Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Notes to Financial Statements [Abstract]

Notional Amounts for Each Category of Derivative Activity

The table below summarizes, by notional amounts, the activity for each category of derivatives.

	Swaps
	Receive Variable/Pay Fixed		Receive Fixed/Pay Fixed		Receive Fixed/Pay Variable		Forwards		Total
			(in millions of dollars)
Balance at June 30, 2011	$	174.0	$	579.7	$	785.0	$	—	$	1,538.7
Additions	—		—		—		15.0		15.0
Terminations	—		5.0		50.0		—		55.0
Balance at September 30, 2011	$	174.0	$	574.7	$	735.0	$	15.0	$	1,498.7
Balance at December 31, 2010	$	174.0	$	617.9	$	890.0	$	—	$	1,681.9
Additions	—		—		—		46.9		46.9
Terminations	—		43.2		155.0		31.9		230.1
Balance at September 30, 2011	$	174.0	$	574.7	$	735.0	$	15.0	$	1,498.7
Balance at June 30, 2012	$	174.0	$	540.5	$	595.0	$	—	$	1,309.5
Additions	—		—		250.0		25.0		275.0
Terminations	—		26.3		45.0		—		71.3
Balance at September 30, 2012	$	174.0	$	514.2	$	800.0	$	25.0	$	1,513.2
Balance at December 31, 2011	$	174.0	$	554.0	$	685.0	$	—	$	1,413.0
Additions	—		—		250.0		81.0		331.0
Terminations	—		39.8		135.0		56.0		230.8
Balance at September 30, 2012	$	174.0	$	514.2	$	800.0	$	25.0	$	1,513.2

Timing of Anticipated Settlements of Interest Rate Swaps Outstanding

The following table summarizes the timing of anticipated settlements of interest rate swaps outstanding under our cash flow hedging programs at September 30, 2012, whereby we receive a fixed rate and pay a variable rate. The weighted average variable interest rates assume current market conditions.

	2012			2013			Total
	(in millions of dollars)
Notional Value	$	50.0		$	150.0		$	200.0
Weighted Average Receive Rate	6.50		%	6.34		%	6.38		%
Weighted Average Pay Rate	0.36		%	0.36		%	0.36		%

Location and Fair Values of Derivative Financial Instruments

The following tables summarize the location and fair values of derivative financial instruments, as reported in our consolidated balance sheets.

	September 30, 2012
	(in millions of dollars)
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Designated as Hedging Instruments
Interest Rate Swaps and Forwards	Other L-T Investments	$	101.3	Other Liabilities	$	33.3
Foreign Exchange Contracts	Other L-T Investments	6.9		Other Liabilities	149.2
Total		$	108.2		$	182.5
Not Designated as Hedging Instruments
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	$	107.0

	December 31, 2011
	(in millions of dollars)
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Designated as Hedging Instruments
Interest Rate Swaps	Other L-T Investments	$	134.2	Other Liabilities	$	32.9
Foreign Exchange Contracts	Other L-T Investments	3.5		Other Liabilities	140.8
Total		$	137.7		$	173.7
Not Designated as Hedging Instruments
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	$	135.7

Location of and Gains and Losses on Derivative Financial Instruments Designated as Cash Flow Hedging Instruments

The following tables summarize the location of and gains and losses on derivative financial instruments designated as cash flow hedging instruments, as reported in our consolidated statements of income and consolidated statements of comprehensive income.

	Three Months Ended September 30, 2012
	Gain (Loss) Recognized in OCI on Derivatives (Effective Portion)			Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)
	(in millions of dollars)
Interest Rate Swaps	$	20.2		$	11.7		(1)
Interest Rate Swaps	—			0.1			(2)
Interest Rate Swaps	—			(0.5		)	(3)
Foreign Exchange Contracts	—			(0.1		)	(1)
Foreign Exchange Contracts	(14.7		)	(16.7		)	(2)
Total	$	5.5		$	(5.5	)

(1) Gain (loss) recognized in net investment income

(2) Gain (loss) recognized in net realized investment gain (loss)

(3) Loss recognized in interest and debt expense

	Three Months Ended September 30, 2011
	Gain Recognized in OCI on Derivatives (Effective Portion)		Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)
	(in millions of dollars)
Interest Rate Swaps and Forwards	$	8.0	$	8.6		(1)
Interest Rate Swaps	—		0.7			(2)
Interest Rate Swaps	—		(0.4		)	(3)
Foreign Exchange Contracts	—		(0.3		)	(1)
Foreign Exchange Contracts	51.4		46.6			(2)
Total	$	59.4	$	55.2

(1) Gain (loss) recognized in net investment income

(2) Gain recognized in net realized investment gain (loss)

(3) Loss recognized in interest and debt expense

	Nine Months Ended September 30, 2012
	Gain (Loss) Recognized in OCI on Derivatives (Effective Portion)			Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)
	(in millions of dollars)
Interest Rate Swaps and Forwards	$	55.1		$	30.4		(1)
Interest Rate Swaps	—			2.2			(2)
Interest Rate Swaps	—			(1.3		)	(3)
Foreign Exchange Contracts	—			(0.9		)	(1)
Foreign Exchange Contracts	(4.9		)	(18.6		)	(2)
Total	$	50.2		$	11.8

(1) Gain (loss) recognized in net investment income

(2) Gain (loss) recognized in net realized investment gain (loss)

(3) Loss recognized in interest and debt expense

	Nine Months Ended September 30, 2011
	Gain Recognized in OCI on Derivatives (Effective Portion)		Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)
	(in millions of dollars)
Interest Rate Swaps and Forwards	$	35.4	$	26.0		(1)
Interest Rate Swaps	—		2.5			(2)
Interest Rate Swaps	—		(1.2		)	(3)
Foreign Exchange Contracts	—		(0.9		)	(1)
Foreign Exchange Contracts	40.9		22.0			(2)
Total	$	76.3	$	48.4

Location of and Gain (Loss) on Embedded Derivative in a Modified Coinsurance Arrangement

The following table summarizes the location of and gains (losses) on our embedded derivative in a modified coinsurance arrangement, as reported in our consolidated statements of income.

	Three Months Ended September 30					Nine Months Ended September 30
	2012		2011			2012		2011
	(in millions of dollars)
Gain (Loss) Recognized in Net Realized Investment Gain (Loss)	$	19.7	$	(33.7	)	$	28.7	$	(24.4	)