Derivative Financial Instruments (Tables)

6 Months Ended

Mar. 31, 2015

Fair Value of Outstanding Derivative Contracts in Condensed Consolidated Balance Sheets

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



Asset Derivatives	Classification	March 31, 2015		September 30, 2014
Derivatives designated as hedging instruments:
Foreign exchange contracts	Receivables, net	$	20.7	$	12.0
Interest rate contracts	Other assets	—		0.6
Commodity contracts	Receivables, net	0.1		1.3
Commodity contracts	Other assets	0.1		—
Foreign exchange contracts	Other assets	0.1		0.3
Total asset derivatives designated as hedging instruments		21.0		14.2
Derivatives not designated as hedging instruments:
Call options	Derivatives	268.3		296.3
Commodity contracts	Receivables, net	19.3		1.9
Other embedded derivatives	Other invested assets	12.2		11.2
Foreign exchange contracts	Receivables, net	—		0.5
Total asset derivatives		$	320.8	$	324.1

Summary of Gain (Loss) Recognized in Income on Derivatives

During the three and six months ended March 31, 2015 and 2014, the Company recognized the following gains and losses on these derivatives:



		Three months ended March 31,						Six months ended March 31,
Classification	Derivatives Not Designated as Hedging Instruments	2015			2014			2015			2014
Revenues:
Net investment (losses) gains	Call options	$	(8.1	)	$	21.2		$	33.2		$	135.5
	Futures contracts	0.1			1.3			4.3			14.4
	Change in fair value of other embedded derivatives	0.4			—			1.0			—
Operating costs and expenses:
Benefits and other changes in policy reserves	FIA embedded derivatives	$	77.2		$	74.0		$	309.3		$	174.3
Cost of consumer products and other goods sold	Commodity contracts	—			—			—			(0.1		)
Other income and expense:
Other income (expense), net	Oil and natural gas commodity contracts	$	5.3		$	(6.8	)	$	24.0		$	(10.2	)
	Foreign exchange contracts	(5.7		)	(0.2		)	(7.4		)	0.6
Loss from the change in the fair value of the equity conversion feature of preferred stock	Equity conversion feature of preferred stock	—			(3.5		)	—			(50.7		)

Volumes and Fair Value of Oil and Natural Gas Derivative Financial Instruments

The following table presents Compass’ volumes and fair value of the oil derivative financial instrument as of March 31, 2015 (presented on a calendar-year basis):



(in millions, except volumes and prices)	Volume Mmbtus/Mbbls	Weighted average strike price per Mmbtu/Bbl		Fair Value at March 31, 2015
Natural gas:
Swaps:
April - December 2015	8,250	$	3.95	$	9.6
Three-way collars:
April - October 2015	4,280			0.8
Short call		3.27
Long put		2.85
Short put		2.10
Total natural gas	12,530			$	10.4
Oil:
Swaps:
April - December 2015	188	$	94.98	8.9
Total oil	188			$	8.9
Total oil and natural gas derivatives				$	19.3

Call options [Member]

Derivative [Line Items]

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:



		March 31, 2015								September 30, 2014
Counterparty	Credit Rating (Fitch/Moody's/S&P) (a)	Notional Amount		Fair Value		Collateral		Net Credit Risk		Notional Amount		Fair Value		Collateral		Net Credit Risk
Merrill Lynch	A/*/A	$	2,206.3	$	70.0	$	34.5	$	35.5	$	2,239.9	$	92.7	$	52.5	$	40.2
Deutsche Bank	A+/A3/A	3,083.6		101.0		77.4		23.6		2,810.0		108.0		72.5		35.5
Morgan Stanley	*/A3/A	3,269.7		95.6		65.2		30.4		2,294.7		85.0		63.0		22.0
Barclay's Bank	A/A2/A	125.4		1.7		—		1.7		258.0		10.6		—		10.6
Total		$	8,685.0	$	268.3	$	177.1	$	91.2	$	7,602.6	$	296.3	$	188.0	$	108.3