Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Nature and Amount of Collateral Received From and Posted To Derivative Counterparty

The table below summarizes the nature and amount of collateral received from and posted to our derivative counterparties.

	September 30, 2019		December 31, 2018
	(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash	$	28.8	$	24.0
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities	$	30.1	$	33.4

Notional Amounts for Each Category of Derivative Activity

The table below summarizes, by notional amounts, the activity for each category of derivatives. The notional amounts represent the basis upon which our counterparty pay and receive amounts are calculated.

	Swaps
	Receive Variable/Pay Fixed		Receive Fixed/Pay Fixed		Receive Fixed/Pay Variable		Credit Default			Forwards			Total
	(in millions of dollars)
Balance at June 30, 2018	$	—	$	537.4	$	250.0	$	—		$	20.6		$	808.0
Additions	—		31.9		—		11.2			—			43.1
Terminations	—		34.6		—		—			20.6			55.2
Balance at September 30, 2018	$	—	$	534.7	$	250.0	$	11.2		$	—		$	795.9
Balance at December 31, 2017	$	48.0	$	536.5	$	250.0	$	70.0		$	—		$	904.5
Additions	—		58.3		—		11.2			47.4			116.9
Terminations	48.0		60.1		—		70.0			47.4			225.5
Balance at September 30, 2018	$	—	$	534.7	$	250.0	$	11.2		$	—		$	795.9
Balance at June 30, 2019	$	—	$	558.8	$	250.0	$	10.9		$	—		$	819.7
Additions	—		22.0		—		—			358.9			380.9
Terminations	—		13.5		—		—			256.0			269.5
Foreign Currency	—		—		—		(0.3		)	—			(0.3		)
Balance at September 30, 2019	$	—	$	567.3	$	250.0	$	10.6		$	102.9		$	930.8
Balance at December 31, 2018	$	—	$	538.2	$	250.0	$	11.0		$	—		$	799.2
Additions	—		121.6		—		—			382.4			504.0
Terminations	—		92.5		—		—			279.1			371.6
Foreign Currency	—		—		—		(0.4		)	(0.4		)	(0.8		)
Balance at September 30, 2019	$	—	$	567.3	$	250.0	$	10.6		$	102.9		$	930.8

Fair Value Hedges Carrying Amount of Hedged Assets and Liabilities and Cumulative Basis Adjustments

The following table summarizes the carrying amount of hedged assets and liabilities and the related cumulative basis adjustments related to our fair value hedges.

	Carrying Amount of Hedged Assets (Liabilities)						Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets (Liabilities)
	September 30, 2019			December 31, 2018			September 30, 2019			December 31, 2018
	(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest	$	193.4		$	56.2		$	(6.7	)	$	(2.7	)
Long-term Debt	$	(248.8	)	$	(244.4	)	$	0.9		$	5.1

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, 2019
	Derivative Assets			Derivative Liabilities
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Forwards	Other L-T Investments	$	—	Other Liabilities	$	0.1
Foreign Exchange Contracts	Other L-T Investments	21.7		Other Liabilities	6.6
Total Cash Flow Hedges		21.7			6.7
Fair Value Hedges
Interest Rate Swaps	Other L-T Investments	—		Other Liabilities	1.0
Foreign Exchange Contracts	Other L-T Investments	12.8		Other Liabilities	3.3
Total Fair Value Hedges		12.8			4.3
Total Designated as Hedging Instruments		$	34.5		$	11.0
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.2	Other Liabilities	$	—
Foreign Exchange Contracts	Other L-T Investments	0.2		Other Liabilities	22.9
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	37.5
Total Not Designated as Hedging Instruments		$	0.4		$	60.4

	December 31, 2018
	Derivative Assets			Derivative Liabilities
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Foreign Exchange Contracts	Other L-T Investments	$	25.0	Other Liabilities	$	7.9
Fair Value Hedges
Interest Rate Swaps	Other L-T Investments	—		Other Liabilities	5.2
Foreign Exchange Contracts	Other L-T Investments	5.4		Other Liabilities	0.4
Total Fair Value Hedges		5.4			5.6
Total Designated as Hedging Instruments		$	30.4		$	13.5
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.5	Other Liabilities	$	—
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	24.5
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	31.1
Total Not Designated as Hedging Instruments		$	0.5		$	55.6

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

The following table summarizes the location of gains and losses of derivative financial instruments designated as hedging instruments, as reported in our consolidated statements of operations.

	Three Months Ended September 30
	2019								2018
	Net Investment Income			Net Realized Investment Gain (Loss)			Interest and Debt Expense		Net Investment Income			Net Realized Investment Gain (Loss)			Interest and Debt Expense
	(in millions of dollars)
Total Income and Expense Presented in the Consolidated Statements of Operations of Which Hedged Items are Recorded	$	599.4		$	(26.2	)	$	46.1	$	619.2		$	6.7		$	42.7
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	74.5			1.7			7.7		75.8			—			8.5
Derivatives Designated as Hedging Instruments	18.8			5.3			0.6		16.7			—			0.6
Foreign Exchange Contracts
Hedged items	3.3			(0.8		)	—		4.6			0.4			—
Derivatives Designated as Hedging Instruments	(0.3		)	0.7			—		(0.3		)	(0.4		)	—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—			(0.6		)	3.5		—			—			3.6
Derivatives Designated as Hedging Instruments	—			0.6			0.6		—			—			0.6
Foreign Exchange Contracts
Hedged items	0.6			(4.8		)	—		0.1			(0.3		)	—
Derivatives Designated as Hedging Instruments	0.5			4.8			—		0.1			0.3			—

	Nine Months Ended September 30
	2019								2018
	Net Investment Income			Net Realized Investment Gain (Loss)			Interest and Debt Expense		Net Investment Income			Net Realized Investment Gain (Loss)			Interest and Debt Expense
	(in millions of dollars)
Total Income and Expense Presented in the Consolidated Statements of Operations of Which Hedged Items are Recorded	$	1,819.0		$	(32.4	)	$	130.8	$	1,845.1		$	1.9		$	125.3
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	222.0			(1.2		)	23.1		230.3			0.1			31.3
Derivatives Designated as Hedging Instruments	54.4			9.3			1.8		49.1			(0.3		)	1.7
Foreign Exchange Contracts
Hedged items	11.6			1.1			—		14.3			1.3			—
Derivatives Designated as Hedging Instruments	(0.9		)	(1.0		)	—		(0.8		)	(1.3		)	—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—			(4.2		)	10.7		1.0			2.2			10.8
Derivatives Designated as Hedging Instruments	—			4.2			2.1		(0.5		)	(2.2		)	1.2
Foreign Exchange Contracts
Hedged items	1.5			(4.0		)	—		0.5			(1.7		)	—
Derivatives Designated as Hedging Instruments	1.2			4.0			—		0.2			1.7			—

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income

The following table summarizes the location of gains and losses of derivative financial instruments designated as cash flow hedging instruments, as reported in our consolidated statements of comprehensive income (loss).

		Three Months Ended September 30						Nine Months Ended September 30
		2019			2018			2019			2018
		(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
	Forwards	$	(0.1	)	$	—		$	(0.2	)	$	(0.1	)
	Foreign Exchange Contracts	6.7			(10.1		)	(4.0		)	0.6
Total		$	6.6		$	(10.1	)	$	(4.2	)	$	0.5

Gains and Losses 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 operations.

		Three Months Ended September 30						Nine Months Ended September 30
		2019			2018			2019			2018
		(in millions of dollars)
Net Realized Investment Gain (Loss)
	Credit Default Swaps	$	0.2		$	(0.3	)	$	(0.4	)	$	(0.3	)
	Interest Rate Swaps	—			—			—			(0.3		)
	Foreign Exchange Contracts	(0.2		)	0.5			(0.3		)	1.5
	Embedded Derivative in Modified Coinsurance Arrangement	(11.1		)	6.1			(6.4		)	2.1
Total		$	(11.1	)	$	6.3		$	(7.1	)	$	3.0