XML 82 R30.htm IDEA: XBRL DOCUMENT v2.4.0.8
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2013
Fair Value Measurements  
Fair Value (Table)

 

 

 

 

As of September 30, 2013

 

 

 

Assets/
(liabilities)
measured at

 

Fair value hierarchy level

 

 

 

fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$

720.6

 

$

306.8

 

$

413.8

 

$

—

 

Non-U.S. governments

 

1,014.6

 

—

 

966.8

 

47.8

 

States and political subdivisions

 

3,616.6

 

—

 

3,614.8

 

1.8

 

Corporate

 

32,443.7

 

45.0

 

32,235.7

 

163.0

 

Residential mortgage-backed securities

 

2,758.5

 

—

 

2,758.5

 

—

 

Commercial mortgage-backed securities

 

3,983.5

 

—

 

3,983.5

 

—

 

Collateralized debt obligations

 

332.3

 

—

 

294.3

 

38.0

 

Other debt obligations

 

4,045.1

 

—

 

3,997.8

 

47.3

 

Total fixed maturities, available-for-sale

 

48,914.9

 

351.8

 

48,265.2

 

297.9

 

Fixed maturities, trading

 

572.9

 

—

 

400.0

 

172.9

 

Equity securities, available-for-sale

 

114.0

 

35.1

 

61.7

 

17.2

 

Equity securities, trading

 

666.2

 

97.6

 

568.6

 

—

 

Derivative assets (1)

 

684.6

 

—

 

627.1

 

57.5

 

Other investments (2)

 

331.3

 

7.7

 

183.1

 

140.5

 

Cash equivalents (3)

 

590.0

 

2.4

 

587.6

 

—

 

Sub-total excluding separate account assets

 

51,873.9

 

494.6

 

50,693.3

 

686.0

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 

123,800.5

 

62,692.3

 

56,166.9

 

4,941.3

 

Total assets

 

$

175,674.4

 

$

63,186.9

 

$

106,860.2

 

$

5,627.3

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts (4)

 

$

(49.3

)

$

—

 

$

—

 

$

(49.3

)

Derivative liabilities (1)

 

(1,022.7

)

—

 

(972.7

)

(50.0

)

Other liabilities (4)

 

(292.5

)

—

 

(225.4

)

(67.1

)

Total liabilities

 

$

(1,364.5

)

$

—

 

$

(1,198.1

)

$

(166.4

)

 

 

 

 

 

 

 

 

 

 

Net assets (liabilities)

 

$

174,309.9

 

$

63,186.9

 

$

105,662.1

 

$

5,460.9

 

 

 

 

As of December 31, 2012

 

 

 

Assets/
(liabilities)
measured at

 

Fair value hierarchy level

 

 

 

fair value

 

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 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, 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 three months ended September 30, 2013

 

Changes in

 

 

 

Beginning

 

 

 

Net

 

 

 

 

 

Ending

 

unrealized

 

 

 

asset/

 

Total realized/unrealized

 

purchases,

 

 

 

 

 

asset/

 

gains (losses)

 

 

 

(liability)

 

gains (losses)

 

sales,

 

 

 

 

 

(liability)

 

included in

 

 

 

balance

 

 

 

Included in

 

issuances

 

 

 

 

 

balance

 

net income

 

 

 

as of

 

Included in

 

other

 

and

 

Transfers

 

Transfers

 

as of

 

relating to

 

 

 

June 30,

 

net income

 

comprehensive

 

settlements

 

into

 

out of

 

September 30,

 

positions still

 

 

 

2013

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2013

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

44.7

 

$

—

 

$

(0.3

)

$

3.4

 

$

—

 

$

—

 

$

47.8

 

$

—

 

States and political subdivisions

 

1.7

 

—

 

0.1

 

—

 

—

 

—

 

1.8

 

—

 

Corporate

 

168.1

 

(0.1

)

2.7

 

17.1

 

4.7

 

(29.5

)

163.0

 

(0.1

)

Collateralized debt obligations

 

40.7

 

—

 

(0.1

)

—

 

—

 

(2.6

)

38.0

 

—

 

Other debt obligations

 

18.4

 

(0.3

)

0.6

 

13.6

 

15.0

 

—

 

47.3

 

(0.3

)

Total fixed maturities, available-for-sale

 

273.6

 

(0.4

)

3.0

 

34.1

 

19.7

 

(32.1

)

297.9

 

(0.4

)

Fixed maturities, trading

 

170.7

 

2.1

 

—

 

0.1

 

—

 

—

 

172.9

 

2.1

 

Equity securities, available-for-sale

 

16.9

 

—

 

0.3

 

—

 

—

 

—

 

17.2

 

—

 

Derivative assets

 

56.9

 

1.0

 

—

 

(0.4

)

—

 

—

 

57.5

 

1.2

 

Other investments

 

116.5

 

1.8

 

—

 

22.2

 

—

 

—

 

140.5

 

1.9

 

Separate account assets (2)

 

4,841.7

 

134.6

 

0.1

 

(33.7

)

4.9

 

(6.3

)

4,941.3

 

122.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(74.2

)

17.6

 

—

 

7.3

 

—

 

—

 

(49.3

)

19.8

 

Derivative liabilities

 

(70.0

)

14.1

 

0.3

 

5.6

 

—

 

—

 

(50.0

)

14.2

 

Other liabilities (3)

 

(59.6

)

(7.5

)

—

 

—

 

—

 

—

 

(67.1

)

(7.6

)

 

 

 

For the three months ended September 30, 2012

 

Changes in

 

 

 

Beginning

 

 

 

Net

 

 

 

 

 

Ending

 

unrealized

 

 

 

asset/

 

Total realized/unrealized

 

purchases,

 

 

 

 

 

asset/

 

gains (losses)

 

 

 

(liability)

 

gains (losses)

 

sales,

 

 

 

 

 

(liability)

 

included in

 

 

 

balance

 

 

 

Included in

 

issuances

 

 

 

 

 

balance

 

net income

 

 

 

as of

 

Included in

 

other

 

and

 

Transfers

 

Transfers

 

as of

 

relating to

 

 

 

June 30,

 

net income

 

comprehensive

 

settlements

 

into

 

out of

 

September 30,

 

positions still

 

 

 

2012

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2012

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

39.6

 

$

—

 

$

—

 

$

6.3

 

$

—

 

$

—

 

$

45.9

 

$

—

 

States and political subdivisions

 

—

 

—

 

0.2

 

—

 

1.8

 

—

 

2.0

 

—

 

Corporate

 

199.6

 

(1.5

)

4.4

 

(38.8

)

28.8

 

(2.8

)

189.7

 

(1.0

)

Collateralized debt obligations

 

77.6

 

(3.5

)

7.1

 

(0.2

)

—

 

(4.2

)

76.8

 

—

 

Other debt obligations

 

5.1

 

—

 

2.0

 

(0.5

)

9.3

 

—

 

15.9

 

—

 

Total fixed maturities, available-for-sale

 

321.9

 

(5.0

)

13.7

 

(33.2

)

39.9

 

(7.0

)

330.3

 

(1.0

)

Fixed maturities, trading

 

185.7

 

5.1

 

—

 

—

 

—

 

—

 

190.8

 

5.0

 

Equity securities, available-for-sale

 

17.1

 

—

 

(0.4

)

—

 

—

 

—

 

16.7

 

—

 

Derivative assets

 

58.8

 

10.7

 

—

 

0.5

 

—

 

—

 

70.0

 

12.6

 

Other investments

 

83.6

 

(0.1

)

—

 

30.7

 

—

 

—

 

114.2

 

(0.1

)

Separate account assets (2)

 

4,440.5

 

106.0

 

—

 

(26.6

)

—

 

—

 

4,519.9

 

105.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(179.4

)

(37.0

)

(0.1

)

(5.2

)

—

 

—

 

(221.7

)

(37.6

)

Derivative liabilities

 

(147.1

)

19.6

 

0.5

 

7.3

 

—

 

—

 

(119.7

)

19.3

 

Other liabilities (3)

 

(33.6

)

(14.7

)

—

 

—

 

—

 

—

 

(48.3

)

(14.7

)

 

 

 

For the nine months ended September 30, 2013

 

Changes in

 

 

 

Beginning

 

 

 

 

 

Net

 

 

 

 

 

Ending

 

unrealized

 

 

 

asset/

 

Total realized/unrealized

 

purchases,

 

 

 

 

 

asset/

 

gains (losses)

 

 

 

(liability)

 

gains (losses)

 

sales,

 

 

 

 

 

(liability)

 

included in

 

 

 

balance

 

Included

 

Included in

 

issuances

 

 

 

 

 

balance

 

net income

 

 

 

as of

 

in net

 

other

 

and

 

Transfers

 

Transfers

 

as of

 

relating to

 

 

 

December 31,

 

income

 

comprehensive

 

settlements

 

into

 

out of

 

September 30,

 

positions still

 

 

 

2013

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2013

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

44.3

 

$

(0.1

)

$

(0.8

)

$

4.4

 

$

—

 

$

—

 

$

47.8

 

$

(0.1

)

States and political subdivisions

 

1.9

 

—

 

—

 

(0.1

)

—

 

—

 

1.8

 

—

 

Corporate

 

174.5

 

(4.9

)

(7.0

)

(25.3

)

105.3

 

(79.6

)

163.0

 

(2.0

)

Collateralized debt obligations

 

77.6

 

2.1

 

7.4

 

(56.0

)

31.7

 

(24.8

)

38.0

 

—

 

Other debt obligations

 

14.7

 

(0.3

)

3.0

 

12.7

 

17.2

 

—

 

47.3

 

(0.3

)

Total fixed maturities, available-for-sale

 

313.0

 

(3.2

)

2.6

 

(64.3

)

154.2

 

(104.4

)

297.9

 

(2.4

)

Fixed maturities, trading

 

166.8

 

6.0

 

—

 

0.1

 

—

 

—

 

172.9

 

6.1

 

Equity securities, available-for-sale

 

15.3

 

—

 

1.9

 

—

 

—

 

—

 

17.2

 

—

 

Derivative assets

 

75.1

 

(21.3

)

—

 

3.7

 

—

 

—

 

57.5

 

(21.6

)

Other investments

 

113.9

 

7.1

 

—

 

19.5

 

—

 

—

 

140.5

 

7.1

 

Separate account assets (2)

 

4,616.0

 

427.2

 

—

 

(108.1

)

12.7

 

(6.5

)

4,941.3

 

406.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(170.5

)

111.2

 

—

 

10.0

 

—

 

—

 

(49.3

)

109.2

 

Derivative liabilities

 

(102.6

)

44.4

 

(0.2

)

8.4

 

—

 

—

 

(50.0

)

43.8

 

Other liabilities (3)

 

(39.6

)

(27.5

)

—

 

—

 

—

 

—

 

(67.1

)

(27.5

)

 

 

 

For the nine months ended September 30, 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

Beginning

 

 

 

Net

 

 

 

 

 

Ending

 

unrealized

 

 

 

asset/

 

Total realized/unrealized

 

purchases,

 

 

 

 

 

asset/

 

gains (losses)

 

 

 

(liability)

 

gains (losses)

 

sales,

 

 

 

 

 

(liability)

 

included in

 

 

 

balance

 

Included

 

Included in

 

issuances

 

 

 

 

 

balance

 

net income

 

 

 

as of

 

in net

 

other

 

and

 

Transfers

 

Transfers

 

as of

 

relating to

 

 

 

December 31,

 

income

 

comprehensive

 

settlements

 

into

 

out of

 

September 30,

 

positions still

 

 

 

2011

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2012

 

held (1)

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

22.9

 

$

—

 

$

—

 

$

8.5

 

$

14.5

 

$

—

 

$

45.9

 

$

—

 

States and political subdivisions

 

—

 

—

 

0.2

 

—

 

1.8

 

—

 

2.0

 

—

 

Corporate

 

297.0

 

(6.9

)

13.4

 

(70.3

)

54.8

 

(98.3

)

189.7

 

(3.0

)

Collateralized debt obligations

 

102.5

 

(3.7

)

4.1

 

5.1

 

—

 

(31.2

)

76.8

 

(0.2

)

Other debt obligations

 

27.3

 

(2.2

)

1.3

 

(25.8

)

15.3

 

—

 

15.9

 

(2.2

)

Total fixed maturities, available-for-sale

 

449.7

 

(12.8

)

19.0

 

(82.5

)

86.4

 

(129.5

)

330.3

 

(5.4

)

Fixed maturities, trading

 

220.8

 

3.6

 

—

 

(43.1

)

9.5

 

—

 

190.8

 

4.3

 

Equity securities, available-for-sale

 

18.0

 

—

 

(1.3

)

—

 

—

 

—

 

16.7

 

—

 

Derivative assets

 

60.2

 

6.9

 

—

 

2.9

 

—

 

—

 

70.0

 

8.0

 

Other investments

 

97.5

 

(0.8

)

—

 

17.5

 

—

 

—

 

114.2

 

(0.8

)

Separate account assets (2)

 

4,198.2

 

318.4

 

0.3

 

3.2

 

1.6

 

(1.8

)

4,519.9

 

307.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(195.8

)

(14.6

)

(0.1

)

(11.2

)

—

 

—

 

(221.7

)

(16.8

)

Derivative liabilities

 

(177.1

)

32.4

 

0.7

 

24.3

 

—

 

—

 

(119.7

)

34.9

 

Other liabilities (3)

 

(24.2

)

(24.1

)

—

 

—

 

—

 

—

 

(48.3

)

(24.1

)

 

 

(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 three months ended September 30, 2013

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

3.7

 

$

—

 

$

—

 

$

(0.3

)

$

3.4

 

Corporate

 

18.2

 

(0.7

)

—

 

(0.4

)

17.1

 

Other debt obligations

 

15.0

 

—

 

—

 

(1.4

)

13.6

 

Total fixed maturities, available-for-sale

 

36.9

 

(0.7

)

—

 

(2.1

)

34.1

 

Fixed maturities, trading

 

—

 

—

 

—

 

0.1

 

0.1

 

Derivative assets

 

—

 

(0.4

)

—

 

—

 

(0.4

)

Other investments

 

25.7

 

—

 

—

 

(3.5

)

22.2

 

Separate account assets (5)

 

33.6

 

(54.7

)

(1.4

)

(11.2

)

(33.7

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

5.4

 

1.9

 

7.3

 

Derivative liabilities

 

—

 

5.6

 

—

 

—

 

5.6

 

 

 

 

For the three months ended September 30, 2012

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

6.5

 

$

—

 

$

—

 

$

(0.2

)

$

6.3

 

Corporate

 

3.1

 

(34.1

)

—

 

(7.8

)

(38.8

)

Collateralized debt obligations

 

—

 

(0.3

)

—

 

0.1

 

(0.2

)

Other debt obligations

 

—

 

—

 

—

 

(0.5

)

(0.5

)

Total fixed maturities, available-for-sale

 

9.6

 

(34.4

)

—

 

(8.4

)

(33.2

)

Derivative assets

 

0.5

 

—

 

—

 

—

 

0.5

 

Other investments

 

33.3

 

—

 

—

 

(2.6

)

30.7

 

Separate account assets (5)

 

42.6

 

(72.9

)

(57.8

)

61.5

 

(26.6

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

(6.7

)

1.5

 

(5.2

)

Derivative liabilities

 

(1.9

)

9.2

 

—

 

—

 

7.3

 

 

 

 

For the nine months ended September 30, 2013

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. government

 

$

9.2

 

$

(3.9

)

$

—

 

$

(0.9

)

$

4.4

 

States and political subdivisions

 

—

 

—

 

—

 

(0.1

)

(0.1

)

Corporate

 

29.6

 

(32.4

)

—

 

(22.5

)

(25.3

)

Collateralized debt obligations

 

17.0

 

(47.4

)

—

 

(25.6

)

(56.0

)

Other debt obligations

 

15.0

 

—

 

—

 

(2.3

)

12.7

 

Total fixed maturities, available-for-sale

 

70.8

 

(83.7

)

—

 

(51.4

)

(64.3

)

Fixed maturities, trading

 

—

 

—

 

—

 

0.1

 

0.1

 

Derivative assets

 

7.2

 

(3.5

)

—

 

—

 

3.7

 

Other investments

 

28.3

 

—

 

—

 

(8.8

)

19.5

 

Separate account assets (5)

 

143.2

 

(223.4

)

(7.6

)

(20.3

)

(108.1

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

5.6

 

4.4

 

10.0

 

Derivative liabilities

 

(3.1

)

11.5

 

—

 

—

 

8.4

 

 

 

 

For the nine months ended September 30, 2012

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. government

 

$

13.2

 

$

(3.9

)

$

—

 

$

(0.8

)

$

8.5

 

Corporate

 

21.2

 

(80.7

)

—

 

(10.8

)

(70.3

)

Collateralized debt obligations

 

5.1

 

(0.3

)

—

 

0.3

 

5.1

 

Other debt obligations

 

—

 

—

 

—

 

(25.8

)

(25.8

)

Total fixed maturities, available-for-sale

 

39.5

 

(84.9

)

—

 

(37.1

)

(82.5

)

Fixed maturities, trading

 

—

 

(0.9

)

—

 

(42.2

)

(43.1

)

Derivative assets

 

3.7

 

(0.8

)

—

 

—

 

2.9

 

Other investments

 

33.3

 

—

 

—

 

(15.8

)

17.5

 

Separate account assets (5)

 

211.1

 

(191.9

)

(204.1

)

188.1

 

3.2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

(14.8

)

3.6

 

(11.2

)

Derivative liabilities

 

(3.6

)

27.9

 

—

 

—

 

24.3

 

 

 

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

 
Transfers (Table)

 

 

 

 

For the three months ended September 30, 2013

 

 

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

 

 

of Level 1 into

 

of Level 1 into

 

of Level 2 into

 

of Level 2 into

 

of Level 3 into

 

of Level 3 into

 

 

 

Level 2

 

Level 3

 

Level 1

 

Level 3

 

Level 1

 

Level 2

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate

 

$

—

 

$

—

 

$

—

 

$

4.7

 

$

—

 

$

29.5

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 

2.6

 

Other debt obligations

 

—

 

—

 

—

 

15.0

 

—

 

—

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

19.7

 

—

 

32.1

 

Separate account assets

 

7.1

 

—

 

6.9

 

4.9

 

—

 

6.3

 

 

 

 

For the three months ended September 30, 2012

 

 

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

 

 

of Level 1 into

 

of Level 1 into

 

of Level 2 into

 

of Level 2 into

 

of Level 3 into

 

of Level 3 into

 

 

 

Level 2

 

Level 3

 

Level 1

 

Level 3

 

Level 1

 

Level 2

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

States and political subdivisions

 

$

—

 

$

—

 

$

—

 

$

1.8

 

$

—

 

$

—

 

Corporate

 

—

 

—

 

—

 

28.8

 

—

 

2.8

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 

4.2

 

Other debt obligations

 

—

 

—

 

—

 

9.3

 

—

 

—

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

39.9

 

—

 

7.0

 

Separate account assets

 

7.8

 

—

 

0.3

 

—

 

—

 

—

 

 

 

 

For the nine months ended September 30, 2013

 

 

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

 

 

of Level 1 into

 

of Level 1 into

 

of Level 2 into

 

of Level 2 into

 

of Level 3 into

 

of Level 3 into

 

 

 

Level 2

 

Level 3

 

Level 1

 

Level 3

 

Level 1

 

Level 2

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate

 

$

—

 

$

—

 

$

—

 

$

105.3

 

$

—

 

$

79.6

 

Collateralized debt obligations

 

—

 

—

 

—

 

31.7

 

—

 

24.8

 

Other debt obligations

 

—

 

—

 

—

 

17.2

 

—

 

—

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

154.2

 

—

 

104.4

 

Separate account assets

 

250.9

 

0.1

 

11.7

 

12.6

 

—

 

6.5

 

 

 

 

For the nine months ended September 30, 2012

 

 

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

Transfers out

 

 

 

of Level 1 into

 

of Level 1 into

 

of Level 2 into

 

of Level 2 into

 

of Level 3 into

 

of Level 3 into

 

 

 

Level 2

 

Level 3

 

Level 1

 

Level 3

 

Level 1

 

Level 2

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

—

 

$

—

 

$

—

 

$

14.5

 

$

—

 

$

—

 

States and political subdivisions

 

—

 

—

 

—

 

1.8

 

—

 

—

 

Corporate

 

—

 

—

 

—

 

54.8

 

—

 

98.3

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 

31.2

 

Other debt obligations

 

—

 

—

 

—

 

15.3

 

—

 

—

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

86.4

 

—

 

129.5

 

Fixed maturities, trading

 

—

 

—

 

—

 

9.5

 

—

 

—

 

Separate account assets

 

3,230.6

 

0.3

 

0.3

 

1.3

 

—

 

1.8

 

 
Quantitative Information about Level 3 Fair Value Measurements (Table)

 

 

 

 

As of September 30, 2013

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

12.1

 

Discounted cash flow

 

Discount rate (1)

 

2.3%

 

2.3

%

Corporate

 

50.2

 

Discounted cash flow

 

Discount rate (1)

 

2.0%-8.2%

 

3.8

%

 

 

 

 

 

 

Earnings before interest, taxes, depreciation and amortization multiple

 

0x-4.5x

 

0.4x

 

 

 

 

 

 

 

Probability of default

 

0%-100%

 

7.9

%

 

 

 

 

 

 

Potential loss severity

 

0%-17%

 

1.3

%

 

 

 

 

 

 

Illiquidity premium

 

0 basis points (“bps”)-50bps

 

31bps

 

Collateralized debt obligations

 

13.6

 

Discounted cash flow

 

Discount rate (1)

 

1.6%

 

1.6

%

 

 

 

 

 

 

Illiquidity premium

 

400bps

 

400bps

 

Other debt obligations

 

16.1

 

Discounted cash flow

 

Discount rate (1)

 

7.3%-15.0%

 

11.4

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-50bps

 

23bps

 

Fixed maturities, trading

 

40.0

 

Discounted cash flow

 

Discount rate (1)

 

1.7%-82.7%

 

4.5

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-1,400bps

 

350bps

 

 

 

110.4

 

See note (2)

 

 

 

 

 

 

 

 

 

 

As of September 30, 2013

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Other investments

 

72.6

 

Discounted cash flow - commercial mortgage loans of consolidated VIEs

 

Discount rate (1)

 

4.3%

 

4.3%

 

 

 

 

 

 

 

Illiquidity premium

 

155bps

 

155bps

 

 

 

67.9

 

Discounted cash flow - equity method real estate investments

 

Discount rate (1)

 

8.0%-8.4%

 

8.2%

 

 

 

 

 

 

 

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

 

42.8%-60.6%

 

51.7%

 

 

 

 

 

 

 

Credit spread rate

 

1.5%-2.0%

 

1.8%

 

Separate account assets

 

4,780.1

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

0.7%-7.9%

 

3.6%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-50bps

 

13bps

 

 

 

 

 

 

 

Credit spread rate

 

51bps-700bps

 

254bps

 

 

 

 

 

Discounted cash flow - real estate

 

Discount rate (1)

 

6.0%-16.0%

 

7.8%

 

 

 

 

 

 

 

Terminal capitalization rate

 

4.5%-9.0%

 

6.7%

 

 

 

 

 

 

 

Average market rent growth rate

 

1.9%-5.0%

 

3.3%

 

 

 

 

 

Discounted cash flow - real estate debt

 

Loan to value

 

13.6%-69.6%

 

51.9%

 

 

 

 

 

 

 

Credit spread rate

 

1.6%-4.9%

 

3.3%

 

 

 

 

As of September 30, 2013

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(49.3

)

Discounted cash flow

 

Long duration interest rate

 

3.5%-3.7% (3)

 

 

 

 

 

 

 

 

 

Long-term equity market volatility

 

15.0%-39.8%

 

 

 

 

 

 

 

 

 

Non-performance risk

 

0.2%-1.3%

 

 

 

 

 

 

 

 

 

Utilization rate

 

See note (4)

 

 

 

 

 

 

 

 

 

Lapse rate

 

0.5%-14.6%

 

 

 

 

 

 

 

 

 

Mortality rate

 

See note (5)

 

 

 

Derivative liabilities

 

(27.7

)

See note (2)

 

 

 

 

 

 

 

Other liabilities

 

(67.1

)

See note (2)

 

 

 

 

 

 

 

 

 

 

As of December 31, 2012

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

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

 

 

 

 

As of December 31, 2012

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

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%

 

 

 

 

As of December 31, 2012

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

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)

 

 

 

 

September 30, 2013

 

 

 

 

 

 

 

Fair value hierarchy level

 

 

 

Carrying amount

 

Fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets (liabilities)

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

$

11,868.1

 

$

12,190.9

 

$

—

 

$

—

 

$

12,190.9

 

Policy loans

 

859.6

 

988.6

 

—

 

—

 

988.6

 

Other investments

 

183.4

 

184.2

 

—

 

136.3

 

47.9

 

Cash and cash equivalents

 

1,117.1

 

1,117.1

 

1,117.1

 

—

 

—

 

Investments-type insurance contracts

 

(30,394.9

)

(30,627.9

)

—

 

(6,396.7

)

(24,231.2

)

Short-term debt

 

(175.5

)

(175.5

)

—

 

(175.5

)

—

 

Long-term debt

 

(2,593.3

)

(2,721.9

)

—

 

(2,677.0

)

(44.9

)

Separate account liabilities

 

(113,916.9

)

(112,489.0

)

—

 

—

 

(112,489.0

)

Bank deposits

 

(1,898.6

)

(1,901.7

)

(1,184.0

)

(717.7

)

—

 

Cash collateral payable

 

(30.0

)

(30.0

)

(30.0

)

—

 

—

 

 

 

 

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

)

—

 

—