Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2011

Variable Interest Entities

Carrying Amounts of Assets and Liabilities of Consolidated Variable Interest Entities (Table)

	Grantor trusts		Collateralized private investment vehicles		CMBS		Hedge funds (2)		Total
	(in millions)
December 31, 2011
Fixed maturities, available-for-sale	$	199.2	$	15.0	$	—	$	—	$	214.2
Fixed maturities, trading		—		132.4		—		—		132.4
Equity securities, trading		—		—		—		207.6		207.6
Other investments		—		—		97.5		0.3		97.8
Cash and cash equivalents		—		—		—		317.7		317.7
Accrued investment income		1.2		0.1		0.6		—		1.9
Premiums due and other receivables		—		—		—		39.1		39.1
Total assets	$	200.4	$	147.5	$	98.1	$	564.7	$	1,010.7
Deferred income taxes	$	2.2	$	—	$	—	$	—	$	2.2
Other liabilities (1)		136.9		143.8		64.5		220.0		565.2
Total liabilities	$	139.1	$	143.8	$	64.5	$	220.0	$	567.4
December 31, 2010
Fixed maturities, available-for-sale	$	243.1	$	14.8	$	—	$	—	$	257.9
Fixed maturities, trading		—		131.4		—		—		131.4
Equity securities, trading		—		—		—		158.6		158.6
Other investments		—		—		128.4		0.3		128.7
Cash and cash equivalents		—		55.0		—		45.0		100.0
Accrued investment income		0.7		0.1		0.8		—		1.6
Premiums due and other receivables		—		1.6		—		13.9		15.5
Total assets	$	243.8	$	202.9	$	129.2	$	217.8	$	793.7
Deferred income taxes	$	2.4	$	—	$	—	$	—	$	2.4
Other liabilities (1)		135.8		132.6		94.1		71.1		433.6
Total liabilities	$	138.2	$	132.6	$	94.1	$	71.1	$	436.0

(1)

Grantor trusts contain an embedded derivative of a forecasted transaction to deliver the underlying securities; collateralized private investment vehicles include derivative liabilities, financial guarantees and obligation to redeem notes at maturity or termination of the trust; CMBS includes obligation to the bondholders; and hedge funds include liabilities to securities brokers.

(2)

The consolidated statements of financial position included a $343.6 million and $145.9 million noncontrolling interest for hedge funds as of December 31, 2011 and December 31, 2010, respectively.

Asset Carrying Value and Maximum Loss Exposure of Unconsolidated Variable Interest Entities (Table)

	Asset carrying value		Maximum exposure to loss (1)
	(in millions)
December 31, 2011
Fixed maturities, available-for-sale:
Corporate	$	544.0	$	392.6
Residential mortgage-backed pass-through securities		3,343.0		3,155.8
Commercial mortgage-backed securities		3,413.7		3,894.3
Collateralized debt obligations		338.8		399.7
Other debt obligations		3,570.2		3,606.9
Fixed maturities, trading:
Residential mortgage-backed pass-through securities		105.6		105.6
Commercial mortgage-backed securities		12.0		12.0
Collateralized debt obligations		51.4		51.4
Other debt obligations		64.9		64.9
Other investments:
Other limited partnership interests		76.3		76.3
December 31, 2010
Fixed maturities, available-for-sale:
Corporate	$	429.0	$	367.7
Residential mortgage-backed pass-through securities		3,196.2		3,077.9
Commercial mortgage-backed securities		3,842.2		4,424.9
Collateralized debt obligations		293.0		380.5
Other debt obligations		3,114.1		3,184.9
Fixed maturities, trading:
Residential mortgage-backed pass-through securities		215.5		215.5
Commercial mortgage-backed securities		5.1		5.1
Collateralized debt obligations		87.2		87.2
Other debt obligations		118.8		118.8
Other investments:
Other limited partnership interests		71.7		71.7

(1)

Our risk of loss is limited to our initial investment measured at amortized cost for fixed maturities, available-for-sale and other investments. Our risk of loss is limited to our initial investment measured at fair value for our fixed maturities, trading.