The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three months ended December 31, 2015 and 2014. The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three months ended December 31, 2015 |
| Balance at Beginning of Period | | Total Gains (Losses) | | | | | | | | Net transfer In (Out) of Level 3 | | Balance at End of Period |
| | Included in Earnings | | Included in AOCI | | Purchases | | Sales | | Settlements | | |
Assets | | | | | | | | | | | | | | | |
Corporate fixed maturity securities AFS | $ | 14.1 |
| | $ | (0.5 | ) | | $ | — |
| | $ | — |
| | $ | (13.6 | ) | | $ | — |
| | $ | — |
| | $ | — |
|
Other invested assets | 2.8 |
| | 2.7 |
| | — |
| | — |
| | — |
| | (5.5 | ) | | — |
| | — |
|
Funds withheld receivables | 84.4 |
| | (1.4 | ) | | — |
| | 5.1 |
| | (13.3 | ) | | — |
| | — |
| | 74.8 |
|
Total assets at fair value | $ | 101.3 |
| | $ | 0.8 |
| | $ | — |
| | $ | 5.1 |
| | $ | (26.9 | ) | | $ | (5.5 | ) | | $ | — |
| | $ | 74.8 |
|
| | | | | | | | | | | | | | | |
| Balance at Beginning
of Period | | Total (Gains) Losses | | | | | | | | Net transfer In (Out) of
Level 3 | | Balance at End of
Period |
| | Included in
Earnings | | Included in
AOCI | | Purchases | | Sales | | Settlements | | |
Liabilities | | | | | | | | | | | | | | | |
Front Street future policyholder benefit liability | $ | 629.2 |
| | $ | (3.7 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 3.5 |
| | $ | — |
| | $ | 629.0 |
|
Embedded derivatives in Front Street's assumed FIA business | 142.3 |
| | (2.4 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 139.9 |
|
Total liabilities at fair value | $ | 771.5 |
| | $ | (6.1 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 3.5 |
| | $ | — |
| | $ | 768.9 |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three months ended December 31, 2014 |
| Balance at Beginning
of Period | | Total Gains (Losses) | | | | | | | | Net transfer In (Out) of
Level 3 | | Balance at End of
Period |
| | Included in
Earnings | | Included in
AOCI | | Purchases | | Sales | | Settlements | | |
Assets | | | | | | | | | | | | | | | |
Contingent purchase price reduction receivable | $ | 41.5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 41.5 |
|
Corporate fixed maturity securities AFS | 16.3 |
| | — |
| | (0.5 | ) | | — |
| | — |
| | — |
| | — |
| | 15.8 |
|
Funds withheld receivables | 59.4 |
| | (0.1 | ) | | — |
| | 10.0 |
| | (4.1 | ) | | — |
| | — |
| | 65.2 |
|
Total assets at fair value | $ | 117.2 |
| | $ | (0.1 | ) | | $ | (0.5 | ) | | $ | 10.0 |
| | $ | (4.1 | ) | | $ | — |
| | $ | — |
| | $ | 122.5 |
|
| | | | | | | | | | | | | | | |
| Balance at Beginning
of Period | | Total (Gains) Losses | | | | | | | | Net transfer In (Out) of
Level 3 | | Balance at End of
Period |
| | Included in
Earnings | | Included in
AOCI | | Purchases | | Sales | | Settlements | | |
Liabilities | | | | | | | | | | | | | | | |
Front Street future policyholder benefit liability | $ | 151.3 |
| | $ | 0.2 |
| | $ | — |
| | $ | 346.9 |
| | $ | — |
| | $ | (2.0 | ) | | $ | — |
| | $ | 496.4 |
|
Embedded derivatives in Front Street's assumed FIA business | 150.8 |
| | 6.2 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 157.0 |
|
Total liabilities at fair value | $ | 302.1 |
| | $ | 6.4 |
| | $ | — |
| | $ | 346.9 |
| | $ | — |
| | $ | (2.0 | ) | | $ | — |
| | $ | 653.4 |
|
The Company reviews the fair value hierarchy classifications each reporting period. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in and out of Level 3, or between other levels, at the beginning fair value for the reporting period in which the changes occur. There were no transfers between Level 1 and Level 2 and no net transfers in or out of Level 3 for the three months ended December 31, 2015 and 2014.
Non-Recurring Fair Value Measurements
Goodwill, intangible assets and other long-lived assets are tested annually or if an event occurs that indicates an impairment loss may have been incurred using fair value measurements with unobservable inputs (Level 3).
