Alternative Liquidity Fund : 26 October 2023 - Audited Financial Statements June 30, 2023

ALTERNATIVE LIQUIDITY FUND LIMITED

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FOR THE YEAR ENDED 30 JUNE 2023

ALTERNATIVE LIQUIDITY FUND LIMITED

CONTENTS

Highlights	1
Company Summary	2-3
Chairman's Statement	4
Investment Adviser's Report	5-8
Board of Directors	9
Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges	10
Directors' Report	11-15
Corporate Governance	16-20
Statement of Directors' Responsibilities	21-22
Directors' Remuneration Report	23
Report of the Audit and Risk Committee	24-26
Report of the Management Engagement Committee	27
Independent Auditor's Report	28-31
Financial Statements
Statement of Comprehensive Income	32
Statement of Financial Position	33
Statement of Changes in Equity	34
Statement of Cash Flows	35
Notes to the Financial Statements	36-60
Schedule of Investments	61-62
Officers and Advisers	63

ALTERNATIVE LIQUIDITY FUND LIMITED

Highlights

For the year ended 30 June 2023

• US$2.2 million (30 June 2022: US$2.2 million) was distributed to B Shareholders on 31 January 2023.

Financial highlights at 30 June 2023

	30 June 2023	30 June 2022
Total net asset value ("NAV")	US$12.6 million	US$18.0 million
NAV per Ordinary Share	8.58¢	12.30¢
Share price	5.00¢	3.54¢
Discount to NAV	41.7%	71.2%

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

1

ALTERNATIVE LIQUIDITY FUND LIMITED

COMPANY SUMMARY

Principal activity

Alternative Liquidity Fund Limited (the "Company" or "ALF") was incorporated and registered in Guernsey under The Companies (Guernsey) Law, 2008 on 25 June 2015. The Company's registration number is 60552 and it is regulated by the Guernsey Financial Services Commission ("GFSC") as a non-cellular company limited by shares. The Company is listed and began trading on the Main Market of the London Stock Exchange and was admitted to the premium segment of the Official List of the UK Listing Authority on 17 September 2015. On 26 January 2021, the Company successfully effected the transfer of the listing of its ordinary shares from the premium segment of the Main Market to the Specialist Fund Segment ("SFS") of the London Stock Exchange.

Since 25 February 2019, when the Company's current investment policy was adopted, the Company has pursued a realisation strategy in relation to the Existing Portfolio. The Company is currently invested in a portfolio of illiquid interests in funds, securities and other instruments with the objective to manage, monitor and realise these investments over time.

Investment policy

The Company's investment policy is to invest in a diversified portfolio of illiquid investments, funds and funds of funds such as hedge funds, private equity funds, real estate funds, infrastructure funds, private investment funds, and other alternative investment vehicles sponsored or managed by investment managers across the world.

The Company may utilise derivatives for the purposes of efficient portfolio management and principally for currency hedging. The portfolio will not be constructed to have any particular geographical bias. Accordingly, the Company has the ability to source and buy assets across the world and denominated in any currency. It is expected that the Company will largely be exposed to US Dollars, which is the Company's reporting currency.

Historically, the Company agreed with Signet Multi-Manager SPC Inc ("SMMI") to acquire an initial portfolio of assets for an aggregate consideration of US$144 million, conditional upon Admission. The consideration for the Initial Portfolio took the form of ordinary shares which were distributed in specie to the existing investors of SMMI. Following completion of the acquisition of the Initial Portfolio, the Company held approximately 60 investments with an aggregate valuation of US$138.7 million.

In April 2022, the Company announced that Waverton Investment Management Limited (who would have been appointed as Investment Manager if the capital raise had been successful) had decided not to proceed with the launch of a new share class. The Company also announced that it would continue its existing investment policy and realisation strategy and continue to be advised by Hindsight Solutions Limited (the "Investment Adviser") in the execution of that strategy. The Company will not make any new investments. The Directors' have reviewed various options and believe an orderly wind up is the most effective method.

Company background

In January 2016, the Company agreed with Trusthouse Holding NV to acquire a portfolio of assets, owned by two funds of which they were the liquidator, for an aggregate consideration of US$2.2 million, comprising US$0.4 million in cash and US$1.8 million in shares in the Company.

In September 2016, the Company issued 587,752 Ordinary Shares to shareholders of The Green Fund as of 30 June 2016. This issue was in exchange for a small number of positions, in accordance with the Company's investment policy, held by The Green Fund for a total consideration of US$0.5 million.

In January 2017, the Company completed the purchase of a small liquidating hedge fund portfolio from a liquidator in Luxembourg. The Company paid US$1 million for the portfolio.

In November 2019, the Company completed the purchase of a portfolio of assets, owned by MVP Fund Range PCC Limited which was in liquidation, for a consideration of US$100,000.

On 30 June 2020, the Company was fully invested subject to a cash and cash equivalents amount retained for working capital requirements. It is the intention that the Company will aim to be fully invested at all times, although the Company may hold cash or cash equivalent investments from time to time. The Company expects to be very prudent in its use of borrowings due to the illiquid nature of the portfolio; however, the Company has the ability to borrow up to 25 per cent of its net assets for short-term purposes. It is not intended for the Company to have any long-term or fixed structural gearing. The Company may be indirectly exposed to gearing to the extent that the Company's investee funds, or segregated portfolios, are geared by the external managers.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

2

ALTERNATIVE LIQUIDITY FUND LIMITED

COMPANY SUMMARY, continued

Company background, continued

The Board reviewed potential growth strategies and the scope for the Company to offer new share classes. The Company published a placing programme prospectus in October 2019 with a view to issuing an additional share class to make investments in line with the Company's current investment policy. For a variety of factors, including the onset of COVID-19, no new capital was raised under that placing programme.

Following the transfer to the SFS, the Investment Management Agreement between the Company and Warana Capital LLC was terminated by mutual agreement with effect from 31 December 2020. Hindsight Solutions Ltd, a company owned and operated by Tim Gardner, was engaged to provide investment advisory services in relation to the Company. The Investment Adviser is an appointed representative of Rampart Capital LLP, which is authorised and regulated by the Financial Conduct Authority. Tim has been providing day-to-day operational oversight and support to the Investment Manager in relation to the Company and its portfolio since the Company's launch in 2015.

The Future

The Board and the Investment Adviser have undertaken a detailed analysis of the Company's remaining portfolio, including the current and anticipated liquidity profile of the underlying investments and the likely timeline of that liquidity. As at 30 June 2023, approximately 95% of the portfolio's NAV is represented by three investments in Brazil, two of which are funds and the other is a loan, all controlled by Vision Brazil Investments. The Board currently expects that these investments will become liquid within the next 14 months from the approval of these financial statements.

As Shareholders are aware, the majority of the balance of the investment portfolio (in terms of line items) is held at or close to zero value. The Board believes that there is no material advantage to be gained in retaining these assets within the portfolio any longer. The transfer of such nil or de minimis value assets can take months if not longer to conclude, during which time the Company continues to incur costs. The Directors therefore propose to proceed with the sale of this part of the portfolio which has realistically little or no value and to complete that process prior to the Company entering formal voluntary liquidation.

Accordingly, the Directors currently expect that most of the remaining portfolio will have been sold and the resultant cash distributed to Shareholders prior to the Company's anticipated formal orderly winding up. The appointment of a liquidator will therefore be to deal with any remaining assets, effect any final payments and to formally close the Company.

Given the illiquid nature of the Company's remaining investments, it is difficult to provide certainty over the timeframe for realisation. The Board is aware that Shareholders will expect some guidance on the expected timeline. In the previous year it was the Directors' current estimate, based on its analysis of the current and anticipated liquidity profile of the underlying investments, that the Company will be able to target a solvent voluntary liquidation date prior to 31 December 2023. In line with the Articles, at the December 2023 AGM the Company is scheduled to have a continuation vote. The Investment Adviser is preparing and, in conjunction with the Board, will distribute to shareholders in advance a cost/benefit analysis setting out the probable additional running expenses to December 2024 versus the potential of an enhanced return on investments. Based on this analysis, the Board will outline the several paths open to the Company and will make a recommendation to shareholders, who will have the opportunity to vote on that recommendation. The Directors will thereafter pursue the path approved by shareholders.

The intention is to liquidate and subsequently dissolve the Company once the assets have been sold.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

3

ALTERNATIVE LIQUIDITY FUND LIMITED

CHAIRMAN'S STATEMENT

Introduction

I am pleased to present the Financial Statements for the year 1 July 2022 to 30 June 2023 (the "period"). The Company is an investment trust listed on the SFS of the London Stock Exchange ("LSE") which currently focuses on the realisation of hedge fund side pockets and other illiquid funds previously held in open-ended structures. The listing has provided liquidity to those shareholders who require it; quarterly portfolio reporting; active portfolio realisation management; and best practice corporate governance.

Portfolio and performance

The Company's investment portfolio (the "Portfolio") comprises illiquid fund positions emanating principally from the 2008 financial crisis, as well as a small number of secondary investments subsequently made by the Company. It is almost entirely exposed to global emerging markets, with most of the underlying funds denominated in local currencies.

On 30 June 2022, the Company had a NAV of US$18.0million and a NAV per share of US$0.1230. On 30 June 2023 the Company's NAV was US$12.6 million (US$0.0858 NAV per share). During the period, the Company received US$2.5 million from underlying manager distributions. The Company made a distribution to shareholders, paid in January 2023, of $2.2 million, equivalent to 1.5¢ per share. The NAV was reduced accordingly by 1.5¢ per share.

The Company had a cash balance of approximately US$0.92 million as at 30 June 2023 (30 June 2022: US$1.60 million).

Adjusting for the distributions in the period, there was a 18.05% (US$0.0222 per share) decrease (30 June 2022: 15.37% (US$0.0251 per share) decrease) in the net asset value of the Company in the Period.

The Portfolio has significant exposure to the Brazilian Real, which appreciated by approximately 11% against the US Dollar. The currency appreciation is expressed in consequential mark-ups with respect to the Vision and Autonomy fund positions.

The Board has discretion with regard to cash distribution to shareholders subject to the working capital requirements of the Company and the cost of distribution.

Outlook

As mentioned in my previous recent statements, the Board's over-riding aim is to preserve the inherent value of the remaining Portfolio (the "Realisation Portfolio") and maximise shareholder returns.

The Board has been examining the options available to the Company to accelerate the continuing managed wind-down of the portfolio with the intention of realising all assets prior to appointing a liquidator. To this end the Board have already eliminated those assets held at zero value and no hope of recovery. We will discuss with Shareholders a realisation time frame balancing running costs against enhanced return to shareholders. A detailed report with a cost benefit analysis will be issued in November of this year to allow shareholders to vote accordingly at the AGM and continuation vote on 6 December 2023.

Quentin Spicer

Chairman

24 October 2023

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

4

ALTERNATIVE LIQUIDITY FUND LIMITED

INVESTMENT ADVISER'S REPORT

Introduction

Hindsight Solutions Ltd. ("Hindsight" or the "Investment Adviser") is the Investment Adviser to the Company.

The Portfolio of the Company is largely comprised of illiquid fund structures inherited at its inception. The Portfolio has a large exposure to emerging markets and is largely invested in vehicles managed by third parties that provide their own valuations. The Board and the Investment Adviser utilise a provisioning process to evaluate the portfolio as objectively as possible by taking into account the quality of the information received from the underlying funds, their valuation processes, geographical locations and risks associated with the Company's assets. Where possible, this analysis is then checked against observable secondary market activity although there tends to be very limited trading in these assets. As such, the Company reports two separate net asset values ("NAVs") - the underlying manager NAV and the ALF NAV, inclusive of the provisions (the latter is reported to the LSE as the primary valuation metric) and is the basis for the discussion in this report.

On 30 June 2022, the Company had a NAV of US$18.0 million and a NAV per share of US$0.1230. On 30 June 2023, the Company's NAV was US$12.6 million (US$0.0858 NAV per share). During the period 1 July 2022 to 30 June 2023, the Company received US$2,462,273 million from underlying manager distributions. The Company made a distribution to shareholders, paid in January 2023, of $2.2 million, equivalent to 1.5¢ per share. The NAV was reduced accordingly by 1.5¢ per share. The Company had a cash balance of approximately US$0.92 million as at 30 June 2023 (30 June 2022: US$1.60 million). Adjusting for the distributions in the Period, there was a 18.05% (US$0.0222 per share) decrease in the net asset value of the Company in the Period (30 June 2022: 15.37% (US$0.0251 per share) increase).

Portfolio

At the end of the year, the Company had exposure to approximately 24 different fund investments and direct investments managed by 14 different investment managers. The top three fund investments represent 89% of the NAV and almost the entire portfolio (97%, excluding cash) consists of assets domiciled in emerging markets. Approximately 88% of the portfolio can be deemed credit, 1% equity; 3% real estate; 1% other; with the balance in other positions and cash. We note though that the remaining credit positions do not have a fixed maturity date.

The Company's two largest holdings are the Vision Brazil funds (79% of NAV), which are predominantly made up of two separate pools of legal claims against the State Government of Rio de Janeiro (FCVS RJ) and Eletrobras, the Brazilian public utility firm.

Tim Gardner (Hindsight Solutions) travelled (at no cost to the Company) to Brazil on 3 July 2023 for meetings on 4 July and 5 July to obtain a first-hand update on the Vision FCVS RJ Fund ("RJ Fund") and improve the current monetisation strategy. With the support of all RJ Fund investors, an independent securities lawyer was also appointed to act on behalf of all such investors.

The first meeting was with Caixa Econômica Federal ("Caixa"), the state-owned Brazilian financial services company headquartered in Brasilia; the remainder were in Sao Paolo with three investment banks, two firms of lawyers and Vision Fund Management. The independent lawyer was present at the Caixa meeting and will provide a report to all RJ Fund shareholders, together with tactical and strategy recommendations.

To date Vision has been pursuing four separate strategies to monetise the FCVS RJ credits:

1. Novation
2. Sale to Caixa
3. Reach an arrangement with other FCVS RJ holders to resolve the debt overhang
4. Private Sale (as completed successfully with the PB portfolio in 2018)

Caixa, a state-owned Brazilian financial services company, controls the FCVS novation process; FCVS credit holders are required to submit proof of the entire ownership chain for each FCVS credit for approval by Caixa.

Once a credit has been verified, Caixa produces a report, the 'P3026 report'. This validates that the credit is genuine and approved, and its receipt ensures that the credit will proceed smoothly through the novation process.

The novation process usually takes 12-24 months, following which the holder receives cash, equivalent to the accrued interest of the claim and the balance owed in Brazilian Government debt.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

5

ALTERNATIVE LIQUIDITY FUND LIMITED

INVESTMENT ADVISER'S REPORT, continued

Portfolio, continued

Caixa had stated to Vision in early 2022 that a P3026 report was to be issued by November 2022 in respect of the FCVS RJ portfolio. This would have dramatically improved the value of the portfolio in that the validation would have been completed formally and the portfolio permitted to enter the novation process.

Since the report had not been issued as stated, the Vision shareholders agreed that it would be appropriate to arrange a face-to-face meeting with Caixa in order to determine its status. Caixa eventually offered a date for a meeting and Tim Gardner attended on behalf of all shareholders, along with Vision, the FCVS consultants and the independent securities lawyer mentioned above.

Caixa informed the group that they had not published the P3026 report on the RJ Portfolio as a whole since a minority of asset holders unrelated to the Vision Fund had not provided the required title information. However, they suggested that Vision should submit its claims for validation and that Caixa would then analyse the ownership chains and then submit a validation report for each group of claims.

This was a surprise and an apparent concession since it had been understood by legal advisers that the current regulations do not permit partial validation claim reports to be issued by Caixa. The question was posed again and Caixa confirmed that this was indeed possible.

This is a crucial development given that Caixa's validation report is the legal sign-off required for a claim or claim portfolio to be sold to a third party since, following validation, the claim or portfolio can begin novation and the only remaining variable is the time to process the novation, that is, 12-24 months.

Vision's lead external counsel has recommended that Vision does precisely what they have been instructed to do by Caixa and to do this as soon as possible, that is, to document and perfect each ownership chain for submission.

The three investment bank meetings were similar in outcome. Each confirmed that in its current state the RJ portfolio is probably worth in the region of 5-10c of face value, which is equivalent to 15-20c of Visions NAV. They all confirmed that Caixa validation would allow the portfolio to be sold at a far higher bid. The highest price is likely to be from local banks - but they are also likely to be the slowest to complete. By way of example, the FCVS PB trade in 2018 took almost one year.

The same proposal was made to all three banks:

• First, that they inject approximately US$10 million into the Vision Cayman Fund.
• Second, that the Vision Cayman Fund would then reimburse the V-Invest Loan (see below) in full and retain $1.5m for working capital.
• Third, that the Cayman Fund would issue equity in exchange for the cash injection.

The end result would be that ALF and other investors would be repaid their loans in full (approx. $1.8m for ALF), and although the current investors' equity would be diluted, the shareholders would have onboarded a well-connected local investment partner who is motivated to expedite and manage the realisation process.

We are currently awaiting a formal response from each of the banks.

As previously indicated, most of the Vision Special Credit Opp Eletrobras Fund ("Vision ELT Fund") portfolio was successfully sold to a local Brazilian bank in December of 2022.

The only claim now left in the Vision ELT Fund is the Siemens claim. In February 2022 the full amount of the claim was deposited by Eletrobras into the government escrow account. Vision expected to be able to withdraw the funds in the second quarter in 2022. In June 2022 however, the court requested additional ownership documents related to the claim. These were provided by Vision in August. The next step was theoretically for the court to allow Vision to withdraw the funds from the government's escrow account and distribute the funds to shareholders. This has not yet occurred and Eletrobras continues to file legal motions to block the withdrawal.

In July 2023 Eletrobras filed another petition disputing part of the ownership chain related to the claim. Vision has presented the required information to the court again and is now trying to pressurise the judiciary to expedite the withdrawal of the funds in escrow. The funds have been in escrow for 17 months and the longest Vision have ever had to wait for a withdrawal permit has been 20 months.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

6

ALTERNATIVE LIQUIDITY FUND LIMITED

INVESTMENT ADVISER'S REPORT, continued

Portfolio, continued

The third largest exposure is an investment in Vision Invest RJ (10% of NAV). An SPV created in 2017 by the independent directors of Vision to provide a working capital loan to the Vision RJ Cayman entities that risked becoming insolvent. ALF invested $209k. This position now has a manager NAV of $1.8 million however the Board and Hindsight agreed to apply a discount to the NAV of the holding, due to the uncertainty of recovery. Therefore, ALF carries it at $1.4 million. The SPV has 100% control over the FCVS RJ portfolio. The Cayman vehicle recently requested a further cash injection as service providers had not been paid for two years. All original shareholders agreed to contribute $650k pro-rata. ALF's additional investment was $135k.

The Company also has exposure to the Warana 2018 Fund (1.5% of NAV), this fund officially entered harvest mode in Q4 2019, having invested into 150 different funds and four direct investments during its investment period. The fund continues to make periodic distributions as cash is received in the portfolio, the total received up to June 2023 NAV is 118.5% of called capital. The fund continues to project an IRR of approximately 15% and a multiple of called capital of over 1.4x.

The portfolio has significant exposure to the Brazilian Real which appreciated significantly versus the US Dollar over the last 12 months. During the Period, the currency appreciated approximately 11%. The main drivers for the NAV decrease in the period were:

• The increase in provision of the Vision RJ position from 40% to 60%, equivalent to US$4.46m or 3.04¢ per share;
• The provision against the interest receivable from the V Invest position equivalent to US$0.36m or 0.25¢ per share;
• The distribution of US$2.2 million to Shareholders; and
• The provision for the on-going expenses of the Company (also referred to as "Provision for wind-down costs") up to the proposed liquidation date

During the year, the Company received US$2.5 million in distributions from underlying fund investments. These flows have come from:

Investee Company	US$
Valens	348
Signet	2,000
Benelong	2,606
Serengeti LP	6,530
Serengeti Ltd.	11,735
Warana	174,159
Vision ELT	2,264,895
Total	2,462,273

Additionally, during the year, the following positions were fully realised or liquidated and no longer make up part of the portfolio:

• Cam Opportunity Fund I Limited
• Nur Energie
• Ritchie Multi Strategy
• Duet India
• South Asian Management
• SA Capital Partners
• Blue Sugar Corp.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

7

ALTERNATIVE LIQUIDITY FUND LIMITED

INVESTMENT ADVISER'S REPORT, continued

Liquidation timeline

Given the composition of the portfolio, projecting future liquidity is extremely difficult and speculative. The Board has asked the Adviser to contact secondary market participants to gauge interest and bid levels on the smaller and less significant positions in the portfolio. Given that the sale and transfer of illiquid holdings and liquidating funds often takes several months, the Board has instructed the Investment Adviser to dispose of these de-minimis positions to clean up the portfolio in advance of any managed wind down over the next 14 months from the date of approving these Financial Statements.

For further details on the liquidation future of the Company, please refer to page 3.

Hindsight Solutions Ltd.

24 October 2023

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

8