XML 45 R33.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value Measurements  
Fair Value (Table)

June 30, 2020

Assets/

Amount

(liabilities)

measured at

measured at

net asset

Fair value hierarchy level

    

fair value

    

value (4)

    

Level 1

    

Level 2

    

Level 3

(in millions)

Assets

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,875.0

$

$

1,460.2

$

414.8

$

Non-U.S. governments

1,006.9

1.0

1,005.9

States and political subdivisions

8,713.6

8,713.6

Corporate

43,586.8

43,311.8

275.0

Residential mortgage-backed pass-through securities

3,323.6

3,323.6

Commercial mortgage-backed securities

4,706.5

4,693.4

13.1

Collateralized debt obligations (1)

3,506.0

3,503.2

2.8

Other debt obligations

7,550.8

7,479.6

71.2

Total fixed maturities, available-for-sale

74,269.2

1,461.2

72,445.9

362.1

Fixed maturities, trading

583.8

0.5

583.3

Equity securities

1,778.5

617.9

1,160.6

Derivative assets (2)

531.4

530.3

1.1

Other investments

769.0

75.6

255.6

399.1

38.7

Cash equivalents

2,041.7

69.8

1,971.9

Sub-total excluding separate account assets

79,973.6

75.6

2,405.0

77,091.1

401.9

Separate account assets

155,936.3

135.4

89,113.4

57,866.2

8,821.3

Total assets

$

235,909.9

$

211.0

$

91,518.4

$

134,957.3

$

9,223.2

Liabilities

Investment and universal life contracts (3)

$

(576.0)

$

$

$

$

(576.0)

Derivative liabilities (2)

(192.8)

(177.5)

(15.3)

Other liabilities

(0.1)

(0.1)

Total liabilities

$

(768.9)

$

$

$

(177.6)

$

(591.3)

Net assets

$

235,141.0

$

211.0

$

91,518.4

$

134,779.7

$

8,631.9

December 31, 2019

Assets/

Amount

(liabilities)

measured at

measured at

net asset

Fair value hierarchy level

    

fair value

    

value (4)

    

Level 1

    

Level 2

    

Level 3

(in millions)

Assets

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,724.2

$

$

1,320.0

$

404.2

$

Non-U.S. governments

 

996.2

 

1.4

994.8

States and political subdivisions

 

7,490.0

 

7,490.0

Corporate

 

40,647.4

 

18.5

40,547.2

81.7

Residential mortgage-backed pass-through securities

 

2,982.4

 

2,982.4

Commercial mortgage-backed securities

 

4,850.2

 

4,837.3

12.9

Collateralized debt obligations (1)

 

3,215.3

 

3,016.3

199.0

Other debt obligations

 

8,200.5

 

8,109.2

91.3

Total fixed maturities, available-for-sale

 

70,106.2

 

1,339.9

68,381.4

384.9

Fixed maturities, trading

 

675.9

 

0.5

675.1

0.3

Equity securities

 

1,879.4

 

645.8

1,233.6

Derivative assets (2)

 

294.7

 

265.4

29.3

Other investments

 

796.0

 

78.3

335.2

343.5

39.0

Cash equivalents

 

1,299.0

 

40.9

1,258.1

Sub-total excluding separate account assets

 

75,051.2

 

78.3

2,362.3

72,157.1

453.5

Separate account assets

 

165,468.0

 

129.0

95,652.5

60,718.5

8,968.0

Total assets

$

240,519.2

$

207.3

$

98,014.8

$

132,875.6

$

9,421.5

Liabilities

Investment and universal life contracts (3)

$

(214.2)

$

$

$

$

(214.2)

Derivative liabilities (2)

 

(217.7)

 

(201.4)

(16.3)

Other liabilities (3)

 

(98.9)

 

(98.9)

Total liabilities

$

(530.8)

$

$

$

(300.3)

$

(230.5)

Net assets

$

239,988.4

$

207.3

$

98,014.8

$

132,575.3

$

9,191.0

(1)

Primarily consists of collateralized loan obligations backed by secured corporate loans.

(2)

Within the consolidated statements of financial position, derivative assets are reported with other investments and derivative liabilities are reported with other liabilities. The amounts are presented gross in the tables above to reflect the presentation on the consolidated statements of financial position; however, are presented net for purposes of the rollforward in the Changes in Level 3 Fair Value Measurements tables. Refer to Note 4, Derivative Financial Instruments, for further information on fair value by class of derivative instruments.

(3)

Includes bifurcated embedded derivatives that are reported at net asset (liability) fair value within the same line item in the consolidated statements of financial position in which the host contract is reported.

(4)

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 $12.4 million and $19.9 million as of June 30, 2020 and December 31, 2019, 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 June 30, 2020

Total realized/unrealized

Beginning

gains (losses)

Net

Ending

asset/

purchases,

asset/

(liability)

sales,

(liability)

balance

Included in

Included in

issuances

balance

as of

net 

other

and

Transfers

Transfers

as of

April 1,

income

comprehensive

settlements

into

out of

June 30, 

    

2020

    

(2)

    

income (3)

    

(4)

    

Level 3

    

Level 3

    

2020

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

170.3

$

$

5.7

$

(15.7)

$

217.3

$

(102.6)

$

275.0

Commercial mortgage-backed securities

 

14.4

(0.9)

(0.4)

13.1

Collateralized debt obligations

 

171.3

(0.9)

(0.5)

0.2

(167.3)

2.8

Other debt obligations

 

104.9

1.7

(15.8)

(19.6)

71.2

Total fixed maturities, available-for-sale

 

460.9

(1.8)

6.5

(31.3)

217.3

(289.5)

362.1

Fixed maturities, trading

0.3

(0.3)

Other investments

 

36.0

2.4

0.3

38.7

Separate account assets (1)

 

8,866.7

8.5

(53.9)

8,821.3

Liabilities

Investment and universal life contracts

 

(555.4)

(18.3)

(2.3)

(576.0)

Derivatives

 

Net derivative assets (liabilities)

 

(15.6)

2.5

(1.1)

(14.2)

For the three months ended June 30, 2019

Total realized/unrealized

Beginning

gains (losses)

Net

Ending

asset/

purchases,

asset/

(liability)

sales,

(liability)

balance

Included in

Included in

issuances

balance

as of

net

other

and

Transfers

Transfers

as of

April 1,

income

comprehensive

settlements

into

out of

June 30, 

    

2019

    

(2)

    

income (3)

    

(4)

    

Level 3

    

Level 3

    

2019

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

4.2

$

$

$

(0.3)

$

$

$

3.9

Corporate

 

58.5

(13.8)

44.7

Commercial mortgage-backed securities

 

12.0

(3.2)

2.9

3.7

(2.3)

13.1

Collateralized debt obligations

 

5.9

0.5

(1.6)

30.0

34.8

Other debt obligations

 

43.4

0.5

16.0

59.9

Total fixed maturities, available-for-sale

 

124.0

(3.2)

3.9

0.3

33.7

(2.3)

156.4

Fixed maturities, trading

0.5

0.5

Equity securities

 

0.4

(0.4)

Other investments

 

29.4

0.1

(0.4)

29.1

Separate account assets (1)

 

8,718.7

138.9

0.5

4.2

(172.5)

8,689.8

Liabilities

Investment and universal life contracts

 

(40.5)

(76.2)

(0.2)

(1.8)

(118.7)

Derivatives

Net derivative assets (liabilities)

 

3.4

6.6

5.8

15.8

For the six months ended June 30, 2020

Total realized/unrealized

Beginning

gains (losses)

Net

Ending

asset/

purchases,

asset/

(liability)

sales,

(liability)

balance

Included

Included in

issuances

balance

as of

in net

other

and

Transfers

Transfers

as of

January 1,

income

comprehensive

settlements

into

out of

June 30, 

    

2020

    

(2)

    

income (3)

    

(4)

    

Level 3

    

Level 3

    

2020

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

81.7

$

$

(10.6)

$

10.8

$

342.0

$

(148.9)

$

275.0

Commercial mortgage-backed securities

 

12.9

(0.9)

1.1

13.1

Collateralized debt obligations

 

199.0

(1.0)

(22.6)

142.0

(314.6)

2.8

Other debt obligations

 

91.3

(1.4)

(2.7)

46.1

(62.1)

71.2

Total fixed maturities, available-for-sale

 

384.9

(1.9)

(33.5)

150.1

388.1

(525.6)

362.1

Fixed maturities, trading

 

0.3

(0.3)

Other investments

 

39.0

2.3

(2.9)

0.3

38.7

Separate account assets (1)

 

8,968.0

153.1

(299.8)

8,821.3

Liabilities

Investment and universal life contracts

 

(214.2)

(358.7)

(0.3)

(2.8)

(576.0)

Derivatives

Net derivative assets (liabilities)

 

13.0

1.8

(2.5)

(26.5)

(14.2)

For the six months ended June 30, 2019

Total realized/unrealized

Beginning

gains (losses)

Net

Ending

asset/

purchases,

asset/

(liability)

sales,

(liability)

balance

Included

Included in

issuances

balance

as of

in net

other

and

Transfers

Transfers

as of

January 1,

income

comprehensive

settlements

into

out of

June 30,

    

2019

    

(2)

    

income (3)

    

(4)

    

Level 3

    

Level 3

    

2019

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

4.6

$

$

$

(0.7)

$

$

$

3.9

Corporate

 

57.9

0.4

(13.6)

44.7

Commercial mortgage-backed securities

 

9.5

(3.2)

3.2

2.2

3.7

(2.3)

13.1

Collateralized debt obligations

 

8.3

(2.5)

0.3

(1.3)

30.0

34.8

Other debt obligations

 

58.5

1.6

25.8

(26.0)

59.9

Total fixed maturities, available-for-sale

 

138.8

(5.7)

5.5

12.4

33.7

(28.3)

156.4

Fixed maturities,trading

 

0.5

0.5

Other investments

 

17.2

2.3

(0.4)

10.0

29.1

Separate account assets (1)

 

8,615.5

313.5

0.1

(66.1)

(173.2)

8,689.8

Liabilities

Investment and universal life contracts

 

(45.2)

(71.9)

(0.1)

(1.5)

(118.7)

Derivatives

Net derivative assets (liabilities)

 

3.1

5.0

7.7

15.8

(1) 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.
(2)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 securities with an investment objective to realize economic value through mark-to-market changes are reported in net investment income within the consolidated statements of operations. Changes in unrealized gains (losses) included in net income relating to positions still held were:

For the three months ended

For the six months ended

June 30,

June 30,

2020

2019

    

2020

    

2019

(in millions)

Assets

  

  

Fixed maturities, available-for-sale:

 

  

 

  

Commercial mortgage-backed securities

$

(0.9)

$

(2.1)

$

(0.9)

$

(2.1)

Collateralized debt obligations

(0.9)

(1.0)

(2.5)

Total fixed maturities, available-for-sale

(1.8)

(2.1)

 

(1.9)

 

(4.6)

Other investments

2.4

0.1

 

2.3

 

2.3

Separate account assets

12.5

126.4

 

138.9

 

327.2

Liabilities

 

 

Investment and universal life contracts

(1.4)

(75.5)

 

(368.3)

 

(70.3)

Derivatives

Net derivative assets (liabilities)

2.6

11.2

0.5

8.9

(3)Includes foreign currency translation adjustments related to our Principal International segment. Changes in unrealized gains (losses) included in OCI relating to positions still held were:

For the three

For the six

months ended

months ended

June 30, 2020

June 30, 2020

(in millions)

Assets

    

    

Fixed maturities, available-for-sale:

Corporate

$

5.7

$

(0.3)

Commercial mortgage-backed securities

(0.4)

1.1

Collateralized debt obligations

(0.5)

(0.9)

Total fixed maturities, available-for-sale

4.8

(0.1)

Other investments

(2.9)

Liabilities

Investment and universal life contracts

(0.3)

(4)Gross purchases, sales, issuances and settlements were:

For the three months ended June 30, 2020

Net purchases,

sales, issuances

    

Purchases

    

Sales

    

Issuances

Settlements

    

and settlements

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

7.4

$

(0.5)

$

$

(22.6)

$

(15.7)

Collateralized debt obligations

0.2

0.2

Other debt obligations

(15.8)

(15.8)

Total fixed maturities, available-for-sale

7.4

(0.5)

(38.2)

(31.3)

Other investments

0.3

0.3

Separate account assets (5)

0.4

(1.5)

(52.6)

(0.2)

(53.9)

Liabilities

Investment and universal life contracts

(5.5)

3.2

(2.3)

Derivatives

Net derivative assets (liabilities)

(1.1)

(1.1)

For the three months ended June 30, 2019

Net purchases,

sales, issuances

    

Purchases

    

Sales

    

Issuances

Settlements

    

and settlements

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

$

$

$

(0.3)

$

(0.3)

Corporate

5.2

(0.2)

(18.8)

(13.8)

Collateralized debt obligations

(1.6)

(1.6)

Other debt obligations

16.8

(0.8)

16.0

Total fixed maturities, available-for-sale

22.0

(0.2)

(21.5)

0.3

Fixed maturities, trading

0.5

0.5

Other investments

4.5

(4.9)

(0.4)

Separate account assets (5)

41.0

(112.8)

(156.5)

232.5

4.2

Liabilities

Investment and universal life contracts

(3.5)

1.7

(1.8)

Derivatives

Net derivative assets (liabilities)

5.8

5.8

For the six months ended June 30, 2020

Net purchases,

sales, issuances

    

Purchases

    

Sales

    

Issuances

Settlements

    

and settlements

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

34.9

$

(1.0)

$

$

(23.1)

$

10.8

Collateralized debt obligations

141.8

0.2

142.0

Other debt obligations

14.3

(17.0)

(2.7)

Total fixed maturities, available-for-sale

191.0

(1.0)

(39.9)

150.1

Other investments

0.3

0.3

Separate account assets (5)

68.0

(185.6)

(226.8)

44.6

(299.8)

Liabilities

Investment and universal life contracts

(12.2)

9.4

(2.8)

Derivatives

Net derivative assets (liabilities)

(2.5)

(2.5)

For the six months ended June 30, 2019

Net purchases,

sales, issuances

    

Purchases

    

Sales

    

Issuances

Settlements

    

and settlements

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

$

$

$

(0.7)

$

(0.7)

Corporate

5.7

(0.4)

(18.9)

(13.6)

Commercial mortgage-backed securities

2.4

(0.2)

2.2

Collateralized debt obligations

(1.3)

(1.3)

Other debt obligations

26.8

(1.0)

25.8

Total fixed maturities, available-for-sale

34.9

(0.4)

(22.1)

12.4

Fixed maturities, trading

0.5

0.5

Other investments

4.5

(4.9)

(0.4)

Separate account assets (5)

120.0

(214.5)

(203.8)

232.2

(66.1)

Liabilities

Investment and universal life contracts

(4.8)

3.3

(1.5)

Derivatives

Net derivative assets (liabilities)

7.7

7.7

(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, 2020

    

Transfers out

    

Transfers out

    

Transfers out

    

Transfers out

of Level 1 into

of Level 2 into

of Level 3 into

of Level 3 into

Level 3

Level 3

Level 1

Level 2

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

$

217.3

$

$

102.6

Collateralized debt obligations

167.3

Other debt obligations

19.6

Total fixed maturities, available-for-sale

217.3

289.5

Fixed maturities, trading

0.3

For the three months ended June 30, 2019

    

Transfers out

    

Transfers out

    

Transfers out

    

Transfers out

of Level 1 into

of Level 2 into

of Level 3 into

of Level 3 into

Level 3

Level 3

Level 1

Level 2

(in millions)

Assets

Fixed maturities, available-for-sale:

Commercial mortgage-backed securities

$

$

3.7

$

$

2.3

Collateralized debt obligations

30.0

Total fixed maturities, available-for-sale

33.7

2.3

Separate account assets

172.5

For the six months ended June 30, 2020

    

Transfers out

    

Transfers out

    

Transfers out

    

Transfers out

of Level 1 into

of Level 2 into

of Level 3 into

of Level 3 into

Level 3

Level 3

Level 1

Level 2

(in millions)

Assets

Fixed maturities, available-for-sale:

Corporate

$

$

342.0

$

$

148.9

Collateralized debt obligations

314.6

Other debt obligations

46.1

62.1

Total fixed maturities, available-for-sale

388.1

525.6

Fixed maturities, trading

0.3

Derivatives

Net derivative assets (liabilities)

26.5

For the six months ended June 30, 2019

    

Transfers out

    

Transfers out

    

Transfers out

    

Transfers out

of Level 1 into

of Level 2 into

of Level 3 into

of Level 3 into

Level 3

Level 3

Level 1

Level 2

(in millions)

Assets

Fixed maturities, available-for-sale:

Commercial mortgage-backed securities

$

$

3.7

$

$

2.3

Collateralized debt obligations

30.0

Other debt obligations

26.0

Total fixed maturities, available-for-sale

 

 

33.7

 

 

28.3

Other investments

10.0

Separate account assets

 

 

 

 

173.2

Quantitative Information about Level 3 Fair Value Measurements (Table)

June 30, 2020

    

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:

Corporate

$

241.5

 

Discounted cash flow

 

Discount rate (1)

0.6

%-

8.0

%

5.7

%

 

Illiquidity premium

 

0

basis points ("bps")-

138

bps

36

bps

Comparability adjustment

0

bps-

364

bps

141

bps

Commercial mortgage-backed securities

 

1.4

 

Discounted cash flow

 

Probability of default

100.0

%

100.0

%

 

Potential loss severity

 

72.0

%

72.0

%

Collateralized debt obligations

 

0.7

 

Discounted cash flow

 

Potential loss severity

 

41.3

%

41.3

%

Probability of default

100.0

%

100.0

%

Other debt obligations

 

0.7

 

Discounted cash flow

 

Discount rate (1)

 

5.0

%

5.0

%

 

Illiquidity premium

 

500

bps

500

bps

Other investments

 

37.3

 

Discounted cash flow - other investments

 

Discount rate (1)

 

25.0

% -

30.0

%

27.5

%

Terminal earnings before interest, taxes, depreciation and amortization multiple

3.8

x-

4.7

x

4.2

x

Market comparables - other investments

Revenue multiples (2)

0.8

x-

7.0

x

3.8

x

Discounted cash flow - real estate

Discount rate (1)

7.3

%

7.3

%

Terminal capitalization rate

5.3

%

5.3

%

 

Average market rent growth

 

2.3

%

2.3

%

Discounted cash flow - real estate debt

Loan to value

55.5

%

55.5

%

Credit spread

2.9

%

2.9

%

Separate account assets

 

8,820.7

 

Discounted cash flow - mortgage loans

 

Discount rate (1)

 

1.7

%

1.7

%

 

Illiquidity premium

 

60

bps

60

bps

 

Credit spread rate

 

158

bps

158

bps

 

Discounted cash flow - real estate

 

Discount rate (1)

 

5.5

%-

11.8

%

6.6

%

 

Terminal capitalization rate

 

4.5

%-

9.3

%

5.6

%

 

Average market rent growth rate

 

1.5

%-

4.6

%

2.8

%

 

Discounted cash flow - real estate debt

 

Loan to value

 

9.0

%-

80.6

%

47.0

%

 

Market interest rate

 

2.8

%-

5.3

%

3.6

%

Liabilities

    

    

    

    

    

    

    

      

    

Investment and universal life contracts (6)

(576.0)

 

Discounted cash flow

 

Long duration interest rate

0.9

(3)

0.9

%

 

Long-term equity market volatility

 

16.9

%-

28.1

%

19.3

%

 

Non-performance risk

 

0.5

%-

2.1

%

1.4

%

 

Utilization rate

 

See note (4)

 

Lapse rate

 

0.0

% -

18.0

%

6.1

%

 

Mortality rate

 

See note (5)

December 31, 2019

    

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:

Corporate

$

72.5

 

Discounted cash flow

 

Discount rate (1)

 

1.9

%-

5.1

%

3.8

%

 

Illiquidity premium

 

0

bps-

410

bps

152

bps

Commercial mortgage-backed securities

 

2.4

 

Discounted cash flow

 

Probability of default

100.0

%

100.0

%

 

Potential loss severity

 

53.1

%

53.1

%

Collateralized debt obligations

 

108.7

 

Discounted cash flow

 

Discount rate (1)

2.9

%-

10.0

%

3.4

%

 

Potential loss severity

 

23.0

%

23.0

%

Probability of default

100.0

%

100.0

%

Other debt obligations

 

1.2

 

Discounted cash flow

 

Discount rate (1)

 

5.0

%

5.0

%

 

Illiquidity premium

 

500

bps

500

bps

Other investments

 

14.8

 

Discounted cash flow

 

Discount rate (1)

 

25.0

%-

30.0

%

27.5

%

Terminal earnings before interest, taxes, depreciation and amortization multiple

3.5

x-

4.5

x

4.0

x

Market comparables

 

Revenue multiples (2)

 

0.8

x-

7.0

x

4.1

x

Separate account assets

 

8,966.2

 

Discounted cash flow -
mortgage loans

 

Discount rate (1)

 

2.8

%

2.8

%

 

Illiquidity premium

 

60

bps

60

bps

 

Credit spread rate

 

120

bps

120

bps

 

Discounted cash flow -
real estate

 

Discount rate (1)

 

5.5

%-

11.8

%

6.7

%

 

Terminal capitalization rate

 

4.5

%-

9.3

%

5.7

%

 

Average market rent growth rate

 

2.0

%-

4.7

%

3.0

%

 

Discounted cash flow -
real estate debt

 

Loan to value

 

8.0

%-

80.4

%

45.9

%

 

Market interest rate

 

3.2

%-

5.8

%

3.6

%

Liabilities

    

    

    

    

    

    

Investment and universal life contracts (6)

 

(214.2)

 

Discounted cash flow

 

Long duration interest rate

 

2.0

%-

2.1

% (3)

 

Long-term equity market volatility

 

15.0

%-

26.9

%

 

Non-performance risk

 

0.2

%-

1.3

%

 

Utilization rate

 

See note (4)

 

Lapse rate

 

0.0

%-

18.0

%

 

Mortality rate

 

See note (5)

(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 illiquidity or other adjustments, where applicable.
(2)Revenue multiples are amounts used when we have determined market participants would use such multiples to value the investments.
(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.
(6)Includes bifurcated embedded derivatives that are reported at net asset (liability) fair value within the same line item in the consolidated statements of financial position in which the host contract is reported.
Fair Value Option (Table)

    

June 30, 2020

    

December 31, 2019

(in millions)

Real estate ventures (1)

 

  

 

  

Fair value

$

25.4

$

22.8

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

For the three months ended June 30, 

For the six months ended June 30, 

    

2020

    

2019

    

2020

    

2019

(in millions)

Commercial mortgage loans of consolidated VIEs

 

  

 

  

Interest income (1)

$

$

0.1

$

0.2

Real estate ventures

 

  

 

  

Change in fair value pre-tax gain (2)

 

2.4

0.1

 

2.3

2.3

(1)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.
(2)Reported in net investment income on the consolidated statements of operations.

Financial Instruments Not Reported at Fair Value (Table)

June 30, 2020

Fair value hierarchy level

    

Carrying amount

    

Fair value

    

Level 1

    

Level 2

    

Level 3

(in millions)

Assets (liabilities)

 

 

 

 

Mortgage loans

$

16,696.6

$

17,686.6

$

$

$

17,686.6

Policy loans

 

796.4

 

1,091.7

 

 

 

1,091.7

Other investments

 

318.5

 

311.6

 

 

212.7

 

98.9

Cash and cash equivalents

 

1,108.7

 

1,108.7

 

1,087.0

 

21.7

 

Investment contracts

 

(34,476.0)

(35,424.5)

(3,885.8)

(31,538.7)

Short-term debt

 

(76.3)

(76.3)

(76.3)

Long-term debt

 

(4,163.4)

(4,714.0)

(4,672.8)

(41.2)

Separate account liabilities

 

(142,189.8)

(141,064.7)

(141,064.7)

Bank deposits (1)

 

(449.8)

(457.3)

(457.3)

Cash collateral payable

 

(384.0)

(384.0)

(384.0)

December 31, 2019

Fair value hierarchy level

    

Carrying amount

    

Fair value

    

Level 1

    

Level 2

    

Level 3

(in millions)

Assets (liabilities)

Mortgage loans

$

16,486.9

$

17,214.7

$

$

$

17,214.7

Policy loans

 

798.0

 

1,030.8

 

 

 

1,030.8

Other investments

 

278.8

 

273.1

 

 

180.3

 

92.8

Cash and cash equivalents

 

1,216.9

 

1,216.9

 

1,193.3

 

23.6

 

Investment contracts

 

(33,922.2)

(34,001.3)

(4,304.5)

(29,696.8)

Short-term debt

 

(93.4)

(93.4)

(93.4)

Long-term debt

 

(3,734.1)

(4,122.9)

(4,015.3)

(107.6)

Separate account liabilities

 

(151,132.4)

(149,955.6)

(149,955.6)

Bank deposits (1)

 

(469.6)

(468.3)

(468.3)

Cash collateral payable

 

(156.8)

(156.8)

(156.8)

(1)Excludes deposit liabilities without defined or contractual maturities.