Reconciliation for All Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Table)

For the three months ended March 31, 2012

Changes in

Beginning

Net

Ending

unrealized

asset/

Total realized/unrealized

purchases,

asset/

gains (losses)

(liability)

gains (losses)

sales,

(liability)

included in net

balance

Included in

issuances

balance

income

as of

Included in

other

and

Transfers

as of

relating to

December 31,

net income

comprehensive

settlements

into

out of

March 31,

positions still

2011

(1)

income

(4)

Level 3

2012

held (1)

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

22.9

$

(2.2

)

$

0.1

$

1.5

$

14.5

$

—

$

36.8

$

(2.2

)

Corporate

297.0

(2.6

)

2.0

(16.6

)

3.4

(80.5

)

202.7

(2.7

)

Collateralized debt obligations

102.5

(0.1

)

3.1

0.5

—

(27.0

)

79.0

(0.1

)

Other debt obligations

27.3

(0.7

)

(1.3

)

(25.2

)

6.0

—

6.1

(0.7

)

Total fixed maturities, available-for-sale

449.7

(5.6

)

3.9

(39.8

)

23.9

(107.5

)

324.6

(5.7

)

Fixed maturities, trading

220.8

(1.7

)

5.3

(18.2

)

—

206.2

(2.4

)

Equity securities, available-for-sale

18.0

—

(0.5

)

—

17.5

—

Derivative assets

60.2

(14.6

)

—

1.7

—

47.3

(13.6

)

Other investments

97.5

(0.9

)

—

(6.8

)

—

89.8

(0.8

)

Separate account assets (2)

4,198.2

86.9

0.1

3.4

0.3

(1.7

)

4,287.2

77.7

Liabilities

Investments-type insurance contracts

(195.8

)

68.8

—

(2.0

)

—

(129.0

)

68.1

Derivative liabilities

(177.1

)

25.4

1.3

8.1

—

(142.3

)

26.4

Other liabilities (3)

(24.2

)

(16.5

)

—

(40.7

)

(16.5

)


	For the three months ended March 31, 2011																				Changes in
	Beginning									Net								Ending			unrealized
	asset/			Total realized/unrealized						purchases,								asset/			gains (losses)
	(liability)			gains (losses)						sales,								(liability)			included in net
	balance			Included in			Included in			issuances								balance			income
	as of			net			other			and			Transfers		Transfers			as of			relating to
	December 31,			income			comprehensive			settlements			into		out of			March 31,			positions still
	2010			(1)			income			(4)			Level 3		Level 3			2011			held (1)
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	24.5		$	—		$	—		$	—		$	—	$	—		$	24.5		$	—
Corporate	552.1			(7.9		)	4.7			(11.2		)	27.5		(20.0		)	545.2			(7.9		)
Commercial mortgage-backed securities	16.2			—			2.6			0.2			—		—			19.0			—
Collateralized debt obligations	109.3			(10.3		)	14.7			(1.3		)	—		(1.3		)	111.1			(10.3		)
Other debt obligations	88.8			—			0.5			(1.2		)	0.4		—			88.5			—
Total fixed maturities, available-for-sale	790.9			(18.2		)	22.5			(13.5		)	27.9		(21.3		)	788.3			(18.2		)
Fixed maturities, trading	269.1			(4.1		)	—			4.6			—		—			269.6			(3.1		)
Equity securities, available-for-sale	43.2			—			5.0			—			—		—			48.2			—
Derivative assets	33.3			6.3			(0.1		)	(0.1		)	—		—			39.4			6.2
Other investments	128.3			(2.1		)	—			(4.0		)	—		—			122.2			(2.1		)
Separate account assets (2)	3,771.5			73.7			(0.3		)	(17.3		)	3.1		(31.2		)	3,799.5			71.8

Liabilities
Investment-type insurance contracts	(6.6		)	(4.5		)	—			6.9			—		—			(4.2		)	(4.3		)
Derivative liabilities	(181.5		)	1.4			2.0			(6.9		)	—		—			(185.0		)	2.5
Other liabilities (3)	(156.8		)	4.4			0.2			(6.7		)	—		—			(158.9		)	4.4

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

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

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

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

For the three months ended March 31, 2012

Net purchases,

sales, issuances

Purchases

Sales

Issuances

Settlements

and settlements

(in millions)

Assets

Fixed maturities, available-for-sale:

Non-U.S. governments

$

71.1

$

(69.3

)

$

—

$

(0.3

)

$

1.5

Corporate

12.3

(26.6

)

—

(2.3

)

(16.6

)

Collateralized debt obligations

—

0.5

Other debt obligations

—

(25.2

)

(25.2

)

Total fixed maturities, available-for-sale

83.4

(95.9

)

—

(27.3

)

(39.8

)

Fixed maturities, trading

—

(0.9

)

—

(17.3

)

(18.2

)

Derivative assets

2.5

(0.8

)

—

1.7

Other investments

—

(6.8

)

(6.8

)

Separate account assets

174.0

(130.7

)

(134.9

)

95.0

3.4

Liabilities

Investment-type insurance contracts

—

(3.3

)

1.3

(2.0

)

Derivative liabilities

(0.7

)

8.8

—

8.1

	For the three months ended March 31, 2011
												Net purchases,
												sales, issuances
	Purchases			Sales			Issuances		Settlements			and settlements
	(in millions)
Assets
Fixed maturities, available-for-sale:
Corporate	$	7.6		$	(16.5	)	$	—	$	(2.3	)	$	(11.2	)
Commercial mortgage-backed securities	—			—			—		0.2			0.2
Collateralized debt obligations	0.3			(0.4		)	—		(1.2		)	(1.3		)
Other debt obligations	—			—			—		(1.2		)	(1.2		)
Total fixed maturities, available-for-sale	7.9			(16.9		)	—		(4.5		)	(13.5		)
Fixed maturities, trading	10.0			(5.3		)	—		(0.1		)	4.6
Derivative assets	—			(0.1		)	—		—			(0.1		)
Other investments	—			—			—		(4.0		)	(4.0		)
Separate account assets	35.2			(44.7		)	—		(7.8		)	(17.3		)

Liabilities
Investment-type insurance contracts	—			—			6.3		0.6			6.9
Derivative liabilities	(9.4		)	2.5			—		—			(6.9		)
Other liabilities	(2.1		)	—			—		(4.6		)	(6.7		)

Quantitative Information about Level 3 Fair Value Measurements (Table)

	As of March 31, 2012
	Assets /
	(liabilities)				Input/range of
	measured at		Valuation	Unobservable	inputs [weighted
	fair value		technique(s)	input description	average]
	(in millions)
Assets
Fixed maturities, available-for-sale:
Non-U.S. governments	$	13.9	Discounted cash flow	Discount rate (1)	2.3% [2.3%]
				Illiquidity premium	25 basis points (“bps”) [25bps]
Corporate	69.5		Discounted cash flow	Discount rate (1)	0.3%-41.0% [13.0%]
				Illiquidity premium	0bps-200bps [83bps]
				Comparability adjustment	0bps-130bps [12bps]
				Earnings before interest, taxes, depreciation and amortization multiple	4.5x [4.5x]
			Recovery value	Discount rate (1)	6.2% [6.2%]
				Illiquidity premium	600bps [600bps]
				Probability of default	50.0% [50.0%]
				Potential loss severity	47.0% [47.0%]
Collateralized debt obligations	41.2		Discounted cash flow	Discount rate (1)	2.1%-11.5% [8.0%]
				Illiquidity premium	400bps-1,000bps [815bps]
Other debt obligations	6.1		Discounted cash flow	Discount rate (1)	20.0% [20.0%]
Fixed maturities, trading	31.2		Discounted cash flow	Discount rate (1)	2.3%-61.0% [8.0%]
				Illiquidity premium	0bps-1,400bps [440bps]
	132.4		See note (2)
Other investments	89.8		Discounted cash flow	Discount rate (1)	4.3% [4.3%]
				Illiquidity premium	345bps [345bps]

	As of March 31, 2012
	Assets /
	(liabilities)				Input/range of
	measured at		Valuation	Unobservable	inputs [weighted
	fair value		technique(s)	input description	average]
	(in millions)
Separate account assets	4,123.8		Discounted cash flow - mortgage loans	Discount rate (1)	0.9%-9.3% [4.1%]
				Illiquidity premium	0bps-50bps
				Credit spread rate	60bps-885bps [332bps]
			Discounted cash flow - real estate	Discount rate (1)	6.5%-10.5% [8.2%]
				Terminal capitalization rate	5.5%-9.5% [7.3%]
				Average market rent growth rate	2.2%-6.1% [3.4%]

Liabilities
Investment-type insurance contracts	(129.0	)	Discounted cash flow	Long duration interest rate	2.9%-3.0% (3)
				Long-term equity market volatility	16.1%-43.4%
				Non-performance risk	0.7%-2.3%
				Utilization rate	See note (4)
				Lapse rate	0.5%-16.0%
				Mortality rate	See note (5)
Derivative liabilities	(86.5	)	See note (2)
Other liabilities	(40.7	)	See note (2)

(1) Represents market comparable interest rate or an index adjusted rate used as the base rate in the discounted cash flow analysis prior to any credit spread, illiquidity or other adjustments, where applicable.

(2) Relates to a consolidated collateralized private investment vehicle that is a VIE. Fixed maturity, trading represents the underlying collateral of the investment structure and consists of high-grade fixed maturity investments, which are over-collateralized based on outstanding notes priced at par. The derivative liability represents credit default swaps that are valued using a correlation model to the credit default swap (“CDS”) Index (“CDX”) and inputs to the valuation are based on observable market data such as the end of period swap curve, CDS constituents of the index and spread levels of the index, as well as CDX tranche spreads. The other liabilities represent obligations to third party note holders due at maturity or termination of the trust. The value of the obligations reflect the third parties’ interest in the investment structure.

(3) Represents the range of rate curves used in the valuation analysis that we have determined market participants would use when pricing the instrument. Derived from interpolation between observable 20 and 30-year swap rates.

(4) This input factor is the number of contractholders taking withdrawals as well as the amount and timing of the withdrawals and a range does not provide a meaningful presentation.

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