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Fair Value of Financial Instruments (Tables)

3 Months Ended

Dec. 30, 2012

Assets and Liabilities Carrying at Fair Value on Recurring Basis

The carrying amounts and estimated fair values of the Company’s consolidated financial instruments for which the disclosure of fair values is required, including (i) financial assets and liabilities measured and carried at fair value on a recurring basis, and (ii) financial assets and liabilities not measured at fair value but for which fair value disclosures are required; are summarized according to the hierarchy previously described as follows:

		December 30, 2012
		Level 1				Level 2				Level 3				Fair Value				Carrying Amount
Assets
Cash and cash equivalents (a)		$	1,103.7			$	—			$	—			$	1,103.7			$	1,103.7
Contingent purchase price reduction receivable			—				—				41.0				41.0				41.0
Derivatives:
Foreign exchange forward agreements			—				0.6				—				0.6				0.6
Commodity swap and option agreements			—				1.8				—				1.8				1.8
Call options and futures contracts			—				156.4				—				156.4				156.4
Fixed maturity securities, available-for-sale:
Asset-backed securities			—				1,285.4				5.3				1,290.7				1,290.7
Commercial mortgage-backed securities			—				557.5				6.1				563.6				563.6
Corporates			—				9,618.1				256.1				9,874.2				9,874.2
Hybrids			—				436.5				5.0				441.5				441.5
Municipals			—				1,174.3				—				1,174.3				1,174.3
Agency residential mortgage-backed securities			—				140.0				—				140.0				140.0
Non-agency residential mortgage-backed securities			—				969.2				—				969.2				969.2
U.S. Government			2,023.1				—				—				2,023.1				2,023.1
Equity securities:
Available-for-sale			—				263.8				—				263.8				263.8
Trading			48.3				—				—				48.3				48.3
U.S. Treasuries and certificate of deposit, held-to-maturity			—				33.9				—				33.9				33.9
Policy loans and other invested assets			—				—				32.7				32.7				32.7
Asset-backed loans			—				—				204.8				204.8				204.8
Total financial assets		$	3,175.1			$	14,637.5			$	551.0			$	18,363.6			$	18,363.6
Liabilities
Total debt		$	—			$	4,138.3			$	—			$	4,138.3			$	3,917.8
Derivatives:
FIA embedded derivatives, included in contractholder funds			—				—				1,517.0				1,517.0				1,517.0
Futures contracts			—				—				—				—				—
Foreign exchange forward agreements			—				10.6				—				10.6				10.6
Commodity swap and option agreements			—				—				—				—				—
Equity conversion feature of preferred stock			—				—				163.1				163.1				163.1
Redeemable preferred stock, excluding equity conversion feature			—				—				377.8				377.8				323.0
Investment contracts, included in contractholder funds			—				—				12,442.7				12,442.7				13,832.0
Total financial liabilities		$	—			$	4,148.9			$	14,500.6			$	18,649.5			$	19,763.5

		September 30, 2012
		Level 1				Level 2				Level 3				Fair Value				Carrying Amount
Assets
Cash and cash equivalents (a)		$	1,468.4			$	2.3			$	—			$	1,470.7			$	1,470.7
Contingent purchase price reduction receivable			—				—				41.0				41.0				41.0
Derivatives:
Foreign exchange forward agreements			—				1.2				—				1.2				1.2
Commodity swap and option agreements			—				2.0				—				2.0				2.0
Call options			—				200.7				—				200.7				200.7
Fixed maturity securities, available-for-sale:
Asset-backed securities			—				1,012.0				15.9				1,027.9				1,027.9
Commercial mortgage-backed securities			—				548.8				5.0				553.8				553.8
Corporates			—				10,873.7				135.3				11,009.0				11,009.0
Hybrids			—				519.4				8.8				528.2				528.2
Municipals			—				1,224.0				—				1,224.0				1,224.0
Agency residential mortgage-backed securities			—				155.0				—				155.0				155.0
Non-agency residential mortgage-backed securities			—				660.6				—				660.6				660.6
U.S. Government			930.4				—				—				930.4				930.4
Equity securities
Available-for-sale			—				248.1				—				248.1				248.1
Trading			146.8				—				—				146.8				146.8
U.S. Treasuries and certificate of deposit, held-to-maturity			—				35.0				—				35.0				35.0
Policy loans and other invested assets			—				—				18.8				18.8				18.8
Asset-backed loans			—				—				180.1				180.1				180.1
Total financial assets		$	2,545.6			$	15,482.8			$	404.9			$	18,433.3			$	18,433.3
Liabilities
Total debt		$	524.0			$	1,804.8			$	—			$	2,328.8			$	2,167.0
Derivatives:
FIA embedded derivatives, included in contractholder funds			—				—				1,550.8				1,550.8				1,550.8
Futures contracts			—				0.9				—				0.9				0.9
Foreign exchange forward agreements			—				10.0				—				10.0				10.0
Commodity swap and option agreements			—				—				—				—				—
Equity conversion feature of preferred stock			—				—				232.0				232.0				232.0
Redeemable preferred stock, excluding equity conversion feature			—				—				368.9				368.9				319.2
Investment contracts, included in contractholder funds			—				—				12,271.9				12,271.9				13,739.6
Total financial liabilities		$	524.0			$	1,815.7			$	14,423.6			$	16,763.3			$	18,019.5

(a) The fair values of cash equivalents, short-term investments and debt set forth above are generally based on quoted or observed market prices.

(b) The carrying amounts of trade receivables, accounts payable, accrued investment income and portions of other insurance liabilities approximate fair value due to their short duration and, accordingly, they are not presented in the tables above.

Schedule of Unobservable Inputs Used for Level Three Fair Value Measurements of Financial Instruments on Recurring Basis

Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of December 30, 2012 is as follows:

						Fair Value at								Range (Weighted average)
		Valuation Technique		Unobservable Input(s)		December 30, 2012				September 30, 2012				December 30, 2012		September 30, 2012
Assets
Contingent purchase price reduction receivable		Discounted cash flow		Probability of collection		$	41.0			$	41.0			88% -96%		88% - 96%
														(92%)		(92%)
				Expected term										9 months		9 months
				Discount rate										0.62%		0.72%
				Credit insurance risk premium										12%		12%
Asset-backed securities		Broker-quoted		Offered quotes			5.3				15.9			109%		100% -110%
																(103%)
Commercial mortgage-backed securities		Broker-quoted		Offered quotes			6.1				5.0			102%		101%
Corporates		Broker-quoted		Offered quotes			223.4				103.3			0% -149%		0% - 141%
														(80%)		(69%)
Corporates		Market pricing		Quoted prices			32.7				32.0			88% -149%		88% - 158%
														(95%)		(98%)
Hybrids		Broker-quoted		Offered quotes			—				8.8					0% - 103%
																(25%)
Hybrids		Market pricing		Quoted prices			5.0				—			100%		—
Total						$	313.5			$	206.0
Liabilities
FIA embedded derivatives, included in contractholder funds		Discounted cash flow		Market value of option		$	1,517.0			$	1,550.8			0% - 30%		0% - 31%
														(2%)		(4%)
				SWAP rates										0.86% - 2%		0.76% - 2%
														(1%)		(1%)
				Mortality multiplier										80%		70%
				Surrender rates										0.50% - 75%		2% - 50%
														(7%)		(7%)
				Non-performance spread										0.25% - 0.25%		0.25% - 0.25%
														(0.25%)		(0.25%)
Equity conversion feature of preferred stock		Monte Carlo simulation / Option model		Annualized volatility of equity			163.1				232.0			44%		41%
				Discount yield										11%		12% -13%
																(12%)
				Non-cash accretion rate										0%		0%
				Calibration adjustment										17% - 19%		10% -13%
														(18%)		(11%)
Total						$	1,680.1			$	1,782.8

Changes in Fair Value of Financial Instruments

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 months ended December 30, 2012 and January 1, 2012. This summary excludes any impact of amortization of VOBA and DAC. 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.

		Three Months Ended December 30, 2012
		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
Contingent purchase price reduction receivable		$	41.0			$	—			$	—			$	—			$	—			$	—			$	—			$	41.0
Fixed maturity securities available-for-sale:
Asset-backed securities			15.9				—				(0.1	)			—				—				—				(10.5	)			5.3
Commercial mortgage-backed securities			5.0				—				0.1				1.0				—				—				—				6.1
Corporates			135.3				(0.2	)			(2.0	)			133.2				(9.6	)			(0.7	)			0.1				256.1
Hybrids			8.8				—				(0.1	)			—				—				—				(3.7	)			5.0
Total assets at fair value		$	206.0			$	(0.2	)		$	(2.1	)		$	134.2			$	(9.6	)		$	(0.7	)		$	(14.1	)		$	313.5
Liabilities
FIA embedded derivatives, included in contractholder funds		$	1,550.8			$	(33.8	)		$	—			$	—			$	—			$	—			$	—			$	1,517.0
Equity conversion feature of preferred stock			232.0				(68.9	)			—				—				—				—				—				163.1
Total liabilities at fair value		$	1,782.8			$	(102.7	)		$	—			$	—			$	—			$	—			$	—			$	1,680.1

(a) The net transfers in and out of Level 3 during the three month period ended December 30, 2012 was exclusively to or from Level 2.

		Three Months Ended January 1, 2012
		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
Fixed maturity securities available-for-sale:
Asset-backed securities		$	374.5			$	—			$	(4.6	)		$	38.8			$	—			$	(8.0	)		$	—			$	400.7
Corporates			159.7				(0.1	)			(0.9	)			—				(7.0	)			(2.8	)			(10.4	)			138.5
Hybrids			5.2				—				(0.1	)			—				—				—				—				5.1
Municipals			—				—				—				—				—				—				0.1				0.1
Agency residential mortgage-backed securities			3.3				—				—				—				—				—				—				3.3
Non-agency residential mortgage-backed securities			3.8				—				—				—				—				(0.1	)			—				3.7
Total assets at fair value		$	546.5			$	(0.1	)		$	(5.6	)		$	38.8			$	(7.0	)		$	(10.9	)		$	(10.3	)		$	551.4
Liabilities
FIA embedded derivatives, included in contractholder funds		$	1,396.3			$	58.7			$	—			$	—			$	—			$	—			$	—			$	1,455.0
Equity conversion feature of preferred stock			75.4				(27.9	)			—				—				—				—				—				47.5
Available-for-sale embedded derivatives			0.4				—				—				—				—				—				—				0.4
Total liabilities at fair value		$	1,472.1			$	30.8			$	—			$	—			$	—			$	—			$	—			$	1,502.9

(a) The net transfers in and out of Level 3 during the three month period ended January 1, 2012 was exclusively to or from Level 2.

X

- Definition

Fair value assets and liabilities measured on recurring basis unobservable input reconciliation.

+ References

No definition available.

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- Definition

Unobservable Data Used In Recurring Valuations Of Level Three Table [Text Block]

+ References

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 1

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258

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