Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2011

Fair Value Measurements

Carrying Value and Estimated Fair Value of Financial Instruments (Table)

	December 31, 2011						December 31, 2010
	Carrying amount			Fair value			Carrying amount			Fair value
	(in millions)
Assets (liabilities)
Fixed maturities, available-for-sale	$	49,006.7		$	49,006.7		$	48,636.3		$	48,636.3
Fixed maturities, trading		971.7			971.7			1,120.3			1,120.3
Equity securities, available-for-sale		77.1			77.1			169.9			169.9
Equity securities, trading		404.8			404.8			316.9			316.9
Mortgage loans		10,727.2			11,223.4			11,125.1			11,197.8
Policy loans		885.1			1,114.2			903.9			1,012.1
Other investments		381.1			381.1			311.3			311.3
Cash and cash equivalents		2,833.9			2,833.9			1,877.4			1,877.4
Derivative assets		1,171.1			1,171.1			1,083.2			1,083.2
Separate account assets		71,364.4			71,364.4			69,555.3			69,555.3
Investment-type insurance contracts		(32,604.3	)		(32,429.8	)		(32,720.1	)		(32,828.6	)
Short-term debt		(105.2	)		(105.2	)		(107.9	)		(107.9	)
Long-term debt		(1,564.8	)		(1,750.7	)		(1,583.7	)		(1,756.3	)
Separate account liabilities		(64,016.2	)		(62,906.9	)		(62,681.4	)		(61,594.1	)
Derivative liabilities		(1,527.3	)		(1,527.3	)		(1,274.5	)		(1,274.5	)
Bank deposits		(2,142.8	)		(2,150.2	)		(2,161.2	)		(2,172.9	)
Cash collateral payable		(234.0	)		(234.0	)		(236.0	)		(236.0	)
Other liabilities		(225.3	)		(225.3	)		(250.3	)		(250.3	)

Fair Value (Table)

	As of December 31, 2011
	Assets / (liabilities) measured at fair value			Fair value hierarchy level
				Level 1		Level 2			Level 3
	(in millions)
Assets
Fixed maturities, available-for-sale:
U.S. government and agencies	$	805.1		$	57.5	$	747.6		$	—
Non-U.S. governments		1,096.7			—		1,073.8			22.9
States and political subdivisions		2,882.7			—		2,882.7			—
Corporate		33,556.5			87.5		33,172.0			297.0
Residential mortgage-backed securities		3,343.0			—		3,343.0			—
Commercial mortgage-backed securities		3,413.7			—		3,413.7			—
Collateralized debt obligations		338.8			—		236.3			102.5
Other debt obligations		3,570.2			—		3,542.9			27.3
Total fixed maturities, available-for-sale		49,006.7			145.0		48,412.0			449.7
Fixed maturities, trading		971.7			199.6		551.3			220.8
Equity securities, available-for-sale		77.1			56.5		2.6			18.0
Equity securities, trading		404.8			291.6		113.2			—
Derivative assets (1)		1,171.1			—		1,110.9			60.2
Other investments (2)		213.3			17.6		98.2			97.5
Cash equivalents (3)		1,659.8			677.3		982.5			—
Sub-total excluding separate account assets		53,504.5			1,387.6		51,270.7			846.2
Separate account assets		71,364.4			49,477.1		17,689.1			4,198.2
Total assets	$	124,868.9		$	50,864.7	$	68,959.8		$	5,044.4
Liabilities
Investment-type insurance contracts (4)	$	(195.8	)	$	—	$	—		$	(195.8	)
Derivative liabilities (1)		(1,527.3	)		—		(1,350.2	)		(177.1	)
Other liabilities (4)		(225.3	)		—		(201.1	)		(24.2	)
Total liabilities	$	(1,948.4	)	$	—	$	(1,551.3	)	$	(397.1	)
Net assets (liabilities)	$	122,920.5		$	50,864.7	$	67,408.5		$	4,647.3

	As of December 31, 2010
	Assets / (liabilities) measured at fair value			Fair value hierarchy level
				Level 1		Level 2			Level 3
	(in millions)
Assets
Fixed maturities, available-for-sale:
U.S. government and agencies	$	769.3		$	229.6	$	539.7		$	—
Non-U.S. governments		872.6			—		848.1			24.5
States and political subdivisions		2,656.4			—		2,656.4			—
Corporate		33,892.5			95.4		33,245.0			552.1
Residential mortgage-backed securities		3,196.2			—		3,196.2			—
Commercial mortgage-backed securities		3,842.2			—		3,826.0			16.2
Collateralized debt obligations		293.0			—		183.7			109.3
Other debt obligations		3,114.1			—		3,025.3			88.8
Total fixed maturities, available-for-sale		48,636.3			325.0		47,520.4			790.9
Fixed maturities, trading		1,120.3			159.8		691.4			269.1
Equity securities, available-for-sale		169.9			124.1		2.6			43.2
Equity securities, trading		316.9			212.9		104.0			—
Derivative assets (1)		1,083.2			—		1,049.9			33.3
Other investments (2)		210.7			14.1		68.3			128.3
Cash equivalents (3)		1,247.2			217.3		1,029.9			—
Sub-total excluding separate account assets		52,784.5			1,053.2		50,466.5			1,264.8
Separate account assets		69,555.3			51,012.9		14,770.9			3,771.5
Total assets	$	122,339.8		$	52,066.1	$	65,237.4		$	5,036.3
Liabilities
Investment-type insurance contracts (4)	$	(6.6	)	$	—	$	—		$	(6.6	)
Derivative liabilities (1)		(1,274.5	)		—		(1,093.0	)		(181.5	)
Other liabilities (4)		(250.3	)		—		(93.5	)		(156.8	)
Total liabilities	$	(1,531.4	)	$	—	$	(1,186.5	)	$	(344.9	)
Net assets (liabilities)	$	120,808.4		$	52,066.1	$	64,050.9		$	4,691.4

(1)

Within the consolidated statements of financial position, derivative assets are reported with other investments and derivative liabilities are reported with other liabilities. Refer to Note 5, Derivative Financial Instruments, for further information on fair value by class of derivative instruments. Our derivatives are primarily Level 2, with the exception of certain credit default swaps and other swaps that are Level 3.

(2)

Primarily includes seed money investments and commercial mortgage loans of consolidated VIEs reported at fair value.

(3)

Includes money market instruments and short-term investments with a maturity date of three months or less when purchased.

(4)

Includes bifurcated embedded derivatives that are reported at fair value within the same line item in the consolidated statements of financial position in which the host contract is reported. Other liabilities also include obligations of consolidated VIEs reported at fair value.

Reconciliation for All Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Table)

	For the year ended December 31, 2011
																					Changes in unrealized gains (losses) included in net income relating to positions still held (1)
	Beginning asset/ (liability) balance as of December 31, 2010			Total realized/unrealized gains (losses)						Purchases, sales, issuances and settlements (5)								Ending asset/ (liability) balance as of December 31, 2011
				Included in net income (1)			Included in other comprehensive income						Transfers into Level 3		Transfers out of Level 3
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	24.5		$	0.2		$	—		$	(1.8	)	$	—	$	—		$	22.9		$	0.1
Corporate		552.1			(10.8	)		(20.8	)		(42.7	)		103.2		(284.0	)		297.0			(6.1	)
Commercial mortgage-backed securities		16.2			(3.7	)		5.1			(10.5	)		—		(7.1	)		—			—
Collateralized debt obligations		109.3			(19.6	)		13.8			0.3			—		(1.3	)		102.5			(9.3	)
Other debt obligations		88.8			0.1			(1.1	)		(30.5	)		9.0		(39.0	)		27.3			—
Total fixed maturities, available-for-sale		790.9			(33.8	)		(3.0	)		(85.2	)		112.2		(331.4	)		449.7			(15.3	)
Fixed maturities, trading		269.1			(16.6	)		—			(27.2	)		20.5		(25.0	)		220.8			(15.8	)
Equity securities, available-for-sale		43.2			(6.1	)		12.0			(28.0	)		13.0		(16.1	)		18.0			(4.5	)
Derivative assets		33.3			37.8			(0.1	)		(10.8	)		—		—			60.2			33.4
Other investments		128.3			(2.5	)		—			(28.3	)		—		—			97.5			(2.6	)
Separate account assets (2)		3,771.5			406.6			—			88.9			13.5		(82.3	)		4,198.2			400.9
Liabilities
Investment-type insurance contracts		(6.6	)		(206.3	)		—			17.1			—		—			(195.8	)		(206.6	)
Derivative liabilities		(181.5	)		(11.4	)		0.2			15.6			—		—			(177.1	)		(8.6	)
Other liabilities (3)		(156.8	)		(1.2	)		13.4			(15.9	)		—		136.3			(24.2	)		(1.1	)

	For the year ended December 31, 2010
				Total realized/unrealized gains (losses)																	Changes in unrealized gains (losses) included in net income relating to positions still held (1)
	Beginning asset/ (liability) balance as of December 31, 2009									Purchases, sales, issuances and settlements (4)								Ending asset/ (liability) balance as of December 31, 2010
				Included in net income (1)			Included in other comprehensive income						Transfers into Level 3		Transfers out of Level 3
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	16.1		$	(0.1	)	$	0.1		$	8.4		$	—	$	—		$	24.5		$	(0.1	)
State and political subdivisions		11.5			—			1.0			—			11.5		(24.0	)		—			—
Corporate		737.3			0.7			26.9			(193.2	)		152.2		(171.8	)		552.1			(2.2	)
Commercial mortgage-backed securities		34.3			(0.1	)		1.0			11.2			—		(30.2	)		16.2			(0.1	)
Collateralized debt obligations		296.8			(14.9	)		40.0			(125.2	)		0.9		(88.3	)		109.3			(1.9	)
Other debt obligations		76.6			—			4.5			36.9			32.9		(62.1	)		88.8			—
Total fixed maturities, available-for-sale		1,172.6			(14.4	)		73.5			(261.9	)		197.5		(376.4	)		790.9			(4.3	)
Fixed maturities, trading		63.5			13.5			—			194.1			—		(2.0	)		269.1			13.2
Equity securities, available-for-sale		71.7			2.6			(8.2	)		(21.4	)		0.1		(1.6	)		43.2			3.3
Derivative assets		54.4			(18.3	)		(0.1	)		(2.7	)		—		—			33.3			(17.1	)
Other investments		—			25.9			—			102.4			—		—			128.3			25.9
Separate account assets (2)		4,120.7			304.0			(0.4	)		(564.2	)		28.5		(117.1	)		3,771.5			249.0
Liabilities
Investment-type insurance contracts		(23.6	)		(8.2	)		—			25.2			—		—			(6.6	)		(8.6	)
Derivative liabilities		(93.7	)		9.9			(1.4	)		(96.3	)		—		—			(181.5	)		8.0
Other liabilities (3)		(89.1	)		9.3			(28.3	)		(48.7	)		—		—			(156.8	)		2.3

	For the year ended December 31, 2009
																			Changes in unrealized gains (losses) included in net income relating to positions still held (1)
	Beginning asset/ (liability) balance as of December 31, 2008			Total realized/unrealized gains (losses)												Ending asset/ (liability) balance as of December 31, 2009
										Purchases, sales, issuances and settlements
				Included in net income (1)			Included in other comprehensive income						Transfers in (out) of Level 3
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	45.3		$	(10.3	)	$	2.4		$	(21.3	)	$	—		$	16.1		$	(0.1	)
State and political subdivisions		—			—			1.3			—			10.2			11.5			—
Corporate		750.9			(26.7	)		160.6			(348.3	)		200.8			737.3			(32.2	)
Commercial mortgage-backed securities		58.0			(0.3	)		9.8			(12.1	)		(21.1	)		34.3			—
Collateralized debt obligations		236.8			(63.9	)		150.4			(10.6	)		(15.9	)		296.8			(63.5	)
Other debt obligations		82.0			(2.1	)		17.4			25.9			(46.6	)		76.6			—
Total fixed maturities, available-for-sale		1,173.0			(103.3	)		341.9			(366.4	)		127.4			1,172.6			(95.8	)
Fixed maturities, trading		60.7			13.0			—			—			(10.2	)		63.5			13.1
Equity securities, available-for-sale		56.2			(0.2	)		30.3			(43.7	)		29.1			71.7			(2.0	)
Derivative assets		100.7			(43.6	)		(0.2	)		(2.5	)		—			54.4			(30.5	)
Separate account assets (2)		6,042.3			(1,601.5	)		—			(291.6	)		(28.5	)		4,120.7			(1,488.3	)
Liabilities
Investment-type insurance contracts		(60.2	)		10.8			—			25.8			—			(23.6	)		10.8
Derivative liabilities		(266.9	)		141.4			7.2			24.6			—			(93.7	)		88.8
Other liabilities (3)		(103.8	)		—			33.2			(18.5	)		—			(89.1	)		—

(1)

Both realized gains (losses) and mark-to-market unrealized gains (losses) are generally reported in net realized capital gains (losses) within the consolidated statements of operations. Realized and unrealized gains (losses) on certain fixed maturities, trading and certain derivatives used in relation to certain trading portfolios are reported in net investment income within the consolidated statements of operations.

(2)

Gains and losses for separate account assets do not impact net income as the change in value of separate account assets is offset by a change in value of separate account liabilities. Foreign currency translation adjustments related to the Principal International segment separate account assets are recorded in AOCI and are offset by foreign currency translation adjustments of the corresponding separate account liabilities.

(3)

Certain embedded derivatives reported in other liabilities are part of a cash flow hedge, with the effective portion of the unrealized gains (losses) recorded in AOCI.

(4)

As a result of our implementation of new authoritative guidance related to the accounting for VIEs effective January 1, 2010, certain previously unconsolidated VIEs were consolidated and certain previously consolidated VIEs were deconsolidated. The fair value of the Level 3 assets and liabilities of the newly consolidated and deconsolidated VIEs is primarily included in fixed maturities, trading; other investments; derivative liabilities and other liabilities. As a result of our implementation of new authoritative guidance related to the accounting for embedded credit derivatives effective July 1, 2010, we reclassified certain fixed maturities from available-for-sale to trading.

(5)

Gross purchases, sales, issuances and settlements were:

	For the year ended December 31, 2011
	Purchases			Sales			Issuances		Settlements			Net purchases, sales, issuances and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	3.6		$	(5.4	)	$	—	$	—		$	(1.8	)
Corporate		21.2			(25.6	)		—		(38.3	)		(42.7	)
Commercial mortgage-backed securities		—			(10.5	)		—		—			(10.5	)
Collateralized debt obligations		1.3			(0.4	)		—		(0.6	)		0.3
Other debt obligations		—			—			—		(30.5	)		(30.5	)
Total fixed maturities, available-for-sale		26.1			(41.9	)		—		(69.4	)		(85.2	)
Fixed maturities, trading		10.0			(8.7	)		—		(28.5	)		(27.2	)
Equity securities, available-for-sale		0.3			(28.3	)		—		—			(28.0	)
Derivative assets		19.0			(29.8	)		—		—			(10.8	)
Other investments		—			—			—		(28.3	)		(28.3	)
Separate account assets		342.7			(191.8	)		—		(62.0	)		88.9
Liabilities
Investment-type insurance contracts		—			—			9.2		7.9			17.1
Derivative liabilities		(12.1	)		27.7			—		—			15.6
Other liabilities		(2.1	)		—			—		(13.8	)		(15.9	)