XML 52 R37.htm IDEA: XBRL DOCUMENT

Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Financial Instruments, Exposure (Table)


	December 31, 2021		December 31, 2020

	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	47,927.4	$	44,472.1
Interest rate options		2,373.9		2,083.9
Interest rate forwards		2,181.6		1,000.0
Interest rate futures		1,774.5		188.5
Swaptions		—		62.0
Foreign exchange contracts:
Currency swaps		1,242.7		1,045.5
Currency forwards		1,043.6		1,115.8
Equity contracts:
Equity options		2,378.2		1,857.8
Equity futures		150.4		218.1
Credit contracts:
Credit default swaps		295.0		295.0
Other contracts:
Embedded derivatives		10,060.8		9,953.8
Total notional amounts at end of period	$	69,428.1	$	62,292.5

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	205.9	$	291.0
Interest rate options		24.5		51.0
Interest rate forwards		15.3		6.2
Foreign exchange contracts:
Currency swaps		51.1		43.3
Currency forwards		11.3		45.4
Equity contracts:
Equity options		37.3		33.2
Credit contracts:
Credit default swaps		2.7		3.4
Total gross credit exposure		348.1		473.5
Less: collateral received		244.6		294.7
Net credit exposure	$	103.5	$	178.8

Derivative Financial Instruments, Fair Value Disclosures (Table)


	Derivative assets (1)				Derivative liabilities (2)
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020

	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	4.1	$	—	$	19.0	$	27.8
Foreign exchange contracts		48.4		21.1		17.6		44.7
Total derivatives designated as hedging instruments	$	52.5	$	21.1	$	36.6	$	72.5

Derivatives not designated as hedging instruments
Interest rate contracts	$	233.4	$	339.3	$	13.0	$	33.0
Foreign exchange contracts		11.3		66.5		83.3		29.2
Equity contracts		37.3		33.2		90.9		49.0
Credit contracts		2.6		3.4		2.2		2.5
Other contracts		—		—		356.3		467.8
Total derivatives not designated as hedging instruments		284.6		442.4		545.7		581.5

Total derivative instruments	$	337.1	$	463.5	$	582.3	$	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 $356.3 million and $467.8 million as of December 31, 2021 and December 31, 2020, respectively, are reported with contractholder funds on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

December 31, 2021

Weighted

Maximum

average

Notional

Fair

future

expected life

amount

value

payments

(in years)

(in millions)

Single name credit default swaps

Corporate debt

20.0

0.4

20.0

3.5

BBB

110.0

1.7

110.0

3.0

Sovereign

20.0

0.5

20.0

3.5

Total credit default swap protection sold

150.0

2.6

150.0

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/(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

December 31, 2021

December 31, 2020

December 31, 2021

December 31, 2020

(in millions)

Fixed maturities, available-for-sale (1):

Active hedging relationships

1,859.9

476.1

(7.1)

21.4

Discontinued hedging relationships

79.7

135.1

2.8

5.2

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

1,939.6

611.2

(4.3)

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 December 31, 2021 and December 31, 2020, the amortized cost basis of the closed portfolios used in these hedging relationships was $1,390.4 million and $0.0 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(3.9) million and $0.0 million, respectively, and the amount of the designated hedged items were $510.0 million and $0.0 million, respectively.

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	2021		2020		2019

		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	—	$	(3.0)	$	(9.9)
Interest rate contracts	Investment contracts		4.1		—		—
Foreign exchange contracts	Fixed maturities, available-for-sale		53.4		(37.1)		(9.4)
Total		$	57.5	$	(40.1)	$	(19.3)

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

For the year ended December 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

Operating

maturities,

hedges of

expenses

available-

investment

related to

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

4,406.1

2.5

7,097.0

4,987.3

Losses on fair value hedging relationships:

Interest rate contracts:

Loss recognized on hedged item

(28.7)

—

Gain recognized on derivatives

28.6

—

Amortization of hedged item basis adjustments

(1.8)

—

Amounts related to periodic settlements on derivatives

(10.0)

—

Total loss recognized for fair value hedging relationships

(11.9)

—

Gains (losses) on cash flow hedging relationships:

Interest rate contracts:

Gain (loss) reclassified from AOCI on derivatives

15.4

—

(0.1)

—

Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring

—

1.0

—

Amounts related to periodic settlements on derivatives

—

(0.4)

—

Foreign exchange contracts:

Gain reclassified from AOCI on derivatives

—

9.2

—

Amounts related to periodic settlements on derivatives

9.6

—

Total gain (loss) recognized for cash flow hedging relationships

25.0

10.2

(0.5)

—


	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)

Net Investment Hedges (Table)


	Amount of gain recognized
	in AOCI on derivatives
	for the year ended December 31,
Derivatives in net investment hedging relationships	2021		2020		2019

	(in millions)
Foreign exchange contracts	$	2.9	$	7.9	$	—
Total	$	2.9	$	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	2021		2020		2019

	(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	2021		2020		2019

	(in millions)
Interest rate contracts	$	(46.6)	$	346.5	$	218.0
Foreign exchange contracts		(121.9)		54.7		(58.6)
Equity contracts		(81.5)		(96.6)		(132.9)
Credit contracts		0.1		1.8		(3.6)
Other contracts		103.7		(255.5)		(168.1)
Total	$	(146.2)	$	50.9	$	(145.2)

- Definition

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