Attached files
Exhibit 99.1
February 24, 2020
GWG Life, LLC
325 North St. Paul Street, Suite 2650
Dallas TX 75201
United States of America
Dear Sirs
| Re: | GWG Life Settlements Portfolio – Quarterly Valuation as of December 31, 2019 |
You have asked that we prepare a valuation of your portfolio as of the Valuation Date set out in Appendix A. Terms used in this letter and not otherwise defined herein have the meaning specified in your Subscription Agreement with us or on the ClariNet LS website.
Assumptions and Reliance
| ● | In preparing this valuation, we have relied upon the accuracy of the data contained in your ClariNet LS account as of the Pricing Date specified in Appendix A. |
| ● | We have performed no testing of such data to determine its accuracy or completeness. |
| ● | We have prepared this valuation solely with respect to the Portfolio identified in Appendix A as of the Pricing Date. |
| ● | We have used assumptions as to discount rates and survival curve construction which have been specified by you and which are set out in Appendix B. |
| ● | We have assumed that you have independently determined that the premium schedule used to value each Case is sufficient to carry the relevant Policy through to maturity. |
| ● | The survival curves used in valuation have been generated by reference to mortality factors and underwriting dates supplied by you. We understand that these mortality factors reflect your determination of the Longest LE for the relevant Insured (as defined in Appendix C). We have not made any independent investigation of this determination. |
Valuation
Based on the composition of the Portfolio as of the Pricing Date, we find that the Net Present Value of the Portfolio on the Valuation Date is as specified in Appendix A.
Yours faithfully
CLEARLIFE LIMITED
| By: | /s/ Mark Venn | |
| Name: | Mark Venn | |
| Title: | CEO |
| ClearLife Limited, Triscombe House, Triscombe, Taunton TA4 3HG, United Kingdom |
| Tel. +44 (0)20 7100 0600 / info@clearlifeltd.com / www.clearlifeltd.com |
| ClearLife
Limited is a company registered in England & Wales. Registration number 06424296 Registered office: Priory House, Pilgrims Court, Sydenham Road, Guildford GU1 3RX |
Appendix A
Valuation Inputs and Outputs
| Description | Current Quarter | Previous Quarter | ||
| Valuation Date | December 31, 2019 | September 30, 2019 | ||
| Pricing Date: | February 24, 2020 | October 31, 2019 | ||
| ClariNet LS Portfolio Name: | 2019 Q4 Portfolio Snapshot FIX |
2019 Q3 Valuation Snapshot | ||
| Total Face Amount: | $2,051,210,598 | $2,095,307,569 | ||
| Total Net Death Benefit: | $2,020,972,961 | $2,064,155,926 | ||
| Number of Active Policies: | 1,151 | 1,174 | ||
| Discount Rate: | 8.25% | 8.25% | ||
| Net Present Value: | $796,038,991 | $807,518,088 |
Definitions
| ● | Total Face Amount: this is the sum of the Face Amounts for each Case included in the Portfolio on the Valuation Date. |
| ● | Total Net Death Benefit: This is the Net Death Benefit on the Valuation Date for each Case included in the Portfolio as of the Pricing Date. This excludes any Retained Death Benefit (“RDB”) amounts. Where the Case has a RDB amount which varies over time, the number shown here reflects the RDB amount as of the Valuation Date. The Net Death Benefit associated with each Case may vary over time and may not equal the Face Amount for the relevant Case. |
| ● | Number of Active Policies: This is the number of Cases in the Portfolio on the Valuation Date with a Status other than MAT, PEND, SOLD, EXP, SURR or LAPS. |
| ● | Number of Unique Surviving Insureds: This is the number of unique surviving Insureds referenced by the Active Policies in the Portfolio on the Valuation Date. This number may be fewer than the Number of Active Policies, where a single Insured is referenced by more than one Active Policy. |
| ● | Net Present Value: This is the sum of the net present values calculated on the Pricing Date for all Active Policies in the Portfolio on the Valuation Date, determined by discounting the future mortality-adjusted cashflows back to the Valuation Date at the Discount Rate. |
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Appendix B
Valuation Template Settings
| Parameter Name | Current Quarter | Previous Quarter | ||
| Fees Template | Zero Fees | Zero Fees | ||
| Q(x) Adjustment | None | None | ||
| Mortality Table Name | 2015 ANB | 2015 ANB | ||
| Improvement Rates | 0% | 0% | ||
| Survival Factor Interpolation Type | Piecewise Constant Qx | Piecewise Constant Qx | ||
| Interpolate VBT Table Row Based on DOB at LE Review Date | False | False | ||
| Calculation of Joint Life Survival Curve | Frasierized | Frasierized | ||
| Smoking Status Override | Non-smoker | Non-smoker | ||
| LE Calculation Type | Mean | Mean | ||
| Calculation of LE Review Date Given Multiple Reports | Blended | Blended | ||
| NDB Collection Lag in Months | 0 | 0 | ||
| Longevity Calculation Type | Monthly | Monthly | ||
| Number of months to stress Qx | 0 | 0 | ||
| Interest payment during NDB collection lag | None | None | ||
| User-defined NDB collection lag interest rate | 0% | 0% | ||
| Aging underwriter reports | Regular | Regular | ||
| Apply Table Improvement from Underwriting Date | False | False | ||
| Blending methodology when combining life expectancy reports | Lx | Lx | ||
| Apply Improvement Rate Before Mortality Calculation | False | False | ||
| Set Value Date to next Policy monthiversary | True | True | ||
| Set LE Report Date(s) to Policy monthiversary | True | True | ||
| Include Other Purchase Costs in IRR | True | N/A | ||
| Include Origination Fee in IRR | True | N/A | ||
| Subtract the specified number from the Mean LE50 | 0 | N/A |
Appendix C
Longest LE Definition
Longest LE: The LE Estimate used for each Policy within the Portfolio for purposes of calculating A2E analytics and Fair Market Value prospectively:
| ● | For any Policy owned as of December 31, 2018 that was purchased prior to LE underwriting changes by ITM TwentyFirst Services in 2013, the longer of the two LEs utilized in the valuation of the Policy following receipt of the updated LEs ordered in response to the 2013 changes; |
| ● | For any Policy owned as of December 31, 2018 that was purchased after the LE underwriting changes by ITM TwentyFirst Services in 2013, the longest LE on file that was utilized in the pricing of the Policy at the closing of the Policy purchase (in instances where additional LE Reports were ordered, these were incorporated into the analysis whether in receipt of the LE Report at the time of closing or not, so long as the LE Report was received by a date no more than 30 calendar days subsequent to the closing date of the Policy purchase); and |
| ● | For any Policy purchased subsequent to December 31, 2018 (i.e. future purchases for purposes of the initial A2E analysis), the longest life expectancy utilized in the pricing of the Policy at the closing of the Policy purchase so long as the LE Report is received by a date no more than 30 calendar days subsequent to the closing date of the Policy purchase. |
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