EEA Fund Management (Guernsey) Limited has issued the following update:
EEA Life Settlements Fund PCC Limited (the “Fund”)
Portfolio Update as at 30 September 2016
At 30 September 2016, the Fund held 148 life insurance policies with a total net death benefit of $497 million. The average policy size was approximately US$3.4 million. The portfolio covered 53 illnesses, 113 lives and 42 insurance companies. Based upon weighted net death benefit, over 93% of the portfolio was represented by insureds who were aged 80 or over, with an overall weighted average age of 90.57 years.
At the start of the year, the Fund’s independent valuation agent, Maple Life Analytics, projected portfolio maturities for 2016 of $102.7 million (but with a range of between $59.8 million and $159.5 million). In the quarter to the end of September 2016, there were 7 reported maturities with a total net death benefit of $45.3 million, taking the total since the start of the year to 30 September 2016 to 28 reported maturities with a total net death benefit of $90 million.
The Fund has recently confirmed that the cash required to pay future premiums on Current Underlying Investments for two years, on the conservative assumption that no maturities occur during this period, is $87.1 million. According to Maple Life Analytics, however, the cumulative premiums expected to be paid in the final quarter of 2016 is $9.2 million and, in 2017, is $29.2 million.
Despite the significant cash flow from maturities, the NAV per Share of the USD-denominated Cells decreased over the last quarter, ranging from -1.22% to -1.50% depending on the Cell. This decrease is predominately due to revised life expectancy (LE) estimates received during the quarter as part of the Fund’s ongoing programme of renewing the LE estimates for policies held by the Fund.
The effects of currency movements on the non USD-denominated Cells over the last quarter were on average 2.36% (GBP), -1.13% (EUR) and 1.20% (SEK), meaning that the overall NAV per share of the GBP-denominated Cells increased in the range of +0.45% to +1.05%, while the NAV of the EUR-denominated Cells (range -2.66% to -2.49%) and the SEK-denominated Cells (range -0.40% to -0.38%) decreased over the last quarter.
Since the end of the quarter, and as a result of the significant cash flows received from maturities during the quarter, the Fund was pleased to announce on 20 October 2016 that it was distributing in aggregate approximately $32.5 million (equating to approximately 15% of the 30 September 2016 NAV per Share of Run-Off Cells) to those persons registered as holders of Run-Off Shares as at 10 October 2016, by way of the compulsory redemption of a portion of each holder’s Run-Off Shares. In addition, the Fund has redeemed approximately $16 million of shares across all Continuing Cells in respect of the 3 October 2016 Redemption Day.