Derivative Financial Instruments (Tables)

3 Months Ended

Dec. 30, 2012

Fair Value of Outstanding Derivative Contracts in Condensed Consolidated Balance Sheets

The fair value of outstanding derivative contracts recorded in the accompanying Condensed Consolidated Balance Sheets were as follows:


Asset Derivatives	Classification	December 30, 2012		September 30, 2012
Derivatives designated as hedging instruments:
Commodity swap and option agreements	Receivables, net	$	1.1	$	1.0
Commodity swap and option agreements	Other assets		0.7		1.0
Foreign exchange forward agreements	Receivables, net		0.6		1.2

Total asset derivatives designated as hedging instruments			2.4		3.2
Derivatives not designated as hedging instruments:
Call options	Derivative investments		152.5		200.7
Futures contracts	Derivative investments		3.9		—

Total asset derivatives		$	158.8	$	203.9


Liability Derivatives	Classification	December 30, 2012		September 30, 2012
Derivatives designated as hedging instruments:
Foreign exchange forward agreements	Accounts payable and other current liabilities	$	2.1	$	3.1

Total liability derivatives designated as hedging instruments			2.1		3.1
Derivatives not designated as hedging instruments:
FIA embedded derivative	Contractholder funds		1,517.0		1,550.8
Futures contracts	Other liabilities		—		0.9
Foreign exchange forward agreements	Accounts payable and other current liabilities		5.7		4.0
Foreign exchange forward agreements	Other liabilities		2.8		2.9
Equity conversion feature of preferred stock	Equity conversion feature of preferred stock		163.1		232.0

Total liability derivatives		$	1,690.7	$	1,793.7

Pretax Impact of Derivative Instruments Designated as Cash Flow Hedges on Accompanying Condensed Consolidated Statements of Operations, and Within AOCI

The following table summarizes the pretax impact of derivative instruments designated as cash flow hedges on the accompanying Condensed Consolidated Statements of Operations, and within AOCI, for the three months ended December 30, 2012 and January 1, 2012:


Derivatives in Cash Flow Hedging Relationships	Amount of Gain (Loss) Recognized in AOCI on Derivatives (Effective Portion)						Amount of Gain (Loss) Reclassified from AOCI into Income (Effective Portion)						Classification
Three Months Ended	December 30, 2012			January 1, 2012			December 30, 2012			January 1, 2012
Commodity contracts	$	(0.2	)	$	(0.8	)	$	(0.1	)	$	(0.4	)	Consumer products cost of goods sold
													Consumer products cost of goods sold
Interest rate contracts		—			—			—			(0.7	)	Interest expense
Foreign exchange contracts		0.5			(0.1	)		0.1			(0.1	)	Net consumer products sales
Foreign exchange contracts		(0.4	)		1.3			(0.5	)		(1.2	)	Consumer products cost of goods sold

Total	$	(0.1	)	$	0.4		$	(0.5	)	$	(2.4	)

Summary of Gain (Loss) Recognized in Income on Derivatives

During the three months ended December 30, 2012 and January 1, 2012 the Company recognized the following gains on these derivatives:


Derivatives Not Designated as Hedging Instruments	Gain (Loss) Recognized in Income on Derivatives						Classification
Three Months Ended	December 30, 2012			January 1, 2012
Equity conversion feature of preferred stock	$	68.9		$	27.9		Gain from the change in the fair value of the equity conversion feature of preferred stock


Foreign exchange contracts		(4.1	)		7.3		Other (expense) income, net
Call options		(20.9	)		19.9		Net investment gains
Futures contracts		(4.7	)		14.9		Net investment gains
FIA embedded derivatives		33.8			(58.7	)	Benefits and other changes in policy reserves

Total	$	73.0		$	11.3

Call options [Member]

FGL's Exposure to Credit Loss on Call Options Held

Information regarding FGL’s exposure to credit loss on the call options it holds is presented in the following table:


	Credit Rating (Moody’s/S&P)	December 30, 2012				September 30, 2012
Counterparty	Credit Rating (Moody’s/S&P)	Notional Amount		Fair Value		Notional Amount		Fair Value
Bank of America	Baa2/A-	$	1,760.5	$	45.1	$	1,884.0	$	64.1
Deutsche Bank	A2/A+		1,892.7		46.8		1,816.5		61.7
Morgan Stanley	Baa1/A-		1,869.8		43.4		1,634.7		51.6
Royal Bank of Scotland	Baa1/A-		352.4		15.2		353.9		19.6
Barclay’s Bank	A2/A+		119.9		2.0		131.3		3.1
Credit Suisse	A2/A		—		—		10.0		0.6

		$	5,995.3	$	152.5	$	5,830.4	$	200.7

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details