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Portfolio Update as at 31 December 2020

Please see below issued by the Manager today with a Portfolio Update as at 31 December 2020:

Dear Shareholder,

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

Portfolio Update as at 31 December 2020

At the reporting date of 31 December 2020, the Fund held 60 life insurance policies with a total net death benefit of $226 million. The average policy size (net death benefit) was approximately US$3.8 million. The portfolio covered 26 illnesses, 39 lives and 26 insurance companies. Based upon weighted net death benefit, 88.4% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 93.5 years.

In November 2020, a policy with a net death benefit of $5.0 million expired due to the underlying insured reaching the age at which the policy automatically terminates. The value of this policy had been written down over several years thus reducing the impact on the Fund’s NAV.

At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2020 of $65.4 million (but with a range of between $28.5 million and $108.6 million). In 2020, there were ten reported maturities with a total net death benefit of $40.6 million.

The NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 0.69% to 0.84% depending on the Cell. This increase resulted primarily from a reduction in life expectancy for a number of insureds.

The effect of currency movements on the non-USD-denominated Cells over the last quarter were on average around -5.42% (GBP), -4.01% (EUR) and -8.05% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -4.49 to -4.78%), the EUR-denominated Cells (range -3.13% to -3.36%) and the SEK-denominated Cells (range -7.12% to -7.30%) all decreased over the quarter.

Based on the cash position for the quarter ending December 2020, there were no redemptions of shares in any Cells made in January 2021.

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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