Dear Shareholder

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

Portfolio Update as at 30 June 2023

At the reporting date of 30 June 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 the first half of 2023 ending 30 June 2022, 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 -2.69% to -3.88% depending on the Cell. The decrease over the last quarter was primarily due to a combination of no maturities during the period combined with an increase in discount rates (which are set by the Independent Valuation Agent based on the market trends of life policies).

The effects of currency movements on the non-USD-denominated Cells over the last quarter were on average around -2.42% (GBP), -0.56% (EUR) and 3.41% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -4.99% to -6.59%), the EUR-denominated Cells (range -3.40% to -4.53%), and the SEK-denominated Cells (-0.21% to -0.27%) all decreased over the quarter.

The Fund’s Board provided an update to the Q&A in relation to the Coventry Litigation is April – this update is included in the Fund’s Q&A document, available at www.eeafmg.com/eea-life-settlements-fund.

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