Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Assets measured at fair value on recurring basis

The balances of the Trust's assets measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, are as follows:

	As of March 31, 2020		As of December 31, 2019
Assets:
Investments in Life Insurance Policies
Level 1	$	—	$	—
Level 2	$	—	$	—
Level 3	$	178,822,344	$	172,242,734
Total Fair Value	$	178,822,344	$	172,242,734

Quantitative Information about Level 3 Fair Value Measurements

Life insurance policies	March 31, 2020		December 31, 2019
Fair Value	$	178,822,344	$	172,242,734
Face Value	$	1,124,578,878	$	1,129,545,328
Valuation Techniques	Discounted cash flow		Discounted cash flow
Unobservable Inputs	Discounted rate, Mortality assumptions		Discounted rate, Mortality assumptions
Weighted average discount rates
Life Settlements	23.6%		24.7%
Viaticals	25.6%		25.7%
Mortality assumptions - 2015 VBT mortality multipliers:
Life Settlements	90% - 100%		90% - 110%
Viaticals	350%		350%

Quantitative information about Level 3 fair value measurements

The table below reflects the effect on the PHT Portfolio’s fair value if the actual life expectancy experienced is 5% less or 5% more than is currently estimated. If the life expectancy estimate increases by 5% or decreases by 5%, the change in estimated fair value of the life insurance policies as of March 31, 2020 and December 31, 2019 would be as follows:

As of March 31, 2020	Weighted Average Life Expectancy	Fair Value		Change in Fair Value
As of Life Expectancy Months Adjustment
-5%		$	194,653,176	$	15,830,832
No change	4.8 years	$	178,822,344	—
+5%		$	162,381,250	$	(16,441,094)

As of December 31, 2019	Weighted Average Life Expectancy	Fair Value		Change in Fair Value
As of Life Expectancy Months Adjustment
-5%		$	188,372,343	$	16,129,609
No change	4.8 years	$	172,242,734	—
+5%		$	155,482,251	$	(16,760,483)

Change in estimated fair value

If the weighted average discount rate increased or decreased by 2 percentage points and the other assumptions used to estimate fair value remained the same, the change in estimated fair value as of March 31, 2020 and December 31, 2019 would be as follows:

As of March 31, 2020	Fair Value		Change in Fair Value
Rate Adjustment
+2%	$	168,726,909	$	(10,095,435)
No change	$	178,822,344	—
-(2)%	$	190,147,372	$	11,325,028

As of December 31, 2019	Fair Value		Change in Fair Value
Rate Adjustment
+2%	$	163,300,406	$	(8,942,328)
No change	$	172,242,734	—
-(2)%	$	182,200,298	$	9,957,564

Credit exposure to insurance companies

The following table provides information about the life insurance issuer concentrations that exceed 10% of total death benefit or 10% of total fair value of the Trust's life insurance policies as of March 31, 2020:

Carrier	Percentage of Face Value		Percentage of Fair Value		Carrier Rating
Transamerica Financial Life Insurance	9.7	%	12.5	%	A+
The Lincoln National Life Insurance	10.0	%	11.5	%	A+

The following table provides information about the life insurance issuer concentrations that exceed 10% of total death benefit or 10% of total fair value of the Trust's life insurance policies as of December 31, 2019:

Carrier	Percentage of Face Value		Percentage of Fair Value		Carrier Rating
Transamerica Financial Life Insurance	9.6	%	12.7	%	A+
The Lincoln National Life Insurance	10.4	%	12.4	%	A+

Changes in fair value for Trust's life insurance policies

The following table provides a roll-forward of the fair value of life insurance policies for the three months ended March 31, 2020 and 2019:

	2020		2019
Balance at January 1,	$	172,242,734	$	186,251,760
Realized gain on matured policies	18,245,701		20,473,991
Unrealized losses on assets held	(5,619,381)		(4,712,688)
Change in estimated fair value	12,626,320		15,761,303
Matured policies, net of fees	(21,573,696)		(25,238,083)
Premiums paid	15,526,986		14,675,084
Balance at March 31,	$	178,822,344	$	191,450,064