Investments (Tables)

12 Months Ended

Dec. 31, 2017

Investments

Fixed Maturities and Equity Securities Available-for-Sale (Table)

	Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value		Other-than- temporary impairments in AOCI (1)
	(in millions)
December 31, 2017
Fixed maturities, available-for-sale:
U.S. government and agencies	$	1,314.5	$	44.9	$	7.7	$	1,351.7	$	—
Non-U.S. governments		820.5		84.6		3.6		901.5		—
States and political subdivisions		6,446.1		371.4		15.9		6,801.6		—
Corporate		34,673.0		2,464.2		104.1		37,033.1		0.5
Residential mortgage-backed pass-through securities		2,493.8		50.8		21.3		2,523.3		—
Commercial mortgage-backed securities		3,734.0		32.7		58.4		3,708.3		50.6
Collateralized debt obligations		1,372.1		2.7		15.5		1,359.3		0.3
Other debt obligations		5,708.1		42.0		40.5		5,709.6		41.9
Total fixed maturities, available-for-sale	$	56,562.1	$	3,093.3	$	267.0	$	59,388.4	$	93.3
Total equity securities, available-for-sale	$	94.0	$	7.4	$	5.4	$	96.0
December 31, 2016
Fixed maturities, available-for-sale:
U.S. government and agencies	$	1,426.7	$	17.2	$	10.9	$	1,433.0	$	—
Non-U.S. governments		781.7		119.3		7.4		893.6		—
States and political subdivisions		5,463.9		192.4		87.1		5,569.2		1.1
Corporate		32,699.7		1,843.5		350.8		34,192.4		17.2
Residential mortgage-backed pass-through securities		2,798.0		67.3		30.6		2,834.7		—
Commercial mortgage-backed securities		4,153.2		31.2		87.9		4,096.5		77.5
Collateralized debt obligations		780.1		2.8		24.3		758.6		0.3
Other debt obligations		5,080.9		37.0		49.8		5,068.1		50.3
Total fixed maturities, available-for-sale	$	53,184.2	$	2,310.7	$	648.8	$	54,846.1	$	146.4
Total equity securities, available-for-sale	$	104.9	$	4.9	$	10.9	$	98.9

(1)Excludes $103.0 million and $120.9 million as of December 31, 2017 and December 31, 2016, respectively, of net unrealized gains on impaired fixed maturities, available-for-sale related to changes in fair value subsequent to the impairment date, which are included in gross unrealized gains and gross unrealized losses.

Fixed Maturities Available-for-Sale by Contractual Maturity (Table)

	Amortized cost		Fair value
	(in millions)
Due in one year or less	$	2,652.6	$	2,669.2
Due after one year through five years		11,417.8		11,728.4
Due after five years through ten years		10,047.6		10,399.7
Due after ten years		19,136.1		21,290.6
Subtotal		43,254.1		46,087.9
Mortgage-backed and other asset-backed securities		13,308.0		13,300.5
Total	$	56,562.1	$	59,388.4

Net Investment Income (Table)

	For the year ended December 31,
	2017			2016			2015
	(in millions)
Fixed maturities, available-for-sale	$	2,342.3		$	2,253.8		$	2,131.8
Fixed maturities, trading		12.6			20.2			21.4
Equity securities, available-for-sale		21.7			20.1			15.0
Equity securities, trading		46.1			31.4			35.2
Mortgage loans		605.9			573.9			575.1
Real estate		129.4			127.9			97.1
Policy loans		45.6			46.3			46.3
Cash and cash equivalents		28.6			14.2			8.5
Derivatives (1)		(3.2	)		(36.1	)		(66.6	)
Other		319.6			329.2			265.3
Total		3,548.6			3,380.9			3,129.1
Investment expenses		(89.3	)		(84.4	)		(77.0	)
Net investment income	$	3,459.3		$	3,296.5		$	3,052.1

(1)Relates to periodic settlements of derivatives used in fair value and cash flow hedges of fixed maturities, available-for-sale. See Note 5, Derivative Financial Instruments, for further details.

Net Realized Capital Gains and Losses (Table)

	For the year ended December 31,
	2017			2016			2015
	(in millions)
Fixed maturities, available-for-sale:
Gross gains	$	14.7		$	74.6		$	20.9
Gross losses		(27.2	)		(28.6	)		(6.7	)
Net impairment losses		(81.7	)		(96.7	)		(30.5	)
Hedging, net		(28.5	)		(37.9	)		(58.3	)
Fixed maturities, trading		(8.0	)		4.1			(12.3	)
Equity securities, available-for-sale:
Gross gains		0.2			—			1.2
Gross losses		—			—			(1.8	)
Net impairment (losses) recoveries		(0.1	)		(1.7	)		0.3
Equity securities, trading		65.0			6.8			(3.4	)
Mortgage loans		9.0			4.5			(0.1	)
Derivatives		(149.8	)		210.1			38.1
Other (1)		730.6			35.9			1.5
Net realized capital gains (losses)	$	524.2		$	171.1		$	(51.1	)

(1) See Note 4, Investments — Real Estate Transactions, for further details.

Other-Than-Temporary Impairment Losses, Net of Recoveries (Table)

	For the year ended December 31,
	2017			2016			2015
	(in millions)
Fixed maturities, available-for-sale	$	(28.6	)	$	(97.1	)	$	(1.1	)
Equity securities, available-for-sale		(0.1	)		(1.7	)		0.3
Total other-than-temporary impairment losses, net of recoveries from the sale of previously impaired securities		(28.7	)		(98.8	)		(0.8	)
Other-than-temporary impairment losses on fixed maturities, available-for-sale reclassified to (from) OCI (1)		(53.1	)		0.4			(29.4	)
Net impairment losses on available-for-sale securities	$	(81.8	)	$	(98.4	)	$	(30.2	)

(1)Represents the net impact of (a) gains resulting from reclassification of noncredit impairment losses for fixed maturities with bifurcated OTTI from net realized capital gains (losses) to OCI and (b) losses resulting from reclassification of previously recognized noncredit impairment losses from OCI to net realized capital gains (losses) for fixed maturities with bifurcated OTTI that had additional credit losses or fixed maturities that previously had bifurcated OTTI that have now been sold or are intended to be sold.

Other-Than-Temporary Impairment, Credit Losses Recognized in Earnings (Table)

	For the year ended December 31,
	2017			2016			2015
	(in millions)
Beginning balance	$	(139.9	)	$	(131.5	)	$	(144.4	)
Credit losses for which an other-than-temporary impairment was not previously recognized		(15.0	)		(43.4	)		(6.1	)
Credit losses for which an other-than-temporary impairment was previously recognized		(42.5	)		(31.7	)		(13.8	)
Reduction for credit losses previously recognized on fixed maturities now sold, paid down or intended to be sold		63.3			60.5			24.7
Net reduction for positive changes in cash flows expected to be collected and amortization (1)		10.0			6.4			7.5
Foreign currency translation adjustment		(0.2	)		(0.2	)		0.6
Ending balance	$	(124.3	)	$	(139.9	)	$	(131.5	)

(1)Amounts are recognized in net investment income.

Gross Unrealized Losses for Fixed Maturities and Equity Securities (Table)

	December 31, 2017
	Less than twelve months				Greater than or equal to twelve months				Total
	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Fair value		Gross unrealized losses
	(in millions)
Fixed maturities, available-for-sale:
U.S. government and agencies	$	294.2	$	2.2	$	180.9	$	5.5	$	475.1	$	7.7
Non-U.S. governments		111.0		1.7		22.1		1.9		133.1		3.6
States and political subdivisions		720.0		5.0		437.7		10.9		1,157.7		15.9
Corporate		3,871.5		43.4		1,644.3		60.7		5,515.8		104.1
Residential mortgage-backed pass- through securities		354.4		2.0		734.5		19.3		1,088.9		21.3
Commercial mortgage-backed securities		1,342.7		19.9		820.3		38.5		2,163.0		58.4
Collateralized debt obligations		460.9		2.1		38.3		13.4		499.2		15.5
Other debt obligations		2,667.6		16.0		956.8		24.5		3,624.4		40.5
Total fixed maturities, available-for-sale	$	9,822.3	$	92.3	$	4,834.9	$	174.7	$	14,657.2	$	267.0
Total equity securities, available-for-sale	$	—	$	—	$	40.4	$	5.4	$	40.4	$	5.4

	December 31, 2016
	Less than twelve months				Greater than or equal to twelve months				Total
	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Fair value		Gross unrealized losses
	(in millions)
Fixed maturities, available-for-sale:
U.S. government and agencies	$	570.3	$	10.9	$	8.2	$	—	$	578.5	$	10.9
Non-U.S. governments		198.0		5.4		12.2		2.0		210.2		7.4
States and political subdivisions		2,229.4		86.6		4.8		0.5		2,234.2		87.1
Corporate		6,559.7		189.2		1,285.6		161.6		7,845.3		350.8
Residential mortgage-backed pass-through securities		1,265.6		29.8		16.0		0.8		1,281.6		30.6
Commercial mortgage-backed securities		1,637.2		41.0		612.5		46.9		2,249.7		87.9
Collateralized debt obligations		265.7		0.9		195.6		23.4		461.3		24.3
Other debt obligations		2,229.4		32.8		376.2		17.0		2,605.6		49.8
Total fixed maturities, available-for-sale	$	14,955.3	$	396.6	$	2,511.1	$	252.2	$	17,466.4	$	648.8
Total equity securities, available-for-sale	$	18.2	$	0.4	$	35.4	$	10.5	$	53.6	$	10.9

Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments (Table)

	December 31, 2017			December 31, 2016
	(in millions)
Net unrealized gains on fixed maturities, available-for-sale (1)	$	2,898.5		$	1,727.8
Noncredit component of impairment losses on fixed maturities, available-for-sale		(93.3	)		(146.4	)
Net unrealized gains (losses) on equity securities, available-for-sale		2.0			(6.0	)
Adjustments for assumed changes in amortization patterns		(150.6	)		(121.9	)
Adjustments for assumed changes in policyholder liabilities		(645.5	)		(469.2	)
Net unrealized gains on derivative instruments		108.2			186.5
Net unrealized gains on equity method subsidiaries and noncontrolling interest adjustments		31.3			68.0
Provision for deferred income taxes		(695.5	)		(411.8	)
Net unrealized gains on available-for-sale securities and derivative instruments	$	1,455.1		$	827.0

(1)Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships.

Mortgage Loans (Table)

	December 31, 2017			December 31, 2016
	(in millions)
Commercial mortgage loans	$	12,897.3		$	12,055.2
Residential mortgage loans		1,285.9			1,219.9
Total amortized cost		14,183.2			13,275.1
Valuation allowance		(32.7	)		(44.9	)
Total carrying value	$	14,150.5		$	13,230.2

Mortgage Loans Purchased and Sold (Table)

	For the year ended December 31,
	2017		2016		2015
	(in millions)
Commercial mortgage loans:
Purchased	$	144.2	$	163.3	$	223.4
Sold		28.9		0.3		21.6
Residential mortgage loans:
Purchased		346.0		290.3		295.3
Sold		152.2		48.4		79.3

Commercial Mortgage Loans by Geographic Distribution and Property Type Distribution (Table)

	December 31, 2017					December 31, 2016
	Amortized cost		Percent of total			Amortized cost		Percent of total
	($ in millions)
Geographic distribution
New England	$	591.8		4.6	%	$	532.1		4.4	%
Middle Atlantic		3,623.0		28.1			3,317.3		27.5
East North Central		675.2		5.2			652.6		5.4
West North Central		174.9		1.4			185.6		1.5
South Atlantic		2,325.3		18.0			2,189.5		18.2
East South Central		375.7		2.9			239.3		2.0
West South Central		1,072.4		8.3			1,211.7		10.1
Mountain		1,039.3		8.1			932.6		7.7
Pacific		2,849.0		22.1			2,707.2		22.5
International		170.7		1.3			87.3		0.7
Total	$	12,897.3		100.0	%	$	12,055.2		100.0	%
Property type distribution
Office	$	4,700.2		36.4	%	$	4,417.6		36.6	%
Retail		2,612.7		20.3			2,671.1		22.2
Industrial		1,881.5		14.6			1,802.4		15.0
Apartments		3,301.9		25.6			2,741.4		22.7
Hotel		130.9		1.0			260.7		2.2
Mixed use/other		270.1		2.1			162.0		1.3
Total	$	12,897.3		100.0	%	$	12,055.2		100.0	%

Commercial Mortgage Loan Portfolio by Credit Risk (Table)

	December 31, 2017
	Brick and mortar		CTL		Total
	(in millions)
A– and above	$	11,636.2	$	129.0	$	11,765.2
BBB+ thru BBB–		884.4		102.4		986.8
BB+ thru BB–		138.7		—		138.7
B+ and below		6.3		0.3		6.6
Total	$	12,665.6	$	231.7	$	12,897.3

	December 31, 2016
	Brick and mortar		CTL		Total
	(in millions)
A– and above	$	10,612.8	$	158.5	$	10,771.3
BBB+ thru BBB–		1,009.8		100.6		1,110.4
BB+ thru BB–		160.5		—		160.5
B+ and below		12.1		0.9		13.0
Total	$	11,795.2	$	260.0	$	12,055.2

Performing and Non-Performing Residential Mortgage Loans (Table)

	December 31, 2017
	Home equity		First liens		Total
	(in millions)
Performing	$	16.5	$	1,251.4	$	1,267.9
Non-performing		6.5		11.5		18.0
Total	$	23.0	$	1,262.9	$	1,285.9

	December 31, 2016
	Home equity		First liens		Total
	(in millions)
Performing	$	156.8	$	1,043.1	$	1,199.9
Non-performing		8.8		11.2		20.0
Total	$	165.6	$	1,054.3	$	1,219.9

Non-Accrual Mortgage Loans (Table)

	December 31, 2017		December 31, 2016
	(in millions)
Residential:
Home equity	$	6.5	$	8.8
First liens		3.9		5.6
Total	$	10.4	$	14.4

Mortgage Loans Aging (Table)

	December 31, 2017
	30 - 59 days past due		60 - 89 days past due		90 days or more past due		Total past due		Current		Total loans		Recorded investment 90 days or more and accruing
	(in millions)
Commercial-brick and mortar	$	—	$	—	$	—	$	—	$	12,665.6	$	12,665.6	$	—
Commercial-CTL		—		—		—		—		231.7		231.7		—
Residential-home equity		1.9		0.7		0.8		3.4		19.6		23.0		—
Residential-first liens		37.2		7.9		10.6		55.7		1,207.2		1,262.9		7.6
Total	$	39.1	$	8.6	$	11.4	$	59.1	$	14,124.1	$	14,183.2	$	7.6

	December 31, 2016
	30 - 59 days past due		60 - 89 days past due		90 days or more past due		Total past due		Current		Total loans		Recorded investment 90 days or more and accruing
	(in millions)
Commercial-brick and mortar	$	—	$	—	$	—	$	—	$	11,795.2	$	11,795.2	$	—
Commercial-CTL		—		—		—		—		260.0		260.0		—
Residential-home equity		1.9		1.1		1.4		4.4		161.2		165.6		—
Residential-first liens		40.1		11.3		10.0		61.4		992.9		1,054.3		5.6
Total	$	42.0	$	12.4	$	11.4	$	65.8	$	13,209.3	$	13,275.1	$	5.6

Mortgage Loan Valuation Allowance (Table)

	Commercial			Residential			Total
	(in millions)
For the year ended December 31, 2017
Beginning balance	$	27.4		$	17.5		$	44.9
Provision		(1.6	)		(10.4	)		(12.0	)
Charge-offs		—			(5.1	)		(5.1	)
Recoveries		—			4.9			4.9
Ending balance	$	25.8		$	6.9		$	32.7
Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	4.5		$	4.5
Collectively evaluated for impairment		25.8			2.4			28.2
Allowance ending balance	$	25.8		$	6.9		$	32.7
Loan balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	12.5		$	12.5
Collectively evaluated for impairment		12,897.3			1,273.4			14,170.7
Loan ending balance	$	12,897.3		$	1,285.9		$	14,183.2
For the year ended December 31, 2016
Beginning balance	$	27.5		$	24.1		$	51.6
Provision		1.4			(5.6	)		(4.2	)
Charge-offs		(1.5	)		(4.6	)		(6.1	)
Recoveries		—			3.6			3.6
Ending balance	$	27.4		$	17.5		$	44.9
Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	5.9		$	5.9
Collectively evaluated for impairment		27.4			11.6			39.0
Allowance ending balance	$	27.4		$	17.5		$	44.9
Loan balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	19.2		$	19.2
Collectively evaluated for impairment		12,055.2			1,200.7			13,255.9
Loan ending balance	$	12,055.2		$	1,219.9		$	13,275.1
For the year ended December 31, 2015
Beginning balance	$	26.9		$	29.6		$	56.5
Provision		3.9			—			3.9
Charge-offs		(3.4	)		(9.0	)		(12.4	)
Recoveries		0.1			3.6			3.7
Effect of exchange rates		—			(0.1	)		(0.1	)
Ending balance	$	27.5		$	24.1		$	51.6
Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	7.5		$	7.5
Collectively evaluated for impairment		27.5			16.6			44.1
Allowance ending balance	$	27.5		$	24.1		$	51.6
Loan balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	23.2		$	23.2
Collectively evaluated for impairment		11,265.3			1,102.5			12,367.8
Loan ending balance	$	11,265.3		$	1,125.7		$	12,391.0

Impaired Mortgage Loans (Table)

	December 31, 2017
	Recorded investment		Unpaid principal balance		Related allowance
	(in millions)
With no related allowance recorded:
Residential-first liens	$	0.9	$	0.8	$	—
With an allowance recorded:
Residential-home equity		7.6		8.6		4.3
Residential-first liens		4.0		4.0		0.2
Total:
Residential	$	12.5	$	13.4	$	4.5

	December 31, 2016
	Recorded investment		Unpaid principal balance		Related allowance
	(in millions)
With no related allowance recorded:
Residential-first liens	$	1.5	$	1.5	$	—
With an allowance recorded:
Residential-home equity		13.0		14.1		5.5
Residential-first liens		4.7		4.6		0.4
Total:
Residential	$	19.2	$	20.2	$	5.9

	Average recorded investment		Interest income recognized
	(in millions)
For the year ended December 31, 2017
With no related allowance recorded:
Residential-first liens	$	1.2	$	—
With an allowance recorded:
Residential-home equity		10.3		0.2
Residential-first liens		4.4		0.2
Total:
Residential	$	15.9	$	0.4
For the year ended December 31, 2016
With no related allowance recorded:
Residential-first liens	$	2.6	$	—
With an allowance recorded:
Residential-home equity		13.4		0.3
Residential-first liens		5.3		0.1
Total:
Residential	$	21.3	$	0.4
For the year ended December 31, 2015
With no related allowance recorded:
Commercial-brick and mortar	$	2.6	$	—
Residential-first liens		3.5		—
With an allowance recorded:
Commercial-brick and mortar		2.2		0.2
Residential-home equity		15.1		0.4
Residential-first liens		6.6		0.2
Total:
Commercial	$	4.8	$	0.2
Residential	$	25.2	$	0.6

Mortgage Loans Modified as a Troubled Debt Restructuring (Table)

	For the year ended December 31, 2017
	TDRs				TDRs in payment default
	Number of contracts		Recorded investment		Number of contracts		Recorded investment
			(in millions)				(in millions)
Residential-home equity		10	$	0.5		—	$	—
Residential-first liens		1		0.1		1		0.1
Total		11	$	0.6		1	$	0.1

	For the year ended December 31, 2016
	TDRs				TDRs in payment default
	Number of contracts		Recorded investment		Number of contracts		Recorded investment
			(in millions)				(in millions)
Residential-home equity		9	$	0.5		—	$	—
Residential-first liens		1		0.1		—		—
Total		10	$	0.6		—	$	—

	For the year ended December 31, 2015
	TDRs				TDRs in payment default
	Number of contracts		Recorded investment		Number of contracts		Recorded investment
			(in millions)				(in millions)
Residential-home equity		14	$	0.6		2	$	—
Total		14	$	0.6		2	$	—

Real Estate Transactions (Table)

The following consolidated statement of financial position line items were most significantly impacted by the transactions, each having a net increase as of September 30, 2017, (in millions):

Real estate	$	293.4
Other investments		222.4
Cash and cash equivalents		219.6
Long-term debt		49.4
Income taxes currently payable		179.1
Deferred income taxes		101.0

Minority Interests in Unconsolidated Entities-Balance Sheet (Table)

	December 31,
	2017		2016
	(in millions)
Total assets	$	136,171.8	$	123,621.2
Total liabilities		83,815.2		73,688.8
Total equity	$	52,356.6	$	49,932.4
Net investment in unconsolidated entities (1)	$	1,616.2	$	1,223.8

(1)Our most significant equity investee is Brasilprev Seguros e Previdencia, a co-managed joint venture in Brazil.

Minority Interests in Unconsolidated Entities-Income Statement (Table)

	For the year ended December 31,
	2017		2016		2015
	(in millions)
Total revenues	$	15,020.9	$	14,376.4	$	13,171.0
Net income		4,530.1		3,455.3		4,866.0
Our share of net income of unconsolidated entities (1)		232.7		232.7		165.3

(1)Our most significant equity investee is Brasilprev Seguros e Previdencia, a co-managed joint venture in Brazil.

Financial Assets Subject to Netting Agreements (Table)

			Gross amounts not offset in the consolidated statements of financial position
	Gross amount of recognized assets (1)		Financial instruments (2)			Collateral received			Net amount
	(in millions)
December 31, 2017
Derivative assets	$	287.0	$	(116.3	)	$	(149.5	)	$	21.2
Reverse repurchase agreements		17.6		—			(17.6	)		—
Total	$	304.6	$	(116.3	)	$	(167.1	)	$	21.2
December 31, 2016
Derivative assets	$	887.2	$	(294.2	)	$	(582.0	)	$	11.0
Reverse repurchase agreements		41.1		—			(41.1	)		—
Total	$	928.3	$	(294.2	)	$	(623.1	)	$	11.0

(1)The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents, respectively, on the consolidated statements of financial position. The above excludes $17.0 million and $6.4 million of derivative assets as of December 31, 2017 and December 31, 2016, respectively, that are not subject to master netting agreements or similar agreements. The gross amounts of derivative and reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the consolidated statements of financial position. See Note 1, Nature of Operations and Significant Accounting Policies, under the caption "Over-The-Counter Derivatives Cleared on Chicago Mercantile Exchange" for details of the CME variation margin rule change that impacted the amounts presented for 2017.

(2)Represents amount of offsetting derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets for presentation on the consolidated statements of financial position.

Financial Liabilities Subject to Netting Agreements (Table)

			Gross amounts not offset in the consolidated statements of financial position
	Gross amount of recognized liabilities (1)		Financial instruments (2)			Collateral pledged			Net amount
	(in millions)
December 31, 2017
Derivative liabilities	$	272.5	$	(116.3	)	$	(143.5	)	$	12.7
Total	$	272.5	$	(116.3	)	$	(143.5	)	$	12.7
December 31, 2016
Derivative liabilities	$	567.5	$	(294.2	)	$	(243.9	)	$	29.4
Repurchase agreements		9.7		—			(9.7	)		—
Total	$	577.2	$	(294.2	)	$	(253.6	)	$	29.4

(1)The gross amount of recognized derivative liabilities are reported with other liabilities on the consolidated statements of financial position. The above excludes $415.6 million and $394.3 million of derivative liabilities as of December 31, 2017 and December 31, 2016, respectively, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amount of recognized repurchase agreement liabilities are reported with short-term debt on the consolidated statements of financial position. The gross amounts of derivative and repurchase agreement liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position. See Note 1, Nature of Operations and Significant Accounting Policies, under the caption "Over-The-Counter Derivatives Cleared on Chicago Mercantile Exchange" for details of the CME variation margin rule change that impacted the amounts presented for 2017.

(2)Represents amount of offsetting derivative assets that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative liabilities for presentation on the consolidated statements of financial position.