Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	December 31, 2015		December 31, 2014
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	21,704.2	$	19,182.6
Interest rate options		4,900.0		4,900.0
Swaptions		259.0		260.0
Interest rate futures		162.0		147.5
Foreign exchange contracts:
Currency swaps		1,751.0		1,975.5
Currency forwards		1,040.6		270.7
Equity contracts:
Equity options		3,604.8		3,293.4
Equity futures		514.2		498.1
Credit contracts:
Credit default swaps		1,084.5		1,234.5
Total return swaps		90.0		90.0
Futures		13.1		10.5
Other contracts:
Embedded derivatives		9,905.0		9,235.7
Total notional amounts at end of period	$	45,028.4	$	41,098.5
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	505.5	$	510.8
Interest rate options		34.1		41.0
Foreign exchange contracts:
Currency swaps		105.6		97.1
Currency forwards		4.4		1.4
Equity contracts:
Equity options		39.9		30.2
Credit contracts:
Credit default swaps		13.4		13.3
Total return swaps		0.5		—
Total gross credit exposure		703.4		693.8
Less: collateral received		234.2		183.5
Net credit exposure	$	469.2	$	510.3

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	December 31, 2015		December 31, 2014		December 31, 2015		December 31, 2014
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	9.4	$	8.8	$	132.2	$	193.9
Foreign exchange contracts		94.1		80.0		164.2		69.1
Total derivatives designated as hedging instruments	$	103.5	$	88.8	$	296.4	$	263.0
Derivatives not designated as hedging instruments
Interest rate contracts	$	493.0	$	508.7	$	255.8	$	321.4
Foreign exchange contracts		16.4		20.8		68.1		40.1
Equity contracts		39.8		30.2		112.3		131.7
Credit contracts		13.9		13.3		39.7		35.6
Other contracts		—		—		407.8		415.5
Total derivatives not designated as hedging instruments		563.1		573.0		883.7		944.3
Total derivative instruments	$	666.6	$	661.8	$	1,180.1	$	1,207.3

(1)

The fair value of derivative assets is reported with other investments on the consolidated statements of financial position.

(2)

The fair value of derivative liabilities is reported with other liabilities on the consolidated statements of financial position, with the exception of certain embedded derivative liabilities. Embedded derivative liabilities with a fair value of $177.4 million and $176.4 million as of December 31, 2015 and December 31, 2014, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	December 31, 2015
	Notional amount		Fair value			Maximum future payments		Weighted average expected life (in years)
	(in millions)
Single name credit default swaps
Corporate debt
AAA	$	30.0	$	0.8		$	30.0		3.2
AA		74.0		1.1			74.0		2.3
A		195.0		2.2			195.0		2.2
BBB		310.0		(0.9	)		310.0		2.9
BB		30.0		(4.6	)		30.0		3.1
CCC		10.0		(6.8	)		10.0		4.0
Government/municipalities
AA		30.0		0.6			30.0		3.3
Sovereign
AA		10.0		—			10.0		3.7
BBB		40.0		(0.9	)		40.0		3.7
Total single name credit default swaps		729.0		(8.5	)		729.0		2.8
Basket and index credit default swaps
Corporate debt
Near default (1)		100.4		(17.7	)		100.4		1.2
Government/municipalities
AA		30.0		(1.1	)		30.0		1.7
Structured finance
AAA		11.9		—			11.9		0.6
Total basket and index credit default swaps		142.3		(18.8	)		142.3		1.3
Total credit default swap protection sold	$	871.3	$	(27.3	)	$	871.3		2.5

	December 31, 2014
	Notional amount		Fair value			Maximum future payments		Weighted average expected life (in years)
	(in millions)
Single name credit default swaps
Corporate debt
AAA	$	30.0	$	1.0		$	30.0		4.2
AA		79.0		1.6			79.0		3.3
A		254.5		3.3			254.5		2.8
BBB		345.0		1.2			345.0		3.6
BB		10.0		0.9			10.0		5.0
Government/municipalities
AA		30.0		0.6			30.0		4.3
Sovereign
AA		10.0		0.1			10.0		4.7
BBB		40.0		(0.1	)		40.0		4.7
Total single name credit default swaps		798.5		8.6			798.5		3.5
Basket and index credit default swaps
Corporate debt
Near default (1)		100.4		(19.1	)		100.4		2.2
Government/municipalities
AA		30.0		(1.8	)		30.0		2.7
Structured finance
BBB		16.9		0.1			16.9		3.5
Total basket and index credit default swaps		147.3		(20.8	)		147.3		2.5
Total credit default swap protection sold	$	945.8	$	(12.2	)	$	945.8		3.3

(1) Includes $78.0 million as of both December 31, 2015 and December 31, 2014, notional of derivatives in consolidated collateralized private investment vehicle VIEs where the credit risk is borne by third party investors.

Hybrid Instruments (Table)

	December 31, 2015
	Amortized cost		Carrying value		Weighted average expected life (in years)
	(in millions)
Corporate debt
A	$	24.6	$	24.6		1.0
Total corporate debt		24.6		24.6		1.0
Structured finance
A		52.2		52.2		1.1
BBB		3.4		3.4		1.6
BB		2.3		2.3		1.6
CCC		4.8		4.8		1.9
Total structured finance		62.7		62.7		1.2
Total fixed maturities with credit derivatives	$	87.3	$	87.3		1.1

	December 31, 2014
	Amortized cost		Carrying value		Weighted average expected life (in years)
	(in millions)
Corporate debt
A	$	24.1	$	24.1		2.0
Total corporate debt		24.1		24.1		2.0
Structured finance
A		56.1		56.1		1.5
BB		5.8		5.8		2.7
CCC		9.5		9.5		4.7
Total structured finance		71.4		71.4		2.1
Total fixed maturities with credit derivatives	$	95.5	$	95.5		2.0

Fair Value Hedges (Table)

	Amount of gain (loss) recognized in net income on derivatives for the year ended December 31, (1)								Amount of gain (loss) recognized in net income on related hedged item for the year ended December 31, (1)
Derivatives in fair value hedging relationships								Hedged items in fair fair value hedging relationships
	2015		2014		2013				2015			2014			2013
	(in millions)								(in millions)
Interest rate contracts	$	26.4	$	25.4	$	139.5		Fixed maturities, available-for-sale	$	(26.1	)	$	(27.7	)	$	(133.3	)
Interest rate contracts		0.8		2.0		(0.7	)	Investment contracts		(0.7	)		(1.9	)		0.2
Foreign exchange contracts		3.8		5.5		(0.2	)	Fixed maturities, available-for-sale		(3.8	)		(5.4	)		0.4
Foreign exchange contracts		—		0.2		(36.7	)	Investment contracts		—			(0.2	)		36.5
Total	$	31.0	$	33.1	$	101.9		Total	$	(30.6	)	$	(35.2	)	$	(96.2	)

(1) The gain (loss) on both derivatives and hedged items in fair value relationships is reported in net realized capital gains (losses) on the consolidated statements of operations. The net amount represents the ineffective portion of our fair value hedges.

Fair Value Hedges, Periodic Settlements Disclosures (Table)

	Amount of gain (loss) for the year ended December 31,
Hedged Item	2015			2014			2013
	(in millions)
Fixed maturities, available-for-sale (1)	$	(72.8	)	$	(93.0	)	$	(120.7	)
Investment contracts (2)		3.7			4.3			33.2

(1)	Reported in net investment income on the consolidated statements of operations.
(2)	Reported in benefits, claims and settlement expenses on the consolidated statements of operations.

Cash Flow Hedges (Table)

		Amount of gain (loss) recognized in AOCI on derivatives (effective portion) for the year ended December 31,								Amount of gain (loss) reclassified from AOCI on derivatives (effective portion) for the year ended December 31,
									Location of gain (loss) reclassified from AOCI into net income (effective portion)
Derivatives in cash flow hedging relationships
	Related hedged item	2015		2014		2013				2015			2014			2013
		(in millions)								(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	33.1	$	29.0	$	(80.5	)	Net investment income	$	16.6		$	13.8		$	11.7
Interest rate contracts	Investment contracts		4.7		2.0		2.5		Benefits, claims and settlement expenses		—			—			—
Interest rate contracts	Debt		—		—		—		Operating expense		(8.2	)		(7.4	)		(6.6	)
Foreign exchange contracts	Fixed maturities, available-for-sale		16.9		68.7		(0.9	)	Net realized capital gains (losses)		28.5			(10.2	)		(16.7	)
Foreign exchange contracts	Investment contracts		2.4		7.2		5.0		Benefits, claims and settlement expenses		—			—			—
Total		$	57.1	$	106.9	$	(73.9	)	Total	$	36.9		$	(3.8	)	$	(11.6	)

Cash Flow Hedges, Periodic Settlements Disclosures (Table)

	Amount of gain (loss) for the year ended December 31,
Hedged item	2015			2014			2013
	(in millions)
Fixed maturities, available-for-sale (1)	$	6.1		$	5.1		$	7.7
Investment contracts (2)		(18.3	)		(11.1	)		(11.0	)

(1)	Reported in net investment income on the consolidated statements of operations.
(2)	Reported in benefits, claims and settlement expenses on the consolidated statements of operations.

Net Investment Hedges (Table)

	Amount of gain recognized in AOCI on derivatives (effective portion) for the year ended December 31,
Derivatives in net investment hedging relationships	2015		2014		2013
	(in millions)
Foreign exchange contracts	$	1.7	$	—	$	—
Total	$	1.7	$	—	$	—

Derivatives Not Designated as Hedging Instruments (Table)

	Amount of gain (loss) recognized in net income on derivatives for the year ended December 31,
Derivatives not designated as hedging instruments	2015			2014			2013
	(in millions)
Interest rate contracts	$	73.8		$	246.0		$	(137.6	)
Foreign exchange contracts		(49.8	)		(74.6	)		(0.1	)
Equity contracts		(50.5	)		21.9			(159.4	)
Credit contracts		3.5			(34.7	)		40.6
Other contracts		(11.4	)		(194.3	)		154.4
Total	$	(34.4	)	$	(35.7	)	$	(102.1	)