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

Dear Shareholder,

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

Portfolio Update as at 31 March 2020

At the reporting date of 31 March 2020, the Fund held 69 life insurance policies with a total net death benefit of $262 million. The average policy size (net death benefit) was approximately US$3.8 million. The portfolio covered 29 illnesses, 47 lives and 27 insurance companies. Based upon weighted net death benefit, 88.1% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 92.47 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 quarter of 2020, there were three reported maturities with a total net death benefit of $10.15 million, behind expectations.

The NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 0.41% to 0.60% depending on the Cell. This small increase resulted primarily from a combination of LE updates, reduction in the discount rate and additional premium repayments from maturities.

The effect of currency movements on the non USD-denominated Cells over the last quarter were on average around 6.50% (GBP), 1.62% (EUR) and 5.60% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 6.73% to 7.23%), the EUR-denominated Cells (range 1.63% to 2.18%) and the SEK-denominated Cells (range 5.87% to 6.21%) all increased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $5.9 million of shares across all Continuing Cells in respect of the 1 April 2020 Redemption Day and approximately $12.9 million (equating to approximately 12.9% of the 31 March 2020 NAV of Run-Off Cells) to those persons registered as holders of Run-Off Shares as at 8 April 2020, by way of compulsory redemption of a portion of each holder’s Run-Off Shares.

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