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

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

Portfolio Update as at 30 June 2020

At the reporting date of 30 June 2020, the Fund held 64 life insurance policies with a total net death benefit of $239 million. The average policy size (net death benefit) was approximately US$3.7 million. The portfolio covered 28 illnesses, 43 lives and 27 insurance companies. Based upon weighted net death benefit, 87.0% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 92.32 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 first half of 2020, there were seven reported maturities with a total net death benefit of $32.45 million.

The NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -1.25% to -1.41% depending on the Cell. This decrease resulted primarily from an increase in discount rates throughout the period.

The effect of currency movements on the non USD-denominated Cells over the last quarter were on average around 0.15% (GBP), -1.76% (EUR) and -5.71% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range -1.23% to -1.37%), the EUR-denominated Cells (range -2.95% to -3.16%) and the SEK-denominated Cells (range -7.12% to -7.17%) all decreased over the quarter.

As there was no further build-up of Available Cash during the quarter ending June 2020, there were no redemptions of shares in any Continuing Cells in respect of the 1 July 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