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

Dear Shareholder

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

Portfolio Update as at 31 December 2021

At the reporting date of 31 December 2021, the Fund held 46 life insurance policies with a total net death benefit of $169 million. The average policy size (net death benefit) was approximately US$3.7 million. The portfolio covered 24 illnesses, 29 lives and 24 insurance companies. Based upon weighted net death benefit, 96.38% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 93.3 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).In the year ending 31 December 2021, there were 12 reported maturities with a total net death benefit of $55.25 million.

Despite one policy expiry in December, the NAV per Share of the USD-denominated Cells increased over the last quarter, ranging from 1.27% to 1.44% depending on the Cell. This increase resulted largely from the maturities of two $2.5 million policies and the shortening of life expectancies for several other policies.

The effects of currency movements on the non-USD-denominated Cells over the last quarter were on average around -0.42% (GBP), +1.82% (EUR) and +3.30% (SEK). As a result, during the period the overall NAV per share of the GBP-denominated Cells (range 0.69% to 0.86%), the EUR-denominated Cells (range 2.89% to 3.12%), and the SEK-denominated Cells (4.44% to 4.66) all increased over the quarter.

Following the end of the quarter, the Fund redeemed approximately $337k of shares across all Continuing Cells in respect of the 4 January 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