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Derivative Contracts
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Contracts
Derivative Contracts
The following tables summarize information on the location and amounts of derivative fair values on the consolidated balance sheet as at March 31, 2017 and December 31, 2016:
 
 
 
 
As at March 31, 2017
 
As at December 31, 2016
 
Derivatives Not Designated as Hedging Instruments
Under ASC 815
 
Balance Sheet Location
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
 
 
 
 
($ in millions)
 
($ in millions)
 
Foreign Exchange Contracts
 
Derivatives at Fair Value
 
$
357.0

 
$
4.5

  
$
240.2

 
$
5.0

  
Foreign Exchange Contracts
 
Liabilities under Derivative Contracts
 
$
400.5

 
$
(4.3
)
 
$
425.4

 
$
(17.7
)
 
 
 
 
 
 
As at March 31, 2017
 
As at December 31, 2016
 
Derivatives Designated as Hedging Instruments Under ASC 815
 
Balance Sheet Location
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
 
 
 
 
($ in millions)
 
($ in millions)
 
Foreign Exchange Contracts
 
Liabilities under Derivative Contracts
 
$
—

 
$
—

  
$
108.6

 
$
(0.7
)
 
Foreign Exchange Contracts
 
Derivatives at Fair Value
 
$
81.9

 
$
0.7

(1)  
$
—

 
$
2.2

 


(1) 
Net of $Nil cash collateral (December 31, 2016 — $2.2 million).
The following tables provide the unrealized and realized gains/(losses) recorded in the statement of operations for the three months ended March 31, 2017 and 2016:
 
 
 
 
Amount of Income/(Loss)
Recognized in the Statement
of Operations and Other Comprehensive Income for the
 
 
 
 
Three Months Ended
Derivatives Not Designated as Hedging Instruments Under
ASC 815
 
Location of Income/(Loss) Recognized in the
Statement of Operations and Other Comprehensive Income
 
March 31, 2017
 
March 31, 2016
 
 
 
 
($ in millions)
Foreign Exchange Contracts
 
Change in Fair Value of Derivatives
 
$
3.1

 
$
(4.4
)
Interest Rate Swaps
 
Change in Fair Value of Derivatives
 
$
—

 
$
(2.8
)


 
 
 
 
Amount of Income/(Loss)
Recognized in the Statement
of Operations and Other Comprehensive Income for the
 
 
 
 
Three Months Ended
Derivatives Designated as Hedging Instruments Under
ASC 815
 
Location of Income/(Loss) Recognized in the
Statement of Operations and Other Comprehensive Income
 
March 31, 2017
 
March 31, 2016
 
 
 
 
($ in millions)
Foreign Exchange Contracts
 
General, administrative and corporate expenses
 
$
0.3

 
$
(1.1
)
Foreign Exchange Contracts
 
Net change from current period hedged transactions
 
$
1.3

 
$
(2.1
)

Foreign Exchange Contracts. The Company uses foreign exchange contracts to manage foreign currency risk. A foreign exchange contract involves an obligation to purchase or sell a specified currency at a future date at a price set at the time of the contract. Foreign exchange contracts will not eliminate fluctuations in the value of the Company’s assets and liabilities denominated in foreign currencies but rather allow it to establish a rate of exchange for a future point in time.
As at March 31, 2017, the Company held foreign exchange contracts that were not designated as hedging under ASC 815 with an aggregate notional value of $757.5 million (December 31, 2016 — $665.6 million). The foreign exchange contracts are recorded as derivatives at fair value with changes recorded as a change in fair value of derivatives in the statement of operations. For the three months ended March 31, 2017, the impact of foreign exchange contracts on net income was a gain of $3.1 million (March 31, 2016 — loss of $4.4 million).
As at March 31, 2017, the Company held foreign exchange contracts that were designated as hedging under ASC 815 with an aggregate nominal amount of $81.9 million (December 31, 2016 — $108.6 million). The foreign exchange contracts are recorded as derivatives at fair value in the balance sheet with the effective portion recorded in other comprehensive income and the ineffective portion recorded as a change in fair value of derivatives in the statement of operations. The contracts are considered to be effective and therefore the movement in other comprehensive income representing the effective portion for the three months ended March 31, 2017 was a net unrealized gain of $1.3 million (March 31, 2016 — loss of $2.1 million).
As the foreign exchange contracts settle, the realized gain or loss is reclassified from other comprehensive income into general, administration and corporate expenses of the statement of operations and other comprehensive income. For the three months ended March 31, 2017, the amount recognized within general, administrative and corporate expenses for settled foreign exchange contracts was a realized gain of $0.3 million (March 31, 2016 — loss of $1.1 million).
Interest Rate Swaps. In 2014, the Company decided to let its interest rate program roll-off and not renew maturing positions. This decision was made after an extensive reassessment of the costs of maintaining an interest rate swap program in a steep yield curve environment. In addition, the continued uncertainty in the global economy and low inflation make it difficult to gauge the timing and speed of interest rate rises by the Federal Reserve. On May 9, 2016, the Company terminated all remaining outstanding interest rate swaps (notional value of $256.3 million) under its International Swap Dealers Association agreement.
As at March 31, 2017, the Company no longer had outstanding interest rate swaps for a total notional amount of $Nil(December 31, 2016 — $Nil). For the three months ended March 31, 2017, there was no charge in respect of the interest rate swaps (March 31, 2016 — loss of $2.8 million).