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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2017
Fair Value Measurements  
Fair Value (Table)

 

 

September 30, 2017

 

 

 

Assets/

 

Amount

 

 

 

 

 

 

 

 

 

(liabilities)

 

measured at

 

Fair value hierarchy level

 

 

 

measured at

 

net asset

 

 

 

 

 

 

 

 

 

fair value

 

value (5)

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,457.7

 

$

—

 

$
1,007.0

 

$
450.7

 

$

—

 

Non-U.S. governments

 
1,071.3

 

—

 
3.3

 
1,013.8

 
54.2

 

States and political subdivisions

 
6,655.6

 

—

 

—

 
6,655.6

 

—

 

Corporate

 
36,888.3

 

—

 
21.0

 
36,625.2

 
242.1

 

Residential mortgage-backed securities

 
2,637.9

 

—

 

—

 
2,637.9

 

—

 

Commercial mortgage-backed securities

 
3,749.5

 

—

 

—

 
3,734.8

 
14.7

 

Collateralized debt obligations

 
1,239.2

 

—

 

—

 
1,077.3

 
161.9

 

Other debt obligations

 
5,438.3

 

—

 

—

 
5,435.7

 
2.6

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
59,137.8

 

—

 
1,031.3

 
57,631.0

 
475.5

 

Fixed maturities, trading

 
232.5

 

—

 

—

 
232.5

 

—

 

Equity securities, available-for-sale

 
118.3

 

—

 
68.5

 
47.1

 
2.7

 

Equity securities, trading

 
1,670.9

 

—

 
500.9

 
1,170.0

 

—

 

Derivative assets (1)

 
321.2

 

—

 

—

 
291.9

 
29.3

 

Other investments (2)

 
555.6

 
88.3

 
154.8

 
277.6

 
34.9

 

Cash equivalents (3)

 
1,892.4

 

—

 
67.7

 
1,824.7

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-total excluding separate account assets

 
63,928.7

 
88.3

 
1,823.2

 
61,474.8

 
542.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 
154,085.9

 
118.6

 
86,763.9

 
59,740.1

 
7,463.3

 

 

 

 

 

 

 

 

 

 

 

 

 

Total assets

 

$
218,014.6

 

$
206.9

 

$
88,587.1

 

$
121,214.9

 

$
8,005.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts (4)

 

$
(138.2)

 

$

—

 

$

—

 

$

—

 

$
(138.2)

 

Derivative liabilities (1)

 
(264.4)

 

—

 

—

 
(256.7)

 
(7.7)

 

Other liabilities (4)

 
(242.8)

 

—

 

—

 
(242.8)

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

Total liabilities

 

$
(645.4)

 

$

—

 

$

—

 

$
(499.5)

 

$
(145.9)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets

 

$
217,369.2

 

$
206.9

 

$
88,587.1

 

$
120,715.4

 

$
7,859.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

Assets/

 

Amount

 

 

 

 

 

 

 

 

 

(liabilities)

 

measured at

 

Fair value hierarchy level

 

 

 

measured at

 

net asset

 

 

 

 

 

 

 

 

 

fair value

 

value (5)

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,433.0

 

$

—

 

$
996.5

 

$
436.5

 

$

—

 

Non-U.S. governments

 
893.6

 

—

 
3.0

 
828.5

 
62.1

 

States and political subdivisions

 
5,569.2

 

—

 

—

 
5,569.2

 

—

 

Corporate

 
34,192.4

 

—

 
21.2

 
33,912.1

 
259.1

 

Residential mortgage-backed securities

 
2,834.7

 

—

 

—

 
2,834.7

 

—

 

Commercial mortgage-backed securities

 
4,096.5

 

—

 

—

 
4,025.4

 
71.1

 

Collateralized debt obligations

 
758.6

 

—

 

—

 
725.0

 
33.6

 

Other debt obligations

 
5,068.1

 

—

 

—

 
4,976.6

 
91.5

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
54,846.1

 

—

 
1,020.7

 
53,308.0

 
517.4

 

Fixed maturities, trading

 
398.4

 

—

 

—

 
305.5

 
92.9

 

Equity securities, available-for-sale

 
98.9

 

—

 
55.2

 
41.0

 
2.7

 

Equity securities, trading

 
1,413.4

 

—

 
445.7

 
967.7

 

—

 

Derivative assets (1)

 
893.6

 

—

 

—

 
859.7

 
33.9

 

Other investments (2)

 
470.0

 
92.7

 
169.8

 
170.6

 
36.9

 

Cash equivalents (3)

 
1,947.1

 

—

 
51.2

 
1,895.9

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-total excluding separate account assets

 
60,067.5

 
92.7

 
1,742.6

 
57,548.4

 
683.8

 

 

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 
139,832.6

 

—

 
79,688.1

 
52,789.7

 
7,354.8

 

 

 

 

 

 

 

 

 

 

 

 

 

Total assets

 

$
199,900.1

 

$
92.7

 

$
81,430.7

 

$
110,338.1

 

$
8,038.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts (4)

 

$
(176.5)

 

$

—

 

$

—

 

$

—

 

$
(176.5)

 

Derivative liabilities (1)

 
(573.0)

 

—

 

—

 
(550.4)

 
(22.6)

 

Other liabilities (4)

 
(272.2)

 

—

 

—

 
(212.3)

 
(59.9)

 

 

 

 

 

 

 

 

 

 

 

 

 

Total liabilities

 

$
(1,021.7)

 

$

—

 

$

—

 

$
(762.7)

 

$
(259.0)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets

 

$
198,878.4

 

$
92.7

 

$
81,430.7

 

$
109,575.4

 

$
7,779.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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, interest rate collars and other swaps that are Level 3.

(2)

Primarily includes sponsored investment funds, other investment funds, equity method investments reported at fair value and commercial mortgage loans of consolidated VIEs.

(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. As of December 31, 2016, other liabilities also include obligations of consolidated VIEs reported at fair value.

(5)

Certain investments are measured at fair value using the NAV per share (or its equivalent) practical expedient and have not been classified in the fair value hierarchy. Other investments using the NAV practical expedient consist of certain fund interests that are restricted until maturity with unfunded commitments totaling $47.7 million and $57.6 million as of September 30, 2017 and December 31, 2016, respectively. Separate account assets using the NAV practical expedient consist of hedge funds with varying investment strategies that also have a variety of redemption terms and conditions. We do not have unfunded commitments associated with these hedge funds.

 

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, 2017

 

 

 

 

 

 

 

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

 

 

 

2017

 

(1)

 

income (3)

 

(4)

 

Level 3

 

Level 3

 

2017

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
65.1

 

$
(0.1)

 

$
(0.1)

 

$
(10.7)

 

$

—

 

$

—

 

$
54.2

 

$
(0.1)

 

Corporate

 
202.9

 
(0.3)

 
3.7

 
35.8

 

—

 

—

 
242.1

 
(0.2)

 

Commercial mortgage-backed securities

 
61.5

 
(4.1)

 
1.4

 
(0.2)

 
6.1

 
(50.0)

 
14.7

 
(4.0)

 

Collateralized debt obligations

 
128.1

 

—

 
3.5

 
2.2

 
55.4

 
(27.3)

 
161.9

 

—

 

Other debt obligations

 
2.8

 

—

 

—

 
(0.2)

 

—

 

—

 
2.6

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
460.4

 
(4.5)

 
8.5

 
26.9

 
61.5

 
(77.3)

 
475.5

 
(4.3)

 

Equity securities, available-for-sale

 
2.7

 

—

 

—

 

—

 

—

 

—

 
2.7

 

—

 

Derivative assets

 
31.6

 
(3.0)

 

—

 
0.7

 

—

 

—

 
29.3

 
(2.4)

 

Other investments

 
35.2

 
(0.4)

 

—

 
0.1

 

—

 

—

 
34.9

 
(0.3)

 

Separate account assets (2)

 
7,412.9

 
234.9

 

—

 
(171.0)

 
0.5

 
(14.0)

 
7,463.3

 
183.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(146.6)

 
8.0

 

—

 
0.4

 

—

 

—

 
(138.2)

 
7.6

 

Derivative liabilities

 
(12.6)

 
4.4

 

—

 
0.5

 

—

 

—

 
(7.7)

 
4.3

 

 

 

 

 

For the three months ended September 30, 2016

 

 

 

 

 

 

 

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

 

 

 

2016

 

(1)

 

income (3)

 

(4)

 

Level 3

 

Level 3

 

2016

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
67.5

 

$
(0.1)

 

$
0.2

 

$
(3.8)

 

$

—

 

$

—

 

$
63.8

 

$
(0.1)

 

Corporate

 
241.7

 
(0.3)

 
(0.4)

 
18.1

 

—

 

—

 
259.1

 
(0.1)

 

Commercial mortgage-backed securities

 
15.5

 

—

 
0.7

 
10.0

 

—

 

—

 
26.2

 

—

 

Collateralized debt obligations

 
62.8

 

—

 
(0.1)

 
(10.5)

 

—

 

—

 
52.2

 

—

 

Other debt obligations

 
6.8

 

—

 
0.4

 
18.6

 

—

 

—

 
25.8

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
394.3

 
(0.4)

 
0.8

 
32.4

 

—

 

—

 
427.1

 
(0.2)

 

Fixed maturities, trading

 
117.8

 
0.1

 

—

 
(0.1)

 

—

 

—

 
117.8

 
(0.1)

 

Equity securities, available-for-sale

 
2.7

 

—

 

—

 

—

 

—

 

—

 
2.7

 

—

 

Derivative assets

 
61.1

 
(4.2)

 

—

 
0.5

 

—

 

—

 
57.4

 
(3.9)

 

Other investments

 
36.1

 
0.6

 

—

 
0.1

 

—

 

—

 
36.8

 
0.7

 

Separate account assets (2)

 
7,408.3

 
233.5

 

—

 
(39.3)

 

—

 
(0.1)

 
7,602.4

 
196.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(324.3)

 
(2.7)

 

—

 
0.6

 

—

 

—

 
(326.4)

 
(4.7)

 

Derivative liabilities

 
(28.5)

 
9.8

 

—

 

—

 

—

 

—

 
(18.7)

 
9.7

 

Other liabilities

 
(58.6)

 
(1.6)

 

—

 

—

 

—

 

—

 
(60.2)

 
(1.6)

 

 

 

 

 

For the nine months ended September 30, 2017

 

 

 

 

 

 

 

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

 

 

 

2016

 

(1)

 

income (3)

 

(4)

 

Level 3

 

Level 3

 

2017

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
62.1

 

$
(0.2)

 

$
0.1

 

$
(7.8)

 

$

—

 

$

—

 

$
54.2

 

$
(0.2)

 

Corporate

 
259.1

 
(2.2)

 
3.3

 
(3.0)

 
22.2

 
(37.3)

 
242.1

 
(0.6)

 

Commercial mortgage-backed securities

 
71.1

 
(9.8)

 
11.2

 
(0.7)

 
24.1

 
(81.2)

 
14.7

 
(4.0)

 

Collateralized debt obligations

 
33.6

 

—

 
2.8

 
9.1

 
143.7

 
(27.3)

 
161.9

 

—

 

Other debt obligations

 
91.5

 

—

 

—

 
(0.7)

 
0.1

 
(88.3)

 
2.6

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
517.4

 
(12.2)

 
17.4

 
(3.1)

 
190.1

 
(234.1)

 
475.5

 
(4.8)

 

Fixed maturities, trading

 
92.9

 
(2.4)

 

—

 
(92.4)

 
1.9

 

—

 

—

 

—

 

Equity securities, available-for-sale

 
2.7

 

—

 

—

 

—

 

—

 

—

 
2.7

 

—

 

Equity securities, trading

 

—

 

—

 

—

 
(0.7)

 
0.7

 

—

 

—

 

—

 

Derivative assets

 
33.9

 
(7.1)

 

—

 
2.5

 

—

 

—

 
29.3

 
(6.0)

 

Other investments

 
36.9

 
1.5

 

—

 
(3.5)

 

—

 

—

 
34.9

 
1.6

 

Separate account assets (2)

 
7,354.8

 
593.1

 
(0.9)

 
(449.9)

 
2.6

 
(36.4)

 
7,463.3

 
510.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(176.5)

 
31.5

 
0.3

 
6.5

 

—

 

—

 
(138.2)

 
28.9

 

Derivative liabilities

 
(22.6)

 
15.5

 

—

 
(0.6)

 

—

 

—

 
(7.7)

 
13.7

 

Other liabilities

 
(59.9)

 
(0.1)

 

—

 
60.0

 

—

 

—

 

—

 

—

 

 

 

 

 

For the nine months ended September 30, 2016

 

 

 

 

 

 

 

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

 

 

 

2015

 

(1)

 

income (3)

 

(4)

 

Level 3

 

Level 3

 

2016

 

held (1)

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
79.1

 

$
(0.2)

 

$
2.7

 

$
14.8

 

$

—

 

$
(32.6)

 

$
63.8

 

$
(0.2)

 

Corporate

 
223.9

 
(0.6)

 
(4.1)

 
25.9

 
15.7

 
(1.7)

 
259.1

 
(0.6)

 

Commercial mortgage-backed securities

 
4.8

 

—

 
0.7

 
23.0

 

—

 
(2.3)

 
26.2

 

—

 

Collateralized debt obligations

 
63.5

 

—

 
(0.6)

 
(10.7)

 

—

 

—

 
52.2

 

—

 

Other debt obligations

 
7.5

 

—

 
0.4

 
17.9

 

—

 

—

 
25.8

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
378.8

 
(0.8)

 
(0.9)

 
70.9

 
15.7

 
(36.6)

 
427.1

 
(0.8)

 

Fixed maturities, trading

 
135.5

 
0.4

 

—

 
(18.1)

 

—

 

—

 
117.8

 
0.4

 

Equity securities, available-for-sale

 
4.1

 
(1.3)

 
(0.1)

 

—

 

—

 

—

 
2.7

 
(1.4)

 

Derivative assets

 
47.2

 
9.0

 

—

 
1.2

 

—

 

—

 
57.4

 
10.5

 

Other investments

 
35.1

 
1.3

 

—

 
0.4

 

—

 

—

 
36.8

 
1.4

 

Separate account assets (2)

 
7,013.9

 
526.6

 
(0.1)

 
61.9

 
0.9

 
(0.8)

 
7,602.4

 
495.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(177.4)

 
(154.0)

 

—

 
5.0

 

—

 

—

 
(326.4)

 
(158.3)

 

Derivative liabilities

 
(50.5)

 
30.3

 
0.5

 
1.0

 

—

 

—

 
(18.7)

 
27.1

 

Other liabilities

 
(68.1)

 
(9.5)

 

—

 
17.4

 

—

 

—

 
(60.2)

 
(7.8)

 

 

(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)

Includes foreign currency translation adjustments related to our Principal International segment.

(4)

Gross purchases, sales, issuances and settlements were:

 

 

 

 

For the three months ended September 30, 2017

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
18.9

 

$
(29.3)

 

$

—

 

$
(0.3)

 

$
(10.7)

 

Corporate

 
65.3

 
(8.2)

 

—

 
(21.3)

 
35.8

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
(0.2)

 
(0.2)

 

Collateralized debt obligations

 
9.9

 

—

 

—

 
(7.7)

 
2.2

 

Other debt obligations

 

—

 

—

 

—

 
(0.2)

 
(0.2)

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
94.1

 
(37.5)

 

—

 
(29.7)

 
26.9

 

Derivative assets

 
0.3

 
0.4

 

—

 

—

 
0.7

 

Other investments

 
0.1

 

—

 

—

 

—

 
0.1

 

Separate account assets (5)

 
79.7

 
(193.8)

 
(61.1)

 
4.2

 
(171.0)

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 

—

 

—

 
(0.3)

 
0.7

 
0.4

 

Derivative liabilities

 

—

 
0.5

 

—

 

—

 
0.5

 

 

 

 

 

For the three months ended September 30, 2016

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$

—

 

$
(3.4)

 

$

—

 

$
(0.4)

 

$
(3.8)

 

Corporate

 
22.6

 
(1.4)

 

—

 
(3.1)

 
18.1

 

Commercial mortgage-backed securities

 
11.3

 

—

 

—

 
(1.3)

 
10.0

 

Collateralized debt obligations

 

—

 

—

 

—

 
(10.5)

 
(10.5)

 

Other debt obligations

 
20.0

 

—

 

—

 
(1.4)

 
18.6

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
53.9

 
(4.8)

 

—

 
(16.7)

 
32.4

 

Fixed maturities, trading

 

—

 

—

 

—

 
(0.1)

 
(0.1)

 

Derivative assets

 
0.3

 
0.2

 

—

 

—

 
0.5

 

Other investments

 
0.1

 

—

 

—

 

—

 
0.1

 

Separate account assets (5)

 
109.0

 
(86.5)

 
(140.0)

 
78.2

 
(39.3)

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 

—

 

—

 
(0.6)

 
1.2

 
0.6

 

 

 

 

 

For the nine months ended September 30, 2017

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
40.7

 

$
(47.5)

 

$

—

 

$
(1.0)

 

$
(7.8)

 

Corporate

 
97.9

 
(59.1)

 

—

 
(41.8)

 
(3.0)

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
(0.7)

 
(0.7)

 

Collateralized debt obligations

 
22.9

 

—

 

—

 
(13.8)

 
9.1

 

Other debt obligations

 

—

 

—

 

—

 
(0.7)

 
(0.7)

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
161.5

 
(106.6)

 

—

 
(58.0)

 
(3.1)

 

Fixed maturities, trading

 

—

 

—

 

—

 
(92.4)

 
(92.4)

 

Equity securities, trading

 

—

 

—

 

—

 
(0.7)

 
(0.7)

 

Derivative assets

 
2.5

 

—

 

—

 

—

 
2.5

 

Other investments

 
0.6

 
(4.1)

 

—

 

—

 
(3.5)

 

Separate account assets (5)

 
259.0

 
(575.2)

 
(196.8)

 
63.1

 
(449.9)

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 

—

 

—

 
0.1

 
6.4

 
6.5

 

Derivative liabilities

 
(1.2)

 
0.6

 

—

 

—

 
(0.6)

 

Other liabilities

 

—

 

—

 

—

 
60.0

 
60.0

 

 

 

 

 

For the nine months ended September 30, 2016

 

 

 

 

 

 

 

 

 

 

 

Net purchases,

 

 

 

 

 

 

 

 

 

 

 

sales, issuances

 

 

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

and settlements

 

 

 

(in millions)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

Non-U.S. governments

 

$
19.3

 

$
(3.4)

 

$

—

 

$
(1.1)

 

$
14.8

 

Corporate

 
54.4

 
(10.7)

 

—

 
(17.8)

 
25.9

 

Commercial mortgage-backed securities

 
25.0

 

—

 

—

 
(2.0)

 
23.0

 

Collateralized debt obligations

 

—

 

—

 

—

 
(10.7)

 
(10.7)

 

Other debt obligations

 
20.0

 

—

 

—

 
(2.1)

 
17.9

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 
118.7

 
(14.1)

 

—

 
(33.7)

 
70.9

 

Fixed maturities, trading

 

—

 
(18.0)

 

—

 
(0.1)

 
(18.1)

 

Derivative assets

 
0.3

 
0.9

 

—

 

—

 
1.2

 

Other investments

 
0.4

 

—

 

—

 

—

 
0.4

 

Separate account assets (5)

 
399.1

 
(152.6)

 
(280.0)

 
95.4

 
61.9

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 

—

 

—

 
0.5

 
4.5

 
5.0

 

Derivative liabilities

 

—

 
1.0

 

—

 

—

 
1.0

 

Other liabilities

 

—

 
17.4

 

—

 

—

 
17.4

 

 

(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, 2017

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial mortgage-backed securities

 

$

—

 

$

—

 

$

—

 

$
6.1

 

$

—

 

$
50.0

 

Collateralized debt obligations

 

—

 

—

 

—

 
55.4

 

—

 
27.3

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
61.5

 

—

 
77.3

 

Separate account assets

 
5.9

 

—

 
5.4

 
0.5

 

—

 
14.0

 

 

 

 

For the three months ended September 30, 2016

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

Separate account assets

 

$
5.3

 

$

—

 

$

—

 

$

—

 

$

—

 

$
0.1

 

 

 

 

For the nine months ended September 30, 2017

 

 

 

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

 

$

—

 

$

—

 

$

—

 

$
22.2

 

$

—

 

$
37.3

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 
24.1

 

—

 
81.2

 

Collateralized debt obligations

 

—

 

—

 

—

 
143.7

 

—

 
27.3

 

Other debt obligations

 

—

 

—

 

—

 
0.1

 

—

 
88.3

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
190.1

 

—

 
234.1

 

Fixed maturities, trading

 

—

 

—

 

—

 
1.9

 

—

 

—

 

Equity securities, trading

 

—

 

—

 

—

 
0.7

 

—

 

—

 

Separate account assets

 
12.3

 

—

 
5.6

 
2.6

 

—

 
36.4

 

 

 

 

For the nine months ended September 30, 2016

 

 

 

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

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$
32.6

 

Corporate

 

—

 

—

 

—

 
15.7

 

—

 
1.7

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 
2.3

 

Total fixed maturities, available-for-sale

 

—

 

—

 

—

 
15.7

 

—

 
36.6

 

Separate account assets

 
31.7

 

—

 
4.7

 
0.9

 

—

 
0.8

 

 

Quantitative Information about Level 3 Fair Value Measurements (Table)

 

 

September 30, 2017

 

 

 

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

 

$
6.5

 

Discounted cash flow

 

Discount rate (1)

 
2.4%

 
2.4%

 

 

 

 

 

 

 

Illiquidity premium

 

50 basis points (“bps”)

 

50bps

 

 

 

 

 

 

 

Comparability adjustment

 

(25)bps

 

(25)bps

 

 

 

 

 

September 30, 2017

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate

 
50.3

 

Discounted cash flow

 

Discount rate (1)

 

1.6%-7.7%

 
4.5%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 

22bps

 

Commercial mortgage-backed

 

 

 

Discounted cash

 

Discount rate (1)

 

10.1%-20.8%

 
17.8%

 

securities

 
4.3

 

flow

 

Probability of default

 

9.1%-23.7%

 
13.3%

 

 

 

 

 

 

 

Potential loss severity

 

18.0%-47.0%

 
38.7%

 

Other debt obligations

 
2.6

 

Discounted cash flow

 

Discount rate (1)

 
5.0%

 
5.0%

 

 

 

 

 

 

 

Illiquidity premium

 

500bps

 

500bps

 

Other investments

 
34.9

 

Discounted cash flow - equity method real estate investments

 

Discount rate (1)

 
7.5%

 
7.5%

 

 

 

 

 

 

 

Terminal capitalization rate

 
6.8%

 
6.8%

 

 

 

 

 

 

 

Average market rent growth rate

 
2.9%

 
2.9%

 

 

 

 

 

Discounted cash flow - equity method real estate investments - debt

 

Loan to value

 
49.8%

 
49.8%

 

 

 

 

 

 

 

Credit spread rate

 
2.0%

 
2.0%

 

Separate account assets

 
7,301.7

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

2.0%-8.0%

 
4.7%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 

14bps

 

 

 

 

 

 

 

Credit spread rate

 

68bps-695bps

 

273bps

 

 

 

 

 

Discounted cash flow - real estate

 

Discount rate (1)

 

5.8%-9.8%

 
6.9%

 

 

 

 

 

 

 

Terminal capitalization rate

 

4.3%-9.3%

 
6.0%

 

 

 

 

 

 

 

Average market rent growth rate

 

1.8%-4.7%

 
2.9%

 

 

 

 

 

Discounted cash flow - real estate debt

 

Loan to value

 

22.0%-71.5%

 
46.0%

 

 

 

 

 

 

 

Market interest rate

 

3.2%-5.2%

 
3.7%

 

 

 

 

 

September 30, 2017

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(138.2)

 

Discounted cash flow

 

Long duration interest rate

 

2.5% (2)

 

 

 

 

 

 

 

 

 

Long-term equity market volatility

 

18.0%-42.5%

 

 

 

 

 

 

 

 

 

Non-performance risk

 

0.2%-1.4%

 

 

 

 

 

 

 

 

 

Utilization rate

 

See note (3)

 

 

 

 

 

 

 

 

 

Lapse rate

 

1.3%-16.0%

 

 

 

 

 

 

 

 

 

Mortality rate

 

See note (4)

 

 

 

 

 

 

 

December 31, 2016

 

 

 

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

 

$
7.6

 

Discounted cash flow

 

Discount rate (1)

 
2.3%

 
2.3%

 

 

 

 

 

 

 

Illiquidity premium

 

50bps

 

50bps

 

 

 

 

 

 

 

Comparability adjustment

 

(25)bps

 

(25)bps

 

Corporate

 
49.8

 

Discounted cash flow

 

Discount rate (1)

 

1.5%-7.6%

 
4.0%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 

27bps

 

 

 

 

 

 

 

Comparability adjustment

 

0bps-20bps

 

6bps

 

Commercial mortgage-backed

 

 

 

Discounted cash

 

Discount rate (1)

 

3.1%-12.8%

 
10.2%

 

securities

 
49.3

 

flow

 

Probability of default

 

0.0%-10.0%

 
7.8%

 

 

 

 

 

 

 

Potential loss severity

 

0.0%-99.5%

 
39.5%

 

Collateralized debt obligations

 
0.2

 

Discounted cash flow

 

Discount rate (1)

 
95.1%

 
95.1%

 

 

 

 

 

 

 

Probability of default

 
100.0%

 
100.0%

 

 

 

 

 

 

 

Potential loss severity

 
91.2%

 
91.2%

 

Other debt obligations

 
6.8

 

Discounted cash flow

 

Discount rate (1)

 
5.0%

 
5.0%

 

 

 

 

 

 

 

Illiquidity premium

 

500bps

 

500bps

 

Fixed maturities, trading

 
10.5

 

Discounted cash flow

 

Discount rate (1)

 

2.3%-9.0%

 
2.7%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-300bps

 

240bps

 

 

 

 

 

December 31, 2016

 

 

 

Assets /

 

 

 

 

 

 

 

 

 

 

 

(liabilities)

 

 

 

 

 

 

 

 

 

 

 

measured at

 

Valuation

 

Unobservable

 

Input/range of

 

Weighted

 

 

 

fair value

 

technique(s)

 

input description

 

inputs

 

average

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 
36.9

 

Discounted cash flow - equity method real estate investments

 

Discount rate (1)

 
7.6%

 
7.6%

 

 

 

 

 

 

 

Terminal capitalization rate

 
6.8%

 
6.8%

 

 

 

 

 

 

 

Average market rent growth rate

 
2.9%

 
2.9%

 

 

 

 

 

Discounted cash flow - equity method real estate investments - debt

 

Loan to value

 
52.5%

 
52.5%

 

 

 

 

 

 

 

Credit spread rate

 
2.1%

 
2.1%

 

Separate account assets

 
7,225.4

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

1.4%-5.3%

 
3.7%

 

 

 

 

 

 

 

Illiquidity premium

 

0bps-60bps

 

13bps

 

 

 

 

 

 

 

Credit spread rate

 

83bps-472bps

 

227bps

 

 

 

 

 

Discounted cash flow - real estate

 

Discount rate (1)

 

5.8%-16.2%

 
7.0%

 

 

 

 

 

 

 

Terminal capitalization rate

 

4.3%-9.3%

 
6.1%

 

 

 

 

 

 

 

Average market rent growth rate

 

1.8%-4.3%

 
2.9%

 

 

 

 

 

Discounted cash flow - real estate debt

 

Loan to value

 

6.3%-69.7%

 
47.0%

 

 

 

 

 

 

 

Market interest rate

 

3.3%-4.6%

 
3.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Investment contracts

 
(176.5)

 

Discounted cash flow

 

Long duration interest rate

 

 

2.6%-2.7% (2)

 

 

 

 

 

 

 

 

 

Long-term equity market volatility

 

 

16.0%-45.9%

 

 

 

 

 

 

 

 

 

Non-performance risk

 

0.3%-1.7%

 

 

 

 

 

 

 

 

 

Utilization rate

 

See note (3)

 

 

 

 

 

 

 

 

 

Lapse rate

 

0.5%-14.1%

 

 

 

 

 

 

 

 

 

Mortality rate

 

See note (4)

 

 

 

 

(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)

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.

(3)

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.

(4)

This input is based on an appropriate industry mortality table and a range does not provide a meaningful presentation.

 

Fair Value Option (Table)

 

 

September 30, 2017

 

December 31, 2016

 

 

 

(in millions)

 

Commercial mortgage loans of consolidated VIEs (1) (2)

 

 

 

 

 

Fair value

 

$
10.0

 

$
12.4

 

Aggregate contractual principal

 
9.8

 
12.0

 

 

 

 

 

 

 

Obligations of consolidated VIEs (3)

 

 

 

 

 

Fair value

 

—

 
59.9

 

Aggregate unpaid principal

 

—

 
60.0

 

 

 

 

 

 

 

Real estate ventures (1)

 

 

 

 

 

Fair value

 
34.9

 
36.9

 

 

 

 

 

 

 

Investment funds (1)

 

 

 

 

 

Fair value

 
44.0

 
36.9

 

 

(1)

Reported with other investments in the consolidated statements of financial position.

(2)

None of the loans were more than 90 days past due or in non-accrual status.

(3)

Reported with other liabilities in the consolidated statements of financial position.

 

 

 

For the three months ended September 30,

 

For the nine months ended September 30,

 

 

 

2017

 

2016

 

2017

 

2016

 

 

 

(in millions)

 

Commercial mortgage loans of consolidated VIEs

 

 

 

 

 

 

 

 

 

Change in fair value pre-tax loss (1) (2) 

 

$
(0.1)

 

$
(0.1)

 

$
(0.3)

 

$
(0.4)

 

Interest income (3)

 
0.2

 
0.3

 
0.7

 
0.9

 

 

 

 

 

 

 

 

 

 

 

Obligations of consolidated VIEs

 

 

 

 

 

 

 

 

 

Change in fair value pre-tax loss - instrument specific credit risk (2) (4)

 

—

 
(1.6)

 
(0.1)

 
(10.1)

 

Change in fair value pre-tax loss (2)

 

—

 
(1.6)

 
(0.1)

 
(10.1)

 

Interest expense (5)

 

—

 
0.3

 
0.3

 
0.8

 

 

 

 

 

 

 

 

 

 

 

Real estate ventures

 

 

 

 

 

 

 

 

 

Change in fair value pre-tax gain (loss) (6)

 

 

 

 

 

 

 

 

 

 

 
(0.3)

 
0.7

 
1.6

 
1.4

 

Investment funds

 

 

 

 

 

 

 

 

 

Change in fair value pre-tax gain (loss) (6) (7)

 
0.4

 
(2.6)

 
0.6

 
2.5

 

Dividend income (6)

 

—

 

—

 
1.9

 
0.3

 

 

(1)

None of the change in fair value related to instrument-specific credit risk.

(2)

Reported in net realized capital gains (losses) on the consolidated statements of operations.

(3)

Reported in net investment income on the consolidated statements of operations and recorded based on the effective interest rates as determined at the closing of the loan.

(4)

Estimated based on credit spreads and quality ratings.

(5)

Reported in operating expenses on the consolidated statements of operations.

(6)

Reported in net investment income on the consolidated statements of operations.

(7)

Absent the fair value election, the change in fair value on the investments would be reported in OCI.

 

 

 

Financial Instruments Not Reported at Fair Value (Table)

 

 

September 30, 2017

 

 

 

 

 

 

 

Fair value hierarchy level

 

 

 

Carrying amount

 

Fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets (liabilities)

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

$
14,020.4

 

$
14,366.7

 

$

—

 

$

—

 

$
14,366.7

 

Policy loans

 
812.0

 
1,012.3

 

—

 

—

 
1,012.3

 

Other investments

 
224.5

 
229.5

 

—

 
149.5

 
80.0

 

Cash and cash equivalents

 
902.6

 
902.6

 
856.2

 
46.4

 

—

 

Investment contracts

 
(31,237.9)

 
(30,863.9)

 

—

 
(4,859.2)

 
(26,004.7)

 

Short-term debt

 
(58.8)

 
(58.8)

 

—

 
(58.8)

 

—

 

Long-term debt

 
(3,175.4)

 
(3,425.2)

 

—

 
(3,378.8)

 
(46.4)

 

Separate account liabilities

 
(140,715.0)

 
(139,488.4)

 

—

 

—

 
(139,488.4)

 

Bank deposits

 
(2,279.6)

 
(2,275.7)

 
(1,706.5)

 
(569.2)

 

—

 

Cash collateral payable

 
(174.6)

 
(174.6)

 
(174.6)

 

—

 

—

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

Fair value hierarchy level

 

 

 

Carrying amount

 

Fair value

 

Level 1

 

Level 2

 

Level 3

 

 

 

(in millions)

 

Assets (liabilities)

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

$
13,230.2

 

$
13,453.2

 

$

—

 

$

—

 

$
13,453.2

 

Policy loans

 
823.8

 
1,011.0

 

—

 

—

 
1,011.0

 

Other investments

 
230.3

 
236.8

 

—

 
157.7

 
79.1

 

Cash and cash equivalents

 
772.5

 
772.5

 
731.4

 
41.1

 

—

 

Investment contracts

 
(31,089.4)

 
(30,622.6)

 

—

 
(5,400.8)

 
(25,221.8)

 

Short-term debt

 
(51.4)

 
(51.4)

 

—

 
(51.4)

 

—

 

Long-term debt

 
(3,125.7)

 
(3,242.0)

 

—

 
(3,242.0)

 

—

 

Separate account liabilities

 
(127,452.1)

 
(126,282.0)

 

—

 

—

 
(126,282.0)

 

Bank deposits

 
(2,199.8)

 
(2,204.1)

 
(1,585.1)

 
(619.0)

 

—

 

Cash collateral payable

 
(575.7)

 
(575.7)

 
(575.7)

 

—

 

—