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Fair Value of Financial Instruments | 3 Months Ended
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Dec. 31, 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:
| December 31, 2016 |  | September 30, 2016
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 | $ | 79.6 |  |  | $ | 1,406.8 |  |  | $ | 46.4 |  |  | $ | 1,532.8 |  |  | $ | 69.9 |  |  | $ | 1,387.1 |  |  | $ | 78.1 |  |  | $ | 1,535.1 |
Derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Call option receivable from FGL included in funds withheld receivables | — |  |  | 12.2 |  |  | — |  |  | 12.2 |  |  | — |  |  | 11.3 |  |  | — |  |  | 11.3 |
Call options | — |  |  | 8.3 |  |  | — |  |  | 8.3 |  |  | — |  |  | 5.9 |  |  | — |  |  | 5.9 |
Foreign exchange contracts | — |  |  | 10.3 |  |  | — |  |  | 10.3 |  |  | — |  |  | 5.8 |  |  | — |  |  | 5.8 |
Commodity contracts | — |  |  | 3.3 |  |  | — |  |  | 3.3 |  |  | — |  |  | 2.9 |  |  | — |  |  | 2.9 |
Total financial assets | $ | 79.6 |  |  | $ | 1,440.9 |  |  | $ | 46.4 |  |  | $ | 1,566.9 |  |  | $ | 69.9 |  |  | $ | 1,413.0 |  |  | $ | 78.1 |  |  | $ | 1,561.0 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability | $ | — |  |  | $ | — |  |  | $ | 634.5 |  |  | $ | 634.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 631.8 |  |  | $ | 631.8 |
Derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Embedded derivatives in Front Street's assumed FIA business | — |  |  | — |  |  | 121.2 |  |  | 121.2 |  |  | — |  |  | — |  |  | 131.2 |  |  | 131.2 |
Commodity contracts | — |  |  | 0.2 |  |  | — |  |  | 0.2 |  |  | — |  |  | 0.1 |  |  | — |  |  | 0.1 |
Interest rate contracts | — |  |  | 0.7 |  |  | — |  |  | 0.7 |  |  | — |  |  | 1.1 |  |  | — |  |  | 1.1 |
Foreign exchange contracts | — |  |  | 0.5 |  |  | — |  |  | 0.5 |  |  | — |  |  | 2.0 |  |  | — |  |  | 2.0 |
Total financial liabilities | $ | — |  |  | $ | 1.4 |  |  | $ | 755.7 |  |  | $ | 757.1 |  |  | $ | — |  |  | $ | 3.2 |  |  | $ | 763.0 |  |  | $ | 766.2 |
Valuation Methodologies Reinsurance Agreements with FGL Front Street Cayman has entered into certain reinsurance agreements with FGL on a funds withheld basis. The funds withheld receivables portfolio related to the reinsurance agreements with FGL consists of investments in debt and equity securities that are carried at fair value with unrealized gains and losses included in AOCI, net of associated intangibles “shadow adjustments” and deferred income taxes. The funds withheld receivables portfolio also includes cash, derivatives and accrued income. The liabilities for contractholder funds for deferred annuities consist of contract account balances that accrue to the benefit of the contractholders, excluding surrender charges and other liabilities. The liabilities for FIA consist of the value of the host contract plus the value of the embedded derivative. The embedded derivative is carried at fair value in the accompanying Condensed Consolidated Balance Sheets with changes in fair value reported in “Benefits and other changes in policy reserves” in the accompanying Condensed Consolidated Statements of Operations. Liabilities for immediate annuities without life contingencies are recorded at the present value of future benefits. Liabilities for investment-type contracts are calculated by multiplying the benefit ratio by the cumulative assessments recorded from contract inception through the balance sheet date plus interest. If experience or assumption changes result in a new benefit ratio, the reserves are adjusted to reflect the changes. The liabilities for future policy benefits and claim reserves life contingent pay-out annuity policies are computed using assumptions for investment yields, mortality and withdrawals based principally on generally accepted actuarial methods and assumptions at the time of contract issue. The investment yield assumptions for life contingent pay-out annuities range from 0.8% to 6.0%. Reinsurance agreements with third parties Front Street elected to apply the fair value option to account for its funds withheld receivables, non-funds withheld assets and future policyholder benefits reserve related to its assumed reinsurance with third parties. Front Street measures fair value of the funds withheld receivables based on the fair values of the securities in the underlying funds withheld portfolio held by the cedant. The non-funds withheld assets held by Front Street, backing the future policyholder benefits reserve, are measured at fair value. Policy loans included in the funds withheld receivables with third parties are measured at amortized cost, which approximates fair value. Front Street uses a discounted cash flows approach to measure the fair value of the future policyholder benefits reserve. The cash flows associated with future policy premiums and benefits are generated using best estimate assumptions (plus a risk margin, where applicable) and are consistent with market prices, where available. Risk margins are typically applied to non-observable, non-hedgeable market inputs such as mortality, morbidity, lapse, discount rate for non-performance risk, discount rate for risk margin, surrenders, etc. Mortality relates to the occurrence of death. Mortality assumptions are based upon the experience of the cedant as well as past and emerging industry experience, when available. Morbidity relates to the occurrence of a claim status and is a key assumption for the long term care business. Morbidity assumptions are based upon the experience of the cedant as well as past and emerging industry experience, when available. Mortality and morbidity assumptions may be different by sex, underwriting class and policy type. Assumptions are also made for future mortality and morbidity improvements. Front Street determines the discount rate based on the market yields on the underlying assets backing the liabilities plus a risk margin to reflect uncertainty and adjusts the discount rate to reflect the credit risk of Front Street. Policies are terminated through surrenders and maturities, where surrenders represent the voluntary terminations of policies by policyholders and maturities are determined by policy contract terms. Surrender assumptions are based upon cedant experience adjusted for expected future conditions. Front Street discounts the liability cash flows by using the market yields on the underlying assets backing the liabilities plus a risk margin to reflect uncertainty and adjusts the discount rate to reflect the credit risk of Front Street. The significant unobservable inputs used in the fair value measurement of the Front Street future policyholder benefit liability are non-performance risk spread and risk spread to reflect uncertainty. Significant increases (decreases) in non-performance risk spread and risk margin to reflect uncertainty would result in a lower (higher) fair value measurement. Funds Withheld Receivables Through Front Street, the Company measures the fair value of its securities included in the funds withheld receivables portfolio based on assumptions used by market participants in pricing the security. The appropriate valuation methodology is selected based on the specific characteristics of the fixed maturity or equity security, and the Company will then consistently apply the valuation methodology to measure the security’s fair value. The Company’s fair value measurement is based on a market approach, which utilizes prices and other relevant information generated by market transactions involving identical or comparable securities. Sources of inputs to the market approach include a third-party pricing service, independent broker quotations or pricing matrices. The Company uses observable and unobservable inputs in its valuation methodologies. Observable inputs include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers and reference data. In addition, market indicators and industry and economic events are monitored and further market data will be acquired when certain thresholds are met. For certain security types, additional inputs may be used, or some of the inputs described above may not be applicable. For broker-quoted only securities, quotes from market makers or broker-dealers are obtained from sources recognized to be market participants. Management believes the broker quotes are prices at which trades could be executed based on historical trends executed at broker-quoted or slightly higher prices. The Company did not adjust prices received from third parties as of December 31, 2016. However, the Company does analyze the third-party valuation methodologies and its related inputs to perform assessments to determine the appropriate level within the fair value hierarchy. Derivatives The fair values of the embedded derivatives in Front Street’s assumed FIA business from FGL are derived using market indices, pricing assumptions and historical data. The significant unobservable inputs used in the fair value measurement of the embedded derivatives in Front Street’s assumed FIA business are market value of options, interest swap rates, mortality multiplier, surrender rates, and non-performance spread. The mortality multiplier at December 31, 2016 and September 30, 2016 was applied to the Annuity 2000 mortality tables. Significant increases or decreases in the market value of an option in isolation would result in a higher or lower, respectively, fair value measurement. Significant increases or decreases in interest swap rates, mortality multiplier, surrender rates, or non-performance spread in isolation would result in a lower or higher, respectively, fair value measurement. Generally, a change in any one unobservable input would not result in a change in any other unobservable input. Spectrum Brands’ derivative assets and liabilities are valued on a recurring basis using internal models, which are based on market observable inputs including interest rate curves and both forward and spot prices for currencies and commodities, which are generally based on quoted or observed market prices and classified as Level 2. The fair value of certain derivatives is estimated using pricing models based on contracts with similar terms and risks. Modeling techniques assume market correlation and volatility, such as using prices of one delivery point to calculate the price of the contract’s different delivery point. The nominal value of interest rate transactions is discounted using applicable forward interest rate curves. In addition, by applying a credit reserve which is calculated based on credit default swaps or published default probabilities for the actual and potential asset value, the fair value of Spectrum Brands’ derivative assets reflects the risk that the counterparties to these contracts may default on the obligations. Likewise, by assessing the requirements of a reserve for non-performance which is calculated based on the probability of default by Spectrum Brands, it adjusts its derivative liabilities to reflect the price at which a potential market participant would be willing to assume Spectrum Brands’ liabilities. The Company has not changed its valuation techniques in measuring the fair value of any derivative assets and liabilities during the quarter. Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of December 31, 2016 and September 30, 2016 were as follows:
|  | Fair Value at |  |  |  |  |  | Range (Weighted average)
Assets |  | December 31, 2016 |  | September 30, 2016 |  | Valuation Technique |  | Unobservable Input(s) |  | December 31, 2016 |  | September 30, 2016
Funds withheld receivables: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity and equity securities |  | $ | 34.0 |  |  | $ | 35.2 |  |  | Matrix pricing |  | Quoted prices |  | 99% - 117% (107%) |  | 98% - 122% (109%)
Fixed maturity securities |  | 5.3 |  |  | 5.4 |  |  | Loan Recovery Value |  | Recovery rate |  | 56% - 100% (82%) |  | 56% - 100% (82%)
Fixed maturity securities |  | 6.4 |  |  | 35.7 |  |  | Broker-quoted |  | Offered quotes |  | 96% - 100% (98%) |  | 97% - 100% (100%)
Loan participations |  | 0.7 |  |  | 1.8 |  |  | Loan Recovery Value |  | Recovery rate |  | 18% - 50% (38%) |  | 52% - 100% (71%)
Total |  | $ | 46.4 |  |  | $ | 78.1 |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Front Street future policyholder benefit liability |  | $ | 634.5 |  |  | $ | 631.8 |  |  | Discounted cash flow |  | Non-performance risk spread |  | 0.35% |  | 0.32%
|  |  |  |  |  |  |  | Risk margin to reflect uncertainty |  | 0.50% |  | 0.50%
Embedded derivatives in Front Street's assumed FIA business |  | 121.2 |  |  | 131.2 |  |  | Discounted cash flow |  | Market value of option |  | 0% - 22% (3%) |  | 0% - 27% (2%)
|  |  |  |  |  |  |  | SWAP rates |  | 2.0% |  | 1.0%
|  |  |  |  |  |  |  | Mortality multiplier |  | 80% |  | 80%
|  |  |  |  |  |  |  | Surrender rates |  | 0.50% - 75% (12%) |  | 0.50% - 75% (10%)
|  |  |  |  |  |  |  | Non-performance risk spread |  | 0.25% |  | 0.25%
Total |  | $ | 755.7 |  |  | $ | 763.0 |  |  |  |  |  |  |  |  |
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 31, 2016 and 2015. 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 31, 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Funds withheld receivables | $ | 78.1 |  |  | $ | (1.3 | ) |  | $ | — |  |  | $ | 3.0 |  |  | $ | (6.3 | ) |  | $ | — |  |  | $ | (27.1 | ) |  | $ | 46.4 |
Total assets at fair value | $ | 78.1 |  |  | $ | (1.3 | ) |  | $ | — |  |  | $ | 3.0 |  |  | $ | (6.3 | ) |  | $ | — |  |  | $ | (27.1 | ) |  | $ | 46.4 |
| 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 | $ | 631.8 |  |  | $ | (12.6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15.3 |  |  | $ | — |  |  | $ | 634.5 |
Embedded derivatives in Front Street's assumed FIA business | 131.2 |  |  | (10.0 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 121.2 |
Total liabilities at fair value | $ | 763.0 |  |  | $ | (22.6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15.3 |  |  | $ | — |  |  | $ | 755.7 |
(a) During the three months ended December 31, 2016, the net transfer out of Level 3 was exclusively to Level 2.
| Three months ended December 31, 2015
| 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate fixed maturity securities AFS | $ | 14.1 |  |  | $ | (0.5 | ) |  | $ | — |  |  | $ | — |  |  | $ | (13.6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Other invested assets | 2.8 |  |  | 2.7 |  |  | — |  |  | — |  |  | — |  |  | (5.5 | ) |  | — |  |  | — |
Funds withheld receivables | 74.7 |  |  | (1.6 | ) |  | — |  |  | 5.0 |  |  | (13.0 | ) |  | — |  |  | — |  |  | 65.1 |
Total assets at fair value | $ | 91.6 |  |  | $ | 0.6 |  |  | $ | — |  |  | $ | 5.0 |  |  | $ | (26.6 | ) |  | $ | (5.5 | ) |  | $ | — |  |  | $ | 65.1 |
| 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 |  |  | $ | (3.7 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3.5 |  |  | $ | — |  |  | $ | 629.0 |
Embedded derivatives in Front Street's assumed FIA business | 142.3 |  |  | (2.4 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 139.9 |
Total liabilities at fair value | $ | 771.5 |  |  | $ | (6.1 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3.5 |  |  | $ | — |  |  | $ | 768.9 |
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 three months ended December 31, 2016 and 2015 and there were no transfers in or out of Level 3 for the three months ended December 31, 2015. For the three months ended December 31, 2016, the transfers out of Level 3 were related to changes in the primary pricing source and changes in the observability of external information used in determining fair value. 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 Condensed Consolidated Balance Sheets are summarized as follows:
| December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets (a) |  |  |  |  |  |  |  |  |
Asset-based loans, included in other assets | $ | — |  |  | $ | — |  |  | $ | 13.7 |  |  | $ | 13.7 |  |  | $ | 13.7 |
Policy loans, included in funds withheld receivables | — |  |  | — |  |  | 8.3 |  |  | 8.3 |  |  | 8.3 |
Total financial assets | $ | — |  |  | $ | — |  |  | $ | 22.0 |  |  | $ | 22.0 |  |  | $ | 22.0 |
Liabilities (a) |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds and other insurance reserves | $ | — |  |  | $ | — |  |  | $ | 897.7 |  |  | $ | 897.7 |  |  | $ | 966.2 |
Total debt (b) | — |  |  | 5,677.7 |  |  | 23.3 |  |  | 5,701.0 |  |  | 5,459.0 |
Total financial liabilities | $ | — |  |  | $ | 5,677.7 |  |  | $ | 921.0 |  |  | $ | 6,598.7 |  |  | $ | 6,425.2 |
| 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 |
(a) The carrying value 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 value of debt set forth above is 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, FIA s and immediate annuities. The fair value of deferred annuity and FIA s 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 “Reinsurance Agreements with FGL” section above 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, which may be obtained from a variety of sources, including in certain instances from appraisals prepared by third parties. The impaired loan balance represents those nonaccrual loans for which impairment was recognized during the quarter.

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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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