Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	December 31, 2017		December 31, 2016
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	23,543.4	$	23,520.4
Interest rate options		657.0		4,950.5
Interest rate futures		236.5		96.0
Swaptions		14.0		77.0
Foreign exchange contracts:
Currency swaps		888.6		1,552.0
Currency forwards		915.5		851.3
Currency options		583.6		—
Equity contracts:
Equity options		3,649.4		3,505.8
Equity futures		357.8		545.1
Credit contracts:
Credit default swaps		668.5		961.3
Total return swaps		—		90.0
Futures		—		11.9
Other contracts:
Embedded derivatives		9,402.3		10,209.5
Total notional amounts at end of period	$	40,916.6	$	46,370.8
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	163.4	$	733.1
Interest rate options		19.8		27.3
Foreign exchange contracts:
Currency swaps		79.1		106.2
Currency forwards		24.3		6.4
Currency options		1.6		—
Equity contracts:
Equity options		18.2		28.2
Credit contracts:
Credit default swaps		5.0		7.0
Total return swaps		—		0.7
Total gross credit exposure		311.4		908.9
Less: collateral received		159.7		586.8
Net credit exposure	$	151.7	$	322.1

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	December 31, 2017		December 31, 2016		December 31, 2017		December 31, 2016
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	—	$	4.4	$	22.9	$	71.3
Foreign exchange contracts		39.6		86.8		36.3		143.4
Total derivatives designated as hedging instruments	$	39.6	$	91.2	$	59.2	$	214.7
Derivatives not designated as hedging instruments
Interest rate contracts	$	175.2	$	739.3	$	33.6	$	200.6
Foreign exchange contracts		66.2		27.2		26.3		56.2
Equity contracts		18.2		28.2		154.1		95.9
Credit contracts		4.8		7.7		1.5		5.7
Other contracts		—		—		413.4		388.7
Total derivatives not designated as hedging instruments		264.4		802.4		628.9		747.1
Total derivative instruments	$	304.0	$	893.6	$	688.1	$	961.8

(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 $160.3 million and $176.5 million as of December 31, 2017 and December 31, 2016, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	December 31, 2017
	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	$	0.3		$	30.0		1.2
AA		30.0		0.1			30.0		0.5
A		105.0		0.5			105.0		0.6
BBB		255.0		2.5			255.0		1.3
B		20.0		(0.5	)		20.0		1.8
Government/municipalities
AA		20.0		0.3			20.0		2.0
Sovereign
A		10.0		0.2			10.0		1.7
BBB		55.0		0.8			55.0		2.3
Total single name credit default swaps		525.0		4.2			525.0		1.3
Total credit default swap protection sold	$	525.0	$	4.2		$	525.0		1.3

	December 31, 2016
	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	$	0.6		$	30.0		2.2
AA		94.0		0.8			94.0		1.2
A		145.0		1.2			145.0		1.3
BBB		290.0		2.3			290.0		2.1
B		20.0		(1.8	)		20.0		2.8
Near default		10.0		0.2			10.0		3.0
Government/municipalities
AA		30.0		0.4			30.0		2.3
Sovereign
AA		10.0		0.1			10.0		2.7
BBB		40.0		0.3			40.0		2.7
Total single name credit default swaps		669.0		4.1			669.0		1.9
Basket and index credit default swaps
Corporate debt
Near default (1)		82.3		(1.6	)		82.3		0.2
Government/municipalities
AA		30.0		(0.4	)		30.0		0.7
Structured finance
AA		3.5		—			3.5		0.8
Total basket and index credit default swaps		115.8		(2.0	)		115.8		0.4
Total credit default swap protection sold	$	784.8	$	2.1		$	784.8		1.7

(1)Includes $60.0 million as of December 31, 2016, 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, 2016
	Amortized cost		Carrying value		Weighted average expected life (in years)
	(in millions)
Structured finance
AA	$	14.1	$	14.1		0.6
BBB		3.5		3.5		0.8
BB		2.3		2.3		0.8
CCC		4.7		4.7		1.2
Total structured finance		24.6		24.6		0.8
Total fixed maturities with credit derivatives	$	24.6	$	24.6		0.8

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 value hedging relationships
	2017			2016			2015			2017			2016			2015
	(in millions)									(in millions)
Interest rate contracts	$	4.7		$	19.5		$	26.4	Fixed maturities, available-for-sale	$	(5.2	)	$	(19.2	)	$	(26.1	)
Interest rate contracts		(0.6	)		(0.9	)		0.8	Investment contracts		0.6			1.0			(0.7	)
Foreign exchange contracts		—			—			3.8	Fixed maturities, available-for-sale		—			—			(3.8	)
Total	$	4.1		$	18.6		$	31.0	Total	$	(4.6	)	$	(18.2	)	$	(30.6	)

(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	2017			2016			2015
	(in millions)
Fixed maturities, available-for-sale (1)	$	(10.3	)	$	(41.9	)	$	(72.8	)
Investment contracts (2)		0.9			2.6			3.7

(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) reclassified from AOCI on derivatives (effective portion) for the year ended December 31,
		Amount of gain (loss) recognized in 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	2017			2016			2015			2017			2016			2015
		(in millions)									(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	(51.7	)	$	(33.1	)	$	33.1	Net investment income	$	21.0		$	19.3		$	16.6
										Net realized capital losses		(0.6	)		11.2			—
Interest rate contracts	Investment contracts		—			1.6			4.7	Benefits, claims and settlement expenses		—			—			—
Interest rate contracts	Debt		—			—			—	Operating expense		(10.8	)		(9.2	)		(8.2	)
Foreign exchange contracts	Fixed maturities, available-for-sale		(68.5	)		4.0			16.9	Net realized capital gains		22.0			6.4			28.5
Foreign exchange contracts	Investment contracts		—			6.0			2.4	Benefits, claims and settlement expenses		—			—			—
Total		$	(120.2	)	$	(21.5	)	$	57.1	Total	$	31.6		$	27.7		$	36.9

Cash Flow Hedges, Periodic Settlements Disclosures (Table)

	Amount of gain (loss) for the year ended December 31,
Hedged item	2017			2016			2015
	(in millions)
Fixed maturities, available-for-sale (1)	$	7.1		$	5.8		$	6.1
Investment contracts (2)		(1.1	)		(15.7	)		(18.3	)

(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.

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	2017			2016			2015
	(in millions)
Interest rate contracts	$	(26.9	)	$	243.3		$	73.8
Foreign exchange contracts		59.4			20.1			(49.8	)
Equity contracts		(181.3	)		(123.5	)		(50.5	)
Credit contracts		(15.9	)		37.4			3.5
Other contracts		11.5			(4.8	)		(11.4	)
Total	$	(153.2	)	$	172.5		$	(34.4	)