Please see below issued by the Manager today with a Portfolio Update as at 30 September 2020:

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

Portfolio Update as at 30 September 2020

At the reporting date of 30 September 2020, the Fund held 63 life insurance policies with a total net death benefit of $236 million. The average policy size (net death benefit) was approximately US$3.8 million. The portfolio covered 28 illnesses, 42 lives and 27 insurance companies. Based upon weighted net death benefit, 86.8% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 92.42 years.

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 the 9 months to the end of September 2020, there were eight reported maturities with a total net death benefit of $34.95 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -4.8% to -4.95% depending on the Cell. This decrease resulted primarily from an increase in discount rate and lack of maturities being reported over the period.

The effect of currency movements on the non-USD-denominated Cells over the last quarter were on average around -3.96% (GBP), —4.09% (EUR) and —3.79% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -8.68% to -8.83%), the EUR-denominated Cells (range -8.81% to -8.96%) and the SEK-denominated Cells (range -8.59% to -8.61%) all decreased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $3.02 million of shares across all Continuing Cells in respect of the 1 October 2020 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