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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Measurements

Fair Value (Table)

June 30, 2020

Assets/

Amount

(liabilities)

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

issuances

balance

as of

net

other

and

Transfers

as of

April 1,

income

comprehensive

settlements

into

out of

June 30,

2020

(2)

income (3)

(4)

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

as of

January 1,

income

comprehensive

settlements

into

out of

June 30,

2020

(2)

income (3)

(4)

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,

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

Other debt obligations

—

(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

of Level 1 into

of Level 2 into

of Level 3 into

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

of Level 1 into

of Level 2 into

of Level 3 into

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

1,087.0

21.7

—

Investment contracts

(34,476.0)

(35,424.5)

—

(3,885.8)

(31,538.7)

Short-term debt

(76.3)

—

(76.3)

—

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)

—


	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.