Fair Value Measurements

9 Months Ended

Sep. 30, 2022

The following tables present the Company’s fair value hierarchy for financial assets and liabilities measured as of September 30, 2022 and December 31, 2021 ($ in millions):


	September 30, 2022
	Level 1		Level 2		Level 3		Total
Financial Assets:
Corporate debt securities	$	—	$	572.8	$	—	$	572.8
U.S. Government obligations	—		116.3		—		116.3
Municipal securities	—		1.2		—		1.2
Asset-backed securities	—		2.8		—		2.8
Fixed maturities	$	—	$	693.1	$	—	$	693.1
Short term investments	—		142.8		—		142.8
Total	$	—	$	835.9	$	—	$	835.9

Financial Liabilities:
Warrant Liability	$	—	$	—	$	0.8	$	0.8


	December 31, 2021
	Level 1		Level 2		Level 3		Total
Financial Assets:
Corporate debt securities	$	—	$	588.7	$	—	$	588.7
U.S. Government obligations	—		101.5		—		101.5
Municipal securities	—		1.2		—		1.2
Asset-backed securities	—		—		—		—
Fixed maturities	$	—	$	691.4	$	—	691.4
Short term investments	—		110.4		—		110.4
Total	$	—	$	801.8	$	—	$	801.8

Financial Liabilities:
Warrant Liability	$	—	$	—	$	—	$	—

The fair value of all different classes of Level 2 fixed maturities and short-term investments are estimated by using quoted prices from a third-party valuation service provider to gather, analyze and interpret market information and derive fair values based upon relevant methodologies and assumptions for individual instruments.

There were no transfers between Level 1, Level 2, or Level 3 during the three and nine months ended September 30, 2022 and during the year ended December 31, 2021.

Warrant liability

As part of the Metromile Acquisition as discussed in Note 5, public and private warrants were assumed and are measured at fair value on a recurring basis at the end of the reporting period, and classified as level 3 for fair value hierarchy disclosure purposes. These warrants do not meet the criteria for equity treatment and are recorded as a liability and presented under "Other Liabilities and Accrued Expenses" on the consolidated balance sheet at fair value, with changes in fair value recognized and presented under "General and Administrative expenses" in the consolidated statement of operations and comprehensive loss. The Company utilized the binomial Monte-Carlo simulation to estimate the fair value of these warrants which are currently not actively traded as of reporting date, and are determined based on the following assumptions:


						September 30, 2022
Weighted average expected term (years)						3.36
Risk-free interest rate						4.2%
Volatility						80%
Expected dividend yield						—

The following table below presents the change in fair value of the warrant liability ($ in millions):


	September 30, 2022
Balance as of January 1	$	—
Initial measurement of warrants liability as of July 31, 2022	0.5
Change in fair value	0.3
Balance as of September 30	$	0.8

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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