Life Settlement Assets : Factsheet 31 10 2022

October 2022

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	Nov Dec	YTD	Roll.
12M

Est. Performance (%) 2022	-1.59%	-1.05% 0.16% -0.29% 1.00%	1.93%	0.06%	-0.60%	-0.24%	-0.89%	-1.56%	2.53%
120										14
115	Distribution (M$)								12
110	LSA - A Shares								10
105										8
									6
100										4
95										2
90										-
			Commentary

Investment Terms

1.5% Management Fee

Estimated NAV (USD)

107 594 333

NAV/Share

2.1594

The secondary market for life insurance policies typically marches to the beat of its own drum. From an investment perspective, the large-scale marketplace is not correlated to the stock market. And the consumer marketplace, most of the time, has little to do with the overall economy. Offers are computed based on the appraised value of the policy, and external economic factors rarely come into play. However, the dramatic increase in interest rates is expected to affect policy offers by the end of the year. Many providers relied on institutional lines of credit, using borrowed money to purchase policies. As the cost of money goes up, appraisal values will soon drop due to rising interest rates and increasing costs of funds.

The Share Class is reporting a performance of -0.89% for the month of October. Twelve HIV maturities were registered, contributing a total Death Benefit limited to $0.45M; and one maturity of $0.02M was registered in the non-HIV segment this month. In addition, a small portfolio of fractionals, to which the trust was overwhelmingly already exposed to, was added to prevent any undue lapsing.

	Number Of Policies		Net Death Benefits (USD)	Matured Policies YTD	Maturities YTD (USD)
	4 255		425 645 038	93		22 029 453
	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]

October 2022

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
2,000				HIV
1,800
1,600				Non-HIV
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

		Others					100%					Others
						90%
		Prudential					80%					MetLife
									70%					Prudential
		Jackson					60%
		National
		FEGLI					50%					FEGLI
						40%
		MetLife					30%					American
										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.

October 2022

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-11Jan-12Jan-13Jan-14	Jan-15Jan-16	Jan-17	Jan-18	Jan-19	Jan-20	Jan-21Jan-22
				Month
			Number of insured					Maturity

Maturities October 2022

Number of policies matured	13
in October 2022
Corresponding number of	11
insured
Total death benefit in	469 174
October 2022 (US$)
Valuation of Matured	81 435
policies in Book (US$)

Notification of Maturity

	9,000,000
	8,000,000
	7,000,000
	6,000,000
USD	5,000,000
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 2021	2022

Premiums Situation (US$) (1)

Servicers Premiums	$ 13.4M
Projection for the next 12
months
Mortality Adjusted Premiums	$ 12.8M
Projection for the next 12
months
Estimated COI Net of	$ 12.5M
Mortality for the next 12
months

Top 10 Coverage

		Total Face	Age
Insured	Face (millions)	(millions)	(ALB)	Expiration Age*
1	5.9/1.2	7.1	97	100/120
2	1.8/2.3/1.5	5.8	79	121/100/100
3	5.5	5.5	97	100
4	1.6/0.9/0.6/0.4/0.2	3.7	94	100/100/100/100/100
5	3.5	3.5	95	100
6	3.4	3.4	81	100
7	1.5/1.0/0.3	2.8	91	100/100/100
8	2.8	2.8	91	100
9	2.8	2.8	100	100
10	1.6/1.1	2.7	100	120/120

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.