XML 53 R38.htm IDEA: XBRL DOCUMENT

Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)


		December 31, 2020			December 31, 2019

		(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps		$	44,472.1		$	35,173.6
Interest rate options			2,083.9			1,416.9
Interest rate forwards			1,000.0			—
Interest rate futures			188.5			142.5
Swaptions			62.0			62.0
Foreign exchange contracts:
Currency forwards			1,115.8			1,182.3
Currency swaps			1,045.5			1,027.2
Currency options			—			53.8
Equity contracts:
Equity options			1,857.8			1,672.8
Equity futures			218.1			149.5
Credit contracts:
Credit default swaps			295.0			165.0
Other contracts:
Embedded derivatives			9,953.8			9,742.3
Total notional amounts at end of period		$	62,292.5		$	50,787.9

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps		$	291.0		$	181.9
Interest rate options			51.0			28.3
Interest rate forwards			6.2			—
Foreign exchange contracts:
Currency swaps			43.3			55.4
Currency forwards			45.4			4.9
Currency options			—			0.1
Equity contracts:
Equity options			33.2			30.5
Credit contracts:
Credit default swaps			3.4			0.5
Total gross credit exposure			473.5			301.6
Less: collateral received			294.7			208.3
Net credit exposure		$	178.8		$	93.3

Derivative Financial Instruments, Fair Value Disclosures (Table)


		Derivative assets (1)						Derivative liabilities (2)
		December 31, 2020			December 31, 2019			December 31, 2020			December 31, 2019

		(in millions)
Derivatives designated as hedging instruments
Interest rate contracts		$	—		$	—		$	27.8		$	21.3
Foreign exchange contracts			21.1			30.0			44.7			15.2
Total derivatives designated as hedging instruments		$	21.1		$	30.0		$	72.5		$	36.5

Derivatives not designated as hedging instruments
Interest rate contracts		$	339.3		$	204.2		$	33.0		$	16.7
Foreign exchange contracts			66.5			29.5			29.2			100.2
Equity contracts			33.2			30.5			49.0			63.1
Credit contracts			3.4			0.5			2.5			1.2
Other contracts			—			—			467.8			312.8
Total derivatives not designated as hedging instruments			442.4			264.7			581.5			494.0

Total derivative instruments		$	463.5		$	294.7		$	654.0		$	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 $467.8 million and $214.2 million as of December 31, 2020 and December 31, 2019, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

December 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

$

20.0

$

0.5

$

20.0

4.5

BBB

115.0

2.1

115.0

3.9

Sovereign

A

20.0

0.6

20.0

4.5

BBB

15.0

0.1

15.0

1.0

Total credit default swap protection sold

$

170.0

$

3.3

$

170.0

3.8


		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

December 31, 2020

December 31, 2019

December 31, 2020

December 31, 2019

(in millions)

Fixed maturities, available-for-sale:

Active hedging relationships

$

476.1

$

142.0

$

21.4

$

18.1

Discontinued hedging relationships

135.1

159.3

5.2

7.7

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

$

611.2

$

301.3

$

26.6

$

25.8

Cash Flow Hedges (Table)


				Amount of gain (loss) recognized in AOCI on derivatives
Derivatives in cash flow				for the year ended December 31,
hedging relationships		Related hedged item		2020			2019			2018

				(in millions)
Interest rate contracts		Fixed maturities, available-for-sale		$	(3.0)		$	(9.9)		$	36.7
Foreign exchange contracts		Fixed maturities, available-for-sale			(37.1)			(9.4)			20.8
Foreign exchange contracts		Investment contracts			—			—			(0.1)
Total				$	(40.1)		$	(19.3)		$	57.4

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

For the year ended December 31, 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

$

3,890.6

$

302.6

$

8,281.5

$

4,646.5

Losses on fair value hedging relationships:

Interest rate contracts:

Gain recognized on hedged item

$

3.3

$

—

$

—

$

—

Loss recognized on derivatives

(3.8)

—

—

—

Amortization of hedged item basis adjustments

(2.5)

—

—

—

Amounts related to periodic settlements on derivatives

(6.2)

—

—

—

Total loss recognized for fair value hedging relationships

$

(9.2)

$

—

$

—

$

—

Gains (losses) on cash flow hedging relationships:

Interest rate contracts:

Gain (loss) reclassified from AOCI on derivatives

$

18.1

$

2.7

$

(0.1)

$

—

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

—

6.3

—

—

Amounts related to periodic settlements on derivatives

8.2

—

—

—

Total gain (loss) recognized for cash flow hedging relationships

$

26.3

$

9.1

$

(0.1)

$

—


		For the year ended December 31, 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		$	3,998.4		$	(52.8)		$	9,905.8		$	4,503.9

Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item		$	5.7		$	—		$	—		$	—
Loss recognized on derivatives			(6.0)			—			—			—
Amortization of hedged item basis adjustments			(4.2)			—			—			—
Amounts related to periodic settlements on derivatives			(3.4)			—			—			—
Total loss recognized for fair value hedging relationships		$	(7.9)		$	—		$	—		$	—

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	19.8		$	(0.6)		$	(0.1)		$	(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			7.4			—			—			—
Total gain (loss) recognized for cash flow hedging relationships		$	27.2		$	9.0		$	(0.1)		$	(4.8)


		For the year ended December 31, 2018
		Net			Net realized
		investment			capital			Benefits,
		income			gains (losses)			claims and
		related			related to			settlement
		to hedges			hedges			expenses			Operating
		of fixed			of fixed			related to			expenses
		maturities,			maturities,			hedges of			related to
		available-			available-			investment			hedges
		for-sale			for-sale			contracts			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		$	3,629.2		$	(75.4)		$	8,192.5		$	4,136.7

Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item		$	—		$	(6.6)		$	—		$	—
Gain recognized on derivatives			—			6.2			—			—
Amortization of hedged item basis adjustments			(6.7)			—			—			—
Amounts related to periodic settlements on derivatives			(5.9)			—			—			—
Total loss recognized for fair value hedging relationships		$	(12.6)		$	(0.4)		$	—		$	—

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	20.9		$	17.0		$	(0.1)		$	(10.7)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring			—			0.3			—			—

Foreign exchange contracts:
Gain reclassified from AOCI on derivatives			—			12.7			—			—
Amounts related to periodic settlements on derivatives			6.0			—			(0.1)			—
Total gain (loss) recognized for cash flow hedging relationships		$	26.9		$	30.0		$	(0.2)		$	(10.7)

Net Investment Hedges (Table)


		Amount of gain recognized
		in AOCI on derivatives for the year ended
		December 31,
Derivatives in net investment hedging relationships		2020			2019			2018

		(in millions)
Foreign exchange contracts		$	7.9		$	—		$	—
Total		$	7.9		$	—		$	—


		Amount of gain reclassified from AOCI into
		net realized capital gains (losses)
		for the year ended December 31,
Derivatives in net investment hedging relationships		2020			2019			2018

		(in millions)
Foreign exchange contracts		$	(7.1)		$	—		$	—
Total		$	(7.1)		$	—		$	—

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		2020			2019			2018

		(in millions)
Interest rate contracts		$	346.5		$	218.0		$	(27.6)
Foreign exchange contracts			54.7			(58.6)			(64.2)
Equity contracts			(96.6)			(132.9)			(31.0)
Credit contracts			1.8			(3.6)			(1.6)
Other contracts			(255.5)			(168.1)			108.5
Total		$	50.9		$	(145.2)		$	(15.9)

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).

+ References + Details