Fair Value of Financial Instruments (Tables)

6 Months Ended

Mar. 31, 2017

Schedule of Assets and Liabilities not Measured at Fair Value [Table Text Block]

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:



	March 31, 2017
	Level 1		Level 2		Level 3		Fair Value		Carrying Amount
Assets (a)
Asset-based loans, included in other assets	$	—	$	—	$	6.3	$	6.3	$	6.3
Policy loans, included in funds withheld receivables	—		—		8.3		8.3		8.3
Total financial assets	$	—	$	—	$	14.6	$	14.6	$	14.6

Liabilities (a)
Investment contracts, included in contractholder funds and other insurance reserves	$	—	$	—	$	882.6	$	882.6	$	946.0
Total debt (b)	—		5,867.8		10.1		5,877.9		5,623.9
Total financial liabilities	$	—	$	5,867.8	$	892.7	$	6,760.5	$	6,569.9



	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.

Assets and Liabilities Carrying at Fair Value on Recurring Basis

The Company’s consolidated assets and liabilities measured at fair value are summarized according to the hierarchy previously described as follows:



	March 31, 2017								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	$	80.5	$	1,413.8	$	49.1	$	1,543.4	$	69.9	$	1,387.1	$	78.1	$	1,535.1
Derivatives:
Call option receivable from FGL included in funds withheld receivables	—		13.3		—		13.3		—		11.3		—		11.3
Call options	—		10.5		—		10.5		—		5.9		—		5.9
Foreign exchange contracts	—		4.6		—		4.6		—		5.8		—		5.8
Commodity contracts	—		4.3		—		4.3		—		2.9		—		2.9
Total financial assets	$	80.5	$	1,446.5	$	49.1	$	1,576.1	$	69.9	$	1,413.0	$	78.1	$	1,561.0
Liabilities
Front Street future policyholder benefit liability	$	—	$	—	$	661.2	$	661.2	$	—	$	—	$	631.8	$	631.8
Derivatives:
Embedded derivatives in Front Street's assumed FIA business	—		—		121.0		121.0		—		—		131.2		131.2
Commodity contracts	—		0.1		—		0.1		—		0.1		—		0.1
Interest rate contracts	—		—		—		—		—		1.1		—		1.1
Foreign exchange contracts	—		2.1		—		2.1		—		2.0		—		2.0
Total financial liabilities	$	—	$	2.2	$	782.2	$	784.4	$	—	$	3.2	$	763.0	$	766.2

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 March 31, 2017 and September 30, 2016 were as follows:



	Fair Value at						Range (Weighted average)
Assets	March 31, 2017		September 30, 2016		Valuation Technique	Unobservable Input(s)	March 31, 2017	September 30, 2016
Funds withheld receivables:
Fixed maturity securities	$	33.6	$	35.2	Matrix pricing	Quoted prices	100% - 117% (106%)	98% - 122% (109%)
Fixed maturity securities	5.1		5.4		Loan Recovery Value	Recovery rate	56% - 100% (81%)	56% - 100% (82%)
Fixed maturity securities	10.0		35.7		Broker-quoted	Offered quotes	99% - 105% (100%)	97% - 100% (100%)
Loan participations	0.4		1.8		Loan Recovery Value	Recovery rate	56%	52% - 100% (71%)
Total	$	49.1	$	78.1
Liabilities
Front Street future policyholder benefit liability	$	661.2	$	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	121.0		131.2		Discounted cash flow	Market value of option	0% - 24% (3%)	0% - 27% (2%)
						SWAP rates (discount rates)	2.0%	1.0%
						Mortality multiplier	80%	80%
						Surrender rates	0.50% - 75% (13%)	0.50% - 75% (10%)
						Non-performance risk spread	0.25%	0.25%
Total	$	782.2	$	763.0

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 and six months ended March 31, 2017 and 2016. 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 March 31, 2017
	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
Funds withheld receivables	$	46.4	$	—		$	—	$	6.1	$	(1.0	)	$	—	$	(2.4	)	$	49.1
Total assets at fair value	$	46.4	$	—		$	—	$	6.1	$	(1.0	)	$	—	$	(2.4	)	$	49.1

	Balance at Beginning of Period		Total (Gains) Losses												Net transfer In (Out) of Level 3			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			Balance at End of Period
Liabilities
Front Street future policyholder benefit liability	$	634.5	$	21.1		$	—	$	—	$	—		$	5.6	$	—		$	661.2
Embedded derivatives in Front Street's assumed FIA business	121.2		(0.2		)	—		—		—			—		—			121.0
Total liabilities at fair value	$	755.7	$	20.9		$	—	$	—	$	—		$	5.6	$	—		$	782.2

(a) During the three months ended March 31, 2017, the net transfer out of Level 3 was exclusively to Level 2.



	Six months ended March 31, 2017
	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
Funds withheld receivables	$	78.1	$	(1.3	)	$	—	$	9.1	$	(7.3	)	$	—	$	(29.5	)	$	49.1
Total assets at fair value	$	78.1	$	(1.3	)	$	—	$	9.1	$	(7.3	)	$	—	$	(29.5	)	$	49.1

	Balance at Beginning of Period		Total (Gains) Losses												Net transfer In (Out) of Level 3			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			Balance at End of Period
Liabilities
Front Street future policyholder benefit liability	$	631.8	$	8.5		$	—	$	—	$	—		$	20.9	$	—		$	661.2
Embedded derivatives in Front Street's assumed FIA business	131.2		(10.2		)	—		—		—			—		—			121.0
Total liabilities at fair value	$	763.0	$	(1.7	)	$	—	$	—	$	—		$	20.9	$	—		$	782.2

(a) During the six months ended March 31, 2017, the net transfer out of Level 3 was exclusively to Level 2.



	Three months ended March 31, 2016
	Balance at Beginning of Period		Total Gains (Losses)												Net transfer In (Out) of Level 3		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		Balance at End of Period
Assets
Funds withheld receivables	$	65.1	$	(0.3	)	$	—	$	3.1	$	(3.4	)	$	—	$	—	$	64.5
Total assets at fair value	$	65.1	$	(0.3	)	$	—	$	3.1	$	(3.4	)	$	—	$	—	$	64.5

	Balance at Beginning of Period		Total (Gains) Losses												Net transfer In (Out) of Level 3		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		Balance at End of Period
Liabilities
Front Street future policyholder benefit liability	$	629.0	$	23.9		$	—	$	—	$	—		$	1.1	$	—	$	654.0
Embedded derivatives in Front Street's assumed FIA business	139.9		(3.4		)	—		—		—			—		—		136.5
Total liabilities at fair value	$	768.9	$	20.5		$	—	$	—	$	—		$	1.1	$	—	$	790.5



	Six months ended March 31, 2016
	Balance at Beginning of Period		Total Gains (Losses)													Net transfer In (Out) of Level 3		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		Balance at End of Period
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		(1.9		)	—		8.1		(16.4		)	—			—		64.5
Total assets at fair value	$	91.6	$	0.3		$	—	$	8.1	$	(30.0	)	$	(5.5	)	$	—	$	64.5

	Balance at Beginning of Period		Total (Gains) Losses													Net transfer In (Out) of Level 3		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		Balance at End of Period
Liabilities
Front Street future policyholder benefit liability	$	629.2	$	20.2		$	—	$	—	$	—		$	4.6		$	—	$	654.0
Embedded derivatives in Front Street's assumed FIA business	142.3		(5.8		)	—		—		—			—			—		136.5
Total liabilities at fair value	$	771.5	$	14.4		$	—	$	—	$	—		$	4.6		$	—	$	790.5