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Derivative Instruments (Tables)
3 Months Ended
Mar. 31, 2014
Derivative Instruments  
Schedule of fair values and balance sheet location of derivative instruments

 

 

 

 

 

 

March 31, 2014

 

December 31, 2013

 

Derivative Instrument

 

Balance Sheet
Location

 

Fair
Value

 

Notional
Units

 

Fair
Value

 

Notional
Units

 

Foreign Exchange Contracts:

 

 

 

 

 

 

 

 

 

 

 

U.S. Dollars purchased

 

Other Investments

 

$

(4.3

)

485.0

 

$

0.6

 

287.9

 

U.S. Dollars sold

 

Other Investments

 

3.4

 

329.1

 

(0.1

)

279.3

 

Cross-currency

 

Other Investments

 

0.2

 

60.4

 

0.4

 

84.0

 

Credit Derivatives

 

Other Investments

 

0.4

 

316.7

 

(0.2

)

231.1

 

Interest Rate Contracts

 

Other Investments

 

2.8

 

5,939.6

 

1.5

 

2,806.1

 

Investment Options and Futures (long)

 

Other Investments

 

6.3

 

1,563.3

 

3.8

 

6,626.7

 

Investment Options and Futures (short)

 

Other Investments

 

(2.6

)

2,028.4

 

(1.3

)

1,748.2

 

LIBOR Swap

 

Other Investments

 

(0.4

)

100.0

 

(0.5

)

100.0

 

Outward ILW Swaps

 

Other Assets

 

0.1

 

3.0

 

0.2

 

3.0

 

Inward ILW Swap

 

Other Liabilities

 

(1.4

)

10.0

 

(1.5

)

10.0

 

Schedule of net income (loss) from derivative instruments

 

 

 

Three Month Periods
Ended March 31,

 

Income (Loss) From Derivative Instruments:

 

2014

 

2013

 

Foreign Exchange Contracts - underwriting activities

 

$

1.9

 

$

(4.0

)

Foreign Exchange Contracts - investing activities

 

(5.6

)

2.9

 

Credit Derivatives

 

(2.9

)

(0.5

)

Interest Rate Contracts

 

2.5

 

4.9

 

Investment Options and Futures

 

(0.8

)

1.5

 

Outward ILW Swaps

 

(0.1

)

(0.1

)

Inward ILW Swap

 

0.1

 

 

LIBOR Swap

 

(0.2

)

(0.1

)

Net income (loss) from derivative instruments

 

$

(5.1

)

$

4.6