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Portfolio Update as at 30 June 2021

Please see below issued by the Manager today with a Portfolio Update as at 30 June 2021:

Dear Shareholder,

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

Portfolio Update as at 30 June 2021

At the reporting date of 30 June 2021, the Fund held 56 life insurance policies with a total net death benefit of $181 million. The average policy size (net death benefit) was approximately US$3.4 million. The portfolio covered 25 illnesses, 34 lives and 26 insurance companies. Based upon weighted net death benefit, 86.37% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 93.2 years.

At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2021 of $58.3 million (but with a range of between $19.3 million and $103.6 million). In the six months ending 30 June 2021, there were seven reported maturities with a total net death benefit of $44.5 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -1.31% to -1.50% depending on the Cell. This decrease resulted largely from the fact that the maturities reported during the quarter were relatively close to life expectancy, reducing the positive impact on NAV that would otherwise offset the negative impact of ongoing premium costs.

The effect of currency movements on the non-USD-denominated Cells over the last quarter were on average around -0.33% (GBP), -1.05% (EUR) and -1.99% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -1.74% to -1.96%), the EUR-denominated Cells (range -2.44% to -2.61%) and the SEK-denominated Cells (range -3.37% to -3.50%) all decreased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $8.8 million of shares across all Continuing Cells in respect of the 1 July 2021 Redemption Day and approximately $16.7 million (equating to approximately 18.7% of the 30 June 2021 NAV of Run-Off Cells) to those persons registered as holders of Run-Off Shares as at 20 July 2021, by way of compulsory redemption of a portion of each holder’s Run-Off Shares.

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

Yours faithfully,

Martyn Roussel Director EEA Fund Management (Guernsey) Limited

© EEA Fund Management (Guernsey) Limited 2015.
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