XML 33 R27.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2013
Derivative Financial Instruments  
Derivative Financial Instruments, Exposure (Table)

 

 

 

 

September 30, 2013

 

December 31, 2012

 

 

 

(in millions)

 

Notional amounts of derivative instruments

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

Interest rate swaps

 

$

19,601.8

 

$

18,381.2

 

Interest rate options

 

1,500.0

 

500.0

 

Swaptions

 

325.0

 

325.0

 

Interest rate futures

 

211.0

 

82.0

 

Foreign exchange contracts:

 

 

 

 

 

Currency swaps

 

2,559.3

 

3,454.1

 

Currency forwards

 

264.0

 

557.2

 

Currency options

 

—

 

1,400.0

 

Equity contracts:

 

 

 

 

 

Equity options

 

1,905.3

 

1,811.8

 

Equity futures

 

278.7

 

373.6

 

Credit contracts:

 

 

 

 

 

Credit default swaps

 

1,078.2

 

1,378.3

 

Total return swaps

 

100.0

 

100.0

 

Other contracts:

 

 

 

 

 

Embedded derivative financial instruments

 

7,115.0

 

5,893.2

 

Total notional amounts at end of period

 

$

34,938.3

 

$

34,256.4

 

 

 

 

 

 

 

Credit exposure of derivative instruments

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

Interest rate swaps

 

$

477.1

 

$

683.9

 

Interest rate options

 

29.3

 

48.5

 

Swaptions

 

1.1

 

0.7

 

Foreign exchange contracts:

 

 

 

 

 

Currency swaps

 

187.3

 

263.8

 

Currency forwards

 

1.2

 

6.8

 

Currency options

 

—

 

1.9

 

Equity contracts:

 

 

 

 

 

Equity options

 

36.1

 

74.3

 

Credit contracts:

 

 

 

 

 

Credit default swaps

 

7.2

 

6.8

 

Total gross credit exposure

 

739.3

 

1,086.7

 

Less: collateral received

 

112.6

 

248.0

 

Net credit exposure

 

$

626.7

 

$

838.7

 

 
Derivative Financial Instruments, Fair Value Disclosures (Table)

 

 

 

 

Derivative assets (1)

 

Derivative liabilities (2)

 

 

 

September 30, 2013

 

December 31, 2012

 

September 30, 2013

 

December 31, 2012

 

 

 

(in millions)

 

Derivatives designated as hedging instruments

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

1.6

 

$

10.3

 

$

327.0

 

$

440.5

 

Foreign exchange contracts

 

120.2

 

190.0

 

64.0

 

127.2

 

Total derivatives designated as hedging instruments

 

$

121.8

 

$

200.3

 

$

391.0

 

$

567.7

 

 

 

 

 

 

 

 

 

 

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

467.7

 

$

677.1

 

$

460.9

 

$

493.9

 

Foreign exchange contracts

 

51.7

 

58.2

 

17.3

 

14.3

 

Equity contracts

 

36.2

 

74.3

 

109.1

 

27.7

 

Credit contracts

 

7.2

 

6.8

 

44.4

 

96.6

 

Other contracts

 

—

 

—

 

239.6

 

327.8

 

Total derivatives not designated as hedging instruments

 

562.8

 

816.4

 

871.3

 

960.3

 

 

 

 

 

 

 

 

 

 

 

Total derivative instruments

 

$

684.6

 

$

1,016.7

 

$

1,262.3

 

$

1,528.0

 

 

 

(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 $49.3 million and $170.5 million as of September 30, 2013 and December 31, 2012, respectively, are reported with contractholder funds on the consolidated statements of financial position.

 
Credit Derivatives Sold (Table)

 

 

 

 

September 30, 2013

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

Maximum

 

average

 

 

 

Notional

 

Fair

 

future

 

expected life

 

 

 

amount

 

value

 

payments

 

(in years)

 

 

 

(in millions)

 

Single name credit default swaps

 

 

 

 

 

 

 

 

 

Corporate debt

 

 

 

 

 

 

 

 

 

AA

 

$

40.0

 

$

0.2

 

$

40.0

 

4.6

 

A

 

318.5

 

3.0

 

318.5

 

4.2

 

BBB

 

195.0

 

(2.4

)

195.0

 

4.5

 

Structured finance

 

 

 

 

 

 

 

 

 

Total single name credit default swaps

 

553.5

 

0.8

 

553.5

 

4.4

 

 

 

 

 

 

 

 

 

 

 

Basket and index credit default swaps

 

 

 

 

 

 

 

 

 

Corporate debt

 

 

 

 

 

 

 

 

 

Near default

 

110.4

 

(27.6

)

110.4

 

3.5

 

Government/municipalities

 

 

 

 

 

 

 

 

 

AA

 

30.0

 

(4.2

)

30.0

 

4.0

 

Structured finance

 

 

 

 

 

 

 

 

 

BBB

 

25.0

 

(2.4

)

25.0

 

3.8

 

Total basket and index credit default swaps

 

165.4

 

(34.2

)

165.4

 

3.6

 

Total credit default swap protection sold

 

$

718.9

 

$

(33.4

)

$

718.9

 

4.2

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2012

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

Maximum

 

average

 

 

 

Notional

 

Fair

 

future

 

expected life

 

 

 

amount

 

value

 

payments

 

(in years)

 

 

 

(in millions)

 

Single name credit default swaps

 

 

 

 

 

 

 

 

 

Corporate debt

 

 

 

 

 

 

 

 

 

AA

 

$

70.0

 

$

(0.2

)

$

70.0

 

2.5

 

A

 

572.0

 

2.4

 

572.0

 

2.4

 

BBB

 

200.0

 

(1.6

)

200.0

 

3.0

 

Structured finance

 

 

 

 

 

 

 

 

 

Near default

 

11.1

 

(11.0

)

11.1

 

8.5

 

Total single name credit default swaps

 

853.1

 

(10.4

)

853.1

 

2.6

 

 

 

 

 

 

 

 

 

 

 

Basket and index credit default swaps

 

 

 

 

 

 

 

 

 

Corporate debt

 

 

 

 

 

 

 

 

 

Near default

 

110.4

 

(65.2

)

110.4

 

4.2

 

Government/municipalities

 

 

 

 

 

 

 

 

 

AA

 

30.0

 

(7.3

)

30.0

 

4.7

 

Structured finance

 

 

 

 

 

 

 

 

 

BBB

 

25.0

 

(5.6

)

25.0

 

4.5

 

Total basket and index credit default swaps

 

165.4

 

(78.1

)

165.4

 

4.4

 

Total credit default swap protection sold

 

$

1,018.5

 

$

(88.5

)

$

1,018.5

 

2.9

 

 
Hybrid Instruments (Table)

 

 

 

 

September 30, 2013

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

average

 

 

 

Amortized

 

Carrying

 

expected life

 

 

 

cost

 

value

 

(in years)

 

 

 

(in millions)

 

Corporate debt

 

 

 

 

 

 

 

BBB

 

$

22.5

 

$

22.5

 

3.3

 

Total corporate debt

 

22.5

 

22.5

 

3.3

 

 

 

 

 

 

 

 

 

Structured finance

 

 

 

 

 

 

 

A

 

21.6

 

20.2

 

4.1

 

BB

 

5.6

 

5.6

 

3.3

 

B

 

4.2

 

4.2

 

3.2

 

CCC

 

23.6

 

23.6

 

5.0

 

Total structured finance

 

55.0

 

53.6

 

4.4

 

Total fixed maturities with credit derivatives

 

$

77.5

 

$

76.1

 

4.0

 

 

 

 

 

 

 

 

 

 

 

December 31, 2012

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

average

 

 

 

Amortized

 

Carrying

 

expected life

 

 

 

cost

 

value

 

(in years)

 

 

 

(in millions)

 

Corporate debt

 

 

 

 

 

 

 

BBB

 

$

20.5

 

$

20.5

 

4.0

 

B

 

25.0

 

24.9

 

0.5

 

Total corporate debt

 

45.5

 

45.4

 

2.1

 

 

 

 

 

 

 

 

 

Structured finance

 

 

 

 

 

 

 

AA

 

4.6

 

4.6

 

17.0

 

BB

 

39.6

 

37.5

 

2.9

 

B

 

4.0

 

4.0

 

4.4

 

CCC

 

17.7

 

17.7

 

6.4

 

Total structured finance

 

65.9

 

63.8

 

4.9

 

Total fixed maturities with credit derivatives

 

$

111.4

 

$

109.2

 

3.8

 

 
Fair Value Hedges (Table)

 

 

 

 

 

 

 

 

Amount of gain (loss)

 

 

 

Amount of gain (loss)

 

 

 

recognized in net income on

 

 

 

recognized in net income on

 

 

 

related hedged item for the

 

 

 

derivatives for the three months

 

 

 

three months ended

 

Derivatives in fair value hedging

 

ended September 30, (1)

 

Hedged items in fair value

 

September 30, (1)

 

relationships

 

2013

 

2012

 

hedging relationships

 

2013

 

2012

 

 

 

(in millions)

 

 

 

(in millions)

 

Interest rate contracts

 

$

14.6

 

$

0.7

 

Fixed maturities, available-for-sale

 

$

(14.1

)

$

—

 

Interest rate contracts

 

1.2

 

—

 

Investment-type insurance contracts

 

(1.5

)

—

 

Foreign exchange contracts

 

(1.1

)

(0.3

)

Fixed maturities, available-for-sale

 

1.2

 

0.8

 

Foreign exchange contracts

 

35.0

 

21.0

 

Investment-type insurance contracts

 

(34.9

)

(24.7

)

Total

 

$

49.7

 

$

21.4

 

Total

 

$

(49.3

)

$

(23.9

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount of gain (loss)

 

 

 

Amount of gain (loss)

 

 

 

recognized in net income on

 

 

 

recognized in net income on

 

 

 

related hedged item for the

 

 

 

derivatives for the nine months

 

 

 

nine months ended

 

Derivatives in fair value hedging

 

ended September 30, (1)

 

Hedging items in fair value

 

September 30, (1)

 

relationships

 

2013

 

2012

 

hedging relationships

 

2013

 

2012

 

 

 

(in millions)

 

 

 

(in millions)

 

Interest rate contracts

 

$

110.9

 

$

7.3

 

Fixed maturities, available-for-sale

 

$

(105.4

)

$

(3.9

)

Interest rate contracts

 

1.2

 

—

 

Investment-type insurance contracts

 

(1.5

)

—

 

Foreign exchange contracts

 

0.2

 

1.3

 

Fixed maturities, available-for-sale

 

—

 

(0.3

)

Foreign exchange contracts

 

(39.1

)

14.0

 

Investment-type insurance contracts

 

38.7

 

(17.4

)

Total

 

$

73.2

 

$

22.6

 

Total

 

$

(68.2

)

$

(21.6

)

 

 

(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

 

Amount of gain (loss) for the

 

 

 

three months ended September 30,

 

nine months ended September 30,

 

Hedged Item

 

2013

 

2012

 

2013

 

2012

 

 

 

(in millions)

 

Fixed maturities, available-for-sale (1)

 

$

(30.9

)

$

(32.6

)

$

(92.1

)

$

(101.7

)

Investment-type insurance contracts (2)

 

9.9

 

9.2

 

29.2

 

27.1

 

 

 

(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)

 

 

 

Amount of gain (loss)

 

 

 

 

 

recognized in AOCI on

 

 

 

reclassified from AOCI on

 

 

 

 

 

derivatives (effective portion)

 

Location of gain (loss)

 

derivatives (effective portion)

 

Derivatives in cash

 

 

 

for the three months ended

 

reclassified from AOCI

 

for the three months ended

 

flow hedging

 

 

 

September 30,

 

into net income

 

September 30,

 

relationships

 

Related hedged item

 

2013

 

2012

 

(effective portion)

 

2013

 

2012

 

 

 

 

 

(in millions)

 

 

 

(in millions)

 

Interest rate contracts

 

Fixed maturities, available-for-sale

 

$

(10.2

)

$

3.6

 

Net investment income

 

$

3.0

 

$

2.3

 

Interest rate contracts

 

Investment-type insurance contracts

 

0.6

 

0.6

 

Benefits, claims and settlement expenses

 

—

 

—

 

Interest rate contracts

 

Debt

 

—

 

—

 

Operating expense

 

(1.7

)

(1.5

)

Foreign exchange contracts

 

Fixed maturities, available-for-sale

 

(44.7

)

(25.2

)

Net realized capital losses

 

(3.2

)

(0.3

)

Foreign exchange contracts

 

Investment-type insurance contracts

 

2.8

 

(1.4

)

Benefits, claims and settlement expenses

 

—

 

—

 

Total

 

 

 

$

(51.5

)

$

(22.4

)

Total

 

$

(1.9

)

$

0.5

 

 

 

 

 

 

Amount of gain (loss)

 

 

 

Amount of gain (loss)

 

 

 

 

 

recognized in AOCI on

 

 

 

reclassified from AOCI on

 

 

 

 

 

derivatives (effective portion)

 

Location of gain (loss)

 

derivatives (effective portion)

 

Derivatives in cash

 

 

 

for the nine months ended

 

reclassified from AOCI

 

for the nine months ended

 

flow hedging

 

 

 

September 30,

 

into net income

 

September 30,

 

relationships

 

Related hedged item

 

2013

 

2012

 

(effective portion)

 

2013

 

2012

 

 

 

 

 

(in millions)

 

 

 

(in millions)

 

Interest rate contracts

 

Fixed maturities, available-for-sale

 

$

(51.4

)

$

29.5

 

Net investment income

 

$

8.6

 

$

6.4

 

Interest rate contracts

 

Investment-type insurance contracts

 

1.7

 

1.2

 

Benefits, claims and settlement expenses

 

—

 

—

 

Interest rate contracts

 

Debt

 

—

 

—

 

Operating expense

 

(4.9

)

(4.4

)

Foreign exchange contracts

 

Fixed maturities, available-for-sale

 

(3.1

)

3.2

 

Net realized capital losses

 

(5.3

)

(12.2

)

Foreign exchange contracts

 

Investment-type insurance contracts

 

2.2

 

(4.2

)

Benefits, claims and settlement expenses

 

—

 

—

 

Total

 

 

 

$

(50.6

)

$

29.7

 

Total

 

$

(1.6

)

$

(10.2

)

 
Cash Flow Hedges, Periodic Settlements Disclosures (Table)

 

 

 

 

Amount of gain (loss) for the

 

Amount of gain (loss) for the

 

 

 

three months ended September 30,

 

nine months ended September 30,

 

Hedged Item

 

2013

 

2012

 

2013

 

2012

 

 

 

(in millions)

 

Fixed maturities, available-for-sale (1)

 

$

1.9

 

$

2.0

 

$

6.2

 

$

5.9

 

Investment-type insurance contracts (2)

 

(2.7

)

(3.4

)

(8.2

)

(9.8

)

 

 

(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

 

Amount of gain (loss) recognized in

 

 

 

net income on derivatives for the

 

net income on derivatives for the

 

 

 

three months ended September 30,

 

nine months ended September 30,

 

Derivatives not designated as hedging instruments

 

2013

 

2012

 

2013

 

2012

 

 

 

(in millions)

 

Interest rate contracts

 

$

(20.0

)

$

(13.8

)

$

(112.1

)

$

12.4

 

Foreign exchange contracts

 

14.9

 

26.4

 

3.1

 

40.0

 

Equity contracts

 

(49.0

)

(36.7

)

(120.5

)

(59.0

)

Credit contracts

 

10.4

 

9.6

 

32.8

 

19.1

 

Other contracts

 

18.4

 

(37.1

)

117.9

 

(14.9

)

Total

 

$

(25.3

)

$

(51.6

)

$

(78.8

)

$

(2.4

)