Assets and Liabilities Measured at Fair Value on a Recurring Basis

6 Months Ended

Jun. 30, 2023

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Valuation Hierarchy: The Account’s fair value measurements are grouped into three levels, as defined by the FASB. The levels are defined as follows:

•Level 1 fair value inputs are quoted prices for identical items in active, liquid and visible markets such as stock exchanges.

•Level 2 fair value inputs are observable information for similar items in active or inactive markets, and appropriately consider counterparty creditworthiness in the valuations.

•Level 3 fair value inputs reflect our best estimate of inputs and assumptions market participants would use in pricing an asset or liability at the measurement date. The inputs are unobservable in the market and significant to the valuation estimate.

An asset or liability's categorization within the valuation hierarchy described above is based upon the lowest level of input that is significant to the fair value measurement. Real estate fund investments are excluded from the valuation hierarchy, as these investments are fair valued using their net asset value as a practical expedient since market quotations or values from independent pricing services are not readily available. See Note 1—Organization and Significant Accounting Policies of the Account's 2022 Form 10-K for further discussion regarding the use of a practical expedient for the valuation of real estate funds.

The following tables show the major categories of assets and liabilities measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, using unadjusted quoted prices in active markets for identical assets (Level 1); significant other observable inputs (Level 2); and significant unobservable inputs (Level 3); and fair value using the practical expedient (millions):


Description	Level 1: Quoted Prices in Active Markets for Identical Assets		Level 2: Significant Other Observable Inputs		Level 3: Significant Unobservable Inputs		Fair Value Using Practical Expedient		Total at June 30, 2023
Real estate properties	$	—	$	—	$	19,191.3	$	—	$	19,191.3
Real estate joint ventures	—		—		6,341.5		—		6,341.5
Real estate funds	—		—		—		892.7		892.7
Real estate operating business	—		—		653.6		—		653.6
Marketable securities:

U.S. government agency notes	—		627.3		—		—		627.3

U.S. treasury securities	—		12.0		—		—		12.0


Loans receivable(1)	—		—		1,365.5		—		1,365.5
Total Investments at June 30, 2023	$	—	$	639.3	$	27,551.9	$	892.7	$	29,083.9
Loans payable	$	—	$	—	$	(1,847.3)	$	—	$	(1,847.3)

Other unsecured debt	$	—	$	(854.4)	$	(500.0)	$	—	$	(1,354.4)


Description	Level 1: Quoted Prices in Active Markets for Identical Assets		Level 2: Significant Other Observable Inputs		Level 3: Significant Unobservable Inputs		Fair Value Using Practical Expedient		Total at December 31, 2022
Real estate properties	$	—	$	—	$	20,444.0	$	—	$	20,444.0
Real estate joint ventures	—		—		7,103.6		—		7,103.6
Real estate funds	—		—		—		893.4		893.4
Real estate operating business	—		—		641.9		—		641.9
Marketable securities:
U.S. government agency notes	—		902.9		—		—		902.9
Foreign government agency notes	—		16.9		—		—		16.9
U.S. treasury securities	—		574.0		—		—		574.0
Corporate bonds	—		536.4		—		—		536.4

Loans receivable(1)	—		—		1,488.6		—		1,488.6
Total Investments at December 31, 2022	$	—	$	2,030.2	$	29,678.1	$	893.4	$	32,601.7
Loans payable	$	—	$	—	$	(2,069.7)	$	—	$	(2,069.7)

Other unsecured debt	$	—	$	(453.1)	$	(500.0)	$	—	$	(953.1)

(1) Includes loans receivable with related parties.

The following tables show the reconciliation of the beginning and ending balances for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and six months ended June 30, 2023 and 2022 (in millions):


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Other Unsecured Debt
For the three months ended June 30, 2023
Beginning balance April 1, 2023	$	20,057.9	$	6,762.1	$	636.0	$	1,450.2	$	28,906.2	$	(2,129.9)	$	(500.0)
Total realized and unrealized (losses) gains included in changes in net assets	(945.4)		(350.9)		1.2		(116.3)		(1,411.4)		(15.9)		—
Purchases(1)	78.8		55.2		16.4		35.1		185.5		(1.1)		—
Sales	—		—		—		—		—		—		—
Settlements(2)	—		(124.9)		—		(3.5)		(128.4)		299.6		—
Ending balance June 30, 2023	$	19,191.3	$	6,341.5	$	653.6	$	1,365.5	$	27,551.9	$	(1,847.3)	$	(500.0)


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Other Unsecured Debt
For the six months ended June 30, 2023
Beginning balance January 1, 2023	$	20,444.0	$	7,103.6	$	641.9	$	1,488.6	$	29,678.1	$	(2,069.7)	$	(500.0)
Total realized and unrealized (losses) included in changes in net assets	(1,432.8)		(728.2)		(4.7)		(159.3)		(2,325.0)		(22.7)		—
Purchases(1)	180.1		91.4		16.4		47.6		335.5		(100.0)		—
Sales	—		—		—		—		—		—		—
Settlements(2)	—		(125.3)		—		(11.4)		(136.7)		345.1		—
Ending balance June 30, 2023	$	19,191.3	$	6,341.5	$	653.6	$	1,365.5	$	27,551.9	$	(1,847.3)	$	(500.0)


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Other Unsecured Debt
For the three months ended June 30, 2022
Beginning balance April 1, 2022	$	20,179.1	$	7,253.3	$	487.6	$	1,329.2	$	29,249.2	$	(2,338.0)	$	(500.0)
Total realized and unrealized gains (losses) included in changes in net assets	977.6		239.3		140.4		(83.2)		1,274.1		46.1		—
Purchases(1)	308.3		230.4		—		312.3		851.0		(6.1)		—
Sales(4)	(176.4)		—		—		—		(176.4)		—		—
Settlements(2)	—		(80.1)		—		(0.2)		(80.3)		5.0		—
Ending balance June 30, 2022	$	21,288.6	$	7,642.9	$	628.0	$	1,558.1	$	31,117.6	$	(2,293.0)	$	(500.0)


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Other Unsecured Debt
For the six months ended June 30, 2022
Beginning balance January 1, 2022	$	18,903.9	$	7,175.9	$	326.3	$	1,492.6	$	27,898.7	$	(2,380.5)	$	(500.0)
Total realized and unrealized gains (losses) included in changes in net assets	2,181.6		362.1		200.8		(82.2)		2,662.3		49.8		—
Purchases(1)	537.1		481.8		100.9		317.5		1,437.3		(9.1)		—
Sales(4)	(334.0)		—		—		(161.4)		(495.4)		—		—
Settlements(2)	—		(376.9)		—		(8.4)		(385.3)		46.8		—
Ending balance June 30, 2022	$	21,288.6	$	7,642.9	$	628.0	$	1,558.1	$	31,117.6	$	(2,293.0)	$	(500.0)

(1)Includes purchases, contributions for joint ventures, capital expenditures, lending for loans receivable, assumption of loans payable and term loan borrowings.

(2)Includes operating income for real estate joint ventures net of distributions, payments of loans receivable, and payments of loans payable and line of credit.

(3)Includes loans receivable with related parties.

(4)Real estate properties amount shown is inclusive of post closing realized losses.

The following table shows quantitative information about unobservable inputs related to the Level 3 fair value measurements as of June 30, 2023.

Type

Asset Class

Valuation
Technique(s)

Unobservable

Inputs(1)

Range (Weighted Average)

Real Estate Properties and Joint Ventures

Office

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.3% - 9.5% (7.4%)

5.0% - 8.5% (6.2%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.0% - 8.0% (5.8%)

Industrial

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.0% - 8.3% (7.0%)

4.5% - 7.0% (5.3%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

1.8% - 6.3% (4.7%)

Apartment

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.0% - 7.3% (6.5%)

4.5% - 5.8% (5.1%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.0% - 5.5% (4.6%)

Retail

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.3% - 11.5% (7.4%)

5.0% - 8.8% (6.1%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.8% - 8.3% (5.6%)

Hotel

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

10.0%

8.0%

Income Approach—Direct Capitalization

Overall Capitalization Rate

7.5%

Real Estate Operating Business

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Growth Rate

10.0%

8.2%

Market Approach

EBITDA Multiple

30.0x

Loans Payable

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

35.7% - 82.5% (55.0%)

5.2% - 7.7% (6.1%)

Type

Asset Class

Valuation
Technique(s)

Unobservable

Inputs(1)

Range (Weighted Average)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital Risk Premium Multiple

35.7% - 82.5% (55.0%)

1.1 - 1.9 (1.3)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

28.6% - 36.5% (31.8%)

5.5% - 5.6% (5.5%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital Risk Premium Multiple

28.6% - 36.5% (31.8%)

1.1 - 1.1 (1.1)

Apartment

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

27.9% - 70.1% (42.1%)

5.6% - 7.5% (6.4%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital Risk Premium Multiple

27.9% - 70.1% (42.1%)

1.1 - 1.3 (1.1)

Retail

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

47.9% - 79.7% (56.9%)

5.7% - 6.6% (6.0%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital Risk Premium Multiple

47.9% - 79.7% (56.9%)

1.2- 1.7 (1.3)

Loans Receivable, including those with related parties

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

41.0% - 105.0% (68.0%)

6.7% - 17.2% (10.6%)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

49.5% - 66.0% (57.8%)

5.3% - 8.3% (6.0%)

Apartment

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

39.6% - 70.2% (61.8%)

6.1% - 8.5% (7.7%)

Retail & Hospitality

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

12.1% - 56.6% (34.4%)

10.0% - 12.4% (12.3%)

The following table shows quantitative information about unobservable inputs related to the Level 3 fair value measurements as of June 30, 2022.

Type

Asset Class

Valuation
Technique(s)

Unobservable

Inputs(1)

Range (Weighted Average)

Real Estate Properties and Joint Ventures

Office

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

5.8% - 9.8% (6.6%)

4.5% - 8.5% (5.5%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.0% - 8.0% (5.0%)

Industrial

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

4.8% - 8.0% (5.8%)

3.3% - 6.8% (4.4%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

1.8% - 6.0% (3.8%)

Apartment

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

5.3% - 7.0% (5.8%)

4.0% - 5.5% (4.5%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

3.5% - 5.0% (4.0%)

Retail

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.0% - 11.5% (7.0%)

5.0% - 8.5% (5.6%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.5% - 8.3% (5.2%)

Hotel

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

9.8% (9.8%)

7.8% (7.8%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

7.5% (7.5%)

Real Estate Operating
Business

Income Approach—Discounted Cash Flow

Discount Rate

9.8

Terminal Growth Rate

7.1

Market Approach

EBITDA Multiple

28.3x

Loans Payable

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

35.6% - 70.1% (46.2%)

3.5% - 5.0% (4.1%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital
Risk Premium Multiple

35.6% - 70.1% (46.2%)

1.2 - 1.3 (1.2)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

28.3% - 36.3% (31.5%)

4.5% - 4.7% (4.6%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital
Risk Premium Multiple

28.3% - 36.3% (31.5%)

1.1 - 1.2 (1.2)

Apartment

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

24.8% - 66.4% (39.1%)

1.9% - 4.4% (3.2%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital
Risk Premium Multiple

24.8% - 66.4% (39.1%)

1.2 - 1.4 (1.2)

Type

Asset Class

Valuation
Technique(s)

Unobservable

Inputs(1)

Range (Weighted Average)

Retail

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

42.5% - 73.8% (46.0%)

4.1% - 5.1% (4.4%)

Net Present Value

Loan to Value Ratio
Weighted Average Cost of Capital Risk Premium Multiple

42.5% - 73.8% (46.0%)

1.2 - 1.5 (1.3)

Loans Receivable,
including those with
related parties

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

40.4% - 94.7% (72.2%)

2.7% - 9.6% (6.3%)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

49.5% - 66.0% (57.8%)

2.9% - 6.6% (3.8%)

Apartment

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

36.4% - 76.5% (47.5%)

2.9% - 8.6% (4.7%)

Retail &
Hospitality

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

57.1% - 79.8% (65.6%)

2.2% - 7.8% (4.0%)

(1) Equivalency Rate is defined as the prevailing market interest rate used to discount the contractual loan payments.

Significant increases (decreases) in any of those inputs in isolation would result in significantly lower (higher) fair value measurements, respectively.

Line of Credit and Other Unsecured Debt: The Account's line of credit and term loans are recorded at par as Management believes par approximates fair value due to the short-term nature of the credit facility.

During the six months ended June 30, 2023 and 2022, there were no transfers between Levels 1, 2 or 3.

The amount of total net unrealized gains (losses) included in changes in net assets relating to Level 3 investments and loans payable using significant unobservable inputs still held as of the reporting date is as follows (millions):


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(1)		Total Level 3 Investments		Loans Payable
For the three months ended June 30, 2023	$	(945.4)	$	(380.0)	$	1.2	$	(116.3)	$	(1,440.5)	$	(15.9)
For the six months ended June 30, 2023	$	(1,432.8)	$	(771.1)	$	(4.7)	$	(159.3)	$	(2,367.9)	$	(22.7)
For the three months ended June 30, 2022	$	966.1	$	279.4	$	140.4	$	(83.1)	$	1,302.8	$	46.1
For the six months ended June 30, 2022	$	2,168.4	$	405.0	$	200.8	$	(82.2)	$	2,692.0	$	49.8

(1) Amount shown is reflective of loans receivable and loans receivable with related parties.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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