Derivative Instruments

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

DERIVATIVE INSTRUMENTS

As of March 31, 2016 and December 31, 2015, none of the Company’s derivatives were designated as hedges for accounting purposes. The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheets:

	March 31, 2016								December 31, 2015
	Asset Derivative  Notional Amount		Asset Derivative  Fair Value		Liability Derivative  Notional Amount		Liability Derivative  Fair Value		Asset Derivative  Notional Amount		Asset Derivative  Fair Value		Liability Derivative  Notional Amount		Liability Derivative Fair Value
Foreign exchange contracts	$	0.1	$	—	$	201.3	$	5.5	$	41.1	$	0.1	$	244.8	$	3.0
Interest rate swaps	—		—		219.2		0.5		—		—		328.2		0.5
Total derivatives	$	0.1	$	—	$	420.5	$	6.0	$	41.1	$	0.1	$	573.0	$	3.5

Derivative assets and derivative liabilities are classified within “other assets” or “accounts payable and accrued liabilities” on the consolidated balance sheets.

The following table provides the net realized and unrealized gains (losses) on derivatives not designated as hedges recorded on the consolidated income statements:

	Three Months Ended   March 31,
	2016			2015
Foreign exchange contracts	$	2.3		$	(7.4	)
Total included in foreign exchange (gain) loss	2.3			(7.4		)
Foreign exchange contracts	(14.9		)	1.1
Interest rate swaps and futures	(8.0		)	(12.7		)
Total included in net realized investment gains	(22.9		)	(11.6		)
Total realized and unrealized losses on derivatives	$	(20.6	)	$	(19.0	)

Derivative Instruments Not Designated as Hedging Instruments

The Company is exposed to foreign currency risk in its investment portfolio. Accordingly, the fair values of the Company’s investment portfolio are partially influenced by the change in foreign exchange rates. These foreign currency hedging activities have not been designated as specific hedges for financial reporting purposes.

The Company’s insurance and reinsurance subsidiaries and branches operate in various foreign countries and consequently the Company’s underwriting portfolio is exposed to foreign currency risk. The Company manages foreign currency risk by seeking to match liabilities under the insurance policies and reinsurance contracts that it writes and that are payable in foreign currencies with cash and investments that are denominated in such currencies. When necessary, the Company may also use derivatives to economically hedge un-matched foreign currency exposures, specifically forward contracts and currency options.

The Company also purchases and sells interest rate future and interest rate swap contracts to actively manage the duration and yield curve positioning of its fixed income portfolio. Interest rate futures and interest rate swaps can efficiently increase or decrease the overall duration of the portfolio. Additionally, interest rate futures and interest rate swaps can be utilized to obtain the desired position along the yield curve in order to protect against certain future yield curve shapes.

The Company also purchases options to actively manage its equity portfolio.