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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of classification and amount of fair value of derivatives not designated as hedging instruments within consolidated balance sheets
The following tables summarize information on the classification and amount of the fair value of derivatives not designated as hedging instruments within the Company's Consolidated Balance Sheets as at September 30, 2020 and December 31, 2019:
(Millions)September 30, 2020December 31, 2019
Derivatives not designated as hedging instrumentsNotional
Value
Asset
derivative
at fair
value(1)
Liability
derivative
at fair
value(2)
Notional
Value
Asset
derivative
at fair
value(1)
Liability
derivative
at fair
value(2)
Interest rate cap$250.0 $— $— $250.0 $— $— 
Foreign currency swaps$40.0 $0.3 $— $90.0 $— $3.6 
Foreign currency forwards$225.2 $0.3 $— $(30.0)$2.7 $5.7 
Weather derivatives$53.6 $— $3.5 $110.7 $7.0 $— 
Equity futures contracts$(1.0)$— $— $34.5 $— $— 
Foreign currency futures contracts$22.3 $— $— $— $— $— 
Equity call options$34.6 $2.5 $— $— $— $— 
Equity put options$77.3 $1.9 $0.1 $31.0 $1.3 $0.2 
Foreign currency call options$50.6 $2.2 $— $— $— $— 
Equity warrants$0.5 $0.5 $— $0.4 $0.4 $— 
(1)Asset derivatives are classified within Other assets within the Company's Consolidated Balance Sheets at September 30, 2020 and December 31, 2019.
(2)Liability derivatives are classified within Other liabilities within the Company's Consolidated Balance Sheets at September 30, 2020 and December 31, 2019.
Schedule of classification and net impact on earnings, recognized in Consolidated Statements of Income relating to derivatives
The following table summarizes information on the classification and net impact on earnings, recognized in the Company's Consolidated Statements of (Loss) Income relating to derivatives during the three and nine months ended September 30, 2020 and 2019:
(Millions)For the three months ended September 30,For the nine months ended September 30,
Derivatives not designated as hedging instrumentsClassification of gains (losses) recognized in earnings2020201920202019
Interest rate capOther revenues$— $— $— $(0.2)
Foreign currency swapsNet foreign exchange (losses) gains$(0.9)$3.7 $1.8 $6.1 
Foreign currency forwardsNet foreign exchange (losses) gains$(0.4)$(7.8)$(0.9)$(10.8)
Weather derivativesOther revenues$(0.4)$1.9 $(21.8)$(3.6)
Equity futures contractsNet realized investment (losses) gains$(0.2)$0.1 $2.4 $(0.7)
Equity futures contractsNet unrealized investment gains (losses)$(0.1)$(0.5)$0.4 $(0.6)
Foreign currency futures contractsNet foreign exchange (losses) gains$0.8 $— $0.1 $— 
Equity put optionsNet realized investment (losses) gains$1.9 $(0.8)$7.8 $(0.8)
Equity put options Net unrealized investment gains (losses)$(0.6)$0.7 $0.8 $0.2 
Foreign currency call optionsNet foreign exchange (losses) gains$1.0 $— $0.8 $— 
Equity warrantsNet unrealized investment gains (losses)$(0.1)$0.3 $0.1 $0.7