(7) Fair Value of Financial Instruments The Company’s consolidated assets and liabilities measured at fair value are summarized according to the hierarchy previously described as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2016 | | September 30, 2015 | | | Level 1 | | Level 2 | | Level 3 | | Fair Value | | Level 1 | | Level 2 | | Level 3 | | Fair Value | Assets | | | | | | | | | | | | | | | | | Fixed maturity and equity securities included in funds withheld receivables | | $ | 69.9 |
| | $ | 1,387.1 |
| | $ | 78.1 |
| | $ | 1,535.1 |
| | $ | 8.4 |
| | $ | 1,555.0 |
| | $ | 74.7 |
| | $ | 1,638.1 |
| Call option receivable from FGL included in funds withheld receivables | | — |
| | 11.3 |
| | — |
| | 11.3 |
| | — |
| | 5.4 |
| | — |
| | 5.4 |
| Corporate fixed maturity securities AFS | | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 14.1 |
| | 14.1 |
| Other invested assets | | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 2.8 |
| | 2.8 |
| Total financial assets | | $ | 69.9 |
| | $ | 1,398.4 |
| | $ | 78.1 |
| | $ | 1,546.4 |
| | $ | 8.4 |
| | $ | 1,560.4 |
| | $ | 91.6 |
| | $ | 1,660.4 |
| Liabilities | | | | | | | | | | | | | | | | | Front Street future policyholder benefit liability | | $ | — |
| | $ | — |
| | $ | 631.8 |
| | $ | 631.8 |
| | $ | — |
| | $ | — |
| | $ | 629.2 |
| | $ | 629.2 |
| Embedded derivatives in Front Street's assumed FIA business | | — |
| | — |
| | 131.2 |
| | 131.2 |
| | — |
| | — |
| | 142.3 |
| | 142.3 |
| Foreign exchange contracts | | — |
| | — |
| | — |
| | — |
| | — |
| | 11.0 |
| | — |
| | 11.0 |
| Total financial liabilities | | $ | — |
| | $ | — |
| | $ | 763.0 |
| | $ | 763.0 |
| | $ | — |
| | $ | 11.0 |
| | $ | 771.5 |
| | $ | 782.5 |
|
Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of September 30, 2016 and 2015 were as follows:
| | | | | | | | | | | | | | | | | | | | 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 |
| | | | | | | | |
|
