Alternative Liquidity Fund : ALF Fact Sheet - September 2022

TICKER: ALF

September 30, 2022

DESCRIPTION

Alternative Liquidity Fund Limited ("ALF" or the "Company") is a Guernsey-domiciled, London Stock Exchange (LSE) - traded closed ended investment company. ALF is listed on the Specialist Fund Segment of the LSE. ALF is a self-managed AIF and has appointed Hindsight Solutions Ltd. as Investment Adviser to assist the Board to realise ALF's investments and return cash to investors.

COMPANY INFORMATION

Investment	Hindsight	Subscriptions &	None, LSE Traded
Adviser:	Solutions Ltd.	Redemptions:
Dollar Share	ORD	Bloomberg:	ALF.LN
Domicile:	Guernsey	Reuters:	ALF.L
SEDOL:	BYRGPD6	ISIN:	GG00BYRGPD65

PORTFOLIO OVERVIEW (as at September 30, 2022):

SIGNIFICANT POSITIONS	Manager NAV	Provision	ALF NAV	% of Portfolio			ASSET CLASS EXPOSURE	% of ALF NAV
($M)	($M)
					Bonds/Credit	73%
Vision FCVS RJ Fund	$18.7	-40%	$11.2	64.6%
		Real Estate	3%
Vision Special Credit Opp Eletrobras Fund	$8.1	-45%	$4.4	25.6%
		Equity	6%
Vision Invest RJ	$1.4		$1.4	8.3%
			Other	12%
Warana 2018 Fund	$0.5	-14%	$0.4	2.4%			Cash (Includes cash at underlying fund level)	5%
Autonomy Rochavera Fund	$0.5	-50%	$0.2	1.4%			GEOGRAPHIC ALLOCATION	% of ALF NAV
		(ex cash)
Abax Arhat Funds	$4.1	-95%	$0.2	1.2%
		Americas	93%
Other Investments	$34.1	-100%	$0.0	0.3%
		Brazil	90%
							North America	3%
Cash	$1.5		$1.5	8.4%
			Other Latin America & Carribean	1%
Fund Liabilities			-$2.1	-12.2%
				Europe	4%
							Ukraine	1%
Total	$68.8		$17.3	100.0%
			European Union & United Kingdom	1%
Net Asset Value Per Share (Sep 30, 2022)	0.4693		0.1179
				Other Europe	2%
Net Asset Value Per Share (Jun 31, 2022)							Asia	3%
0.4703		0.1382
				China	2%
Change (%) in NAV Per Share	-0.22%		-14.69%
				Rest of World	0%

FUND UPDATE

ALF's Net Asset Value ("NAV") decreased by 14.69% during the third quarter of 2022.

Following the Board's announcement to work towards liquidating the Company by the end of 2023, Grant Thornton, the Company's auditor, required the Company to estimate and account for all the running and liquidation costs from July 1st 2022 until Dec 31st 2023, and this was included in the latest financial statements. This estimated liability translates into an 11% negative adjustment over the quarter. The balance (c.3.69%) is due to a slight reduction in all the Vision funds values, a 5% increase in the Abax provision, as we still do not have updated statements from them and a 50% provision against Autonomy Rochavera. In line with the Company's valuation methodology, if the Board or Investment Adviser are aware of recent secondary market activity or accurate secondary market pricing for a position, that position is price-adjusted in accordance with such activity/pricing.

With respect to our Brazilian holdings, Vision informed shareholders that as a result of a congested December Court schedule, they do not expect to be granted legal permission to withdraw (and thus remit) the Siemens claim monies until the first quarter of 2023. More positively, we were also informed that the sale/purchase agreement for the balance of the Vision Special Credit Opp Eletrobras Fund has now been agreed. We expect to receive proceeds from that sale in the coming months.

www.alternativeliquidityfund.com	Alternative Liquidity Fund Limited | 1

TICKER: ALF

September 30, 2022

ALF VALUATION METHODOLOGY

ALF is invested in approximately 24 illiquid third-party funds and companies*. The quality of assets and information provided by the managers of these funds varies greatly. While many funds provide regular net asset value estimates of their portfolio, the Board believes that these valuations can be optimistic in their inputs or assumptions and it is generally expected that these type of funds trade at a discount to these valuations in the secondary market (where observable). Some of the funds in the ALF portfolio are also delinquent in providing their valuation estimates and/or have not had their accounts audited in a regular timeframe. As such, the Board thinks it is appropriate to review the valuations provided by the underlying funds and apply provisions where appropriate. Unfortunately, the secondary market for fund interests is not deep, is characterized by many small transactions and pricing information is not transparent. Price points can also be skewed adversely through the activity of one-off, highly motivated sellers. As such, the Board cannot readily apply a 'mark to secondary bid' valuation approach.

As previously mentioned, the provisioning process takes into account the quality of the information received from the underlying funds, their valuation processes, geographical locations and risks associated with an underlying fund's assets. Where possible, this analysis is then checked against observable secondary market activity. Provisions are applied based on the following criteria:

1. Where a manager, liquidator or other authorized party has advised that they expect a recovery materially less than the stated net asset value, the conservative end of the recovery range is used.

Where no third-party guidance is received, the Board applies provisions of 10% - 50% across each of the following criteria cumulatively:

1. If the net asset value is delinquent and/or not provided within the timeframe previously advised to investors, a provision is applied.
2. If a third-party liquidator (or similar) has been appointed, an incremental discount is applied and if this party has not made progress on the fund in a reasonable time frame, this discount may be increased.
3. The Board seeks to receive bottom-up information on the remaining assets in each of the underlying funds. Because these funds are run by third parties, it is not always possible to get the full amount of information desired. An incremental discount is applied if the additional asset level information desired has not been received.
4. If fund audited financial statements are late or qualified, a discount is applied, which increases if an audit has not been completed for several years.
5. It is expected that invested funds have third party administrators/valuation agents. Should the Board not be able to determine whether such a group is still involved, an incremental discount is applied.
6. An additional discount is applied relating to the perceived incremental geographic, political or currency related risk of the fund or manager.
7. It is not uncommon for legacy illiquid funds to be involved in some type of litigation or have issues with key regulators. An incremental discount is applied depending on the severity of the litigation or investigation.
8. Should the fund or assets still have significant leverage, an incremental discount is applied.

The Board then gathers the cumulative discounts applied in steps 1 through 9 and seeks to compare the proposed provision against what is observable in the secondary market. The following incremental test is applied.

10. If the Board is aware of a reliable third party, completed secondary market price that is:

1. Within the last 6 months: AND
2. At a discount to the manager-provided net asset value of greater than 50% discount; AND
3. The price is more than 25% different to the Board's price calculated by applying 1 through 9, then an extra provision is applied to equate the provision levels to the secondary market value. The Board will keep that provision in place until new and/or significant information emerges.

*Includes portfolio holdings with a positive NAV after provisions.

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TICKER: ALF

September 30, 2022

ALF VALUATION METHODOLOGY (Continued)

The following table summarizes how each of the top 6 investments in ALF (by ALF NAV) measure against the valuation approach and the cumulative provision applied against each:

Valuation Guidelines

4. Unwillingness of

5. AFS not

7. Asset or

8. Significant SEC

10. Recent

1. Alternative

2. Not Reporting

3. Liquidator

Manager to

6. No Third Party

Produced on

Manager Based in

Inquiry or

9. Asset Levered

Secondary Market

Total ALF Provision

Outcome Advised

NAV on Schedule

Appointed

Provide Asset

Schedule

Administrator

EM Country

Litigation

Trading Activity

Level Info

Fund Holdings

✓/-

/-

/-

/-

/-

/-

/-

/-



✓/-

Vision Brazil FCVS RJ Fund







Vision Brazil Special Credit Opp Eletrobras Fund

✓







Warana 2018 Fund (1)

✓

Vision RJ Cayman

Autonomy Rochavera Fund





✓

Abax Arhat Funds









BOARD OF DIRECTORS

The Board comprises three Directors, all of whom are non-executive and independent of the Investment Adviser. The Directors are responsible for the determination of the Company's investment policy and overall supervision. The Directors are as follows:

Quentin Spicer (Chairman):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, The Guernsey Housing Association LBG, and is a director of a Summit Properties Limited. He is a member of the Institute of Directors.

Dr. Richard Berman: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, respectively. His experience includes 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.

Anthony Pickford: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 Barnham & Company (now Deloitte). 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.

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TICKER: ALF

September 30, 2022

SERVICE PROVIDERS

Custodian:	Citibank, N.A.	Guernsey Legal:	Carey Olsen
Auditor:	Grant Thornton LLP	UK Legal:	Stephenson Harwood LLP
Administrator:	Sanne Fund Services Ltd.	Registrar:	Link Asset Services

DISTRIBUTIONS

Announcement Date	Ex Date	Record Date	Payment Date	Amount (per
share)
August 31, 2016	September 5, 2016	September 6, 2016	September 15, 2016	$	0.020
November 28, 2016	November 30, 2016	December 1, 2016	December 15, 2016	$	0.055
June 8, 2017	June 20, 2017	June 21, 2017	June 30, 2017	$	0.025
October 30, 2017	October 31, 2017	November 1, 2017	November 10, 2017	$	0.030
April 6, 2018	April 9, 2018	April 10, 2018	April 19, 2018	$	0.030
November 22, 2018	November 22, 2018	November 23, 2018	December 13, 2018	$	0.020
January 24, 2019	January 25, 2019	January 28, 2019	February 15, 2019	$	0.020
December 5, 2019	December 19, 2019	December 20, 2019	January 7, 2020	$	0.015
July 24, 2020	July 28, 2020	July 29, 2020	August 18, 2020	$	0.010
March 25, 2021	March 29, 2021	March 30, 2020	April 23, 2021	$	0.010
October 29, 2021	November 2, 2021	November 3, 2021	December 3, 2021	$	0.015
			Total	$	0.250

DISCLOSURES/ FOOTNOTES

There is no guarantee that any investment strategy will achieve its objectives, generate profits or avoid losses. Due to rounding, totals in tables may not add up to 100%. Fund holdings are subject to change and should not be considered investment advice.

Alternative Liquidity Fund Limited Disclaimer: Alternative Liquidity Fund Limited believes that the information displayed on this document is accurate as at the date of publication, but we do not guarantee the accuracy or currentness of any information and we disclaim all representations and warranties, whether express or implied, to the extent permitted by applicable law and regulation. Further, the information displayed may be amended by us at any time and without notice. By continuing to use this document, you agree to the exclusion by us, to the extent permitted by applicable law and regulation, of any and all liability for any direct, indirect, punitive, consequential, incidental, special or other damages, including, without limitation, loss of profits, revenue or data arising out of or relating to your use of and our provision of this document and its content. By proceeding, you are representing that you have understood and accepted the terms, conditions and restrictions noted herein. An investor should consider investment objectives, risks, charges and expenses of the Fund(s) carefully before investing. Please read the prospectus for complete information before investing. All trademarks, service marks, and logos appearing on this Site are the exclusive property of their respective owners. The information on this Website is not an offer to sell or solicitation of an offer to buy an interest in any investment fund or for the provision of any investment management or advisory services.

Link Asset Services, ALF's Registrar, is available to answer any queries in relation to your shareholding. In particular, please contact Link Customer Support to claim any distributions that may have been unpaid due to outdated shareholder information.

Phone: (UK) 0871 664 0300; (Overseas) [phone] calls cost 12p per minute plus your phone company's access charge. Calls outside the United Kingdom will be charged at the applicable international rate. Offices are open between 09:00 - 17:30, Monday to Friday excluding public holidays in England and Wales. Email: [e-mail]

Post: Link Asset Services, The Registry, 34 Beckenham Road, Beckenham, Kent, BR3 4TU

Shareholders are reminded that distributions are dependent upon the liquidity of the portfolio, which is highly illiquid and the timing of underlying distributions is difficult to predict.

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