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Portfolio Update as at 29 September 2023

Please see below issued by the Manager today with a Portfolio Update as at 29 September 2023:

Dear Shareholder

EEA Life Settlements Fund PCC Limited (the “Fund”)

Portfolio Update as at 29 September 2023

At the reporting date of 29 September 2023, the Fund held 33 life insurance policies with a total net death benefit of $104.0 million. The average policy size (net death benefit) was approximately US$3.15 million. The portfolio covered 19 illnesses, 21 lives and 18 insurance companies. Based upon weighted net death benefit, 94.58% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 92 years.

At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2023 of $33.1 million (but with a range of between $4.3 million and $65.0 million).In 2023, to the end of September 2023, there were 2 reported maturities with a total net death benefit of $20 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter. The range was between -2.35% to -3.48% depending on the Cell. The decrease can primarily be attributed to the ongoing shortfall in policy maturities coupled with a continued rise in discount rates.

The effects of currency movements on the non-USD-denominated Cells over the last quarter were on average around 3.45% (GBP), 2.79% (EUR) and 0.99% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 0.38% to 0.53%) increased over the quarter, with the EUR-denominated Cells (range -0.25% to -0.47%), and the SEK-denominated Cells (-1.89% to -2.44%) all decreasing over the quarter.

Further to its letter of 29 September, available at www.eeafmg.com/news, the Fund’s Board is currently working on a number of proposals designed to reduce operating costs for the Fund and Shareholders. Shareholders will be sent a circular in the coming weeks setting out full details of the proposals.

I will write to you again in around three months’ time with a further update on the Fund.

Yours faithfully

Martyn Roussel
EEA Fund Management (Guernsey) Limited

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