« EEA FM UK website

Portfolio Update as at 31 March 2021

Please see below issued by the Manager today with a Portfolio Update as at 31 March 2021:

Dear Shareholder,

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

Portfolio Update as at 31 March 2021

At the reporting date of 31 March 2021, the Fund held 56 life insurance policies with a total net death benefit of $192 million. The average policy size (net death benefit) was approximately US$3.4 million. The portfolio covered 26 illnesses, 35 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). To the quarter ending 31 March 2021, there were four reported maturities with a total net death benefit of $34 million.

The NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 8.92% to 9.47% depending on the Cell. This increase resulted primarily from maturities reported during the quarter.

The effect of currency movements on the non-USD-denominated Cells over the last quarter were on average around -0.78% (GBP), 3.99% (EUR) and 5.87% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 8.05% to 8.67%), the EUR-denominated Cells (range 12.78% to 14.02%) and the SEK-denominated Cells (range 15.15% to 16.07%) all increased over the quarter.

Despite the higher than average level of maturities during this quarter, there have not been any reported cases of COVID-19 within the portfolio as of 31 March 2021. Aside from the fact that the reduced number of policies in the portfolio results in individual factors playing a more important role, the vast majority of deaths in the general population are still driven by causes other than COVID-19. In addition, any indirect influence of COVID-19 on the level of maturities in the portfolio, for example through delayed or reduced care, is likely to be mitigated by the fact that individuals in a life settlements portfolio are typically on the higher end of the income / wealth spectrum, with better than average access to high quality healthcare.

Based on the cash position for the quarter ending March 2021, there were no redemptions of shares in any Cells made in April 2021. However, as at 31 March 2021 there was over $34m of unsettled cash from maturities which we expect to result in redemptions as soon as their settlement increases the Available Cash of the Fund to a sufficiently high level.

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