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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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.


	September 30, 2020		December 31, 2019
	(in millions of dollars)
Carrying Value of Collateral Received from Counterparties
Cash	$	34.3	$	24.0
Carrying Value of Collateral Posted to Counterparties
Fixed Maturity Securities	$	30.4	$	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 June 30, 2019		$	558.8	$	250.0	$	10.9	$	—	$	819.7
Additions		22.0		—		—		358.9		380.9
Terminations		13.5		—		—		256.0		269.5
Foreign Currency		—		—		(0.3)		—		(0.3)
Balance at September 30, 2019		$	567.3	$	250.0	$	10.6	$	102.9	$	930.8

Balance at December 31, 2018		$	538.2	$	250.0	$	11.0	$	—	$	799.2
Additions		121.6		—		—		382.4		504.0
Terminations		92.5		—		—		279.1		371.6
Foreign Currency		—		—		(0.4)		(0.4)		(0.8)
Balance at September 30, 2019		$	567.3	$	250.0	$	10.6	$	102.9	$	930.8

Balance at June 30, 2020		$	663.1	$	250.0	$	10.7	$	7.6	$	931.4
Additions		40.4		—		—		2.7		43.1
Terminations		3.3		250.0		—		—		253.3
Foreign Currency		—		—		0.4		—		0.4
Balance at September 30, 2020		$	700.2	$	—	$	11.1	$	10.3	$	721.6

Balance at December 31, 2019		$	611.1	$	250.0	$	11.4	$	8.9	$	881.4
Additions		92.4		—		—		2.7		95.1
Terminations		3.3		250.0		—		1.3		254.6
Foreign Currency		—		—		(0.3)		—		(0.3)
Balance at September 30, 2020		$	700.2	$	—	$	11.1	$	10.3	$	721.6

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 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)
	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
	(in millions of dollars)
Fixed maturity securities:

Receive fixed functional currency interest, pay fixed foreign currency interest	$	290.6	$	239.4	$	7.9	$	1.1

Long-term Debt	$	—	$	(249.2)	$	—	$	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.


	September 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	$	23.6	Other Liabilities	$	5.3


Fair Value Hedges

Foreign Exchange Contracts	Other L-T Investments	14.4		Other Liabilities	4.6


Total Designated as Hedging Instruments		$	38.0		$	9.9

Not Designated as Hedging Instruments
Credit Default Swaps	Other L-T Investments	$	0.2	Other Liabilities	$	—

Forwards	Other L-T Investments	0.1		Other Liabilities	—
Foreign Exchange Contracts	Other L-T Investments	—		Other Liabilities	24.1
Embedded Derivative in Modified Coinsurance Arrangement	Other L-T Investments	—		Other Liabilities	53.7
Total Not Designated as Hedging Instruments		$	0.3		$	77.8


	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 September 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	$	613.2	$	4.4	$	49.4	$	599.4	$	(26.2)	$	46.1

Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	72.1		—		7.3		74.5		1.7		7.7
Derivatives Designated as Hedging Instruments	18.6		—		0.4		18.8		5.3		0.6
Foreign Exchange Contracts:
Hedged items	2.4		(0.1)		—		3.3		(0.8)		—
Derivatives Designated as Hedging Instruments	0.8		0.1		—		(0.3)		0.7		—

Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		0.6		2.9		—		(0.6)		3.5
Derivatives Designated as Hedging Instruments	—		(0.6)		(0.6)		—		0.6		0.6
Foreign Exchange Contracts
Hedged items	1.8		9.7		—		0.6		(4.8)		—
Derivatives Designated as Hedging Instruments	(0.1)		(9.7)		—		0.5		4.8		—


	Nine Months Ended September 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	$	1,767.2	$	(105.8)	$	142.6	$	1,819.0	$	(32.4)	$	130.8

Gain (Loss) on Cash Flow Hedging Relationships
Interest Rate Swaps:
Hedged items	218.1		0.1		21.9		222.0		(1.2)		23.1
Derivatives Designated as Hedging Instruments	57.5		0.4		1.7		54.4		9.3		1.8
Foreign Exchange Contracts:
Hedged items	8.5		(0.1)		—		11.6		1.1		—
Derivatives Designated as Hedging Instruments	2.1		0.1		—		(0.9)		(1.0)		—

Gain (Loss) on Fair Value Hedging Relationships
Interest Rate Swaps:
Hedged items	—		(0.6)		10.1		—		(4.2)		10.7
Derivatives Designated as Hedging Instruments	—		0.6		(0.9)		—		4.2		2.1
Foreign Exchange Contracts
Hedged items	5.0		6.8		—		1.5		(4.0)		—
Derivatives Designated as Hedging Instruments	2.0		(6.8)		—		1.2		4.0		—

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 September 30												Nine Months Ended September 30
		2020				2019				2020				2019
		(in millions of dollars)
Gain (Loss) Recognized in Other Comprehensive Income (Loss) on Derivatives
Interest Rate Swaps and Forwards				$	—			$	(0.1)			$	—			$	(0.2)

Foreign Exchange Contracts				(5.6)				6.7				6.0				(4.0)
	Total	$	(5.6)			$	6.6			$	6.0			$	(4.2)

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.


		Three Months Ended September 30						Nine Months Ended September 30
		2020		2019		2020		2019
		(in millions of dollars)
Net Realized Investment Gain (Loss)
	Credit Default Swaps	$	(0.3)	$	0.2	$	(0.4)	$	(0.4)

	Foreign Exchange Contracts	(0.3)		(0.2)		(1.9)		(0.3)
	Embedded Derivative in Modified Coinsurance Arrangement	14.1		(11.1)		(30.9)		(6.4)
	Total	$	13.5	$	(11.1)	$	(33.2)	$	(7.1)

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details