Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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.

	June 30, 2021		December 31, 2020
	(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash	$	16.1	$	8.7
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities	$	41.5	$	54.0

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 Fixed/Pay Fixed		Receive Fixed/Pay Variable		Credit Default		Total Return		Forwards		Total
	(in millions of dollars)
Balance at March 31, 2020		$	663.1	$	250.0	$	10.7	$	—	$	7.6	$	931.4
Additions		—		—		—		—		—		—
Terminations		—		—		—		—		—		—
Foreign Currency		—		—		—		—		—		—
Balance at June 30, 2020		$	663.1	$	250.0	$	10.7	$	—	$	7.6	$	931.4
Balance at December 31, 2019		$	611.1	$	250.0	$	11.4	$	—	$	8.9	$	881.4
Additions		52.0		—		—		—		—		52.0
Terminations		—		—		—		—		1.3		1.3
Foreign Currency		—		—		(0.7)		—		—		(0.7)
Balance at June 30, 2020		$	663.1	$	250.0	$	10.7	$	—	$	7.6	$	931.4
Balance at March 31, 2021		$	747.0	$	—	$	11.9	75.5		$	11.9	$	846.3
Additions		61.5		—		—		5.3		294.7		361.5
Terminations		10.2		—		—		—		278.5		288.7
Foreign Currency		—		—		—		—		—		—
Balance at June 30, 2021		$	798.3	$	—	$	11.9	$	80.8	$	28.1	$	919.1
Balance at December 31, 2020		$	720.8	$	—	$	11.7	$	—	$	11.9	$	744.4
Additions		87.7		—		—		80.8		294.7		463.2
Terminations		10.2		—		—		—		278.5		288.7
Foreign Currency		—		—		0.2		—		—		0.2
Balance at June 30, 2021		$	798.3	$	—	$	11.9	$	80.8	$	28.1	$	919.1

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 the related cumulative basis adjustments related to our fair value hedges:

	Carrying Amount of Hedged Assets				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
	(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest	$	456.3	$	404.5	$	16.0	$	24.4

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.

	June 30, 2021
	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	$	15.1	Other Liabilities	$	9.4
Fair Value Hedges
Foreign Exchange Contracts	Other L-T Investments	7.9		Other Liabilities	12.0
Total Designated as Hedging Instruments		$	23.0		$	21.4
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	—	Other Liabilities	$	0.1
Forwards	Other L-T Investments	0.4		Other Liabilities	0.1
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	22.8
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	21.2
Total Not Designated as Hedging Instruments		$	0.4		$	44.2

	December 31, 2020
	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	$	16.4	Other Liabilities	$	9.4
Fair Value Hedges
Foreign Exchange Contracts	Other L-T Investments	3.3		Other Liabilities	26.0
Total Designated as Hedging Instruments		$	19.7		$	35.4
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.1	Other Liabilities	$	—
Forwards	Other L-T Investments	—		Other Liabilities	0.5
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	23.8
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	39.8
Total Not Designated as Hedging Instruments		$	0.1		$	64.1

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

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

	Three Months Ended June 30
	2021						2020
	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 Income of Which Hedged Items are Recorded	$	563.5	$	0.9	$	45.3	$	569.0	$	33.8	$	47.5
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	54.8		—		7.3		73.0		0.1		7.3
Derivatives Designated as Hedging Instruments	16.5		—		0.1		19.7		0.4		0.7
Foreign Exchange Contracts:
Hedged items	4.1		—		—		3.2		—		—
Derivatives Designated as Hedging Instruments	0.6		—		—		0.4		—		—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		—		—		—		0.3		3.6
Derivatives Designated as Hedging Instruments	—		—		—		—		(0.3)		(0.4)
Foreign Exchange Contracts
Hedged items	2.4		1.1		—		1.8		10.3		—
Derivatives Designated as Hedging Instruments	1.2		(1.1)		—		1.3		(10.3)		—

	Six Months Ended June 30
	2021						2020
	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 Income of Which Hedged Items are Recorded	$	1,112.2	$	85.5	$	89.7	$	1,154.0	$	(110.2)	$	93.2
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	106.8		2.4		14.6		146.0		0.1		14.6
Derivatives Designated as Hedging Instruments	32.0		1.8		0.2		38.9		0.4		1.3
Foreign Exchange Contracts:
Hedged items	7.2		—		—		6.1		—		—
Derivatives Designated as Hedging Instruments	0.9		—		—		1.3		—		—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		—		—		—		(1.2)		7.2
Derivatives Designated as Hedging Instruments	—		—		—		—		1.2		(0.3)
Foreign Exchange Contracts
Hedged items	4.7		(8.4)		—		3.2		(2.9)		—
Derivatives Designated as Hedging Instruments	2.2		8.4		—		2.1		2.9		—

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

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 June 30				Six Months Ended June 30
	2021		2020		2021		2020
	(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Foreign Exchange Contracts	$	0.4	$	(7.9)	$	(1.1)	$	11.6

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 income.

	Three Months Ended June 30				Six Months Ended June 30
	2021		2020		2021		2020
	(in millions of dollars)
Net Realized Investment Gain (Loss)
Credit Default Swaps	$	(0.1)	$	(0.9)	$	(0.2)	$	(0.1)
Foreign Exchange Contracts	0.1		(0.1)		1.8		(1.6)
Embedded Derivative in Modified Coinsurance Arrangement	1.7		41.9		18.6		(45.0)
Total	$	1.7	$	40.9	$	20.2	$	(46.7)
Other Expenses
Total Return Swaps	$	(5.0)	$	—	$	(3.7)	$	—