Life Settlement Assets : May NAV Class A

May 2020

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

JanFebMarAprMayJunJulAugSepOctNovDecYTDRoll. 12M
Est. Performance (%) 2020	0.71% -1.34% -0.33%
115 110 105 100 95 90 14 12 10 8 6 Distribution (M$)LSA - A Shares 4 2 0 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20

Commentary

Investment Terms 1.5% Management Fee

Estimated NAV (USD) 93 844 606

While COVID-19's progress has slowed in major cities such as New York, where most cases in the U.S. are centred, confirmed coronavirus cases have risen by double-digit percentages in 16 U.S. states that have gradually loosened restrictions since Memorial Day, an analysis by the Washington Post shows. Cases rose by 10% in Alaska, California, Delaware, Georgia, South Carolina; 11% in Iowa, New Hampshire, South Dakota, Virginia; 12% in Arizona, North Carolina, Tennessee; 13% in Arkansas; 14% in Alabama and Minnesota; and 15% in North Dakota over that period. While some of the increased numbers of cases can be attributed to more testing, the percentage of positive results is also climbing.

NAV/Share 2.1463

The Share Class is reporting a performance of 0.71% for the month of May. Seven HIV maturities were registered, contributing a total Death Benefit of

$0.5M; two maturities for a total face value of $2.1M were registered in the non-HIV segment this month.

Number Of Policies	Death Benefits (USD)	Matured Policies YTD	Maturities YTD (USD)
4 510	466,655,545	64	8,902,961

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]

Distribution by Age

2,500

2,000

1,500

1,000

#ofpolicies

500

0

30-39

Distribution by Death Benefit Amount(1)

2,000

1,500

1,000

#ofpolicies

500

0

40-49

50-59

60-69

70+

0-50k

50-100k 100-200k 200-300k

Face Amount ($USD)

300k+

Age Group

Distribution By Gender 100% 90% 80% 70% Non-HIVHIV 60% 50% 40% 30% 20% 10% 0% Female Male

Distribution by Insurance Company 100% Others Others 90% Prudential 80% MetLife 70% Jackson Prudential 60% National 50% FEGLI FEGLI 40% American MetLife 30% General 20% Jackson 10% 0%Death BenefitNumber of Policies

Distribution by Issue Date(2) (Yrs)

2,200

Maturities Since Inception

2,000

1,800

1,600

1,400

1,200

1,000

#ofpolicies

800

600

400

200

0

1800

0-10 years old

10-15 years old

15-20 years old

20-25 years old

25+ years old

#ofPolcies

1600

1400

1200

1000

800

600

400

200

0

300

250

200

150

100

50

# individuals

(lhs)

# policies (lhs)face (rhs)

0

Milllions$

(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.

Historical Maturity

18,000,000

16,000,000

MonthlyMaturity

14,000,000

12,000,000

10,000,000

8,000,000

6,000,000

4,000,000

2,000,000 -

Jan-09

Jan-10

Jan-11

Jan-12

Jan-13

Jan-14

Jan-15

Jan-16

Jan-17

Jan-18

NumberofInsuredDeceased

30

25

20

15

10

5

0

Jan-19

Jan-20

Maturities May 2020
Number of policies matured in May 2020	9
Corresponding number of insured	7
Total death benefit in May 2020(US$)	2 657 161
Valuation of Matured policies in Book (US$)	399 766

Month

Number of insuredMaturity

Notification of Maturity

Premiums Situation (US$) (1)

4,000,000

3,500,000

3,000,000

2,500,000

USD

2,000,000

1,500,000

1,000,000

500,000

-

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Servicers Premiums Projection for the next 12 months	$ 13.3M
Mortality Adjusted Premiums Projection for the next 12 months	$ 12.6M
Estimated COI Net of Mortality for the next 12 months	$ 11.6M

Month

Average 2009 to 20192020

Top 10 Coverage

Cash Situation (US$) (1)

• (1) Figures as provided by third parties

• (2) Cash in a policy can typically be borrowed at an interest rate of 4% to 8%. Cash for ABC policies not included. 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.