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Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Derivative Financial Instruments, Exposure (Table)


	December 31, 2022		December 31, 2021

	(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps	$	52,249.9	$	47,927.4
Interest rate options		4,418.9		2,373.9
Interest rate forwards		2,527.5		2,181.6
Interest rate futures		877.5		1,774.5
Foreign exchange contracts:
Currency swaps		1,389.8		958.9
Currency forwards		32.0		6.8
Equity contracts:
Equity options		2,049.3		2,378.2
Equity futures		574.1		150.4
Credit contracts:
Credit default swaps		400.0		295.0
Other contracts:
Embedded derivatives		30,461.7		9,430.5
Total notional amounts at end of period	$	94,980.7	$	67,477.2

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate swaps	$	64.2	$	205.9
Interest rate options		41.7		24.5
Interest rate forwards		0.1		15.3
Foreign exchange contracts:
Currency swaps		139.2		51.1
Currency forwards		0.9		0.4
Equity contracts:
Equity options		16.5		37.3
Credit contracts:
Credit default swaps		3.6		2.7
Total gross credit exposure		266.2		337.2
Less: collateral received		158.8		234.0
Net credit exposure	$	107.4	$	103.2

Derivative Financial Instruments, Fair Value Disclosures (Table)


	Derivative assets (1)				Derivative liabilities (2)
	December 31, 2022		December 31, 2021		December 31, 2022		December 31, 2021

	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	20.0	$	4.1	$	105.1	$	19.0
Foreign exchange contracts		134.6		48.4		19.3		17.2
Total derivatives designated as hedging instruments	$	154.6	$	52.5	$	124.4	$	36.2

Derivatives not designated as hedging instruments
Interest rate contracts	$	81.1	$	233.4	$	439.9	$	13.0
Foreign exchange contracts		0.9		0.4		0.4		—
Equity contracts		16.5		37.3		45.6		90.9
Credit contracts		3.5		2.6		2.0		2.2
Other contracts		—		—		(3,711.7)		320.9
Total derivatives not designated as hedging instruments		102.0		273.7		(3,223.8)		427.0

Total derivative instruments	$	256.6	$	326.2	$	(3,099.4)	$	463.2

(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 $(58.9) million and $320.9 million as of December 31, 2022 and December 31, 2021, respectively, are reported with contractholder funds on the consolidated statements of financial position. Embedded derivatives with a net (asset) liability fair value of $(3,652.8) million as of December 31, 2022, are reported with funds withheld payable on the consolidated statements of financial position.

Credit Derivatives Sold (Table)

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

40.0

0.4

40.0

2.5

BBB

190.0

2.2

190.0

3.1

20.0

(0.2)

20.0

4.5

Sovereign

20.0

0.2

20.0

2.5

Total credit default swap protection sold

270.0

2.6

270.0

3.1


	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
A	$	20.0	$	0.4	$	20.0	3.5
BBB		110.0		1.7		110.0	3.0
Sovereign
A		20.0		0.5		20.0	3.5
Total credit default swap protection sold	$	150.0	$	2.6	$	150.0	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

December 31, 2022

December 31, 2021

December 31, 2022

December 31, 2021

(in millions)

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

Active hedging relationships

3,498.6

1,859.9

(153.4)

(7.1)

Discontinued hedging relationships

48.8

79.7

1.3

2.8

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

3,547.4

1,939.6

(152.1)

(4.3)

(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, 2022 and December 31, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $3,256.9 million and $1,390.4 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(102.4) million and $(3.9) million, respectively, and the amount of the designated hedged items were $1,110.0 million and $510.0 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	2022		2021		2020

		(in millions)
Interest rate contracts	Fixed maturities, available-for-sale	$	(102.1)	$	—	$	(3.0)
Interest rate contracts	Investment contracts		15.9		4.1		—
Foreign exchange contracts	Fixed maturities, available-for-sale		84.2		53.4		(37.1)
Total		$	(2.0)	$	57.5	$	(40.1)

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


	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	$	2,852.3	$	(1.2)	$	5,650.7

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		(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	$	3,633.7	$	(18.5)	$	6,482.6

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
	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	$	3,324.9	$	105.6	$	7,837.5

Losses on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item	$	3.3	$	—	$	—
Loss recognized on derivatives		(3.9)		—		—
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	$	(9.3)	$	—	$	—

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)

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	2022		2021		2020

	(in millions)
Interest rate contracts	$	(317.7)	$	(33.8)	$	342.7
Foreign exchange contracts		1.4		(4.7)		7.7
Equity contracts		20.7		(81.1)		(95.8)
Credit contracts		0.1		0.1		1.8
Other contracts⁽¹⁾		4,024.8		86.0		(247.3)
Total	$	3,729.3	$	(33.5)	$	9.1

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

- 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