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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2018
Derivatives  
Schedule of Interest Rate Cap collateral balances held

 

 

 

 

 

 

 

 

    

September 30, 2018

(Millions)

    

Collateral Balances Held

    

S & P Rating(1)

Barclays Bank Plc

    

$

0.2

    

A

Nordea Bank Abp

 

 

0.1

 

AA-

Total

 

$

0.3

 

  

(1)Standard & Poor’s ratings as detailed above are: "AA-" (Very Strong, which is the fourth highest of twenty-three creditworthiness ratings) and "A" (Strong, which is the sixth highest of twenty-three credit worthiness ratings).

Schedule of classification and amount of fair value of derivatives not designated as hedging instruments within Consolidated Balance Sheets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Millions)

 

September 30, 2018

 

December 31, 2017

 

 

 

 

 

 

 

 

Liability

 

 

 

 

 

 

 

Liability

Derivatives not designated as hedging

 

 

 

 

Asset derivative at

 

derivative at

 

 

 

 

Asset derivative

 

derivative at

instruments

    

Notional Value

    

fair value(1)

    

fair value(2)

    

Notional Value

    

at fair value(1)

    

fair value(2)

Interest rate cap

 

$

250.0

 

$

0.4

 

$

 —

 

$

250.0

 

$

0.3

 

$

 —

Foreign currency swaps

 

$

45.0

 

$

 —

 

$

8.2

 

$

45.0

 

$

 —

 

$

10.6

Weather derivatives

 

$

115.7

 

$

3.0

 

$

 —

 

$

113.3

 

$

4.2

 

$

 —

 (1)Asset derivatives are classified within Other assets within the Company’s Consolidated Balance Sheets at September 30, 2018 and December 31, 2017.

(2)Liability derivatives are classified within Other liabilities within the Company’s Consolidated Balance Sheets at September 30, 2018 and December 31, 2017.

Schedule of classification and net impact on earnings, recognized in Consolidated Statements of (Loss) Income relating to derivatives

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three Months

 

For the Nine Months

(Millions)

 

 

Ended September 30,

 

Ended September 30,

Derivatives not designated as hedging instruments

Classification of gains (losses) recognized in

 

 

 

 

 

 

 

 

 

 

 

 

 

earnings

    
2018

    
2017

    
2018

    
2017

Interest rate cap

Other revenues

 

$

 —

 

$

(0.1)

 

$

0.2

 

$

(1.3)

Foreign currency swaps

Net foreign exchange gains (losses)

 

$

(0.1)

 

$

(3.4)

 

$

2.9

 

$

(10.2)

Foreign currency forwards(1)

Net foreign exchange gains (losses)

 

$

 —

 

$

 —

 

$

 —

 

$

(0.3)

Weather derivatives

Other revenues

 

$

1.8

 

$

8.0

 

$

4.2

 

$

2.4

 (1) There were no Foreign currency forwards at September 30, 2018 or at December 31, 2017 on the Consolidated Balance Sheets.