Alternative Liquidity Fund : Interim Report 31 December 2023

ALTERNATIVE LIQUIDITY FUND LIMITED

INTERIM REPORT AND UNAUDITED

CONDENSED INTERIM FINANCIAL STATEMENTS

FOR THE SIX MONTHS ENDED

31 DECEMBER 2023

ALTERNATIVE LIQUIDITY FUND LIMITED

CONTENTS

Highlights	1
Company Summary	2
Chairman's Statement	3-5
Board of Directors	6
Statement of Directors' Responsibilities	7-8
Principal Risks and Uncertainties	9
Unaudited Condensed Interim Statement of Comprehensive Income	10
Unaudited Condensed Interim Statement of Financial Position	11
Unaudited Condensed Interim Statement of Changes in Equity	12
Unaudited Condensed Interim Statement of Cash Flows	13
Notes to the Unaudited Condensed Interim Financial Statements	14-27
Schedule of Investments (unaudited)	28-29
Company Information	30

ALTERNATIVE LIQUIDITY FUND LIMITED

Highlights

For the six months ended 31 December 2023

Financial Highlights

	31 December 2023	30 June 2023
Total net asset value ("NAV")	US$12.7 million	US$12.6 million
NAV per Ordinary Share	8.68¢	8.58¢
Share price	3.50¢	5.00¢
Discount to NAV	59.7%	41.7%

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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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 has been listed on the Specialist Fund Segment ("SFS") of the Main Market of the of the London Stock Exchange ("LSE") since 26 January 2021, when it transferred from the Premium Segment of the LSE.

The Company is pursuing a realisation strategy in relation to its current investment portfolio of illiquid interests in funds, securities and other instruments with the objective to manage, monitor and realise these investments.

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 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.

On 6 December 2023, the Company held an AGM where the continuation proposal to December 2024 was passed. The Company will continue to keep Shareholders updated as to progress on at least a quarterly basis and will consult with Shareholders should there be any material changes proposed. The Board will also keep under review the costs and potential upside in the value of the portfolio associated with maintaining the Company and continuing to pursue the realisation strategy as against the costs of entering into formal liquidation. As indicated above, following the managed wind-down process, the Directors expect to put proposals to Shareholders by December 2024 for the appointment of a liquidator.

Outlook

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 31 December 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 9 months from the approval of these Interim Financial Statements.

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

Due to the diminishing size of the portfolio, the Company continues to reduce costs so far as practical, with a view to recommending to shareholders a voluntary solvent liquidation when the vast majority of assets with positive value have been realised. However, notwithstanding this objective, the Board continues to explore opportunities which may preserve or enhance the intrinsic value of the Company. The Board intends to consult with shareholders prior to recommending any such opportunities.

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

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

CHAIRMAN'S STATEMENT

Introduction

I am pleased to present the Interim Financial Statements for the period from 1 July 2023 to 31 December 2023. The Company is an investment trust listed on the London Stock Exchange ("LSE") in the Specialist Fund Segment and focuses exclusively 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; portfolio reporting; active portfolio realisation management; and superior corporate governance.

On 6 December 2023, the Company held its AGM and its continuation vote. The Board recommended that shareholders vote in favour of the continuation to allow further time for the Company to ensure that the positions held in the Vision funds achieve a greater market value prior to putting the Company into a solvent voluntary liquidation towards the end of 2024. The Continuation Resolution was passed and the Company undertook to continue to keep Shareholders updated on the progress on at least a quarterly basis and to consult with Shareholders should there be any material changes. The Board also undertook to keep under review the ongoing costs associated with maintaining the Company versus the potential upside in the value of the portfolio and continuing to pursue the realisation strategy prior to entering into formal liquidation. As indicated above, at the conclusion of the managed wind-down process, the Directors expect to put proposals to Shareholders in or before December 2024 for the appointment of a liquidator.

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. It is almost entirely exposed to global emerging markets, with most of the underlying funds denominated in local currencies.

At the start of the period the Company had a Net Asset Value of US$12.6m and a NAV per share of US$0.0858. At the end of the period the Company's NAV was US$12.7m and a NAV per share of US$0.0868. The Company had a cash balance of approximately US$0.510m as at 31 December 2023 (30 June 2023: US$0.920m).

The Company is in a managed wind down and the Vision funds comprise 96% of the Company's adjusted Portfolio. These are discussed below.

Vision FCVS RJ (Vision RJ)

The entire ownership chain of the Vision RJ claims has been analysed, with 63% capable of submission to Caixa, the state-owned Brazilian financial services company responsible for claim novation. Vision submitted these claims to Caixa for validation prior to the end of 2023.

External Brazilian counsel anticipates that Caixa will take several months to issue a verdict on the submitted claims and, if that is positive, which the Board and Hindsight expect to be the case, the claims will be eligible for novation, a process that can take a further 18 months. It is at this point, with the benefit of Caixa's validation but prior to novation, that a negotiation to sell the claims to a local Brazilian Bank will commence.

During the second half of 2023, Vision and the Vision RJ shareholders had been in discussions with a number of Brazilian investment banks to sell a significant stake in the Vision RJ fund in exchange for the repayment of the entire V-Invest loan as well as an equity stake in the fund. The aim of the transaction was to create liquidity for shareholders as well as strengthen the chances of claiming novation by adding a powerful local entity to the shareholder group. In the event, the proposed arrangement did not occur since the price offered by the potential buyers proved to be unacceptable and the resulting dilution too great for the existing shareholders to accept.

However, since that time, an alternative deal has been agreed with Vision and an external lawyer which the shareholders believe will have a significantly positive impact on the potential outcome and timing of the Vision RJ claim monetization. Vision and the external law firm will inject $3m into the Vision RJ Cayman vehicle of which $1.8m will be used to pay down the principal of the V-Invest loan. This equates to $300k of inflows to ALF. The balance of $1.2m will be used by the intermediary Cayman vehicles that hold the assets for working capital. In exchange for this, Vision and the external law firm will receive an 18% stake in the Vision RJ fund. A distribution waterfall has also been agreed whereby Vision and the external law firm receive a preferred return on their investment, following which the V Invest loan is repaid and the equity holders receive the balance.

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

CHAIRMAN'S STATEMENT, CONTINUED

Portfolio and performance, continued

Vision FCVS RJ (Vision RJ), continued

We have been seeking to agree a performance fee model with Vision for two years and have also been trying to motivate the lawyers to focus on the Vision RJ claims. The sale of a position in the fund's equity achieves this goal. Both will, we believe, be highly motivated to create a liquidity event for the Vision RJ fund. In exchange, the shareholders receive a small distribution while maintaining a senior position over the bulk of the RJ fund.

V-Invest Loan

This vehicle was created in November 2016 to fund the working capital requirements of the Vision RJ Cayman Islands vehicles. The suspension of claim novations in Brazil (as described above), had the effect of reducing liquidity within the Cayman vehicles which were unable to pay third-party service providers. The loan, which was designed to provide an alternative source of liquidity, was funded by the major shareholders of Vision RJ. The Company invested $210k (out of $1m) to ensure that no other shareholder controlled more than 50% of the vehicle. Vision asked all shareholders to contribute an additional $600k in July of 2023, all original participants contributed their pro-rata portion, and the Company added $130k to the loan. Given the transaction detailed above, this will be the last time the Company has to contribute to the loan.

Vision Special Credit Opportunity Eletrobras Fund (Vision ELT)

The largest claim in Vision ELT is the Siemens claim, which represented approximately 90% of the Vision ELT Fund NAV at the start of the period. The full amount of the claim was deposited by Eletrobras into the government escrow account in early 2022. The next step is for the court to allow Vision to withdraw the funds from the escrow account and distribute the funds to shareholders. Unfortunately, Eletrobrás continues to pursue bad-faith litigation tactics to impede a withdrawal permit being granted to Vision.

In October, Vision and the ELT Fund shareholders agreed to sell the Siemens claim to a local investor. The sale was due to be completed in December 2023. However, the buyer informed Vision at the last moment of their wish to make a significant pricing change, which Vision refused to accept. While we agreed with Vision's decision this was nonetheless extremely disappointing. The Company has subsequently commenced discussions with another party who has expressed interest in buying the exposure to the Siemens claim held in the Portfolio.

With respect to Eletrobras, Vision's external legal team has filed another complaint to the court for the delay in issuing the withdrawal permit and, at the same time, has approached Eletrobras directly to see if a settlement or agreement can be reached which would allow withdrawal of the deposited funds.

ALF's remaining positions

Autonomy Rochavera owns a majority stake in an office building in Sao Paolo, Brazil. The building is currently being marketed for sale. The Company is also discussing selling its stake in Rochavera to a secondary buyer given the lackluster real estate market in Brazil and the uncertainty regarding timing and unpredictability of recovery outcomes.

Warana 2018 Fund has returned 1.19x DPI (distributions to paid-in capital) to date to its shareholders. The manager is indicating future recoveries will likely produce a total fund return of 1.37x DPI. The difficulty is predicting the timing of those returns. Using the manager's conservative valuation, the Board believes that this position is worth in the order of $200k. The Board is considering a secondary sale of the position if the Company enters its final stages of wind down.

During the period the Company received US$169,943 from the following underlying manager distributions:

	US$
Abax Arhat	128,879
Abax Upland	3,225
CAMOFI A	35,661
CAMOFI B	1,932
Valens Offshore	246
	169,943
ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS	4

ALTERNATIVE LIQUIDITY FUND LIMITED

CHAIRMAN'S STATEMENT, CONTINUED

ALF's remaining positions, continued

The Company also received $29,380 from the cancellation of 35,561 shares of untraceable shareholders whose unclaimed dividends have been forfeited.

The Board has discretion with regard to cash distribution to shareholders but must be mindful of the working capital requirements of the Company and the cost of a distribution when determining whether or not to proceed.

Outlook

Due to the diminishing size of the Portfolio and for the reasons previously explained, the Company continues to wind down and reduce costs as far as possible, with a view to recommending to the shareholders solvent voluntary liquidation when the majority of assets with positive value have been realised.

As previously communicated, the Company has served notice to Citibank, the custodian, and portfolio holdings have been re-registered into the Company's name. This will achieve annualised savings of approximately $50k. However, notwithstanding this, the Board continues to explore situations which may preserve the intrinsic value of the Company.

Quentin Spicer

Chairman

20 March 2024

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

BOARD OF DIRECTORS

The Directors are responsible for the development of the Company's investment objective and have overall responsibility for the Company's investment policy and the overall supervision of the business of the Company.

The Directors of the Company at the date of this report, all of whom served throughout the period and are non-executive and independent by virtue of having no material business relationship with the Company or the former investment manager within the last three years, having received no additional remuneration from the Company apart from a directors' fee, having no close family ties with any of the Company's advisers, Directors or the former investment manager, having no cross-directorships or significant links with other Directors or serving on the board of any other company managed by the same manager, nor representing any significant Shareholder and having served on the board for less than nine years from the date of their first appointment, are as follows:

Quentin Spicer, Chairman, age 79, appointed 25 June 2015

Mr Spicer is a resident of Guernsey. He qualified as a solicitor with Wedlake Bell in 1968 and became a partner in 1970 and head of the Property Department. He moved to Guernsey in 1996 to become senior partner in Wedlake Bell Guernsey, specialising in United Kingdom property transactions and secured lending for UK and non-UK tax resident entities. Mr Spicer retired from practice in 2013. He is former chairman of F&C UK Real Estate Investments Limited, Quintain Guernsey Limited and The Guernsey Housing Association LBG and is currently a director of a number of Property Funds including Summit Properties Limited. He is a member of the Institute of Directors.

Anthony Pickford, aged 70, appointed 14 July 2015

Mr Pickford is a resident of Guernsey. He qualified as a Chartered Accountant in 1976. He moved to Guernsey in 1978 as an Audit Senior with Carnaby Harrower Barham & Company (now Deloittes). In 1986 he joined Chandlers as a partner with a specialism in insolvency matters and advised a range of financial services companies and trading companies on insolvency matters as well as acting as financial adviser to local entities. He became Managing Director of the firm in 2000 and assumed the role of Chairman in 2004 until his retirement in 2008. He has previously been a non-executive Director of several listed companies.

Dr Richard Berman, age 67, appointed 14 July 2015

Dr Berman is a UK resident. He has been involved with the investment management sector since 1989. He was previously a Manager with Orion Bank Limited, Treasurer of Andrea Merzario SpA, Group Treasurer of Heron Corporation plc, joint Managing Director and co-founder of Pine Street Investments Limited, and CEO and co-founder of Sabrecorp Limited and Signet Capital Management Limited. His experience includes advising on the establishment, regulation and management of funds and fund management companies in a range of jurisdictions. He has a PhD in History from the University of Exeter and an MA in Economics from the University of Cambridge. He is a Fellow of the Chartered Securities & Investment Institute, a Fellow of the Association of Corporate Treasurers and a Visiting Research Fellow at Oxford Brookes University.

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

STATEMENT OF DIRECTORS' RESPONSIBILITIES

The Directors are responsible for preparing the Interim Report and Unaudited Condensed Interim Financial Statements in accordance with applicable law and regulations:

• These Unaudited Condensed Interim Financial Statements, which have been prepared in accordance with International Accounting Standard 34, 'Interim Financial Reporting' ("IAS 34") with additional disclosure that the Company consider to be relevant, give a true and fair view of the assets, liabilities, financial position and comprehensive income of the Company; and
• The Interim Report includes a fair review of the information required by:

• DTR 4.2.7R of the Disclosure Guidance and Transparency Rules of the United Kingdom's Financial Conduct Authority, being an indication of important events that have occurred during the period ended 31 December 2023 and their impact on the Unaudited Condensed Interim Financial Statements; and a description of the principal risks and uncertainties for the remaining six months of the year; and
• DTR 4.2.8R of the Disclosure Guidance and Transparency Rules of the United Kingdom's Financial Conduct Authority, being related party transactions that have taken place during the period ended 31 December 2023 and have materially affected the financial position or performance of the Company during that period, and any changes since the related party transactions described in the last Annual Report that could do so.

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company's website, and for the preparation and dissemination of financial statements. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

The half-yearly financial report has not been audited or reviewed by auditors pursuant to the Financial Reporting Council guidance on Review of Interim Financial Information.

In accordance with the UK Corporate Governance Code, the Board considered whether these Unaudited Condensed Interim Financial Statements were fair, balanced and understandable and whether they provided the necessary information for shareholders to access the Company's performance, business model and strategy. Having evaluated all of the available information, the assurances by management and underlying processes used to prepare the published financial information, the Board were satisfied that, taken as a whole, the Unaudited Condensed Interim Financial Statements are fair, balanced and understandable

The Company has a diversified shareholder population. As at 20 March 2024, there were only 3 investors with more than 5% of the issued share capital of the Company.

Going Concern

The Interim Financial Statements have been prepared on a basis other than going concern and amended to reflect the fact that the going concern assumption is not appropriate. This involves writing assets down to their net realisable value based on conditions existing at the end of the reporting period and providing for an estimation of the anticipated wind- down costs to the planned liquidation date. This is a deviation from the requirements of IAS 37 Provisions, Contingent Liabilities and Contingent Assets with no legal or constructive obligation existing as at year end. As IAS 1 does not provide guidance on the financial reporting requirements relating to a basis other than going concern, the Directors are of the opinion that raising a provision for wind-down costs provides the investors with the most relevant and reliable information available, being a best estimate of liquidation proceeds as at the planned liquidation date.

The above deviation includes the Directors judgement in developing an accounting policy with regards to the provision for wind-down costs which prudently and faithfully represents financial information which is deemed to be most relevant to the investors in the Company, being a best estimate of liquidation proceeds as at the planned liquidation date.

In making such judgement, the Directors have considered the requirements of IFRS in dealing with similar and related issues and the definitions, recognition criteria and measurement concepts for assets, liabilities and expenses in the Conceptual Framework for Financial Reporting and concluded that providing for wind-down costs, a deviation from IAS 37, provides more useful and relevant information to the investors and is in compliance with IFRS and the requirements of IAS 1.

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

STATEMENT OF DIRECTORS' RESPONSIBILITIES, CONTINUED

Going Concern, continued

The Directors deem it appropriate to adopt a basis other than going concern in preparing the Interim Financial Statements given the fact they believe that the investments held by the Company may be fully realised and the Company put into liquidation in the next 9 months from the date of approving these Interim Financial Statements in line with the Company's managed wind-down strategy. Please refer to page 2 for detail regarding the Company's Investment Objective and Investment Policy.

Ongoing geopolitical events such as the conflicts in Ukraine and the Middle East have had a significant influence on global markets and has had an economic impact on certain companies held within the Company's portfolio. The Board and the Investment Advisor closely monitors the latest developments relating to ongoing geopolitical events, and the impacts they may have on the Company's portfolio.

Accordingly, the Board has adopted a basis other than that of going concern in the preparation of these Interim Financial Statements. The Directors estimate that the remaining wind-down costs will be approximately US$1,437,926 (30 June 2023: $1,864,984) for which a provision has been recorded however no present obligation exists and therefore is not in accordance with IAS 37, which is considered to be in line with best practise when adopting a non-going concern basis of preparation. See note 10 for further details on the reconciliation of the wind down provision. The Board believes that the Company has sufficient funds available to meet its wind-down costs and day-to-day running costs for the next 9 months from the date of approving these Interim Financial Statements. The Directors consider that the net realisable amount of other assets and liabilities approximate to their fair value and no adjustment is required to their net realisable value under the non-going concern basis of accounting.

Signed on behalf of the Board by:

Anthony Pickford

Director

20 March 2024

ALTERNATIVE LIQUIDITY FUND LIMITED INTERIM REPORT AND UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS

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