Share capital

During the year no Shares were issued or repurchased. Total capital distributions during the year amounted to £2,880,000 (2014: £Nil).

The new provisions in the Company's Articles of Incorporation enable the Directors of the Company to distribute cash to Shareholders through the issue and redemption of B Shares. Each time the Board resolves to make such a distribution, the Company is able to announce a bonus issue of B Shares on a pro rata basis. Immediately upon being issued, deemed fully paid, the B Shares can be redeemed for the amount deemed paid up and cash proceeds then be paid to Shareholders.

On each of 8 August 2014 and 20 March 2015, 72,000,000 B Shares were issued 1 for 1 pro rata to Shareholders and redeemed for the amount deemed paid up and the cash proceeds of 2.0 pence per share were paid to Shareholders amounting on each occasion to £1,440,000.

Substantial shareholdings in the Fund

As at the date of this report, the following companies had declared a notifiable interest in the Company's voting rights in accordance with Chapter 5 of the Disclosure and Transparency Rules ("DTR"):

At the date of approval of this report, there has been no other notifiable interest in the Company's voting rights reported to the Company.

Crest registration

Shareholders may hold Shares in either certificated or uncertificated form.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Directors' Report (continued)

For the year ended 30 June 2015

The Board

The Board currently consists of a non-executive Chairman, Charles Tracy, and three other non-executive Directors. The names and biographies of those Directors who held office at 30 June 2015 and at the date of this Report appear on page 4 and indicate their range of investment, industrial, commercial and professional experience. As the Company is an investment trust, all of its operational activities are outsourced and it does not have any employees.

The Directors serving on the Board during the year, together with their beneficial interests and those of their families at 30 June 2015, were as follows:

*In 2014 235,000 shares were non-beneficial interest

Both Mr C P G Tracy and Mr D I W Reynolds have served as Directors for over ten years. Under the provisions of the UK Corporate Governance Code the Board considers that Mr C P G Tracy and Mr D I W Reynolds remain independent, notwithstanding the fact that both have served as Directors over the guideline of nine years. Thus both Mr C P G Tracy and Mr D I W Reynolds shall retire at the Annual General Meeting and shall continue to offer themselves for annual re-election as Directors.

The Board believes that Mr C P G Tracy and Mr D I W Reynolds are both committed to their roles as non-executive Directors and that their re-election would be in the interests of the Company.

The emoluments of the Directors for the year were as follows:

The figures above represent emoluments earned as Directors during the relevant financial year. The Directors receive no remuneration or benefits from the Company other than the fees stated above.

In the year to 30 June 2015 Directors were paid at the rate of £15,000 per annum with the Chairman of the Board receiving an extra £7,500 per annum and the Chairman of the Audit Committee an extra £2,500 per annum. Per note 6 to the financial statements the Directors' fees and expenses of £76,188 (2014: £83,991) included allowable expenditure of £4,549 (2014: £2,796) and employers' national insurance.

Conflicts of Interest

The Board has a formal system in place for Directors to declare actual or potential conflicts of interest which are then considered and authorised by the rest of the Board as appropriate. Where a Director is deemed to have an interest in a matter to be discussed or determined by the Board such director is excluded from all discussion and decision on the matter of interest.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Directors' Report (continued)

For the year ended 30 June 2015

Related Party Transactions

With the exception of the receipt of remuneration by the Directors from the Company there are no other related parties. The appointment of the Investment Manager and the Manager are deemed to be significant contracts.

Relations with shareholders

The Board regularly monitors the shareholder profile of the Company. It aims to provide shareholders with a full understanding of the Company's activities and performance, and reports formally to shareholders twice a year by way of the Annual Financial Report and the half yearly Financial Report. This is supplemented by the monthly publication, through the London Stock Exchange, of the net asset value of the Company's shares and other ad hoc announcements.

All shareholders are encouraged to participate in the Company's Annual General Meeting, which is being held this year on 4 November at 3.00pm. All Directors normally attend the Annual General Meeting, at which shareholders have the opportunity to ask questions and discuss matters with the Directors, the Manager and the Investment Manager.

Accountability and audit

a) Statement of going concern

The Board considered carefully the issue of 'going concern', specifically in relation to the availability of funding. On 31 March 2014, the Company signed a two year revolving credit facility agreement of up to US$10 million with AIB Group (UK) PLC ("AIB"), expiring on 31March 2016. In May 2015 it was announced that AIB had agreed to extend the facility for a further period of two years on improved terms. Shortly after the year end documentation was put in place extending the life of the facility to 31 March 2018.

The extension of the facility enables the Company to cover cash flow requirements, with no policy maturities, until January 2017. The Board acknowledges that in the event of a continued drought in maturities there may be a requirement to make policy sales, which may take some months to complete, but the Board is confident that the sales required to cover outstanding borrowings could be completed in time. To the extent that the prices achieved did not match those in the valuation, the net asset value of the Company could be adversely affected, but the Company would remain a going concern.

Total drawn borrowings under the revolving credit facility with AIB were nil as at 30 June 2015 and 30 June 2014. Since there was a nil balance drawn down for both years the asset cover was not applicable. The Board has further considered the effect of the continuation vote in their assessment.

Accordingly, the Directors have adopted the going concern basis for the preparation of these financial statements.

b) Internal control

The Directors acknowledge that they are responsible for establishing and maintaining the Company's system of internal control and reviewing its effectiveness. Internal control systems are designed to manage rather than eliminate the failure to achieve business objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. They have therefore established an ongoing process designed to meet the particular needs of the Company in managing the risks to which it is exposed, consistent with the guidance provided by the Financial Reporting Council. Such review procedures have been in place throughout the full financial year and up to the date of the approval of the financial statements and the Board is satisfied with their effectiveness.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Directors' Report (continued)

For the year ended 30 June 2015

Accountability and audit (continued)

b) Internal control (continued)

This process involves a review by the Board of the Company's internal control report and risk matrix and review of the control environment within the Company's service providers to ensure that the Company's requirements are met.

The Company does not have an internal audit function. The Board has considered the need for an internal audit function but has decided to place reliance on the systems and internal audit procedures of the Administrator, the Manager, the Investment Manager and, the Custodian.

These systems are designed to ensure effectiveness and efficient operations, internal control and compliance with laws and regulations. In establishing the systems of internal control regard is paid to the materiality of relevant risks, the likelihood of costs being incurred and costs of control. It follows therefore that the systems of internal control can only provide reasonable but not absolute assurance against the risk of material misstatement or loss.

The effectiveness of the internal control systems is reviewed annually by the Board and the Audit Committee.

Continuation of the Company

The Company was incorporated in 2004 with a fixed life and an expected winding up date of 31 March 2012. At an Extraordinary General Meeting of the Company held on 28 August 2009, a Special Resolution was passed by shareholders to adopt a new Memorandum and Articles of Incorporation. As a result, Article 44.1 of the Company's Articles of Incorporation now provides shareholders the right to vote at the Annual General Meeting to be held in 2014 and at every Annual General Meeting thereafter, on whether to continue the business of the US Traded Life Interests Fund of the Company.

The Directors wish to draw Shareholders' attention to Resolution 6 in the Notice of Annual General Meeting, which proposes that the business of the US Traded Life Interests Fund of the Company be continued until the Annual General Meeting to be held in 2016. The Directors have no reason to believe that the continuation vote will not be passed at the forthcoming Annual General Meeting.

Auditor

A resolution to re-appoint Deloitte LLP as Auditor was proposed and passed at the Annual General Meeting in 2014 and will be proposed again at the next Annual General Meeting in November 2015.

At the date of approval of the financial statements the Directors confirm that:

· so far as each Director is aware, there is no relevant audit information of which the Company's Auditor is unaware; and

· the Directors have taken all steps they ought to have taken as Directors to make themselves aware of any relevant audit information and to establish that the Company's Auditor is aware of that information.

This confirmation is given and should be interpreted in accordance with the provisions of Section 249 of The Companies (Guernsey) Law, 2008, as amended.

By order of the Board.

JPHS Scott DIW Reynolds

Director Director

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Corporate Governance Report

For the year ended 30 June 2015

Applicable Corporate Governance Codes

The UK Corporate Governance Code ("the UK Code") in force for the period under review was published in September 2012 and applied to accounting periods commencing on or after 1 October 2012. In September 2014, a revised Code was published and will be applicable to the Company for the year ended 30 June 2016. All companies with a Premium Listing of equity shares, regardless of whether they are incorporated in the UK or elsewhere (which includes the Company), are required to "comply or explain" against the Code. The day-to-day running of the Company is delegated to various third parties; the overall governance of the Company however remains the responsibility of the Board.

Corporate Governance Statement

Throughout the year ended 30 June 2015 the Company has been in compliance with the Main Principles of the UK Code, and has also complied with the detailed provisions set out in Section 1 of the UK Code, except as set out below.

The UK Code includes provisions relating to:

· The role of chief executive

· Executive remuneration, including the remuneration of executive directors

· Appointment of a senior independent director

As permitted in the preamble to the UK Code, the Board considers these provisions are not relevant to the position of the Company. The Company is an externally managed investment company without executive staff; a senior independent director has not been appointed given that all Directors are independent of the Company and of the key service providers.

On 30 September 2011, the Guernsey Financial Services Commission ("GFSC") issued a Code of Corporate Governance (the "Guernsey Code") which came into effect on 1 January 2012. The GFSC have stated that companies which report against the UK Code or the AIC Code of Corporate Governance (the "AIC Code") are deemed to meet compliance with the Guernsey Code.

The Directors believe the Company to be compliant with the requirements of the UK Listing Authority Listing Rules as regards corporate governance. The Company complies with the corporate governance statement requirements pursuant to the FCA's Disclosure and Transparency Rules by virtue of the information included in the Corporate Governance section of the annual report together with information contained in the Strategic Report and the Directors' Report.

The Board

The Company is overseen by a Board, chaired by Charles Tracy, which comprises 4 non-executive Directors, all of whom have wide experience and are considered to be independent. The Board believes that it is in the shareholders' best interests for the Chairman to be the point of contact for all matters relating to the governance of the Company and as such has not appointed a Senior Independent Director for the purpose of the Code.

The Board meets regularly, normally quarterly, and more frequently if necessary, and retains full responsibility for the direction and control of the Company. The Directors have access to the advice and services of the Company Secretary, who is responsible to the Board for ensuring that the Board procedures are followed and that applicable rules and regulations are complied with.

The Board is responsible for approval of the Annual and Half-Yearly Financial Results and all other public documents ensuring a balanced and fair approach is adopted which enables shareholders to understand and assess the performance of the Company.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Corporate Governance Report (continued)

For the year ended 30 June 2015

Appointment

The appointment of Directors is considered by the Board as a whole which carries out the functions of the Nominations Committee. The Board regularly reviews its structure, size and composition giving full consideration to succession planning for Directors and keeping under review the leadership needs of the Company. A variety of sources, including the use of external search consultants, may be used to ensure that a wide range of candidates is considered.

The Board believes that, as a whole, it comprises an appropriate balance of skills, experience and knowledge. The Board also believes that diversity of experience and approach, amongst members is of great importance and it is the Company's policy to give careful consideration to issues of board balance and diversity, including gender diversity, when making new appointments. On appointment, the Manager and the Company Secretary provide all Directors with induction training.

The Articles of Incorporation require that one third or the number nearest to but not exceeding one third, of the existing Directors must retire and may offer themselves for re-appointment at every Annual General Meeting and that every newly appointed Director must stand for appointment by shareholders at the Annual General Meeting following their appointment. In accordance with the UK Code non-executive directors who have served longer than nine years are also subject to annual re-election. The Board does not consider tenure to determine the independence of a Director and value the experience and knowledge gained through long service. The Board therefore continues to determine that all current directors are independent in character and judgement.

Board Meetings

The Board meets at least quarterly. Certain matters are considered at all Board Meetings including the performance of the investments, the LE and policy maturity rates, NAV and share price and associated matters such as asset allocation, risks, strategy, investor relations and industry issues. Consideration is also given to administration and corporate governance matters, and where applicable, reports are received from the Board Committees.

The number of formal meetings of the Board and the Audit Committee held during the financial year and the attendance of individual directors and members of the Audit Committee are shown below:

All Directors of the Company are non-executive. The Board as a whole fulfils the function of the Remuneration Committee and carries out periodic reviews of Directors' fees, after seeking independent advice.

Board Committees

The Board has established a separate Audit Committee. The Board has decided not to establish separate Nominations, Remuneration and Management Engagement Committees as these functions are carried out by the Board as a whole. This includes an annual review of the contracts with the Manager and the Investment Manager and whether they are in the best interests of shareholders.

Performance

The Board reviews its performance and composition on an annual basis. In order to review the effectiveness of the Board, the Audit Committee and the individual Directors, the Chairman carried out a thorough appraisal process in 2014 in respect of the year under review. The appraisal of the Chairman was carried out by the Board as a whole under the leadership of the Chairman of the Audit Committee. It is considered that the performance of all Directors continues to be effective and that they have demonstrated commitment to their roles.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Corporate Governance Report (continued)

For the year ended 30 June 2015

Internal Control

The Board is responsible for establishing, maintaining and monitoring the effectiveness of the Company's system of internal, financial and other controls. The internal financial controls operated by the Board include the authorisation of the investment strategy and regular reviews of the financial results and investment performance. The system of internal financial controls can provide only reasonable and not absolute assurance against material misstatement or loss. The Board regularly reviews and evaluates the risks faced by the Company and has put in place mitigating factors where possible. The Company's Investment Manager and Manager have established systems of internal control and provide assurance to the Board that adequate systems are in place in relation to the services provided to the Company.

Significant Contracts

The Board has contractually delegated to SL Investment Management Limited the investment management of the Fund's investments and to Allianz Global Investors GmbH, UK Branch the management of the cash and borrowings. The safe custody of the Fund's investments is managed by Kleinwort Benson (Guernsey) Limited. Wells Fargo Bank in the USA acts as sub-custodian. Kleinwort Benson (Channel Islands) Fund Services Limited are contracted to provide the Company's administration and accounting functions and Capita Registrars (Guernsey) Limited its registration function. Since 1 September 2009 the secretarial function has been carried out by Allianz Global Investors GmbH, UK Branch. A summary of the terms of the agreements with SL Investment Management Limited and Allianz Global Investors GmbH, UK Branch are set out in note 5 to the financial statements.

After due consideration of the resources and reputation of each of SL Investment Management Limited and Allianz Global Investors GmbH, UK Branch, the Board believes it is in the interests of shareholders to retain both contracts for the foreseeable future. The main reasons for this opinion are the extensive knowledge of the US traded life interest market and their valuation together with the complex financial and investment modelling related thereto; and, the extensive investment management resources of the Manager and its experience in managing and administering investment trust companies respectively.

Independent Advice

The Board recognises that there may be occasions when one or more of the Directors feels it is necessary to take independent legal advice at the Company's expense. The Company has a procedure whereby the Directors are entitled to obtain independent advice where relevant.

Indemnities

To the extent permitted by Guernsey law, the Company's Articles of Incorporation provide an indemnity for the Directors against any liability except such (if any) as they shall incur by or through their own breach of trust, breach of duty or negligence.

During the year the Company has maintained Directors' and Officers' liability insurance which provides insurance cover for Directors against certain personal liabilities which they may incur by reason of their duties as Directors.ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Directors' Responsibilities Statement

For the year ended 30 June 2015

The Directors are responsible for preparing the Annual Financial Report and the financial statements in accordance with applicable law and regulations.

Company law requires the Directors to prepare financial statements for each financial year. Under that law the Directors have elected to prepare the financial statements in accordance with International Financial Reporting Standards (IFRSs) issued by the International Accounting Standards Board (IASB). Under company law the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the Company and of the profit or loss of the Company for that period. In preparing these financial statements, International Accounting Standard 1 requires that Directors:

· properly select and apply accounting policies;

· present information, including accounting policies, in a manner that provides relevant, reliable, comparable and understandable information;

· provide additional disclosures when compliance with the specific requirements in IFRSs are insufficient to enable users to understand the impact of particular transactions, other events and conditions on the entity's financial position and financial performance; and

· make an assessment of the Company's ability to continue as a going concern.

The Directors are responsible for keeping adequate accounting records that are sufficient to show and explain the Company's transactions and disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that the financial statements comply with The Companies (Guernsey) Law, 2008, as amended. They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company's website. Legislation in Guernsey and the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Responsibility statement

Each Director confirms to the best of his knowledge that:

· the financial statements, prepared in accordance with International Financial Reporting Standards, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company.

· the Strategic Report includes a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties the Company faces.

· the Annual Report and Financial Statements, taken as a whole, are fair, balanced and understandable and provide the information necessary to assess the Company's performance, business model and strategy.

By order of the Board.

JPHS Scott DIW Reynolds

Director Director

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Audit Committee Report

For the year ended 30 June 2015

The principal role of the Audit Committee is to assist the Board in relation to the reporting of financial information, the review of financial controls and the management of risk. The Committee has defined terms of reference and duties and the terms of reference are published on the Company's website, www.allianzgi.co.uk/TLI. The terms include responsibility for the review of the Annual Financial Report and the Half Yearly Report, the nature and scope of the external audit and the findings therefrom and the terms of appointment of the Auditors, including their remuneration and the provision of any non-audit services by them. Where requested by the Board, the Audit Committee provides advice on whether the Annual Financial Report, taken as a whole is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's performance, business model and strategy.

The Audit Committee is also responsible for considering those matters that have enabled the Board of Directors to make its statement on Going Concern on page 22.

Composition

The Board reviews the composition of the Audit Committee and considers that collectively the Committee members have sufficient recent and relevant financial experience to discharge fully their responsibilities. As this is a small company, the Committee comprises all the directors of the Company. I am the Chairman of the Committee, and as you will see from my biography on page 4, I am a Fellow of the Institute of Actuaries and was formerly Chief Executive of a major life assurance company. The biographies of the other members of the Audit Committee can also be found on page 4.

Role

The Audit Committee determined that the significant issues to be considered were the valuation of the Company's portfolio of TLIs and its cash flow requirements. The valuation of the Company's portfolio of TLIs is regularly reviewed by the Board in conjunction with the Investment Manager and, where appropriate, recommendations in relation to the basis of valuation are made to the Board. The risk of cash flow difficulties was significantly reduced by the agreement of a revolving credit facility of up to US$10,000,000 with AIB Group (UK) PLC on 31 March 2014; with effect from 11 August 2015 the terms were improved and the expiry date was extended to 31 March 2018.

More details on the valuation can be found in the Chairman's Statement and the Investment Manager's Review. The external auditors explained the results of their review of the valuations, including their challenge of the Board's underlying cash flow projections, produced in conjunction with the Investment Manager, the LE assessments and discount rates, to the Audit Committee. On the basis of their audit work there were no adjustments that were material in the context of the financial statements as a whole.

The Directors and the Investment Manager have adopted IFRS13: Fair Value Measurement. This standard defines fair value and sets out in a single IFRS a framework for measuring fair value which has been applied to these financial statements.

During the year the Committee met twice during which the Annual Financial Report and the Half Yearly Report respectively were reviewed in detail. The Committee also meets with representatives of the Manager and Administrator and receives reports on the effectiveness of the Company's internal controls.

Risk Assessment and Significant Financial Statement Issues

The Company's risk assessment process and the way in which significant business risks are managed is a key area of focus for the Committee. The work of the Audit Committee is driven primarily by the Company's assessment of its principal risks and uncertainties as set out on page 18 of the Strategic Report, and it receives regular reports from the Investment Manager and the Manager on the Company's risk evaluation process and reviews changes to significant risks identified.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Audit Committee Report (continued)

For the year ended 30 June 2015

Risk Assessment and Significant Financial Statement Issues (continued)

The principal risk to the Company's valuation and financial statement is mortality. However, it is accepted that mortality risk is fundamental to the nature of the investments and that such has been the case since launch. The Audit Committee reviews LE expectations and mortality tables on a regular basis and is confident in the valuations recommended to and approved by the Board.

The Audit Committee continued to consider the process for managing the risk of the Company and its service providers. Risk management procedures for the Company, as detailed in the Company's risk matrix, were reviewed and approved by the Audit Committee.

Audit Process

The Audit Committee continues to consider that the Company does not require an internal audit function as it delegates its day-to-day operations to third parties from whom it receives internal control reports. Such reports from third party auditors on the internal controls maintained on behalf of the Company by the Manager or directly to the Company were reviewed during the year.

The Audit Committee reviewed the performance of the auditors and its independence and tenure. Deloitte LLP's first year of audit was for the period ended 30 June 2005. In 2014, the Company put the audit out to tender. Following presentations from a number of international auditing firms, including the Company's present auditors, the Board, following a recommendation from the Audit Committee, decided to retain Deloitte LLP as the Company's auditors. The Audit Committee continues to recommend Deloitte LLP as the Company's auditors.

On 16 June 2014 the EU Directive on Statutory Audits of Annual and Consolidated Accounts (the "Directive") came into force. Member States have two years after the Directive comes into force to adopt and publish the provisions in national law. The Directive includes further provisions on audit firm rotation. The Audit Committee will keep this matter under review.

The Audit Committee has adopted a formal framework in its review of the effectiveness of the external audit process and audit quality which includes the following areas: the audit partners with particular focus on the lead audit engagement partner; the audit team; planning and scope of the audit and identification of areas of audit risk; the execution of the audit; the role of management in an effective audit process; communications by the auditor with the Audit Committee; how the auditor supports the work of the Audit Committee; how the audit contributes insights and added value; a review of independence and objectivity of the audit firm and the quality of the formal audit report to shareholders.

To assess the effectiveness of the external audit process the Audit Committee will review:

· the Auditor's fulfilment of the agreed audit plan and variations from it;

· discussions or reports highlighting the major issues that arose during the course of the audit;

· feedback from other service providers evaluating the performance of the audit team;

· arrangements for ensuring independence and objectivity; and

· robustness of the Auditor in handling key accounting and audit judgements.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Audit Committee Report (continued)

For the year ended 30 June 2015

Non-Audit Services

The Audit Committee reviews the need for non-audit services and authorises such on a case-by-case basis, having regards to the cost effectiveness of the services and the independence and objectivity of the Auditors. There were no non-audit fees incurred in the year under review (2014: nil). In order to maintain auditor independence, Deloitte LLP ensured the following safeguards were in place:

· the use of review partners from outside the core audit team to ensure professional scepticism was applied appropriately; and

· Independent Partner reviews, together with a quality assurance review were undertaken as part of the reporting accountant work and the final audit stage.

The Audit Committee considers Deloitte LLP to be independent of the Company and that the provision of non-audit services is not a threat to the objectivity and independence of the conduct of the audit as appropriate safeguards are in place.

Whistleblowing

As the Company has no employees it does not have a formal policy concerning the raising, in confidence, of any concerns about possible improprieties, whether in matters of financial reporting or otherwise, for appropriate independent investigation. The Audit Committee has, however, reviewed and noted the Manager's and Investment Manager's policy on this matter.

Year Ended 30 June 2015

In finalising the Annual Financial Report for recommendation to the Board for approval, the Audit Committee has satisfied itself that the Annual Financial Report taken as a whole is fair, balanced and understandable, and provides the information necessary for shareholders to assess the Company's performance, business model and strategy.

The Company's external auditors attended the meeting of the Audit Committee at which the Annual Financial Report was reviewed and they reported on their audit approach and work undertaken, the quality and effectiveness of the Company's accounting records and their findings in relation to the Company's statutory audit.

The Audit Committee reviewed the performance of the Auditors at this meeting and recommended to the Board that Deloitte LLP be reappointed as auditor for the year ending 30 June 2016. A resolution will therefore be put to the 2015 AGM for the reappointment of Deloitte LLP as independent external auditor.

I will be available at the Annual General Meeting to answer any questions about the work of the Committee.

D I W Reynolds

Chairman of the Audit Committee

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Independent Auditor's Report to the Members of

Alternative Asset Opportunities PCC Limited

For the year ended 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Independent Auditor's Report to the Members of

Alternative Asset Opportunities PCC Limited (continued)

For the year ended 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Independent Auditor's Report to the Members of

Alternative Asset Opportunities PCC Limited (continued)

For the year ended 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Independent Auditor's Report to the Members of

Alternative Asset Opportunities PCC Limited (continued)

For the year ended 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Independent Auditor's Report to the Members of

Alternative Asset Opportunities PCC Limited (continued)

For the year ended 30 June 2015

David Becker

for and on behalf of Deloitte LLP

Chartered Accountants and Recognised Auditor

St. Peter Port, Guernsey

14 September 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Statement of Comprehensive Income

For the year ended 30 June 2015

The revenue column of this statement is the revenue account of the Company.

All revenue and capital items in the above statement derive from continuing operations.

The notes on pages 42 to 58 are an integral part of these financial statements.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Statement of Financial Position

As at 30 June 2015

These financial statements were approved by the Board of Directors on 14 September 2015.

Signed on behalf of the Board.

JPHS Scott DIW Reynolds

Director Director

14 September 2015

The notes on pages 42 to 58 are an integral part of these financial statements.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Statement of Changes in Redeemable Participating Preference Shareholders' Funds

For the year ended 30 June 2015

The notes on pages 42 to 58 are an integral part of these financial statements.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Statement of Cash Flows

For the year ended 30 June 2015

 The notes on pages 42 to 58 are an integral part of these financial statements.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Portfolio of Investments

As at 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Portfolio of Investments (continued)

As at 30 June 2015

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements

For the year ended 30 June 2015

1 Principal activity

The Company is a Guernsey registered closed-ended protected cell company established with one cell known as the US Traded Life Interests Fund (the "Fund" or "Cell"). The redeemable preference shares (the "Shares") in the Company have been admitted to the Official List of the UK Listing Authority with a premium listing and to trading on the London Stock Exchange's main market for listed securities. The Company's objective in respect of the Fund is to provide investors with an attractive capital return through holding to maturity (or until the end of the life of the Fund), a diversified portfolio of US Traded Life Interests ("TLIs"), notwithstanding the Company may make sales of selected policies from time to time.

2 Principal Accounting Policies

(a) Basis of preparation

Statement of compliance

The financial statements have been prepared in accordance with International Financial Reporting Standards (IFRSs) issued by the International Accounting Standards Board (IASB) and with the Statement of Recommended Practice 'Financial Statements of Investment Trust Companies and Venture Capital Trusts' (SORP) issued in January 2009 by the Association of Investment Companies.

Basis of measurement

The financial statements have been prepared under the historical cost convention as modified by the revaluation of investments, as detailed below under note 2(b).

The financial statements have been prepared on a total company basis and not on a cell-by-cell basis as there is currently only one cell. The only non-cellular assets and liabilities are in respect of the two management shares of no par value issued at £1 each fully paid represented by cash at bank. As they are immaterial they have been excluded from the financial statements.

Functional and Presentational Currency

The financial information shown in the financial statements is shown in sterling, being the Company's functional and presentational currency.

Critical accounting judgements and key sources of estimation uncertainty

The preparation of Financial Statements in conformity with IFRSs requires management to make judgements, estimates and assumptions that affect the application of policies and the reported amounts of assets and liabilities, income and expenses. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making judgements about the carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates. The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the year in which the estimate is revised if the revision affects only that year, or in the year of the revision and future years if the revision affects both current and future years. Such judgements and key sources of estimation uncertainty include the valuation of investments and the going concern assumption, which are discussed in note 2(b) and 2(c) respectively.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements (continued)

For the year ended 30 June 2015

2 Principal Accounting Policies (continued)

(a) Basis of preparation (continued)

Adoption of new and revised standards

In the current year, no new standards have been adopted by the Company.

At the date of authorisation of these financial statements, the following standards and interpretations which have not been applied in these financial statements were in issue but not yet effective.

The Directors do not expect that the adoption of the standards listed above will have a material impact on the financial statements of the Company in future periods.

 (b) Investments

US Traded Life Interest Investments

The Company primarily invests in US Traded Life Interests ("TLIs") which it intends to hold to maturity or until the end of the life of the Fund. The Company has only invested in Whole of Life and Universal Life policies. All TLI investments are classified as fair value through profit and loss on initial recognition.

Recognition and basis of measurement

The ongoing payment of premiums on TLIs are recognised on an accrual basis and are initially held at cost, being the consideration given.

Valuation

The TLIs are valued monthly at the Directors' discretion. The methodology adopted by the Directors intends to reflect the fair value of the policies. This methodology uses a discounted cash flow method.

The value of a TLI policy is the present value of its net expected future cash flows. The calculation uses the following data and assumptions provided by third party LE underwriters, the Investment Manager (or the Directors, where stated):

· Death benefit payable under the policy;

· Mortality using the 2008 Valuation Basic Table (Ultimate) and the most recent life expectancy for each policy;

· Premiums payable under the policy; and

· An estimate of a market based discount rate derived by the Directors.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements (continued)

For the year ended 30 June 2015

2 Principal Accounting Policies (continued)

(b) Investments

The Company does not obtain LE assessments for every policy in the Company's portfolio. This applies specifically to two sub-sections of the portfolio: those with face values of under US$500,000, where the cost of regular review is deemed uneconomic, and those where it has not been possible to obtain updated medical records. Following discussions with its investment advisers, SL Investment Management, the Board decided to change the basis of the valuation for these two groups of policies to Valuation Basic Table (VBT), the standard population mortality table in the US. This adjustment was made in the 31 May 2014 valuation.

There is inherent uncertainty within the valuation such that the valuation, due to the large range of possible outcomes in particular the variations in LE, may be materially different from either the value on maturity or the realisable sale value of these investments.

The significant unobservable inputs used in the valuation of the Company's assets, Life Settlement policies, are the Life Expectancy (LE) and the discount rate. See note 20 on page 55.

The LE for each insured has been sourced from the major recognised providers of LE assessments that are used in the Life Settlement market or, where these are not available, standard US population mortality tables have been used to derive the LE. The average LE for each insured as at 30 June 2015 is 4.5 years.

The Company has adopted a discount rate of 12% for each policy.

The valuation basis of the portfolio is specified by the Board and the Investment Manager computes the portfolio valuation monthly. Analysis is provided to the Board, on a monthly basis, of the change in value of the portfolio over this period.

The Board receives regular updates from the Investment Manager on market activity and has periodically submitted policies to market, to compare the individual computed policy valuations to indicative market values.

The impacts on the portfolio of varying the LE and varying the discount rate are as indicated in the sensitivity matrix included in the Chairman's statement.

Typically, an increase in the LE will reduce the value of a policy and conversely a reduction in the LE will increase the value of a policy.

Typically, an increase in the discount rate will reduce the value of a policy and conversely a reduction in the discount rate will increase the value of a policy.

De-recognition

The Company de-recognises a financial asset when the contractual rights to cash flows from the financial asset expire. A financial liability is de-recognised when the obligation specified in the contract is discharged, cancelled or expired. TLI investments are de-recognised on the date of death of the insured or on the trade date if a policy is sold.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements (continued)

For the year ended 30 June 2015

2 Principal Accounting Policies (continued)

(c) Going concern

The Board considered carefully the issue of 'going concern', specifically in relation to the availability of funding. On 31 March 2014, the Company signed a two year revolving credit facility agreement of up to US$10 million with AIB Group (UK) PLC ("AIB"), expiring on 31March 2016. In May 2015 it was announced that AIB had agreed to extend the facility for a further period of two years on improved terms. Shortly after the year end documentation was put in place extending the life of the facility to 31 March 2018.

The extension of the facility enables the Company to cover cash flow requirements, with no policy maturities, until January 2017. The Board acknowledges that in the event of a continued drought in maturities there may be a requirement to enter a forced sale of policies in an illiquid market, the Board is confident however that the sales required to cover outstanding borrowings could be completed. To the extent that the prices achieved did not match those in the valuation, the net asset value of the Company could be adversely affected, but the Company would remain a going concern.

Total drawn borrowings under the revolving credit facility with AIB were nil as at 30 June 2015 and 30 June 2014. Since there was a nil balance drawn down for both years the asset cover was not applicable.

A continuation vote will be put to the Shareholders at the 2015 Annual General Meeting. While the Directors cannot be certain what the result of this vote will be, the financial statements are prepared on a going concern basis supported by the Directors' current assessment of the Company's ability to continue in existence for the foreseeable future and shareholder interest in the continuation of the Company. Based on the above, the Directors have reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future, and they continue to adopt the going concern basis in preparing the financial statements.

(d) Interest income

Bank deposit interest is accounted for on an accruals basis.

(e) Expenses

Expenses are accounted for on an accruals basis and all amounts have been allocated to the Statement of Comprehensive Income - revenue account.

(f) Foreign exchange

Foreign currency monetary assets and liabilities are translated into sterling at the rate of exchange ruling at the reporting date. Transactions in foreign currencies are translated into sterling at the rate ruling at the date of the transaction. Realised and unrealised foreign exchange gains and losses are recognised in the Statement of Comprehensive Income and in the capital reserve - realised, and capital reserve - unrealised, respectively.

(g) Bank borrowings

Interest bearing bank loans and overdrafts are recorded when the proceeds are received. Interest payments are recognised in the Statement of Comprehensive Income in the period in which they are incurred.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements (continued)

For the year ended 30 June 2015

3 Segmental Reporting

The Board has considered the requirements of IFRS 8 'Operating Segments'. The Board has determined that the Company is organised in one main operating segment, being investment in a portfolio of TLIs. The Board, as a whole, has been determined as constituting the chief operating decision maker of the Company.

The Board has overall responsibility for the assets of the Company in accordance with the investment objective and policy, and subject to advice received from the Investment Manager.

Whilst the Investment Manager may make the investment decisions on a day-to-day basis, any changes to the investment strategy or major allocation decisions have to be approved by the Board, even though they may be proposed by the Investment Manager. The Board therefore retains full responsibility as to the investment strategy or major allocation decisions. The Investment Manager is required to act under the terms of the prospectus which cannot be radically changed without the approval of the Board and Shareholders.

The key measure of performance used by the Board to assess the Company's performance and to allocate resources is the total return of the Company's net asset value, as calculated under IFRS, and therefore no reconciliation is required between the measure of profit or loss used by the Board and that contained in the financial statements.

4 Interest and similar income

5 Investment management and management fees

SL Investment Management Limited, the Investment Manager, was appointed under an agreement with the Company and other parties dated 16 March 2004, as amended and restated on 20 July 2004. The agreement may be terminated by either party giving not less than 12 months notice or such shorter notice as the parties may agree to accept.

From 1 April 2012 the fee payable to the Investment Manager is 0.4% per annum of the Company's Gross Assets. Additional fees may be paid for additional ad hoc services performed outside of the Investment Management Agreement.

Allianz Global Investors GmbH, UK Branch, the Manager, was appointed under an agreement with the Company dated 16 March 2004 to manage the fixed interest and near cash assets of the Company in accordance with the investment policy and to implement the currency hedging facility from time to time approved by the Directors. The agreement may be terminated by either party giving not less than 12 months notice or such shorter notice as the parties may agree to accept.

With effect from 1 July 2013 the fee payable to the Manager is 0.3% per annum of the Company's Gross Assets. These fees are shown in the Statement of Comprehensive Income on page 36.

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Notes to the Financial Statements (continued)

For the year ended 30 June 2015

5 Investment management and management fees (continued)

The fixed fee payable for the provision of Administration and Secretarial Services is £30,000 per annum.

With effect from 1 September 2009 the fixed fee payable under the Administration Agreement between the Company and Kleinwort Benson (Channel Islands) Fund Services Limited (formerly Kleinwort Benson (Guernsey) Fund Services Limited) is £50,000 per annum.

6 Other expenses