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Portfolio Update as at 30 June 2022

Please see below issued by the Manager today with a Portfolio Update as at 30 June 2022:

Dear Shareholder

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

Portfolio Update as at 30 June

At the reporting date of 30 June 2022, the Fund held 42 life insurance policies with a total net death benefit of $154.0 million. The average policy size (net death benefit) was approximately US$3.67 million. The portfolio covered 23 illnesses, 26 lives and 22 insurance companies. Based upon weighted net death benefit, 96.34% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 93.9 years.

At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2022 of $55.0 million (but with a range of between $17.8 million and $90.1 million).In the six months ending 30 June 2022, there were 3 reported maturities with a total net death benefit of $15.1 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -4.20% to -4.72% depending on the Cell. Given the reducing number of policies in the portfolio, the level of regularity of maturities is decreasing. The decrease over the last quarter was largely driven by a lack of maturities.

The effects of currency movements on the non-USD-denominated Cells over the last quarter were on average around 7.61% (GBP), 5.40% (EUR) and 8.57% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 2.57% to 2.98%), the EUR-denominated Cells (range 0.49% to 0.77%), and the SEK-denominated Cells (3.41% to 3.54%) all increased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $2.96m of shares across all Continuing Cells in respect of the 1 July Redemption Day.

In respect of a payment to holders of Run-Off shares, noting the lack of maturities discussed above, and with monthly premium payments of approximately $1.5m per month, the Board felt it was prudent to retain cash in the Fund. The Board will continue to keep the cash position under review and make a further distribution to holders of Run-Off Shares as cash levels permit.

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

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