Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2017

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

	September 30, 2017				December 31, 2016
	Total		Total		Total		Total
	assets		liabilities		assets		liabilities
	(in millions)
Grantor trusts (1)	$	258.2	$	242.5	$	233.3	$	212.3
Collateralized private investment vehicle (2)	—		—		82.4		61.5
CMBS	10.1		—		12.5		—
Mandatory retirement savings funds (3)	40,473.3		40,099.7		36,526.7		36,202.8
Real estate (4)	318.6		14.2		329.2		26.8
Sponsored investment funds (5)	144.2		1.7		114.3		0.9

Total	$	41,204.4	$	40,358.1	$	37,298.4	$	36,504.3

(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 vehicle were primarily fixed maturities, trading. The liabilities included derivative liabilities and an obligation to redeem notes at maturity or termination of the trusts, which were 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 other liabilities.

(5)

The assets of sponsored investment funds are primarily fixed maturities and equity securities, which are reported in other investments, and cash. The consolidated statements of financial position included a $50.1 million and $58.8 million redeemable noncontrolling interest for sponsored investment funds as of September 30, 2017 and December 31, 2016, respectively.

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, 2017
Fixed maturities, available-for-sale:
Corporate	$	405.1	$	337.3
Residential mortgage-backed pass-through securities	2,637.9		2,591.0
Commercial mortgage-backed securities	3,749.5		3,761.3
Collateralized debt obligations	1,239.2		1,249.3
Other debt obligations	5,375.9		5,351.2
Fixed maturities, trading:
Residential mortgage-backed pass-through securities	15.9		15.9
Commercial mortgage-backed securities	0.7		0.7
Equity securities, trading	82.3		82.3
Other investments:
Other limited partnership and fund interests	743.7		1,325.7

December 31, 2016
Fixed maturities, available-for-sale:
Corporate	$	368.4	$	298.6
Residential mortgage-backed pass-through securities	2,834.7		2,798.0
Commercial mortgage-backed securities	4,096.5		4,153.2
Collateralized debt obligations	758.6		780.1
Other debt obligations	5,036.1		5,048.9
Fixed maturities, trading:
Residential mortgage-backed pass-through securities	19.9		19.9
Commercial mortgage-backed securities	1.9		1.9
Collateralized debt obligations	10.6		10.6
Equity securities, trading	68.3		68.3
Other investments:
Other limited partnership and fund interests	654.6		1,127.8

(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.