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Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)


		March 31, 2020			December 31, 2019
		(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps		$	37,078.6		$	35,173.6
Interest rate options			1,886.9			1,416.9
Interest rate futures			539.0			142.5
Swaptions			62.0			62.0
Foreign exchange contracts:
Currency forwards			1,257.6			1,262.6
Currency swaps			1,005.1			1,027.2
Currency options			95.2			53.8
Equity contracts:
Equity options			1,742.0			1,672.8
Equity futures			667.8			149.5
Credit contracts:
Credit default swaps			160.0			165.0
Other contracts:
Embedded derivatives			9,772.7			9,742.3
Total notional amounts at end of period		$	54,266.9		$	50,868.2

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps		$	355.3		$	181.9
Interest rate options			63.8			28.3
Foreign exchange contracts:
Currency swaps			89.7			55.4
Currency forwards			36.4			4.9
Currency options			7.4			0.1
Equity contracts:
Equity options			74.7			30.5
Credit contracts:
Credit default swaps			1.7			0.5
Total gross credit exposure			629.0			301.6
Less: collateral received			536.0			208.3
Net credit exposure		$	93.0		$	93.3

Derivative Financial Instruments, Fair Value Disclosures (Table)


		Derivative assets (1)						Derivative liabilities (2)
		March 31, 2020			December 31, 2019			March 31, 2020			December 31, 2019
		(in millions)
Derivatives designated as hedging instruments
Interest rate contracts		$	—		$	—		$	31.1		$	21.3
Foreign exchange contracts			87.6			30.0			—			15.2
Total derivatives designated as hedging instruments		$	87.6		$	30.0		$	31.1		$	36.5

Derivatives not designated as hedging instruments
Interest rate contracts		$	409.3		$	204.2		$	40.1		$	16.7
Foreign exchange contracts			44.3			29.5			137.0			100.2
Equity contracts			74.7			30.5			2.2			63.1
Credit contracts			1.7			0.5			0.1			1.2
Other contracts			—			—			590.1			312.8
Total derivatives not designated as hedging instruments			530.0			264.7			769.5			494.0

Total derivative instruments		$	617.6		$	294.7		$	800.6		$	530.5

(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 derivatives with a net liability fair value of $555.4 million and $214.2 million as of March 31, 2020 and December 31, 2019, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)


		March 31, 2020
											Weighted
								Maximum			average
		Notional			Fair			future			expected life
		amount			value			payments			(in years)
		(in millions)
Single name credit default swaps
Corporate debt
A		$	5.0		$	—		$	5.0		0.2
BBB			55.0			0.4			55.0		3.1
Sovereign
BBB			15.0			0.1			15.0		1.7
Total credit default swap protection sold		$	75.0		$	0.5		$	75.0		2.6


		December 31, 2019
											Weighted
								Maximum			average
		Notional			Fair			future			expected life
		amount			value			payments			(in years)
		(in millions)
Single name credit default swaps
Corporate debt
A		$	5.0		$	—		$	5.0		0.5
BBB			70.0			0.2			70.0		2.6
Sovereign
BBB			15.0			0.3			15.0		2.0
Total credit default swap protection sold		$	90.0		$	0.5		$	90.0		2.4

Fair Value Hedges (Table)

Cumulative amount of fair

value hedging basis adjustment

Line item in the consolidated statements

included in the amortized cost

of financial position in which the

Amortized cost of hedged item

of the hedged item

hedged item is included

March 31, 2020

December 31, 2019

March 31, 2020

December 31, 2019

(in millions)

Fixed maturities, available-for-sale:

Active hedging relationships

$

152.8

$

142.0

$

29.1

$

18.1

Discontinued hedging relationships

141.5

159.3

7.1

7.7

Total fixed maturities, available-for-sale in active or discontinued hedging relationships

$

294.3

$

301.3

$

36.2

$

25.8

Cash Flow Hedges (Table)



				Amount of gain (loss) recognized
				in AOCI on derivatives for the
Derivatives in cash				three months ended March 31,
flow hedging relationships		Related hedged item		2020			2019
				(in millions)
Interest rate contracts		Fixed maturities, available-for-sale		$	4.4		$	(4.2)
Foreign exchange contracts		Fixed maturities, available-for-sale			65.3			(8.6)
Total				$	69.7		$	(12.8)

Effect of Fair Value and Cash Flow Hedges on Consolidated Statements of Operations (Table)

For the three months ended March 31, 2020

Benefits,

Net investment

Net realized

claims and

income related

capital gains

settlement

to hedges

(losses) related to

expenses

of fixed

hedges of fixed

related to

Operating

maturities,

maturities,

hedges of

expenses

available-

available-

investment

related to

for-sale

for-sale

contracts

hedges of debt

(in millions)

Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported

$

983.6

$

131.4

$

2,858.7

$

1,335.5

Losses on fair value hedging relationships:

Interest rate contracts:

Gain recognized on hedged item

$

11.0

$

—

$

—

$

—

Loss recognized on derivatives

(11.3)

—

—

—

Amortization of hedged item basis adjustments

(0.7)

—

—

—

Amounts related to periodic settlements on derivatives

(1.1)

—

—

—

Total loss recognized for fair value hedging relationships

$

(2.1)

$

—

$

—

$

—

Gains on cash flow hedging relationships:

Interest rate contracts:

Gain (loss) reclassified from AOCI on derivatives

$

4.7

$

(1.3)

$

—

$

—

Foreign exchange contracts:

Gain reclassified from AOCI on derivatives

—

2.2

—

—

Amounts related to periodic settlements on derivatives

2.1

—

—

—

Total gain recognized for cash flow hedging relationships

$

6.8

$

0.9

$

—

$

—


		For the three months ended March 31, 2019
								Benefits,
		Net investment			Net realized			claims and
		income related			capital gains			settlement
		to hedges			related to			expenses
		of fixed			hedges of fixed			related to			Operating
		maturities,			maturities,			hedges of			expenses
		available-			available-			investment			related to
		for-sale			for-sale			contracts			hedges of debt
		(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported		$	961.0		$	84.5		$	2,195.1		$	992.7

Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item		$	2.4		$	—		$	—		$	—
Loss recognized on derivatives			(2.5)			—			—			—
Amortization of hedged item basis adjustments			(1.3)			—			—			—
Amounts related to periodic settlements on derivatives			(0.8)			—			—			—
Total loss recognized for fair value hedging relationships		$	(2.2)		$	—		$	—		$	—

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	5.1		$	—		$	—		$	(2.8)

Foreign exchange contracts:
Amounts related to periodic settlements on derivatives			1.6			—			—			—
Total gain (loss) recognized for cash flow hedging relationships		$	6.7		$	—		$	—		$	(2.8)

Net Investment Hedges (Table)

Amount of gain

Amount of gain

reclassified from AOCI into

recognized in AOCI on derivatives

net realized capital gains (losses)

for the three months ended

for the three months ended

March 31,

March 31,

Derivatives in net investment hedging relationships

2020

2019

2020

2019

(in millions)

Foreign exchange contracts

$

7.5

$

—

$

—

$

—

Total

$

7.5

$

—

$

—

$

—

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		2020			2019
		(in millions)
Interest rate contracts		$	500.4		$	67.3
Foreign exchange contracts			(56.9)			4.6
Equity contracts			177.1			(75.0)
Credit contracts			2.4			1.3
Other contracts			(359.8)			4.7
Total		$	263.2		$	2.9

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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