Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

	September 30, 2023		December 31, 2022
	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	55,478.2	$	52,249.9
Interest rate options		3,016.9		4,418.9
Interest rate forwards		2,172.6		2,527.5
Interest rate futures		1,707.2		877.5
Foreign exchange contracts:
Currency swaps		1,757.3		1,634.7
Currency forwards		1,016.7		1,123.1
Equity contracts:
Equity options		2,254.8		2,049.3
Equity futures		573.8		574.1
Credit contracts:
Credit default swaps		305.0		400.0
Other contracts:
Embedded derivatives		22,776.8		23,209.3
Total notional amounts at end of period	$	91,059.3	$	89,064.3
Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	38.3	$	64.2
Interest rate options		34.2		41.7
Interest rate forwards		—		0.1
Foreign exchange contracts:
Currency swaps		146.0		171.1
Currency forwards		20.1		34.0
Equity contracts:
Equity options		45.4		16.5
Credit contracts:
Credit default swaps		4.0		3.6
Total gross credit exposure		288.0		331.2
Less: collateral received		165.1		191.9
Net credit exposure	$	122.9	$	139.3

Derivative Financial Instruments, Fair Value Disclosures (Table)

	Derivative assets (1)				Derivative liabilities (2)
	September 30, 2023		December 31, 2022		September 30, 2023		December 31, 2022
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	12.5	$	20.0	$	104.3	$	105.1
Foreign exchange contracts		120.5		134.6		15.4		19.7
Total derivatives designated as hedging instruments	$	133.0	$	154.6	$	119.7	$	124.8
Derivatives not designated as hedging instruments
Interest rate contracts	$	55.0	$	81.1	$	471.1	$	439.9
Foreign exchange contracts		41.8		65.9		18.3		21.9
Equity contracts		45.4		16.5		64.7		45.6
Credit contracts		3.9		3.5		1.3		2.0
Other contracts		—		—		(3,966.9)		(3,606.4)
Total derivatives not designated as hedging instruments		146.1		167.0		(3,411.5)		(3,097.0)
Total derivative instruments	$	279.1	$	321.6	$	(3,291.8)	$	(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 $78.8 million and $46.4 million as of September 30, 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 $(4,045.7) million and $(3,652.8) million as of September 30, 2023 and December 31, 2022, respectively, are reported with funds withheld payable on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

	September 30, 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	$	0.3	$	40.0	1.7
BBB		140.0		2.9		140.0	3.3
BB		20.0		—		20.0	3.7
Sovereign
A		20.0		0.3		20.0	1.7
Total credit default swap protection sold	$	220.0	$	3.5	$	220.0	2.9

	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	Carrying amount of hedged item				carrying amount of the hedged item
hedged item is included	September 30, 2023		December 31, 2022		September 30, 2023		December 31, 2022
	(in millions)
Fixed maturities, available-for-sale (1):
Active hedging relationships	$	3,400.3	$	3,498.6	$	(150.7)	$	(153.4)
Discontinued hedging relationships		67.8		48.8		0.3		1.3
Total fixed maturities, available-for-sale in active or discontinued hedging relationships	$	3,468.1	$	3,547.4	$	(150.4)	$	(152.1)
Investment contracts:
Active hedging relationships	$	294.8	$	—	$	(9.4)	$	—
Total investment contracts in active or discontinued hedging relationships	$	294.8	$	—	$	(9.4)	$	—

(1) These amounts include the amortized cost basis of closed portfolios used to designate portfolio layer hedging relationships in which the hedged layer amount is expected to remain at the end of the hedging relationship. As of September 30, 2023 and December 31, 2022, the amortized cost basis of the closed portfolios used in these hedging relationships was $3,177.4 million and $3,256.9 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(109.0) million and $(102.4) million, respectively, and the amount of the designated hedged items were $1,210.0 million and $1,110.0 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	2023		2022		2023		2022
		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	(20.3)	$	(17.5)	$	(1.8)	$	(117.2)
Interest rate contracts	Investment contracts		(3.1)		4.9		(7.7)		16.9
Foreign exchange contracts	Fixed maturities, available-for-sale		6.4		117.4		(10.4)		183.9
Total		$	(17.0)	$	104.8	$	(19.9)	$	83.6

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

	For the three months ended September 30, 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	$	989.2	$	179.3	$	1,710.6
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(12.4)	$	—	$	(6.8)
Gain recognized on derivatives		12.7		—		6.0
Amortization of hedged item basis adjustments		(0.1)		—		—
Amounts related to periodic settlements on derivatives		16.5		—		(1.2)
Foreign exchange contracts:
Loss recognized on hedged item		—		(1.4)		—
Gain recognized on derivatives		—		1.3		—
Amounts related to periodic settlements on derivatives		—		0.2		—
Total gain (loss) recognized for fair value hedging relationships	$	16.7	$	0.1	$	(2.0)
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	1.0	$	—	$	—
Amounts related to periodic settlements on derivatives		—		—		3.7
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		0.3		—
Amounts related to periodic settlements on derivatives		5.4		—		—
Total gain recognized for cash flow hedging relationships	$	6.4	$	0.3	$	3.7

	For the three months ended September 30, 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	$	911.7	$	(27.4)	$	1,801.6
Gains on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(58.2)	$	—	$	—
Gain recognized on derivatives		57.7		—		—
Amortization of hedged item basis adjustments		(0.3)		—		—
Amounts related to periodic settlements on derivatives		2.9		—		—
Total gain recognized for fair value hedging relationships	$	2.1	$	—	$	—
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives	$	1.7	$	—	$	—
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		2.7		—
Amounts related to periodic settlements on derivatives		—		—		1.3
Foreign exchange contracts:
Amounts related to periodic settlements on derivatives		3.7		—		—
Total gain recognized for cash flow hedging relationships	$	5.4	$	2.7	$	1.3

	For the nine months ended September 30, 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	$	2,964.0	$	40.5	$	5,318.6
Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(8.9)	$	—	$	(9.4)
Gain recognized on derivatives		10.7		—		8.5
Amortization of hedged item basis adjustments		(0.2)		—		—
Amounts related to periodic settlements on derivatives		44.0		—		(1.3)
Foreign exchange contracts:
Loss recognized on hedged item		—		(0.8)		—
Gain recognized on derivatives		—		0.7		—
Amounts related to periodic settlements on derivatives		—		0.2		—
Total gain (loss) recognized for fair value hedging relationships	$	45.6	$	0.1	$	(2.2)
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	3.1	$	—	$	(0.1)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		1.7		—
Amounts related to periodic settlements on derivatives		—		—		10.3
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		1.5		—
Amounts related to periodic settlements on derivatives		16.0		—		—
Total gain recognized for cash flow hedging relationships	$	19.1	$	3.2	$	10.2

	For the nine months ended September 30, 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	$	2,857.1	$	(353.4)	$	4,735.5
Losses on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item	$	(164.6)	$	—	$	—
Gain recognized on derivatives		160.7		—		—
Amortization of hedged item basis adjustments		(1.0)		—		—
Amounts related to periodic settlements on derivatives		(4.0)		—		—
Total loss recognized for fair value hedging relationships	$	(8.9)	$	—	$	—
Gains on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives	$	7.7	$	—	$	(0.1)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring		—		13.5		—
Amounts related to periodic settlements on derivatives		—		—		1.3
Foreign exchange contracts:
Gain reclassified from AOCI on derivatives		—		0.7		—
Amounts related to periodic settlements on derivatives		9.4		—		—
Total gain recognized for cash flow hedging relationships	$	17.1	$	14.2	$	1.2

Net Investment Hedges (Table)

					Amount of loss
	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	2023		2022		2023		2022
	(in millions)
Foreign exchange contracts	$	0.9	$	2.0	$	—	$	—
Total	$	0.9	$	2.0	$	—	$	—

					Amount of loss
	Amount of gain recognized				reclassified from AOCI into
	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	2023		2022		2023		2022
		(in millions)
Foreign exchange contracts	$	0.1	$	3.6	$	—	$	—
Total	$	0.1	$	3.6	$	—	$	—

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	2023		2022		2023		2022
	(in millions)
Interest rate contracts	$	73.2	$	(0.4)	$	29.0	$	(282.3)
Foreign exchange contracts		(66.1)		(14.4)		(50.2)		10.0
Equity contracts		19.3		16.9		(102.3)		99.1
Credit contracts		0.8		0.7		2.6		(2.9)
Other contracts (1)		916.5		1,240.2		360.5		4,342.0
Total	$	943.7	$	1,243.0	$	239.6	$	4,165.9

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