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Table of Contents
The following tables summarize the Company’s financial assets and liabilities measured at fair value by hierarchy level as of December 31 :
The following table is a summary of the unobservable inputs used in other asset-backed securities classified as Level 3 as of December 31 :
(1)
Net average price per $100.00
(2)
Converted to a third party pricing service as of September 30, 2013; utilized a manual pricing process as of December 31, 2012
(3)
Converted to a third party pricing service as of September 30, 2013; utilized a broker pricing process as of December 31, 2012
The following table provides a roll-forward of the other asset-
backed securities classified as Level 3, which are measured at fair value on a
recurring basis, for the years ended December 31 :
F-19
2013
(Amounts in millions) Level 1
Level 2
Level 3
Total
Financial assets:
Available-for-sale investments (substantially restricted):
U.S. government agencies
$
—
$
8.0
$
—
$
8.0
Residential mortgage-backed securities — agencies
—
19.5
—
19.5
Other asset-backed securities
—
—
20.6
20.6
Investment related to deferred compensation trust
9.6
—
—
9.6
Forward contracts
—
0.2
—
0.2
Total financial assets
$
9.6
$
27.7
$
20.6
$
57.9
Financial liabilities:
Forward contracts
$
—
$
0.6
$
—
$
0.6
2012
(Amounts in millions) Level 1
Level 2
Level 3
Total
Financial assets:
Available-for-sale investments (substantially restricted):
U.S. government agencies
$
—
$
8.9
$
—
$
8.9
Residential mortgage-backed securities — agencies
—
36.6
—
36.6
Other asset-backed securities
—
—
18.0
18.0
Investment related to deferred compensation trust
8.6
—
—
8.6
Forward contracts
—
0.6
—
0.6
Total financial assets
$
8.6
$
46.1
$
18.0
$
72.7
2013
2012
(Amounts in millions) Unobservable
Input
Pricing Source
Market
Value
Net Average
Price
(1)
Market
Value
Net Average
Price
(1)
Alt-A Price
Third party pricing service
$
0.1
$
17.01
$
0.1
$
12.50
Home Equity Price
Third party pricing service
0.2
51.87
0.2
47.30
Indirect Exposure — High Grade
(2)
Price
Third party pricing service
8.2
7.90
3.9
3.46
Indirect Exposure — Mezzanine
(3)
Price
Third party pricing service
2.6
2.12
—
—
Indirect Exposure — Mezzanine Price
Broker
5.0
6.01
7.9
3.71
Other Discount margin
Manual
4.5
23.85
5.9
31.69
Total
$
20.6
$
5.24
$
18.0
$
4.39
(Amounts in millions) 2013
2012
Beginning balance
$
18.0
$
24.2
Realized gains
—
(
10.0
)
Principal paydowns
(3.7
)
(0.3
)
Unrealized gains
8.5
6.8
Unrealized losses
(2.2
)
(2.7
)
Ending balance
$
20.6
$
18.0