Fair Value of Financial Instruments Fair Value of Financial Instruments (Tables)

12 Months Ended

Sep. 30, 2015

Assets and Liabilities Carrying at Fair Value on Recurring Basis



	September 30, 2015								September 30, 2014
	Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3		Fair Value
Assets
Contingent purchase price reduction receivable	$	—	$	—	$	—	$	—	$	—	$	—	$	41.5	$	41.5
Derivatives:
Interest contracts	—		—		—		—		—		0.6		—		0.6
Commodity contracts	—		7.9		—		7.9		—		3.2		—		3.2
Foreign exchange contracts	—		6.0		—		6.0		—		12.8		—		12.8
Call options and futures contracts	—		81.9		—		81.9		—		296.3		—		296.3
Fixed maturity securities, available-for-sale:
Asset-backed securities	—		1,850.4		10.1		1,860.5		—		1,755.9		37.0		1,792.9
Commercial mortgage-backed securities	—		738.6		143.6		882.2		—		553.8		83.1		636.9
Corporates	—		8,566.5		978.2		9,544.7		—		8,945.8		850.0		9,795.8
Hybrids	—		1,213.3		—		1,213.3		—		1,316.1		—		1,316.1
Municipals	—		1,569.1		38.5		1,607.6		—		1,222.6		37.2		1,259.8
Residential mortgage-backed securities	—		2,162.5		—		2,162.5		—		2,114.0		—		2,114.0
U.S. Government	60.0		184.0		—		244.0		115.6		180.4		—		296.0
Equity securities:
Available-for-sale	26.5		559.6		30.5		616.6		59.2		598.4		6.0		663.6
Trading	32.8		—		—		32.8		104.5		—		—		104.5
Other invested assets	—		—		13.0		13.0		—		2.1		11.2		13.3
Funds withheld receivable (a)	32.8		600.3		19.2		652.3		—		154.4		—		154.4
Total financial assets	$	152.1	$	17,540.1	$	1,233.1	$	18,925.3	$	279.3	$	17,156.4	$	1,066.0	$	18,501.7

Liabilities
Derivatives:
FIA embedded derivatives, included in contractholder funds	$	—	$	—	$	2,149.4	$	2,149.4	$	—	$	—	$	1,908.1	$	1,908.1
Front Street future policyholder benefit liability	—		—		629.2		629.2		—		—		151.3		151.3
Foreign exchange contracts	—		1.6		—		1.6		—		0.1		—		0.1
Commodity contracts	—		5.6		—		5.6		—		0.4		—		0.4
Futures contracts	—		—		—		—		—		0.5		—		0.5
Interest rate contracts	—		2.6		—		2.6		—		1.8		—		1.8
Total financial liabilities	$	—	$	9.8	$	2,778.6	$	2,788.4	$	—	$	2.8	$	2,059.4	$	2,062.2

(a) included in “Other assets” in the Consolidated Balance Sheets.

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 September 30, 2015 and 2014 were as follows:



	Fair Value at						Range (Weighted average)
Assets	September 30, 2015		September 30, 2014		Valuation Technique	Unobservable Input(s)	September 30, 2015	September 30, 2014
Contingent purchase price reduction receivable	$	—	$	41.5	Discounted cash flow	Probability of collection	—	88% - 96% (92%)
						Expected term	—	4.5 months
						Discount rate	—	1%
						Credit insurance risk premium	—	12%
Asset-backed securities	10.1		37.0		Broker-quoted	Offered quotes	100% - 108% (103%)	100% - 109% (101%)
Commercial mortgage-backed securities	143.6		83.1		Broker-quoted	Offered quotes	99% - 119% (111%)	105% - 121% (118%)
Corporates	911.7		848.0		Broker-quoted	Offered quotes	57% - 114% (101%)	62% - 120% (100%)
Corporates	66.5		2.0		Matrix Pricing	Quoted prices	105% - 142% (110%)	142%
Municipals	38.5		37.2		Broker-quoted	Offered quotes	111%	107%
Equity	24.5		—		Net Asset Value	Not applicable	100%	—%
Equity	6.0		6.0		Matrix Pricing	Quoted prices	100%	100%
Other invested assets	10.2		11.2		Black scholes model	Market value of AnchorPath Fund	100%	—
Other invested assets	2.8		—		Discounted Cash Flow	Probability of collection	50%	—%
						Discount rate	10%	—%
Funds withheld receivable	19.2		—		Discounted Cash Flow	Discount rate	6% - 12% (8%)	—%
Total	$	1,233.1	$	1,066.0
Liabilities
FIA embedded derivatives, included in contractholder funds	$	2,149.4	$	1,908.1	Discounted cash flow	Market value of option	0% - 34% (1%)	0% - 50% (3%)
						SWAP rates	1% - 2% (2%)	2% - 3% (2%)
						Mortality multiplier	80%	80%
						Surrender rates	0.50% - 75% (10%)	0.50% - 75% (7%)
						Non-performance risk spread	0.25%	0.25%
Front Street future policyholder benefit liability	629.2		151.3		Discounted cash flow	Non-performance risk spread	0.16% - 0.46%	0.50% - 1.50%
						Risk margin to reflect uncertainty	0.50% - 1.00%	0.50%
Total	$	2,778.6	$	2,059.4

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 Fiscal 2015, 2014 and 2013. 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.



	Fiscal 2015
	Balance at Beginning of Period		Total Gains (Losses)														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Assets
Contingent purchase price reduction receivable	$	41.5	$	8.5		$	—		$	—	$	—		$	(50.0	)	$	—		$	—
Fixed maturity securities available-for-sale:
Asset-backed securities	37.0		0.1			(0.1		)	14.2		—			(30.7		)	(10.4		)	10.1
Commercial mortgage-backed securities	83.1		—			(1.8		)	63.9		—			(1.6		)	—			143.6
Corporates	850.0		1.9			10.1			201.4		(1.6		)	(59.5		)	(24.1		)	978.2
Municipals	37.2		—			1.7			—		—			(0.4		)	—			38.5
Equity securities - available-for-sale	6.0		—			—			24.5		—			—			—			30.5
Other invested assets	11.2		(17.3		)	—			—		—			—			19.1			13.0
Funds withheld receivable	—		—			—			19.2		—			—			—			19.2
Total assets at fair value	$	1,066.0	$	(6.8	)	$	9.9		$	323.2	$	(1.6	)	$	(142.2	)	$	(15.4	)	$	1,233.1

	Balance at Beginning of Period		Total (Gains) Losses														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Liabilities
FIA embedded derivatives, included in contractholder funds	$	1,908.1	$	241.3		$	—		$	—	$	—		$	—		$	—		$	2,149.4
Front Street future policyholder benefit liability	151.3		24.7			—			445.4		—			7.8			—			629.2
Total liabilities at fair value	$	2,059.4	$	266.0		$	—		$	445.4	$	—		$	7.8		$	—		$	2,778.6

(a) During Fiscal 2015, the net transfers out of Level 3 were exclusively to Level 2 and the net transfer to Level 3 was related to a loan receivable previously eliminated upon consolidation.



	Fiscal 2014
	Balance at Beginning of Period		Total Gains (Losses)														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Assets
Contingent purchase price reduction receivable	$	41.0	$	0.5		$	—		$	—	$	—		$	—		$	—		$	41.5
Fixed maturity securities available-for-sale:
Asset-backed securities	5.0		—			(0.3		)	36.1		—			—			(3.8		)	37.0
Commercial mortgage-backed securities	5.7		—			—			83.7		(0.3		)	—			(6.0		)	83.1
Corporates	461.1		—			19.1			398.1		(11.8		)	(2.4		)	(14.1		)	850.0
Municipals	—		—			2.2			35.0		—			—			—			37.2
Equity securities - trading	10.7		1.3			—			1.5		—			(13.5		)	—			—
Equity securities - available-for-sale	—		—			1.2			4.8		—			—			—			6.0
Other invested assets	—		(0.1		)	—			11.3		—			—			—			11.2
Total assets at fair value	$	523.5	$	1.7		$	22.2		$	570.5	$	(12.1	)	$	(15.9	)	$	(23.9	)	$	1,066.0

	Balance at Beginning of Period		Total (Gains) Losses														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Liabilities
FIA embedded derivatives, included in contractholder funds	$	1,544.4	$	363.7		$	—		$	—	$	—		$	—		$	—		$	1,908.1
Front Street future policyholder benefit liability	—		7.0			—			150.6		—			(6.3		)	—			151.3
Equity conversion feature of preferred stock	330.8		12.7			—			—		—			(343.5		)	—			—
Total liabilities at fair value	$	1,875.2	$	383.4		$	—		$	150.6	$	—		$	(349.8	)	$	—		$	2,059.4

(a) The net transfers in and out of Level 3 during Fiscal 2014 were exclusively to or from Level 2.



	Fiscal 2013
	Balance at Beginning of Period		Total Gains (Losses)														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Assets
Contingent purchase price reduction receivable	$	41.0	$	—		$	—		$	—	$	—		$	—		$	—		$	41.0
Fixed maturity securities available-for-sale:
Asset-backed securities	15.9		—			(0.2		)	—		—			(0.2		)	(10.5		)	5.0
Commercial mortgage-backed securities	5.0		—			(0.3		)	1.0		—			—			—			5.7
Corporates	135.3		(0.3		)	(13.4		)	406.0		(9.6		)	(23.1		)	(33.8		)	461.1
Hybrids	8.8		—			(0.1		)	—		—			—			(8.7		)	—
Equity securities- trading	—		—			—			10.7		—			—			—			10.7
Equity securities- available-for-sale	—		0.2			—			10.5		(10.7		)	—			—			—
Total assets at fair value	$	206.0	$	(0.1	)	$	(14.0	)	$	428.2	$	(20.3	)	$	(23.3	)	$	(53.0	)	$	523.5

	Balance at Beginning of Period		Total (Gains) Losses														Net transfer In (Out) of Level 3 (a)			Balance at End of Period
	Balance at Beginning of Period		Included in Earnings			Included in AOCI			Purchases		Sales			Settlements			Net transfer In (Out) of Level 3 (a)			Balance at End of Period
Liabilities
FIA embedded derivatives, included in contractholder funds	$	1,550.8	$	(6.4	)	$	—		$	—	$	—		$	—		$	—		$	1,544.4
Equity conversion feature of preferred stock	232.0		101.6			—			—		—			(2.8		)	—			330.8
Total liabilities at fair value	$	1,782.8	$	95.2		$	—		$	—	$	—		$	(2.8	)	$	—		$	1,875.2

(a) The net transfers out of Level 3 during Fiscal 2013 were exclusively to Level 2.

Schedule of Assets and Liabilities not Measured at Fair Value

Financial Assets and Liabilities Not Measured at Fair Value

The carrying amount, estimated fair value and the level of the fair value hierarchy of the Company’s financial instrument assets and liabilities which are not measured at fair value on the Consolidated Balance Sheets are summarized as follows:



	September 30, 2015
	Level 1		Level 2		Level 3		Fair Value		Carrying Amount
Assets (a)
Cash and cash equivalents	$	1,197.0	$	—	$	—	$	1,197.0	$	1,197.0
Commercial mortgage loans	—		—		489.6		489.6		489.2
Other invested assets	—		—		26.4		26.4		26.6
Asset-based loans	—		—		335.8		335.8		335.8
Total financial assets	$	1,197.0	$	—	$	851.8	$	2,048.8	$	2,048.6

Liabilities (a)
Total debt (b)	$	—	$	6,492.0	$	22.3	$	6,514.3	$	6,382.7
Investment contracts, included in contractholder funds	—		—		14,125.7		14,125.7		15,620.4
Total financial liabilities	$	—	$	6,492.0	$	14,148.0	$	20,640.0	$	22,003.1



	September 30, 2014
	Level 1		Level 2		Level 3		Fair Value		Carrying Amount
Assets (a)
Cash and cash equivalents	$	1,319.2	$	—	$	—	$	1,319.2	$	1,319.2
Commercial mortgage loans	—		—		136.2		136.2		136.2
Other invested assets	—		—		15.5		15.5		15.5
Asset-based loans	—		—		811.6		811.6		811.6
Total financial assets	$	1,319.2	$	—	$	963.3	$	2,282.5	$	2,282.5

Liabilities (a)
Total debt (b)	$	—	$	5,308.5	$	—	$	5,308.5	$	5,157.8
Investment contracts, included in contractholder funds	—		—		13,108.8		13,108.8		14,555.4
Total financial liabilities	$	—	$	5,308.5	$	13,108.8	$	18,417.3	$	19,713.2


(a)	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.


(b)	The fair values of debt set forth above are generally based on quoted or observed market prices.