FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2020

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of September 30, 2020:


	Measurement Category	Level 1		Level 2		Level 3		Total
		(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	4	$	—	$	6,847,273	$	—	$	6,847,273
Commercial mortgage-backed securities	4	—		2,546,317		10,685		2,557,002
Other asset-backed securities	4	—		1,149,743		434,496		1,584,239
U.S. government-related securities	4	578,554		501,739		—		1,080,293
State, municipals, and political subdivisions	4	—		4,553,629		—		4,553,629
Other government-related securities	4	—		638,076		—		638,076
Corporate securities	4	—		48,626,474		1,357,544		49,984,018
Redeemable preferred stocks	4	67,329		—		—		67,329
Total fixed maturity securities - available-for-sale		645,883		64,863,251		1,802,725		67,311,859
Fixed maturity securities - trading
Residential mortgage-backed securities	3	—		207,507		—		207,507
Commercial mortgage-backed securities	3	—		208,036		—		208,036
Other asset-backed securities	3	—		87,848		62,442		150,290
U.S. government-related securities	3	21,761		15,230		—		36,991
State, municipals, and political subdivisions	3	—		288,085		—		288,085
Other government-related securities	3	—		29,571		—		29,571
Corporate securities	3	—		1,832,592		17,879		1,850,471
Redeemable preferred stocks	3	12,434		—		—		12,434
Total fixed maturity securities - trading		34,195		2,668,869		80,321		2,783,385
Total fixed maturity securities		680,078		67,532,120		1,883,046		70,095,244
Equity securities	3	452,042		—		86,343		538,385
Other long-term investments(1)	3 & 4	73,934		1,013,846		319,994		1,407,774
Short-term investments	3	1,156,203		82,825		—		1,239,028
Total investments		2,362,257		68,628,791		2,289,383		73,280,431
Cash	3	381,753		—		—		381,753
Assets related to separate accounts
Variable annuity	3	11,487,408		—		—		11,487,408
Variable universal life	3	1,144,474		—		—		1,144,474
Total assets measured at fair value on a recurring basis		$	15,375,892	$	68,628,791	$	2,289,383	$	86,294,066
Liabilities:
Annuity account balances(2)	3	$	—	$	—	$	67,591	$	67,591
Other liabilities(1)	3 & 4	9,480		675,209		1,718,905		2,403,594
Total liabilities measured at fair value on a recurring basis		$	9,480	$	675,209	$	1,786,496	$	2,471,185

(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 Category	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)

Schedule of the Valuation Method for Material Financial Instruments Included in Level 3, as well as the Unobservable Inputs Used in the Valuation of the 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 as of September 30, 2020:

Fair Value

Valuation
Technique

Unobservable
Input

Range
(Weighted Average)

(Dollars In Thousands)

Assets:

Commercial mortgage-backed securities

10,685

Discounted cash flow

Spread over treasury

2.78%

Other asset-backed securities

434,496

Liquidation

Liquidation value

$95.75 - $97.00 ($96.40)

Discounted cash flow

Liquidity premium

0.51% - 2.33% (1.61%)

Paydown rate

8.75% - 12.55% (11.38%)

Corporate securities

1,357,544

Discounted cash flow

Spread over treasury

0.60% - 4.75% (2.24%)

Liabilities:(1)

Embedded derivatives - GLWB(2)

518,246

Actuarial cash flow model

Mortality

88% to 100% of

Ruark 2015 ALB Table

Lapse

PL-RBA Predictive Model

Utilization

PL-RBA Predictive Model

Nonperformance risk

0.22% - 0.88%

Embedded derivative - FIA

531,814

Actuarial cash flow model

Expenses

$207 per policy

Withdrawal rate

0.4% - 2.4% 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

88% to 100% of Ruark 2015 ALB table

Lapse

0.2% - 50.0%, depending on duration/surrender charge period

Dynamically adjusted for WB moneyness and projected market rates vs credited rates

Nonperformance risk

0.22% - 0.88%

Embedded derivative - IUL

194,228

Actuarial cash flow model

Mortality

37% - 161% of 2015

VBT Primary Tables

94% - 248% of duration 8 point in scale 2015 VBT Primary Tables, depending on type of business

Lapse

0.4% - 10%, depending on

duration/distribution channel

and smoking class

Nonperformance risk

0.22% - 0.88%

(1) Excludes modified coinsurance arrangements.

(2) The fair value for the GLWB embedded derivative is presented as a net liability.

Fair Value

Valuation
Technique

Unobservable
Input

Range
(Weighted Average)

(Dollars In Thousands)

Assets:

Commercial mortgage-backed securities

10,029

Discounted cash flow

Spread over treasury

2.5%

Other asset-backed securities

421,219

Liquidation

Liquidation value

$95.39 - $99.99 ($97.95)

Discounted cash flow

Liquidity premium

0.34% - 2.28% (1.44%)

Paydown Rate

8.99% - 12.45% (11.28%)

Corporate securities

1,373,714

Discounted cash flow

Spread over treasury

0.00% - 4.03% (1.60%)

Liabilities:(1)

Embedded derivatives - GLWB(2)

186,038

Actuarial cash flow model

Mortality

87% to 100% of

Ruark 2015 ALB Table

Lapse

Ruark Predictive Model

Utilization

99%. 10% of policies have a one-time over-utilization of 400%

Nonperformance risk

0.12% - 0.82%

Embedded derivative - FIA

336,826

Actuarial cash flow model

Expenses

$195 per policy

Withdrawal rate

0.4% - 1.2% prior to age 70 RMD for

ages 70+

or WB withdrawal rate

Assume underutilized RMD

for non-WB policies age 70-81

Mortality

87% to 100% or Ruark 2015 ALB table

Lapse

0.5% - 50.0%, depending on duration/surrender charge period

Nonperformance risk

0.12% - 0.82%

Embedded derivative - IUL

151,765

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

0.12% - 0.82%

(1) Excludes modified coinsurance arrangements.

(2) The fair value for the GLWB embedded derivative is presented as a net liability.

Schedule of Reconciliation of the Beginning and Ending Balances for Fair Value Measurements, for Which the Company Has Used Significant Unobservable Inputs (Level 3)

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended September 30, 2020, for which the Company has used significant unobservable inputs (Level 3):


			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																		Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Operations		Included in Other Comprehensive Income (Loss)		Included in Operations		Included in Other Comprehensive Income (Loss)		Purchases		Sales		Issuances		Settlements		Transfers in/out of Level 3		Other		Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Commercial mortgage-backed securities	9,971		—		740		—		1		—		(21)		—		—		—		(6)		10,685		—
Other asset-backed securities	430,964		—		4,383		(12)		(525)		—		(517)		—		—		—		203		434,496		—



Corporate securities	1,365,963		—		27,591		—		(2,937)		62,185		(125,885)		—		—		31,172		(545)		1,357,544		—
Total fixed maturity securities - available-for-sale	1,806,898		—		32,714		(12)		(3,461)		62,185		(126,423)		—		—		31,172		(348)		1,802,725		—
Fixed maturity securities - trading


Other asset-backed securities	60,622		2,706		—		(382)		—		1,031		(1,571)		—		—		—		36		62,442		2,681



Corporate securities	12,158		286		—		(12)		—		5,477		—		—		—		—		(30)		17,879		273
Total fixed maturity securities - trading	72,780		2,992		—		(394)		—		6,508		(1,571)		—		—		—		6		80,321		2,954
Total fixed maturity securities	1,879,678		2,992		32,714		(406)		(3,461)		68,693		(127,994)		—		—		31,172		(342)		1,883,046		2,954
Equity securities	78,613		780		—		—		—		6,950		—		—		—		—		—		86,343		780
Other long-term investments(1)	275,907		78,164		—		(34,077)		—		—		—		—		—		—		—		319,994		44,087

Total investments	2,234,198		81,936		32,714		(34,483)		(3,461)		75,643		(127,994)		—		—		31,172		(342)		2,289,383		47,821
Total assets measured at fair value on a recurring basis	$	2,234,198	$	81,936	$	32,714	$	(34,483)	$	(3,461)	$	75,643	$	(127,994)	$	—	$	—	$	31,172	$	(342)	$	2,289,383	$	47,821
Liabilities:
Annuity account balances(2)	$	68,064	$	—	$	—	$	(744)	$	—	$	—	$	—	$	37	$	1,254	$	—	$	—	$	67,591	$	—
Other liabilities(1)	1,664,251		130,913		—		(185,567)		—		—		—		—		—		—		—		1,718,905		(54,654)
Total liabilities measured at fair value on a recurring basis	$	1,732,315	$	130,913	$	—	$	(186,311)	$	—	$	—	$	—	$	37	$	1,254	$	—	$	—	$	1,786,496	$	(54,654)

(1) Represents certain freestanding and embedded derivatives.
(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the nine months ended September 30, 2020, for which the Company has used significant unobservable inputs (Level 3):


			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																		Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Operations		Included in Other Comprehensive Income (Loss)		Included in Operations		Included in Other Comprehensive Income (Loss)		Purchases		Sales		Issuances		Settlements		Transfers in/out of Level 3		Other		Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale

Commercial mortgage-backed securities	$	10,029	$	—	$	1,520	$	—	$	(784)	$	—	$	(62)	$	—	$	—	$	—	$	(18)	$	10,685	$	—
Other asset-backed securities	421,219		—		4,495		(33)		(12,978)		—		(1,034)		—		—		22,187		640		434,496		—



Corporate securities	1,373,714		—		112,592		—		(82,132)		365,449		(497,587)		—		—		88,107		(2,599)		1,357,544		—
Total fixed maturity securities - available-for-sale	1,804,962		—		118,607		(33)		(95,894)		365,449		(498,683)		—		—		110,294		(1,977)		1,802,725		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—		—		—

Other asset-backed securities	65,407		4,174		—		(8,696)		—		4,250		(2,023)		—		—		(766)		96		62,442		2,681



Corporate securities	11,371		773		—		(427)		—		8,798		(2,141)		—		—		(408)		(87)		17,879		273
Total fixed maturity securities - trading	76,778		4,947		—		(9,123)		—		13,048		(4,164)		—		—		(1,174)		9		80,321		2,954
Total fixed maturity securities	1,881,740		4,947		118,607		(9,156)		(95,894)		378,497		(502,847)		—		—		109,120		(1,968)		1,883,046		2,954
Equity securities	72,970		781		—		(1)		—		7,373		—		—		—		5,220		—		86,343		780
Other long-term investments(1)	209,843		171,097		—		(97,705)		—		40,831		—		—		(4,072)		—		—		319,994		69,320
Short-term investments	—		—		—		—		—		—		—		—		—		—		—		—		—
Total investments	2,164,553		176,825		118,607		(106,862)		(95,894)		426,701		(502,847)		—		(4,072)		114,340		(1,968)		2,289,383		73,054
Total assets measured at fair value on a recurring basis	$	2,164,553	$	176,825	$	118,607	$	(106,862)	$	(95,894)	$	426,701	$	(502,847)	$	—	$	(4,072)	$	114,340	$	(1,968)	$	2,289,383	$	73,054
Liabilities:
Annuity account balances(2)	$	69,728	$	—	$	—	$	(1,811)	$	—	$	—	$	—	$	366	$	4,314	$	—	$	—	$	67,591	$	—
Other liabilities(1)	1,017,972		387,386		—		(1,088,319)		—		—		—		—		—		—		—		1,718,905		(700,933)
Total liabilities measured at fair value on a recurring basis	$	1,087,700	$	387,386	$	—	$	(1,090,130)	$	—	$	—	$	—	$	366	$	4,314	$	—	$	—	$	1,786,496	$	(700,933)

(1) Represents certain freestanding and embedded derivatives.
(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended September 30, 2019, for which the Company has used significant unobservable inputs (Level 3):


			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																		Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Operations		Included in Other Comprehensive Income (Loss)		Included in Operations		Included in Other Comprehensive Income (Loss)		Purchases		Sales		Issuances		Settlements		Transfers in/out of Level 3		Other		Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Commercial mortgage-backed securities	9,366		—		294		—		—		—		(19)		—		—		—		(6)		9,635		—
Other asset-backed securities	418,310		—		865		(14)		(3,276)		—		(8)		—		—		—		185		416,062		—



Corporate securities	1,328,491		—		22,910		—		(3,408)		9,150		(72,215)		—		—		41,319		(1,135)		1,325,112		—
Total fixed maturity securities - available-for-sale	1,756,167		—		24,069		(14)		(6,684)		9,150		(72,242)		—		—		41,319		(956)		1,750,809		—
Fixed maturity securities - trading


Other asset-backed securities	62,180		294		—		(34)		—		—		(879)		—		—		—		(34)		61,527		274



Corporate securities	5,294		67		—		—		—		1,700		—		—		—		—		(25)		7,036		6,906
Total fixed maturity securities - trading	67,474		361		—		(34)		—		1,700		(879)		—		—		—		(59)		68,563		7,180
Total fixed maturity securities	1,823,641		361		24,069		(48)		(6,684)		10,850		(73,121)		—		—		41,319		(1,015)		1,819,372		7,180
Equity securities	68,486		—		—		(2)		—		—		—		—		—		—		—		68,484		191
Other long-term investments(1)	143,583		49,457		—		—		—		—		—		—		—		—		—		193,040		49,457

Total investments	2,035,710		49,818		24,069		(50)		(6,684)		10,850		(73,121)		—		—		41,319		(1,015)		2,080,896		56,828
Total assets measured at fair value on a recurring basis	$	2,035,710	$	49,818	$	24,069	$	(50)	$	(6,684)	$	10,850	$	(73,121)	$	—	$	—	$	41,319	$	(1,015)	$	2,080,896	$	56,828
Liabilities:
Annuity account balances(2)	$	72,585	$	—	$	—	$	(523)	$	—	$	—	$	—	$	91	$	1,379	$	—	$	—	$	71,820	$	—
Other liabilities(1)	842,035		—		—		(191,572)		—		33,684		—		—		—		—		—		1,067,291		(191,572)
Total liabilities measured at fair value on a recurring basis	$	914,620	$	—	$	—	$	(192,095)	$	—	$	33,684	$	—	$	91	$	1,379	$	—	$	—	$	1,139,111	$	(191,572)

(1) Represents certain freestanding and embedded derivatives.
(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the nine months ended September 30, 2019, for which the Company has used significant unobservable inputs (Level 3):


			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																		Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Operations		Included in Other Comprehensive Income (Loss)		Included in Operations		Included in Other Comprehensive Income (Loss)		Purchases		Sales		Issuances		Settlements		Transfers in/out of Level 3		Other		Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale

Commercial mortgage-backed securities	$	—	$	—	$	310	$	—	$	—	$	9,359	$	(26)	$	—	$	—	$	—	$	(8)	$	9,635	$	—
Other asset-backed securities	421,642		446		11,525		(71)		(8,075)		—		(10,023)		—		—		—		618		416,062		—



Corporate securities	638,276		82		66,866		—		(6,917)		704,777		(157,171)		—		—		80,574		(1,375)		1,325,112		—
Total fixed maturity securities - available-for-sale	1,059,918		528		78,701		(71)		(14,992)		714,136		(167,220)		—		—		80,574		(765)		1,750,809		—
Fixed maturity securities - trading


Other asset-backed securities	26,056		4,300		—		(3,618)		—		15,463		(6,771)		—		—		26,267		(170)		61,527		(2,442)



Corporate securities	6,242		236		—		(31)		—		1,700		(1,035)		—		—		—		(76)		7,036		5,274
Total fixed maturity securities - trading	32,298		4,536		—		(3,649)		—		17,163		(7,806)		—		—		26,267		(246)		68,563		2,832
Total fixed maturity securities	1,092,216		5,064		78,701		(3,720)		(14,992)		731,299		(175,026)		—		—		106,841		(1,011)		1,819,372		2,832
Equity securities	63,421		1		—		(17)		—		5,079		—		—		—		—		—		68,484		345
Other long-term investments(1)	151,342		73,246		—		(31,419)		—		1,579		—		—		(1,708)		—		—		193,040		40,119
Short-term investments	—		—		—		—		—		—		—		—		—		—		—		—		—
Total investments	$	1,306,979	$	78,311	$	78,701	$	(35,156)	$	(14,992)	$	737,957	$	(175,026)	$	—	$	(1,708)	$	106,841	$	(1,011)	$	2,080,896	$	43,296
Total assets measured at fair value on a recurring basis	1,306,979		78,311		78,701		(35,156)		(14,992)		737,957		(175,026)		—		(1,708)		106,841		(1,011)		2,080,896		43,296
Liabilities:
Annuity account balances(2)	$	76,119	$	—	$	—	$	(1,675)	$	—	$	—	$	—	$	158	$	6,132	$	—	$	—	$	71,820	$	—
Other liabilities(1)	438,127		830		—		(559,106)		—		70,888		—		—		—		—		—		1,067,291		(558,276)
Total liabilities measured at fair value on a recurring basis	$	514,246	$	830	$	—	$	(560,781)	$	—	$	70,888	$	—	$	158	$	6,132	$	—	$	—	$	1,139,111	$	(558,276)

(1) Represents certain freestanding and embedded derivatives.
(2) Represents liabilities related to fixed indexed annuities.

Schedule of the Carrying Amounts and Estimated Fair Value of the Company's Financial Instruments

The carrying amounts and estimated fair values of the Company’s financial instruments as of the periods shown below are as follows:


		As of
		September 30, 2020				December 31, 2019
	Fair Value Level	Carrying Amounts		Fair Values		Carrying Amounts		Fair Values
		(Dollars In Thousands)
Assets:
Commercial mortgage loans(1)	3	$	9,765,312	$	10,522,036	$	9,379,401	$	9,584,487
Policy loans	3	1,640,147		1,640,147		1,675,121		1,675,121
Fixed maturities, held-to-maturity(2)	3	2,680,324		2,990,170		2,823,881		3,025,790
Other long-term investments(3)	2	1,286,291		1,206,966		1,216,996		1,246,889
Liabilities:
Stable value product account balances	3	$	6,017,259	$	6,180,630	$	5,443,752	$	5,551,195
Future policy benefits and claims(4)	3	1,604,174		1,615,924		1,701,324		1,705,235
Other policyholders’ funds(5)	3	103,280		107,319		127,084		130,259
Debt:(6)
Non-recourse funding obligations(7)	3	$	2,942,126	$	3,296,873	$	3,082,753	$	3,298,580
Subordinated funding obligations	3	110,000		117,216		110,000		113,286

Except as noted below, fair values were estimated using quoted market prices.
(1) The carrying amount is net of allowance for credit losses.
(2) Securities purchased from unconsolidated affiliates, Red Mountain, LLC and Steel City, LLC.
(3) Other long-term investments represents a Modco receivable, which is related to invested assets such as fixed income and structured securities, which are legally owned by the ceding company. The fair value is determined in a manner consistent with other similar invested assets held by the Company.
(4) Single premium immediate annuity without life contingencies.
(5) Supplementary contracts without life contingencies.
(6) Excludes capital lease obligations of $0.7 million and $1.0 million as of September 30, 2020 and December 31, 2019, respectively.
(7) As of September 30, 2020, carrying amount of $2.7 billion and a fair value of $3.0 billion related to non-recourse funding obligations issued by Golden Gate and Golden Gate V. As of December 31, 2019, carrying amount of $2.8 billion and a fair value of $3.0 billion related to non-recourse funding obligations issued by Golden Gate and Golden Gate V.