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 Fiscal 2016, 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.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fiscal 2016 |
| Balance at Beginning of Period | | Total Gains (Losses) | | | | | | | | Net transfer In (Out) of Level 3 (a) | | Balance at End of Period |
| | Included in Earnings | | Included in AOCI | | Purchases | | Sales | | Settlements | | |
Assets | | | | | | | | | | | | | | | |
Corporate fixed maturity securities | $ | 14.1 |
| | $ | (0.5 | ) | | $ | — |
| | $ | — |
| | $ | (13.6 | ) | | $ | — |
| | $ | — |
| | $ | — |
|
Other invested assets | 2.8 |
| | 2.7 |
| | — |
| | — |
| | — |
| | (5.5 | ) | | — |
| | — |
|
Funds withheld receivables | 74.7 |
| | (3.6 | ) | | — |
| | 36.2 |
| | (34.4 | ) | | — |
| | 5.2 |
| | 78.1 |
|
Total assets at fair value | $ | 91.6 |
| | $ | (1.4 | ) | | $ | — |
| | $ | 36.2 |
| | $ | (48.0 | ) | | $ | (5.5 | ) | | $ | 5.2 |
| | $ | 78.1 |
|
| | | | | | | | | | | | | | | |
| 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 |
| | $ | 59.5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (56.9 | ) | | $ | — |
| | $ | 631.8 |
|
Embedded derivatives in Front Street’s assumed FIA business | 142.3 |
| | (11.1 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 131.2 |
|
Total liabilities at fair value | $ | 771.5 |
| | $ | 48.4 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (56.9 | ) | | $ | — |
| | $ | 763.0 |
|
(a) During Fiscal 2016, the net transfer to Level 3 was exclusively from Level 2. The transfers into Level 3 were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value.
|
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| Fiscal 2015 |
| Balance at Beginning
of Period | | Total Gains (Losses) | | | | | | | | Net transfer In (Out) of
Level 3 (a) | | Balance at End of
Period |
| | Included in
Earnings | | Included in
AOCI | | Purchases | | Sales | | Settlements | | |
Assets | | | | | | | | | | | | | | | |
Contingent purchase price reduction receivable | $ | 41.5 |
| | $ | 8.5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (50.0 | ) | | $ | — |
| | $ | — |
|
Corporate fixed maturity securities | 16.3 |
| | (2.2 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 14.1 |
|
Other invested assets | — |
| | (16.3 | ) | | — |
| | — |
| | — |
| | — |
| | 19.1 |
| | 2.8 |
|
Funds withheld receivables | 58.9 |
| | (0.5 | ) | | — |
| | 30.4 |
| | (14.1 | ) | | — |
| | — |
| | 74.7 |
|
Total assets at fair value | $ | 116.7 |
| | $ | (10.5 | ) | | $ | — |
| | $ | 30.4 |
| | $ | (14.1 | ) | | $ | (50.0 | ) | | $ | 19.1 |
| | $ | 91.6 |
|
| | | | | | | | | | | | | | | |
| 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 |
| | $ | 24.3 |
| | $ | — |
| | $ | 444.2 |
| | $ | — |
| | $ | 9.4 |
| | $ | — |
| | $ | 629.2 |
|
Embedded derivatives in Front Street’s assumed FIA business | 150.8 |
| | (8.5 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 142.3 |
|
Total liabilities at fair value | $ | 302.1 |
| | $ | 15.8 |
| | $ | — |
| | $ | 444.2 |
| | $ | — |
| | $ | 9.4 |
| | $ | — |
| | $ | 771.5 |
|
(a) During Fiscal 2015, the net transfer to Level 3 was related to a loan receivable previously classified as a related party loan.
