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

12 Months Ended

Sep. 30, 2016

Assets and Liabilities Carrying at Fair Value on Recurring Basis



	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

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, 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

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 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
	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
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
	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	$	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
	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	)	$	—	$	—
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
	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	$	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
	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
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
	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	$	—	$	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

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 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.