• Filing Date: 2020-07-09
  • Form Type: 10-Q
  • Description: Quarterly report
v3.20.2
Fair Value Measurements (Tables)
6 Months Ended
May 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis
The balances of the Company’s assets measured at fair value on a recurring basis as of May 31, 2020, are as follows (in thousands):

 
Level 1
 
Level 2
 
Level 3
 
Total Fair Value
Assets:
 
 
 
 
 
 
 
Investment in limited partnership
$

 
$

 
$
150,200

 
$
150,200

 
$

 
$

 
$
150,200

 
$
150,200


The balances of the Company’s assets measured at fair value on a recurring basis as of November 30, 2019, are as follows (in thousands):
 
Level 1
 
Level 2
 
Level 3
 
Total Fair
Value
Assets:
 
 
 
 
 
 
 
Investment in limited partnership
$

 
$

 
$
137,849

 
$
137,849

Investment in life settlements

 

 
1,297

 
1,297

 
$

 
$

 
$
139,146

 
$
139,146


Schedule of Quantitative Information about Level 3 Fair Value Measurements
The below is a quantitative analysis of the Company's level 3 assets fair value measurements at May 31, 2020:
($ in thousands)
Quantitative Information about Level 3 Fair Value Measurements
 
 
 
Fair Value
at 5/31/2020
 
Aggregate
death benefit
at 5/31/20
 
Valuation Technique
 
Unobservable Input
 
Range (Weighted Average)
Investment in limited partnership
$
150,200

 
$
671,831

 
Discounted cash flow
 
Discount rate
 
14.03%
 
 
 
 
 
 
 
Life expectancy evaluation, distributions, return on investment
 
 
Schedule of Market Interest Rate Sensitivity Analysis
Market interest rate sensitivity analysis of the investment in limited partnership

The extent to which the fair value of the investment in limited partnership could vary in the near term has been quantified by evaluating the effect of changes in the weighted average discount. If the weighted average discount rate were increased or decreased by 1/2 of 1% and the other assumptions used to estimate fair value remained the same, the change in estimated fair value of investment in limited partnership as of May 31, 2020 would be as follows (dollars in thousands):

Weighted Average Rate
Rate Adjustment
 
Value
 
Change in Value
13.53%
(0.50
)%
 
$
154,198

 
$
3,998

14.03%

 
$
150,200

 
$

14.53%
0.50
 %
 
$
146,358

 
$
(3,842
)
Schedule of Changes in Fair Value for All Assets Using Material Level of Unobservable (Level 3) Inputs
The following tables provides a roll-forward in the changes in fair value for the six months ended May 31, 2020, for all assets for which the Company determines fair value using a material level of unobservable (Level 3) inputs (in thousands):

Life Settlements - Consolidated:
 
Balance, December 1, 2019
$
1,297

Sale of policies
(2,040
)
Gain on sale of life settlement
743

Change in fair value

Premiums paid

Balance, May 31, 2020
$

Changes in fair value included in earnings for the period relating to assets held at May 31, 2020
$



Investment in Limited Partnership
 
Balance, December 1, 2019
$
137,849

Change in fair value
16,351

Distributions

(4,000
)
Balance, May 31, 2020
$
150,200

Changes in fair value included in earnings for the period relating to assets held at May 31, 2020
$
12,351


The following tables provides a roll-forward in the changes in fair value for the periods ended May 31, 2019, for all assets for which the Company determines fair value using a material level of unobservable (Level 3) inputs, which consists solely of life settlements (in thousands):
Life Settlements - Consolidated:
 
Balance, December 1, 2018
$
1,172

Purchase of policies

Change in fair value
6

Matured/lapsed/sold polices

Premiums paid
77

Balance, May 31, 2019
$
1,255

Changes in fair value included in earnings for the period relating to assets held at May 31, 2019
$
6


Life Settlements - Deconsolidated:
 
Balance, December 1, 2018
$
505,235

Purchase of policies

Change in fair value
(29,825
)
Receivable for maturity of life settlement write off
17,800

Policies matured
(68,606
)
Premiums paid
50,947

Balance at, May 31, 2019

$
475,551

Changes in fair value included in earnings for the period relating to deconsolidated assets held at May 31, 2019
$
69,907

The following table provides a roll-forward in the changes in fair value for the period ended May 31, 2019, for the investment in deconsolidated subsidiaries for which the Company determines fair value using a material level of unobservable (Level 3) inputs (in thousands):
Investment in Deconsolidated Subsidiaries
 
Investment in Lamington at December 1, 2018

$
128,795

Change in fair value
(52,769
)
Increase in basis investment

1,151

Investment in Lamington at May 31, 2019

$
77,177

Schedule of Changes in Fair Value for All Liabilities Using Material Level of Unobservable (Level 3) Inputs
The following tables provides a roll-forward in the changes in fair value for the periods ended May 31, 2019, for the White Eagle Revolving Credit Facility for which the Company determines fair value using a material level of unobservable (Level 3) inputs (in thousands):
White Eagle Revolving Credit Facility - Deconsolidated:
 
Balance, December 1, 2018

$
346,670

Draws under the White Eagle Revolving Credit Facility
4,221

Payments on White Eagle Revolving Credit Facility

Unrealized change in fair value
43,679

Balance, May 31, 2019
$
394,570

Changes in fair value included in earnings for the period relating to liabilities at May 31, 2019
$
43,679