private investment
vehicles
CMBS
Hedge funds (2)
Total
(in millions)
March 31, 2011
Fixed maturities, available-for-sale
$
248.0
$
14.9
$
$
$
262.9
Fixed maturities, trading
135.0
135.0
Equity securities, trading
218.6
218.6
Other investments
122.2
0.3
122.5
Cash and cash equivalents
55.0
58.7
113.7
Accrued investment income
0.9
0.1
0.8
1.8
Premiums due and other receivables
1.5
48.1
49.6
Total assets
$
248.9
$
206.5
$
123.0
$
325.7
$
904.1
Deferred income taxes
$
2.3
$
$
$
$
2.3
Other liabilities (1)
140.2
140.8
88.3
148.4
517.7
Total liabilities
$
142.5
$
140.8
$
88.3
$
148.4
$
520.0
December 31, 2010
Fixed maturities, available-for-sale
$
243.1
$
14.8
$
$
$
257.9
Fixed maturities, trading
131.4
131.4
Equity securities, trading
158.6
158.6
Other investments
128.4
0.3
128.7
Cash and cash equivalents
55.0
45.0
100.0
Accrued investment income
0.7
0.1
0.8
1.6
Premiums due and other receivables
1.6
13.9
15.5
Total assets
$
243.8
$
202.9
$
129.2
$
217.8
$
793.7
Deferred income taxes
$
2.4
$
$
$
$
2.4
Other liabilities (1)
135.8
132.6
94.1
71.1
433.6
Total liabilities
$
138.2
$
132.6
$
94.1
$
71.1
$
436.0
(1) Grantor trusts contain an embedded derivative of a forecasted transaction to deliver the underlying securities; collateralized private investment vehicles include derivative liabilities, financial guarantees and obligation to redeem notes at maturity or termination of the trust; CMBS includes obligation to the bondholders; and hedge funds include liabilities to securities brokers.
(2) The consolidated statements of financial position included a $176.5 million and $145.9 million noncontrolling interest for hedge funds as of March 31, 2011 and December 31, 2010, respectively.
We did not provide financial or other support to investees designated as VIEs for the three months ended March 31, 2011 and 2010.
Unconsolidated Variable Interest Entities
Invested Securities
We hold a variable interest in a number of VIEs where we are not the primary beneficiary. Our investments in securities issued by these VIEs are reported in fixed maturities, available-for-sale and fixed maturities, trading in the consolidated statements of financial position and are described below.
VIEs include CMBS, residential mortgage-backed pass-through securities (RMBS) and ABS. All of these entities were deemed VIEs because the equity within these entities is insufficient to sustain them. We determined we are not the primary beneficiary in any of the entities within these categories of investments. This determination was based primarily on the fact we do not own the class of security that controls the unilateral right to replace the special servicer or equivalent function.
As previously discussed, we invest in several types of collateralized private investment vehicles, which are VIEs. These include cash and synthetic structures that we do not manage. We have determined we are not the primary beneficiary of these collateralized private investment vehicles primarily because we do not control the economic performance of the entities and were not involved with the design of the entities.
We have invested in various VIE trusts as a debt holder. All of these entities are classified as VIEs due to insufficient equity to sustain them. We have determined we are not the primary beneficiary primarily because we do not control the economic performance of the entities and were not involved with the design of the entities.
The carrying value and maximum loss exposure for our unconsolidated VIEs, were as follows:
|
| Asset carrying value |
| Maximum exposure to |
| ||
|
| (in millions) |
| ||||
March 31, 2011 |
|
|
|
|
| ||
Fixed maturities, available-for-sale: |
|
|
|
|
| ||
Corporate |
| $ | 444.0 |
| $ | 382.5 |
|
Residential mortgage-backed pass-through securities |
| 3,168.6 |
| 3,066.7 |
| ||
Commercial mortgage-backed securities |
| 3,940.2 |
| 4,278.0 |
| ||
Collateralized debt obligations |
| 300.3 |
| 359.8 |
| ||
Other debt obligations |
| 3,197.5 |
| 3,243.8 |
| ||
Fixed maturities, trading: |
|
|
|
|
| ||
Residential mortgage-backed pass-through securities |
| 122.4 |
| 122.4 |
| ||
Commercial mortgage-backed securities |
| 47.9 |
| 47.9 |
| ||
Collateralized debt obligations |
| 78.3 |
| 78.3 |
| ||
Other debt obligations |
| 88.3 |
| 88.3 |
| ||
|
|
|
|
|
| ||
December 31, 2010 |
|
|
|
|
| ||
Fixed maturities, available-for-sale: |
|
|
|
|
| ||
Corporate |
| $ | 429.0 |
| $ | 367.7 |
|
Residential mortgage-backed pass-through securities |
| 3,196.2 |
| 3,077.9 |
| ||
Commercial mortgage-backed securities |
| 3,842.2 |
| 4,424.9 |
| ||
Collateralized debt obligations |
| 293.0 |
| 380.5 |
| ||
Other debt obligations |
| 3,114.1 |
| 3,184.9 |
| ||
Fixed maturities, trading: |
|
|
|
|
| ||
Residential mortgage-backed pass-through securities |
| 215.5 |
| 215.5 |
| ||
Commercial mortgage-backed securities |
| 5.1 |
| 5.1 |
| ||
Collateralized debt obligations |
| 87.2 |
| 87.2 |
| ||
Other debt obligations |
| 118.8 |
| 118.8 |
|
(1) Our risk of loss is limited to our initial investment measured at amortized cost for fixed maturities, available-for-sale and to fair value for our fixed maturities, trading.
Sponsored Investment Funds
We are the investment manager for certain money market mutual funds that are deemed to be VIEs. We are not the primary beneficiary of these VIEs since our involvement is limited primarily to being a service provider, and our variable interest does not absorb the majority of the variability of the entities net assets. As of March 31, 2011 and December 31, 2010, these VIEs held $1.6 billion and $1.7 billion in total assets, respectively. During 2010, we chose to contribute $3.2 million to these VIEs for competitive reasons and have no contractual obligation to further contribute to the funds.
We provide asset management and other services to certain investment structures that are considered VIEs as we generally earn management fees and in some instances performance-based fees. We are not the primary beneficiary of these entities as we do not have the obligation to absorb losses of the entities that could be potentially significant to the VIE or the right to receive benefits from these entities that could be potentially significant.