Assets and Liabilities Measured at Fair Value on a Recurring Basis

9 Months Ended

Sep. 30, 2024

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 contract owners 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 2023 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 September 30, 2024 and December 31, 2023, using unadjusted quoted prices in active markets for identical assets (Level 1); significant other observable inputs (Level 2); and significant unobservable inputs (Level 3) (in millions):


Description	Level 1: Quoted Prices in Active Markets for Identical Assets		Level 2: Significant Other Observable Inputs		Level 3: Significant Unobservable Inputs		Total at September 30, 2024
Real estate properties	$	—	$	—	$	16,223.8	$	16,223.8
Real estate joint ventures	—		—		5,725.1		5,725.1

Real estate operating business	—		—		897.6		897.6
Marketable securities:

U.S. government agency notes	—		249.2		—		249.2

U.S. treasury securities	—		134.7		—		134.7


Loans receivable(1)	—		—		1,021.7		1,021.7

Loans payable	—		—		(1,741.6)		(1,741.6)
Line of credit	—		—		(72.0)		(72.0)
Other unsecured debt	—		(895.8)		—		(895.8)


Description	Level 1: Quoted Prices in Active Markets for Identical Assets		Level 2: Significant Other Observable Inputs		Level 3: Significant Unobservable Inputs		Total at December 31, 2023
Real estate properties	$	—	$	—	$	18,020.3	$	18,020.3
Real estate joint ventures	—		—		5,881.2		5,881.2

Real estate operating business	—		—		685.9		685.9
Marketable securities:
U.S. government agency notes	—		38.0		—		38.0

U.S. treasury securities	—		109.4		—		109.4


Loans receivable(1)	—		—		1,183.7		1,183.7

Loans payable	—		—		(1,862.5)		(1,862.5)
Line of credit	—		—		(463.0)		(463.0)
Other unsecured debt	—		(881.6)		—		(881.6)

(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 nine months ended September 30, 2024 and 2023 (in millions):


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Line of Credit
For the three months ended September 30, 2024
Beginning balance July 1, 2024	$	16,614.9	$	5,794.4	$	730.5	$	1,077.3	$	24,217.1	$	(1,707.3)	$	(153.0)
Total realized and unrealized (losses) gains included in changes in net assets (1)	(170.2)		(154.5)		97.2		(46.1)		(273.6)		3.7		—
Purchases(2)	108.0		85.2		69.9		23.8		286.9		(58.3)		(72.0)
Sales	(328.9)		—		—		—		(328.9)		—		—
Settlements(4)	—		—		—		(33.3)		(33.3)		20.3		153.0
Ending balance September 30, 2024	$	16,223.8	$	5,725.1	$	897.6	$	1,021.7	$	23,868.2	$	(1,741.6)	$	(72.0)


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Line of Credit
For the nine months ended September 30, 2024
Beginning balance January 1, 2024	$	18,020.3	$	5,881.2	$	685.9	$	1,183.7	$	25,771.1	$	(1,862.5)	$	(463.0)
Total realized and unrealized (losses) gains included in changes in net assets (1)	(1,154.8)		(456.9)		140.4		(159.9)		(1,631.2)		(14.2)		—
Purchases(2)	253.2		311.2		71.3		33.1		668.8		(60.9)		(193.0)
Sales	(894.9)		—		—		—		(894.9)		—		—
Settlements(4)	—		(10.4)		—		(35.2)		(45.6)		196.0		584.0
Ending balance September 30, 2024	$	16,223.8	$	5,725.1	$	897.6	$	1,021.7	$	23,868.2	$	(1,741.6)	$	(72.0)


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Line of Credit		Other Unsecured Debt
For the three months ended September 30, 2023
Beginning balance July 1, 2023	$	19,191.3	$	6,341.5	$	653.6	$	1,365.5	$	27,551.9	$	(1,847.3)	$	—	$	(500.0)
Total realized and unrealized losses included in changes in net assets	(464.7)		(278.1)		(3.5)		(62.3)		(808.6)		(16.3)		—		—
Purchases(2)	75.7		88.2		—		2.7		166.6		(213.5)		(574.0)		—

Settlements(4)	—		(0.2)		—		(0.2)		(0.4)		214.5		64.0		500.0
Ending balance September 30, 2023	$	18,802.3	$	6,151.4	$	650.1	$	1,305.7	$	26,909.5	$	(1,862.6)	$	(510.0)	$	—


	Real Estate Properties		Real Estate Joint Ventures		Real Estate Operating Business		Loans Receivable(3)		Total Level 3 Investments		Loans Payable		Line of Credit		Other Unsecured Debt
For the nine months ended September 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	(1,897.5)		(1,006.3)		(8.2)		(221.6)		(3,133.6)		(39.0)		—		—
Purchases(2)	255.8		179.6		16.4		50.3		502.1		(313.6)		(574.0)		—

Settlements(4)	—		(125.5)		—		(11.6)		(137.1)		559.7		64.0		500.0
Ending balance September 30, 2023	$	18,802.3	$	6,151.4	$	650.1	$	1,305.7	$	26,909.5	$	(1,862.6)	$	(510.0)	$	—

(1)Includes properties acquired through deed-in-lieu of foreclosure agreements.

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

(3)Includes loans receivable with related parties.

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

The following table shows quantitative information about unobservable inputs related to the Level 3 fair value measurements as of September 30, 2024.

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

6.5% - 13.0% (8.6%)

5.5% - 9.5% (6.9%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

5.3% - 13.1% (6.8%)

Industrial

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.8% - 8.5% (7.3%)

5.5% - 7.5% (5.8%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.4% - 6.5% (5.3%)

Residential

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.8% - 7.8% (7.0%)

5.0% - 6.8% (5.6%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.5% - 6.3% (5.1%)

Retail

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.8% - 12.0% (7.7%)

5.5% - 9.4% (6.6%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

5.3% - 8.6% (6.2%)

Hotel

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

10.0%

8.3%

Income Approach—Direct Capitalization

Overall Capitalization Rate

7.8%

Real Estate Operating Business

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Growth Rate

11.5%

9.8%

Market Approach

EBITDA Multiple

30.7x

Terminal EBITDA Multiple

20.0x

Loans Payable

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

40.4% - 78.8% (57.8%)

6.0% - 7.3% (6.3%)

Net Present Value

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

40.4% - 78.8% (57.8%)

1.1 - 1.7 (1.3)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

30.1% - 41.0% (34.3%)

5.9% - 6.7% (6.2%)

Net Present Value

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

30.1% - 41.0% (34.3%)

1.1 - 1.1 (1.1)

Residential

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

32.5% - 72.9% (47.3%)

5.9% - 8.0% (7.0%)

Net Present Value

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

32.5% - 72.9% (47.3%)

1.1 - 1.4 (1.2)

Retail

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

49.1% - 72.3% (57.2%)

5.7% - 7.9% (6.9%)

Net Present Value

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

49.1% - 72.3% (57.2%)

1.1- 1.4 (1.3)

Loans Receivable, including those with related parties

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

52.7% - 107.5% (73.6%)

9.0% - 27.6% (13.6%)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

54.5% - 72.6% (63.6%)

5.5% - 8.5% (6.3%)

Residential

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

37.9% - 72.1% (62.2%)

6.1% - 9.7% (8.5%)

Retail & Hospitality

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

66.9% - 66.9% (66.9%)

21.4% - 21.4% (21.4%)

The following table shows quantitative information about unobservable inputs related to the Level 3 fair value measurements as of December 31, 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

6.5% - 10.3% (7.9%)

5.5% - 8.5% (6.6%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.8% - 11.3% (6.3%)

Industrial

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.5% - 8.3% (7.3%)

5.0% - 7.0% (5.6%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

2.0% - 6.3% (5.0%)

Residential

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.3% - 7.5% (6.8%)

4.8% - 6.0% (5.4%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

4.3% - 5.8% (4.9%)

Retail

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

6.8% - 11.5% (8.0%)

5.3% - 9.0% (6.5%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

5.3% - 8.5% (5.9%)

Hotel

Income Approach—Discounted Cash Flow

Discount Rate
Terminal Capitalization Rate

(10.0%)

(8.3%)

Income Approach—Direct Capitalization

Overall Capitalization Rate

(7.8%)

Real Estate Operating
Business

Income Approach—Discounted Cash Flow

Discount Rate

10.0

Terminal Growth Rate

8.1

Market Approach

EBITDA Multiple

30.0x

Loans Payable

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

35.8% - 103.0% (58.3%)

6.3% - 10.9% (9.0%)

Net Present Value

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

35.8% - 103.0% (58.3%)

1.1 - 2.1 (1.3)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

29.9% - 38.4% (33.4%)

6.7% - 6.9% (6.8%)

Net Present Value

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

29.9% - 38.4% (33.4%)

1.1 - 1.1 (1.1)

Residential

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

30.0% - 74.5% (44.9%)

6.2% - 8.2% (7.1%)

Net Present Value

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

30.0% - 74.5% (44.9%)

1.1 - 1.3 (1.2)

Retail

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

48.7% - 83.8% (58.8%)

6.0% - 7.1% (6.5%)

Net Present Value

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

48.7% - 83.8% (58.8%)

1.1 - 1.9 (1.4)

Loans Receivable,
including those with
related parties

Office

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

48.0% - 136.1% (83.8%)

6.5% - 52.7% (13.4%)

Industrial

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

34.4% - 66.0% (50.0%)

2.5% - 8.5% (5.4%)

Residential

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

39.1% - 70.8% (55.0%)

3.2% - 8.6% (7.5%)

Retail &
Hospitality

Discounted Cash Flow

Loan to Value Ratio
Equivalency Rate

54.9% - 73.3% (64.2%)

7.3% - 13.6% (9.5%)

(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 nine months ended September 30, 2024 and 2023, there were no transfers between Levels 1, 2 or 3.

The amount of total net unrealized (losses) gains 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 September 30, 2024	$	(130.2)	$	(165.5)	$	97.2	$	(46.1)	$	(244.6)	$	3.8
For the nine months ended September 30, 2024	$	(1,133.6)	$	(482.6)	$	140.4	$	(68.8)	$	(1,544.6)	$	(14.1)
For the three months ended September 30, 2023	$	(464.3)	$	(291.5)	$	(3.5)	$	(62.3)	$	(821.6)	$	(16.3)
For the nine months ended September 30, 2023	$	(1,897.1)	$	(1,062.6)	$	(8.2)	$	(221.6)	$	(3,189.5)	$	(39.0)

(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.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
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-Name Accounting Standards Codification
-Section 55
-Paragraph 107
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-URI https://asc.fasb.org/1943274/2147482078/820-10-55-107

Reference 2: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
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-URI https://asc.fasb.org/1943274/2147482078/820-10-55-100

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
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-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
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Reference 5: http://www.xbrl.org/2003/role/disclosureRef
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-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E

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-Topic 820
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Reference 9: http://www.xbrl.org/2003/role/disclosureRef
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-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
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Reference 11: http://www.xbrl.org/2003/role/disclosureRef
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-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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-Publisher FASB
-URI https://asc.fasb.org/1943274/2147478119/940-820-50-1

+ Details