We have relationships with and may have a variable interest in various types of special purpose entities. Following is a discussion of our interest in entities that meet the definition of a VIE. When we are the primary beneficiary, we are required to consolidate the entity in our financial statements. The primary beneficiary of a VIE is defined as the enterprise with (1) the power to direct the activities of a VIE that most significantly impact the entity's economic performance and (2) the obligation to absorb losses of the entity or the right to receive benefits from the entity that could potentially be significant to the VIE. On an ongoing basis, we assess whether we are the primary beneficiary of VIEs we have relationships with.

We contributed undated subordinated floating rate notes to three grantor trusts. The trusts separated the cash flows by issuing an interest-only certificate and a residual certificate related to each note contributed. Each interest-only certificate entitles the holder to interest on the stated note for a specified term, while the residual certificate entitles the holder to interest payments subsequent to the term of the interest-only certificate and to all principal payments. We retained the interest-only certificates and the residual certificates were subsequently sold to third parties. We have determined these grantor trusts are VIEs due to insufficient equity to sustain them. We determined we are the primary beneficiary as a result of our contribution of securities into the trusts and our continuing interest in the trusts.

We invest in synthetic CDOs, collateralized bond obligations, collateralized loan obligations, collateralized commodity obligations and other collateralized structures, which are VIEs due to insufficient equity to sustain the entities (collectively known as "collateralized private investment vehicles"). The performance of the notes of these structures is primarily linked to a synthetic portfolio by derivatives; each note has a specific loss attachment and detachment point. The notes and related derivatives are collateralized by a pool of permitted investments. The investments are held by a trustee and can only be liquidated to settle obligations of the trusts. These obligations primarily include derivatives, financial guarantees and the notes due at maturity or termination of the trusts. We determined we are the primary beneficiary for certain of these entities because we act as the investment manager of the underlying portfolio and we have an ownership interest.

We sold commercial mortgage loans to a real estate mortgage investment conduit trust. The trust issued various commercial mortgage-backed securities ("CMBS") certificates using the cash flows of the underlying commercial mortgages it purchased. This is considered a VIE due to insufficient equity to sustain itself. We have determined we are the primary beneficiary as we retained the special servicing role for the assets within the trust as well as the ownership of the bond class that controls the unilateral kick out rights of the special servicer.

We are a general partner with an insignificant equity ownership in various hedge funds. These entities are deemed VIEs due to the equity owners not having decision-making ability. We have determined we are the primary beneficiary of these entities due to our control through our management relationship, related party ownership and our fee structure in certain of these funds.

The carrying amounts of our consolidated VIE assets, which can only be used to settle obligations of consolidated VIEs, and liabilities of consolidated VIEs for which creditors do not have recourse are as follows:

	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

We did not provide financial or other support to investees designated as VIEs for the years ended December 31, 2011 and 2010.

We hold a variable interest in a number of VIEs where we are not the primary beneficiary. Our investments in these VIEs are reported in fixed maturities, available-for-sale; fixed maturities, trading and other investments in the consolidated statements of financial position and are described below.

VIEs include CMBS, residential mortgage-backed pass-through securities ("RMBS") and ABS. All of these entities were deemed VIEs because the equity within these entities is insufficient to sustain them. We determined we are not the primary beneficiary in any of the entities within these categories of investments. This determination was based primarily on the fact we do not own the class of security that controls the unilateral right to replace the special servicer or equivalent function.

As previously discussed, we invest in several types of collateralized private investment vehicles, which are VIEs. These include cash and synthetic structures that we do not manage. We have determined we are not the primary beneficiary of these collateralized private investment vehicles primarily because we do not control the economic performance of the entities and were not involved with the design of the entities.

We have invested in various VIE trusts as a debt holder. All of these entities are classified as VIEs due to insufficient equity to sustain them. We have determined we are not the primary beneficiary primarily because we do not control the economic performance of the entities and were not involved with the design of the entities.

We have invested in partnerships, some of which are classified as VIEs. The partnership returns are in the form of return of capital, interest income or income tax credits. These entities are classified as VIEs as the general partner does not have an equity investment at risk in the entity. We have determined we are not the primary beneficiary because we are not the general partner, who makes all the significant decisions for the entity.

The carrying value and maximum loss exposure for our unconsolidated VIEs were as follows:

	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

We are the investment manager for certain money market mutual funds that are deemed to be VIEs. We are not the primary beneficiary of these VIEs since our involvement is limited primarily to being a service provider, and our variable interest does not absorb the majority of the variability of the entities' net assets. As of both December 31, 2011 and 2010, these VIEs held $1.7 billion in total assets. During 2010, we chose to contribute $3.2 million to these VIEs for competitive reasons and have no contractual obligation to further contribute to the funds.

We provide asset management and other services to certain investment structures that are considered VIEs as we generally earn management fees and in some instances performance-based fees. We are not the primary beneficiary of these entities as we do not have the obligation to absorb losses of the entities that could be potentially significant to the VIE or the right to receive benefits from these entities that could be potentially significant.