Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2016

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

	March 31, 2016				December 31, 2015
	Total		Total		Total		Total
	assets		liabilities		assets		liabilities
	(in millions)
Grantor trusts (1)	$	232.3	$	214.9	$	257.9	$	231.8
Collateralized private investment vehicles (2)	100.4		84.5		100.4		85.9
CMBS	16.7		—		18.4		—
Mandatory retirement savings funds (3)	36,023.4		35,696.0		33,941.3		33,639.3
Real estate (4)	406.9		66.9		384.2		71.3
Sponsored investment funds (5)	271.7		2.2		—		—

Total	$	37,051.4	$	36,064.5	$	34,702.2	$	34,028.3

(1)

The assets of grantor trusts are primarily fixed maturities, available-for-sale. The liabilities are primarily other liabilities that reflect an embedded derivative of the forecasted transaction to deliver the underlying securities.

(2)

The assets of the collateralized private investment vehicles are primarily fixed maturities, trading. The liabilities include derivative liabilities and an obligation to redeem notes at maturity or termination of the trusts, which are reported in other liabilities.

(3)

The assets of the mandatory retirement savings funds include separate account assets and equity securities, trading. The liabilities include separate account liabilities and contractholder funds.

(4)

The assets of the real estate VIEs primarily include real estate, other investments and cash. Liabilities primarily include long-term debt and other liabilities.

(5)

The assets of sponsored investment funds are primarily fixed maturities and equity securities reported in other investments and cash. The consolidated statements of financial position included a $195.6 million redeemable noncontrolling interest for sponsored investment funds as of March 31, 2016.

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

			Maximum exposure to
	Asset carrying value		loss (1)
	(in millions)
March 31, 2016
Fixed maturities, available-for-sale:
Corporate	$	472.6	$	364.1
Residential mortgage-backed pass-through securities	2,627.6		2,516.4
Commercial mortgage-backed securities	4,179.6		4,194.2
Collateralized debt obligations	752.0		783.5
Other debt obligations	4,624.1		4,592.7
Fixed maturities, trading:
Residential mortgage-backed pass-through securities	24.2		24.2
Commercial mortgage-backed securities	2.2		2.2
Collateralized debt obligations	35.4		35.4
Equity securities, trading	81.4		81.4
Other investments:
Other limited partnership and fund interests	639.5		1,123.4

December 31, 2015
Fixed maturities, available-for-sale:
Corporate	$	453.4	$	359.8
Residential mortgage-backed pass-through securities	2,627.5		2,549.4
Commercial mortgage-backed securities	3,919.8		3,932.5
Collateralized debt obligations	667.5		692.7
Other debt obligations	4,530.8		4,527.3
Fixed maturities, trading:
Residential mortgage-backed pass-through securities	25.9		25.9
Commercial mortgage-backed securities	2.3		2.3
Collateralized debt obligations	35.1		35.1
Other investments:
Other limited partnership and fund interests	255.6		255.6

(1)

Our risk of loss is limited to our initial investment measured at amortized cost for fixed maturities, available-for-sale. Our risk of loss is limited to our investment measured at fair value for our fixed maturities, trading and equity securities, trading. Our risk of loss is limited to our carrying value plus any unfunded commitments and/or guarantees for our other investments. Unfunded commitments are not liabilities on our consolidated statements of financial position because we are only required to fund additional equity when called upon to do so by the general partner or investment manager.