Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2022

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


	September 30, 2022				December 31, 2021
	Total		Total		Total		Total
	assets		liabilities		assets		liabilities

	(in millions)
Mandatory retirement savings funds (1)	$	29,985.2	$	29,691.3	$	34,687.0	$	34,301.8
Real estate (2)		651.1		48.3		709.6		36.1
Sponsored investment funds (3)		434.7		6.2		609.4		2.5
Residential mortgage loans (4)		1,498.3		44.2		1,263.2		20.3
Total	$	32,569.3	$	29,790.0	$	37,269.2	$	34,360.7

(1)	The assets of the mandatory retirement savings funds primarily include separate account assets and equity securities. The liabilities primarily include separate account liabilities and contractholder funds.

(2)	The assets of the real estate VIEs primarily include real estate, other investments and cash. Liabilities primarily include other liabilities.

(3)

The assets of sponsored investment funds are primarily fixed maturities and equity securities, certain of which are reported with other investments, and cash. The consolidated statements of financial position included a $228.2 million and $304.0 million redeemable noncontrolling interest for sponsored investment funds as of September 30, 2022 and December 31, 2021, respectively.

(4)	The assets of the residential mortgage loans VIEs primarily include residential mortgage loans. The liabilities primarily include other liabilities.

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, 2022
Fixed maturities, available-for-sale:
Corporate	$	240.1	$	768.8
Residential mortgage-backed pass-through securities		1,737.8		1,959.9
Commercial mortgage-backed securities		4,988.3		5,642.9
Collateralized debt obligations (2)		3,994.7		4,128.9
Other debt obligations		6,040.5		6,750.3
Fixed maturities, trading:
Residential mortgage-backed pass-through securities		4.8		4.8
Commercial mortgage-backed securities		84.7		84.7
Collateralized debt obligations (2)		6.2		6.2
Other debt obligations		80.7		80.7
Equity securities		91.9		91.9
Other investments:
Other limited partnership and fund interests (3)		1,400.7		2,317.7

December 31, 2021
Fixed maturities, available-for-sale:
Corporate	$	142.1	$	136.9
Residential mortgage-backed pass-through securities		3,152.9		3,122.3
Commercial mortgage-backed securities		5,562.2		5,436.2
Collateralized debt obligations (2)		3,559.6		3,564.7
Other debt obligations		7,560.4		7,487.8
Fixed maturities, trading:
Residential mortgage-backed pass-through securities		117.4		117.4
Commercial mortgage-backed securities		25.6		25.6
Collateralized debt obligations (2)		7.5		7.5
Other debt obligations		8.2		8.2
Equity securities		115.4		115.4
Other investments:
Other limited partnership and fund interests (3)		1,209.6		2,053.8

(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. Our risk of loss is limited to our carrying value plus any unfunded commitments and/or guarantees and similar provisions for our other investments. A carrying value of zero is used if distributions have been received in excess of our investment, resulting in a negative carrying value for the investment. 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.

(2)	Primarily consists of collateralized loan obligations backed by secured corporate loans.

(3)

As of September 30, 2022 and December 31, 2021, the maximum exposure to loss for other limited partnership and fund interests includes $102.2 million and $130.5 million, respectively, of debt within certain of our managed international real estate funds that is fully secured by assets whose value exceeds the amount of the debt, but also includes recourse to the investment manager.