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8. Investing Activities

9 Months Ended

Sep. 30, 2012

Debt and equity securities

The following tables present the fixed maturity and equity securities available-for-sale by sector held at September 30, 2012 and December 31, 2011, respectively. The unrealized loss amounts presented below include the non-credit loss component of OTTI losses. We classify these investments into various sectors in line with industry conventions.

Fair Value and Cost of Securities:	September 30, 2012
($ in millions)			Gross		Gross					OTTI
	Amortized		Unrealized		Unrealized			Fair		Recognized
	Cost		Gains(1)		Losses(1)			Value		in AOCI(2)

U.S. government and agency	$	872.8	$	65.3	$	(5.4	)	$	932.7	$	—
State and political subdivision		309.1		38.5		(3.1	)		344.5		—
Foreign government		180.2		34.4		—			214.6		—
Corporate		6,736.1		757.2		(86.9	)		7,406.4		(5.8	)
Commercial mortgage-backed (“CMBS”)		905.9		75.7		(8.3	)		973.3		(21.8	)
Residential mortgage-backed (“RMBS”)		1,808.5		102.4		(29.3	)		1,881.6		(98.5	)
CDO/CLO		242.9		4.0		(30.4	)		216.5		(28.5	)
Other asset-backed		453.0		27.1		(13.0	)		467.1		5.9
Available-for-sale debt securities	$	11,508.5	$	1,104.6	$	(176.4	)	$	12,436.7	$	(148.7	)

Amounts applicable to the closed block	$	5,810.7	$	665.7	$	(52.3	)	$	6,424.1	$	(49.4	)

Available-for-sale equity securities	$	28.2	$	9.4	$	(6.7	)	$	30.9	$	—
											—
Amounts applicable to the closed block	$	11.2	$	1.7	$	(3.5	)	$	9.4	$	—

———————

(1)

Net unrealized investment gains and losses on securities classified as available-for-sale and certain other assets are included in our consolidated balance sheets as a component of AOCI. The table above presents the special category of AOCI for debt securities that are other-than-temporarily impaired when the impairment loss has been split between the credit loss component (in earnings) and the non-credit component (separate category of AOCI).

(2)

Represents the amount of non-credit OTTI losses recognized in AOCI excluding net unrealized gains or losses subsequent to the date of impairment.

Fair Value and Cost of Securities:	December 31, 2011
($ in millions)	As restated and amended
			Gross		Gross					OTTI
	Amortized		Unrealized		Unrealized			Fair		Recognized
	Cost		Gains(1)		Losses(1)			Value		in AOCI(2)

U.S. government and agency	$	678.0	$	71.6	$	(7.8	)	$	741.8	$	—
State and political subdivision		259.3		25.4		(2.9	)		281.8		—
Foreign government		185.7		21.2		(1.7	)		205.2		—
Corporate		6,127.9		601.7		(171.4	)		6,558.2		(5.8	)
Commercial mortgage-backed (“CMBS”)		1,098.9		50.4		(20.0	)		1,129.3		(29.2	)
Residential mortgage-backed (“RMBS”)		2,094.7		82.9		(70.6	)		2,107.0		(92.2	)
CDO/CLO		283.8		2.5		(53.9	)		232.4		(36.2	)
Other asset-backed		538.7		18.9		(16.3	)		541.3		2.8
Available-for-sale debt securities	$	11,267.0	$	874.6	$	(344.6	)	$	11,797.0	$	(160.6	)

Amounts applicable to the closed block	$	5,884.0	$	565.7	$	(126.2	)	$	6,323.5	$	(53.1	)

Available-for-sale equity securities	$	32.6	$	10.9	$	(7.8	)	$	35.7	$	—

Amounts applicable to the closed block	$	13.4	$	3.2	$	(4.0	)	$	12.6	$	—

———————

(1)

(2)

Represents the amount of non-credit OTTI losses recognized in AOCI excluding net unrealized gains or losses subsequent to the date of impairment.

Maturities of Debt Securities:	September 30, 2012
($ in millions)	Amortized		Fair
	Cost		Value

Due in one year or less	$	930.5	$	942.0
Due after one year through five years		2,048.2		2,224.5
Due after five years through ten years		2,621.4		2,917.6
Due after ten years		2,498.1		2,814.2
CMBS/RMBS/ABS/CDO/CLO(1)		3,410.3		3,538.4
Total	$	11,508.5	$	12,436.7

———————

(1)	CMBS, RMBS, ABS, CDO and CLO are not listed separately in the table as each security does not have a single fixed maturity.

The maturities of debt securities, as of September 30, 2012, are summarized in the table above by contractual maturity. Actual maturities may differ from contractual maturities as certain borrowers have the right to call or prepay obligations with or without call or prepayment penalties, and we have the right to put or sell certain obligations back to the issuers.

The following table depicts the sources of available-for-sale investment proceeds and related investment gains (losses).

Sales of Available-for-Sale Securities:	Sept 30,			Dec 31,
($ in millions)	2012			2011
				As restated and amended
Fixed maturities, available-for-sale
Proceeds from sales	$	998.9		$	1,087.2
Proceeds from maturities/repayments		1,252.3			1,264.0
Gross investment gains from sales, prepayments and maturities		41.4			13.6
Gross investment losses from sales and maturities		(4.9	)		(6.0	)

Equity securities, available-for-sale
Proceeds from sales	$	8.1		$	9.4
Gross investment gains from sales		5.0			3.8
Gross investment losses from sales		(0.3	)		(0.1	)

Aging of Temporarily Impaired Securities:	As of September 30, 2012
($ in millions)	Less than 12 months					Greater than 12 months					Total
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value		Losses			Value		Losses			Value		Losses
Debt Securities
U.S. government and agency	$	0.9	$	—		$	35.5	$	(5.4	)	$	36.4	$	(5.4	)
State and political subdivision		12.8		(0.8	)		6.7		(2.3	)		19.5		(3.1	)
Foreign government		—		—			—		—			—		—
Corporate		152.5		(7.5	)		362.3		(79.4	)		514.8		(86.9	)
CMBS		10.7		—			51.3		(8.3	)		62.0		(8.3	)
RMBS		37.7		(0.3	)		274.7		(29.0	)		312.4		(29.3	)
CDO/CLO		22.9		(2.9	)		145.1		(27.5	)		168.0		(30.4	)
Other asset-backed		21.1		(1.3	)		36.8		(11.7	)		57.9		(13.0	)
Debt securities		258.6		(12.8	)		912.4		(163.6	)		1,171.0		(176.4	)
Equity securities		1.1		(0.2	)		6.3		(6.5	)		7.4		(6.7	)
Total temporarily impaired securities	$	259.7.	$	(13.0	)	$	918.7	$	(170.1	)	$	1,178.4	$	(183.1	)

Amounts inside the closed block	$	106.6	$	(5.1	)	$	394.6	$	(50.7	)	$	501.2	$	(55.8	)

Amounts outside the closed block	$	153.1	$	(7.9	)	$	524.1	$	(119.4	)	$	677.2	$	(127.3	)

Amounts outside the closed block that are below investment grade	$	46.6	$	(4.2	)	$	177.8	$	(75.0	)	$	224.4	$	(79.2	)

Number of securities				70					230					300

Unrealized losses on below-investment-grade debt securities outside the closed block with a fair value depressed by more than 20% of amortized cost totaled $62.0 million at September 30, 2012, of which $61.0 million was depressed by more than 20% of amortized cost for more than 12 months.

Unrealized losses on below-investment-grade debt securities held in the closed block with a fair value depressed by more than 20% of amortized cost totaled $12.3 million at September 30, 2012, of which $12.3 million was depressed by more than 20% of amortized cost for more than 12 months.

As of September 30, 2012, available-for-sale securities in an unrealized loss position for over 12 months consisted of 223 debt securities and seven equity securities. The debt securities primarily relate to municipal securities, asset backed securities, and corporate securities, which have depressed values due primarily to an increase in interest rates since the purchase of these securities. Unrealized losses were not recognized in earnings on these fixed maturity securities since the Company neither intends to sell the securities nor do we believe that it is more likely than not that it will be required to sell these securities before recovery of their amortized cost basis. Additionally, based on a security-by-security analysis, we expect to recover the entire amortized cost basis of these securities. In our evaluation of each security, management considers the actual recovery periods for these securities in previous periods of broad market declines. For securities with significant declines, individual security level analysis is performed, which considers any credit enhancements, expectations of defaults on underlying collateral and other available market data, including industry analyst reports and forecasts. Similarly, for equity securities in an unrealized loss position for more than 12 months, management performs an analysis on a security by security basis. Although there may be sustained losses for the prior four quarters on these securities, additional information is obtained related to company performance in the third quarter of 2012 which would not indicate that the additional losses are other-than-temporary.

Aging of Temporarily Impaired Securities:	As of December 31, 2011
($ in millions)	As restated and amended
	Less than 12 months					Greater than 12 months					Total
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value		Losses			Value		Losses			Value		Losses
Debt Securities
U.S. government and agency	$	—	$	(2.4	)	$	41.2	$	(5.4	)	$	41.2	$	(7.8	)
State and political subdivision		26.1		(0.1	)		6.2		(2.8	)		32.3		(2.9	)
Foreign government		25.6		(1.7	)		—		—			25.6		(1.7	)
Corporate		367.0		(29.4	)		501.2		(142.0	)		868.2		(171.4	)
CMBS		132.4		(4.1	)		52.1		(15.9	)		184.5		(20.0	)
RMBS		178.1		(7.8	)		392.4		(62.8	)		570.5		(70.6	)
CDO/CLO		15.4		(0.8	)		167.6		(53.1	)		183.0		(53.9	)
Other asset-backed		101.3		(2.1	)		57.8		(14.2	)		159.1		(16.3	)
Debt securities		845.9		(48.4	)		1,218.5		(296.2	)		2,064.4		(344.6	)
Equity securities		12.1		(7.0	)		0.4		(0.8	)		12.5		(7.8	)
Total temporarily impaired securities	$	858.0	$	(55.4	)	$	1,218.9	$	(297.0	)	$	2,076.9	$	(352.4	)

Amounts inside the closed block	$	308.5	$	(23.6	)	$	552.7	$	(106.6	)	$	861.2	$	(130.2	)

Amounts outside the closed block	$	549.5	$	(31.8	)	$	666.2	$	(190.4	)	$	1,215.7	$	(222.2	)

Amounts outside the closed block that are below investment grade	$	68.8	$	(13.9	)	$	248.5	$	(125.2	)	$	317.3	$	(139.1	)

Number of securities				255					304					559

Unrealized losses on below-investment-grade debt securities outside the closed block with a fair value depressed by more than 20% of amortized cost totaled $120.3 million at December 31, 2011, of which $93.5 million was depressed by more than 20% of amortized cost for more than 12 months.

Unrealized losses on below-investment-grade debt securities held in the closed block with a fair value depressed by more than 20% of amortized cost totaled $39.9 million at December 31, 2011, of which $17.3 million was depressed by more than 20% of amortized cost for more than 12 months.

As of December 31, 2011, available-for-sale securities in an unrealized loss position for over 12 months consisted of 302 debt securities and two equity securities. The debt securities primarily relate to municipal securities, asset backed securities, and corporate securities, which have depressed values due primarily to an increase in interest rates since the purchase of these securities. Unrealized losses were not recognized in earnings on these fixed maturity securities since the Company neither intends to sell the securities nor do we believe that it is more likely than not that it will be required to sell these securities before recovery of their amortized cost basis. Additionally, based on a security-by-security analysis, we expect to recover the entire amortized cost basis of these securities. In our evaluation of each security, management considers the actual recovery periods for these securities in previous periods of broad market declines. For securities with significant declines, individual security level analysis is performed, which considers any credit enhancements, expectations of defaults on underlying collateral and other available market data, including industry analyst reports and forecasts. Similarly, for equity securities in an unrealized loss position for more than 12 months, management performs an analysis on a security by security basis. Although there may be sustained losses for the prior four quarters on these securities, additional information is obtained related to company performance in the fourth quarter of 2011 which would not indicate that the additional losses are other-than-temporary.

Evaluating temporarily impaired available-for-sale securities

In management’s evaluation of temporarily impaired securities, many factors about individual issuers of securities as well as our best judgment in determining the cause of a decline in the estimated fair value are considered in the assessment of potential near-term recovery in the security’s value. Some of those considerations include, but are not limited to: (i) duration of time and extent to which the estimated fair value has been below cost or amortized cost; (ii) for fixed maturity securities, if the Company has the intent to sell or will more likely than not be required to sell a particular security before the decline in estimated fair value below amortized cost recovers; (iii) whether the issuer is experiencing significant financial difficulties and the potential for impairments of that issuer’s securities; (iv) pervasive issues across an entire industry sector/sub-sector; and (v) for structured securities, assessing any changes in the forecasted cash flows, the quality of underlying collateral, expectations of prepayment speeds, loss severity and payment priority of tranches held.

Other-than-temporary impairments

Management assessed all securities in an unrealized loss position in determining whether impairments were temporary or other-than-temporary. In reaching its conclusions, management exercised significant judgment and used a number of issuer-specific quantitative indicators and qualitative judgments to assess the probability of receiving a given security’s contractual cash flows. This included the issue’s implied yield to maturity, cumulative default rate based on rating, comparisons of issue-specific spreads to industry or sector spreads, specific trading activity in the issue and other market data such as recent debt tenders and upcoming refinancing requirements. Management also reviewed fundamentals such as issuer credit and liquidity metrics, business outlook and industry conditions. Management maintains a watch list of securities that is reviewed for impairments. Each security on the watch list was evaluated, analyzed and discussed, with the positive and negative factors weighed in the ultimate determination of whether or not the security was other-than-temporarily impaired. For securities for which no OTTI was ultimately indicated at September 30, 2012, management does not have the intention to sell, nor does it expect to be required to sell, these securities prior to their recovery.

Fixed income OTTIs recorded in the first nine months of 2012 were primarily concentrated in structured securities. These impairments were driven primarily by increased collateral default rates. In our judgment, these credit events or other adverse conditions of the issuers have caused, or will most likely lead to, a deficiency in the contractual cash flows related to the investment. Therefore, based upon these credit events, we have determined that OTTIs exist. Total debt impairments recognized through earnings related to such credit-related circumstances were $7.1 million for the third quarter of 2012 and $9.7 million for the third quarter of 2011 and $17.5 million for the first nine months of 2012 and $18.5 million for the first nine months of 2011. There were equity security OTTIs of $0 and $1.5 million for the three and nine months ended September 30, 2012 and no equity security OTTIs for the three months and nine months ended September 30, 2011. There were limited partnerships and other investment OTTIs of $0.3 million and $0.3 million, respectively, for the three and nine months ended September 30, 2012. There were no limited partnership and other investment OTTIs for the first nine months of 2011.

In addition to these credit-related impairments recognized through earnings, we impaired securities to fair value through other comprehensive loss for any impairments related to non-credit related factors. These types of impairments were driven primarily by market or sector credit spread widening or by a lack of liquidity in the securities. The amount of impairments recognized as an adjustment to other comprehensive loss due to these factors was $(0.2) million for the third quarter of 2012, $21.2 million for the third quarter of 2011, $11.3 million for the first nine months of 2012 and $26.1 million for the first nine months of 2011.

The following table presents a roll-forward of pre-tax credit losses recognized in earnings related to debt securities for which a portion of the OTTI was recognized in OCI.

Credit Losses Recognized in Earnings on Debt Securities for	Three Months Ended						Nine Months Ended
which a Portion of the OTTI Loss was Recognized in OCI:	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended

Balance, beginning of period	$	(78.8	)	$	(70.8	)	$	(79.1	)	$	(65.8	)
Add: Credit losses on securities not previously impaired(1)		(1.5	)		(3.4	)		(3.8	)		(9.1	)
Add: Credit losses on securities previously impaired(1)		(5.6	)		(2.4	)		(11.8	)		(4.6	)
Less: Credit losses on securities impaired due to intent to sell		—			—			—			—
Less: Credit losses on securities sold		5.3			4.0			14.1			6.9
Less: Increases in cash flows expected on previously impaired securities		—			—			—			—
Balance, end of period	$	(80.6	)	$	(72.6	)	$	(80.6	)	$	(72.6	)

———————

(1)	Additional credit losses on securities for which a portion of the OTTI loss was recognized in AOCI are included within net OTTI losses recognized in earnings on the statements of comprehensive income.

Limited partnerships and other investments

Limited Partnerships and Other Investments:	Sept 30,		Dec 31,
($ in millions)	2012		2011
			As restated and amended
Limited partnerships
Private equity funds	$	236.3	$	233.0
Mezzanine funds		195.6		191.9
Infrastructure funds		40.0		35.4
Hedge funds		13.5		14.9
Mortgage and real estate funds		7.9		12.4
Leverage leases		18.3		24.1
Direct equity investments		21.6		28.5
Life settlements		20.6		21.1
Other alternative assets		5.4		4.0
Limited partnerships and other investments	$	559.2	$	565.3

Amounts applicable to the closed block	$	342.3	$	338.0

Summarized financial information for these equity method investees is reported on a three-month delay due to the timing of financial statements as of the current reporting period.

Net investment income

Net investment income is comprised primarily of interest income, including amortization of premiums and accretion of discounts on structured securities, based on yields which are changed due to expectations in projected principal and interest cash flows, dividend income from common and preferred stock, gains and losses on securities measured at fair value and earnings from private equity investments accounted for under equity method accounting.

Sources of Net Investment Income:	Three Months Ended						Nine Months Ended
($ in millions)	September 30,						September 30,
	2012			2011			2012		2011
				As restated and amended					As restated and amended

Debt securities	$	158.9		$	153.8		$	462.2	$	457.4
Equity securities		0.5			0.5			2.4		1.1
Limited partnerships and other investments		14.0			13.6			48.5		48.1
Policy loans		35.7			42.5			120.7		128.1
Fair value investments		(0.1	)		(4.4	)		1.5		0.1
Total investment income		209.0			206.0			635.3		634.8
Less: Discontinued operations		0.4			0.5			1.6		1.5
Less: Investment expenses		3.5			2.0			10.4		5.2
Net investment income	$	205.1		$	203.5		$	623.3	$	628.1

Amounts applicable to the closed block	$	115.7		$	113.2		$	343.5	$	358.2

Net realized investment gains (losses)

Sources and Types of	Three Months Ended						Nine Months Ended
Net Realized Investment Gains (Losses):	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended

Total other-than-temporary debt impairments	$	(6.9	)	$	(30.9	)	$	(28.8	)	$	(44.6	)
Portion of loss recognized in OCI		(0.2	)		21.2			11.3			26.1
Net debt impairment losses recognized in earnings	$	(7.1	)	$	(9.7	)	$	(17.5	)	$	(18.5	)

Debt security impairments:
U.S. government and agency	$	—		$	—		$	—		$	—
State and political subdivision		—			—			—			—
Foreign government		—			—			—			—
Corporate		—			(3.2	)		(0.6	)		(7.5	)
CMBS		(3.3	)		(2.5	)		(4.5	)		(2.5	)
RMBS		(2.6	)		(2.5	)		(10.4	)		(7.0	)
CDO/CLO		(0.7	)		(1.2	)		(0.7	)		(1.2	)
Other asset-backed		(0.5	)		(0.3	)		(1.3	)		(0.3	)
Net debt security impairments		(7.1	)		(9.7	)		(17.5	)		(18.5	)
Equity security impairments		—			—			(1.5	)		—
Limited partnerships and other investment impairments		(0.3	)		—			(0.3	)		—
Impairment losses		(7.4	)		(9.7	)		(19.3	)		(18.5	)
Debt security transaction gains		33.4			1.8			41.4			13.1
Debt security transaction losses		(1.3	)		(1.0	)		(4.9	)		(3.9	)
Equity security transaction gains		5.0			—			5.0			0.1
Equity security transaction losses		(0.2	)		(0.1	)		(0.3	)		(0.1	)
Limited partnerships and other investment transaction gains		5.5			0.2			6.8			2.6
Limited partnerships and other investment transaction losses		(1.5	)		(0.4	)		(2.5	)		(2.4	)
Net transaction gains		40.9			0.5			45.5			9.4
Derivative instruments		(14.2	)		52.3			(33.4	)		35.7
Embedded derivatives(1)		7.1			(50.5	)		6.9			(42.9	)
Fair value investments		1.1			(2.7	)		1.9			(1.7	)
Net realized investment gains (losses), excluding impairment losses		34.9			(0.4	)		20.9			0.5
Net realized investment gains (losses), including impairment losses	$	27.5		$	(10.1	)	$	1.6		$	(18.0	)

———————

(1)	Includes the change in fair value of embedded derivatives associated with variable annuity GMWB, GMAB and COMBO riders. See Note 11 to these financial statements for additional disclosures.

Unrealized investment gains (losses)

Sources of Changes in	Three Months Ended						Nine Months Ended
Net Unrealized Investment Gains (Losses):	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended

Debt securities	$	193.6		$	93.2		$	398.2		$	252.0
Equity securities		(3.3	)		(4.3	)		(0.4	)		(3.8	)
Other investments		—			(0.1	)		—			(0.1	)
Net unrealized investment gains	$	190.3		$	88.8		$	397.8		$	248.1

Net unrealized investment gains	$	190.3		$	88.8		$	397.8		$	248.1
Applicable closed block policyholder dividend obligation		84.7			73.5			171.5			155.4
Applicable deferred policy acquisition cost		15.1			17.1			66.4			43.5
Applicable other actuarial offsets		58.9			13.4			77.6			10.4
Applicable deferred income tax expense		38.6			(30.1	)		83.5			1.1
Offsets to net unrealized investment gains		197.3			73.9			399.0			210.4
Net unrealized investment gains (losses) included in OCI	$	(7.0	)	$	14.9		$	(1.2	)	$	37.7

The following table presents the total assets and total liabilities relating to consolidated VIEs at September 30, 2012 and December 31, 2011.

Carrying Value of Assets and Liabilities for	September 30, 2012						December 31, 2011
Consolidated Variable Interest Entities:							As restated and amended
($ in millions)					Maximum						Maximum
					Exposure						Exposure
	Assets		Liabilities		to Loss(1)		Assets		Liabilities		to Loss(1)

Debt securities, at fair value(2)	$	3.6	$	—	$	3.5	$	0.3	$	—	$	0.2
Equity securities, at fair value(2)		22.7		—		18.5		27.8		—		26.5
Cash and cash equivalents		9.7		—		9.5		3.5		—		3.3
Investment in partnership interests		15.4		—		15.4		14.6		—		14.6
Investment in single asset LLCs		5.0		—		4.1		1.7		—		1.0
Other assets		0.2		—		0.2		0.1		—		—
Total assets of consolidated VIEs	$	56.6	$	—	$	51.2	$	48.0	$	—	$	45.6
Other liabilities		—		0.1		0.1		—		0.1		0.1
Total liabilities of consolidated VIEs	$	—	$	0.1	$	0.1	$	—	$	0.1	$	0.1

———————

(1)

Creditors or beneficial interest holders of the consolidated VIEs have no recourse to our general credit. Our obligation to the VIEs is limited to the amount of our committed investment. We have not provided material financial or other support that was not contractually required to these VIEs. The maximum exposure to loss above for September 30, 2012 and December 31, 2011 excludes unfunded commitments of $3.1 million and $3.6 million, respectively.

(2)

Included in fair value investments on the consolidated balance sheets.

Consolidated variable interest entities

Effective January 1, 2010, the Company adopted guidance related to consolidation of VIEs. The revised consolidation guidance amended the definition as well as the method of determining whether an entity is the primary beneficiary of a VIE to a qualitative model. Under the new model, an entity that has both the ability to direct the significant activities of the VIE and the obligation to receive the benefits or absorb the losses that is significant to the VIE is considered the primary beneficiary. This update requires ongoing assessment and enhanced disclosures including the effect of the Company’s involvement with VIEs on its financial statements.

The Company regularly invests in private equity type fund structures which are VIEs. Entities which do not have sufficient equity at risk to allow the entity to finance its activities without additional financial support or in which the equity investors, as a group, do not have the characteristic of a controlling financial interest are referred to as VIEs. We hold investments in certain entities that are VIEs. In some situations, we hold both the power to direct the most significant activities of the entity and an economic interest in the entity. We perform ongoing assessments of our investments in VIEs to determine whether we have the power to direct the activities in the VIE and, therefore, would be considered to be the primary beneficiary of the entity. An entity would be considered a primary beneficiary and be required to consolidate a VIE when the entity has both the power to direct the activities of a VIE that most significantly impact the entity’s economic performance and the obligation to absorb losses, or right to receive benefits, that could potentially be significant to the VIE. As such, we are considered to be the primary beneficiary of the entity and consolidate the VIE. The consolidated entities are all investment company-like structures which follow specialized investment company accounting and record underlying investments at fair value. The nature of the VIEs’ operations and purpose are private equity limited partnerships, single asset LLCs and a fund of fund investment structure and have investments in homogenous types of assets presented below.

Carrying Value of Assets and Liabilities	September 30, 2012									December 31, 2011
and Maximum Exposure Loss Relating										As restated and amended
to Variable Interest Entities:							Maximum									Maximum
($ in millions)							Exposure									Exposure
	Assets			Liabilities			to Loss(1)			Assets			Liabilities			to Loss(1)

Limited partnerships		$	125.6		$	—		$	192.4		$	133.2		$	—		$	201.6
LLCs			3.3			—			3.3			8.5			—			8.5
Total		$	128.9		$	—		$	195.7		$	141.7		$	—		$	210.1

———————

(1)	Creditors or beneficial interest holders of the VIEs have no recourse to our general credit. Our obligation to the VIEs is limited to the amount of our committed investment. We have not provided material financial or other support that was not contractually required to these VIEs.

Issuer and counterparty credit exposure

Credit exposure related to issuers and derivatives counterparties is inherent in investments and derivative contracts with positive fair value or asset balances. We manage credit risk through the analysis of the underlying obligors, issuers and transaction structures. We review our debt security portfolio regularly to monitor the performance of obligors and assess the stability of their credit ratings. We also manage credit risk through industry and issuer diversification and asset allocation. Maximum exposure to an issuer or derivative counterparty is defined by quality ratings, with higher quality issuers having larger exposure limits. As of September 30, 2012, we were exposed to the credit concentration risk of one single issuer, Deutsche Bank AG, representing 10.8% of stockholders’ equity other than U.S. government and government agencies backed by the faith and credit of the U.S. government. We monitor credit exposures by actively monitoring dollar limits on transactions with specific counterparties. We have an overall limit on below-investment-grade rated issuer exposure. Additionally, the creditworthiness of counterparties is reviewed periodically. We generally use ISDA Master Agreements which include Credit Support Annexes which include collateral provisions to reduce counterparty credit exposures. Included in fixed maturities are below-investment-grade assets totaling $1,010.1 million and $949.6 million at September 30, 2012 and December 31, 2011, respectively. To further mitigate the risk of loss on derivatives, we only enter into contracts in which the counterparty is a financial institution with a rating of A or higher from at least one Nationally Recognized Statistical Rating Organization.

As of September 30, 2012, we held derivative assets, net of liabilities, with a fair value of $131.6 million. Derivative credit exposure was diversified with ten different counterparties. We also had debt securities of these issuers with a fair value of $172.8 million as of September 30, 2012. Our maximum amount of loss due to credit risk with these issuers was $304.4 million as of September 30, 2012. See Note 12 to these financial statements for more information regarding derivatives.