Please see below issued by the Manager today with a Portfolio Update as at 31 March 2023:

Dear Shareholder

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

Portfolio Update as at 31 March 2023

At the reporting date of 31 March 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 quarter of 2023 ending 31 March 2022, there were 2 reported maturities with a total net death benefit of $20 million.(Although dated June 2022, these maturities were reported to the Fund in March 2023.)

The NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 4.21% to 5.61% depending on the Cell. The increase over the last quarter was largely driven by the large maturities mentioned above.

The effects of currency movements on the non-USD-denominated Cells over the last quarter were on average around -1.82% (GBP), -1.12% (EUR) and -0.19% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 2.16% to 3.40%), the EUR-denominated Cells (range 2.19% to 3.86%), and the SEK-denominated Cells (3.59% to 5.15%) all increased over the quarter.

The Fund redeemed approximately $8.41m of shares across all Continuing Cells and $10m of shares across all Run-Off Cells in respect of the 3 January 2023 Redemption Day.

The Fund’s Board announced on 31 March 2023 that it had decided to pause work on the proposed rollover into a new closed-ended fund.The full update is available at https://www.eeafmg.com/news.

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