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, 2019 and December 31, 2018:



		As at March 31, 2019						As at December 31, 2018
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	$	667.6	$	8.9			$	496.5	$	14.6
Foreign Exchange Contracts	Liabilities under Derivative Contracts	$	606.5	$	(7.2	)	⁽¹⁾	$	760.8	$	(13.9	)
Interest Rate Swaps	Liabilities under Derivative Contracts	$	3,318.0	$	(49.5	)	⁽²⁾	$	—	$	—


⁽¹⁾	Net of $2.3 million cash collateral (December 31, 2018 — $2.3 million).


⁽²⁾	Initial and variation margin of $109.1 million has been posted (December 31, 2018 — $Nil).



		As at March 31, 2019				As at December 31, 2018
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	Derivatives at Fair Value	$	70.8	$	1.9	$	—	$	—
Foreign Exchange Contracts	Liabilities under Derivative Contracts	$	—	$	—	$	94.3	$	(1.2	)

The following table provides the unrealized and realized gains recorded in the statements of operations and other comprehensive income for derivatives that are not designated or designated as hedging instruments under ASC 815 - “Derivatives and Hedging” for the three months ended March 31, 2019 and 2018.



		Amount of Gain Recognized on Derivatives
		Three Months Ended
	Location of Gain Recognized on Derivatives	March 31, 2019		March 31, 2018
Derivatives not designated as hedges		($ in millions)
Foreign Exchange Contracts	Change in Fair Value of Derivatives	(3.1	)	23.5
Interest Rate Swaps	Change in Fair Value of Derivatives	(50.2	)	—

Derivatives designated as hedges
Foreign Exchange Contracts	General, administrative and corporate expenses	0.4		1.7
Foreign Exchange Contracts	Net change from current period hedged transactions	1.7		0.9

Foreign Exchange Contracts. The Company uses foreign exchange contracts to manage foreign currency risk associated with our operating expenses but also foreign exchange risk associated with net assets or liabilities in currencies other than the U.S. dollar. 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, 2019, the Company held foreign exchange contracts that were not designated as hedging under ASC 815 with an aggregate notional value of $1,274.1 million (December 31, 2018 — $1,257.3 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, 2019, the impact of foreign exchange contracts on net income was a loss of $3.1 million (March 31, 2018 — gain of $23.5 million).

As at March 31, 2019, the Company held foreign exchange contracts that were designated as hedging under ASC 815 with an aggregate nominal amount of $70.8 million (December 31, 2018 — $94.3 million). The foreign exchange contracts are recorded as derivatives at fair value in the balance sheet with the change in fair value recorded in other comprehensive income. The movement in other comprehensive income for the three months ended March 31, 2019 was a net unrealized gain of $1.7 million (March 31, 2018 — gain of $0.9 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, 2019, the amount recognized within general, administrative and corporate expenses for settled foreign exchange contracts was a realized gain of $0.4 million (March 31, 2018 — gain of $1.7 million).

Interest Rate Swaps. During the three months ended March 31, 2019, the Company entered into fixed for floating interest rate swaps with a total notional amount of $3,318.0 million due to mature between January 18, 2021 and January 18, 2034. The interest rate swaps are used in the ordinary course of the Company’s investments activities to partially mitigate the negative impact of rises in interest rates on the market value of the Company’s fixed income portfolio. For the three months ended March 31, 2019, there was a loss of $50.2 million (March 31, 2018 — gain of $Nil).

As at March 31, 2019, initial and variation margin with a fair value of $109.1 million was posted to a Futures Commission Merchant to support the current valuation of the interest rate swaps (December 31, 2018 — $Nil). As at March 31, 2019, no non-cash collateral was transferred to the Company by its counterparties (December 31, 2018 — $Nil). Transfers of margin are recorded on the consolidated balance sheet within Derivatives at Fair Value, while transfers in respect of non-cash collateral are disclosed but not recorded. As at March 31, 2019, no amount was recorded in the consolidated balance sheet for the pledged assets.