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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 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.
September 30, 2021December 31, 2020
(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash$22.4 $8.7 
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities$30.0 $54.0 
Cash2.7 — 
$32.7 $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 DefaultTotal ReturnForwardsTotal
 (in millions of dollars)
Balance at June 30, 2020$663.1 $250.0 $10.7 $— $7.6 $931.4 
Additions40.4 — — — 2.7 43.1 
Terminations3.3 250.0 — — — 253.3 
Foreign Currency— — 0.4 — — 0.4 
Balance at September 30, 2020$700.2 $— $11.1 $— $10.3 $721.6 
Balance at December 31, 2019$611.1 $250.0 $11.4 $— $8.9 $881.4 
Additions92.4 — — — 2.7 95.1 
Terminations3.3 250.0 — — 1.3 254.6 
Foreign Currency— — (0.3)— — (0.3)
Balance at September 30, 2020$700.2 $— $11.1 $— $10.3 $721.6 
Balance at June 30, 2021$798.3 $— $11.9 $80.8 $28.1 $919.1 
Additions— — — 2.2 27.5 29.7 
Terminations10.5 — — — 32.1 42.6 
Foreign Currency— — (0.3)— — (0.3)
Balance at September 30, 2021$787.8 $— $11.6 $83.0 $23.5 $905.9 
Balance at December 31, 2020$720.8 $— $11.7 $— $11.9 $744.4 
Additions87.7 — — 83.0 322.2 492.9 
Terminations20.7 — — — 310.6 331.3 
Foreign Currency— — (0.1)— — (0.1)
Balance at September 30, 2021$787.8 $— $11.6 $83.0 $23.5 $905.9 
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 AssetsCumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets
September 30, 2021December 31, 2020September 30, 2021December 31, 2020
(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest$468.2 $404.5 $5.6 $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. Certain prior year amounts were reclassified to conform to current year presentation.

 September 30, 2021
 Derivative AssetsDerivative Liabilities
 Balance Sheet
Location		Fair
Value		Balance Sheet
Location		Fair
Value
(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Foreign Exchange ContractsOther L-T Investments$17.2 Other Liabilities$6.9 
Fair Value Hedges
Foreign Exchange ContractsOther L-T Investments12.4 Other Liabilities5.8 
Total Designated as Hedging Instruments$29.6 $12.7 
Not Designated as Hedging Instruments
Foreign Exchange ContractsOther L-T Investments$0.9 Other Liabilities$22.7 
Embedded Derivative in Modified Coinsurance ArrangementOther L-T Investments— Other Liabilities18.6 
Total Not Designated as Hedging Instruments$0.9 $41.3 
 December 31, 2020
 Derivative AssetsDerivative Liabilities
 Balance Sheet
Location		Fair
Value		Balance Sheet
Location		Fair
Value
(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Foreign Exchange ContractsOther L-T Investments$16.4 Other Liabilities$9.4 
Fair Value Hedges
Foreign Exchange ContractsOther L-T Investments3.3 Other Liabilities26.0 
Total Designated as Hedging Instruments$19.7 $35.4 
Not Designated as Hedging Instruments
Credit Default SwapsOther L-T Investments$0.1 Other Liabilities$— 
Foreign Exchange ContractsOther L-T Investments— Other Liabilities24.3 
Embedded Derivative in Modified Coinsurance ArrangementOther L-T Investments— Other Liabilities39.8 
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 September 30
20212020
Net Investment IncomeNet Realized Investment Gain (Loss)Interest and Debt ExpenseNet Investment IncomeNet 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$550.2 $(0.1)$44.7 $613.2 $4.4 $49.4 
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items63.4 0.3 7.3 72.1 — 7.3 
Derivatives Designated as Hedging Instruments14.6 0.2 0.1 18.6 — 0.4 
Foreign Exchange Contracts:
Hedged items2.9 — — 2.4 (0.1)— 
Derivatives Designated as Hedging Instruments0.3 (0.1)— 0.8 0.1 — 
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items— — — — 0.6 2.9 
Derivatives Designated as Hedging Instruments— — — — (0.6)(0.6)
Foreign Exchange Contracts
Hedged items2.5 (10.4)— 1.8 9.7 — 
Derivatives Designated as Hedging Instruments0.9 10.4 — (0.1)(9.7)— 
 Nine Months Ended September 30
20212020
Net Investment IncomeNet Realized Investment Gain (Loss)Interest and Debt ExpenseNet Investment IncomeNet 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$1,662.4 $85.4 $134.4 $1,767.2 $(105.8)$142.6 
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items170.2 2.7 21.9 218.1 0.1 21.9 
Derivatives Designated as Hedging Instruments46.6 2.0 0.3 57.5 0.4 1.7 
Foreign Exchange Contracts:
Hedged items10.1 — — 8.5 (0.1)— 
Derivatives Designated as Hedging Instruments1.2 (0.1)— 2.1 0.1 — 
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items— — — — (0.6)10.1 
Derivatives Designated as Hedging Instruments— — — — 0.6 (0.9)
Foreign Exchange Contracts
Hedged items7.2 (18.8)— 5.0 6.8 — 
Derivatives Designated as Hedging Instruments3.1 18.8 — 2.0 (6.8)— 
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 September 30Nine Months Ended September 30
 2021202020212020
 (in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Forwards$(0.2)$— $(0.2)$— 
Foreign Exchange Contracts4.6 (5.6)3.5 6.0 
Total$4.4 $(5.6)$3.3 $6.0 
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 September 30Nine Months Ended September 30
2021202020212020
(in millions of dollars)
Net Realized Investment Gain (Loss)
Credit Default Swaps$(0.1)$(0.3)$(0.3)$(0.4)
Foreign Exchange Contracts0.8 (0.3)2.6 (1.9)
Embedded Derivative in Modified Coinsurance Arrangement2.6 14.1 21.2 (30.9)
Total$3.3 $13.5 $23.5 $(33.2)
Other Expenses
Total Return Swaps$0.6 $— $(3.1)$—