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Fair Value of Financial Instruments | 12 Months Ended
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Sep. 30, 2016
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | The Company’s consolidated assets and liabilities measured at fair value are summarized according to the hierarchy previously described as follows:
| September 30, 2016 |  | September 30, 2015
Assets | Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Fair Value
Fixed maturity and equity securities included in funds withheld receivables | $ | 69.9 |  |  | $ | 1,387.1 |  |  | $ | 78.1 |  |  | $ | 1,535.1 |  |  | $ | 8.4 |  |  | $ | 1,555.0 |  |  | $ | 74.7 |  |  | $ | 1,638.1 |
Derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Call option receivable from FGL included in funds withheld receivables | — |  |  | 11.3 |  |  | — |  |  | 11.3 |  |  | — |  |  | 5.4 |  |  | — |  |  | 5.4 |
Call options | — |  |  | 5.9 |  |  | — |  |  | 5.9 |  |  | — |  |  | 1.0 |  |  | — |  |  | 1.0 |
Foreign exchange contracts | — |  |  | 5.8 |  |  | — |  |  | 5.8 |  |  | — |  |  | 6.0 |  |  | — |  |  | 6.0 |
Commodity contracts | — |  |  | 2.9 |  |  | — |  |  | 2.9 |  |  | — |  |  | — |  |  | — |  |  | — |
Corporate fixed maturity securities AFS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 14.1 |  |  | 14.1 |
Equity securities - trading | — |  |  | — |  |  | — |  |  | — |  |  | 32.8 |  |  | — |  |  | — |  |  | 32.8 |
Other invested assets | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2.8 |  |  | 2.8 |
Total financial assets | $ | 69.9 |  |  | $ | 1,413.0 |  |  | $ | 78.1 |  |  | $ | 1,561.0 |  |  | $ | 41.2 |  |  | $ | 1,567.4 |  |  | $ | 91.6 |  |  | $ | 1,700.2 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability | $ | — |  |  | $ | — |  |  | $ | 631.8 |  |  | $ | 631.8 |  |  | $ | — |  |  | $ | — |  |  | $ | 629.2 |  |  | $ | 629.2 |
Derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Embedded derivatives in Front Street's assumed FIA business | — |  |  | — |  |  | 131.2 |  |  | 131.2 |  |  | — |  |  | — |  |  | 142.3 |  |  | 142.3 |
Commodity contracts | — |  |  | 0.1 |  |  | — |  |  | 0.1 |  |  | — |  |  | 5.6 |  |  | — |  |  | 5.6 |
Interest rate contracts | — |  |  | 1.1 |  |  | — |  |  | 1.1 |  |  | — |  |  | 2.6 |  |  | — |  |  | 2.6 |
Foreign exchange contracts | — |  |  | 2.0 |  |  | — |  |  | 2.0 |  |  | — |  |  | 12.6 |  |  | — |  |  | 12.6 |
Total financial liabilities | $ | — |  |  | $ | 3.2 |  |  | $ | 763.0 |  |  | $ | 766.2 |  |  | $ | — |  |  | $ | 20.8 |  |  | $ | 771.5 |  |  | $ | 792.3 |
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, 2016 and 2015 were as follows:
|  | Fair Value at |  |  |  |  |  | Range (Weighted average)
Assets |  | September 30, 2016 |  | September 30, 2015 |  | Valuation Technique |  | Unobservable Input(s) |  | September 30, 2016 |  | September 30, 2015
Corporate fixed maturity securities |  | $ | — |  |  | $ | 14.1 |  |  | Broker-quoted |  | Offered quotes |  | —% |  | 83%
Other invested assets |  | — |  |  | 2.8 |  |  | Discounted Cash Flow |  | Probability of collection |  | —% |  | 50%
|  |  |  |  |  |  |  | Discount rate |  | —% |  | 10%
Funds withheld receivables |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity and equity securities |  | 35.2 |  |  | 39.1 |  |  | Matrix pricing |  | Quoted prices |  | 98% - 122% (109%) |  | 100% - 122% (112%)
Fixed maturity securities |  | 5.4 |  |  | 19.2 |  |  | Loan Recovery Value |  | Recovery rate |  | 56% - 100% (82%) |  | 6% - 12% (8%)
Fixed maturity securities |  | 35.7 |  |  | 6.7 |  |  | Broker-quoted |  | Offered quotes |  | 97% - 100% (100%) |  | 99% - 103% (101%)
Loan participations |  | 1.8 |  |  | 9.7 |  |  | Loan Recovery Value |  | Recovery rate |  | 52% - 100% (71%) |  | 100%
Total |  | $ | 78.1 |  |  | $ | 91.6 |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability |  | $ | 631.8 |  |  | $ | 629.2 |  |  | Discounted cash flow |  | Non-performance risk spread |  | 0.32% |  | 0.16% - 0.46%
|  |  |  |  |  |  |  | Risk margin to reflect uncertainty |  | 0.50% |  | 0.50% - 1.00%
Embedded derivatives in Front Street’s assumed FIA business |  | 131.2 |  |  | 142.3 |  |  | Discounted cash flow |  | Market value of option |  | 0% - 27% (2%) |  | 0% - 32% (1%)
|  |  |  |  |  |  |  | SWAP rates |  | 1% |  | 2%
|  |  |  |  |  |  |  | Mortality multiplier |  | 80% |  | 80%
|  |  |  |  |  |  |  | Surrender rates |  | 0.50% - 75% (10%) |  | 0.50% - 75% (13%)
|  |  |  |  |  |  |  | Non-performance risk spread |  | 0.25% |  | 0.25%
Total |  | $ | 763.0 |  |  | $ | 771.5 |  |  |  |  |  |  |  |  |
See Note 2, Significant Accounting Policies and Practices and Recent Accounting Pronouncements, for additional discussion of the significant unobservable inputs used in for recurring Level 3 fair value measurements of financial instruments carried at fair value. 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 2016, 2015 and 2014. 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 2016
| 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate fixed maturity securities | $ | 14.1 |  |  | $ | (0.5 | ) |  | $ | — |  |  | $ | — |  |  | $ | (13.6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Other invested assets | 2.8 |  |  | 2.7 |  |  | — |  |  | — |  |  | — |  |  | (5.5 | ) |  | — |  |  | — |
Funds withheld receivables | 74.7 |  |  | (3.6 | ) |  | — |  |  | 36.2 |  |  | (34.4 | ) |  | — |  |  | 5.2 |  |  | 78.1 |
Total assets at fair value | $ | 91.6 |  |  | $ | (1.4 | ) |  | $ | — |  |  | $ | 36.2 |  |  | $ | (48.0 | ) |  | $ | (5.5 | ) |  | $ | 5.2 |  |  | $ | 78.1 |
| Balance at Beginning of Period |  | Total (Gains) Losses |  |  |  |  |  |  |  | Net transfer In (Out) of Level 3 |  | Balance at End of Period
|  | Included in Earnings |  | Included in AOCI |  | Purchases |  | Sales |  | Settlements |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability | $ | 629.2 |  |  | $ | 59.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (56.9 | ) |  | $ | — |  |  | $ | 631.8 |
Embedded derivatives in Front Street’s assumed FIA business | 142.3 |  |  | (11.1 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 131.2 |
Total liabilities at fair value | $ | 771.5 |  |  | $ | 48.4 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (56.9 | ) |  | $ | — |  |  | $ | 763.0 |
(a) During Fiscal 2016, the net transfer to Level 3 was exclusively from Level 2. The transfers into Level 3 were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value.
| Fiscal 2015
| 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 | $ | 41.5 |  |  | $ | 8.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (50.0 | ) |  | $ | — |  |  | $ | — |
Corporate fixed maturity securities | 16.3 |  |  | (2.2 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 14.1 |
Other invested assets | — |  |  | (16.3 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 19.1 |  |  | 2.8 |
Funds withheld receivables | 58.9 |  |  | (0.5 | ) |  | — |  |  | 30.4 |  |  | (14.1 | ) |  | — |  |  | — |  |  | 74.7 |
Total assets at fair value | $ | 116.7 |  |  | $ | (10.5 | ) |  | $ | — |  |  | $ | 30.4 |  |  | $ | (14.1 | ) |  | $ | (50.0 | ) |  | $ | 19.1 |  |  | $ | 91.6 |
| Balance at Beginning of Period |  | Total (Gains) Losses |  |  |  |  |  |  |  | Net transfer In (Out) of Level 3 |  | Balance at End of Period
|  | Included in Earnings |  | Included in AOCI |  | Purchases |  | Sales |  | Settlements |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability | $ | 151.3 |  |  | $ | 24.3 |  |  | $ | — |  |  | $ | 444.2 |  |  | $ | — |  |  | $ | 9.4 |  |  | $ | — |  |  | $ | 629.2 |
Embedded derivatives in Front Street’s assumed FIA business | 150.8 |  |  | (8.5 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 142.3 |
Total liabilities at fair value | $ | 302.1 |  |  | $ | 15.8 |  |  | $ | — |  |  | $ | 444.2 |  |  | $ | — |  |  | $ | 9.4 |  |  | $ | — |  |  | $ | 771.5 |
(a) During Fiscal 2015, the net transfer to Level 3 was related to a loan receivable previously classified as a related party loan.
| Fiscal 2014
| Balance at Beginning of Period |  | Total Gains (Losses) |  |  |  |  |  |  |  | Net transfer In (Out) of Level 3 |  | Balance at End of Period
|  | Included in Earnings |  | Included in AOCI |  | Purchases |  | Sales |  | Settlements |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contingent purchase price reduction receivable | $ | 41.0 |  |  | $ | 0.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 41.5 |
Corporate fixed maturity securities | — |  |  | — |  |  | — |  |  | 16.3 |  |  | — |  |  | — |  |  | — |  |  | 16.3 |
Equity securities - trading | 10.7 |  |  | 1.3 |  |  | — |  |  | 1.5 |  |  | — |  |  | (13.5 | ) |  | — |  |  | — |
Funds withheld receivables | 34.6 |  |  | 1.5 |  |  | — |  |  | 23.5 |  |  | (0.7 | ) |  | — |  |  | — |  |  | 58.9 |
Total assets at fair value | $ | 86.3 |  |  | $ | 3.3 |  |  | $ | — |  |  | $ | 41.3 |  |  | $ | (0.7 | ) |  | $ | (13.5 | ) |  | $ | — |  |  | $ | 116.7 |
| Balance at Beginning of Period |  | Total (Gains) Losses |  |  |  |  |  |  |  | Net transfer In (Out) of Level 3 |  | Balance at End of Period
|  | Included in Earnings |  | Included in AOCI |  | Purchases |  | Sales |  | Settlements |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability | $ | — |  |  | $ | 7.0 |  |  | $ | — |  |  | $ | 150.6 |  |  | $ | — |  |  | $ | (6.3 | ) |  | $ | — |  |  | $ | 151.3 |
Embedded derivatives in Front Street's assumed FIA business | 140.5 |  |  | 10.3 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 150.8 |
Equity conversion feature of preferred stock | 330.8 |  |  | 12.7 |  |  | — |  |  | — |  |  | — |  |  | (343.5 | ) |  | — |  |  | — |
Total liabilities at fair value | $ | 471.3 |  |  | $ | 30.0 |  |  | $ | — |  |  | $ | 150.6 |  |  | $ | — |  |  | $ | (349.8 | ) |  | $ | — |  |  | $ | 302.1 |
The Company reviews the fair value hierarchy classifications each reporting period. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in and out of Level 3, or between other levels, at the beginning fair value for the reporting period in which the changes occur. There were no transfers between Level 1 and Level 2 for Fiscal 2016, 2015 and 2014. Non-Recurring Fair Value Measurements Goodwill, intangible assets and other long-lived assets are tested annually or if an event occurs that indicates an impairment loss may have been incurred using fair value measurements with unobservable inputs (Level 3). 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 in the accompanying Consolidated Balance Sheets are summarized as follows:
| September 30, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets (a) |  |  |  |  |  |  |  |  |
Asset-based loans, included in other assets | $ | — |  |  | $ | — |  |  | $ | 35.0 |  |  | $ | 35.0 |  |  | $ | 35.0 |
Policy loans, included in funds withheld receivables | — |  |  | — |  |  | 8.5 |  |  | 8.5 |  |  | 8.5 |
Total financial assets | $ | — |  |  | $ | — |  |  | $ | 43.5 |  |  | $ | 43.5 |  |  | $ | 43.5 |
Liabilities (a) |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds and other insurance reserves | $ | — |  |  | $ | — |  |  | $ | 922.9 |  |  | $ | 922.9 |  |  | $ | 988.3 |
Total debt (b) | — |  |  | 5,700.1 |  |  | 29.1 |  |  | 5,729.2 |  |  | 5,430.9 |
Total financial liabilities | $ | — |  |  | $ | 5,700.1 |  |  | $ | 952.0 |  |  | $ | 6,652.1 |  |  | $ | 6,419.2 |
| September 30, 2015
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets (a) |  |  |  |  |  |  |  |  |
Asset-based loans, included in other assets | $ | — |  |  | $ | — |  |  | $ | 226.7 |  |  | $ | 226.7 |  |  | $ | 226.7 |
Policy loans, included in funds withheld receivables | — |  |  | — |  |  | 9.0 |  |  | 9.0 |  |  | 9.0 |
Other invested assets, included in other assets | — |  |  | — |  |  | 2.5 |  |  | 2.5 |  |  | 2.5 |
Total financial assets | $ | — |  |  | $ | — |  |  | $ | 238.2 |  |  | $ | 238.2 |  |  | $ | 238.2 |
Liabilities (a) |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds and other insurance reserves | $ | — |  |  | $ | — |  |  | $ | 960.3 |  |  | $ | 960.3 |  |  | $ | 1,084.5 |
Total debt (b) | — |  |  | 6,071.0 |  |  | 99.1 |  |  | 6,170.1 |  |  | 5,984.6 |
Total financial liabilities | $ | — |  |  | $ | 6,071.0 |  |  | $ | 1,059.4 |  |  | $ | 7,130.4 |  |  | $ | 7,069.1 |
(a) The carrying amounts of cash and cash equivalents, trade receivables, accounts payable and accrued investment income 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. Valuation Methodology Investment Contracts and Other Insurance Reserves Investment contracts assumed from FGL by Front Street include deferred annuities, FIAs and immediate annuities. The fair value of deferred annuity and FIAs is based on their cash surrender value (which is the cost the Company would incur to extinguish the liability) as these contracts are generally issued without an annuitization date. See Note 2, Significant Accounting Policies and Practices and Recent Accounting Pronouncements, for discussion of the calculation of the fair value of the insurance reserves. Asset-based loans The fair value of the asset-based loans originated by Salus approximate their net carrying value. Such loans carry a variable rate that are typically revolving in nature and can be settled at the demand of either party. Nonaccrual loans are considered impaired for reporting purposes and are measured and recorded at fair value on a non-recurring basis. As the loans are collateral dependent, Salus measures such impairment based on the estimated fair value of eligible proceeds. This is generally based on estimated market prices from an independently prepared appraisal. The impaired loan balance represents those nonaccrual loans for which impairment was recognized during the year.

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
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