EEA Fund Management (Guernsey) Limited EEA Life Settlements Fund PCC Limited Portfolio Statistics as at 31 March 2012 Valuation of the net asset value of all classes of participating shares in EEA Life Settlements Fund PCC Limited is currently suspended. This document is being directed only at those persons referred to in the regulatory information and notice at the end of this document. Other persons should not act or rely upon it in any circumstances. www.eeafm.com
Policy Split by Illness Coronary Atherosclerosis 11.04% CAD 8.71% Congestive Heart Failure 5.44% Multiple Myeloma 5.13% Breast Cancer 4.04% Colon Cancer 4.04% Hypertension 4.04% Lung Cancer 4.04% Dementia 3.27% Diabetes II 2.80% Prostate Cancer 2.64% Alzheimer's 2.02% Atrial Fibrillation 2.02% COPD 2.02% Renal Cancer 1.40% Renal Insufficiency 1.40% Atherosclerosis 1.24% Myocardial Infarction 1.24% Ovarian cancer 1.24% Bladder Cancer 1.09% Rectal Cancer 1.09% Other (Below 1%) 30.02%
Policy Split by State of Issue Number of Policies by State of Issue State Number Policy Net Average Net of Policies Death Benefit Death Benefit 36.39% 4.04% 4.35% CA NY FL NJ TX MI AZ Other (below 4%) 5.91% 18.35% Net Death Benefit by State of Issue 31.15% 4.20% 7.93% 5.49% NY 10.51% 10.53% CA FL NJ MI IL Other (below 4%) 11.82% 11.20% 19.47% 18.65% AL 2 0.31% $569,570.00 0.04% $284,785.00 AR 3 0.47% $1,038,724.00 0.07% $346,241.33 AZ 26 4.04% $30,836,577.78 2.10% $1,186,022.22 CA 118 18.35% $274,239,444.48 18.65% $2,324,063.09 CO 11 1.71% $15,665,330.00 1.07% $1,424,120.91 CT 5 0.78% $12,321,398.00 0.84% $2,464,279.60 DC 1 0.16% $1,500,000.00 0.10% $1,500,000.00 DE 8 1.24% $24,500,000.00 1.67% $3,062,500.00 FL 72 11.20% $154,876,498.83 10.53% $2,151,062.48 GA 12 1.87% $34,731,107.85 2.36% $2,894,258.99 ID 1 0.16% $200,000.00 0.01% $200,000.00 IL 17 2.64% $61,704,513.00 4.20% $3,629,677.24 IN 7 1.09% $7,767,571.75 0.53% $1,109,653.11 KS 3 0.47% $1,385,523.00 0.09% $461,841.00 KY 1 0.16% $152,000.00 0.01% $152,000.00 LA 4 0.62% $1,222,000.00 0.08% $305,500.00 MA 13 2.02% $16,907,052.47 1.15% $1,300,542.50 MD 6 0.93% $14,103,000.00 0.96% $2,350,500.00 ME 1 0.16% $1,500,000.00 0.10% $1,500,000.00 MI 28 4.35% $80,805,510.37 5.49% $2,885,911.08 MN 12 1.87% $45,873,437.80 3.12% $3,822,786.48 MO 1 0.16% $4,293,593.00 0.29% $4,293,593.00 MS 3 0.47% $1,350,000.00 0.09% $450,000.00 NC 11 1.71% $21,753,970.00 1.48% $1,977,633.64 ND 1 0.16% $2,000,000.00 0.14% $2,000,000.00 NE 6 0.93% $14,804,836.00 1.01% $2,467,472.67 NH 1 0.16% $750,000.00 0.05% $750,000.00 NJ 51 7.93% $154,507,823.00 10.51% $3,029,565.16 NM 1 0.16% $2,000,000.00 0.14% $2,000,000.00 NV 3 0.47% $2,500,000.00 0.17% $833,333.33 NY 76 11.82% $286,366,270.00 19.47% $3,767,977.24 OH 16 2.49% $23,713,958.00 1.61% $1,482,122.38 OK 1 0.16% $250,000.00 0.02% $250,000.00 OR 6 0.93% $9,601,347.00 0.65% $1,600,224.50 PA 22 3.42% $16,560,874.00 1.13% $752,767.00 RI 2 0.31% $20,334,000.00 1.38% $10,167,000.00 SC 9 1.40% $22,500,000.00 1.53% $2,500,000.00 SD 3 0.47% $10,638,000.00 0.72% $3,546,000.00 TN 15 2.33% $15,508,962.00 1.05% $1,033,930.80 TX 38 5.91% $30,930,597.95 2.10% $813,963.10 VA 10 1.56% $21,178,979.00 1.44% $2,117,897.90 WA 9 1.40% $16,599,684.00 1.13% $1,844,409.33 WI 4 0.62% $8,782,634.46 0.60% $2,195,658.62 WV 2 0.31% $850,000.00 0.06% $425,000.00 WY 1 0.16% $1,000,000.00 0.07% $1,000,000.00 Totals: 643 $1,470,674,787.74
Policy Split by Policy Type Policy Number Policy Net Type of Policies Death Benefit Flexible Premium 139 21.62% $490,889,703.01 33.38% Group Term Life 4 0.62% $701,600.00 0.05% Term 88 13.69% $49,402,834.00 3.36% Universal Life 372 57.85% $900,722,062.73 61.25% Variable Universal Life 10 1.56% $9,031,898.00 0.61% Whole Life 30 4.67% $19,926,690.00 1.35% Totals 643 100.00% $1,470,674,787.74 100.00% Flexible Premium Group Term Life Term Universal Life Variable Universal Life Whole Life Number of Policies by Policy Type 1.56% 4.67% 57.85% 21.62% 0.62% 13.69% Definitions Whole of Life Universal Life Variable Universal Life Flexible Premium Term Group Term Life Premium is fixed and stated in the policy document. Whole life policy. Premiums are flexible but there is a minimum premium, to maintain life cover, stated in the policy document. Premiums are fixed for a defined term. Premiums go up to a stated premium after the term expires or the policy can be converted to Universal Life Policy. Premiums are stated in the policy document. Fund must buy term of at least 9 years dependent on the Life Expectancy (see Offering Memorandum). Net Death Benefit by Policy Type 0.61% 1.35% 33.38% Flexible Premium Group Term Life Term Universal Life Variable Universal Life Whole Life 61.25% 0.05% 3.36%
Policy Split by Age Age Number Net Death Range of Policies Benefit < 40 4 0.62% $1,489,570.00 0.10% 40-49 26 4.04% $16,071,221.00 1.09% 50-59 63 9.80% $39,662,374.80 2.70% 60-69 70 10.89% $65,287,395.47 4.44% 70-79 88 13.69% $196,669,446.37 13.37% 80-89 205 31.88% $820,607,216.88 55.80% 90-99 186 28.93% $329,887,563.22 22.43% >= 100 1 0.16% $1,000,000.00 0.07% 643 100.00% $1,470,674,787.74 100.00% < 40 40-49 50-59 60-69 70-79 80-89 90-99 >= 100 Number of Policies Split by Age 0.16% 0.62% 4.04% 28.93% 9.80% 10.89% 13.69% 31.88% Average Age 79.51 < 40 40-49 50-59 60-69 70-79 80-89 90-99 >= 100 Net Death Benefit Split by Age 22.43% 0.07% 0.10% 1.09% 2.70% 4.44% 55.80% 13.37% Weighted Average Age 84.00
Policy Split by Net Death Benefit NDB Number Net Death Range of Policies Benefit < $0.5M 187 29.08% $42,304,144.85 2.88% $0.5M - $0.99M 107 16.64% $65,765,649.78 4.47% $1.0M - $2.49M 160 24.88% $218,443,589.19 14.85% $2.5M - $4.99M 68 10.58% $235,144,977.62 15.99% $5.0M - $7.49M 70 10.89% $370,791,880.00 25.21% >= $7.5M 51 7.93% $538,224,546.30 36.60% Totals 643 100.00% $1,470,674,787.74 100.00% Net Death Benefit Range Split by Number of Policies 7.93% 10.89% 10.58% 29.08% < $0.5M $0.5M - $0.99M $1.0M - $2.49M $2.5M - $4.99M $5.0M - $7.49M >= $7.5M 24.88% 16.64% Net Death Benefit Range Split by Net Death Benefit 36.60% 2.88% 4.47% 14.85% 15.99% < $0.5M $0.5M - $0.99M $1.0M - $2.49M $2.5M - $4.99M $5.0M - $7.49M >= $7.5M 25.21%
Policy Split by Insurance Company Insurance Number of Policy Net Company of Policies Asset Value Insurance Number of Policy Net Company of Policies Asset Value Alfa Life 1 0.16% $63,745.25 0.01% Allianz Life 3 0.47% $1,388,851.50 0.14% Allstate Life 1 0.16% $340,955.72 0.03% American Family Life 1 0.16% $297,281.58 0.03% American General Life 55 8.55% $101,073,333.71 10.27% American National 5 0.78% $25,298,519.12 2.57% American United Life 2 0.31% $221,446.64 0.02% Americo Financial 1 0.16% $200,595.01 0.02% Aviva Life Insurance Co 15 2.33% $15,538,498.31 1.58% AXA 22 3.42% $74,818,340.20 7.60% Bankers Life 1 0.16% $929,043.46 0.09% Banner Life 11 1.71% $7,131,069.72 0.72% Beneficial Life Insurance Company 1 0.16% $171,496.92 0.02% Canada Life 1 0.16% $303,819.22 0.03% CIGNA 1 0.16% $211,367.17 0.02% Columbus Life 5 0.78% $7,160,550.20 0.73% Commonwealth Annuity 3 0.47% $7,524,023.18 0.76% Companion 2 0.31% $1,534,825.95 0.16% Connecticut General Life 1 0.16% $249,600.69 0.03% Conseco Life 8 1.24% $3,353,340.56 0.34% Continental Assurance Company 3 0.47% $5,134,549.06 0.52% Farmers New World 1 0.16% $72,724.61 0.01% Federated Life 1 0.16% $465,833.42 0.05% FEGLI 4 0.62% $1,212,788.81 0.12% First Penn-Pacific Life 1 0.16% $118,280.17 0.01% General American Life 7 1.09% $1,518,865.36 0.15% Genworth 23 3.58% $7,050,112.10 0.72% Golden Rule Life 1 0.16% $933,944.83 0.09% Great American Life 1 0.16% $284,152.10 0.03% Guardian 3 0.47% $2,142,304.10 0.22% Hartford Life & Annuity 3 0.47% $2,132,744.23 0.22% HM Life Insurance 1 0.16% $91,479.41 0.01% Indianapolis Life 2 0.31% $2,122,781.77 0.22% ING 17 2.64% $20,209,681.70 2.05% ING ReliaStar Life 5 0.78% $5,016,112.39 0.51% Investors Life Insurance Co 1 0.16% $702,358.05 0.07% Jackson National 6 0.93% $978,057.87 0.10% Jefferson Pilot 4 0.62% $4,393,680.10 0.45% John Hancock 61 9.49% $140,825,184.16 14.31% Life Investors Co of America 1 0.16% $275,000.00 0.03% Lincoln Benefit 20 3.11% $36,079,181.44 3.67% Lincoln Financial 17 2.64% $33,637,108.58 3.42% Lincoln Life & Annuity 5 0.78% $22,481,335.59 2.28% Lincoln National 37 5.75% $89,250,325.23 9.07% Mass Mutual 10 1.56% $17,922,236.35 1.82% MetLife 19 2.95% $13,713,781.06 1.39% Midland National 4 0.62% $2,064,191.90 0.21% Minnesota Life 2 0.31% $307,149.84 0.03% MONY Life Insurance 5 0.78% $4,810,040.85 0.49% National Benefit Life 2 0.31% $412,282.14 0.04% Nationwide 3 0.47% $3,793,064.92 0.39% New England Financial 3 0.47% $2,291,261.80 0.23% New York Life 9 1.40% $14,026,070.59 1.42% North American Company 6 0.93% $5,127,949.98 0.52% Northwestern Mutual Life 10 1.56% $4,909,352.01 0.50% Pacific Life 14 2.18% $24,502,480.34 2.49% Penn Mutual 8 1.24% $6,936,361.71 0.70% Phoenix 10 1.56% $17,775,947.88 1.81% Primerica 4 0.62% $389,802.67 0.04% Principal Financial Group 3 0.47% $965,873.37 0.10% Protective Life Ins 18 2.80% $6,500,642.42 0.66% Provident Life 3 0.47% $2,901,463.27 0.29% Prudential 13 2.02% $14,862,999.02 1.51% Reassure America Life 9 1.40% $7,627,791.18 0.77% Reliastar 3 0.47% $535,825.41 0.05% RiverSource Life Insurance 1 0.16% $316,960.09 0.03% Security Life of Denver 4 0.62% $12,443,362.28 1.26% Security Mutual Life 1 0.16% $430,378.50 0.04% State Farm Life 5 0.78% $762,611.08 0.08% Sun Life Assurance 9 1.40% $14,583,169.72 1.48% Surety Life 1 0.16% $182,706.06 0.02% Texas Life 1 0.16% $271,870.35 0.03% The Hartford 3 0.47% $7,964,113.61 0.81% Thrivent Financial 1 0.16% $800,121.86 0.08% Transamerica 34 5.29% $57,565,068.16 5.85% TransAmerica Occ. 12 1.87% $19,526,078.02 1.98% Union Central Life 5 0.78% $12,152,479.02 1.23% United of Omaha 8 1.24% $4,466,904.53 0.45% Unum Life Insurance Company of America 3 0.47% $304,730.79 0.03% US Financial Life 4 0.62% $435,789.25 0.04% US Life of NY 1 0.16% $529,427.73 0.05% USAA Life 3 0.47% $675,209.65 0.07% West Coast Life 14 2.18% $11,671,327.54 1.19% Western Reserve Life 2 0.31% $446,065.19 0.05% William Penn 6 0.93% $1,169,762.07 0.12% Wilton Reassurance Life 2 0.31% $236,910.81 0.02% Note: Total Net Death Benefit (Sum Assured) is $1,470,674,787.74
Policy Split by Life Expectancy (LE) Remaining Months to Life Expectancy LE Range Number Net Death Months of Policies Benefit <= 12 252 39.19% 437,123,555.32 29.72% 13-24 207 32.19% 417,383,666.60 28.38% 25-36 105 16.33% 299,028,644.46 20.33% 37-48 52 8.09% 191,292,817.12 13.01% 49-60 20 3.11% 85,646,104.24 5.82% 61-72 7 1.09% 40,200,000.00 2.73% >= 73 0 0.00% 0 0.00% 643 100.00% $1,470,674,787.74 100.00% LE Split by Number of Policies 1.09% 3.11% 8.09% 39.19% LE Range Split by Net Death Benefit 2.73% 5.82% 13.01% 29.72% Months <= 12 13-24 25-36 37-48 49-60 61-72 >=73 16.33% 32.19% Months <= 12 13-24 25-36 37-48 49-60 61-72 >=73 20.33% 28.38% Average LE 19.40 Months Average LE 24.32 Months This material is being issued by EEA Fund Management (Guernsey) Limited (which is licensed by the Guernsey Financial Services Commission to carry on the restricted activities of promotion, subscription, dealing, management, advising and administration in connection with Category 1 Collective Investment Schemes and Category 2 General Securities and Derivatives under the Protection of Investors (Bailiwick of Guernsey) Law, 1987 as amended), and has been approved by EEA Fund Management Limited (which is authorised and regulated by the Financial Services Authority ( FSA")). EEA Life Settlements Fund PCC Limited (the Fund ) is an unregulated collective investment scheme as contemplated by the Financial Services and Markets Act 2000 and, as such, its marketing in the UK is restricted. It may be promoted by a UK authorised person only to (i) investment professionals under Article 14 of the FSMA 2000 (Promotion of Collective Investment Schemes)(Exemptions) Order 2001 (the "Order"); (ii) high net worth companies, unincorporated associations, etc under Article 22 of the Order; or (iii) to any other person to whom it may legally be promoted under the Order or the FSA Rules. This document may not be given to any other person. Persons considering investing in the Fund should always seek their own independent advice from an FSA authorised firm and base their decision on the Fund s Offering Memorandum and Supplements which amongst other things set out the risk factors. Nothing contained in this note is to be construed as providing or offering investment, legal, accounting, tax or other advice and nothing should be relied on as such. The value of investments may go down as well as up and may be affected by changes in rates of exchange. Past performance should not be taken as an indication or guarantee of future performance and no representation or warranty, express or implied, is made regarding performance. Investments in the Fund do not provide capital guarantees like a deposit account and are not readily accessible. The rules on taxation can change and/or the tax treatment of the Fund could be challenged. It is expressly agreed that while all reasonable efforts have been made to ensure this document is accurate and up to date, no representations or warranties, either express or implied, are given as to the reliability, accuracy or completeness of the information contained in this note. Any opinions expressed are judgments at the time of writing and are subject to change without notice. To the extent permitted by law or regulation, no liability is accepted for any damage or loss, including without limitation loss of profit whether direct, indirect or consequential, in respect of the use of this material.