XML 53 R31.htm IDEA: XBRL DOCUMENT v3.3.0.814
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value Measurements  
Fair Value (Table)

 

 

 

 

September 30, 2015

 

 

 

Assets/

 

 

 

 

 

 

 

 

 

(liabilities)

 

Fair value hierarchy level

 

 

 

measured at

 

 

 

 

 

fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,543.6

 

$
895.7

 

$
647.9

 

$

—

 

Non-U.S. governments

 
787.7

 
2.8

 
736.0

 
48.9

 

States and political subdivisions

 
4,455.7

 

—

 
4,455.7

 

—

 

Corporate

 
31,278.7

 
38.6

 
31,003.3

 
236.8

 

Residential mortgage-backed securities

 
2,680.2

 

—

 
2,680.2

 

—

 

Commercial mortgage-backed securities

 
3,861.2

 

—

 
3,845.9

 
15.3

 

Collateralized debt obligations

 
633.0

 

—

 
569.8

 
63.2

 

Other debt obligations

 
4,540.5

 

—

 
4,527.0

 
13.5

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
49,780.6

 
937.1

 
48,465.8

 
377.7

 

Fixed maturities, trading

 
710.2

 
101.7

 
469.5

 
139.0

 

Equity securities, available-for-sale

 
465.3

 
105.8

 
355.4

 
4.1

 

Equity securities, trading

 
869.1

 
101.8

 
767.3

 

—

 

Derivative assets (1)

 
821.3

 

—

 
768.8

 
52.5

 

Other investments (2)

 
425.4

 
177.8

 
216.1

 
31.5

 

Cash equivalents (3)

 
1,153.6

 

—

 
1,153.6

 

—

 

 

 

 

 

 

 

 

 

 

 

Sub-total excluding separate account assets

 
54,225.5

 
1,424.2

 
52,196.5

 
604.8

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 
134,045.8

 
69,860.6

 
57,449.1

 
6,736.1

 

 

 

 

 

 

 

 

 

 

 

Total assets

 

$
188,271.3

 

$
71,284.8

 

$
109,645.6

 

$
7,340.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts (4)

 

$
(210.3

)

$

—

 

$

—

 

$
(210.3

)

Derivative liabilities (1)

 
(816.9

)

—

 
(771.2

)
(45.7

)

Other liabilities (4)

 
(301.4

)

—

 
(236.7

)
(64.7

)

 

 

 

 

 

 

 

 

 

 

Total liabilities

 

$
(1,328.6

)

$

—

 

$
(1,007.9

)

$
(320.7

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets

 

$
186,942.7

 

$
71,284.8

 

$
108,637.7

 

$
7,020.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2014

 

 

 

Assets/

 

 

 

 

 

 

 

 

 

(liabilities)

 

Fair value hierarchy level

 

 

 

measured at

 

 

 

 

 

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 September 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

 

 

 

June 30,

 

net income

 

comprehensive

 

settlements

 

into

 

out of

 

September 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

 

$
45.6

 

$
(0.1

)

$
0.3

 

$
3.1

 

$

—

 

$

—

 

$
48.9

 

$
(0.1

)

Corporate

 
227.0

 
(0.1

)
(2.4

)
3.4

 
15.0

 
(6.1

)
236.8

 
(0.1

)

Commercial mortgage-backed securities

 

—

 

—

 
0.1

 
15.2

 

—

 

—

 
15.3

 

—

 

Collateralized debt obligations

 
63.3

 
0.1

 

—

 
(0.2

)

—

 

—

 
63.2

 

—

 

Other debt obligations

 
41.4

 

—

 
0.9

 
5.2

 

—

 
(34.0

)
13.5

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
377.3

 
(0.1

)
(1.1

)
26.7

 
15.0

 
(40.1

)
377.7

 
(0.2

)

Fixed maturities, trading

 
139.8

 
(0.8

)

—

 

—

 

—

 

—

 
139.0

 
(0.8

)

Equity securities, available-for-sale

 
4.1

 

—

 

—

 

—

 

—

 

—

 
4.1

 

—

 

Derivative assets

 
45.1

 
7.4

 

—

 

—

 

—

 

—

 
52.5

 
7.4

 

Other investments

 
29.7

 
0.5

 

—

 
1.3

 

—

 

—

 
31.5

 
0.5

 

Separate account assets (2)

 
6,406.0

 
344.4

 

—

 
(14.3

)
0.1

 
(0.1

)
6,736.1

 
267.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 
(117.0

)
(98.1

)

—

 
4.8

 

—

 

—

 
(210.3

)
(98.9

)

Derivative liabilities

 
(37.0

)
(9.1

)
0.4

 

—

 

—

 

—

 
(45.7

)
(9.5

)

Other liabilities (3)

 
(67.5

)
2.8

 

—

 

—

 

—

 

—

 
(64.7

)
2.8

 

 

 

 

For the three months ended September 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

 

 

 

June 30,

 

income

 

comprehensive

 

settlements

 

into

 

out of

 

September 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

 

$
39.6

 

$

—

 

$
(0.2

)

$
1.9

 

$

—

 

$

—

 

$
41.3

 

$

—

 

States and political subdivisions

 
1.7

 

—

 

—

 

—

 

—

 

—

 
1.7

 

—

 

Corporate

 
170.0

 
(1.4

)
(2.8

)
40.7

 
15.7

 

—

 
222.2

 
(1.4

)

Commercial mortgage-backed securities

 
6.7

 
(1.0

)
0.2

 
0.2

 
0.7

 
(1.4

)
5.4

 
(0.9

)

Collateralized debt obligations

 
68.5

 

—

 
0.1

 
9.5

 

—

 
(16.5

)
61.6

 

—

 

Other debt obligations

 
47.1

 

—

 

—

 
(1.4

)

—

 

—

 
45.7

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
333.6

 
(2.4

)
(2.7

)
50.9

 
16.4

 
(17.9

)
377.9

 
(2.3

)

Fixed maturities, trading

 
159.6

 
3.7

 

—

 
(24.0

)

—

 

—

 
139.3

 
0.2

 

Equity securities, available-for-sale

 
17.5

 
(0.3

)
0.2

 

—

 

—

 

—

 
17.4

 
(0.3

)

Derivative assets

 
62.3

 
(14.4

)

—

 
9.8

 

—

 

—

 
57.7

 
(14.3

)

Other investments

 
134.6

 
3.8

 

—

 
(14.1

)

—

 

—

 
124.3

 
3.8

 

Separate account assets (2)

 
5,533.6

 
167.0

 
(0.3

)
79.0

 
2.3

 
(4.2

)
5,777.4

 
163.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 
(37.6

)
(62.8

)

—

 
6.3

 

—

 

—

 
(94.1

)
(56.1

)

Derivative liabilities

 
(24.7

)
(13.3

)
(0.6

)
0.8

 

—

 

—

 
(37.8

)
(14.5

)

Other liabilities (3)

 
(79.9

)
9.9

 

—

 
9.0

 

—

 

—

 
(61.0

)
9.8

 

 

 

 

For the nine months ended September 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

 

September 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

 

$
(0.2

)

$
0.4

 

$
10.0

 

$

—

 

$

—

 

$
48.9

 

$
(0.2

)

Corporate

 
245.6

 
(0.2

)
(3.3

)
27.1

 
41.2

 
(73.6

)
236.8

 
(0.2

)

Commercial mortgage-backed securities

 

—

 

—

 
0.1

 
15.2

 

—

 

—

 
15.3

 

—

 

Collateralized debt obligations

 
64.2

 
0.1

 
(0.1

)
(1.0

)

—

 

—

 
63.2

 

—

 

Other debt obligations

 
63.7

 

—

 
0.8

 
7.3

 

—

 
(58.3

)
13.5

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
412.2

 
(0.3

)
(2.1

)
58.6

 
41.2

 
(131.9

)
377.7

 
(0.4

)

Fixed maturities, trading

 
139.7

 
(0.6

)

—

 
(0.1

)

—

 

—

 
139.0

 
(0.7

)

Equity securities, available-for-sale

 
4.1

 

—

 

—

 

—

 

—

 

—

 
4.1

 

—

 

Derivative assets

 
53.7

 
(3.6

)

—

 
2.4

 

—

 

—

 
52.5

 
(3.4

)

Other investments

 
127.2

 
4.5

 

—

 
(65.2

)

—

 
(35.0

)
31.5

 
4.5

 

Separate account assets (2)

 
5,891.4

 
799.3

 

—

 
45.4

 
0.2

 
(0.2

)
6,736.1

 
705.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 
(176.4

)
(40.5

)

—

 
6.6

 

—

 

—

 
(210.3

)
(43.8

)

Derivative liabilities

 
(35.5

)
(12.0

)
1.6

 
0.2

 

—

 

—

 
(45.7

)
(12.6

)

Other liabilities (3)

 
(66.3

)
1.6

 

—

 

—

 

—

 

—

 
(64.7

)
1.5

 

 

 

 

For the nine months ended September 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

 

September 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

)

$
(0.2

)

$
(5.9

)

$

—

 

$

—

 

$
41.3

 

$
(0.1

)

States and political subdivisions

 
1.8

 

—

 

—

 
(0.1

)

—

 

—

 
1.7

 

—

 

Corporate

 
164.0

 
(1.6

)
(1.7

)
21.0

 
46.6

 
(6.1

)
222.2

 
(1.5

)

Commercial mortgage-backed securities

 
1.6

 
(1.6

)
1.3

 
(0.2

)
6.8

 
(2.5

)
5.4

 
(1.5

)

Collateralized debt obligations

 
37.8

 

—

 
1.4

 
46.4

 

—

 
(24.0

)
61.6

 

—

 

Other debt obligations

 
84.1

 

—

 
1.1

 
(9.8

)

—

 
(29.7

)
45.7

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
336.8

 
(3.3

)
1.9

 
51.4

 
53.4

 
(62.3

)
377.9

 
(3.1

)

Fixed maturities, trading

 
169.9

 
9.5

 

—

 
(40.1

)

—

 

—

 
139.3

 
0.8

 

Equity securities, available-for-sale

 
16.9

 
(0.3

)
0.6

 

—

 
0.2

 

—

 
17.4

 
(0.3

)

Derivative assets

 
74.2

 
(26.4

)

—

 
9.9

 

—

 

—

 
57.7

 
(26.4

)

Other investments

 
142.9

 
6.6

 

—

 
(25.2

)

—

 

—

 
124.3

 
6.6

 

Separate account assets (2)

 
5,265.2

 
358.4

 
(0.2

)
161.3

 
4.4

 
(11.7

)
5,777.4

 
359.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 
(6.9

)
(109.9

)

—

 
22.7

 

—

 

—

 
(94.1

)
(109.9

)

Derivative liabilities

 
(39.6

)
0.5

 
0.7

 
0.6

 

—

 

—

 
(37.8

)
(3.7

)

Other liabilities (3)

 
(73.9

)
3.9

 

—

 
9.0

 

—

 

—

 
(61.0

)
4.5

 

 

 

(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 September 30, 2015

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
3.4

 

$

—

 

$

—

 

$
(0.3

)

$
3.1

 

Corporate

 
5.5

 

—

 

—

 
(2.1

)
3.4

 

Commercial mortgage-backed securities

 
15.2

 

—

 

—

 

—

 
15.2

 

Collateralized debt obligations

 

—

 

—

 

—

 
(0.2

)
(0.2

)

Other debt obligations

 
6.4

 

—

 

—

 
(1.2

)
5.2

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
30.5

 

—

 

—

 
(3.8

)
26.7

 

Other investments

 
1.3

 

—

 

—

 

—

 
1.3

 

Separate account assets (5)

 
69.6

 
(29.7

)
(54.7

)
0.5

 
(14.3

)

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 
3.7

 
1.1

 
4.8

 

 

 

 

For the three months ended September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
2.2

 

$

—

 

$

—

 

$
(0.3

)

$
1.9

 

Corporate

 
46.5

 
(5.5

)

—

 
(0.3

)
40.7

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
0.2

 
0.2

 

Collateralized debt obligations

 
9.7

 

—

 

—

 
(0.2

)
9.5

 

Other debt obligations

 

—

 

—

 

—

 
(1.4

)
(1.4

)

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
58.4

 
(5.5

)

—

 
(2.0

)
50.9

 

Fixed maturities, trading

 

—

 
(10.0

)

—

 
(14.0

)
(24.0

)

Derivative assets

 
9.8

 

—

 

—

 

—

 
9.8

 

Other investments

 

—

 

—

 

—

 
(14.1

)
(14.1

)

Separate account assets (5)

 
228.5

 
(127.3

)
(196.5

)
174.3

 
79.0

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 
4.2

 
2.1

 
6.3

 

Derivative liabilities

 
(0.6

)
1.4

 

—

 

—

 
0.8

 

Other liabilities

 

—

 
9.0

 

—

 

—

 
9.0

 

 

 

 

For the nine months ended September 30, 2015

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
10.9

 

$

—

 

$

—

 

$
(0.9

)

$
10.0

 

Corporate

 
47.1

 
(5.7

)

—

 
(14.3

)
27.1

 

Commercial mortgage-backed securities

 
15.2

 

—

 

—

 

—

 
15.2

 

Collateralized debt obligations

 

—

 

—

 

—

 
(1.0

)
(1.0

)

Other debt obligations

 
16.5

 

—

 

—

 
(9.2

)
7.3

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
89.7

 
(5.7

)

—

 
(25.4

)
58.6

 

Fixed maturities, trading

 

—

 
(0.2

)

—

 
0.1

 
(0.1

)

Derivative assets

 
2.5

 
(0.1

)

—

 

—

 
2.4

 

Other investments

 
2.5

 
(67.7

)

—

 

—

 
(65.2

)

Separate account assets (5)

 
430.6

 
(189.1

)
(200.5

)
4.4

 
45.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 
1.4

 
5.2

 
6.6

 

Derivative liabilities

 

—

 
0.2

 

—

 

—

 
0.2

 

 

 

 

For the nine months ended September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
5.8

 

$
(10.8

)

$

—

 

$
(0.9

)

$
(5.9

)

States and political subdivisions

 

—

 

—

 

—

 
(0.1

)
(0.1

)

Corporate

 
64.5

 
(39.2

)

—

 
(4.3

)
21.0

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
(0.2

)
(0.2

)

Collateralized debt obligations

 
61.3

 

—

 

—

 
(14.9

)
46.4

 

Other debt obligations

 

—

 

—

 

—

 
(9.8

)
(9.8

)

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
131.6

 
(50.0

)

—

 
(30.2

)
51.4

 

Fixed maturities, trading

 

—

 
(10.0

)

—

 
(30.1

)
(40.1

)

Derivative assets

 
9.9

 

—

 

—

 

—

 
9.9

 

Other investments

 
0.2

 

—

 

—

 
(25.4

)
(25.2

)

Separate account assets (5)

 
467.2

 
(257.5

)
(290.1

)
241.7

 
161.3

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 

—

 

—

 
18.7

 
4.0

 
22.7

 

Derivative liabilities

 
(0.8

)
1.4

 

—

 

—

 
0.6

 

Other liabilities

 

—

 
9.0

 

—

 

—

 
9.0

 

 

 

(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, 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

 

$

—

 

$

—

 

$

—

 

$
15.0 

 

$

—

 

$
6.1 

 

Other debt obligations

 

—

 

—

 

—

 

—

 

—

 
34.0 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
15.0 

 

—

 
40.1 

 

Other investments

 

—

 

—

 
141.4 

 

—

 

—

 

—

 

Separate account assets

 
24.6 

 

—

 
1.2 

 
0.1 

 

—

 
0.1 

 

 

 

 

For the three months ended September 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

 

$

—

 

$

—

 

$

—

 

$
15.7 

 

$

—

 

$

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
0.7 

 

—

 
1.4 

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 
16.5 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
16.4 

 

—

 
17.9 

 

Separate account assets

 
2.1 

 

—

 
17.5 

 
2.3 

 

—

 
4.2 

 

 

 

 

 

For the nine months September 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

 

$

—

 

$

—

 

$

—

 

$
41.2 

 

$

—

 

$
73.6 

 

Other debt obligations

 

—

 

—

 

—

 

—

 

—

 
58.3 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
41.2 

 

—

 
131.9 

 

Other investments

 

—

 

—

 
141.4 

 

—

 

—

 
35.0 

 

Separate account assets

 
26.6 

 

—

 
8.0 

 
0.2 

 

—

 
0.2 

 

 

 

 

For the nine months September 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

 

$

—

 

$

—

 

$

—

 

$
46.6 

 

$

—

 

$
6.1 

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
6.8 

 

—

 
2.5 

 

Collateralized debt obligations

 

—

 

—

 

—

 

—

 

—

 
24.0 

 

Other debt obligations

 

—

 

—

 

—

 

—

 

—

 
29.7 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
53.4 

 

—

 
62.3 

 

Equity securities, available-for-sale

 

—

 

—

 

—

 
0.2 

 

—

 

—

 

Separate account assets

 
17.5 

 

—

 
71.3 

 
4.4 

 

—

 
11.7 

 

 

Quantitative Information about Level 3 Fair Value Measurements (Table)

 

 

 

As of September 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

 

$
9.4 

 

Discounted cash flow

 

Discount rate (1)

 
1.7% 

 
1.7 

%

 

 

 

 

 

 

Illiquidity premium

 

50 basis points ("bps")

 
50 

bps

Corporate

 
42.0 

 

Discounted cash flow

 

Discount rate (1)

 

1.6%-7.6%

 
4.8 

%

 

 

 

 

 

 

Comparability adjustment

 

0bps-14bps

 
3 

bps

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 
34 

bps

Commercial mortgage-backed securities

 
15.3 

 

Discounted cash flow

 

Discount rate (1)

 

3.7%-4.9%

 
4.3 

%

Collateralized debt obligations

 
3.1 

 

Discounted cash flow

 

Discount rate (1)

 
12.1% 

 
12.1 

%

 

 

 

 

 

 

Probability of default

 
100.0% 

 
100.0 

%

 

 

 

 

 

 

Potential loss severity

 
67.0% 

 
67.0 

%

Other debt obligations

 
7.8 

 

Discounted cash flow

 

Discount rate (1)

 
5.0% 

 
5.0 

%

 

 

 

 

 

 

Illiquidity premium

 

750bps

 
750 

bps

Fixed maturities, trading

 
14.2 

 

Discounted cash flow

 

Discount rate (1)

 

2.1%-16.0%

 
6.4 

%

 

 

 

 

 

 

Illiquidity premium

 

200bps-800bps

 
430 

bps

Other investments

 
31.5 

 

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

 
54.9% 

 
54.9 

%

 

 

 

 

 

 

Credit spread rate

 
2.3% 

 
2.3 

%

 

 

 

As of September 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

 
6,616.4

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

1.1%-7.1%

 
3.3

%

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 
7

bps

 

 

 

 

 

 

Credit spread rate

 

85bps-665bps

 
226

bps

 

 

 

 

Discounted cash flow - real estate

 

Discount rate (1)

 

5.6%-38.1%

 
7.3

%

 

 

 

 

 

 

Terminal capitalization rate

 

4.3%-9.5%

 
6.2

%

 

 

 

 

 

 

Average market rent growth rate

 

0%-4.4%

 
3.1

%

 

 

 

 

Discounted cash flow - real estate debt

 

Loan to value

 

15.3%-65.2%

 
45.8

%

 

 

 

 

 

 

Credit spread rate

 

1.6%-4.3%

 
2.3

%

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment-type insurance contracts

 
(210.3

)

Discounted cash flow

 

Long duration interest rate

 

2.4%-2.5%

(3)

 

 

 

 

 

 

 

 

Long-term equity market volatility

 

14.9%-44.9%

 

 

 

 

 

 

 

 

 

Non-performance risk

 

0.5%-1.9%

 

 

 

 

 

 

 

 

 

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

 
50 

bps

Corporate

 
83.0 

 

Discounted cash flow

 

Discount rate (1)

 

1.8%-6.7%

 
4.0 

%

 

 

 

 

 

 

Comparability adjustment

 

0bps-1bps

 
0 

bps

 

 

 

 

 

 

Illiquidity premium

 

0bps-25bps

 
13 

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)

 

 

 

September 30, 2015

 

 

 

 

 

 

 

Fair value hierarchy level

 

 

 

Carrying amount

 

Fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets (liabilities)

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

$
12,232.1

 

$
12,752.8

 

$

—

 

$

—

 

$
12,752.8

 

Policy loans

 
822.8

 
1,049.0

 

—

 

—

 
1,049.0

 

Other investments

 
238.2

 
251.2

 

—

 
170.8

 
80.4

 

Cash and cash equivalents

 
1,360.6

 
1,360.6

 
1,360.6

 

—

 

—

 

Investment-type insurance contracts

 
(28,483.4

)
(28,281.9

)

—

 
(4,733.5

)
(23,548.4

)

Short-term debt

 
(221.6

)
(221.6

)

—

 
(221.6

)

—

 

Long-term debt

 
(3,286.1

)
(3,431.0

)

—

 
(3,392.7

)
(38.2

)

Separate account liabilities

 
(122,714.6

)
(121,486.1

)

—

 

—

 
(121,486.1

)

Bank deposits

 
(2,004.6

)
(2,008.7

)
(1,388.3

)
(620.4

)

—

 

Cash collateral payable

 
(267.5

)
(267.5

)
(267.5

)

—

 

—

 

 

 

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

)

—

 

—