Half Yearly Report

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Half-Yearly Announcement of Results

For the period from 1 July 2015 to 31 December 2015

At a meeting of the Board of Directors held on 7 March 2016, the unaudited half yearly financial statements for the Company for the period from 1 July 2015 to 31 December 2015 were approved, details of which are attached.

The financial information set out in this announcement does not constitute the Company's statutory accounts for the period from 1 July 2015 to 31 December 2015, but is derived from those accounts. Printed accounts for the period from 1 July 2015 to 31 December 2015 will be delivered to Shareholders during March 2016.

The financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS). Whilst the financial information included in this announcement has been computed in accordance with IFRS, this announcement does not itself contain sufficient information to comply with IFRS. The Company will publish condensed financial statements that comply with IFRS in March 2016. This announcement has been prepared using accounting policies consistent with those set out in the Company's half yearly report and financial statements for the period from 1 July 2015 to 31 December 2015.

Tracey Lago

Company Secretary

Telephone number: 020 3246 7405

199 Bishopsgate

London EC2M 3TY

8 March 2016

Financial Highlights

For the period from 1 July 2015 to 31 December 2015

The half yearly financial report has neither been audited nor reviewed by the Company's auditor. The financial information for the period ended 30 June 2015 has been extracted from the audited financial statements for that period.

Dividends

The Directors did not declare a dividend during the period under review.

Chairman's Statement

For the period from 1 July 2015 to 31 December 2015

Introduction

In my annual statement to Shareholders, published in September 2015, I noted that there had been a 'maturity drought' between January and August 2015, but fortunately the large maturity experienced in August was followed by two further maturities before the end of September 2015, bringing in aggregate proceeds of US$10.0 million. This enabled the Company to repay its modest short-term borrowings, leaving a substantial cash balance. The Board considered at some length whether a further capital distribution was appropriate, but decided not to make any distribution in view of the irregular past flow of maturities. This decision has been shown to be the right one, as no further maturities were identified until February 2016 as reported on below.

The net asset value (NAV) per share at the end of the period was 49.0 pence, compared to 43.9 pence at 30 June 2015, representing an overall increase of 5.1 pence (11.6%) in NAV per share during the period reflecting the gains on the matured policies and the strength of the US$ relative to Sterling.

Portfolio developments

During the six month period 1 July 2015 to 31 December 2015, three policy maturities occurred, with a total face value of US$10.0 million. This compares with policy maturities with a face value of US$10.9 million in the 12 months to 30 June 2015, and 62 policy maturities between the Company's launch and 30 June 2015.

Fortunately, those policies which did mature in the period were larger ones and the maturity proceeds significantly exceeded the premiums and expenses for the six month period of US$4.1 million. Realised gains on the book value of maturing policies amounted to approximately US$6.3 million in the six month period, or 5.7 pence per share (compared to US$8.2 million, or 7.3 pence per share in the preceding 12 months).

As at 31 December 2015 there were a total of 82 policies (71 lives) in the portfolio, with a face value of US$121.6 million and a valuation of US$44.8 million. Premiums continue to be paid on policies in force, amounting to US$3.9 million during the six month period (preceding 12 months US$8.4 million).

Since the period end the Company has been notified of one policy maturity with a face value of US$4 million with the proceeds expected to be received within this financial year. The policy is not yet reflected in the accounts and is proceeding through the verification process. Assuming this maturity is verified it is expected that this will add approximately 1.4p to the NAV.

Cost of Insurance

Provisions within the terms of some policies held by the Company permit insurers to apply increases to the applicable premium rates. Historically, such variations have been rare but some insurers have recently applied increases as set out in the Investment Managers Review. So far the effect on valuations is insignificant but the Board will keep investors informed if this pattern changes.

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.

As noted in the Investment Manager's Review, the Company has adopted the new 2015 Valuation Basic Table (VBT); this has had only a small effect on valuations.

The portfolio is split into three parts: policies with routinely updated LEs, accounting for 79% 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 16% of the portfolio scheduled to be updated in Q1 2016. As explained in previous reports, the Board continues to apply a 12% discount rate.

Gearing and Cash Flow

As advised in my last statement in the Company's annual financial report it has been the Board's policy to reduce dependence on gearing. In the half-year period to 31 December 2015, and since the Company's year-end, the Company utilised US$2.0 million of the AIB revolving credit facility to help meet premium and expense commitments. The influx of maturity proceeds in the latter part of the period enabled the repayment of the outstanding borrowings and cash available as at 31 December 2015 should, assuming the receipt of the newly notified maturity as above but no further maturities, enable the Company to meet its commitments without the need for use of the credit facility until the end of 2016.

Credit and Foreign Currency Risk

There have been no changes to the credit rating of the insurance companies which issue the policies in the portfolio. At the period end 100% of the Company's policies by value were issued by companies with an AM Best rating of 'A-' or better (96.1% 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 six months 1 July 2015 to 31 December 2015 the US$ exchange rate moved from 1.5727 to 1.4739 at the period end. The relative strength of the US dollar during the period has boosted the NAV per share by 3.0 pence.

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 31 July 2013), or for the remaining policies an LE based on the 2015 Valuation Basic Table ("VBT"). 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 fourth line shows the outcome of assuming all LEs are based on the current table of life expectancies for the general population, the 2015 Valuation Basic Table ("VBT"), i.e. ignoring medical LE assessments.

Net Asset Value in pence per share as at 31 December 2015:

Outlook

The recent pattern of maturities has significantly improved the Company's cash position. With the average age of the insured lives over 92 the Board will be considering how best to utilise the available cash, given that the combination of cash and available bank facilities will now be sufficient to pay premiums and expenses for the next 24 months, even with no more maturities.

In deciding how to proceed, the Board will be looking to retain cash in order to reduce reliance on bank facilities, thus reducing costs, but will also bear mind the possibility of making further cash distributions or undertaking share buy-backs. Actual cash flow will be the key factor, and the Board must also allow for the irregular pattern of maturities in making use of cash flow forecasts.

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

Charles Tracy

Chairman

7 March 2016

INTERIM MANAGEMENT REPORT

For the period from 1 July 2015 to 31 December 2015

Material Events and Transactions

With the exception of the business detailed within the Chairman's Statement and the Investment Manager's Review, and the holding of the AGM on 4 November 2015 at which all resolutions were passed, including the resolution to continue the Company for a further year, there were no material events or transactions to report in accordance with Disclosure and Transparency Rule 4.2 in the period under review.

Principal risks and uncertainties for the next six months

The principal risks and uncertainties facing the Company over the next six months are broadly unchanged from those described in the Annual Financial Report for the year ended 30 June 2015. These are set out in the Strategic Report on pages 21 and 22 of that Report, together with commentary on the Board's approach to mitigating the risks and uncertainties. In addition to the principal risks, the Company faces the risks associated with the provision of services by third parties and general business risks including accounting, legal and regulatory matters. The Board perform a high-level review of the principal risks at every meeting to ensure the risk assessment is current and relevant adjusting mitigating factors and procedures as appropriate.

Related Party Transactions

There have been no changes to the related party transactions described in the Annual Report that could have a material effect on the financial position or performance of the Company. Amounts payable to the Manager and the Investment Manager in the six months ended 31 December 2015 are detailed in Note 4 of the notes to the unaudited condensed set of financial statements

Responsibility Statement

For the period from 1 July 2015 to 31 December 2015

We confirm to the best of our knowledge

a. the half yearly report and unaudited condensed financial statements which have been prepared in accordance with IAS 34, give a true and fair view of the assets, liabilities, financial position and profit and loss of the Company;

b. the interim management report (contained in the Chairman's Statement, Investment Manager's Review and Manager's Review) includes a fair review of the information required by Disclosure and Transparency Rule 4.2.7R (indication of important events during the first six months, and their impact on the financial statements, and a description of principal risks and uncertainties for the remaining six months of the year); and

c. the interim management report includes a fair review of the information required by Disclosure and Transparency Rule 4.2.8R (disclosure of related party transactions and changes therein).

By order of the Board

Ian Reynolds Tim Emmott

Director Director

7 March 2016

Manager's Review

For the period from 1 July 2015 to 31 December 2015

Borrowings and investments

The Company's two year revolving credit facility with AIB Group (UK) PLC entered into on 31 March 2014 was extended for an additional period of two years and will expire on 31 March 2018. As at 31 December 2015 drawings under the US$10.0 million facility were nil (30 June 2015: nil, 31 December 2014: nil). During the period under review, the Company borrowed and repaid US$2.0 million under the facility.

The terms of the facility provide flexibility for the Company to make capital distributions to shareholders, in the event of holding sufficient surplus cash. As a result, and following receipt of proceeds from maturities, the Company was able to make two capital distributions each of 2.0 pence per share to shareholders in the year to 30 June 2015. No capital distributions have been made in the period under review and no further capital distributions are proposed at this time.

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

7 March 2016

Investment Manager's Review

For the period from 1 July 2015 to 31 December 2015

Portfolio Overview

During the six month period from 1 July 2015 to 31 December 2015 there were 3 confirmed policy maturities with a total face amount of US$10.0m. The 3 maturities related to 3 individual lives, 2 of which were male and 1 female. As at 31 December 2015, 82 policies remained within the portfolio with exposure to 71 individual lives.

Cumulatively, as of 31 December 2015, there have been 65 policy maturities across 56 lives since inception. Proceeds received from all maturities total US$112.9m. Thirteen policies have been sold since inception of the Company, generating proceeds of US$11.2m. No policies were sold during the reporting period.

Full Portfolio Summary

Credit Quality Distribution by Holding Life Company

There were no AM Best rating changes during the period that affected the portfolio. As at the reporting date 96.1% of the Company's policies (by valuation) were issued by life companies with an AM Best rating of 'A' or better.

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 31 December 2015 valuation. The average LE is 4.4 years.

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, six months ago, there were no policies with a LE of less than one year; and yet maturities totalling US$10.0m of face value were realised during the period.

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 the expected cost of premiums for the six months to 30 June 2016 is US$4.1 million.

Cost of Insurance Increases

During the period up to 31 December 2015, a number of U.S. life insurance companies announced plans to increase the cost of insurance (COI) rates on specified classes of in force universal life policies, with most referencing the prolonged period of low interest rates as the reason for the move. Provisions within the contract of a universal life policy allow the insurance company to charge a monthly deduction amount up to a maximum level but in practice the insurance company will levy a materially lower amount in order to attract new business and compete with other insurers. Insurance companies disclose the rates they actually plan to charge through the provision of premium illustrations delivered to the policyholder or policy applicant. These illustrations form the basis of value determination for both the U.S. consumer considering buying the policy and a life settlement investor considering acquiring the policy from an existing policyholder.

Cost of Insurance Increases (continued)

Historically, instances of an insurance company increasing the cost of insurance on in force policies have been extremely rare. Consequently, the recent announcements have been cause for concern amongst U.S. policyholders and life settlement investors. In the U.S., insurance is regulated at the state level by a state insurance commission, many of which will be closely scrutinising the basis for the increases and the impact on policyholders. Affected policyholders, consumer advocacy groups and life settlement trade associations have already submitted complaints with multiple state insurance commissions. Furthermore, a number of lawsuits have been filed against some of the insurance companies. At this early stage it is difficult to predict what impact these ongoing responsive actions will have on those insurance companies that have already announced increases and those considering doing so.

As for the Company's policies, the portfolio comprises 82 policies issued by 26 different life insurance companies. Three of these life companies, representing 26 policies (27% of valuation), have announced increases to their cost of insurance rates. However the increases apply only to specific business lines and not all policy types are affected. In total, seven policies (5% by valuation) have been affected by the announced increases in cost of insurance. The average increase in future premiums for these 7 policies was 10%. The average valuation impact on these 7 policies due to the COI increases was a reduction of approximately 8% and this equated to a reduction in the portfolio valuation of $161,000 (0.4%).

Communications made by life insurance companies covering 24 policies (30% of valuation) in the portfolio indicate that they have no current plans to apply increases to premiums.

In summary, 50 policies in the portfolio (57% of valuation) have been issued by life companies that have either announced COI increases or have indicated that they have no current plans to apply COI increases. Seven of these 50 policies have been affected. That leaves 32 policies (43% of valuation) where the issuing life companies have so far been silent on the subject of COI increases.

To provide some sensitivity as to the potential impact of further premium increases on the portfolio valuation, the table below shows the December 2015 valuation and indicative valuation figures using different assumptions:

It is important to note that the impact of actual COI rate increases on an individual policy could be more or less severe than these average figures suggest.

One of the seven policies affected witnessed a particularly large COI increase, as the life company increased the COI rates to the maximum permitted under the terms of the policy contract. However, this policy also has a premium guarantee provision that enables a lower annual premium to be paid during the guarantee period; in this case 20 years from policy outset. The guaranteed premium is significantly lower than the new COI and the Company will therefore benefit from paying a much lower premium up until the insured reaches age 99, which is when the 20 year guarantee period expires.

Cost of Insurance Increases (continued)

However, after this date and assuming the insured is still living, the issuing life company has the right to recoup the historical differences between the guaranteed premium and the new COI rates. As a result, the premium technically payable after the guarantee period ends will actually be higher than the death benefit of the policy, such is the extent of the savings made during the guarantee period. This anomaly means that it is likely to be advantageous to lapse this policy at age 99, rather than continue paying an uneconomic premium. Accordingly, this policy is now valued assuming that it expires when the insured reaches age 99. As at the reporting date, the life insured on this policy is 91.8 years old. The cost of this valuation adjustment was $22,000 (0.1%).

There are no other policies in the portfolio with a guaranteed premium period which will result in a similar situation to this unusual case.

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 1 policy with a 'partial' extension - whereby the policy term is extended until death, but on a reduced death benefit after age 100.

33 policies in the portfolio have no expiry date.

A summary of the policies in the portfolio as at 31 December 2015 is as follows:

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

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 higher volume of maturities (US$10.0m) compared with the previous 6 months (US$0.4m). The average face value of the 3 policy maturities during the period was $3.3m, which is notably higher than the US$1.5m average face value for the portfolio as a whole.

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 71 lives in the portfolio by face value as at 31 December 2015.

A significant proportion of the total death benefit remains linked to a relatively small proportion of lives. 16 lives (23% of total lives) account for 55% of the death benefit total face value and 58% of the reported valuation.

Life Expectancy Updates

With life expectancy assumptions critical to the pricing and valuation of policies, LEs remain a key focus of the life settlement industry. None of the major LE underwriters made any significant adjustments to their life expectancy assessments during the period.

At the reporting date, 63% of total portfolio face value is valued with reference to LEs obtained from medical underwriters within the previous 24 months. No new LE assessments were received during the period. However the Company's rolling programme of LE updates continues, with new LEs representing $19.5m in face value (16% of the total portfolio) due to be received in Q1 2016. The remaining 21% of the portfolio is valued using LEs derived from the 2015 Valuation Basic Table (VBT), which is the new version of the population mortality table.

Following a long period of industry consultation and refinement, the VBT 2015 mortality table is now complete and has been adopted by the US Life Insurance industry, following the approval of the National Association of Insurance Commissioners (NAIC) executive. In general terms, the mortality rates are lower than those in the VBT 2008, resulting in longer life expectancies across the average population. However the one-way trend of lengthening LEs did not apply to older lives. For older ages such as the lives covered by the portfolio, the VBT 2015 (versus VBT 2008) resulted in slightly longer LEs for males and slightly shorter LEs for females, on average.

As a result, the impact of adopting the 2015 VBT did not have a significant impact on the Company's valuation. Because some of the largest policies in the portfolio are female, the overall effect of adopting the 2015 VBT was actually a 0.4% increase in the overall portfolio valuation..

Outlook

New investment capital continues to enter the life settlement market. This is being driven by investor demand for asset classes with low correlation to the traditional capital markets. This has always been one of the key attractions of life settlements, but is particularly pertinent given the current high volatility in global equity markets.

Sustained demand for life settlement policies in the secondary and tertiary markets is supporting market prices, which are expected to remain at current levels for the foreseeable future. Larger investors will 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 6 months.

The average life insured age for policies seen in the secondary market is approximately 82 years. Therefore with an average life insured age of 92 years, the Company holds a portfolio with materially different characteristics to the policies generally available in the market. The total death benefit of the policies held in the portfolio is $121.6m, versus a valuation of $44.8m.

SL Investment Management Limited

7 March 2016

Portfolio of Investments

As at 31 December 2015

Condensed Statement of Comprehensive Income

For the period from 1 July 2015 to 31 December 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 below form an integral part of these condensed financial statements.

Condensed Statement of Financial Position

As at 31 December 2015

These condensed financial statements were approved by the Board of Directors on 7 March 2016.

Signed on behalf of the Board.

Ian Reynolds Tim Emmott

Director Director

7 March 2016

The notes below form an integral part of these condensed financial statements.

Condensed Statement of Changes in Redeemable Participating Preference Shareholders' Funds

For the period from 1 July 2015 to 31 December 2015

The notes below form an integral part of these condensed financial statements.

Condensed Statement of Cash Flows

For the period from 1 July 2015 to 31 December 2015

The notes below form an integral part of these condensed financial statements.

Notes to the condensed financial statements

For the period from 1 July 2015 to 31 December 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 Main Market for Listed Securities of the Financial Conduct Authority with a premium listing and to trading on the London Stock Exchange. 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 condensed financial information for the six months ended 31 December 2015 has been prepared in accordance with IAS 34 'Interim Financial Reporting'. The condensed interim financial information should be read in conjunction with the annual financial statements for the year ended 30 June 2015, which have been prepared in accordance with International Financial Reporting Standards.

The accounting policies applied in the condensed financial statements are consistent with those of the annual financial statements for the year ended 30 June 2015, as described in those financial statements.

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 IFRS 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 on-going basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the revision affects both current and future periods. Such judgements and key sources of estimation uncertainty include the valuation of investments and the going concern assumption which are discussed in notes 2(b) and 2(c) respectively.

(a) Basis of preparation (continued)

Adoption of new and revised standards

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

 (b) Investments

US Traded Life Interest Investments

The Company primarily invests in US Traded Life Interests ("TLIs") which it aims 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 payments of premiums on TLIs are recognised on a paid 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 2015 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.

There is inherent uncertainty within the valuation such that the valuation 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.

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 Company has adopted a discount rate of 12% for each policy as explained in previous reports.

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.

(b) Investments (continued)

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 on pages 4 and 5.

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.

(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 subsequently, the facility term was extended by a further two years and will expire on 31 March 2018. Even on the assumption of no policy maturities, the facility will cover the Company's cash flow requirements until at least July 2017.

Total drawn borrowings under the new revolving credit facility agreement with AIB Group (UK) PLC at 31 December 2015 were nil (31 December 2014: US$1,000,000, 30 June 2015: nil).

The Board acknowledges that in the event of a drought in maturities being combined with no further funding beyond that which is currently available, the forced sale of policies in an illiquid market may be required. The Board is nevertheless confident 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.

A continuation vote will be put to the Shareholders at the 2016 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.

3 Interest and similar income

4 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 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, as disclosed in Note 5, are paid to the Investment Manager to obtain LE Updates periodically.

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. Either party giving not less than 12 months' notice may terminate the agreement.

From 1 July 2013 the fee payable to the Manager is 0.3% per annum of the Company's Gross Assets and a fixed fee of £30,000 per annum for the provision of Administration and Secretarial Services. These fees are shown in the Statement of Comprehensive Income on page 15 and under Other Expenses in the table in Note 5 respectively.

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

5 Other expenses

* Sundry expenses include mailing services, tax exempt fees, stock exchange fees and other

 sundry costs.

6 Taxation

The Company is exempt from Guernsey taxation on income derived outside Guernsey and bank interest earned in Guernsey under the Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989, for which it pays an annual fee of £1,200, which is disclosed in sundry expenses.

The Company adopted UK tax residency from 1 September 2009 onwards. Since that date the Company has been managed in such a way as to meet the conditions for approval as an investment trust under Section 1158 of the Corporation Tax Act 2010. As an investment trust, the Company is subject to corporation tax on its income, but no corporation tax is provided for in these accounts, as the Company has significant unutilised tax losses which are not deemed to be recoverable.

In December 2012 the Company received confirmation from HM Revenue & Customs as an approved investment trust for accounting periods commencing on or after 1 July 2012, subject to the Company continuing to meet the eligibility conditions at Section 1158 Corporation Tax Act 2010 and the ongoing requirements in Chapter 3 of Part 2 Investment Trust (Approved Company) Tax Regulations 2011 (Statutory Instrument 2011/2999).

In the opinion of the Directors, the Company has conducted its affairs in such a manner that it continues to meet these eligibility conditions.

7 Return per share

Revenue deficit per share is based on the net deficit attributable to the shares of £367,245 (December 2014: deficit £371,749, June 2015: deficit £717,625) and on the average number of shares in issue of 72,000,000 (December 2014 and June 2015: 72,000,000). Capital return per share is based on the net capital increase attributable to the shares of £4,044,891 (December 2014: surplus £3,918,611, June 2015: surplus £3,030,997) and on the average number of shares in issue of 72,000,000 (December 2014 and June 2015: 72,000,000).

8 Net Asset Value per share

The net asset value per share is based on net assets attributable to the shares of £35,297,279 (December 2014: £34,293,122, June 2015 £31,619,631) and on the 72,000,000 shares in issue at the period end (December 2014 and June 2015: 72,000,000).

9 Investments

10 Other receivables and maturity proceeds receivable

11 Other payables

12 Loan facility

On 31 March 2014 the Company signed a new revolving credit facility agreement with AIB Group (UK) PLC ("the Lender") for up to US$10 million, the terms of which were amended in August 2015 to extend the facility expiry to 31 March 2018. This is designed to allow the Company to continue fulfilling its financial obligations, including the payment of premiums until that date. As at 31 December 2015 the Company's drawings under this new agreement were US$nil (£nil) (31 December 2014: US$1,000,000 (£641,334); 30 June 2015: US$nil (£nil).

Interest on the revolving credit facility agreement is payable at LIBOR plus 3.00% (31 December 2014 and 30 June 2015: 3.25%). Under the revolving credit facility agreement the primary covenant obliges the Company to maintain cover (i.e. asset value, subject to certain adjustments, divided by borrowings) above 3 times. Since there was a nil balance drawn down as at 31 December 2015 and 30 June 2015 the asset cover was not applicable, however at 31 December 2014 the asset cover was 46.7 times.

13 Share capital and share premium

The share capital of the Company is two Management shares of no par value and an unlimited number of Redeemable Participating Preference shares (the "shares") of no par value.

The two Management shares were issued at £1 each fully paid and are beneficially owned by the Manager. The Management shares do not carry any rights to dividends and holders of Management shares are only entitled to participate in the non-cellular assets of the Company on a winding-up. The Management shares shall only have the right to vote when there are no Participating shares of any cell in issue.

40,000,000 Shares were issued in the Fund at £1 per share on 25 March 2004. The issue costs incurred of £831,764 were debited against the share premium account to leave net proceeds of the share issue of £39,168,236.

Following a Placing and Open Offer a further 32,000,000 shares were issued on 5 November 2012. The issue costs incurred of £493,268 were debited against the share premium account to leave proceeds of the share issue of £9,746,732.

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.

The holders of shares attributable to the Fund will be entitled to participate only in the income, profits and assets attributable to the Fund. On winding up, the holders of shares are entitled to participate only in the assets of the Fund and have no entitlement to participate in the distribution of any assets attributable to any other cell. Holders of shares are entitled to attend and vote at general meetings of the Company. At an Extraordinary General Meeting held on 28 August 2009 the Articles of Incorporation were amended so that the US Traded Life Interests Fund now has an unlimited life, subject to regular continuation votes from 2012 onward. Shareholders are offered the opportunity to vote on the continuation of the Fund at each Annual General Meeting,

On two occasions in the year to 30 June 2015, 72,000,000 B shares were issued 1 for 1 pro rata to Shareholders and redeemed for the amount paid up. The cash proceeds on each occasion represented a capital distribution of 2p per share, and were paid to Shareholders, amounting to £2,880,000 in aggregate. No further B shares have been issued in the period under review.

14 Net assets attributable to shareholders

15 Related party transactions

Fees earned by the Directors of the Company during the period were £39,124 of which £8,600 was outstanding at the period end (December 2014: £38,918 of which £8,979 was outstanding at the period end; June 2015: £76,188 of which £17,500 was outstanding at the year end). Allowable expenses claimed by the Directors in the course of their duties amounted to £796 for the period ended 31 December 2015 (December 2014: £332, June 2015: £4,549). Fees earned by the Investment Manager, Manager and Administrator are discussed in note 4.

16 Financial risk management objectives and policies

The main risks to which the Company is exposed are market and longevity risk, currency risk, interest rate risk, liquidity risk and credit risk.

Fair value measurements

The Company classifies financial instruments using the following fair value hierarchy that reflects the significance of the inputs used in making the measurements. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under IFRS 7 are as follows:

· Level 1 - Quoted prices (unadjusted) in active markets for identical assets or liabilities;

· Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly (that is, as prices) or indirectly (that is, derived from prices); or

· Level 3 - Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes 'observable' requires significant judgement by the Company. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

The following table presents the Company's financial assets and liabilities by level within the valuation hierarchy as of 31 December 2015.

The investments categorised as level 3 are the TLI policies held in the Company's portfolio. The valuation of the TLI policies is not based on observable market data, but on the valuation model detailed in note 2(b) used by the Investment Manager to determine the fair value of the policies held, and therefore these investments are categorised as level 3 of the IFRS fair value hierarchy.

Market Price risk

Price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate due to a change in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting similar financial instruments traded in the market. The Company is exposed to market price risk arising from its investments in securities.

The Investment Manager moderates this risk through a careful selection of securities and other financial instruments within specified limits. The Company's overall market positions are monitored on a daily basis by the Company's Investment Manager and are reviewed on a quarterly basis by the Board of Directors.

All security investments present a risk of loss of capital, the maximum risk resulting from instruments is determined by the fair value of the financial instrument. The following represents the Company's market pricing exposure at the end of the period:

Investments at fair value through profit and loss

The following table details the Company's sensitivity to a 10% increase in the market prices while all other variables are held constant. 10% is the sensitivity rate used when reporting price risk internally to management and represents management's assessment of the possible change in market prices. The analysis is performed on the same basis for the prior year.

Increase in Net assets attributable to holders of Redeemable shares:

A 10% decrease in the market prices at the year end would have had the equal but opposite effect, on the basis that all other variables remain the same.

Investor Information

For the period from 1 July 2015 to 31 December 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 Protected Cell Companies Ordinance, 1997 and The Companies (Guernsey) Law, 2008. 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 has been authorised by the Guernsey Financial Services Commission as an authorised closed-ended investment scheme 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 resident in the UK for tax purposes

The Company has applied for and been accepted as an approved investment trust under sections 1158 and 1159 of the Corporation Taxes Act 2010 and Part 2 Chapter 1 of Statutory Instrument 2011/2999. This approval relates to accounting periods commencing on or after 1 December 2012. The Directors are of the opinion, having taken advice, that the Company has continued to conduct its affairs so as to be able to retain such approval.

As an investment trust pursuant to section 1158 of the Corporation Taxes Act 2010, the Financial Conduct Authority (FCA) rules in relation to non-mainstream pooled investment products do not apply to the Company. 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.

The Company's redeemable participating preference shares (the "shares") were admitted to the Main Market for Listed Securities Official List of the Financial Conduct Authority and commenced trading on the London Stock Exchange on 25 March 2004.

The interim financial information for the period from 1 July 2015 to 31 December 2015 has not been audited or reviewed in accordance with International Standard on Review Engagements 2410 issued by the Auditing Practices Board. The financial information for the year ended 30 June 2015 is included in this half-year financial report is derived from the financial statements contained in the annual financial report delivered to the Financial Conduct Authority and does not constitute statutory accounts within the meaning of section 243 of The Companies (Guernsey) Law, 2008. The Auditor reported on the financial statements for the year ended 30 June 2015; their report was unqualified, although it included an emphasis of matter paragraph in connection with the valuation of traded life interests, but did not contain a statement under section 263 (2) of The Companies (Guernsey) Law, 2008.

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").

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.

Directors

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

Charles Tracy, Chairman, (aged 70) 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 63) 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 formed in 1990 and is an investment adviser 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 £1.2 billion of such assets under management in a range of investment trusts as at 31 December 2015. The Manager is responsible for managing the cash and fixed interest holdings of the Company and Fund.