Life Settlement Assets : NAV Announcement 31 May 2023

May 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%	-0.85%-1.19% 1.33%	-1.01%	2.08%	4.52%
125						14
120	Distribution (M$)				12
115	LSA - A Shares				10
110						8
105						6
100						4
95						2
90						-

Investment Terms

1.5% Management Fee

Estimated NAV (USD)

109 224 170

NAV/Share

2.1921

Commentary

Research conducted in The Netherlands has found that the maximum ceiling life span for a female is 115.7 years. For men, it is slightly lower at 114.1 years but even so, that's a long time. This conclusion was come to by statisticians at Tilburg and Rotterdam's Erasmus University who studied data from 75,000 people who have died in the Netherlands in the last 30 years. One of the scientists who conducted the research, Professor John Einmahl, is quoted as saying: "On average, people live longer, but the very oldest among us have not gotten older over the last thirty years. There is certainly some kind of a wall here. Of course, the average life expectancy has increased. Nevertheless, the maximum ceiling hasn't changed." These findings correlate with a study carried out in America, where a similar lifespan bracket was discovered by researchers. They determined that a person's maximum lifespan plateaus in their nineties and was unlikely to ever increase beyond 115.

The Share Class is reporting a performance of -1.01% for the month of May. Seven HIV maturities were registered, contributing a total Death Benefit of $0.76M; no maturity was registered in the non-HIV segment this month.

	Number Of Policies		Net Death Benefits (USD)	Matured Policies YTD	Maturities YTD (USD)
	4 348		466 097 281	46		13 682 624
	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]

May 2023

2,500

2,000

1,500

1,000

500

policiesof#	0

Distribution by Age

HIV

Non-HIV

50-5960-69 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
2500							400
2000							350
						300
1500							250
1000							200
						150
500							100
Polciesof#								50	Milllions$
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.

May 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
-				Jan-15Jan-16						0
Jan-09	Jan-10	Jan-11Jan-12Jan-13	Jan-14	Jan-17	Jan-18	Jan-19	Jan-20	Jan-21Jan-22Jan-23
					Month
			Number of insured					Maturity

Maturities May 2023

Number of policies matured	7
in May 2023
Corresponding number of	5
insured
Total death benefit in May	760 315
2023 (US$)
Valuation of Matured	115 046
policies in Book (US$)

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	98	100
4	2.0/1.0/1.0/0.9/0.3	5.2	95	100/100/100/100/100
5	4.0	4.0	96	100
6	4.0	4.0	82	100
7	3.0	3.0	93	100
8	3.0	3.0	67	90
9	1.5/1/0.3	2.8	92	100/100/100
10	2.8	2.8	92	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.