Life Settlement Assets : Factsheet Share A 31 Jan 2023

January 2023

Life Settlement Assets PLC - Ordinary Share A

Investment Objective

The company's investment objective is to achieve capital appreciation by purchasing policies or portfolios of life settlement and mortality-related products in special or distressed situations.

Estimated Performance

Jan	Feb	Mar Apr May	Jun	Jul	Aug Sep	Oct	Dec Dec	YTD	Roll.
12M

Est. Performance (%) 2023 3.87%	3.87%	6.14%
125			14
120			12
115	Distribution (M$)		10
110	LSA - A Shares		8
105			6
100			4
95			2
90			-

Investment Terms

1.5% Management Fee

Estimated NAV (USD)

114 167 706

NAV/Share

2.2913

Commentary

At the time of writing, the acquisition of portfolio of insurance policies in MBC Trust has been closed. The Board decided to reflect the transaction in January accounts. The sale of the Portfolio to APT is for a gross consideration of close to $24.0M. The proceeds of the sale, net of all transaction, legal and wind down costs which are anticipated by the MBC trustee to be $5.0M, will be distributed to MBC's investors, including APT as a current investor. Confirmation of the value of the portfolio was conducted by the Company's external actuary. This value has been incorporated in the estimated performance. Furthermore, the Board also decided to take a provision for HIV portfolio considering the rolling five-year model adjustment by end of the year.

The Share Class is reporting a performance of 3.87% for the month of January. Eight HIV maturities were registered, contributing a total Death Benefit of $0.6M; three maturities of $6.0M were registered in the non-HIV segment this month. In addition, the top 10 table was updated to reflect post deal portfolio.

	Number Of Policies		Net Death Benefits (USD)	Matured Policies YTD	Maturities YTD (USD)
	4 384		474 517 119	11		6 597 726
	Trust Investment	Acheron Capital Ltd.	Company	ISCA Administration Services Limited
	Manager			Secretary
	Administrator	Compagnie Européenne de Révision	ISIN	GB00BF1Q4B05
				Ticker	LSAA
	Auditor	BDO UK LLP	Info	[e-mail]
					[phone]

January 2023

2,500

2,000

1,500

1,000

500

policiesof#	0

Distribution by Age

HIV

Non-HIV

30-3940-4950-5960-69 70+

Age Group

2,000

1,500

1,000

500

policiesof#	0

Distribution by Death Benefit Amount(1)

(USD)

HIV

Non-HIV

0-50k50-100k100-200k200-300k 300k+

Face Amount ($USD)

Distribution By Gender

100%

90%

80%

70% Non-HIV HIV

60%

50%

40%

30%

20%

10%

0%

FemaleMale

Distribution by Issue Date(2) (Yrs)

2,200				HIV
2,000
1,800				Non-HIV
1,600
1,400
1,200
1,000
800
600
400
200
policies	0
of			0-10 years	10-15	15-20	20-25	25+ years
				old	years old	years old	years old		old
#

Distribution by Insurance Company

100%

	Others	90%					Others
	Prudential	80%					MetLife
			70%					Prudential
	Jackson	60%
	National
	FEGLI	50%					FEGLI
	40%					American
	MetLife		30%
						General
				20%					Jackson
				10%
					0%

		Death Benefit	Number of Policies
			Maturities Since Inception
2000						400
1800						350
1600
					300
1400
1200						250
1000						200
800						150
600
					100
400
200						50	Milllions$
Polciesof#	0						0
		# individuals	# policies (lhs) face (rhs)
			(lhs)

(1)Indicates the available face amount to LSA which is a fractional interest of initial face amount. (2)Distribution by issue dates reflects the time since the life insurance policy was issued.

Source of Data: Acheron Capital Ltd unless otherwise stated.

January 2023

Historical Maturity

	18,000,000												30	Number of Insured Deceased
Monthly Maturity	16,000,000												25
14,000,000
12,000,000												20
10,000,000												15
8,000,000
6,000,000												10
4,000,000												5
2,000,000
-												0
Jan-09	Jan-10	Jan-11	Jan-12	Jan-13	Jan-14	Jan-15Jan-16	Jan-17	Jan-18	Jan-19	Jan-20	Jan-21Jan-22
							Month
			Number of insured					Maturity

Maturities January 2023

Number of policies matured	11
in January 2023
Corresponding number of	10
insured
Total death benefit in	6 597 726
January 2023 (US$)
Valuation of Matured	3 465 912
policies in Book (US$)

Notification of Maturity

	7,000,000
	6,000,000
	5,000,000
USD	4,000,000
3,000,000
	2,000,000
	1,000,000
	-
	Jan	Feb	Mar	Apr May	Jun	Jul	Aug	Sep	Oct	Nov	Dec

Month

Average 2009 to 2022

2023

Premiums Situation (US$) (1)

Servicers Premiums	$ 15.5M
Projection for the next 12
months
Mortality Adjusted Premiums	$ 15.0M
Projection for the next 12
months
Estimated COI Net of	$ 14.5M
Mortality for the next 12
months

Top 10 Coverage

		Total Face	Age
Insured	Face (millions)	(millions)	(ALB)	Expiration Age*
1	8.0/1.2	9.2	97	100/120
2	3.0/3.0/3.0	9.0	80	121/100/100
3	7.2	7.2	97	100
4	2.0/1.0/1.0/0.9/0.3	5.2	94	100/100/100/100/100
5	4.0	4.0	95	100
6	4.0	4.0	82	100
7	3.0	3.0	93	100
8	3.0	3.0	66	90
9	1.5/1/0.3	2.8	91	100/100/100
10	2.8	2.8	91	100

1. Figures as provided by third parties
2. Cash in a policy can typically be borrowed at an interest rate of 4% to 8%. Surrender charge included. *In case that one insured has more than one policy, their expiration ages are ordered by decreasing face.
   Issued by Acheron Capital Limited, a company registered in England, no. 05588630 at Suite1, 3rd Floor, 11-12 St. James's Square, London SW1Y 4LB, England. Acheron Capital Limited is authorized and regulated by the Financial Conduct Authority ("FCA") and appears on the FS Register under FRN 443685.
   The investment products and services of Acheron Capital Limited are only available to professional clients and eligible counterparties; they are not available to retail clients. This document does not constitute an offer to buy or sell shares or units in any fund or funds managed or advised by Acheron Capital Limited. The prospectus of the funds is the only authorized document for offering shares or units in the funds. The prospectus may only be distributed in accordance with the laws and regulations of each appropriate jurisdiction in which any potential investor resides. Investors are also reminded that past performance should not be seen as an indication of future performance and that they may not get back the amount originally invested. UK Investors do not benefit from the Financial Services Compensation Scheme (FSCS). Investment in the funds carry risks which are more fully described in the prospectus. The funds are only suitable for sophisticated investors who are aware of the risks of investing in hedge funds.