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Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)


		December 31, 2023			December 31, 2022

		(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps		$	57,792.2		$	52,249.9
Interest rate options			4,498.4			4,418.9
Interest rate forwards			1,990.8			2,527.5
Interest rate futures			1,205.0			877.5
Foreign exchange contracts:
Currency swaps			2,105.8			1,634.7
Currency forwards			1,062.5			1,123.1
Equity contracts:
Equity options			2,331.3			2,049.3
Equity futures			568.4			574.1
Credit contracts:
Credit default swaps			305.0			400.0
Other contracts:
Embedded derivatives			22,511.7			23,209.3
Total notional amounts at end of period		$	94,371.1		$	89,064.3

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps		$	42.9		$	64.2
Interest rate options			37.0			41.7
Interest rate forwards			4.2			0.1
Foreign exchange contracts:
Currency swaps			120.9			171.1
Currency forwards			20.8			34.0
Equity contracts:
Equity options			83.8			16.5
Credit contracts:
Credit default swaps			4.7			3.6
Total gross credit exposure			314.3			331.2
Less: collateral received			148.7			191.9
Net credit exposure		$	165.6		$	139.3

Derivative Financial Instruments, Fair Value Disclosures (Table)


		Derivative assets (1)						Derivative liabilities (2)
		December 31, 2023			December 31, 2022			December 31, 2023			December 31, 2022

		(in millions)
Derivatives designated as hedging instruments
Interest rate contracts		$	9.0		$	20.0		$	72.6		$	105.1
Foreign exchange contracts			84.6			134.6			39.6			19.7
Total derivatives designated as hedging instruments		$	93.6		$	154.6		$	112.2		$	124.8

Derivatives not designated as hedging instruments
Interest rate contracts		$	70.3		$	81.1		$	284.3		$	439.9
Foreign exchange contracts			51.9			65.9			22.2			21.9
Equity contracts			83.8			16.5			74.2			45.6
Credit contracts			4.6			3.5			1.1			2.0
Other contracts			—			—			(2,451.6)			(3,606.4)
Total derivatives not designated as hedging instruments			210.6			167.0			(2,069.8)			(3,097.0)

Total derivative instruments		$	304.2		$	321.6		$	(1,957.6)		$	(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 $115.5 million and $46.4 million as of December 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 $(2,567.1) million and $(3,652.8) million as of December 31, 2023 and December 31, 2022, respectively, are reported with funds withheld payable on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

December 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

$

0.3

$

40.0

1.5

BBB

140.0

3.8

140.0

3.0

BB

20.0

0.2

20.0

3.5

Sovereign

A

20.0

0.2

20.0

1.5

Total credit default swap protection sold

$

220.0

$

4.5

$

220.0

2.7


		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		December 31, 2023			December 31, 2022			December 31, 2023			December 31, 2022

		(in millions)
Fixed maturities, available-for-sale (1):
Active hedging relationships		$	3,510.1		$	3,498.6		$	(87.0)		$	(153.4)
Discontinued hedging relationships			304.7			48.8			(5.2)			1.3
Total fixed maturities, available-for-sale in active or discontinued hedging relationships		$	3,814.8		$	3,547.4		$	(92.2)		$	(152.1)

Investment contracts:
Active hedging relationships		$	300.5		$	—		$	0.4		$	—
Total investment contracts in active or discontinued hedging relationships		$	300.5		$	—		$	0.4		$	—

(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 December 31, 2023 and December 31, 2022, the amortized cost basis of the closed portfolios used in these hedging relationships was $3,178.5 million and $3,256.9 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(62.2) million and $(102.4) million, respectively, and the amount of the designated hedged items were $1,395.0 million and $1,110.0 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		2023			2022			2021

				(in millions)
Interest rate contracts		Fixed maturities, available-for-sale		$	30.4		$	(102.1)		$	—
Interest rate contracts		Investment contracts			(11.0)			15.9			4.1
Foreign exchange contracts		Fixed maturities, available-for-sale			(64.0)			84.2			53.4
Total				$	(44.6)		$	(2.0)		$	57.5

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


		For the year ended December 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		$	4,091.9		$	(72.2)		$	7,788.2

Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item		$	45.3		$	—		$	0.4
Loss recognized on derivatives			(43.9)			—			(2.1)
Amounts related to periodic settlements on derivatives			60.5			—			(2.6)

Foreign exchange contracts:
Gain recognized on hedged item			—			3.7			—
Loss recognized on derivatives			—			(3.7)			—
Amounts related to periodic settlements on derivatives			0.6			—			—
Total gain (loss) recognized for fair value hedging relationships		$	62.5		$	—		$	(4.3)

Gains on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	4.1		$	—		$	(0.1)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring			—			1.9			—
Amounts related to periodic settlements on derivatives			—			—			14.2

Foreign exchange contracts:
Gain reclassified from AOCI on derivatives			—			1.5			—
Amounts related to periodic settlements on derivatives			21.4			—			—
Total gain recognized for cash flow hedging relationships		$	25.5		$	3.4		$	14.1


		For the year ended December 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		$	3,838.5		$	(182.1)		$	6,631.3

Gains on fair value hedging relationships:
Interest rate contracts:
Loss recognized on hedged item		$	(154.4)		$	—		$	—
Gain recognized on derivatives			151.6			—			—
Amortization of hedged item basis adjustments			(1.3)			—			—
Amounts related to periodic settlements on derivatives			5.2			—			—
Total gain recognized for fair value hedging relationships		$	1.1		$	—		$	—

Gains on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	9.0		$	—		$	(0.1)
Gain reclassified from AOCI as a result that a forecasted transaction is no longer probable of occurring			—			18.5			—
Amounts related to periodic settlements on derivatives			—			—			3.7

Foreign exchange contracts:
Gain reclassified from AOCI on derivatives			—			0.6			—
Amounts related to periodic settlements on derivatives			14.5			—			—
Total gain recognized for cash flow hedging relationships		$	23.5		$	19.1		$	3.6


		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
		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		$	4,429.6		$	115.4		$	7,258.2

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)

Net Investment Hedges (Table)


		Amount of gain (loss) recognized
		in AOCI on derivatives
		for the year ended December 31,
Derivatives in net investment hedging relationships		2023			2022			2021

		(in millions)
Foreign exchange contracts		$	(0.7)		$	1.5		$	2.9
Total		$	(0.7)		$	1.5		$	2.9

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		2023			2022			2021

		(in millions)
Interest rate contracts		$	(61.4)		$	(317.7)		$	(46.6)
Foreign exchange contracts			(40.0)			83.7			(121.9)
Equity contracts			(144.1)			20.7			(81.5)
Credit contracts			4.1			0.1			0.1
Other contracts (1)			(1,154.9)			3,682.3			0.2
Total		$	(1,396.3)		$	3,469.1		$	(249.7)

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

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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