|
| | | | | | | | | | | | | | | | |
| | Fair Value at | | | | | | Range (Weighted average) |
Assets | | September 30,
2016 | | September 30,
2015 | | Valuation Technique | | Unobservable Input(s) | | September 30,
2016 | | September 30, 2015 |
Corporate fixed maturity securities | | $ | — |
| | $ | 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 | | 35.2 |
| | 39.1 |
| | Matrix pricing | | Quoted prices | | 98% - 122% (109%) | | 100% - 122% (112%) |
Fixed maturity securities | | 5.4 |
| | 19.2 |
| | Loan Recovery Value | | Recovery rate | | 56% - 100% (82%) | | 6% - 12% (8%) |
Fixed maturity securities | | 35.7 |
| | 6.7 |
| | Broker-quoted | | Offered quotes | | 97% - 100% (100%) | | 99% - 103% (101%) |
Loan participations | | 1.8 |
| | 9.7 |
| | Loan Recovery Value | | Recovery rate | | 52% - 100% (71%) | | 100% |
Total | | $ | 78.1 |
| | $ | 91.6 |
| | | | | | | | |
Liabilities | | | | | | | | | | | | |
Front Street future policyholder benefit liability | | $ | 631.8 |
| | $ | 629.2 |
| | Discounted cash flow | | Non-performance risk spread | | 0.32% | | 0.16% - 0.46% |
| | | | | | | | Risk margin to reflect uncertainty | | 0.50% | | 0.50% - 1.00% |
Embedded derivatives in Front Street’s assumed FIA business | | 131.2 |
| | 142.3 |
| | Discounted cash flow | | Market value of option | | 0% - 27% (2%) | | 0% - 32% (1%) |
| | | | | | | | SWAP rates | | 1% | | 2% |
| | | | | | | | Mortality multiplier | | 80% | | 80% |
| | | | | | | | Surrender rates | | 0.50% - 75% (10%) | | 0.50% - 75% (13%) |
| | | | | | | | Non-performance risk spread | | 0.25% | | 0.25% |
Total | | $ | 763.0 |
| | $ | 771.5 |
| | | | | | | | |
