Half Yearly Report

ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED

Half-Yearly Announcement of Results

For the period from 1 July 2013 to 31 December 2013

At a meeting of the Board of Directors held on 27 February 2014, the unaudited half yearly accounts for the Company for the period from 1 July 2013 to 31 December 2013 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 2013 to 31 December 2013, but is derived from those accounts. Printed accounts for the period from 1 July 2013 to 31 December 2013 will be delivered to Shareholders during March 2014.

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 2014. 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 2013 to 31 December 2013.

Peter Ingram

Company Secretary

Telephone number: 020 7065 1467

199 Bishopsgate

London EC2M 3TY

28 February 2014

INVESTOR INFORMATION

For the period from 1 July 2013 to 31 December 2013

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 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.

The interim financial information for the period from 1 July 2013 to 31 December 2013 has not been audited or reviewed in accordance with International Standard on Review Engagement 2410 issued by the Auditing Practices Board. The financial information for the year ended 30 June 2012 is derived from the financial statements delivered to the UK Listing Authority and do not constitute statutory accounts within the meaning of section 243 of The Companies (Guernsey) Law, 2008. The Auditors reported on these accounts, 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").

INVESTOR INFORMATION (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

INVESTOR INFORMATION (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

Directors

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

Charles Tracy, Chairman, (aged 68) has over 30 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 Management Limited and Chairman of the Board of the Guernsey Banking Deposit Compensation Scheme. He is a resident of Guernsey.

Ian Reynolds (aged 70)is a former Chief Executive of Commercial Union Life Assurance Company. He is a director of The Equitable Life Assurance Society, a former director of Liverpool Victoria Friendly Society and 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 61) has over 35 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 20 years and was formerly a director of Economic Lifestyle Property Investment Company Limited, a fund until recently listed on the Channel Islands Stock Exchange. He is UK resident.

John Scott (aged 61)is currently a director of several UK investment trusts and is Chairman of Scottish Mortgage Investment Trust PLC and of Alpha Insurance Analysts Ltd. 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 Europe 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 £1.16 billion of such assets under management in a range of investment companies and investment trusts as at 31 December 2013. The Manager is responsible for managing the cash and fixed interest holdings of the Fund.

RESPONSIBILITY STATEMENT

For the period from 1 July 2013 to 31 December 2013

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, gives 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 Report and Manager's Report) 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

DIW Reynolds JPHS Scott

Director Director

28 February 2014

The half-yearly financial reports have neither been audited nor reviewed by the Company's auditors. The financial information for the period ended 30 June 2013 has been extracted from the audited financial statements for that period.

Dividends

The Directors do not propose a dividend for the period from 1 July 2013 to 31 December 2013.

CHAIRMAN'S STATEMENT

For the period from 1 July 2013 to 31 December 2013

Summary

The six months since 1 July 2013 have seen a very satisfactory rate of policy maturities, resulting in a positive cash flow, and no borrowings as at 31 December 2013. Currently, once proceeds are received from three policy maturities identified to date in 2014, the Company will have enough cash to pay all its outgoings until July 2014, even without further maturities. Policy maturities identified since 30 June already exceed $14 million.

While the possibility of returning funds to shareholders depends principally on a continuing flow of maturities, the Company is now moving to a more flexible policy which will allow such a distribution, and preliminary discussions have begun on the most appropriate mechanism to achieve this. Approval by shareholders at a General Meeting is likely to be required, and the Board's policy will also be subject to any constraints imposed by banking arrangements and the ongoing requirement to maintain an adequate working capital cushion to meet operational costs, principally the payment of premiums on policies.

Agreement has been reached in principle for a US$10 million revolving credit facility committed until 31 March 2016 with the Company's bankers, Allied Irish Banks ("AIB"), following the expiry of the current facility on 31 March 2014.

As at 31 December 2013, the Net Asset Value ("NAV") was 45.9 pence per share (adjusted from the initially published figure of 45.1 pence per share to reflect two policy maturities which occurred before the year end but for which death certificates were received only after publication). This compares with the NAV as at 30 June 2013 of 48.5 pence per share. The benefit of maturities in the period was offset by the strength of sterling, without which the NAV would have improved by 3.4 pence per share.

Portfolio developments

A summary of portfolio maturities since inception is given in the following table:

The realised gains on maturing policies in the last six months amounted to approximately $5.0 million in the period, or 4.4 pence per share (compared to $2.3 million, or 2.0 pence per share, in the preceding 12 months).

CHAIRMAN'S STATEMENT

For the period from 1 July 2013 to 31 December 2013

As at 31 December 2013 there were a total of 95 policies in the portfolio, representing 83 lives, with a face value of US$150.1 million and a valuation of US$52.8 million. There have been no policy acquisitions since completion of the original policy purchase programme, but premiums continued to be payable on existing holdings, totalling US$4.1 million during the half year.

Since 31 December 2013, three policy maturities have been identified relating to two lives. The total face value of these three policies is US$4.25 million. Once recognised in the NAV, these three maturities will result in an increase in NAV of approximately 2.7 pence per share.

The following paragraphs cover the other principal issues facing the Company, including the valuation of policies.

Valuation

I reported on a significant change of valuation methodology in my last report. There has been no subsequent change in methodology, with life expectancies ("LEs") now being obtained from three, compared to two, independent assessors.

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

There has been no material change in the mortality tables since my last report. The Company has periodically been obtaining updated LE information on a selection of policies in the portfolio. LE updates were obtained on 24 lives (27 policies) representing 41% of the portfolio by value, during the half-year, so that 51% of the portfolio is now covered by an LE obtained since 1 April 2013. The programme for updating LEs continues as the Board has instructed LE updates for a further 12 lives (17 policies), representing 14% of the portfolio by face value. It is expected that the majority of these new LEs will be received, and therefore incorporated into the valuation, by the end of March 2014, so that 65% of the portfolio will be covered by LE assessments obtained since 1 April 2013.

The valuation model currently uses an IRR of 12%, intended to reflect market pricing in an admittedly thin market. Given that interest rates are low, and are likely to remain stable, this implies a significant risk premium above current interest rates. Historical sales of policies by the Company have also given support to the use of a 12% IRR, but it must be cautioned that information on market trades is sparse. The Board thus continues to believe that the 12% IRR assumption remains appropriate but, as before, is providing information on the effect of differing IRRs and LEs in the table below.

- The first line of NAVs in the table uses the 'Latest LE' assumption, that is to say either an LE based on a recently updated assessment (obtained on or after 1 April 2013) or, for the remaining policies an adjusted LE based on the most recent LE obtained, increased by 12%. The average LE is shown for reference (4.9 years). NAV is then

CHAIRMAN'S STATEMENT

For the period from 1 July 2013 to 31 December 2013

shown at four 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 LEs are simply based on the current table of life expectancies for the general population, the 2008 Valuation Basic Table i.e. ignoring medical assessments. This shows that portfolio LEs are now very much in line with the general population.

Sensitivity Matrix

Net Asset Value in pence per share on various assumptions as at 31 December 2013

Policies and extension options

In earlier reports I have referred to the fact that some policies lapse after the final premium is paid (typically at age 100), but that for a large proportion of policies in the portfolio benefits continued to be payable. I refer to these latter policies as policies with an extension option.

As it is now some time since I commented on this aspect of the portfolio, I thought that this might be an appropriate opportunity to provide some more detail as, with the passage of time, the probability of some policies expiring increases.

For the 47 policies without an extension option, the average age of the insured is currently 90.3 years, while the policy expiry dates are at an average age of 100.3 years, giving an average time to expiry of 10.0 years. According to the latest LE data we have on record, the

CHAIRMAN'S STATEMENT

For the period from 1 July 2013 to 31 December 2013

average LE for these insureds is 4.9 years, so insureds would on average have to live for over twice as long as expected for these policies to expire. Within this range of policies, of course, there are some which are more likely to expire than others. Five policies, for example, have an interval of less than three years between their expected maturity and the expiry date. It should be noted however that two of these policies relate to one mortality identified since 31 December 2013, and will therefore exit the portfolio in early 2014. Only one life insured in this category is aged over 94 (current policy value US$0.7 million, face value US$2 million).

Excluding the pending maturities referenced above, 16 policies have a calculated actuarial possibility of expiring of over 10%. Only four policies have a probability of expiring of over 20%.

All of this information is factored into the valuation for each policy and was incorporated into the purchase price calculations. In addition, such policies tend to have lower premiums. In actuarial terms, they simply have a different risk profile to the policies with extension options. All policies carry a risk; in the case of those with extension options there is a risk that the insured will live beyond his expected LE, resulting in premium payments for a longer period and a delay in the receipt of maturity proceeds.

Borrowings and cash flow

One consequence of the positive cash flow from policy maturities is that during the six month period to 31 December 2013 the Company's total borrowings fell from US$5,939,000 to a nil balance; with maturities since the year-end the Company now has a net positive cash balance and sufficient funds to pay outgoings until July 2014. It remains important for the Company to have access to credit facilities, given the unpredictable nature of its short-term cash flows, and agreement in principle has been reached with AIB for a new loan facility beyond the expiry of the current facility on 31 March 2014. This will take the form of a two year revolving credit facility rather than a reducing loan, and will give the Company greater flexibility in its cash flow planning.

Currency

From 30 March 2012, the date the Company settled its forward currency contracts, the Company has operated on an unhedged basis.

At 31 December 2013, the Company's net US dollar exposure amounted to US$55,100,000, being the value of policies, US$52,800,000, plus certain US$ balances totalling US$2,300,000.

The strength of sterling during the six months has had a material adverse effect on the Net Asset Value per Share. On 30 June 2013 the £/US$ exchange rate was 1.5170, but by 31 December 2013 the rate had moved to 1.6562, a change of 9.2%.

Related Party Transactions

There have been no changes to the related party arrangements or transactions as reported in the statutory Annual Financial Report for the year ended 30 June 2013.

CHAIRMAN'S STATEMENT (continued)

For the period from 1 July 2013 to 31 December 2013

Statement of Principal Risks and Uncertainties

The Company's assets consist mainly of US Traded Life Interests and its principal risks are market and longevity risk, currency risk, interest rate risk and credit risk. These risks, and the

way they are managed, are described in more detail within the Directors' Report in the Company's Annual Financial Report for the year ended 30 June 2013. The Company's principal risks and uncertainties have not changed since the date of that report. The credit

rating of the underlying insurance companies issuing the TLI policies in the portfolio remains good with 94.4% rated A or better by AM Best.

Audit Tender

Deloitte LLP has acted as the Company's auditors since launch in 2004. In line with current best practice the Audit Committee has now agreed to put the audit out to tender. Contact has been made with a number of international auditing firms, including the present incumbents, with a view to putting forward proposals to act as the Company's auditors for the financial

year ending 30 June 2015. Shareholders will be advised of the outcome of these discussions in due course.

Outlook

There has been a significant improvement in the Company's position during the course of the last six months, with maturities in the period exceeding those for the whole of last year. Maturities will always be unpredictable, especially given the predominance of larger policies in the portfolio, but the Board is optimistic that what we have experienced over the past year lays the ground for returning funds to shareholders in due course, which has always been the Company's intention.

The Company holds a well-diversified portfolio of 83 lives (95 policies) with an average life insured age of 90 policies. With $150 million of death benefits, compared with a carrying value of $53 million, combined with a strong liquidity position, the Company is well placed to hold its portfolio and realise gains over the coming years as maturities inevitably occur.

CPG Tracy

Chairman

27 February 2014

INVESTMENT MANAGER'S REVIEW

For the period from 1 July 2013 to 31 December 2013

Investment Portfolio Review

During the six month period from 1 July 2013 to 31 December 2013 there were seven policy maturities with a total death benefit of $9.8m. The seven maturities related to seven individual lives, three males and four females. As of 31 December 2013, 95 policies remained within the portfolio with exposure to 83 individual lives.

Cumulatively, as of 31 December 2013 there have been 52 policy maturities across 44 lives since inception. Death benefits from all maturities total $83.5m, realising a $38.0m gain.

Since 31 December 2013, a further three maturities, relating to two lives, have been identified. The total death benefit for these three policies is $4.25m.

Portfolio Summary

Averages weighted by Death Benefits

Premium Payments

The expected cost of premiums for the six month period ending 30 June 2014 is $4.4m. In the following 12-month accounting period ending 30 June 2015, scheduled premium commitments are $9.3m, assuming no maturities during this time. SL Investment Management continues the on-going review of all policy statements to identify any scope for further optimisation of the premium payment schedules.

Life Expectancy Estimates

There have been no significant adjustments to estimated life expectancies by any of the major LE assessment companies during the period.

Following the LE update programme undertaken during 2013, at the end of the period 51% of the portfolio by death benefit is valued using LE assessments dated after 1 April 2013. The Board has initiated a further programme of LE updates for Q1 2014, representing an additional 14% of the portfolio.

The following table shows the distribution by death benefit of the policies by LE band. Policies are grouped 6 month LE bands and the table shows the number of policies and the total death benefit in each group. The LEs are the valuation LEs used for the 31 December 2013 valuation.

INVESTMENT MANAGER'S REVIEW

For the period from 1 July 2013 to 31 December 2013

It is important to note that the LE is an average of the estimated length of 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 cashflow forecast.

Life Group (Parent Company) Distribution (Top 5)

Credit Quality Distribution by Holding Life Company

Following the acquisition of Aviva US by Athene Holding Ltd, A.M. Best has downgraded Aviva Life and Annuity Company and its wholly owned subsidiary, Aviva Life and Annuity Company of New York. Both companies were downgraded to B++ from A- during the period.

A.M. Best cited anticipated earnings volatility and sales disruption arising from the change of ownership as the main reason for the downgrade. A.M. Best also stated that an upward rating movement could be achieved if Athene can quickly demonstrate strong financial performance and minimal disruption from the Aviva USA integration.

This affects 6 policies in the portfolio with a total face value of $7.5m equating to 5.0% of the portfolio. Overall, 94.4% of the portfolio by face value has an A.M. Best rating of A or higher.

INVESTMENT MANAGER'S REVIEW

For the period from 1 July 2013 to 31 December 2013

Period Review

In terms of number of policies, this six month reporting period witnessed the same number of maturities as witnessed during the previous twelve months, which is in itself encouraging.

The average death benefit associated with each life insured in the portfolio is $1.8m, but there is considerable variation in the size of individual death benefit amounts. The table below illustrates the distribution of the 83 lives in the portfolio by death benefit as at 31 December 2013. Where a life insured represents more than one policy in the portfolio, the life is categorised according to the total death benefit relating to that life:

It can be seen that a significant proportion of the total death benefit is represented by a relatively small proportion of lives. 22 lives (27% of total lives) account for 60% of the total death benefit and 60% of the reported valuation.

Market Review

During the second half of 2013, life settlement activity remained high, with a noticeable return of capital to both the secondary and tertiary markets. The increased competition for policies has resulted in secondary market prices reaching levels not seen since 2008.

Consistent demand for policies is starting to provide brokers with sufficient confidence to invest in marketing to agents and direct to US seniors to increase policy supply. Previously,

INVESTMENT MANAGER'S REVIEW

For the period from 1 July 2013 to 31 December 2013

the prices that buyers were willing to pay were often below the cash surrender values offered by the insurance company so many brokers were unwilling to invest in marketing campaigns.

A number of tertiary portfolios have also reportedly transacted during the year, the largest relating to a portfolio representing $4.2bn in total death benefit. Information regarding the transaction prices of such deals is not available.

On a regulatory note, Massachusetts has become the 42nd US state to regulate the life settlement market with the signing of a Bill that allows policies to be settled two years after issue and also includes provisions on licensing and measures to thwart Stranger-Originated Life Insurance.

Texas has become the first US state to enact a bill that allows policy owners to enter into a life settlement contract and use the proceeds to pay for long term care through Medicaid. As well as encouraging seniors to sell their life settlement policies, the publicity surrounding the introduction of the bill, which came into effect on 1 January 2014, should serve to increase awareness of the life settlement option and therefore may increase secondary market supply. Similar legislation is under consideration in California, Maine, New Jersey and New York.

Outlook

There are strong indications that further investment capital will enter the market during 2014, the majority of which will be via institutional investors. Pension funds are expected to increase their exposure to life settlements during 2014 as they continue to seek investments that are not highly correlated to the equity or bond markets.

If the secondary market does remain competitive, large investors will increasingly turn to the tertiary market to attempt to source policies from existing portfolio holders. Although it is likely that the buy and hold investment strategy adopted by the Company will continue to be in the best interests of shareholders, market conditions will continue to be monitored closely to identify any favourable sales opportunities, should they arise.

SL Investment Management Limited

27 February 2014

MANAGER'S REVIEW

For the period from 1 July 2013 to 31 December 2013

Borrowings

Between 30 June 2013 and 31 December 2013 the balance on the Company's loan account with Allied Irish Banks fell from US$5,939,000 to a nil balance as a result of receipts from matured policies totalling US$10,315,000.

Since the period-end the Company has drawn down a further US$2 million and has repaid a further US$1.25 million from matured policies and, as a result, a further US$3,000,000 remains available under the current Facility Letter dated 30 October 2012. The total loan balance now stands at US$750,000, and the Company holds enough cash to fund its premium payments and expenses until at least July 2014.

The Company has agreed in principle a new Revolving Credit Facility of US$10 million with Allied Irish Banks for a further two years from 31 March 2014 to cover its funding requirements beyond that date.

Change of Manager

As previously reported in the Annual Financial Report, RCM (UK) Limited merged into Allianz Global Investors Europe GmbH ("AllianzGI Europe") on 31 October 2013, pursuant to the European Cross-Border Merger Directive 2005/56/EC.

As a result of the merger, AllianzGI Europe has become the Manager and Company Secretary of the Fund and has replaced RCM (UK) Limited as a party to the agreements that it had entered into in connection with services that it provided to the Fund.

AllianzGI Europe's duties as the Manager and Company Secretary are performed out of its UK Branch and the same personnel perform the relevant functions as they did previously.

US dollar exposure

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

Allianz Global Investors Europe GmbH, UK Branch

27 February 2014

CONDENSED STATEMENT OF COMPREHENSIVE INCOME

For the period from 1 July 2013 to 31 December 2013

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 22 to 33 are an integral part of these condensed financial statements.

CONDENSED STATEMENT OF FINANCIAL POSITION

As at 31 December 2013

These condensed financial statements were approved by the Board of Directors on 27 February 2014.

Signed on behalf of the Board.

DIW Reynolds JPHS Scott

Director Director

27 February 2014

The notes on pages 22 to 33 are an integral part of these condensed financial statements.

CONDENSED STATEMENT OF CHANGES IN SHAREHOLDERS' FUNDS

For the period from 1 July 2013 to 31 December 2013

The notes on pages 22 to 33 are an integral part of these condensed financial statements.

CONDENSED STATEMENT OF CASH FLOWS

For the period from 1 July 2013 to 31 December 2013

The notes on pages 22 to 33 are an integral part of these condensed financial statements.

PORTFOLIO OF INVESTMENTS

As at 31 December 2013

*As at the date of this report

NOTES TO THE CONDENSED FINANCIAL STATEMENTS

For the period from 1 July 2013 to 31 December 2013

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 participating preference shares (the "Shares") in the Company are listed on the London Stock Exchange. 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").

2 Principal Accounting Policies

(a) Basis of preparation

Statement of compliance

The condensed financial information for the six months ended 31 December 2012 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 2013, 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 2013, 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 and derivatives, as detailed above.

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. The exchange rate used for these financial statements was 1.6255 (June 2012: 1.5685, December 2011:1.5543).

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.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS

For the period from 1 July 2013 to 31 December 2013

2 Principal Accounting Policies (continued)

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. Where such judgements are made they are discussed below.

(a) Basis of preparation (continued)

Adoption of new and revised standards

IFRS 13 - explains how to measure fair value and aims to enhance fair value disclosures. The guidance includes enhanced disclosure requirements that could result in additional disclosure for reporting entities. These requirements are similar to those in IFRS 7, 'Financial instruments: Disclosures', but apply to all assets and liabilities measured at fair value, not just financial ones. IFRS 13 was adopted for the first time for the period ended 30 September 2013 and will be applied prospectively, subject to certain transitional provisions. Additional disclosures have been brought into the interim financial statement in Note 16 of the interim financial statements.

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.

IFRS 9 "Financial Instruments"

IFRS 10 "Consolidated Financial Statements"

IFRS 11 "Joint Arrangements"

IFRS 12 "Disclosure of Interests in Other Entities"

IAS 1 (amended) "Presentation of items of other comprehensive income"

IAS12 (amended) "Deferred Tax: Recovery of Underlying Assets"

IAS 19 (amended) "Employee benefits"

IAS 24 (amended) "Related Party Disclosure"

IAS 27 (amended) "Separate Financial Statements (2011)"

IAS 28 "Investments in Associate and Joint Ventures (2011)"

IAS 32 (amended) "Classification of Rights Issue"

IFRIC 19 "Extinguishing Financial Liabilities with Equity Instruments"

IFRIC 14 (amended) "Prepayments of a Minimum Funding Requirement"

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.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS

For the period from 1 July 2013 to 31 December 2013

2 Principal Accounting Policies (continued)

(b) Valuation of 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, unless sales are required to meet cash flow demands. 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.

Recognition and basis of measurement

Purchases of investments are recognised on a trade date basis and are initially measured at cost, being the consideration given.

Valuation

As the market for TLIs is thin, and there is little published information on these investments, there are no reliable market prices. 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 the Investment Manager:

· Death benefit payable under the policy;

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

· Premiums due under the policy;

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

If the most recent life expectancy was obtained prior to 1 April 2013 then that life expectancy has been uplifted by an adjustment factor of 12%.

There is inherent uncertainty within this basis of valuation that this valuation will differ from the realisable value of these investments were the TLIs to be sold at the reporting date.

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 the policy is sold.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS

For the period from 1 July 2013 to 31 December 2013

2 Principal Accounting Policies (continued)

 (c) Going concern

The Board considered carefully the issue of 'going concern', specifically in relation to funding. Total borrowings under the agreement with AIB reduced to US$nil as at 31 December 2013 from circa US$5.9 million as at 30 June 2013.

Agreement in principle has been reached with AIB for a new revolving credit facility of US$10 million up to 31 March 2016 which should cover the Company's premium and other cost commitments for at least 12 months.

A continuation vote will be put to the Shareholders at the 2014 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 a reasonable expectation that the Company has adequate resources to continue in operational existence for thr foreseeable future, and they continue to adopt the going concern basis.

3 Interest and similar income

NOTES TO THE CONDENSED FINANCIAL STATEMENTS

For the period from 1 July 2013 to 31 December 2013

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 Net Asset Value.

Allianz Global Investors Europe GmbH, UK Branch (formerly RCM (UK) Limited), 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 this agreement.

From 1 April 2012 the fee payable to the Manager is 0.4% per annum of the Company's Net Asset Value. With effect from 1 September 2009 a separate Agreement was signed between the Company and the Manager for the provision of Administration and Secretarial Services at a fixed fee of £20,000 per annum. With effect from 1 July 2013 the fee payable to the Manager was reduced to 0.3% per annum of the Company's Gross Assets and the fixed fee for the provision of Administration and Secretarial Services was increased to £30,000 per annum.

With effect from 1 September 2009 the Administration Agreement between the Company and Kleinwort Benson (Channel Islands) Fund Services Limited (formerly Kleinwort Benson (Guernsey) Fund Services Limited) dated 16 March 2004 was amended to a fixed fee of £50,000 per annum.

5 Other expenses

* Sundry expenses include mailing services, tax exempt fees, stock exchange fees, bank charges and other sundry costs.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

** Directors' fees for the six months ended 31 December 2012 include one off additional payments of £5,000 per director to reflect all the extra work done during the year in relation to the share issue and related matters.

6 Taxation

The Company is exempt from Guernsey Income Tax under the Income Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and 1992 and is charged an annual exemption fee of £600 which is included 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 in these accounts, as the Company has significant unutilised tax losses which are not deemed to be recoverable. The Company was approved by HM Revenue & Customs as an investment trust in accordance with Section 1158 of the Corporation Tax Act 2010 for the period 1 July 2010 to 30 June 2011.

Under the new investment trust regime rules affecting accounting periods commencing on or after 1 January 2012 an initial application must be submitted to HM Revenue & Customs for entry into the regime and the Company must therefore demonstrate annually compliance with the regulations. 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 on-going requirements for approved companies in Chapter 3 of Part 2 Investment Trust (Approved Company) Tax Regulations 2011 (Statutory Instrument 2011/2999).

7 Return per share

Revenue deficit per Share is based on the net deficit attributable to the Shares of £438,716 (December 2012: deficit £678,042, June 2013: deficit £1,127,775) and on the average number of Shares in issue of 72,000,000 (December 2012: 49,739,130, June 2013: 60,778,082). Capital return per Share is based on the net capital deficit attributable to the Shares of £1,431,768 (December 2012: deficit £2,429,551, June 2012: deficit £6,179,778) and on the average number of Shares in issue of 72,000,000 (December: 2012 49,739,130, June 2013: 60,778,082).

8 Net Asset Value per Share

The diluted and undiluted net asset value per Share is based on net assets attributable to the Shares of £33,036,994 (December 2012: £39,107,438, June 2013: £34,907,478) and on the 72,000,000 Shares in issue at the period end (December 2012 and June 2013: 72,000,000).

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

9 Investments

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

10 Other receivables

11 Other payables

12 Borrowings

As at 31 December 2013, under the terms of an agreement with Allied Irish Banks dated 30 October 2012, the Company had an amortising term loan of US$nil (31 December 2012: US$238,906, 30 June 2013: US$nil) and had drawn down US$nil (31 December 2012: US$2,000,000: 30 June 2013: US$5,938,906) under a reducing credit facility, making a total balance of US$nil (£nil) (31 December 2012: US$2,238,906 (£1,377,364), 30 June 2013: US$5,938,906) (£3,915,675). Under the reducing credit facility a further US$5,000,000 (31 December 2012: US$13 million, 30 June 2013: US$9,000,000) remained available. Since the period end a further US$2,000,000 has been drawn down under the reducing credit facility.

The loan agreement provides funding for the Company until 31 March 2014, subject to the Company maintaining cover (i.e. asset value divided by borrowing) at above 2.5 times.

Agreement in principle has been reached with AIB for a new revolving credit facility of US$10 million up to 31 March 2016. Under this agreement the Company will be required to maintain cover at above 3 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.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

40,000,000 Shares were issued in the Fund at £1 per Share on 25 March 2004. A further 32,000,000 shares were issued at 32 pence per shre on 5 November 2012. The issue costs incurred of £493,268 were debited against the share premium account to leave net proceeds of the share issue of £9,746,732.

The holders of Shares attributable to the Fund will only be entitled to participate in the income, profits and assets attributable to that fund. On winding up the holders of Shares are only entitled to participate 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. Following a vote by shareholders in 2013 there will be an opportunity to vote on the continuation of the Fund at the Annual General Meeting in 2014 and annually thereafter.

14 Net assets attributable to shareholders

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)

For the period from 1 July 2013 to 31 December 2013

14 Net assets attributable to shareholders (continued)