Harbinger Group Inc.
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SEC Filings

10-Q
HRG GROUP, INC. filed this Form 10-Q on 02/05/2016
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Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of December 31, 2015 and September 30, 2015 (as adjusted) were as follows: 
 
 
Fair Value at
 
 
 
 
 
Range (Weighted average)
Assets
 
December 31,
2015
 
September 30,
2015
 
Valuation Technique
 
Unobservable Input(s)
 
December 31,
2015
 
September 30,
2015
Corporate fixed maturity securities AFS
 
$
—

 
$
14.1

 
Broker-quoted
 
Offered quotes
 
—%
 
83%
Other invested assets
 
—

 
2.8

 
Discounted Cash Flow
 
Probability of collection
 
—%
 
50%
 
 
 
 
 
 
 
 
Discount rate
 
—%
 
10%
Funds withheld receivables:
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity and equity securities AFS
 
33.7

 
39.5

 
Matrix pricing
 
Quoted prices
 
100% - 120% (110%)
 
100% - 122% (112%)
Fixed maturity securities AFS
 
15.4

 
19.5

 
Discounted Cash Flow
 
Discount rate
 
6% - 13% (7%)
 
6% - 12% (8%)
Fixed maturity securities AFS
 
11.6

 
6.7

 
Broker-quoted
 
Offered quotes
 
98% - 100% (99%)
 
99% - 103% (101%)
Loan participations
 
5.3

 
9.7

 
Market pricing
 
Offered quotes
 
100%
 
100%
Policy loans
 
8.8

 
9.0

 
Loan value
 
Not applicable
 
100%
 
100%
Total
 
$
74.8

 
$
101.3

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
Front Street future policyholder benefit liability
 
$
629.0

 
$
629.2

 
Discounted cash flow
 
Non-performance risk spread
 
0.38%
 
0.16% - 0.46%
 
 
 
 
 
 
 
 
Risk margin to reflect uncertainty
 
0.50% - 1.00%
 
0.50% - 1.00%
Embedded derivatives in Front Street's assumed FIA business
 
139.9

 
142.3

 
Discounted cash flow
 
Market value of option
 
0% - 29%
(1%)
 
0% - 32%
(1%)
 
 
 
 
 
 
 
 
SWAP rates
 
2%
 
2%
 
 
 
 
 
 
 
 
Mortality multiplier
 
80%
 
80%
 
 
 
 
 
 
 
 
Surrender rates
 
0.50% - 75%
(13%)
 
0.50% - 75%
(13%)
 
 
 
 
 
 
 
 
Non-performance risk spread
 
0.25%
 
0.25%
Total
 
$
768.9

 
$
771.5

 
 
 
 
 
 
 
 
The significant unobservable inputs used in the fair value measurement of the Front Street future policyholder benefit liability are non-performance risk spread and risk spread to reflect uncertainty. Significant increases (decreases) in non-performance risk spread and risk margin to reflect uncertainty would result in a lower (higher) fair value measurement.

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