MoneyGram 2015 Annual Report Download - page 84

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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 on a recurring basis as of December 31 :
Fair Value at December 31, 2015
(Amounts in millions) Level 1
Level 2
Level 3
Total
Financial assets:
Available-for-sale investments:
Residential mortgage-backed securities — agencies $ —
$ 9.5
$ —
$ 9.5
Other asset-backed securities —
—
11.6
11.6
Forward contracts —
0.8
—
0.8
Total financial assets $ —
$ 10.3
$ 11.6
$ 21.9
Financial liabilities:
Forward contracts $ —
$ 0.1
$ —
$ 0.1
Fair Value at December 31, 2014
(Amounts in millions) Level 1
Level 2
Level 3
Total
Financial assets:
Available-for-sale investments:
Residential mortgage-backed securities — agencies $ —
$ 14.5
$ —
$ 14.5
Other asset-backed securities —
—
12.6
12.6
Investment related to deferred compensation trust 10.0
—
—
10.0
Forward contracts —
4.8
—
4.8
Total financial assets $ 10.0
$ 19.3
$ 12.6
$ 41.9
Financial liabilities:
Forward contracts $ —
$ 0.3
$ —
$ 0.3
The following table is a summary of the unobservable inputs used in the valuation of other asset-backed securities classified as Level 3 as of December 31 :
2015
2014
(Amounts in millions, except net average price)
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
$ 79.19
$ 0.1
$ 80.75
Home equity
Price
Third-party pricing service
0.1
29.40
0.1
30.37
Indirect exposure — high grade
Price
Third-party pricing service
8.3
21.65
8.3
21.64
Indirect exposure — mezzanine
Price
Third-party pricing service
0.8
0.75
1.1
1.11
Indirect exposure — mezzanine
Price
Broker
1.1
1.58
1.3
1.52
Other
Net asset value
Third-party pricing service
1.2
6.34
1.7
9.15
Total
$ 11.6
$ 3.57
$ 12.6
$ 3.72
(1) Net average price is per $100.00
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 :
(Amounts in millions) 2015
2014
2013
Beginning balance $ 12.6
$ 20.6
$ 18.0
Principal paydowns (0.9)
(5.7)
(3.7)
Change in unrealized gains (0.1)
(1.5)
6.3
Net realized losses —
(0.8)
—
Ending balance $ 11.6
$ 12.6
$ 20.6
F-20