Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	March 31, 2023		December 31, 2022
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	54,333.8	$	52,249.9
Interest rate options		3,049.0		4,418.9
Interest rate forwards		2,370.7		2,527.5
Interest rate futures		960.5		877.5
Foreign exchange contracts:
Currency swaps		1,617.9		1,634.7
Currency forwards		1,585.3		1,123.1
Equity contracts:
Equity options		1,999.1		2,049.3
Equity futures		732.7		574.1
Credit contracts:
Credit default swaps		400.0		400.0
Other contracts:
Embedded derivatives		23,164.3		23,209.3
Total notional amounts at end of period	$	90,213.3	$	89,064.3
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	68.3	$	64.2
Interest rate options		32.3		41.7
Interest rate forwards		5.4		0.1
Foreign exchange contracts:
Currency swaps		190.8		171.1
Currency forwards		70.8		34.0
Equity contracts:
Equity options		24.6		16.5
Credit contracts:
Credit default swaps		3.7		3.6
Total gross credit exposure		395.9		331.2
Less: collateral received		219.0		191.9
Net credit exposure	$	176.9	$	139.3

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	16.7	$	20.0	$	90.2	$	105.1
Foreign exchange contracts		132.8		134.6		28.3		19.7
Total derivatives designated as hedging instruments	$	149.5	$	154.6	$	118.5	$	124.8
Derivatives not designated as hedging instruments
Interest rate contracts	$	82.9	$	81.1	$	323.7	$	439.9
Foreign exchange contracts		126.2		65.9		9.0		21.9
Equity contracts		24.5		16.5		55.2		45.6
Credit contracts		3.6		3.5		1.9		2.0
Other contracts		—		—		(2,970.7)		(3,606.4)
Total derivatives not designated as hedging instruments		237.2		167.0		(2,580.9)		(3,097.0)
Total derivative instruments	$	386.7	$	321.6	$	(2,462.4)	$	(2,972.2)

(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 $55.5 million and $46.4 million as of March 31, 2023 and December 31, 2022, respectively, are reported with contractholder funds on the consolidated statements of financial position. Embedded derivatives with a net (asset) liability fair value of $(3,026.2) million and $(3,652.8) million as of March 31, 2023 and December 31, 2022, respectively, are reported with funds withheld payable on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	March 31, 2023
							Weighted
					Maximum		average
	Notional		Fair		future		expected life
	amount		value		payments		(in years)
	(in millions)
Single name credit default swaps
Corporate debt
A	$	40.0	$	0.2	$	40.0	2.2
BBB		190.0		2.5		190.0	2.9
BB		20.0		(0.1)		20.0	4.2
Sovereign
A		20.0		0.3		20.0	2.2
Total credit default swap protection sold	$	270.0	$	2.9	$	270.0	2.8

	December 31, 2022
							Weighted
					Maximum		average
	Notional		Fair		future		expected life
	amount		value		payments		(in years)
	(in millions)
Single name credit default swaps
Corporate debt
A	$	40.0	$	0.4	$	40.0	2.5
BBB		190.0		2.2		190.0	3.1
BB		20.0		(0.2)		20.0	4.5
Sovereign
A		20.0		0.2		20.0	2.5
Total credit default swap protection sold	$	270.0	$	2.6	$	270.0	3.1

Fair Value Hedges (Table)

					Cumulative amount of fair
					value hedging basis adjustment
Line item in the consolidated statements					increase/(decrease) included in the
of financial position in which the	Amortized cost of hedged item				amortized cost of the hedged item
hedged item is included	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
	(in millions)
Fixed maturities, available-for-sale (1):
Active hedging relationships	$	3,454.0	$	3,498.6	$	(126.1)	$	(153.4)
Discontinued hedging relationships		75.5		48.8		0.3		1.3
Total fixed maturities, available-for-sale in active or discontinued hedging relationships	$	3,529.5	$	3,547.4	$	(125.8)	$	(152.1)

(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 March 31, 2023 and December 31, 2022, the amortized cost basis of the closed portfolios used in these hedging relationships was $3,215.0 million and $3,256.9 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(83.5) million and $(102.4) million, respectively, and the amount of the designated hedged items were $1,110.0 million and $1,110.0 million, respectively.

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	2023		2022
		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	15.9	$	(44.2)
Interest rate contracts	Investment contracts		(3.3)		9.5
Foreign exchange contracts	Fixed maturities, available-for-sale		(10.1)		13.0
Total		$	2.5	$	(21.7)

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

	For the three months ended March 31, 2023
					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
	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	$	986.7	$	(66.0)	$	1,773.9
Gains on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	26.2	$	—	$	—
Loss recognized on derivatives		(22.6)		—		—
Amortization of hedged item basis adjustments		(0.1)		—		—
Amounts related to periodic settlements on derivatives		12.6		—		—
Total gain recognized for fair value hedging relationships	$	16.1	$	—	$	—
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	1.1	$	—	$	—
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		1.4		—
Amounts related to periodic settlements on derivatives		—		—		3.1
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		1.2		—
Amounts related to periodic settlements on derivatives		5.4		—		—
Total gain recognized for cash flow hedging relationships	$	6.5	$	2.6	$	3.1

	For the three months ended March 31, 2022
					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
	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	$	1,125.5	$	(136.6)	$	1,490.7
Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(71.1)	$	—	$	—
Gain recognized on derivatives		68.0		—		—
Amortization of hedged item basis adjustments		(0.4)		—		—
Amounts related to periodic settlements on derivatives		(4.2)		—		—
Total loss recognized for fair value hedging relationships	$	(7.7)	$	—	$	—
Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	3.3	$	—	$	—
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		2.9		—
Amounts related to periodic settlements on derivatives		—		—		(0.2)
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		0.6		—
Amounts related to periodic settlements on derivatives		2.7		—		—
Total gain (loss) recognized for cash flow hedging relationships	$	6.0	$	3.5	$	(0.2)

Net Investment Hedges (Table)

					Amount of loss
	Amount of loss recognized				reclassified from AOCI into
	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	2023		2022		2023		2022
	(in millions)
Foreign exchange contracts	$	(0.6)	$	(0.7)	$	—	$	—
Total	$	(0.6)	$	(0.7)	$	—	$	—

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	2023		2022
	(in millions)
Interest rate contracts	$	(17.8)	$	(229.4)
Foreign exchange contracts		29.2		67.9
Equity contracts		(63.1)		(5.3)
Credit contracts		0.8		0.1
Other contracts (1)		(639.2)		12.8
Total	$	(690.1)	$	(153.9)

(1) Includes the change in fair value of the funds withheld embedded derivative.