XML 66 R23.htm IDEA: XBRL DOCUMENT v2.4.0.6
Fair Value Of Assets And Liabilities (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value Disclosures [Abstract]  
Fair Value Of Financial Instruments Held By Consolidated Investments
The carrying value and fair value of financial instruments is presented in the summary table below. The fair value of financial instruments held by consolidated investment products is presented in Note 11, “Consolidated Investment Products.”
 
September 30, 2012
 
December 31, 2011
$ in millions
Footnote Reference
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Cash and cash equivalents
 
 
880.1

 
880.1

 
727.4

 
727.4

Available for sale investments
3

 
122.0

 
122.0

 
63.5

 
63.5

Assets held for policyholders
 
 
1,139.3

 
1,139.3

 
1,243.5

 
1,243.5

Trading investments
3

 
217.1

 
217.1

 
187.5

 
187.5

Foreign time deposits*
3

 
33.4

 
33.4

 
32.2

 
32.2

Support agreements*
10,11

 
(1.0
)
 
(1.0
)
 
(1.0
)
 
(1.0
)
Policyholder payables
 
 
(1,139.3
)
 
(1,139.3
)
 
(1,243.5
)
 
(1,243.5
)
Put option contracts

 
0.1

 
0.1

 
—

 
—

UIT-related financial instruments sold, not yet purchased
 
 
(1.3
)
 
(1.3
)
 
(1.0
)
 
(1.0
)
Note payable
 
 
(11.3
)
 
(11.3
)
 
(16.8
)
 
(16.8
)
Total debt*
4

 
(1,285.1
)
 
(1,308.2
)
 
(1,284.7
)
 
(1,307.5
)

*
These financial instruments are not measured at fair value on a recurring basis. See the indicated footnotes for additional information about the carrying and fair values of these financial instruments. Foreign time deposits are measured at cost plus accrued interest, which approximates fair value, and are accordingly classified as Level 2 securities.
Tri-Level Hierarchy, Carrying Value
The following table presents, for each of the hierarchy levels described above, the carrying value of the company’s assets and liabilities, including major security type for equity and debt securities, which are measured at fair value on the face of the statement of financial position as of September 30, 2012.

 
As of September 30, 2012
$ in millions
Fair Value Measurements
 
Quoted Prices in
Active Markets for
Identical Assets (Level 1)
 
Significant Other
Observable Inputs (Level 2)
 
Significant
Unobservable Inputs (Level 3)
Current assets:
 
 
 
 
 
 
 
Cash equivalents:
 
 
 
 
 
 
 
Money market funds
234.7

 
234.7

 
—

 
—

Investments:*

 

 

 
 
Available-for-sale:

 

 

 
 
Seed money
113.2

 
113.2

 
—

 
—

Trading investments:

 

 

 
 
Investments related to deferred compensation plans
211.7

 
211.7

 
—

 
—

UIT-related equity and debt securities:

 

 

 
 
Corporate stock
1.4

 
1.4

 
—

 
—

UITs
1.3

 
1.3

 
—

 
—

Municipal securities
2.7

 
—

 
2.7

 
—

Assets held for policyholders
1,139.3

 
1,139.3

 
—

 
—

Put option contracts
0.1

 
—

 
0.1

 
—

Total current assets
1,704.4

 
1,701.6

 
2.8

 
—

Non-current assets:
 
 
 
 
 
 
 
Investments — available-for-sale*:
 
 
 
 
 
 
 
CLOs
2.5

 
—

 
—

 
2.5

Other debt securities
6.3

 
—

 
—

 
6.3

Total assets at fair value
1,713.2

 
1,701.6

 
2.8

 
8.8

Current liabilities:
 
 
 
 
 
 
 
Policyholder payables
(1,139.3
)
 
(1,139.3
)
 
—

 
—

UIT-related financial instruments sold, not yet purchased:

 

 
 
 
 
Corporate equities
(1.3
)
 
(1.3
)
 
—

 
—

Note payable
(11.3
)
 
—

 
—

 
(11.3
)
Total liabilities at fair value
(1,151.9
)
 
(1,140.6
)
 
—

 
(11.3
)

*
Current foreign time deposits of $33.4 million and other current investments of $0.5 million are excluded from this table. Non-current equity method and other investments of $202.9 million and $11.8 million, respectively, are also excluded from this table. These investments are not measured at fair value, in accordance with applicable accounting standards.
The following table presents, for each of the hierarchy levels described above, the carrying value of the company’s assets and liabilities that are measured at fair value as of December 31, 2011:
 
As of December 31, 2011
$ in millions
Fair Value Measurements
 
Quoted Prices in
Active Markets for
Identical Assets (Level 1)
 
Significant Other
Observable Inputs (Level 2)
 
Significant
Unobservable Inputs (Level 3)
Current assets:
 
 
 
 
 
 
 
Cash equivalents:
 
 
 
 
 
 
 
Money market funds
257.7

 
257.7

 
—

 
—

Investments:*

 

 

 
 
Available-for-sale:

 

 

 
 
Seed money
63.5

 
63.5

 
—

 
—

Trading investments:

 

 

 
 
Investments related to deferred compensation plans
184.4

 
184.4

 
—

 
—

UIT-related equity and debt securities:

 

 

 
 
Corporate stock
1.1

 
1.1

 
—

 
—

UITs
0.9

 
0.9

 
—

 
—

Municipal securities
1.1

 
—

 
1.1

 
—

Assets held for policyholders
1,243.5

 
1,243.5

 
—

 
—

Total current assets
1,752.2

 
1,751.1

 
1.1

 
—

Current liabilities:
 
 
 
 
 
 
 
Policyholder payables
(1,243.5
)
 
(1,243.5
)
 
—

 
—

UIT-related financial instruments sold, not yet purchased:

 

 

 
 
Corporate equities
(1.0
)
 
(1.0
)
 
—

 
—

Non-current liabilities:

 

 

 

Note payable
(16.8
)
 
—

 
—

 
(16.8
)
Total liabilities at fair value
(1,261.3
)
 
(1,244.5
)
 
—

 
(16.8
)

*
Current foreign time deposits of $32.2 million and other current investments of $0.5 million are excluded from this table. Non-current equity method and other investments of $193.1 million and $7.7 million, respectively, are also excluded from this table. These investments are not measured at fair value, in accordance with applicable accounting standards.
Reconciliation of Balance, Fair Value Measurement, Level 3
The following table shows a reconciliation of the beginning and ending fair value measurements for level 3 assets and liabilities during the three and nine months ended September 30, 2012 and September 30, 2011, which are valued using significant unobservable inputs:
 
Three months ended September 30, 2012
 
Nine months ended September 30, 2012
$ in millions
CLOs
 
Other Debt Securities
 
Note Payable
 
CLOs
 
Other Debt Securities
 
Note Payable
Beginning balance
2.5

 
6.3

 
(12.6
)
 
—

 
—

 
(16.8
)
Deconsolidation of consolidated investment products
—

 
—

 
—

 
2.5

 
—

 
—

Purchases, sales, issuances, settlements
—

 
—

 
1.6

 
(0.2
)
 
1.7

 
1.6

Net unrealized gains and losses included in accumulated other comprehensive income/(loss)*
—

 
—

 
—

 
0.2

 
—

 
—

Net unrealized gains and losses included in earnings*
—

 
—

 
—

 
—

 
—

 
3.5

Reclassification
—

 
—

 
—

 
—

 
4.6

 
—

Foreign exchange movements included in earnings
—

 
—

 
(0.3
)
 
—

 
—

 
0.4

Ending balance
2.5

 
6.3

 
(11.3
)
 
2.5

 
6.3

 
(11.3
)

 
Three months ended September 30, 2011
 
Nine months ended September 30, 2011
$ in millions
CLOs
 
Note Payable
 
CLOs
 
Note Payable
Beginning balance
0.4

 
(16.1
)
 
0.5

 
(18.9
)
Purchases, sales, issuances, settlements
—

 
—

 
(0.1
)
 
2.9

Net unrealized gains and losses included in accumulated other comprehensive income/(loss)*
0.1

 
—

 
0.1

 
—

Foreign exchange movements included in earnings
—

 
0.1

 
—

 
—

Ending balance
0.5

 
(16.0
)
 
0.5

 
(16.0
)

*
Of these net unrealized gains and losses included in accumulated other comprehensive income/(loss), no gain and $0.2 million gain for the three and nine months ended September 30, 2012 is attributed to the change in unrealized gains and losses related to assets still held at September 30, 2012 (three and nine months ended September 30, 2011: $0.1 million and $0.1 million unrealized gains and losses related to assets still held at September 30, 2011). Of these net unrealized gains and losses included in earnings, none and $3.5 million for the three and nine months ended September 30, 2012 is attributed to the change in unrealized gains and losses related to the note payable still held at September 30, 2012 (three and nine months ended September 30, 2011: none and none).
Fair Value Inputs, Assets and Liabilities, Quantitative Information
The following table shows significant unobservable inputs used in the fair value measurement of level 3 assets and liabilities:
Assets and Liabilities *
 
Fair Value at September 30, 2012 ($ in millions)
 
Valuation Technique
 
Unobservable Inputs
 
Range (Weighted Average)
CLOs
 
2.5
 
Discounted Cash Flow- Euro
 
Probability of Default
 
1% - 5%
 
 
 
 
 
 
Spread over Euribor
 
2150 - 2850 bps
 
 
 
 
Discounted Cash Flow- USD
 
Probability of Default
 
1% - 4%
 
 
 
 
 
 
Spread over Libor
 
1350 - 1800 bps

*
Other debt securities of $6.3 million are not included in the table above as they are valued using a cost valuation technique. The note payable of $11.3 million is also not included in the table above as its value is linked to the underlying value of consolidated funds. Both items are more fully discussed in the "Available-for-sale investments" and "Note payable" disclosures above.