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Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)

​

​	​	​	​	​	​	​
​		March 31, 2021			December 31, 2020
​	​	(in millions)
Notional amounts of derivative instruments	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​
Interest rate swaps	​	$	44,597.9	​	$	44,472.1
Interest rate options	​		2,373.9	​		2,083.9
Interest rate forwards	​	​	1,000.0	​	​	1,000.0
Interest rate futures	​		705.5	​		188.5
Swaptions	​		—	​	​	62.0
Foreign exchange contracts:	​	​	​	​	​	​
Currency forwards	​	​	1,137.7	​	​	1,115.8
Currency swaps	​	​	1,077.4	​	​	1,045.5
Equity contracts:	​	​	​	​	​	​
Equity options	​		1,889.7	​		1,857.8
Equity futures	​		122.1	​		218.1
Credit contracts:	​	​	​	​	​	​
Credit default swaps	​		315.0	​		295.0
Other contracts:	​	​	​	​	​	​
Embedded derivatives	​		9,970.9	​		9,953.8
Total notional amounts at end of period	​	$	63,190.1	​	$	62,292.5
​	​	​	​	​	​	​
Credit exposure of derivative instruments	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​
Interest rate swaps	​	$	186.6	​	$	291.0
Interest rate options	​		40.9	​		51.0
Interest rate forwards	​	​	—	​	​	6.2
Foreign exchange contracts:	​	​	​	​	​	​
Currency forwards	​		45.8	​		45.4
Currency swaps	​		41.6	​		43.3
Equity contracts:	​	​	​	​	​	​
Equity options	​		33.3	​		33.2
Credit contracts:	​	​	​	​	​	​
Credit default swaps	​		3.1	​		3.4
Total gross credit exposure	​		351.3	​		473.5
Less: collateral received	​		241.7	​		294.7
Net credit exposure	​	$	109.6	​	$	178.8

Derivative Financial Instruments, Fair Value Disclosures (Table)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivative assets (1)

​

Derivative liabilities (2)

​

March 31, 2021

December 31, 2020

March 31, 2021

December 31, 2020

​

​

(in millions)

Derivatives designated as hedging instruments

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate contracts

​

$

—

​

$

—

​

$

21.6

​

$

27.8

Foreign exchange contracts

​

21.8

​

21.1

​

42.3

​

44.7

Total derivatives designated as hedging instruments

​

$

21.8

​

$

21.1

​

$

63.9

​

$

72.5

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivatives not designated as hedging instruments

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate contracts

​

$

215.2

​

$

339.3

​

$

23.5

​

$

33.0

Foreign exchange contracts

​

64.4

​

66.5

​

15.9

​

29.2

Equity contracts

​

33.3

​

33.2

​

66.8

​

49.0

Credit contracts

​

3.1

​

3.4

​

2.9

​

2.5

Other contracts

​

—

​

—

​

177.1

​

467.8

Total derivatives not designated as hedging instruments

​

316.0

​

442.4

​

286.2

​

581.5

​

​

​

​

​

​

​

​

​

​

​

​

​

Total derivative instruments

​

$

337.8

​

$

463.5

​

$

350.1

​

$

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 $177.1 million and $467.8 million as of March 31, 2021 and December 31, 2020, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	March 31, 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	​	$	0.5	​	$	20.0		4.2
BBB	​	​	115.0	​	​	2.0	​	​	115.0		3.6
Sovereign	​	​	​	​	​	​	​	​	​	​	​
A	​	​	20.0	​	​	0.5	​	​	20.0	​	4.2
BBB	​	​	15.0	​	​	0.1	​	​	15.0	​	0.7
Total credit default swap protection sold	​	$	170.0	​	$	3.1	​	$	170.0		3.5

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	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/(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, 2021

December 31, 2020

March 31, 2021

December 31, 2020

​

​

(in millions)

Fixed maturities, available-for-sale:

​

​

​

​

​

​

​

​

​

​

​

​

Active hedging relationships

​

$

450.9

​

$

476.1

​

$

(2.0)

​

$

21.4

Discontinued hedging relationships

​

​

110.1

​

​

135.1

​

​

4.4

​

​

5.2

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

​

$

561.0

​

$

611.2

​

$

2.4

​

$

26.6

Cash Flow Hedges (Table)

​

​	​	​	​	​	​	​	​	​
​	​	​	​	Amount of gain recognized in AOCI on derivatives
​	​	​	​	for the three months ended
Derivatives in cash	​	​	​	March 31,
flow hedging relationships		Related hedged item		2021			2020
​	​	​	​	(in millions)
Interest rate contracts		Fixed maturities, available-for-sale	​	$	—	​	$	4.4
Foreign exchange contracts		Fixed maturities, available-for-sale	​		0.6	​	​	65.3
Total	​	​	​	$	0.6	​	$	69.7

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

​

​	​	​	​	​	​	​	​	​	​
​	​	For the three months ended March 31, 2021
​	​	​		​	​	​	​	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	​	$	1,028.1	​	$	151.4	​	$	1,374.7
​	​	​	​	​	​	​	​	​	​
Losses on fair value hedging relationships:	​	​	​	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​	​	​	​
Loss recognized on hedged item	​	$	(23.4)	​	$	—	​	$	—
Gain recognized on derivatives	​	​	23.7	​	​	—	​	​	—
Amortization of hedged item basis adjustments	​	​	(0.6)	​	​	—	​	​	—
Amounts related to periodic settlements on derivative	​	​	(2.2)	​	​	—	​	​	—
Total loss recognized for fair value hedging relationships	​	$	(2.5)	​	$	—	​	$	—
​	​	​	​	​	​	​	​	​	​
Gains on cash flow hedging relationships:	​	​	​	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​	​	​	​
Gain reclassified from AOCI on derivatives	​	$	4.1	​	$	—	​	$	—
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring	​	​	—	​	​	0.3	​	​	—
​	​	​	​	​	​	​	​	​	​
Foreign exchange contracts:	​	​	​	​	​	​	​	​	​
Amounts related to periodic settlements on derivatives	​	​	2.1	​	​	—	​	​	—
Total gain recognized for cash flow hedging relationships	​	$	6.2	​	$	0.3	​	$	—

​

​	​	​	​	​	​	​	​	​	​
​	​	For the three months ended March 31, 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
​	​	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	​	$	983.6	​	$	131.4	​	$	2,858.7
​	​	​	​	​	​	​	​	​	​
Losses on fair value hedging relationships:	​	​	​	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​	​	​	​
Gain recognized on hedged item	​	$	11.0	​	$	—	​	$	—
Loss recognized on derivatives	​	​	(11.3)	​	​	—	​	​	—
Amortization of hedged item basis adjustments	​	​	(0.7)	​	​	—	​	​	—
Amounts related to periodic settlements on derivatives	​	​	(1.1)	​	​	—	​	​	—
Total loss recognized for fair value hedging relationships	​	$	(2.1)	​	$	—	​	$	—
​	​	​	​	​	​	​	​	​	​
Gains on cash flow hedging relationships:	​	​	​	​	​	​	​	​	​
Interest rate contracts:	​	​	​	​	​	​	​	​	​
Gain (loss) reclassified from AOCI on derivatives	​	$	4.7	​	$	(1.3)	​	$	—
​	​	​	​	​	​	​	​	​	​
Foreign exchange contracts:	​	​	​	​	​	​	​	​	​
Gain reclassified from AOCI on derivatives	​	​	—	​	​	2.2	​	​	—
Amounts related to periodic settlements on derivatives	​	​	2.1	​	​	—	​	​	—
Total gain recognized for cash flow hedging relationships	​	$	6.8	​	$	0.9	​	$	—

​

​

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

​

​

March 31,

​

March 31,

Derivatives in net investment hedging relationships

​

2021

​

2020

​

2021

​

2020

​

​

(in millions)

Foreign exchange contracts

​

$

2.2

​

$

7.5

​

$

—

​

$

—

Total

​

$

2.2

​

$

7.5

​

$

—

​

$

—

​

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		2021		​	2020
​	​	(in millions)
Interest rate contracts	​	$	(160.4)	​	$	500.4
Foreign exchange contracts	​	​	1.1	​	​	(56.9)
Equity contracts	​	​	(24.8)	​	​	177.1
Credit contracts	​	​	(0.3)	​	​	2.4
Other contracts	​	​	288.7	​	​	(359.8)
Total	​	$	104.3	​	$	263.2

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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).

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