Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

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		Credit Default		Forwards		Options		Total
	(in millions of dollars)
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
Balance at June 30, 2013	$	174.0	$	474.7	$	675.0	$	70.0	$	—	$	10.0	$	1,403.7
Additions	—		10.0		—		—		—		—		10.0
Terminations	24.0		3.6		40.0		—		—		10.0		77.6
Balance at September 30, 2013	$	150.0	$	481.1	$	635.0	$	70.0	$	—	$	—	$	1,336.1
Balance at December 31, 2012	$	174.0	$	508.8	$	750.0	$	—	$	—	$	—	$	1,432.8
Additions	—		10.0		—		70.0		24.0		10.0		114.0
Terminations	24.0		37.7		115.0		—		24.0		10.0		210.7
Balance at September 30, 2013	$	150.0	$	481.1	$	635.0	$	70.0	$	—	$	—	$	1,336.1

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, 2013, whereby we receive a fixed rate and pay a variable rate. The weighted average variable interest rates assume current market conditions.

	2013
	(in millions of dollars)
Notional Value	$	35.0
Weighted Average Receive Rate	6.82		%
Weighted Average Pay Rate	0.25		%

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, 2013
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Interest Rate Swaps	Other L-T Investments	$	22.5	Other Liabilities	$	33.8
Foreign Exchange Contracts	Other L-T Investments	2.0		Other Liabilities	107.6
Total		$	24.5		$	141.4
Not Designated as Hedging Instruments
Credit Default Swaps				Other Liabilities	$	1.5
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	65.4
Total					$	66.9

	December 31, 2012
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Interest Rate Swaps	Other L-T Investments	$	76.5	Other Liabilities	$	31.7
Foreign Exchange Contracts	Other L-T Investments	5.1		Other Liabilities	138.8
Total		$	81.6		$	170.5
Not Designated as Hedging Instruments
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	$	83.9

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

The following table summarizes the location of gains and losses on the effective portion of 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						Nine Months Ended September 30
		2013			2012			2013			2012
		(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Interest Rate Swaps and Forwards		$	—		$	20.2		$	(7.1	)	$	55.1
Options		—			—			(0.1		)	—
Foreign Exchange Contracts		(8.4		)	(14.7		)	14.3			(4.9		)
	Total	$	(8.4	)	$	5.5		$	7.1		$	50.2
Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
Net Investment Income
	Interest Rate Swaps and Forwards	$	11.1		$	11.7		$	32.2		$	30.4
	Foreign Exchange Contracts	(1.4		)	(0.1		)	(4.6		)	(0.9		)
Net Realized Investment Gain (Loss)
	Interest Rate Swaps	(0.1		)	0.1			0.7			2.2
	Foreign Exchange Contracts	(1.3		)	(16.7		)	(13.7		)	(18.6		)
Interest and Debt Expense
	Interest Rate Swaps	(0.4		)	(0.5		)	(1.2		)	(1.3		)
	Total	$	7.9		$	(5.5	)	$	13.4		$	11.8

Location of and Gain (Loss) on Derivatives Not Designated as Hedging Instruments

The following table summarizes the location of gains and losses on our derivatives not designated as hedging instruments, as reported in our consolidated statements of income.

		Three Months Ended September 30					Nine Months Ended September 30
		2013			2012		2013			2012
		(in millions of dollars)
Net Realized Investment Gain (Loss)
	Credit Default Swaps	$	(1.0	)	$	—	$	(1.5	)	$	—
	Embedded Derivative in Modified Coinsurance Arrangement	(0.3		)	19.7		18.5			28.7
	Total	$	(1.3	)	$	19.7	$	17.0		$	28.7