Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	June 30, 2020		December 31, 2019
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	38,991.6	$	35,173.6
Interest rate options		1,886.9		1,416.9
Interest rate futures		591.5		142.5
Swaptions		62.0		62.0
Foreign exchange contracts:
Currency forwards		1,185.9		1,182.3
Currency swaps		986.0		1,027.2
Currency options		—		53.8
Equity contracts:
Equity options		1,735.9		1,672.8
Equity futures		379.9		149.5
Credit contracts:
Credit default swaps		310.0		165.0
Other contracts:
Embedded derivatives		9,764.8		9,742.3
Total notional amounts at end of period	$	55,894.5	$	50,787.9
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	351.7	$	181.9
Interest rate options		65.1		28.3
Foreign exchange contracts:
Currency swaps		71.7		55.4
Currency forwards		10.9		4.9
Currency options		—		0.1
Equity contracts:
Equity options		39.3		30.5
Credit contracts:
Credit default swaps		2.6		0.5
Total gross credit exposure		541.3		301.6
Less: collateral received		446.5		208.3
Net credit exposure	$	94.8	$	93.3

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	—	$	—	$	31.2	$	21.3
Foreign exchange contracts		61.3		30.0		0.8		15.2
Total derivatives designated as hedging instruments	$	61.3	$	30.0	$	32.0	$	36.5
Derivatives not designated as hedging instruments
Interest rate contracts	$	408.3	$	204.2	$	40.9	$	16.7
Foreign exchange contracts		20.0		29.5		102.9		100.2
Equity contracts		39.3		30.5		14.7		63.1
Credit contracts		2.5		0.5		2.3		1.2
Other contracts		—		—		576.0		312.8
Total derivatives not designated as hedging instruments		470.1		264.7		736.8		494.0
Total derivative instruments	$	531.4	$	294.7	$	768.8	$	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 $576.0 million and $214.2 million as of June 30, 2020 and December 31, 2019, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	June 30, 2020
							Weighted
					Maximum		average
	Notional		Fair		future		expected life
	amount		value		payments		(in years)
	(in millions)
Single name credit default swaps
Corporate debt
A	$	20.0	$	0.4	$	20.0	5.0
BBB		115.0		1.4		115.0	4.4
Sovereign
A		20.0		0.3		20.0	5.0
BBB		15.0		0.1		15.0	1.5
Total credit default swap protection sold	$	170.0	$	2.2	$	170.0	4.3

	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	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
	(in millions)
Fixed maturities, available-for-sale:
Active hedging relationships	$	152.8	$	142.0	$	29.3	$	18.1
Discontinued hedging relationships		137.1		159.3		6.5		7.7
Total fixed maturities, available-for-sale in active or discontinued hedging relationships	$	289.9	$	301.3	$	35.8	$	25.8

Cash Flow Hedges (Table)

		Amount of gain (loss) recognized in AOCI on derivatives
		For the three months ended				For the six months ended
Derivatives in cash		June 30,				June 30,
flow hedging relationships	Related hedged item	2020		2019		2020		2019
		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	(7.4)	$	0.9	$	(3.0)	$	(3.3)
Foreign exchange contracts	Fixed maturities, available-for-sale		(18.8)		3.4		46.5		(5.2)
Total		$	(26.2)	$	4.3	$	43.5	$	(8.5)

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

	For the three months ended June 30, 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	$	944.6	$	(27.4)	$	1,601.3	$	983.3
Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	0.2	$	—	$	—	$	—
Loss recognized on derivatives		(0.2)		—		—		—
Amortization of hedged item basis adjustments		(0.6)		—		—		—
Amounts related to periodic settlements on derivatives		(1.2)		—		—		—
Total loss recognized for fair value hedging relationships	$	(1.8)	$	—	$	—	$	—
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	4.7	$	3.9	$	—	$	—
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		4.0		—		—
Amounts related to periodic settlements on derivatives		2.1		—		—		—
Total gain recognized for cash flow hedging relationships	$	6.8	$	7.9	$	—	$	—

	For the three months ended June 30, 2019
					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	$	1,037.1	$	(4.0)	$	2,446.1	$	1,046.3
Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	4.2	$	—	$	—	$	—
Loss recognized on derivatives		(4.3)		—		—		—
Amortization of hedged item basis adjustments		(1.2)		—		—		—
Amounts related to periodic settlements on derivatives		(0.7)		—		—		—
Total loss recognized for fair value hedging relationships	$	(2.0)	$	—	$	—	$	—
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	4.9	$	—	$	—	$	(2.0)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		0.1		—		—
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		9.5		—		—
Amounts related to periodic settlements on derivatives		1.7		—		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	6.6	$	9.6	$	—	$	(2.0)

	For the six months ended June 30, 2020
					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	$	1,928.2	$	104.0	$	4,460.0	$	2,318.8
Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	11.2	$	—	$	—	$	—
Loss recognized on derivatives		(11.5)		—		—		—
Amortization of hedged item basis adjustments		(1.3)		—		—		—
Amounts related to periodic settlements on derivatives		(2.3)		—		—		—
Total loss recognized for fair value hedging relationships	$	(3.9)	$	—	$	—	$	—
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	9.4	$	2.6	$	—	$	—
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		6.2		—		—
Amounts related to periodic settlements on derivatives		4.2		—		—		—
Total gain recognized for cash flow hedging relationships	$	13.6	$	8.8	$	—	$	—

	For the six months ended June 30, 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	$	1,998.1	$	80.5	$	4,641.2	$	2,039.0
Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	6.6	$	—	$	—	$	—
Loss recognized on derivatives		(6.8)		—		—		—
Amortization of hedged item basis adjustments		(2.5)		—		—		—
Amounts related to periodic settlements on derivatives		(1.5)		—		—		—
Total loss recognized for fair value hedging relationships	$	(4.2)	$	—	$	—	$	—
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	10.0	$	—	$	—	$	(4.8)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		0.1		—		—
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		9.5		—		—
Amounts related to periodic settlements on derivatives		3.3		—		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	13.3	$	9.6	$	—	$	(4.8)

Net Investment Hedges (Table)

					Amount of gain
	Amount of gain recognized				reclassified from AOCI into
	in AOCI on derivatives				net realized capital gains (losses)
	for the three months ended				for the three months ended
	June 30,				June 30,
Derivatives in net investment hedging relationships	2020		2019		2020		2019
		(in millions)
Foreign exchange contracts	$	1.8	$	—	$	—	$	—
Total	$	1.8	$	—	$	—	$	—

					Amount of gain
	Amount of gain recognized				reclassified from AOCI into
	in AOCI on derivatives				net realized capital gains (losses)
	for the six months ended				for the six months ended
	June 30,				June 30,
Derivatives in net investment hedging relationships	2020		2019		2020		2019
	(in millions)
Foreign exchange contracts	$	9.3	$	—	$	—	$	—
Total	$	9.3	$	—	$	—	$	—

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 June 30,				six months ended June 30,
Derivatives not designated as hedging instruments	2020		2019		2020		2019
	(in millions)
Interest rate contracts	$	(19.9)	$	94.1	$	480.5	$	161.4
Foreign exchange contracts		24.3		5.4		(32.6)		10.0
Equity contracts		(188.2)		(15.8)		(11.1)		(90.8)
Credit contracts		(1.4)		(4.8)		1.0		(3.5)
Other contracts		(2.5)		(76.1)		(362.3)		(71.4)
Total	$	(187.7)	$	2.8	$	75.5	$	5.7