Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	March 31, 2018		December 31, 2017
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	25,163.9	$	23,543.4
Interest rate options	1,127.0		657.0
Interest rate futures	82.0		236.5
Swaptions	—		14.0
Foreign exchange contracts:
Currency swaps	872.9		888.6
Currency forwards	807.4		915.5
Currency options	636.9		583.6
Equity contracts:
Equity options	3,727.1		3,649.4
Equity futures	309.7		357.8
Credit contracts:
Credit default swaps	568.5		668.5
Other contracts:
Embedded derivatives	9,472.2		9,402.3
Total notional amounts at end of period	$	42,767.6	$	40,916.6
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	119.7	$	163.4
Interest rate options	16.6		19.8
Foreign exchange contracts:
Currency swaps	75.6		79.1
Currency forwards	15.2		24.3
Currency options	0.6		1.6
Equity contracts:
Equity options	15.4		18.2
Credit contracts:
Credit default swaps	4.2		5.0
Total gross credit exposure	247.3		311.4
Less: collateral received	150.5		159.7
Net credit exposure	$	96.8	$	151.7

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	March 31, 2018		December 31, 2017		March 31, 2018		December 31, 2017
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	—	$	—	$	18.3	$	22.9
Foreign exchange contracts	32.4		39.6		43.3		36.3
Total derivatives designated as hedging instruments	$	32.4	$	39.6	$	61.6	$	59.2
Derivatives not designated as hedging instruments
Interest rate contracts	$	125.8	$	175.2	$	31.2	$	33.6
Foreign exchange contracts	58.9		66.2		22.8		26.3
Equity contracts	15.4		18.2		144.1		154.1
Credit contracts	4.1		4.8		1.4		1.5
Other contracts	—		—		357.2		413.4
Total derivatives not designated as hedging instruments	204.2		264.4		556.7		628.9
Total derivative instruments	$	236.6	$	304.0	$	618.3	$	688.1

(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 $96.2 million and $160.3 million as of March 31, 2018 and December 31, 2017, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	March 31, 2018
							Weighted
					Maximum		average
	Notional		Fair		future		expected life
	amount		value		payments		(in years)
	(in millions)
Single name credit default swaps
Corporate debt
AAA	$	30.0	$	0.3	$	30.0	1.0
AA	20.0		—		20.0		0.3
A	85.0		0.4		85.0		0.6
BBB	225.0		2.1		225.0		1.2
B	20.0		(0.6)		20.0		1.6
Government/municipalities
AA	20.0		0.3		20.0		1.7
Sovereign
A	10.0		0.1		10.0		1.5
BBB	55.0		0.7		55.0		2.1
Total single name credit default swaps	465.0		3.3		465.0		1.2
Total credit default swap protection sold	$	465.0	$	3.3	$	465.0	1.2

	December 31, 2017
							Weighted
					Maximum		average
	Notional		Fair		future		expected life
	amount		value		payments		(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

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 March 31, (1)				Hedged items in fair value	March 31, (1)
relationships	2018		2017		hedging relationships	2018		2017
	(in millions)					(in millions)
Interest rate contracts	$	5.4	$	2.0	Fixed maturities, available-for-sale	$	(5.5)	$	(2.0)
Interest rate contracts	—		(0.7)		Investment contracts	—		0.6
Total	$	5.4	$	1.3	Total	$	(5.5)	$	(1.4)

(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 three
	months ended March 31,
Hedged item	2018		2017
	(in millions)
Fixed maturities, available-for-sale (1)	$	(2.0)	$	(3.2)
Investment contracts (2)	—		0.4

(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		March 31,				into net income	March 31,
relationships	Related hedged item	2018		2017		(effective portion)	2018		2017
		(in millions)					(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	(4.6)	$	(32.3)	Net investment income	$	5.4	$	5.2
						Net realized capital losses	—		(0.7)
Interest rate contracts	Debt	—		—		Operating expense	(2.6)		(2.6)
Foreign exchange contracts	Fixed maturities, available-for-sale	(18.8)		(20.2)		Net realized capital gains (losses)	(0.4)		10.6
Foreign exchange contracts	Investment contracts	(0.1)		—		Benefits, claims and settlement expenses	—		—
Total		$	(23.5)	$	(52.5)	Total	$	2.4	$	12.5

Cash Flow Hedges, Periodic Settlements Disclosures (Table)

	Amount of gain (loss) for the three
	months ended March 31,
Hedged item	2018		2017
	(in millions)
Fixed maturities, available-for-sale (1)	$	1.6	$	1.8
Investment contracts (2)	(0.1)		(0.8)

(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
	net income on derivatives for the three
	months ended March 31,
Derivatives not designated as hedging instruments	2018		2017
	(in millions)
Interest rate contracts	$	(48.0)	$	(24.8)
Foreign exchange contracts	8.8		11.1
Equity contracts	(15.2)		(64.4)
Credit contracts	0.1		7.8
Other contracts	63.7		54.8
Total	$	9.4	$	(15.5)