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Derivative Contracts (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Instruments

The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at December 31, 2020 and 2019:

												As at December 31, 2020												As at December 31, 2019
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						$	803.1					$	21.5		(1)			$	687.3					$	8.1		(1)
Foreign Exchange Contracts						Liabilities under Derivative Contracts						$	599.2					$	(13.6)					$	1,009.0					$	(8.9)
Interest Rate Swaps						Liabilities under Derivative Contracts						$	—					$	—		(2)			$	1,800.0					$	(78.3)

 ______________ 

(1)Net of $3.4 million of cash collateral (December 31, 2019 — $2.9 million).

(2)Initial and variation margin of $Nil has been posted (December 31, 2019 — $111.1 million).

												As at December 31, 2020												As at December 31, 2019
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						$	90.6					$	5.3					$	85.5					$	4.8

Gain/(Loss) Recognized in Income on Derivative

The following table provides the unrealized and realized gains/(losses) 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 twelve months ended December 31, 2020 and 2019:

Amount of (Loss)/Gain Recognized on Derivatives

For the Twelve Months Ended

Location of Gain/(Loss) Recognized on Derivatives

December 31, 2020

December 31, 2019

Derivatives not designated as hedges

($ in millions)

Foreign Exchange Contracts

Change in Fair Value of Derivatives

16.0

(14.0)

Interest Rate Swaps

Change in Fair Value of Derivatives

(81.1)

(130.2)

Derivatives designated as hedges

Foreign Exchange Contracts

General, administrative and corporate expenses

(3.2)

0.9

Foreign Exchange Contracts

Net change from current period hedged transactions

0.3

4.8

X

- References

No definition available.

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- Definition

Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624181-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5618551-113959

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959

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