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 and six months ended March 31, 2017 and 2016. 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 March 31, 2017 |
| 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 | | | | | | | | | | | | | | | |
Funds withheld receivables | $ | 46.4 |
| | $ | — |
| | $ | — |
| | $ | 6.1 |
| | $ | (1.0 | ) | | $ | — |
| | $ | (2.4 | ) | | $ | 49.1 |
|
Total assets at fair value | $ | 46.4 |
| | $ | — |
| | $ | — |
| | $ | 6.1 |
| | $ | (1.0 | ) | | $ | — |
| | $ | (2.4 | ) | | $ | 49.1 |
|
| | | | | | | | | | | | | | | |
| 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 | $ | 634.5 |
| | $ | 21.1 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 5.6 |
| | $ | — |
| | $ | 661.2 |
|
Embedded derivatives in Front Street's assumed FIA business | 121.2 |
| | (0.2 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 121.0 |
|
Total liabilities at fair value | $ | 755.7 |
| | $ | 20.9 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 5.6 |
| | $ | — |
| | $ | 782.2 |
|
(a) During the three months ended March 31, 2017, the net transfer out of Level 3 was exclusively to Level 2.
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| Six months ended March 31, 2017 |
| 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 | | | | | | | | | | | | | | | |
Funds withheld receivables | $ | 78.1 |
| | $ | (1.3 | ) | | $ | — |
| | $ | 9.1 |
| | $ | (7.3 | ) | | $ | — |
| | $ | (29.5 | ) | | $ | 49.1 |
|
Total assets at fair value | $ | 78.1 |
| | $ | (1.3 | ) | | $ | — |
| | $ | 9.1 |
| | $ | (7.3 | ) | | $ | — |
| | $ | (29.5 | ) | | $ | 49.1 |
|
| | | | | | | | | | | | | | | |
| 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 | $ | 631.8 |
| | $ | 8.5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 20.9 |
| | $ | — |
| | $ | 661.2 |
|
Embedded derivatives in Front Street's assumed FIA business | 131.2 |
| | (10.2 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | 121.0 |
|
Total liabilities at fair value | $ | 763.0 |
| | $ | (1.7 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 20.9 |
| | $ | — |
| | $ | 782.2 |
|
(a) During the six months ended March 31, 2017, the net transfer out of Level 3 was exclusively to Level 2.