Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

Variable Interest Entities

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

			Collateralized
			private investment
	Grantor trusts		vehicles		CMBS		Hedge funds (2)		Total
	(in millions)
September 30, 2012
Fixed maturities, available-for-sale	$	180.3	$	—	$	—	$	—	$	180.3
Fixed maturities, trading	—		132.4		—		—		132.4
Other investments	—		—		81.3		—		81.3
Accrued investment income	0.5		—		0.6		—		1.1
Premiums due and other receivables	0.1		—		—		—		0.1
Total assets	$	180.9	$	132.4	$	81.9	$	—	$	395.2
Deferred income taxes	$	1.9	$	—	$	—	$	—	$	1.9
Other liabilities (1)	137.4		126.7		48.4		—		312.5
Total liabilities	$	139.3	$	126.7	$	48.4	$	—	$	314.4
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

(1)Grantor trusts contain an embedded derivative of a forecasted transaction to deliver the underlying securities; collateralized private investment vehicles include derivative liabilities 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 noncontrolling interest for hedge funds as of December 31, 2011.

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

			Maximum exposure to
	Asset carrying value		loss (1)
	(in millions)
September 30, 2012
Fixed maturities, available-for-sale:
Corporate	$	484.8	$	400.9
Residential mortgage-backed pass-through securities	3,265.3		3,034.6
Commercial mortgage-backed securities	3,838.4		4,115.9
Collateralized debt obligations	380.8		439.9
Other debt obligations	3,749.7		3,745.6
Fixed maturities, trading:
Residential mortgage-backed pass-through securities	96.4		96.4
Commercial mortgage-backed securities	2.8		2.8
Collateralized debt obligations	55.7		55.7
Other debt obligations	17.4		17.4
Other investments:
Other limited partnership interests	126.0		126.0
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	122.1		122.1

(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.