« EEA FM UK website

Portfolio Update as at 30 September 2021

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

Dear Shareholder

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

Portfolio Update as at 30 September 2021

At the reporting date of 30 September 2021, the Fund held 49 life insurance policies with a total net death benefit of $175 million. The average policy size (net death benefit) was approximately US$3.6 million. The portfolio covered 24 illnesses, 31 lives and 25 insurance companies. Based upon weighted net death benefit, 96.50% 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 nine months ending 30 September 2021, there were ten reported maturities with a total net death benefit of $50.25 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -3.68% to -3.85% depending on the Cell. This decrease resulted largely from a level of maturities reported below projections.

The effect of currency movements on the non-USD-denominated Cells over the last quarter were on average around +2.56% (GBP), +2.34% (EUR) and +2.39% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -1.45% to -1.61%), the EUR-denominated Cells (range -1.58% to -1.85%), and the SEK-denominated Cells (range -1.47% to -1.53%) all decreased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $1.45 million of shares across all Continuing Cells in respect of the 1 October 2021 Redemption Day.

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.
Telephone calls may be recorded