Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2015

	June 30, 2015
	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	$	1,316.3		$	840.9	$	475.4		$	—
Non-U.S. governments	799.3			3.3		750.4			45.6
States and political subdivisions	4,278.4			—		4,278.4			—
Corporate	30,823.7			38.8		30,557.9			227.0
Residential mortgage-backed securities	2,666.5			—		2,666.5			—
Commercial mortgage-backed securities	3,875.2			—		3,875.2			—
Collateralized debt obligations	642.0			—		578.7			63.3
Other debt obligations	4,548.3			—		4,506.9			41.4

Total fixed maturities, available-for-sale	48,949.7			883.0		47,689.4			377.3
Fixed maturities, trading	560.3			—		420.5			139.8
Equity securities, available-for-sale	176.1			83.7		88.3			4.1
Equity securities, trading	891.8			108.6		783.2			—
Derivative assets (1)	589.6			—		544.5			45.1
Other investments (2)	458.5			2.9		425.9			29.7
Cash equivalents (3)	1,441.0			—		1,441.0			—

Sub-total excluding separate account assets	53,067.0			1,078.2		51,392.8			596.0

Separate account assets	142,993.6			75,310.0		61,277.6			6,406.0

Total assets	$	196,060.6		$	76,388.2	$	112,670.4		$	7,002.0


Liabilities
Investment-type insurance contracts (4)	$	(117.0	)	$	—	$	—		$	(117.0	)
Derivative liabilities (1)	(790.6		)	—		(753.6		)	(37.0		)
Other liabilities (4)	(303.7		)	—		(236.2		)	(67.5		)

Total liabilities	$	(1,211.3	)	$	—	$	(989.8	)	$	(221.5	)


Net assets	$	194,849.3		$	76,388.2	$	111,680.6		$	6,780.5

	December 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	$	1,121.8		$	720.5	$	401.3		$	—
Non-U.S. governments	891.1			—		852.4			38.7
States and political subdivisions	4,204.0			—		4,204.0			—
Corporate	31,535.0			40.3		31,249.1			245.6
Residential mortgage-backed securities	2,822.9			—		2,822.9			—
Commercial mortgage-backed securities	3,975.5			—		3,975.5			—
Collateralized debt obligations	504.1			—		439.9			64.2
Other debt obligations	4,616.4			—		4,552.7			63.7

Total fixed maturities, available-for-sale	49,670.8			760.8		48,497.8			412.2
Fixed maturities, trading	604.6			—		464.9			139.7
Equity securities, available-for-sale	123.0			64.2		54.7			4.1
Equity securities, trading	840.2			105.9		734.3			—
Derivative assets (1)	661.8			—		608.1			53.7
Other investments (2)	478.9			3.3		348.4			127.2
Cash equivalents (3)	1,041.7			—		1,041.7			—

Sub-total excluding separate account assets	53,421.0			934.2		51,749.9			736.9

Separate account assets	140,072.8			73,363.4		60,818.0			5,891.4

Total assets	$	193,493.8		$	74,297.6	$	112,567.9		$	6,628.3


Liabilities
Investment-type insurance contracts (4)	$	(176.4	)	$	—	$	—		$	(176.4	)
Derivative liabilities (1)	(791.8		)	—		(756.3		)	(35.5		)
Other liabilities (4)	(310.1		)	—		(243.8		)	(66.3		)

Total liabilities	$	(1,278.3	)	$	—	$	(1,000.1	)	$	(278.2	)


Net assets	$	192,215.5		$	74,297.6	$	111,567.8		$	6,350.1

(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, other investment funds, 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 June 30, 2015
				Total realized/unrealized																	Changes in
	Beginning			gains (losses)						Net								Ending			unrealized
	asset/									purchases,								asset/			gains (losses)
	(liability)									sales,								(liability)			included in
	balance						Included in			issuances								balance			net income
	as of			Included in			other			and			Transfers		Transfers			as of			relating to
	March 31,			net income			comprehensive			settlements			into		out of			June 30,			positions still
	2015			(1)			income			(4)			Level 3		Level 3			2015			held (1)
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	40.6		$	(0.1	)	$	(0.2	)	$	5.3		$	—	$	—		$	45.6		$	(0.1	)
Corporate	237.0			—			(4.6		)	7.7			6.7		(19.8		)	227.0			(0.1		)
Collateralized debt obligations	63.6			(0.1		)	—			(0.2		)	—		—			63.3			—
Other debt obligations	55.3			—			(0.6		)	(3.4		)	—		(9.9		)	41.4			—

Total fixed maturities, available-for-sale	396.5			(0.2		)	(5.4		)	9.4			6.7		(29.7		)	377.3			(0.2		)
Fixed maturities, trading	140.2			(0.5		)	—			0.1			—		—			139.8			(0.5		)
Equity securities, available-for-sale	4.1			—			—			—			—		—			4.1			—
Derivative assets	60.2			(15.0		)	—			(0.1		)	—		—			45.1			(15.0		)
Other investments	28.6			0.2			—			0.9			—		—			29.7			0.2
Separate account assets (2)	6,030.6			239.2			—			136.3			—		(0.1		)	6,406.0			240.8

Liabilities
Investment-type insurance contracts	(228.7		)	108.6			—			3.1			—		—			(117.0		)	107.0
Derivative liabilities	(50.8		)	12.9			0.9			—			—		—			(37.0		)	12.8
Other liabilities (3)	(65.3		)	(2.2		)	—			—			—		—			(67.5		)	(2.2		)

	For the three months ended June 30, 2014
				Total realized/unrealized																	Changes in
	Beginning			gains (losses)						Net								Ending			unrealized
	asset/									purchases,								asset/			gains (losses)
	(liability)									sales,								(liability)			included in
	balance			Included in			Included in			issuances								balance			net income
	as of			net			other			and			Transfers		Transfers			as of			relating to
	March 31,			income			comprehensive			settlements			into		out of			June 30,			positions still
	2014			(1)			income			(4)			Level 3		Level 3			2014			held (1)
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	50.1		$	(0.1	)	$	0.3		$	(10.7	)	$	—	$	—		$	39.6		$	—
States and political subdivisions	1.8			—			—			(0.1		)	—		—			1.7			—
Corporate	166.0			(0.1		)	1.2			(21.4		)	30.4		(6.1		)	170.0			(0.1		)
Commercial mortgage-backed securities	7.7			0.1			(0.1		)	0.1			—		(1.1		)	6.7			—
Collateralized debt obligations	30.4			—			1.2			36.9			—		—			68.5			—
Other debt obligations	47.7			—			0.7			(1.3		)	—		—			47.1			—

Total fixed maturities, available-for-sale	303.7			(0.1		)	3.3			3.5			30.4		(7.2		)	333.6			(0.1		)
Fixed maturities, trading	174.6			1.1			—			(16.1		)	—		—			159.6			(0.4		)
Equity securities, available-for-sale	17.6			—			(0.3		)	—			0.2		—			17.5			—
Derivative assets	65.1			(2.9		)	—			0.1			—		—			62.3			(2.7		)
Other investments	133.6			3.2			—			(2.2		)	—		—			134.6			3.3
Separate account assets (2)	5,341.0			89.2			0.2			104.8			0.1		(1.7		)	5,533.6			93.1

Liabilities
Investment-type insurance contracts	(25.8		)	(19.6		)	—			7.8			—		—			(37.6		)	(19.4		)
Derivative liabilities	(34.4		)	8.9			1.0			(0.2		)	—		—			(24.7		)	8.6
Other liabilities (3)	(75.9		)	(4.0		)	—			—			—		—			(79.9		)	(4.0		)

	For the six months ended June 30, 2015
				Total realized/unrealized																	Changes in
	Beginning			gains (losses)						Net								Ending			unrealized
	asset/									purchases,								asset/			gains (losses)
	(liability)									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			June 30,			positions still
	2014			(1)			income			(4)			Level 3		Level 3			2015			held (1)
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	38.7		$	(0.1	)	$	0.1		$	6.9		$	—	$	—		$	45.6		$	(0.1	)
Corporate	245.6			(0.1		)	(0.9		)	23.7			26.2		(67.5		)	227.0			(0.2		)
Collateralized debt obligations	64.2			—			(0.1		)	(0.8		)	—		—			63.3			—
Other debt obligations	63.7			—			(0.1		)	2.1			—		(24.3		)	41.4			—

Total fixed maturities, available-for-sale	412.2			(0.2		)	(1.0		)	31.9			26.2		(91.8		)	377.3			(0.3		)
Fixed maturities, trading	139.7			0.2			—			(0.1		)	—		—			139.8			0.1
Equity securities, available-for-sale	4.1			—			—			—			—		—			4.1			—
Derivative assets	53.7			(11.0		)	—			2.4			—		—			45.1			(10.8		)
Other investments	127.2			4.0			—			(66.5		)	—		(35.0		)	29.7			4.0
Separate account assets (2)	5,891.4			454.9			—			59.7			0.1		(0.1		)	6,406.0			439.6

Liabilities
Investment-type insurance contracts	(176.4		)	57.6			—			1.8			—		—			(117.0		)	54.9
Derivative liabilities	(35.5		)	(2.9		)	1.2			0.2			—		—			(37.0		)	(3.0		)
Other liabilities (3)	(66.3		)	(1.2		)	—			—			—		—			(67.5		)	(1.3		)

	For the six months ended June 30, 2014
				Total realized/unrealized																Changes in
	Beginning			gains (losses)					Net								Ending			unrealized
	asset/								purchases,								asset/			gains (losses)
	(liability)								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			June 30,			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		$	(0.1	)	$	—	$	(7.8	)	$	—	$	—		$	39.6		$	(0.1	)
States and political subdivisions	1.8			—			—		(0.1		)	—		—			1.7			—
Corporate	164.0			(0.2		)	1.1		(19.7		)	30.9		(6.1		)	170.0			(0.2		)
Commercial mortgage-backed securities	1.6			(0.6		)	1.1		(0.4		)	6.1		(1.1		)	6.7			(0.7		)
Collateralized debt obligations	37.8			—			1.3		36.9			—		(7.5		)	68.5			—
Other debt obligations	84.1			—			1.1		(8.4		)	—		(29.7		)	47.1			—

Total fixed maturities, available-for-sale	336.8			(0.9		)	4.6		0.5			37.0		(44.4		)	333.6			(1.0		)
Fixed maturities, trading	169.9			5.8			—		(16.1		)	—		—			159.6			3.8
Equity securities, available-for-sale	16.9			—			0.4		—			0.2		—			17.5			—
Derivative assets	74.2			(12.0		)	—		0.1			—		—			62.3			(12.0		)
Other investments	142.9			2.8			—		(11.1		)	—		—			134.6			2.8
Separate account assets (2)	5,265.2			191.4			0.1		82.3			2.1		(7.5		)	5,533.6			196.4

Liabilities
Investment-type insurance contracts	(6.9		)	(47.1		)	—		16.4			—		—			(37.6		)	(46.8		)
Derivative liabilities	(39.6		)	13.8			1.3		(0.2		)	—		—			(24.7		)	13.5
Other liabilities (3)	(73.9		)	(6.0		)	—		—			—		—			(79.9		)	(6.0		)

(1)

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

(2)

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

(3)

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

(4)

Gross purchases, sales, issuances and settlements were:

	For the three months ended June 30, 2015
												Net purchases,
												sales, issuances
	Purchases		Sales			Issuances			Settlements			and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	5.6	$	—		$	—		$	(0.3	)	$	5.3
Corporate	14.5		(2.1		)	—			(4.7		)	7.7
Collateralized debt obligations	—		—			—			(0.2		)	(0.2		)
Other debt obligations	—		—			—			(3.4		)	(3.4		)

Total fixed maturities, available-for-sale	20.1		(2.1		)	—			(8.6		)	9.4
Fixed maturities, trading	—		—			—			0.1			0.1
Derivative assets	—		(0.1		)	—			—			(0.1		)
Other investments	0.9		—			—			—			0.9
Separate account assets (5)	221.8		5.3			(96.5		)	5.7			136.3

Liabilities
Investment-type insurance contracts	—		—			0.8			2.3			3.1

	For the three months ended June 30, 2014
													Net purchases,
													sales, issuances
	Purchases			Sales			Issuances			Settlements			and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	0.4		$	(10.8	)	$	—		$	(0.3	)	$	(10.7	)
States and political subdivisions	—			—			—			(0.1		)	(0.1		)
Corporate	10.4			(27.8		)	—			(4.0		)	(21.4		)
Commercial mortgage-backed securities	—			—			—			0.1			0.1
Collateralized debt obligations	51.6			—			—			(14.7		)	36.9
Other debt obligations	—			—			—			(1.3		)	(1.3		)

Total fixed maturities, available-for-sale	62.4			(38.6		)	—			(20.3		)	3.5
Fixed maturities, trading	—			—			—			(16.1		)	(16.1		)
Derivative assets	0.1			—			—			—			0.1
Other investments	0.2			—			—			(2.4		)	(2.2		)
Separate account assets (5)	160.4			(50.0		)	(40.2		)	34.6			104.8

Liabilities
Investment-type insurance contracts	—			—			7.4			0.4			7.8
Derivative liabilities	(0.2		)	—			—			—			(0.2		)

	For the six months ended June 30, 2015
												Net purchases,
												sales, issuances
	Purchases		Sales			Issuances			Settlements			and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	7.5	$	—		$	—		$	(0.6	)	$	6.9
Corporate	41.6		(5.7		)	—			(12.2		)	23.7
Collateralized debt obligations	—		—			—			(0.8		)	(0.8		)
Other debt obligations	10.1		—			—			(8.0		)	2.1

Total fixed maturities, available-for-sale	59.2		(5.7		)	—			(21.6		)	31.9
Fixed maturities, trading	—		(0.2		)	—			0.1			(0.1		)
Derivative assets	2.5		(0.1		)	—			—			2.4
Other investments	1.2		(67.7		)	—			—			(66.5		)
Separate account assets (5)	361.0		(159.4		)	(145.8		)	3.9			59.7

Liabilities
Investment-type insurance contracts	—		—			(2.3		)	4.1			1.8
Derivative liabilities	—		0.2			—			—			0.2

	For the six months ended June 30, 2014
													Net purchases,
													sales, issuances
	Purchases			Sales			Issuances			Settlements			and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	3.6		$	(10.8	)	$	—		$	(0.6	)	$	(7.8	)
States and political subdivisions	—			—			—			(0.1		)	(0.1		)
Corporate	18.0			(33.7		)	—			(4.0		)	(19.7		)
Commercial mortgage-backed securities	—			—			—			(0.4		)	(0.4		)
Collateralized debt obligations	51.6			—			—			(14.7		)	36.9
Other debt obligations	—			—			—			(8.4		)	(8.4		)

Total fixed maturities, available-for-sale	73.2			(44.5		)	—			(28.2		)	0.5
Fixed maturities, trading	—			—			—			(16.1		)	(16.1		)
Derivative assets	0.1			—			—			—			0.1
Other investments	0.2			—			—			(11.3		)	(11.1		)
Separate account assets (5)	238.7			(130.2		)	(93.6		)	67.4			82.3

Liabilities
Investment-type insurance contracts	—			—			14.5			1.9			16.4
Derivative liabilities	(0.2		)	—			—			—			(0.2		)

(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 June 30, 2015
	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	$	—	$	—	$	—	$	6.7	$	—	$	19.8
Other debt obligations	—		—		—		—		—		9.9

Total fixed maturities, available-for-sale	—		—		—		6.7		—		29.7
Separate account assets	0.9		—		6.2		—		—		0.1

	For the three months ended June 30, 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	$	—	$	—	$	—	$	30.4	$	—	$	6.1
Commercial mortgage-backed securities	—		—		—		—		—		1.1

Total fixed maturities, available-for-sale	—		—		—		30.4		—		7.2
Equity securities, available-for-sale	—		—		—		0.2		—		—
Separate account assets	11.7		—		0.6		0.1		—		1.7

	For the six months June 30, 2015
	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	$	—	$	—	$	—	$	26.2	$	—	$	67.5
Other debt obligations	—		—		—		—		—		24.3

Total fixed maturities, available-for-sale	—		—		—		26.2		—		91.8
Other investments	—		—		—		—		—		35.0
Separate account assets	2.0		—		6.8		0.1		—		0.1

	For the six months June 30, 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	$	—	$	—	$	—	$	30.9	$	—	$	6.1
Commercial mortgage-backed securities	—		—		—		6.1		—		1.1
Collateralized debt obligations	—		—		—		—		—		7.5
Other debt obligations	—		—		—		—		—		29.7

Total fixed maturities, available-for-sale	—		—		—		37.0		—		44.4
Equity securities, available-for-sale	—		—		—		0.2		—		—
Separate account assets	15.4		—		53.8		2.1		—		7.5

Quantitative Information about Level 3 Fair Value Measurements (Table)

June 30, 2015

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

9.6

Discounted cash flow

Discount rate (1)

2.2%

2.2

Illiquidity premium

50 basis points (“bps”)

bps

	June 30, 2015
	Assets /
	(liabilities)
	measured at	Valuation	Unobservable	Input/range of	Weighted
	fair value	technique(s)	input description	inputs	average
	(in millions)
Corporate	43.5	Discounted cash flow	Discount rate (1)	1.6%-7.6%	4.9	%
			Comparability adjustment	0bps-14bps	2	bps
			Illiquidity premium	0bps-60bps	33	bps
Collateralized debt obligations	3.0	Discounted cash flow	Discount rate (1)	18.1%	18.1	%
			Probability of default	100.0%	100.0	%
			Potential loss severity	68.0%	68.0	%
Other debt obligations	28.3	Discounted cash flow	Discount rate (1)	1.4%-5.0%	2.3	%
			Illiquidity premium	50bps-1,000bps	298	bps
Fixed maturities, trading	15.0	Discounted cash flow	Discount rate (1)	2.0%-8.1%	4.1	%
			Illiquidity premium	200bps-800bps	440	bps
Other investments	29.7	Discounted cash flow - equity method real estate investments	Discount rate (1)	7.9%	7.9	%
			Terminal capitalization rate	6.8%	6.8	%
			Average market rent growth rate	3.3%	3.3	%
		Discounted cash flow - equity method real estate investments - debt	Loan to value	56.0%	56.0	%
			Credit spread rate	2.0%	2.0	%

June 30, 2015

Assets /

(liabilities)

measured at

Valuation

Unobservable

Input/range of

Weighted

fair value

technique(s)

input description

inputs

average

(in millions)

Separate account assets

6,365.3

Discounted cash flow - mortgage loans

Discount rate (1)

1.1%-5.8%

3.2

Illiquidity premium

0bps-60bps

bps

Credit spread rate

77bps-535bps

219

bps

Discounted cash flow - real estate

Discount rate (1)

5.6%-17.5%

7.1

Terminal capitalization rate

3.3%-9.5%

6.1

Average market rent growth rate

2.0%-4.5%

3.1

Discounted cash flow - real estate debt

Loan to value

4.6%-62.5%

46.8

Credit spread rate

1.4%-4.4%

2.2

Liabilities

Investment-type insurance contracts

(117.0

)

Discounted cash flow

Long duration interest rate

2.9%

(3)

Long-term equity market volatility

14.9%-41.9%

Non-performance risk

0.2%-1.7%

Utilization rate

See note

(4)

Lapse rate

0.5%-14.1%

Mortality rate

See note

(5)

December 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

10.3

Discounted cash flow

Discount rate (1)

2.2%

2.2

Illiquidity premium

50 bps

bps

Corporate

83.0

Discounted cash flow

Discount rate (1)

1.8%-6.7%

4.0

Comparability adjustment

0bps-1bps

bps

Illiquidity premium

0bps-25bps

bps

	December 31, 2014
	Assets /
	(liabilities)
	measured at	Valuation	Unobservable	Input/range of	Weighted
	fair value	technique(s)	input description	inputs	average
	(in millions)
Collateralized debt obligations	12.7	Discounted cash flow	Discount rate (1)	2.7%-17.1%	6.1	%
			Probability of default	0%-100%	23.5	%
			Potential loss severity	0%-70.0%	16.4	%
Other debt obligations	49.3	Discounted cash flow	Discount rate (1)	1.4%-5.0%	2.3	%
			Illiquidity premium	0bps-1,000bps	175	bps
Fixed maturities, trading	15.2	Discounted cash flow	Discount rate (1)	1.8%-126.9%	3.5	%
			Illiquidity premium	200bps-1,400bps	460	bps
	100.4	See note (2)
Other investments	35.0	Discounted cash flow - commercial mortgage loans of consolidated VIEs	Discount rate (1)	4.2%	4.2	%
			Illiquidity premium	76bps	76	bps
	92.2	Discounted cash flow - equity method real estate investments	Discount rate (1)	7.3%-8.0%	7.6	%
			Terminal capitalization rate	5.5%-6.8%	6.1	%
			Average market rent growth rate	3.3%-3.7%	3.5	%
		Discounted cash flow - equity method real estate investments - debt	Loan to value	34.2%-58.9%	46.5	%
			Credit spread rate	1.8%-2.0%	1.9	%

	December 31, 2014
	Assets /
	(liabilities)
	measured at		Valuation	Unobservable	Input/range of		Weighted
	fair value		technique(s)	input description	inputs		average
	(in millions)
Separate account assets	5,857.4		Discounted cash flow - mortgage loans	Discount rate (1)	1.1%-6.9%		3.2	%
				Illiquidity premium	0bps-60bps		7	bps
				Credit spread rate	70bps-632bps		221	bps
			Discounted cash flow - real estate	Discount rate (1)	6.0%-24.6%		7.4	%
				Terminal capitalization rate	4.5%-9.5%		6.4	%
				Average market rent growth rate	1.3%-4.4%		3.0	%
			Discounted cash flow - real estate debt	Loan to value	6.8%-64.1%		46.5	%
				Credit spread rate	2.1%-4.8%		3.4	%

Liabilities

Investment-type insurance contracts	(176.4	)	Discounted cash flow	Long duration interest rate	2.6%-2.7%	(3)
				Long-term equity market volatility	14.9%-39.5%
				Non-performance risk	0.1%-1.4%
				Utilization rate	See note	(4)
				Lapse rate	0.5%-14.1%
				Mortality rate	See note	(5)
Derivative liabilities	(19.3	)	See note (2)
Other liabilities	(66.3	)	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)

Prior to 2015, the assets and liabilities fair values relate 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 value of the obligations, which are due at maturity or termination of the trust, 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 various observable 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)

	June 30, 2015
							Fair value hierarchy level
	Carrying amount			Fair value			Level 1			Level 2			Level 3
	(in millions)
Assets (liabilities)
Mortgage loans	$	12,070.7		$	12,509.8		$	—		$	—		$	12,509.8
Policy loans	824.9			1,014.5			—			—			1,014.5
Other investments	250.3			261.3			—			180.4			80.9
Cash and cash equivalents	823.4			823.4			823.4			—			—
Investment-type insurance contracts	(27,548.1		)	(27,522.7		)	—			(5,239.4		)	(22,283.4		)
Short-term debt	(26.6		)	(26.6		)	—			(26.6		)	—
Long-term debt	(3,315.9		)	(3,437.8		)	—			(3,369.7		)	(68.1		)
Separate account liabilities	(131,065.0		)	(129,743.4		)	—			—			(129,743.4		)
Bank deposits	(1,987.9		)	(1,992.8		)	(1,370.9		)	(621.9		)	—
Cash collateral payable	(86.9		)	(86.9		)	(86.9		)	—			—

	December 31, 2014
							Fair value hierarchy level
	Carrying amount			Fair value			Level 1			Level 2			Level 3
	(in millions)
Assets (liabilities)
Mortgage loans	$	11,811.6		$	12,350.2		$	—		$	—		$	12,350.2
Policy loans	829.2			1,083.2			—			—			1,083.2
Other investments	211.2			211.6			—			183.7			27.9
Cash and cash equivalents	822.2			822.2			822.2			—			—
Investment-type insurance contracts	(28,256.3		)	(28,322.7		)	—			(5,455.4		)	(22,867.3		)
Short-term debt	(28.0		)	(28.0		)	—			(28.0		)	—
Long-term debt	(2,531.2		)	(2,786.1		)	—			(2,703.8		)	(82.3		)
Separate account liabilities	(128,480.5		)	(127,131.0		)	—			—			(127,131.0		)
Bank deposits	(1,979.7		)	(1,985.5		)	(1,343.8		)	(641.7		)	—
Cash collateral payable	(148.3		)	(148.3		)	(148.3		)	—			—