Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 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.

	December 31
	2021		2020
	(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash	$	32.0	$	8.7
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities	$	27.6	$	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 December 31, 2018	$	538.2	$	250.0	$	11.0	$	—	$	—	$	799.2
Additions	171.3		—		—		—		382.4		553.7
Terminations	98.4		—		—		—		373.1		471.5
Foreign Currency	—		—		0.4		—		(0.4)		—
Balance at December 31, 2019	611.1		250.0		11.4		—		8.9		881.4
Additions	113.6		—		—		—		6.4		120.0
Terminations	3.9		250.0		—		—		3.4		257.3
Foreign Currency	—		—		0.3		—		—		0.3
Balance at December 31, 2020	720.8		—		11.7		—		11.9		744.4
Additions	136.5		—		—		1,063.5		340.5		1,540.5
Terminations	29.3		—		—		974.3		310.7		1,314.3
Foreign Currency	—		—		(0.1)		—		—		(0.1)
Balance at December 31, 2021	$	828.0	$	—	$	11.6	$	89.2	$	41.7	$	970.5

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				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020
	(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest	$	466.3	$	404.5	$	2.0	$	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. Certain prior year amounts were reclassified to conform to current year presentation.

	December 31, 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	$	16.2	Other Liabilities	$	7.0
Fair Value Hedges
Foreign Exchange Contracts	Other L-T Investments	21.9		Other Liabilities	5.7
Total Designated as Hedging Instruments		$	38.1		$	12.7
Not Designated as Hedging Instruments
Foreign Exchange Contracts	Other L-T Investments	$	1.4	Other Liabilities	$	22.3
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	30.1
Total Not Designated as Hedging Instruments		$	1.4		$	52.4

	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	$	—
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	24.3
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.

	Year Ended December 31, 2021
	Net Investment Income		Net 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	$	2,213.2	$	76.7	$	185.0
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	220.4		2.7		29.2
Derivatives Designated as Hedging Instruments	64.6		2.0		5.0
Foreign Exchange Contracts:
Hedged items	13.0		(0.1)		—
Derivatives Designated as Hedging Instruments	1.8		(0.1)		—
Gain (Loss) on Fair Value Hedging Relationships
Foreign Exchange Contracts
Hedged items	9.8		(22.3)		—
Derivatives Designated as Hedging Instruments	4.6		22.3		—

	Year Ended December 31, 2020
	Net Investment Income		Net 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	$	2,360.7	$	1,199.1	$	188.2
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	286.1		397.7		29.2
Derivatives Designated as Hedging Instruments	75.9		32.0		1.7
Foreign Exchange Contracts:
Hedged items	12.1		(0.1)		—
Derivatives Designated as Hedging Instruments	2.5		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 items	7.1		23.3		—
Derivatives Designated as Hedging Instruments	2.8		(23.3)		—

	Year Ended December 31, 2019
	Net Investment Income		Net 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	$	2,435.3	$	(23.2)	$	177.4
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	294.6		(1.6)		30.4
Derivatives Designated as Hedging Instruments	74.3		9.3		2.4
Foreign Exchange Contracts:
Hedged items	14.8		1.4		—
Derivatives Designated as Hedging Instruments	(2.0)		(1.4)		—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		(4.5)		14.3
Derivatives Designated as Hedging Instruments	—		4.5		2.5
Foreign Exchange Contracts
Hedged items	2.9		3.8		—
Derivatives Designated as Hedging Instruments	1.9		(3.8)		—

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).

		Year Ended December 31
		2021		2020		2019
		(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Interest Rate Swaps and Forwards		$	(0.6)	$	—	$	(0.1)
Foreign Exchange Contracts		2.2		(5.4)		(6.1)
	Total	$	1.6	$	(5.4)	$	(6.2)

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.

		Year Ended December 31
		2021		2020		2019
		(in millions of dollars)
Net Investment Gain (Loss)
	Credit Default Swaps	$	(0.3)	$	(0.5)	$	(0.1)
	Foreign Exchange Contracts	3.4		(2.0)		—
	Embedded Derivative in Modified Coinsurance Arrangement	9.7		(17.0)		8.3
	Total	$	12.8	$	(19.5)	$	8.2
Other Expenses
	Total Return Swaps	$	(8.5)	$	—	$	—