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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2013
Fair Value Measurements  
Fair Value (Table)

 

 

 
   As of December 31, 2013  
 
   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

   $ 780.5   $ 409.3   $ 371.2   $ —  

Non-U.S. governments

     996.8     —     949.3     47.5  

States and political subdivisions

     3,658.0     —     3,656.2     1.8  

Corporate

     31,919.0     40.3     31,714.7     164.0  

Residential mortgage-backed securities

     2,845.2     —     2,845.2     —  

Commercial mortgage-backed securities

     4,026.4     —     4,024.8     1.6  

Collateralized debt obligations

     363.4     —     325.6     37.8  

Other debt obligations

     4,167.8     —     4,083.7     84.1  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     48,757.1     449.6     47,970.7     336.8  

Fixed maturities, trading

     563.1     —     393.2     169.9  

Equity securities, available-for-sale

     110.5     38.1     55.5     16.9  

Equity securities, trading

     716.9     105.1     611.8     —  

Derivative assets (1)

     665.1     —     590.9     74.2  

Other investments (2)

     361.1     6.8     211.4     142.9  

Cash equivalents (3)

     1,459.0     —     1,459.0     —  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Sub-total excluding separate account assets

     52,632.8     599.6     51,292.5     740.7  

Separate account assets

    
130,018.4		    
67,215.1		    
57,538.1		    
5,265.2		  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total assets

   $ 182,651.2   $ 67,814.7   $ 108,830.6   $ 6,005.9  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   

Liabilities

                          

Investment-type insurance contracts (4)

   $ (6.9 ) $ —   $ —   $ (6.9 )

Derivative liabilities (1)

     (1,024.6 )   —     (985.0 )   (39.6 )

Other liabilities (4)

     (322.1 )   —     (248.2 )   (73.9 )
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total liabilities

   $ (1,353.6 ) $ —   $ (1,233.2 ) $ (120.4 )
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   

Net assets (liabilities)

   $ 181,297.6   $ 67,814.7   $ 107,597.4   $ 5,885.5  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   

 

 
   As of December 31, 2012  
 
   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

   $ 944.3   $ 203.5   $ 740.8   $ —  

Non-U.S. governments

     1,208.3     —     1,164.0     44.3  

States and political subdivisions

     3,178.8     —     3,176.9     1.9  

Corporate

     34,325.4     85.9     34,065.0     174.5  

Residential mortgage-backed securities

     3,226.7     —     3,226.7     —  

Commercial mortgage-backed securities

     3,897.4     —     3,897.4     —  

Collateralized debt obligations

     379.2     —     301.6     77.6  

Other debt obligations

     3,779.2     —     3,764.5     14.7  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     50,939.3     289.4     50,336.9     313.0  

Fixed maturities, trading

     626.7     9.4     450.5     166.8  

Equity securities, available-for-sale

     136.5     54.4     66.8     15.3  

Equity securities, trading

     252.8     99.8     153.0     —  

Derivative assets (1)

     1,016.7     —     941.6     75.1  

Other investments (2)

     272.1     64.1     94.1     113.9  

Cash equivalents (3)

     1,772.6     561.4     1,211.2     —  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Sub-total excluding separate account assets

     55,016.7     1,078.5     53,254.1     684.1  

Separate account assets

    
81,653.8		    
54,010.1		    
23,027.7		    
4,616.0		  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total assets

   $ 136,670.5   $ 55,088.6   $ 76,281.8   $ 5,300.1  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   

Liabilities

                          

Investment-type insurance contracts (4)

   $ (170.5 ) $ —   $ —   $ (170.5 )

Derivative liabilities (1)

     (1,205.1 )   —     (1,102.5 )   (102.6 )

Other liabilities (4)

     (237.4 )   —     (197.8 )   (39.6 )
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total liabilities

   $ (1,613.0 ) $ —   $ (1,300.3 ) $ (312.7 )
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   

Net assets (liabilities)

   $ 135,057.5   $ 55,088.6   $ 74,981.5   $ 4,987.4  
                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​
                   
(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 6, 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, commercial mortgage loans of consolidated VIEs and equity method investments 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, 2013    
  
 
   Beginning
asset/
(liability)
balance as of
December 31,
2012		   Total realized/unrealized gains (losses)    
    
    
   Ending
asset/
(liability)
balance as of
December 31,
2013		   Changes in
unrealized
gains (losses)
included in
net income
relating to positions
still held (1)		  
 
   Net purchases,
sales,
issuances
and
settlements (4)		    
    
  
 
   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

   $ 44.3   $ (0.1 ) $ (0.9 ) $ 4.2   $ —   $ —   $ 47.5   $ (0.1 )

States and political subdivisions

     1.9     —     —     (0.1 )   —     —     1.8     —  

Corporate

     174.5     (13.4 )   4.5     (23.0 )   105.3     (83.9 )   164.0     (10.4 )

Commercial mortgage-backed securities

     —     —     (0.1 )   (0.7 )   2.4     —     1.6     —  

Collateralized debt obligations

     77.6     2.1     7.2     (56.0 )   31.7     (24.8 )   37.8     —  

Other debt obligations

     14.7     (0.3 )   2.8     34.9     32.0     —     84.1     (0.3 )
                                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     313.0     (11.7 )   13.5     (40.7 )   171.4     (108.7 )   336.8     (10.8 )

Fixed maturities, trading

     166.8     3.0     —     0.1     —     —     169.9     3.1  

Equity securities, available-for-sale

     15.3     (0.2 )   1.8     —     —     —     16.9     (0.2 )

Derivative assets

     75.1     (19.5 )   —     18.6     —     —     74.2     (19.8 )

Other investments

     113.9     11.2     —     17.8     —     —     142.9     11.2  

Separate account assets (2)

     4,616.0     574.9     (0.1 )   68.2     12.7     (6.5 )   5,265.2     545.8  

Liabilities

    
 		    
 		    
 		    
 		    
 		    
 		    
 		    
 		  

Investments-type insurance contracts

     (170.5 )   147.3     —     16.3     —     —     (6.9 )   145.0  

Derivative liabilities

     (102.6 )   55.0     (0.1 )   8.1     —     —     (39.6 )   53.9  

Other liabilities (3)

     (39.6 )   (34.3 )   —     —     —     —     (73.9 )   (34.3 )

 
   For the year ended December 31, 2012    
  
 
   Changes in
unrealized
gains (losses)
included in
net income
relating to
positions
still held (1)		  
 
   Beginning
asset/
(liability)
balance as of
December 31,
2011		   Total realized/unrealized gains (losses)    
    
    
   Ending
asset/
(liability)
balance as of
December 31,
2012		  
 
   Net purchases,
sales,
issuances
and
settlements (4)		    
    
  
 
   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

   $ 22.9   $ (0.2 ) $ (0.3 ) $ 7.4   $ 14.5   $ —   $ 44.3   $ (0.1 )

States and political subdivisions

     —     —     0.2     (0.1 )   1.8     —     1.9     —  

Corporate

     297.0     (9.2 )   19.9     (75.5 )   79.7     (137.4 )   174.5     (2.6 )

Collateralized debt obligations

     102.5     (3.3 )   5.1     4.5     —     (31.2 )   77.6     —  

Other debt obligations

     27.3     (2.3 )   0.6     (26.2 )   15.3     —     14.7     (2.2 )
                                   
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     449.7     (15.0 )   25.5     (89.9 )   111.3     (168.6 )   313.0     (4.9 )

Fixed maturities, trading

     220.8     3.2     —     (66.7 )   9.5     —     166.8     (4.4 )

Equity securities, available-for-sale

     18.0     (0.3 )   (2.4 )   —     —     —     15.3     —  

Derivative assets

     60.2     2.9     —     12.0     —     —     75.1     4.9  

Other investments

     97.5     2.1     —     14.3     —     —     113.9     2.2  

Separate account assets (2)

     4,198.2     421.3     0.4     (3.6 )   1.6     (1.9 )   4,616.0     412.8  

Liabilities

    
 		    
 		    
 		    
 		    
 		    
 		    
 		    
 		  

Investments-type insurance contracts

     (195.8 )   38.3     (0.1 )   (12.9 )   —     —     (170.5 )   35.3  

Derivative liabilities

     (177.1 )   39.8     1.3     33.4     —     —     (102.6 )   38.6  

Other liabilities (3)

     (24.2 )   (23.5 )   —     8.1     —     —     (39.6 )   (20.2 )


 

 
   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)    
    
    
   Ending
asset/
(liability)
balance as of
December 31,
2011		  
 
   Net purchases,
sales,
issuances
and
settlements (4)		    
    
  
 
   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

    
 		    
 		    
 		    
 		    
 		    
 		    
 		    
 		  

Investments-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 )
(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 operation.

(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)
Gross purchases, sales, issuances and settlements were:

 
   For the year ended December 31, 2013  
 
   Purchases   Sales   Issuances   Settlements   Net purchases,
sales, issuances
and settlements		  
 
   (in millions)
  

Assets

                                

Fixed maturities, available-for-sale:

                                

Non-U.S. government

   $ 9.3   $ (3.9 ) $ —   $ (1.2 ) $ 4.2  

State and political subdivisions

     —     —     —     (0.1 )   (0.1 )

Corporate

     32.6     (33.3 )   —     (22.3 )   (23.0 )

Commercial mortgage-backed securities

     —     —     —     (0.7 )   (0.7 )

Collateralized debt obligations

     17.0     (47.4 )   —     (25.6 )   (56.0 )

Other debt obligations

     37.8     —     —     (2.9 )   34.9  
                       
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     96.7     (84.6 )   —     (52.8 )   (40.7 )

Fixed maturities, trading

     —     —     —     0.1     0.1  

Derivative assets

     22.1     (3.5 )   —     —     18.6  

Other investments

     30.2     —     —     (12.4 )   17.8  

Separate account assets (5)

     418.4     (300.8 )   (21.8 )   (27.6 )   68.2  

Liabilities

    
 		    
 		    
 		    
 		    
 		  

Investment-type insurance contracts

     —     —     11.0     5.3     16.3  

Derivative liabilities

     (3.4 )   11.5     —     —     8.1  


  For the year ended December 31, 2012  
 
   Purchases   Sales   Issuances   Settlements   Net purchases,
sales, issuances
and settlements		  
 
   (in millions)
  

Assets

                                

Fixed maturities, available-for-sale:

                                

Non-U.S. government

   $ 13.5   $ (5.0 ) $ —   $ (1.1 ) $ 7.4  

State and political subdivisions

     —     —     —     (0.1 )   (0.1 )

Corporate

     29.2     (92.0 )   —     (12.7 )   (75.5 )

Collateralized debt obligations

     5.1     (1.1 )   —     0.5     4.5  

Other debt obligations

     —     —     —     (26.2 )   (26.2 )
                       
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     47.8     (98.1 )   —     (39.6 )   (89.9 )

Fixed maturities, trading

     —     (24.6 )   —     (42.1 )   (66.7 )

Derivative assets

     12.6     (0.6 )   —     —     12.0  

Other investments

     34.0     —     —     (19.7 )   14.3  

Separate account assets (5)

     342.2     (310.6 )   (208.4 )   173.2     (3.6 )

Liabilities

    
 		    
 		    
 		    
 		    
 		  

Investment-type insurance contracts

     —     —     (16.6 )   3.7     (12.9 )

Derivative liabilities

     (8.9 )   42.3     —     —     33.4  

Other liabilities

     —     8.1     —     —     8.1  


 
   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. government

   $ 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 )
(5)
Issuances and settlements include amounts related to mortgage encumbrances associated with real estate in our separate accounts.
Transfers (Table)

 

 

 
   For the year ended December 31, 2013  
 
   Transfers out
of Level 1 into
Level 2		   Transfers out
of Level 1 into
Level 3		   Transfers out
of Level 2 into
Level 1		   Transfers out
of Level 2 into
Level 3		   Transfers out
of Level 3 into
Level 1		   Transfers out
of Level 3 into
Level 2		  
 
   (in millions)
  

Assets

                                      

Fixed maturities, available-for-sale:

                                      

Corporate

   $ —   $ —   $ —   $ 105.3   $ —   $ 83.9  

Commercial mortgage-backed securities

     —     —     —     2.4     —     —  

Collateralized debt obligations

     —     —     —     31.7     —     24.8  

Other debt obligations

     —     —     —     32.0     —     —  
                           
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     —     —     —     171.4     —     108.7  

Separate account assets

     253.9     0.1     15.5     12.6     —     6.5  

 

 
   For the year ended December 31, 2012  
 
   Transfers out
of Level 1 into
Level 2		   Transfers out
of Level 1 into
Level 3		   Transfers out
of Level 2 into
Level 1		   Transfers out
of Level 2 into
Level 3		   Transfers out
of Level 3 into
Level 1		   Transfers out
of Level 3 into
Level 2		  
 
   (in millions)
  

Assets

                                      

Fixed maturities, available-for-sale:

                                      

Non-U.S. governments

   $ —   $ —   $ —   $ 14.5   $ —   $ —  

States and political subdivisions

     —     —     —     1.8     —     —  

Corporate

     —     —     —     79.7     —     137.4  

Collateralized debt obligations

     —     —     —     —     —     31.2  

Other debt obligations

     —     —     —     15.3     —     —  
                           
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​

Total fixed maturities, available-for-sale

     —     —     —     111.3     —     168.6  

Fixed maturities, trading

     —     —     —     9.5     —     —  

Separate account assets

     3,255.7     0.3     205.5     1.3     —     1.9  

    
Quantitative Information about Level 3 Fair Value Measurements (Table)

 

 

 
   As of December 31, 2013
 
   Assets /
(liabilities)
measured at
fair value		   Valuation
technique(s)		   Unobservable
input description		   Input/range of
inputs		   Weighted
average
 
   (in millions)
    
    
    
    

Assets

                      

Fixed maturities, available-for-sale:

                      

Non-U.S. governments

  
$
11.7		  

Discounted cash flow

  

Discount rate (1)

  
2.0%		  
2.0%

 

            

Illiquidity premium

  
50 basis points ("bps")		  
50bps

Corporate

    
70.1		  

Discounted cash flow

  

Discount rate (1)

  
1.9% - 7.7%		  
4.4%

 

            

Earnings before interest, taxes, depreciation and amortization multiple

  
0x - 4.5x		  
0.2x

 

            

Comparability adjustment

  
0 - 125bps		  
43bps

 

            

Probability of default

  
0% - 100%		  
5.4%

 

            

Potential loss severity

  
0% - 16%		  
0.9%

 

            

Illiquidity premium

  
0bps - 25bps		  
15bps

Commercial mortgage-backed securities

    
1.6		  

Discounted cash flow

  

Discount rate (1)

  
1.5% - 4.5%		  
0.0%

Collateralized debt obligations

    
13.6		  

Discounted cash flow

  

Discount rate (1)

  
1.5%		  
1.5%

 

            

Illiquidity premium

  
400bps		  
400bps

Other debt obligations

    
33.6		  

Discounted cash flow

  

Discount rate (1)

  
2.0% - 15.0%		  
6.7%

 

            

Illiquidity premium

  
0bps - 50bps		  
11bps

Fixed maturities, trading

    
36.2		  

Discounted cash flow

  

Discount rate (1)

  
1.6% - 83.0%		  
3.4%

 

            

Illiquidity premium

  
0bps - 1,400bps		  
370bps

 

    
110.4		  

See note (2)

            

Other investments

    
68.1		  

Discounted cash flow — commercial mortgage loans of consolidated VIEs

  

Discount rate (1)

  
4.8%		  
4.8%

 

            

Illiquidity premium

  
94bps		  
94bps

 

    
74.8		  

Discounted cash flow — equity method real estate investments

  

Discount rate (1)

  
7.8% - 8.1%		  
7.9%

 

            

Terminal capitalization rate

  
5.5% - 6.8%		  
6.1%

 

            

Average market rent growth rate

  
3.5% - 3.6%		  
3.6%

 

        

Discounted cash flow — equity method real estate investment — debt

  

Loan to value

  
40.5% - 61.0%		  
50.7%

 

            

Credit spread rate

  
1.5% - 2.0%		  
1.8%

Separate account assets

     5,090.4   Discounted cash flow — mortgage loans   Discount rate (1)   0.6% - 5.6%   3.3%

 

            

Illiquidity premium

  
0bps - 60bps		  
12bps

 

            

Credit spread rate

  
32bps - 440bps		  
214bps

 

        

Discounted cash flow — real estate

  

Discount rate (1)

  
6.0% - 16.0%		  
7.6%

 

            

Terminal capitalization rate

  
4.5% - 9.0%		  
6.6%

 

            

Average market rent growth rate

  
2.4% - 4.7%		  
3.0%

 

        

Discounted cash flow — real estate debt

  

Loan to value

  
11.0% - 55.9%		  
50.3%

 

            

Credit spread rate

  
1.5% - 5.2%		  
3.3%

Liabilities

    
 		  

 

  

 

  
 		  
 

Investment-type insurance contracts

    
(6.9
)

Discounted cash flow

  

Long duration interest rate

  
3.8% - 3.9% (3)		    

 

            

Long-term equity market volatility

  
15.0% - 40.1%		    

 

            

Non-performance risk

  
0.2% - 1.2%		    

 

            

Utilization rate

  
See note (4)		    

 

            

Lapse rate

  
0.5% - 14.6%		    

 

            

Mortality rate

  
See note (5)		    

Derivative liabilities

    
(19.9
)

See note (2)

            

Other liabilities

    
(73.9
)

See note (2)

            

 

 
   As of December 31, 2012
 
   Assets /
(liabilities)
measured at
fair value		   Valuation
technique(s)		   Unobservable
input description		   Input/range of
inputs		   Weighted
average
 
   (in millions)
    
    
    
    

Assets

                      

Fixed maturities, available-for-sale:

                      

Non-U.S. governments

  
$
12.9		  

Discounted cash flow

  

Discount rate (1)

  
1.6%		  
1.6%

 

            

Illiquidity premium

  
50 basis points ("bps")		  
50bps

Corporate

    
66.6		  

Discounted cash flow

  

Discount rate (1)

  
1.7% - 29.0%		  
8.4%

 

            

Illiquidity premium

  
0bps - 100bps		  
39bps

 

            

Earnings before interest, taxes, depreciation and amortization multiple

  
0x - 3.5x		  
0.2x

 

            

Probability of default

  
0% - 100%		  
6.4%

 

            

Potential loss severity

  
0% - 30%		  
1.9%

Collateralized debt obligations

    
38.2		  

Discounted cash flow

  

Discount rate (1)

  
1.0% - 19.8%		  
13.3%

 

            

Illiquidity premium

  
400bps - 1,000bps		  
791bps

Other debt obligations

    
14.7		  

Discounted cash flow

  

Discount rate (1)

  
6.5% - 20.0%		  
11.8%

 

            

Illiquidity premium

  
0bps - 50bps		  
30bps

Fixed maturities, trading

    
35.9		  

Discounted cash flow

  

Discount rate (1)

  
1.2% - 60.5%		  
4.1%

 

            

Illiquidity premium

  
0bps - 1,400bps		  
390bps

 

    
110.4		  

See note (2)

            

Other investments

    
80.3		  

Discounted cash flow — commercial mortgage loans of consolidated VIEs

  

Discount rate (1)

  
3.5%		  
3.5%

 

            

Illiquidity premium

  
287bps		  
287bps

 

    
33.6		  

Discounted cash flow — equity method real estate investment

  

Discount rate (1)

  
9.3%		  
9.3%

 

            

Terminal capitalization rate

  
5.5%		  
5.5%

 

            

Average market rent growth rate

  
3.6%		  
3.6%

 

        

Discounted cash flow — equity method real estate investment debt

  

Loan to value

  
49.4%		  
49.4%

 

            

Credit spread rate

  
3.3%		  
3.3%

Separate account assets

    
4,449.0		  

Discounted cash flow — mortgage loans

  

Discount rate (1)

  
0.8% - 10.4%		  
3.3%

 

            

Illiquidity premium

  
0bps - 50bps		  
20bps

 

            

Credit spread rate

  
44bps - 975bps		  
286bps

 

        

Discounted cash flow — real estate

  

Discount rate (1)

  
6.5% - 16.0%		  
8.3%

 

            

Terminal capitalization rate

  
4.8% - 9.0%		  
7.2%

 

            

Average market rent growth rate

  
2.3% - 5.5%		  
3.3%

 

        

Discounted cash flow — real estate debt

  

Loan to value

  
17.0% - 86.0%		  
54.8%

 

            

Credit spread rate

  
1.6% - 5.3%		  
3.5%

Liabilities

    
 		  

 

  

 

  
 		  
 

Investment-type insurance contracts

    
(170.5
)

Discounted cash flow

  

Long duration interest rate

  
2.6% - 2.8% (3)		    

 

            

Long-term equity market volatility

  
16.1% - 38.3%		    

 

            

Non-performance risk

  
0.3% - 1.6%		    

 

            

Utilization rate

  
See note (4)		    

 

            

Lapse rate

  
0.5% - 14.6%		    

 

            

Mortality rate

  
See note (5)		    

Derivative liabilities

    
(65.1
)

See note (2)

            

Other liabilities

    
(39.6
)

See note (2)

            
(1)
Represents market comparable interest rate or an index adjusted rate used as the base rate in the discounted cash flow analysis prior to any credit spread, illiquidity or other adjustments, where applicable.

(2)
Relates to a consolidated collateralized private investment vehicle that is a VIE. Fixed maturities, trading represents the underlying collateral of the investment structure and consists of high-grade fixed maturity investments, which are over-collateralized based on outstanding notes priced at par. The derivative liability represents credit default swaps that are valued using a correlation model to the credit default swap ("CDS") Index ("CDX") and inputs to the valuation are based on observable market data such as the end of period swap curve, CDS constituents of the index and spread levels of the index, as well as CDX tranche spreads. The other liabilities represent obligations to third party note holders due at maturity or termination of the trust. The value of the obligations reflect the third parties' interest in the investment structure.

(3)
Represents the range of rate curves used in the valuation analysis that we have determined market participants would use when pricing the instrument. Derived from interpolation between observable 20 and 30-year swap rates.

(4)
This input factor is the number of contractholders taking withdrawals as well as the amount and timing of the withdrawals and a range does not provide a meaningful presentation.

(5)
This input is based on an appropriate industry mortality table and a range does not provide a meaningful presentation.
Financial Instruments Not Reported at Fair Value (Table)

 

 

 
   December 31, 2013  
 
    
    
   Fair value hierarchy level  
 
   Carrying amount    
  
 
   Fair value   Level 1   Level 2   Level 3  
 
   (in millions)
  

Assets (liabilities)

                                

Mortgage loans

   $ 11,533.6   $ 11,773.5   $ —   $ —   $ 11,773.5  

Policy loans

     859.7     963.3     —     —     963.3  

Other investments

     174.0     174.7     —     140.9     33.8  

Cash and cash equivalents

     912.8     912.8     912.8     —     —  

Investments-type insurance contracts

     (29,909.6 )   (30,093.1 )   —     (5,902.2 )   (24,190.9 )

Short-term debt

     (150.6 )   (150.6 )   —     (150.6 )   —  

Long-term debt

     (2,601.4 )   (2,692.1 )   —     (2,639.0 )   (53.1 )

Separate account liabilities

     (119,500.7 )   (118,059.7 )   —     —     (118,059.7 )

Bank deposits

     (1,949.0 )   (1,951.1 )   (1,252.2 )   (698.9 )   —  

Cash collateral payable

     (32.5 )   (32.5 )   (32.5 )   —     —  


 

 
   December 31, 2012  
 
    
    
   Fair value hierarchy level  
 
   Carrying amount    
  
 
   Fair value   Level 1   Level 2   Level 3  
 
   (in millions)
  

Assets (liabilities)

                                

Mortgage loans

   $ 11,519.7   $ 12,163.7   $ —   $ —   $ 12,163.7  

Policy loans

     864.9     1,056.8     —     —     1,056.8  

Other investments

     280.1     280.5     —     195.3     85.2  

Cash and cash equivalents

     2,404.6     2,404.6     2,364.6     40.0     —  

Investments-type insurance contracts

     (31,953.1 )   (32,531.6 )   —     (7,367.4 )   (25,164.2 )

Short-term debt

     (40.8 )   (40.8 )   —     (40.8 )   —  

Long-term debt

     (2,671.3 )   (2,951.4 )   —     (2,921.7 )   (29.7 )

Separate account liabilities

     (73,096.0 )   (72,173.8 )   —     —     (72,173.8 )

Bank deposits

     (2,174.7 )   (2,177.7 )   (1,404.4 )   (773.3 )   —  

Cash collateral payable

     (205.6 )   (205.6 )   (205.6 )   —     —