Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	September 30, 2021		December 31, 2020
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	44,028.9	$	44,472.1
Interest rate options		2,373.9		2,083.9
Interest rate forwards		2,181.6		1,000.0
Interest rate futures		1,585.0		188.5
Swaptions		—		62.0
Foreign exchange contracts:
Currency swaps		1,152.6		1,045.5
Currency forwards		1,006.7		1,115.8
Equity contracts:
Equity options		2,284.4		1,857.8
Equity futures		117.4		218.1
Credit contracts:
Credit default swaps		310.0		295.0
Other contracts:
Embedded derivatives		10,141.6		9,953.8
Total notional amounts at end of period	$	65,182.1	$	62,292.5
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	215.1	$	291.0
Interest rate options		31.9		51.0
Interest rate forwards		—		6.2
Foreign exchange contracts:
Currency swaps		46.0		43.3
Currency forwards		8.9		45.4
Equity contracts:
Equity options		36.2		33.2
Credit contracts:
Credit default swaps		3.0		3.4
Total gross credit exposure		341.1		473.5
Less: collateral received		217.9		294.7
Net credit exposure	$	123.2	$	178.8

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	0.6	$	—	$	21.2	$	27.8
Foreign exchange contracts		46.2		21.1		15.2		44.7
Total derivatives designated as hedging instruments	$	46.8	$	21.1	$	36.4	$	72.5
Derivatives not designated as hedging instruments
Interest rate contracts	$	234.2	$	339.3	$	62.6	$	33.0
Foreign exchange contracts		7.9		66.5		78.8		29.2
Equity contracts		36.3		33.2		62.6		49.0
Credit contracts		2.9		3.4		2.6		2.5
Other contracts		—		—		355.3		467.8
Total derivatives not designated as hedging instruments		281.3		442.4		561.9		581.5
Total derivative instruments	$	328.1	$	463.5	$	598.3	$	654.0

(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 derivatives with a net liability fair value of $355.3 million and $467.8 million as of September 30, 2021 and December 31, 2020, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	September 30, 2021
							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	3.7
BBB		110.0		2.0		110.0	3.3
Sovereign
A		20.0		0.5		20.0	3.7
BBB		15.0		—		15.0	0.2
Total credit default swap protection sold	$	165.0	$	2.9	$	165.0	3.1

	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

Fair Value Hedges (Table)

					Cumulative amount of fair
					value hedging basis adjustment
Line item in the consolidated statements					increase included in the
of financial position in which the	Amortized cost of hedged item				amortized cost of the hedged item
hedged item is included	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
	(in millions)
Fixed maturities, available-for-sale (1):
Active hedging relationships	$	829.2	$	476.1	$	1.0	$	21.4
Discontinued hedging relationships		80.2		135.1		3.1		5.2
Total fixed maturities, available-for-sale in active or discontinued hedging relationships	$	909.4	$	611.2	$	4.1	$	26.6

(1) These amounts include the amortized cost basis of closed portfolios used to designate last-of-layer hedging relationships in which the hedged last layer amount is expected to remain at the end of the hedging relationship. As of September 30, 2021 and December 31, 2020, the amortized cost basis of the closed portfolios used in these hedging relationships was $347.7 million and $0.0 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(1.9) million and $0.0 million, respectively, and the amount of the designated hedged items were $210.0 million and $0.0 million, respectively.

Cash Flow Hedges (Table)

		Amount of gain (loss) recognized in AOCI on derivatives
		For the three months ended				For the nine months ended
Derivatives in cash		September 30,				September 30,
flow hedging relationships	Related hedged item	2021		2020		2021		2020
		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	—	$	—	$	—	$	(3.0)
Interest rate contracts	Investment contracts		0.6		—		0.6		—
Foreign exchange contracts	Fixed maturities, available-for-sale		30.5		(29.3)		52.3		17.2
Total		$	31.1	$	(29.3)	$	52.9	$	14.2

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

	For the three months ended September 30, 2021
					Benefits,
	Net investment		Net realized		claims and
	income related		capital gains (losses)		settlement
	to hedges		related to		expenses
	of fixed		hedges of fixed		related to
	maturities,		maturities,		hedges of
	available-		available-		investment
	for-sale		for-sale		contracts
	(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported	$	1,093.4	$	(152.0)	$	1,770.9
Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(4.0)	$	—	$	—
Gain recognized on derivatives		5.4		—		—
Amortization of hedged item basis adjustments		(0.5)		—		—
Amounts related to periodic settlements on derivatives		(2.4)		—		(0.1)
Total loss recognized for fair value hedging relationships	$	(1.5)	$	—	$	(0.1)
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	3.8	$	—	$	—
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		0.1		—
Foreign exchange contracts:
Amounts related to periodic settlements on derivatives		2.6		—		—
Total gain recognized for cash flow hedging relationships	$	6.4	$	0.1	$	—

	For the three months ended September 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
	maturities,		maturities,		hedges of
	available-		available-		investment
	for-sale		for-sale		contracts
	(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported	$	917.9	$	65.5	$	1,839.8
Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(2.1)	$	—	$	—
Gain recognized on derivatives		1.8		—		—
Amortization of hedged item basis adjustments		(0.6)		—		—
Amounts related to periodic settlements on derivatives		(1.8)		—		—
Total loss recognized for fair value hedging relationships	$	(2.7)	$	—	$	—
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	4.4	$	0.1	$	(0.1)
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		0.2		—
Amounts related to periodic settlements on derivatives		2.0		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	6.4	$	0.3	$	(0.1)

	For the nine months ended September 30, 2021
					Benefits,
	Net investment		Net realized		claims and
	income related		capital gains (losses)		settlement
	to hedges		related to		expenses
	of fixed		hedges of fixed		related to
	maturities,		maturities,		hedges of
	available-		available-		investment
	for-sale		for-sale		contracts
	(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported	$	3,167.0	$	(41.7)	$	4,958.4
Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(20.5)	$	—	$	—
Gain recognized on derivatives		22.2		—		—
Amortization of hedged item basis adjustments		(1.5)		—		—
Amounts related to periodic settlements on derivatives		(6.8)		—		(0.1)
Total loss recognized for fair value hedging relationships	$	(6.6)	$	—	$	(0.1)
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	11.9	$	—	$	(0.1)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		0.5		—
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		0.7		—
Amounts related to periodic settlements on derivatives		7.0		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	18.9	$	1.2	$	(0.1)

	For the nine months ended September 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
	maturities,		maturities,		hedges of
	available-		available-		investment
	for-sale		for-sale		contracts
	(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported	$	2,846.1	$	169.5	$	6,299.8
Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	9.1	$	—	$	—
Loss recognized on derivatives		(9.7)		—		—
Amortization of hedged item basis adjustments		(1.9)		—		—
Amounts related to periodic settlements on derivatives		(4.1)		—		—
Total loss recognized for fair value hedging relationships	$	(6.6)	$	—	$	—
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	13.8	$	2.7	$	(0.1)
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		6.4		—
Amounts related to periodic settlements on derivatives		6.2		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	20.0	$	9.1	$	(0.1)

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
	September 30,				September 30,
Derivatives in net investment hedging relationships	2021		2020		2021		2020
	(in millions)
Foreign exchange contracts	$	1.3	$	0.8	$	—	$	(7.1)
Total	$	1.3	$	0.8	$	—	$	(7.1)

					Amount of gain
	Amount of gain				reclassified from AOCI into
	recognized in AOCI on derivatives				net realized capital gains (losses)
	for the nine months ended				for the nine months ended
	September 30,				September 30,
Derivatives in net investment hedging relationships	2021		2020		2021		2020
		(in millions)
Foreign exchange contracts	$	2.3	$	10.1	$	—	$	(7.1)
Total	$	2.3	$	10.1	$	—	$	(7.1)

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	2021		2020		2021		2020
	(in millions)
Interest rate contracts	$	(29.7)	$	(73.5)	$	(131.4)	$	407.0
Foreign exchange contracts		(91.9)		27.2		(117.9)		(5.4)
Equity contracts		18.9		(27.6)		(26.8)		(38.7)
Credit contracts		0.1		0.3		—		1.3
Other contracts		(75.2)		23.1		106.5		(339.2)
Total	$	(177.8)	$	(50.5)	$	(169.6)	$	25.0