Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Notes to Financial Statements [Abstract]

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 Variable/Pay Fixed		Receive Fixed/Pay Fixed		Receive Fixed/Pay Variable		Credit Default		Forwards		Total
	(in millions of dollars)
Balance at March 31, 2016	$	126.0	$	650.3	$	600.0	$	70.0	$	—	$	1,446.3
Additions	—		—		—		—		—		—
Terminations	—		5.8		—		—		—		5.8
Balance at June 30, 2016	$	126.0	$	644.5	$	600.0	$	70.0	$	—	$	1,440.5
Balance at December 31, 2015	$	150.0	$	650.3	$	600.0	$	70.0	$	—	$	1,470.3
Additions	—		—		—		—		—		—
Terminations	24.0		5.8		—		—		—		29.8
Balance at June 30, 2016	$	126.0	$	644.5	$	600.0	$	70.0	$	—	$	1,440.5
Balance at March 31, 2017	$	105.4	$	596.2	$	250.0	$	70.0	$	—	$	1,021.6
Additions	—		—		—		—		16.0		16.0
Terminations	3.4		4.5		—		—		16.0		23.9
Balance at June 30, 2017	$	102.0	$	591.7	$	250.0	$	70.0	$	—	$	1,013.7
Balance at December 31, 2016	$	105.5	$	616.5	$	250.0	$	70.0	$	10.0	$	1,052.0
Additions	—		—		—		—		16.0		16.0
Terminations	3.5		24.8		—		—		26.0		54.3
Balance at June 30, 2017	$	102.0	$	591.7	$	250.0	$	70.0	$	—	$	1,013.7

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, 2017
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Interest Rate Swaps	Other L-T Investments	$	—	Other Liabilities	$	4.3
Foreign Exchange Contracts	Other L-T Investments	27.0		Other Liabilities	16.4
Total		$	27.0		$	20.7
Not Designated as Hedging Instruments
Credit Default Swaps				Other Liabilities	$	0.5
Foreign Exchange Contracts				Other Liabilities	31.4
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	31.9
Total					$	63.8

	December 31, 2016
	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
	(in millions of dollars)
Designated as Hedging Instruments
Interest Rate Swaps and Forwards	Other L-T Investments	$	—	Other Liabilities	$	6.9
Foreign Exchange Contracts	Other L-T Investments	32.7		Other Liabilities	13.4
Total		$	32.7		$	20.3
Not Designated as Hedging Instruments
Credit Default Swaps				Other Liabilities	$	0.4
Interest Rate Swaps				Other Liabilities	0.7
Foreign Exchange Contracts				Other Liabilities	31.4
Embedded Derivative in Modified Coinsurance Arrangement				Other Liabilities	46.7
Total					$	79.2

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

The following table summarizes the location of gains and losses on the effective portion of derivative financial instruments designated as cash flow hedging instruments, as reported in our consolidated statements of income and consolidated statements of comprehensive income.

		Three Months Ended June 30						Six Months Ended June 30
		2017			2016			2017			2016
		(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Foreign Exchange Contracts		$	(4.7	)	$	(0.2	)	$	(9.2	)	$	(24.5	)
Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
Net Investment Income
	Interest Rate Swaps and Forwards	$	14.8		$	13.6		$	29.1		$	26.8
	Foreign Exchange Contracts	(0.2		)	(0.4		)	(0.5		)	(0.5		)
Net Realized Investment Gain (Loss)
	Interest Rate Swaps	—			—			—			3.2
	Foreign Exchange Contracts	(0.3		)	(0.5		)	(1.5		)	(0.5		)
Interest and Debt Expense
	Interest Rate Swaps	(0.5		)	(0.4		)	(1.0		)	(0.9		)
	Total	$	13.8		$	12.3		$	26.1		$	28.1

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
		2017			2016			2017			2016
		(in millions of dollars)
Net Realized Investment Gain (Loss)
	Credit Default Swaps	$	(0.1	)	$	(0.4	)	$	(0.4	)	$	(0.4	)
	Interest Rate Swaps	(0.1		)	—			(0.1		)	—
	Foreign Exchange Contracts	(0.2		)	(0.7		)	—			(2.0		)
	Embedded Derivative in Modified Coinsurance Arrangement	6.2			10.2			14.8			4.6
	Total	$	5.8		$	9.1		$	14.3		$	2.2