XML 54 R35.htm IDEA: XBRL DOCUMENT v3.22.4
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2022
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
20222021
(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash$49.4 $32.0 
Carrying Value of Collateral Posted to Counterparties
Cash$5.1 $— 
Fixed Maturity Securities39.6 27.6 
$44.7 $27.6 
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
December 31, 2022December 31, 2021December 31, 2022December 31, 2021
(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest$394.4 $466.3 $(24.8)$2.0 
Location and Fair Values of Derivative Financial Instruments
The following tables summarize the notional amounts and fair values of derivative financial instruments, as reported in our consolidated balance sheets. Derivative assets are included in other long-term investments, while derivative liabilities are included in other liabilities within our consolidated balance sheets. The notional amounts represent the basis upon which our counterparty pay and receive amounts are calculated.

 December 31, 2022
 Derivative AssetsDerivative Liabilities
 Notional
Amount		Fair
Value		Fair
Value
(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Forward Benchmark Interest Rate Locks$764.0 $1.6 $48.4 
Foreign Currency Interest Rate Swaps168.9 17.5 3.1 
Total Cash Flow Hedges932.9 19.1 51.5 
Fair Value Hedges
Foreign Currency Interest Rate Swaps557.8 66.0 5.4 
Total Designated as Hedging Instruments$1,490.7 $85.1 $56.9 
Not Designated as Hedging Instruments
Foreign Currency Forwards$54.3 $4.0 $0.1 
Foreign Currency Interest Rate Swaps132.0 — 17.0 
Total Return Swaps76.9 — — 
Embedded Derivative in Modified Coinsurance Arrangement— — 13.9 
Total Not Designated as Hedging Instruments$263.2 $4.0 $31.0 
Total Derivatives$1,753.9 $89.1 $87.9 
 December 31, 2021
 Derivative AssetsDerivative Liabilities
 Notional
Amount		Fair
Value		Fair
Value
(in millions of dollars)
Designated as Hedging Instruments
Cash Flow Hedges
Foreign Currency Interest Rate Swaps$181.3 $16.2 $7.0 
Fair Value Hedges
Foreign Currency Interest Rate Swaps498.5 21.9 5.7 
Total Designated as Hedging Instruments$679.8 $38.1 $12.7 
Not Designated as Hedging Instruments
Credit Default Swaps$11.6 $— $— 
Foreign Currency Forwards41.7 — — 
Foreign Currency Interest Rate Swaps148.2 1.4 22.3 
Total Return Swaps89.2 — — 
Embedded Derivative in Modified Coinsurance Arrangement— — 30.1 
Total Not Designated as Hedging Instruments$290.7 $1.4 $52.4 
Total Derivatives$970.5 $39.5 $65.1 
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, 2022
Net Investment IncomeNet 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$2,122.2 $(15.7)$188.5 
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items200.0 — 2.9 
Derivatives Designated as Hedging Instruments51.0 — — 
Foreign Exchange Contracts:
Hedged items12.3 (2.3)— 
Derivatives Designated as Hedging Instruments(0.8)1.8 — 
Forward Benchmark Interest Rate Locks:
Hedged items0.5 — — 
Gain (Loss) on Fair Value Hedging Relationships
Foreign Exchange Contracts:
Hedged items11.6 (26.8)— 
Derivatives Designated as Hedging Instruments7.3 26.8 — 

 Year Ended December 31, 2021
Net Investment IncomeNet 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 items220.4 2.7 29.2 
Derivatives Designated as Hedging Instruments64.6 2.0 5.0 
Foreign Exchange Contracts:
Hedged items13.0 (0.1)— 
Derivatives Designated as Hedging Instruments1.8 (0.1)— 
Gain (Loss) on Fair Value Hedging Relationships
Foreign Exchange Contracts:
Hedged items9.8 (22.3)— 
Derivatives Designated as Hedging Instruments4.6 22.3 — 
 Year Ended December 31, 2020
Net Investment IncomeNet 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 $188.2 
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items286.1 397.7 29.2 
Derivatives Designated as Hedging Instruments75.9 32.0 1.7 
Foreign Exchange Contracts:
Hedged items12.1 (0.1)— 
Derivatives Designated as Hedging Instruments2.5 0.1 — 
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items— (0.6)10.1 
Derivatives Designated as Hedging Instruments— 0.6 (0.9)
Foreign Exchange Contracts:
Hedged items7.1 23.3 — 
Derivatives Designated as Hedging Instruments2.8 (23.3)— 
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table summarizes the location of gains and losses of derivative financial instruments designated as cash flow hedging instruments, as reported in our consolidated statements of comprehensive income (loss).
Year Ended December 31
 202220212020
 (in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Forwards$(49.8)$(0.6)$— 
Foreign Exchange Contracts7.4 2.2 (5.4)
Total$(42.4)$1.6 $(5.4)
Gains and Losses on Derivatives Not Designated as Hedging Instruments
The following table summarizes the location of gains and losses on our derivatives not designated as hedging instruments, as reported in our consolidated statements of income.
 Year Ended December 31
 202220212020
 (in millions of dollars)
Net Investment Gain (Loss)
Credit Default Swaps$— $(0.3)$(0.5)
Foreign Exchange Contracts2.7 3.4 (2.0)
Embedded Derivative in Modified Coinsurance Arrangement16.2 9.7 (17.0)
Total$18.9 $12.8 $(19.5)
Other Expenses
(Gain) Loss on Total Return Swaps$18.9 $(8.5)$—