| FAIR VALUE OF FINANCIAL INSTRUMENTS | FAIR VALUE OF FINANCIAL INSTRUMENTS The Company determined the fair value of its financial instruments based on the fair value hierarchy established in FASB guidance referenced in the Fair Value Measurements and Disclosures Topic which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The Company has adopted the provisions from the FASB guidance that is referenced in the Fair Value Measurements and Disclosures Topic for non-financial assets and liabilities (such as property and equipment, goodwill, and other intangible assets) that are required to be measured at fair value on a periodic basis. The effect on the Company’s periodic fair value measurements for non-financial assets and liabilities was not material. The Company has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three level hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the consolidated balance sheets are categorized as follows: • Level 1: Unadjusted quoted prices for identical assets or liabilities in an active market. • Level 2: Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following: a) Quoted prices for similar assets or liabilities in active markets; b) Quoted prices for identical or similar assets or liabilities in non-active markets; c) Inputs other than quoted market prices that are observable; and d) Inputs that are derived principally from or corroborated by observable market data through correlation or other means. • Level 3: Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. They reflect management’s own estimates about the assumptions a market participant would use in pricing the asset or liability. The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of March 31, 2020: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 6,930,540 $ — $ 6,930,540 Commercial mortgage-backed securities 4 — 2,495,267 10,783 2,506,050 Other asset-backed securities 4 — 1,218,709 436,329 1,655,038 U.S. government-related securities 4 681,397 348,859 — 1,030,256 State, municipals, and political subdivisions 4 — 4,563,619 — 4,563,619 Other government-related securities 4 — 579,401 — 579,401 Corporate securities 4 — 42,848,166 1,279,769 44,127,935 Redeemable preferred stocks 4 63,618 16,280 — 79,898 Total fixed maturity securities - available-for-sale 745,015 59,000,841 1,726,881 61,472,737 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 197,722 — 197,722 Commercial mortgage-backed securities 3 — 181,870 — 181,870 Other asset-backed securities 3 — 69,283 65,028 134,311 U.S. government-related securities 3 33,332 11,740 — 45,072 State, municipals, and political subdivisions 3 — 284,213 — 284,213 Other government-related securities 3 — 27,596 — 27,596 Corporate securities 3 — 1,539,695 13,012 1,552,707 Redeemable preferred stocks 3 10,015 — — 10,015 Total fixed maturity securities - trading 43,347 2,312,119 78,040 2,433,506 Total fixed maturity securities 788,362 61,312,960 1,804,921 63,906,243 Equity securities 3 405,221 — 72,968 478,189 Other long-term investments (1) 3 & 4 199,060 620,598 162,081 981,739 Short-term investments 3 953,732 67,605 — 1,021,337 Total investments 2,346,375 62,001,163 2,039,970 66,387,508 Cash 3 381,447 — — 381,447 Assets related to separate accounts Variable annuity 3 10,493,017 — — 10,493,017 Variable universal life 3 915,750 — — 915,750 Total assets measured at fair value on a recurring basis $ 14,136,589 $ 62,001,163 $ 2,039,970 $ 78,177,722 Liabilities: Annuity account balances (2) 3 $ — $ — $ 68,395 $ 68,395 Other liabilities (1) 3 & 4 57,404 375,924 1,262,274 1,695,602 Total liabilities measured at fair value on a recurring basis $ 57,404 $ 375,924 $ 1,330,669 $ 1,763,997 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2019: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 5,931,341 $ — $ 5,931,341 Commercial mortgage-backed securities 4 — 2,629,639 10,029 2,639,668 Other asset-backed securities 4 — 1,360,016 421,219 1,781,235 U.S. government-related securities 4 662,581 369,815 — 1,032,396 State, municipals, and political subdivisions 4 — 4,638,850 — 4,638,850 Other government-related securities 4 — 597,169 — 597,169 Corporate securities 4 — 45,435,387 1,373,714 46,809,101 Redeemable preferred stocks 4 69,976 16,689 — 86,665 Total fixed maturity securities - available-for-sale 732,557 60,978,906 1,804,962 63,516,425 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 209,521 — 209,521 Commercial mortgage-backed securities 3 — 201,284 — 201,284 Other asset-backed securities 3 — 77,954 65,407 143,361 U.S. government-related securities 3 24,810 22,257 — 47,067 State, municipals, and political subdivisions 3 — 293,791 — 293,791 Other government-related securities 3 — 28,775 — 28,775 Corporate securities 3 — 1,579,565 11,371 1,590,936 Redeemable preferred stocks 3 12,832 — — 12,832 Total fixed maturity securities - trading 37,642 2,413,147 76,778 2,527,567 Total fixed maturity securities 770,199 63,392,053 1,881,740 66,043,992 Equity securities 3 480,750 — 72,970 553,720 Other long-term investments (1) 3 & 4 52,225 733,425 209,843 995,493 Short-term investments 3 1,255,384 65,480 — 1,320,864 Total investments 2,558,558 64,190,958 2,164,553 68,914,069 Cash 3 171,752 — — 171,752 Assets related to separate accounts Variable annuity 3 12,730,090 — — 12,730,090 Variable universal life 3 1,135,666 — — 1,135,666 Total assets measured at fair value on a recurring basis $ 16,596,066 $ 64,190,958 $ 2,164,553 $ 82,951,577 Liabilities: Annuity account balances (2) 3 $ — $ — $ 69,728 $ 69,728 Other liabilities (1) 3 & 4 19,561 509,645 1,017,972 1,547,178 Total liabilities measured at fair value on a recurring basis $ 19,561 $ 509,645 $ 1,087,700 $ 1,616,906 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) Determination of Fair Values The valuation methodologies used to determine the fair values of assets and liabilities reflect market participant assumptions and are based on the application of the fair value hierarchy that prioritizes observable market inputs over unobservable inputs. The Company determines the fair values of certain financial assets and financial liabilities based on quoted market prices, where available. The Company also determines certain fair values based on future cash flows discounted at the appropriate current market rate. Fair values reflect adjustments for counterparty credit quality, the Company’s credit standing, liquidity, and where appropriate, risk margins on unobservable parameters. The following is a discussion of the methodologies used to determine fair values for the financial instruments as listed in the above table. The fair value of fixed maturity, short-term, and equity securities is determined by management after considering one of three primary sources of information: third party pricing services, non-binding independent broker quotations, or pricing matrices. Security pricing is applied using a “waterfall” approach whereby publicly available prices are first sought from third party pricing services, the remaining unpriced securities are submitted to independent brokers for non-binding prices, or lastly, securities are priced using a pricing matrix. Typical inputs used by these three pricing methods include, but are not limited to: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including market research publications. Third party pricing services price 92.4% of the Company’s available-for-sale and trading fixed maturity securities. Based on the typical trading volumes and the lack of quoted market prices for available-for-sale and trading fixed maturities, third party pricing services derive the majority of security prices from observable market inputs such as recent reported trades for identical or similar securities making adjustments through the reporting date based upon available market observable information outlined above. If there are no recent reported trades, the third party pricing services and brokers may use matrix or model processes to develop a security price where future cash flow expectations are developed based upon collateral performance and discounted at an estimated market rate. Certain securities are priced via independent non-binding broker quotations. When using non-binding independent broker quotations, when available the Company obtains two quotes per security. Where multiple broker quotes are obtained, the Company reviews the quotes and selects the quote that provides the best estimate of the price a market participant would pay for these specific assets in an arm’s length transaction. A pricing matrix is used to price securities for which the Company is unable to obtain or effectively rely on either a price from a third party pricing service or an independent broker quotation. The pricing matrix used by the Company begins with current spread levels to determine the market price for the security. The credit spreads, assigned by brokers, incorporate the issuer’s credit rating, liquidity discounts, weighted-average of contracted cash flows, risk premium, if warranted, due to the issuer’s industry, and the security’s time to maturity. The Company uses credit ratings provided by nationally recognized rating agencies. For securities that are priced via non-binding independent broker quotations, the Company assesses whether prices received from independent brokers represent a reasonable estimate of fair value. The Company’s assessment incorporates various metrics (yield curves, credit spreads, prepayment rates, etc.) along with other information available to the Company from both internal and external sources to determine the valuation of such holdings. As a result of this analysis, if the Company determines there is a more appropriate fair value based upon the analytics, the price received from the independent broker is adjusted accordingly. The Company did not adjust any quotes or prices received from brokers during the three months ended March 31, 2020. The Company has analyzed the third party pricing services’ valuation methodologies and related inputs and has also evaluated the various types of securities in its investment portfolio to determine an appropriate fair value hierarchy level based upon trading activity and the observability of market inputs that is in accordance with the Fair Value Measurements and Disclosures Topic of the ASC. Based on this evaluation and investment class analysis, each price was classified into Level 1, 2, or 3. Most prices provided by third party pricing services are classified into Level 2 because the significant inputs used in pricing the securities are market observable and the observable inputs are corroborated by the Company. Since the matrix pricing of certain debt securities includes significant non-observable inputs, they are classified as Level 3. Asset-Backed Securities This category mainly consists of residential mortgage-backed securities, commercial mortgage-backed securities, and other asset-backed securities (collectively referred to as asset-backed securities or “ABS”). As of March 31, 2020, the Company held $11.1 billion of ABS classified as Level 2. These securities are priced from information provided by a third party pricing service and independent broker quotes. The third party pricing services and brokers mainly value securities using both a market and income approach to valuation. As part of this valuation process they consider the following characteristics of the item being measured to be relevant inputs: 1) weighted-average coupon rate, 2) weighted-average years to maturity, 3) types of underlying assets, 4) weighted-average coupon rate of the underlying assets, 5) weighted-average years to maturity of the underlying assets, 6) seniority level of the tranches owned, and 7) credit ratings of the securities. After reviewing these characteristics of the ABS, the third party pricing service and brokers use certain inputs to determine the value of the security. For ABS classified as Level 2, the valuation would consist of predominantly market observable inputs such as, but not limited to: 1) monthly principal and interest payments on the underlying assets, 2) average life of the security, 3) prepayment speeds, 4) credit spreads, 5) treasury and swap yield curves, and 6) discount margin. The Company reviews the methodologies and valuation techniques (including the ability to observe inputs) in assessing the information received from external pricing services and in consideration of the fair value presentation. As of March 31, 2020, the Company held $512.1 million of Level 3 ABS, which included $447.1 million of other asset-backed securities classified as available-for-sale and $65.0 million of other asset-backed securities classified as trading. These securities are predominantly ARS whose underlying collateral is at least 97% guaranteed by the FFELP. The Company prices its ARS using an income approach valuation model. As part of the valuation process the Company reviews the following characteristics of the ARS in determining the relevant inputs: 1) weighted-average coupon rate, 2) weighted-average years to maturity, 3) types of underlying assets, 4) weighted-average coupon rate of the underlying assets, 5) weighted-average years to maturity of the underlying assets, 6) seniority level of the tranches owned, 7) credit ratings of the securities, 8) liquidity premium, and 9) paydown rate. In periods where market activity increases and there are transactions at a price that is not the result of a distressed or forced sale we consider those prices as part of our valuation. If the market activity during a period is solely the result of the issuer redeeming positions we consider those transactions in our valuation, but still consider them to be Level 3 measurements due to the nature of the transaction. Corporate Securities, Redeemable Preferred Stocks, U.S. Government-Related Securities, States, Municipals, and Political Subdivisions, and Other Government-Related Securities As of March 31, 2020, the Company classified approximately $50.2 billion of corporate securities, redeemable preferred stocks, U.S. government-related securities, states, municipals, and political subdivisions, and other government-related securities as Level 2. The fair value of the Level 2 securities is predominantly priced by broker quotes and a third party pricing service. The Company has reviewed the valuation techniques of the brokers and third party pricing service and has determined that such techniques used Level 2 market observable inputs. The following characteristics of the securities are considered to be the primary relevant inputs to the valuation: 1) weighted- average coupon rate, 2) weighted-average years to maturity, 3) seniority, and 4) credit ratings. The Company reviews the methodologies and valuation techniques (including the ability to observe inputs) in assessing the information received from external pricing services and in consideration of the fair value presentation. The brokers and third party pricing service utilize valuation models that consist of a hybrid methodology that utilizes a cash flow analysis and market approach to valuation. The pricing models utilize the following inputs: 1) principal and interest payments, 2) treasury yield curve, 3) credit spreads from new issue and secondary trading markets, 4) dealer quotes with adjustments for issues with early redemption features, 5) liquidity premiums present on private placements, and 6) discount margins from dealers in the new issue market. As of March 31, 2020, the Company classified approximately $1.3 billion of securities as Level 3 valuations. Level 3 securities primarily represent investments in illiquid bonds for which no price is readily available. To determine a price, the Company uses a discounted cash flow model with both observable and unobservable inputs. These inputs are entered into an industry standard pricing model to determine the final price of the security. These inputs include: 1) principal and interest payments, 2) coupon rate, 3) sector and issuer level spread over treasury, 4) underlying collateral, 5) credit ratings, 6) maturity, 7) embedded options, 8) recent new issuance, 9) comparative bond analysis, and 10) an illiquidity premium. Equities As of March 31, 2020, the Company held approximately $73.0 million of equity securities classified as Level 3. Of this total, $73.0 million represents Federal Home Loan Bank (“FHLB”) stock. The Company believes that the cost of the FHLB stock approximates fair value. Other Long-Term Investments and Other Liabilities Derivative Financial Instruments Other long-term investments and other liabilities include free-standing and embedded derivative financial instruments. Refer to Note 7, Derivative Financial Instruments for additional information related to derivatives. Derivative financial instruments are valued using exchange prices, independent broker quotations, or pricing valuation models, which utilize market data inputs. Excluding embedded derivatives, as of March 31, 2020, 86.2% of derivatives based upon notional values were priced using exchange prices or independent broker quotations. The remaining derivatives were priced by pricing valuation models, which utilize observable market data inputs to the extent they are available. Inputs used to value derivatives include, but are not limited to, interest swap rates, credit spreads, interest rate and equity market volatility indices, equity index levels, and treasury rates. The Company performs monthly analysis on derivative valuations that includes both quantitative and qualitative analyses. Derivative instruments classified as Level 1 generally include futures and options, which are traded on active exchange markets. Derivative instruments classified as Level 2 primarily include swaps, options, and swaptions, which are traded over-the-counter. Level 2 also includes certain centrally cleared derivatives. These derivative valuations are determined using independent broker quotations, which are corroborated with observable market inputs. Derivative instruments classified as Level 3 were embedded derivatives and include at least one significant non-observable input. A derivative instrument containing Level 1 and Level 2 inputs will be classified as a Level 3 financial instrument in its entirety if it has at least one significant Level 3 input. The Company utilizes derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instruments may not be classified within the same fair value hierarchy level as the associated assets and liabilities. Therefore, the changes in fair value on derivatives reported in Level 3 may not reflect the offsetting impact of the changes in fair value of the associated assets and liabilities. Embedded derivatives are carried at fair value in other long-term investments and other liabilities on the Company’s consolidated condensed balance sheet. The changes in fair value of embedded derivatives are recorded as realized gains (losses) - investments/derivatives . Refer to Note 7, Derivative Financial Instruments for more information. The fair value of the guaranteed living withdrawal benefits (“GLWB”) embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using multiple risk neutral stochastic equity scenarios and policyholder behavior assumptions. The risk neutral scenarios are generated using the current swap curve and projected equity volatilities and correlations. The projected equity volatilities are based on a blend of historical volatility and near-term equity market implied volatilities. The equity correlations are based on historical price observations. For policyholder behavior assumptions, expected lapse and utilization assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the Ruark 2015 ALB table, with attained age factors varying from 87.0% - 100.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR plus a credit spread (to represent the Company’s non-performance risk). For expected lapse and utilization, assumptions are used and updated for actual experience, as necessary, using an internal predictive model developed by the Company. As a result of using significant unobservable inputs, the GLWB embedded derivative is categorized as Level 3. Policyholder assumptions are reviewed on an annual basis. The balance of the fixed indexed annuity (“FIA”) embedded derivative is impacted by policyholder cash flows associated with the FIA product that are allocated to the embedded derivative in addition to changes in the fair value of the embedded derivative during the reporting period. The fair value of the FIA embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using current index values and volatility, the hedge budget used to price the product, and policyholder assumptions (both elective and non-elective). For policyholder behavior, assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the 2015 Ruark ALB mortality table with attained age factors varying from 87.0% - 100.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR up to one year and constant maturity treasury rates plus a credit spread (to represent the Company’s non-performance risk) thereafter. Policyholder assumptions are reviewed on an annual basis. As a result of using significant unobservable inputs, the FIA embedded derivative is categorized as Level 3. The balance of the indexed universal life (“IUL”) embedded derivative is impacted by policyholder cash flows associated with the IUL product that are allocated to the embedded derivative in addition to changes in the fair value of the embedded derivative during the reporting period. The fair value of the IUL embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using current index values and volatility, the hedge budget used to price the product, and policyholder assumptions (both elective and non-elective). For policyholder behavior assumptions, expected lapse and withdrawal assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the SOA 2015 VBT Primary Tables, with attained age factors varying from 37.0% - 156.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR up to one year and constant maturity treasury rates plus a credit spread (to represent the Company’s non-performance risk) thereafter. Policyholder assumptions are reviewed on an annual basis. As a result of using significant unobservable inputs, the IUL embedded derivative is categorized as Level 3. The Company has assumed and ceded certain blocks of policies under modified coinsurance agreements in which the investment results of the underlying portfolios inure directly to the reinsurers. Funds withheld arrangements related to such agreements contain embedded derivatives that are reported at fair value. Changes in their fair value are reported in realized gains (losses) - investments/derivatives . The fair value of embedded derivatives related to funds withheld under modified coinsurance agreements are a function of the unrealized gains or losses on the underlying assets and are calculated in a manner consistent with the terms of the agreements. The investments supporting certain of these agreements are designated as “trading securities”; therefore changes in their fair value are also reported in realized gains (losses) - investments/derivatives . The fair value of embedded derivatives is estimated based on market standard valuation methodology and is considered a Level 3 valuation. The Company and certain of its subsidiaries have entered into interest support, yearly renewable term (“YRT”) premium support, and portfolio maintenance agreements with PLC. These agreements meet the definition of a derivative and are accounted for at fair value and are considered Level 3 valuations. The fair value of these derivatives as of March 31, 2020 was $109.4 million and is included in other long-term investments . For information regarding realized gains on these derivatives please refer to Note 7, Derivative Financial Instruments . The Interest Support Agreement provides that PLC will make payments to Golden Gate II Captive Insurance Company (“Golden Gate II”), a wholly owned subsidiary of the Company, if actual investment income on certain of Golden Gate II’s asset portfolios falls below a calculated investment income amount as defined in the Interest Support Agreement. The calculated investment income amount is a level of investment income deemed to be sufficient to support certain of Golden Gate II’s obligations under a reinsurance agreement with the Company, dated July 1, 2007. The derivative is valued using an internal valuation model that assumes a conservative projection of investment income under an adverse interest rate scenario and the probability that the expectation falls below the calculated investment income amount. This derivative had a fair value of $55.7 million as of March 31, 2020. Golden Gate II recognized $2.4 million in gains related to payments made under this agreement for the three months ended March 31, 2020. As of March 31, 2020, certain interest support agreement obligations to Golden Gate II of approximately $5.5 million have been collateralized by PLC. Re-evaluation and, if necessary, adjustments of any support agreement collateralization amounts occur annually during the first quarter pursuant to the terms of the support agreement. The YRT premium support agreements provide that PLC will make payments to Golden Gate Captive Insurance Company (“Golden Gate”), a wholly owned subsidiary of the Company, and Golden Gate II in the event that YRT premium rates increase. The derivatives are valued using an internal valuation model. The valuation model is a probability weighted discounted cash flow model. The value is primarily a function of the likelihood and severity of future YRT premium increases. The fair value of these derivatives as of March 31, 2020 was $52.2 million. Golden Gate II recognized $1.6 million in gains related to payments made under this agreement for the three months ended March 31, 2020. The portfolio maintenance agreements provide that PLC will make payments to Golden Gate, Golden Gate V, and West Coast Life Insurance Company (“WCL”), a wholly owned subsidiary of the Company, in the event of other-than-temporary impairments on investments, measured in accordance with Statutory Accounting Principles, that exceed defined thresholds. The derivatives are valued using an internal discounted cash flow model. The significant unobservable inputs are the projected probability and severity of credit losses used to project future cash flows on the investment portfolios. The fair value of the portfolio maintenance agreements as of March 31, 2020, was $1.4 million. As of March 31, 2020, no payments have been made under these agreements. The Funds Withheld derivative results from a reinsurance agreement with Shades Creek Captive Insurance Company (“Shades Creek”), a direct wholly owned subsidiary of PLC, where the economic performance of certain hedging instruments held by the Company is ceded to Shades Creek. The value of the Funds Withheld derivative is directly tied to the value of the hedging instruments held in the funds withheld account. The hedging instruments predominantly consist of derivative instruments the fair values of which are classified as a Level 2 measurement; as such, the fair value of the Funds Withheld derivative has been classified as a Level 2 measurement. The fair value of the Funds Withheld derivative as of March 31, 2020, was a liability of $228.0 million. Annuity Account Balances The Company records a certain legacy block of FIA reserves at fair value. Based on the characteristics of these reserves, the Company believes that the fund value approximates fair value. The fair value measurement of these reserves is considered a Level 3 valuation due to the unobservable nature of the fund values. Separate Accounts Separate account assets are invested in open-ended mutual funds and are included in Level 1. Valuation of Level 3 Financial Instruments The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments: Fair Value Valuation Unobservable Range (Dollars In Thousands) Assets: Commercial mortgage-backed securities $ 10,783 Discounted cash flow Spread over treasury 3.04% Other asset-backed securities 436,329 Liquidation Liquidation value $95.50 - $97.00 ($96.33) Discounted cash flow Liquidity premium 0.29% - 2.31% (1.45%) Paydown rate 8.87% - 12.75% (11.44%) Corporate securities 1,279,769 Discounted cash flow Spread over treasury 0.00% - 6.60% (1.50%) Liabilities: (1) Embedded derivatives - GLWB (2) 596,619 Actuarial cash flow model Mortality 87% to 100% of Ruark 2015 ALB Table Lapse PL-RBA Predictive Model Utilization PL-RBA Predictive Model Nonperformance risk 0.56% - 1.21% Embedded derivative - FIA 307,013 Actuarial cash flow model Expenses $195 per policy Withdrawal rate 0.4% - 1.2% prior to age 70, 100% of the RMD for ages 70+ or WB withdrawal rate. Assume underutilized RMD for non WB policies ages 70-81. Mortality 87% to 100% of Ruark 2015 ALB table Lapse 0.5% - 50.0%, depending on duration/surrender charge period Dynamically adjusted for WB moneyness and projected market rates vs credited rates Nonperformance risk 0.56% - 1.21% Embedded derivative - IUL 164,079 Actuarial cash flow model Mortality 37% - 156% of 2015 VBT Primary Tables 94% - 248% of duration 8 point in scale 2015 VBT Primary Tables, depending on type of business Lapse 0.5% - 10%, depending on duration/distribution channel and smoking class Nonperformance risk 0.56% - 1.21% (1) Excludes modified coinsurance arrangements. (2) The fair value for the GLWB embedded derivative is presented as a net liability. The chart above excludes Level 3 financial instruments that are valued using broker quotes and for which book value approximates fair value. Unobservable inputs were weighted by the relative fair value of instruments, except for other asset-backed securities which were weighted by the relative par amounts. The Company has considered all reasonably available quantitative inputs as of March 31, 2020, but the valuation techniques and inputs used by some brokers in pricing certain financial instruments are not shared with the Company. This resulted in $98.7 million of financial instru |
