XML 45 R28.htm IDEA: XBRL DOCUMENT v2.4.0.8
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2014
Fair Value Measurements  
Fair Value (Table)

 

 

 

As of March 31, 2014

 

 

 

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

 

$

780.5

 

$

426.9

 

$

353.6

 

$

—

 

Non-U.S. governments

 

1,024.6

 

—

 

974.5

 

50.1

 

States and political subdivisions

 

3,973.1

 

—

 

3,971.3

 

1.8

 

Corporate

 

32,623.8

 

41.2

 

32,416.6

 

166.0

 

Residential mortgage-backed securities

 

2,900.9

 

—

 

2,900.9

 

—

 

Commercial mortgage-backed securities

 

4,087.1

 

—

 

4,079.4

 

7.7

 

Collateralized debt obligations

 

380.9

 

—

 

350.5

 

30.4

 

Other debt obligations

 

4,277.2

 

—

 

4,229.5

 

47.7

 

Total fixed maturities, available-for-sale

 

50,048.1

 

468.1

 

49,276.3

 

303.7

 

Fixed maturities, trading

 

575.3

 

—

 

400.7

 

174.6

 

Equity securities, available-for-sale

 

136.1

 

49.4

 

69.1

 

17.6

 

Equity securities, trading

 

724.2

 

112.5

 

611.7

 

—

 

Derivative assets (1)

 

608.0

 

—

 

542.9

 

65.1

 

Other investments (2)

 

371.0

 

6.9

 

230.5

 

133.6

 

Cash equivalents (3)

 

581.3

 

—

 

581.3

 

—

 

Sub-total excluding separate account assets

 

53,044.0

 

636.9

 

51,712.5

 

694.6

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 

132,804.6

 

69,771.1

 

57,692.5

 

5,341.0

 

Total assets

 

$

185,848.6

 

$

70,408.0

 

$

109,405.0

 

$

6,035.6

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts (4)

 

$

(25.8

)

$

—

 

$

—

 

$

(25.8

)

Derivative liabilities (1)

 

(906.9

)

—

 

(872.5

)

(34.4

)

Other liabilities (4)

 

(326.0

)

—

 

(250.1

)

(75.9

)

Total liabilities

 

$

(1,258.7

)

$

—

 

$

(1,122.6

)

$

(136.1

)

 

 

 

 

 

 

 

 

 

 

Net assets

 

$

184,589.9

 

$

70,408.0

 

$

108,282.4

 

$

5,899.5

 

 

 

 

As of December 31, 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

 

$

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

 

$

181,297.6

 

$

67,814.7

 

$

107,597.4

 

$

5,885.5

 

 

 

(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 4, 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 March 31, 2014

 

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

 

 

 

December 31,

 

net income

 

comprehensive

 

settlements

 

into

 

out of

 

March 31,

 

positions still

 

 

 

2013

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2014

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

47.5

 

$

—

 

$

(0.3

)

$

2.9

 

$

—

 

$

—

 

$

50.1

 

$

—

 

States and political subdivisions

 

1.8

 

—

 

—

 

—

 

—

 

—

 

1.8

 

—

 

Corporate

 

164.0

 

(0.1

)

(0.1

)

1.7

 

0.5

 

—

 

166.0

 

(0.1

)

Commercial mortgage-backed securities

 

1.6

 

(0.7

)

1.2

 

(0.5

)

6.1

 

—

 

7.7

 

(0.8

)

Collateralized debt obligations

 

37.8

 

—

 

0.1

 

—

 

—

 

(7.5

)

30.4

 

—

 

Other debt obligations

 

84.1

 

—

 

0.4

 

(7.1

)

—

 

(29.7

)

47.7

 

—

 

Total fixed maturities, available-for-sale

 

336.8

 

(0.8

)

1.3

 

(3.0

)

6.6

 

(37.2

)

303.7

 

(0.9

)

Fixed maturities, trading

 

169.9

 

4.7

 

—

 

—

 

—

 

—

 

174.6

 

4.6

 

Equity securities, available-for-sale

 

16.9

 

—

 

0.7

 

—

 

—

 

—

 

17.6

 

—

 

Derivative assets

 

74.2

 

(9.1

)

—

 

—

 

—

 

—

 

65.1

 

(9.1

)

Other investments

 

142.9

 

(0.4

)

—

 

(8.9

)

—

 

—

 

133.6

 

(0.5

)

Separate account assets (2)

 

5,265.2

 

102.2

 

(0.1

)

(22.5

)

2.0

 

(5.8

)

5,341.0

 

102.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(6.9

)

(27.5

)

—

 

8.6

 

—

 

—

 

(25.8

)

(27.4

)

Derivative liabilities

 

(39.6

)

4.9

 

0.3

 

—

 

—

 

—

 

(34.4

)

4.9

 

Other liabilities (3)

 

(73.9

)

(2.0

)

—

 

—

 

—

 

—

 

(75.9

)

(2.0

)

 

 

 

For the three months ended March 31, 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

 

Included in

 

issuances

 

 

 

 

 

balance

 

net income

 

 

 

as of

 

net

 

other

 

and

 

Transfers

 

Transfers

 

as of

 

relating to

 

 

 

December 31,

 

income

 

comprehensive

 

settlements

 

into

 

out of

 

March 31,

 

positions still

 

 

 

2012

 

(1)

 

income

 

(4)

 

Level 3

 

Level 3

 

2013

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

44.3

 

$

—

 

$

0.3

 

$

(4.2

)

$

—

 

$

—

 

$

40.4

 

$

—

 

States and political subdivisions

 

1.9

 

—

 

—

 

—

 

—

 

—

 

1.9

 

—

 

Corporate

 

174.5

 

(3.1

)

(10.1

)

(17.6

)

47.5

 

(23.6

)

167.6

 

(3.1

)

Collateralized debt obligations

 

77.6

 

2.1

 

7.1

 

(33.0

)

21.4

 

—

 

75.2

 

—

 

Other debt obligations

 

14.7

 

—

 

1.7

 

(0.5

)

—

 

—

 

15.9

 

—

 

Total fixed maturities, available-for-sale

 

313.0

 

(1.0

)

(1.0

)

(55.3

)

68.9

 

(23.6

)

301.0

 

(3.1

)

Fixed maturities, trading

 

166.8

 

2.7

 

—

 

—

 

—

 

—

 

169.5

 

2.8

 

Equity securities, available-for-sale

 

15.3

 

—

 

0.8

 

—

 

—

 

—

 

16.1

 

—

 

Derivative assets

 

75.1

 

(11.5

)

—

 

3.6

 

—

 

—

 

67.2

 

(11.0

)

Other investments

 

113.9

 

(0.6

)

—

 

(2.4

)

—

 

—

 

110.9

 

(0.6

)

Separate account assets (2)

 

4,616.0

 

119.0

 

(0.2

)

(77.0

)

1.4

 

—

 

4,659.2

 

117.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(170.5

)

51.7

 

—

 

1.0

 

—

 

—

 

(117.8

)

50.9

 

Derivative liabilities

 

(102.6

)

25.8

 

0.3

 

0.9

 

—

 

—

 

(75.6

)

25.7

 

Other liabilities (3)

 

(39.6

)

(14.6

)

—

 

—

 

—

 

—

 

(54.2

)

(14.6

)

 

 

(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 March 31, 2014

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

3.2

 

$

—

 

$

—

 

$

(0.3

)

$

2.9

 

Corporate

 

7.6

 

(5.9

)

—

 

—

 

1.7

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

(0.5

)

(0.5

)

Other debt obligations

 

—

 

—

 

—

 

(7.1

)

(7.1

)

Total fixed maturities, available-for-sale

 

10.8

 

(5.9

)

—

 

(7.9

)

(3.0

)

Other investments

 

—

 

—

 

—

 

(8.9

)

(8.9

)

Separate account assets (5)

 

78.3

 

(80.2

)

(53.4

)

32.8

 

(22.5

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

7.1

 

1.5

 

8.6

 

 

 

 

For the three months ended March 31, 2013

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

—

 

$

(3.9

)

$

—

 

$

(0.3

)

$

(4.2

)

Corporate

 

4.2

 

(9.4

)

—

 

(12.4

)

(17.6

)

Collateralized debt obligations

 

—

 

(32.4

)

—

 

(0.6

)

(33.0

)

Other debt obligations

 

—

 

—

 

—

 

(0.5

)

(0.5

)

Total fixed maturities, available-for-sale

 

4.2

 

(45.7

)

—

 

(13.8

)

(55.3

)

Derivative assets

 

6.7

 

(3.1

)

—

 

—

 

3.6

 

Other investments

 

0.2

 

—

 

—

 

(2.6

)

(2.4

)

Separate account assets (5)

 

66.5

 

(136.8

)

(4.5

)

(2.2

)

(77.0

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 

(0.3

)

1.3

 

1.0

 

Derivative liabilities

 

(1.6

)

2.5

 

—

 

—

 

0.9

 

 

 

(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 March 31, 2014

 

 

 

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

 

$

—

 

$

—

 

$

—

 

$

0.5

 

$

—

 

$

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

6.1

 

—

 

—

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 

7.5

 

Other debt obligations

 

—

 

—

 

—

 

—

 

—

 

29.7

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

6.6

 

—

 

37.2

 

Separate account assets

 

3.7

 

—

 

53.2

 

2.0

 

—

 

5.8

 

 

 

 

For the three months ended March 31, 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

 

$

—

 

$

—

 

$

—

 

$

47.5

 

$

—

 

$

23.6

 

Collateralized debt obligations

 

—

 

—

 

—

 

21.4

 

—

 

—

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 

68.9

 

—

 

23.6

 

Separate account assets

 

243.4

 

—

 

4.6

 

1.4

 

—

 

—

 
Quantitative Information about Level 3 Fair Value Measurements (Table)

 

 

 

As of March 31, 2014

 

 

 

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

 

$

11.3

 

Discounted cash flow

 

Discount rate (1)

 

2.1%

 

2.1

%

 

 

 

 

 

 

Illiquidity premium

 

50 basis points (“bps”)

 

50bps

 

Corporate

 

76.3

 

Discounted cash flow

 

Discount rate (1)

 

1.7%-9.8%

 

5.3

%

 

 

 

 

 

 

Earnings before interest, taxes, depreciation and amortization multiple

 

0x-5.0x

 

0.4x

 

 

 

 

 

 

 

Comparability adjustment

 

0bps-125bps

 

38bps

 

 

 

 

 

 

 

Potential loss severity

 

0%-16%

 

4.8

%

 

 

 

 

 

 

Probability of default

 

0%-25%

 

7.6

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-25bps

 

14bps

 

Commercial mortgage-backed securities

 

6.1

 

Discounted cash flow

 

Discount rate (1)

 

1.5%-13.0%

 

11.0

%

Collateralized debt obligations

 

13.8

 

Discounted cash flow

 

Discount rate (1)

 

1.3%

 

1.3

%

 

 

 

 

 

 

Illiquidity premium

 

400bps

 

400bps

 

Other debt obligations

 

33.0

 

Discounted cash flow

 

Discount rate (1)

 

2.0%-15.0%

 

6.3

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-50bps

 

10bps

 

Fixed maturities, trading

 

40.8

 

Discounted cash flow

 

Discount rate (1)

 

1.4%-79.9%

 

3.1

%

 

 

110.4

 

 

 

Illiquidity premium

 

0bps-1,400bps

 

340bps

 

 

 

 

 

See note (2)

 

 

 

 

 

 

 

Other investments

 

57.9

 

Discounted cash flow - commercial mortgage loans of consolidated VIEs

 

Discount rate (1)

 

4.3%

 

4.3

%

 

 

 

 

 

 

Illiquidity premium

 

191bps

 

191bps

 

 

 

75.6

 

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

 

39.9%-61.5%

 

50.7

%

 

 

 

 

 

 

Credit spread rate

 

1.8%-2.0%

 

1.9

%

Separate account assets

 

5,164.9

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

0.6%-5.4%

 

3.2

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 

11bps

 

 

 

 

 

 

 

Credit spread rate

 

53bps-480bps

 

217bps

 

 

 

 

 

Discounted cash flow - real estate

 

Discount rate (1)

 

6.0%-22.8%

 

7.6

%

 

 

 

 

 

 

Terminal capitalization rate

 

4.5%-9.0%

 

6.6

%

 

 

 

 

 

 

Average market rent growth rate

 

1.4%-5.0%

 

3.2

%

 

 

 

 

Discounted cash flow - real estate debt

 

Loan to value

 

10.7%-66.8%

 

50.3

%

 

 

 

 

 

 

Credit spread rate

 

1.6%-4.9%

 

3.2

%

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

(25.8

)

Discounted cash flow

 

Long duration interest rate

 

3.5% (3)

 

 

 

 

 

 

 

 

 

Long-term equity market volatility

 

15.0%-39.0%

 

 

 

 

 

 

 

 

 

Non-performance risk

 

0.2%-1.1%

 

 

 

 

 

 

 

 

 

Utilization rate

 

See note (4)

 

 

 

 

 

 

 

 

 

Lapse rate

 

0.5%-14.6%

 

 

 

 

 

 

 

 

 

Mortality rate

 

See note (5)

 

 

 

Derivative liabilities

 

(17.8

)

See note (2)

 

 

 

 

 

 

 

Other liabilities

 

(75.9

)

See note (2)

 

 

 

 

 

 

 

 

 

 

As of December 31, 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

 

$

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

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-25bps

 

15bps

 

 

 

 

 

 

 

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

%

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 investment

 

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)

 

 

 

 

 

 

 

 

 

(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)

 

 

 

March 31, 2014

 

 

 

 

 

 

 

Fair value hierarchy level

 

 

 

Carrying amount

 

Fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets (liabilities)

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

$

11,478.4

 

$

11,795.6

 

$

—

 

$

—

 

$

11,795.6

 

Policy loans

 

843.8

 

995.1

 

—

 

—

 

995.1

 

Other investments

 

183.9

 

184.6

 

—

 

156.5

 

28.1

 

Cash and cash equivalents

 

811.8

 

811.8

 

811.8

 

—

 

—

 

Investments-type insurance contracts

 

(29,602.0

)

(29,764.4

)

—

 

(5,708.5

)

(24,055.9

)

Short-term debt

 

(148.8

)

(148.8

)

—

 

(148.8

)

—

 

Long-term debt

 

(2,516.0

)

(2,677.9

)

—

 

(2,610.8

)

(67.0

)

Separate account liabilities

 

(122,037.3

)

(120,613.8

)

—

 

—

 

(120,613.8

)

Bank deposits

 

(1,909.9

)

(1,917.7

)

(1,241.6

)

(676.1

)

—

 

Cash collateral payable

 

(37.6

)

(37.6

)

(37.6

)

—

 

—

 

 

 

 

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

)

—

 

—