Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

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.

	June 30, 2020		December 31, 2019
	(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash	$	48.9	$	24.0
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities	$	18.5	$	28.6

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		Forwards		Total
	(in millions of dollars)
Balance at March 31, 2019		$	533.9	$	250.0	$	11.2	$	13.0	$	808.1
Additions		57.0		—		—		10.5		67.5
Terminations		32.1		—		—		23.1		55.2
Foreign Currency		—		—		(0.3)		(0.4)		(0.7)
Balance at June 30, 2019		$	558.8	$	250.0	$	10.9	$	—	$	819.7
Balance at December 31, 2018		$	538.2	$	250.0	$	11.0	$	—	$	799.2
Additions		99.6		—		—		23.5		123.1
Terminations		79.0		—		—		23.1		102.1
Foreign Currency		—		—		(0.1)		(0.4)		(0.5)
Balance at June 30, 2019		$	558.8	$	250.0	$	10.9	$	—	$	819.7
Balance at March 31, 2020		$	663.1	$	250.0	$	10.7	$	7.6	$	931.4
Additions		—		—		—		—		—
Terminations		—		—		—		—		—
Foreign Currency		—		—		—		—		—
Balance at June 30, 2020		$	663.1	$	250.0	$	10.7	$	7.6	$	931.4
Balance at December 31, 2019		$	611.1	$	250.0	$	11.4	$	8.9	$	881.4
Additions		52.0		—		—		—		52.0
Terminations		—		—		—		1.3		1.3
Foreign Currency		—		—		(0.7)		—		(0.7)
Balance at June 30, 2020		$	663.1	$	250.0	$	10.7	$	7.6	$	931.4

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 (Liabilities)				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets (Liabilities)
	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
	(in millions of dollars)
Fixed maturity securities:
Receive fixed functional currency interest, pay fixed foreign currency interest	$	236.1	$	239.4	$	(1.8)	$	1.1
Long-term Debt	$	(250.5)	$	(249.2)	$	(0.6)	$	0.6

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, 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	$	29.0	Other Liabilities	$	4.5
Fair Value Hedges
Interest Rate Swaps	Other L-T Investments	0.6		Other Liabilities	—
Foreign Exchange Contracts	Other L-T Investments	32.4		Other Liabilities	2.7
Total Fair Value Hedges		33.0			2.7
Total Designated as Hedging Instruments		$	62.0		$	7.2
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.5	Other Liabilities	$	—
Forwards	Other L-T Investments	0.3		Other Liabilities	—
Foreign Exchange Contracts	Other L-T Investments	0.3		Other Liabilities	24.7
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	67.8
Total Not Designated as Hedging Instruments		$	1.1		$	92.5

	December 31, 2019
	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	$	19.4	Other Liabilities	$	6.6
Fair Value Hedges
Interest Rate Swaps	Other L-T Investments	—		Other Liabilities	0.6
Foreign Exchange Contracts	Other L-T Investments	7.6		Other Liabilities	5.0
Total Fair Value Hedges		7.6			5.6
Total Designated as Hedging Instruments		$	27.0		$	12.2
Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.5	Other Liabilities	$	—
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	22.4
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	22.8
Total Not Designated as Hedging Instruments		$	0.5		$	45.2

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 June 30
	2020						2019
	Net Investment Income		Net Realized Investment Gain (Loss)		Interest and Debt Expense		Net Investment Income		Net 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	$	569.0	$	33.8	$	47.5	$	624.9	$	(7.3)	$	42.6
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	73.0		0.1		7.3		75.1		0.6		7.7
Derivatives Designated as Hedging Instruments	19.7		0.4		0.7		17.9		—		0.6
Foreign Exchange Contracts:
Hedged items	3.2		—		—		3.7		1.1		—
Derivatives Designated as Hedging Instruments	0.4		—		—		(0.4)		(1.0)		—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		0.3		3.6		—		(2.1)		3.6
Derivatives Designated as Hedging Instruments	—		(0.3)		(0.4)		—		2.1		0.7
Foreign Exchange Contracts
Hedged items	1.8		10.3		—		0.5		1.1		—
Derivatives Designated as Hedging Instruments	1.3		(10.3)		—		0.4		(1.1)		—

	Six Months Ended June 30
	2020						2019
	Net Investment Income		Net Realized Investment Gain (Loss)		Interest and Debt Expense		Net Investment Income		Net 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	$	1,154.0	$	(110.2)	$	93.2	$	1,219.6	$	(6.2)	$	84.7
Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	146.0		0.1		14.6		147.5		(2.9)		15.4
Derivatives Designated as Hedging Instruments	38.9		0.4		1.3		35.6		4.0		1.2
Foreign Exchange Contracts:
Hedged items	6.1		—		—		8.3		1.9		—
Derivatives Designated as Hedging Instruments	1.3		—		—		(0.6)		(1.7)		—
Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		(1.2)		7.2		—		(3.6)		7.2
Derivatives Designated as Hedging Instruments	—		1.2		(0.3)		—		3.6		1.5
Foreign Exchange Contracts
Hedged items	3.2		(2.9)		—		0.9		0.8		—
Derivatives Designated as Hedging Instruments	2.1		2.9		—		0.7		(0.8)		—

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 June 30				Six Months Ended June 30
		2020		2019		2020		2019
		(in millions of dollars)				(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Interest Rate Swaps and Forwards		$	—	$	(0.1)	$	—	$	(0.1)
Foreign Exchange Contracts		(7.9)		1.6		11.6		(10.7)
	Total	$	(7.9)	$	1.5	$	11.6	$	(10.8)

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
		2020		2019		2020		2019
		(in millions of dollars)				(in millions of dollars)
Net Realized Investment Gain (Loss)
	Credit Default Swaps	$	(0.9)	$	(0.1)	$	(0.1)	$	(0.6)
	Foreign Exchange Contracts	(0.1)		(0.8)		(1.6)		(0.1)
	Embedded Derivative in Modified Coinsurance Arrangement	41.9		(0.8)		(45.0)		4.7
	Total	$	40.9	$	(1.7)	$	(46.7)	$	4.0