Consolidated Investment Entities (Tables)

9 Months Ended

Sep. 30, 2014

Consolidated Investment Entities [Abstract]

Components of the Consolidated Investment Entities

The following table summarizes the components of the consolidated investment entities, excluding collateral support for certain reinsurance contracts, as of the dates indicated:



	September 30, 2014		December 31, 2013
Assets of Consolidated Investment Entities
VIEs - CLO entities:
Cash and cash equivalents	$	454.2	$	642.5
Corporate loans, at fair value using the fair value option	6,262.9		4,965.3
Other assets	132.3		83.1
Total CLO entities	6,849.4		5,690.9
VOEs - Private equity funds and single strategy hedge funds:
Cash and cash equivalents	106.7		68.2
Limited partnerships/corporations, at fair value	3,842.8		3,218.6
Other assets	43.8		21.7
Total investment funds	3,993.3		3,308.5
Total assets of consolidated investment entities	$	10,842.7	$	8,999.4

Liabilities of Consolidated Investment Entities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	6,344.4	$	5,161.6
Other liabilities	440.3		468.0
Total CLO entities	6,784.7		5,629.6
VOEs - Private equity funds and single strategy hedge funds:
Other liabilities	723.0		435.3
Total investment funds	723.0		435.3
Total liabilities of consolidated investment entities	$	7,507.7	$	6,064.9

Significant Unobservable Inputs for Level 3 Fair Value Measurements

The following table summarizes significant unobservable inputs for Level 3 fair value measurements as of the dates indicated:



	Fair Value		Valuation Technique	Unobservable Inputs
September 30, 2014
Assets:
CLO Investments	$	19.3	Discounted Cash Flow	Default Rate
				Recovery Rate
				Prepayment Rate
				Discount Margin
Liabilities:
CLO Notes	$	6,344.4	Discounted Cash Flow	Default Rate
				Recovery Rate
				Prepayment Rate
				Discount Margin



	Fair Value		Valuation Technique	Unobservable Inputs
December 31, 2013
Assets:
CLO Investments	$	25.5	Discounted Cash Flow	Default Rate
				Recovery Rate
				Prepayment Rate
				Discount Margin
Liabilities:
CLO Notes	$	5,161.6	Discounted Cash Flow	Default Rate
				Recovery Rate
				Prepayment Rate
				Discount Margin

The following narrative indicates the sensitivity of inputs:


•	Default Rate: An increase (decrease) in the expected default rate would likely increase (decrease) the discount margin (increase risk premium) used to value the CLO investments and CLO notes and, as a result, would potentially decrease the value of the CLO investments and CLO notes.


•	Recovery rate: A decrease (increase) in the expected recovery of defaulted assets would potentially decrease (increase) the valuation of CLO investments and CLO notes.


•	Prepayment Rate: A decrease (increase) in the expected rate of collateral prepayments would potentially decrease (increase) the valuation of CLO investments and CLO notes as the expected weighted average life ("WAL") would increase.


•	Discount Margin (spread over LIBOR): An increase (decrease) in the discount margin used to value the CLO investments and CLO notes and would decrease (increase) the value of the CLO investments and CLO notes.

Fair Value, by Balance Sheet Grouping

The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated:



	September 30, 2014				December 31, 2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	74,735.1	$	74,735.1	$	72,718.8	$	72,718.8
Equity securities, available-for-sale	270.5		270.5		314.4		314.4
Mortgage loans on real estate	9,949.7		10,268.5		9,312.2		9,404.7
Policy loans	2,104.2		2,104.2		2,147.0		2,147.0
Limited partnerships/corporations	348.2		348.2		236.4		236.4
Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	3,675.4		3,675.4		4,441.8		4,441.8
Derivatives	1,136.8		1,136.8		1,149.3		1,149.3
Other investments	106.8		106.8		124.6		131.1
Assets held in separate accounts	107,059.3		107,059.3		106,827.1		106,827.1
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	49,440.6		53,877.9		49,418.4		53,713.8
Funding agreements with fixed maturities and guaranteed investment contracts	1,749.3		1,733.1		2,692.3		2,663.9
Supplementary contracts, immediate annuities and other	3,778.6		4,054.8		3,383.6		3,567.3
Derivatives:
Annuity product guarantees:
FIA	1,894.2		1,894.2		1,736.7		1,736.7
GMAB/GMWB/GMWBL	1,157.2		1,157.2		908.9		908.9
Stabilizer and MCGs	45.0		45.0		—		—
Other derivatives	656.8		656.8		1,351.8		1,351.8
Long-term debt	3,515.5		3,851.3		3,514.7		3,717.8
Embedded derivatives on reinsurance	123.5		123.5		79.0		79.0

⁽¹⁾ Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Annuity product guarantees section of the table above.

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of September 30, 2014:



	Level 1		Level 2		Level 3		Fair Value Measurements
Assets
VIEs - CLO entities:
Cash and cash equivalents	$	454.2	$	—	$	—	$	454.2
Corporate loans, at fair value using the fair value option	—		6,243.6		19.3		6,262.9
VOEs - Private equity funds and single strategy hedge funds:
Cash and cash equivalents	106.7		—		—		106.7
Limited partnerships/corporations, at fair value	—		867.3		2,975.5		3,842.8
Total assets, at fair value	$	560.9	$	7,110.9	$	2,994.8	$	10,666.6
Liabilities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	—	$	—	$	6,344.4	$	6,344.4
Total liabilities, at fair value	$	—	$	—	$	6,344.4	$	6,344.4

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of December 31, 2013:



	Level 1		Level 2		Level 3		Fair Value Measurements
Assets
VIEs - CLO entities:
Cash and cash equivalents	$	642.5	$	—	$	—	$	642.5
Corporate loans, at fair value using the fair value option	—		4,939.8		25.5		4,965.3
VOEs - Private equity funds and single strategy hedge funds:
Cash and cash equivalents	68.2		—		—		68.2
Limited partnerships/corporations, at fair value	—		484.5		2,734.1		3,218.6
Total assets, at fair value	$	710.7	$	5,424.3	$	2,759.6	$	8,894.6
Liabilities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	—	$	—	$	5,161.6	$	5,161.6
Total liabilities, at fair value	$	—	$	—	$	5,161.6	$	5,161.6

Reconciliation of the Beginning and Ending Fair Value Measurements for Level 3 Assets and Liabilities Using Unobservable Inputs

The reconciliation of the beginning and ending fair value measurements for Level 3 assets and liabilities using significant unobservable inputs for the nine months ended September 30, 2014 is presented in the table below:



	Fair Value as of January 1		Gains (Losses) Included in the Condensed Consolidated Statement of Operations			Purchases		Sales			Transfer into Level 3		Transfer out of Level 3		Fair Value as of September 30
Assets
VIEs - CLO entities:
Corporate loans, at fair value using the fair value option	$	25.5	$	0.4		$	—	$	(6.6	)	$	—	$	—	$	19.3
VOEs - Private equity funds and single strategy hedge funds:
Limited partnerships/corporations, at fair value	2,734.1		374.7			353.0		(500.2		)	13.9		—		2,975.5
Total assets, at fair value	$	2,759.6	$	375.1		$	353.0	$	(506.8	)	$	13.9	$	—	$	2,994.8
Liabilities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	5,161.6	$	(53.9	)	$	1,451.6	$	(214.9	)	$	—	$	—	$	6,344.4
Total liabilities, at fair value	$	5,161.6	$	(53.9	)	$	1,451.6	$	(214.9	)	$	—	$	—	$	6,344.4

The reconciliation of the beginning and ending fair value measurements for Level 3 assets and liabilities using significant unobservable inputs for the three months ended September 30, 2013 is presented in the table below:



	Fair Value as of July 1		Gains (Losses) Included in the Condensed Consolidated Statement of Operations			Purchases		Sales			Transfer into Level 3		Transfer out of Level 3		Fair Value as of September 30
Assets
VIEs - CLO entities:
Corporate loans, at fair value using the fair value option	$	—	$	—		$	—	$	—		$	—	$	—	$	—
VOEs - Private equity funds and single strategy hedge funds:
Limited partnerships/corporations, at fair value	2,987.7		55.2			215.5		(346.1		)	—		—		2,912.3
Total assets, at fair value	$	2,987.7	$	55.2		$	215.5	$	(346.1	)	$	—	$	—	$	2,912.3
Liabilities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	4,881.3	$	(76.9	)	$	—	$	(177.3	)	$	—	$	—	$	4,627.1
Total liabilities, at fair value	$	4,881.3	$	(76.9	)	$	—	$	(177.3	)	$	—	$	—	$	4,627.1



	Fair Value as of January 1		Gains (Losses) Included in the Condensed Consolidated Statement of Operations			Purchases		Sales			Transfer into Level 3		Transfer out of Level 3		Fair Value as of September 30
Assets
VIEs - CLO entities:
Corporate loans, at fair value using the fair value option	$	—	$	—		$	—	$	—		$	—	$	—	$	—
VOEs - Private equity funds and single strategy hedge funds:
Limited partnerships/corporations, at fair value	2,931.2		105.1			484.4		(608.4		)	—		—		2,912.3
Total assets, at fair value	$	2,931.2	$	105.1		$	484.4	$	(608.4	)	$	—	$	—	$	2,912.3
Liabilities
VIEs - CLO entities:
CLO notes, at fair value using the fair value option	$	3,829.4	$	(37.6	)	$	1,081.2	$	(245.9	)	$	—	$	—	$	4,627.1
Total liabilities, at fair value	$	3,829.4	$	(37.6	)	$	1,081.2	$	(245.9	)	$	—	$	—	$	4,627.1

Maximum Exposure to Loss

The Company determines its maximum exposure to loss to be: (i) the amount invested in the debt or equity of the CLO and (ii) other commitments and guarantees to the CLO.



	September 30, 2014		December 31, 2013
Carrying amount	$	—	$	—
Maximum exposure to loss	—		—
Assets of nonconsolidated investment entities	1,044.5		1,640.4
Liabilities of nonconsolidated investment entities	1,085.5		1,639.0

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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