XML 102 R86.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Financial Instruments - Credit Derivatives Sold (Details) - USD ($)
$ in Millions
12 Months Ended
Dec. 31, 2017
Dec. 31, 2016
Credit default swaps    
Credit derivatives sold disclosures    
Notional amount $ 525.0 $ 784.8
Fair value 4.2 2.1
Maximum future payments $ 525.0 $ 784.8
Weighted average expected life 1 year 3 months 18 days 1 year 8 months 12 days
Single name credit default swaps    
Credit derivatives sold disclosures    
Notional amount $ 525.0 $ 669.0
Fair value 4.2 4.1
Maximum future payments $ 525.0 $ 669.0
Weighted average expected life 1 year 3 months 18 days 1 year 10 months 24 days
Single name credit default swaps | Corporate debt securities | AAA    
Credit derivatives sold disclosures    
Notional amount $ 30.0 $ 30.0
Fair value 0.3 0.6
Maximum future payments $ 30.0 $ 30.0
Weighted average expected life 1 year 2 months 12 days 2 years 2 months 12 days
Single name credit default swaps | Corporate debt securities | AA    
Credit derivatives sold disclosures    
Notional amount $ 30.0 $ 94.0
Fair value 0.1 0.8
Maximum future payments $ 30.0 $ 94.0
Weighted average expected life 6 months 1 year 2 months 12 days
Single name credit default swaps | Corporate debt securities | A    
Credit derivatives sold disclosures    
Notional amount $ 105.0 $ 145.0
Fair value 0.5 1.2
Maximum future payments $ 105.0 $ 145.0
Weighted average expected life 7 months 6 days 1 year 3 months 18 days
Single name credit default swaps | Corporate debt securities | BBB    
Credit derivatives sold disclosures    
Notional amount $ 255.0 $ 290.0
Fair value 2.5 2.3
Maximum future payments $ 255.0 $ 290.0
Weighted average expected life 1 year 3 months 18 days 2 years 1 month 6 days
Single name credit default swaps | Corporate debt securities | B    
Credit derivatives sold disclosures    
Notional amount $ 20.0 $ 20.0
Fair value (0.5) (1.8)
Maximum future payments $ 20.0 $ 20.0
Weighted average expected life 1 year 9 months 18 days 2 years 9 months 18 days
Single name credit default swaps | Corporate debt securities | Near default    
Credit derivatives sold disclosures    
Notional amount   $ 10.0
Fair value   0.2
Maximum future payments   $ 10.0
Weighted average expected life   3 years
Single name credit default swaps | Government/municipalities | AA    
Credit derivatives sold disclosures    
Notional amount $ 20.0 $ 30.0
Fair value 0.3 0.4
Maximum future payments $ 20.0 $ 30.0
Weighted average expected life 2 years 2 years 3 months 18 days
Single name credit default swaps | Sovereign | AA    
Credit derivatives sold disclosures    
Notional amount   $ 10.0
Fair value   0.1
Maximum future payments   $ 10.0
Weighted average expected life   2 years 8 months 12 days
Single name credit default swaps | Sovereign | A    
Credit derivatives sold disclosures    
Notional amount $ 10.0  
Fair value 0.2  
Maximum future payments $ 10.0  
Weighted average expected life 1 year 8 months 12 days  
Single name credit default swaps | Sovereign | BBB    
Credit derivatives sold disclosures    
Notional amount $ 55.0 $ 40.0
Fair value 0.8 0.3
Maximum future payments $ 55.0 $ 40.0
Weighted average expected life 2 years 3 months 18 days 2 years 8 months 12 days
Basket and index credit default swaps    
Credit derivatives sold disclosures    
Notional amount   $ 115.8
Fair value   (2.0)
Maximum future payments   $ 115.8
Weighted average expected life   4 months 24 days
Basket and index credit default swaps | Corporate debt securities | Near default    
Credit derivatives sold disclosures    
Notional amount   $ 82.3
Fair value   (1.6)
Maximum future payments   $ 82.3
Weighted average expected life   2 months 12 days
Notional amount of derivative whose credit risk is borne by third party investors   $ 60.0
Basket and index credit default swaps | Government/municipalities | AA    
Credit derivatives sold disclosures    
Notional amount   30.0
Fair value   (0.4)
Maximum future payments   $ 30.0
Weighted average expected life   8 months 12 days
Basket and index credit default swaps | Structured finance | AA    
Credit derivatives sold disclosures    
Notional amount   $ 3.5
Maximum future payments   $ 3.5
Weighted average expected life   9 months 18 days