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Derivative Contracts (Tables) | 6 Months Ended
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Jun. 30, 2023
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, 2022 and 2021:
|  |  |  | As at December 31, 2022 |  | As at December 31, 2021 |
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 (1) |  | Derivatives at Fair Value |  | $ | 945.8 |  |  | $ | 41.9 |  |  | $ | 759.8 |  |  | $ | 12.9 |  |
Foreign Exchange Contracts |  | Liabilities under Derivative Contracts |  | $ | 729.5 |  |  | $ | (3.2) |  |  | $ | 785.9 |  |  | $ | (12.4) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Liabilities under Derivative Contracts |  | — |  |  | $ | (31.7) |  |  | — |  |  | — |  |
________________ (1)Fair value is net of $3.7 million of cash collateral (December 31, 2021 — $2.1 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate. Refer to Note 7 for further information.
|  |  |  | As at December 31, 2022 |  | As at December 31, 2021
Derivatives Designated as Hedging Instruments Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivatives at Fair Value |  | $ | 109.7 |  |  | $ | 14.3 |  |  | $ | — |  |  | $ | — |
Foreign Exchange Contracts |  | Liabilities under Derivative Contracts |  | $ | — |  |  | $ | — |  |  | $ | 143.1 |  |  | $ | (0.9) |
The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at June 30, 2023 and December 31, 2022:
|  |  |  | As at June 30, 2023 |  | As at December 31, 2022 |
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 (1) |  | Derivative assets |  | $ | 670.6 |  |  | $ | 7.2 |  |  | $ | 945.8 |  |  | $ | 41.9 |  |
Foreign Exchange Contracts |  | Derivative liabilities |  | $ | 1,213.4 |  |  | $ | (13.4) |  |  | $ | 729.5 |  |  | $ | (3.2) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Derivative liabilities |  | — |  |  | $ | (23.4) |  |  | — |  |  | (31.7) |  |
________________ (1)Fair value is net of $2.7 million of cash collateral (December 31, 2022 — $3.7 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
|  |  |  | As at June 30, 2023 |  | As at December 31, 2022
Derivatives Designated as Hedging Instruments Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivative assets |  | $ | 54.7 |  |  | $ | 10.0 |  |  | $ | 109.7 |  |  | $ | 14.3 |
Gain/(Loss) Recognized in Income on Derivative | The following table provides the unrealized and realized gains/(losses) recorded in the consolidated 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, 2022 and 2021:
|  |  |  | Amount of (Loss)/Gain Recognized on Derivatives
|  |  |  | For the Twelve Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | December 31, 2022 |  | December 31, 2021
Derivatives not designated as hedges |  |  |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | (80.5) |  |  | (35.9) |
Derivatives designated as hedges |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | 5.9 |  |  | (5.7) |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | 15.4 |  |  | (6.2) |
The following table provides the unrealized and realized gains/(losses) recorded in the consolidated 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 six months ended June 30, 2023 and 2022:
|  |  |  | For the Six Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | June 30, 2023 |  | June 30, 2022
Derivatives not designated as hedges |  |  |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | 19.6 |  |  | (84.9) |
Derivatives designated as hedges |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | (3.7) |  |  | 2.8 |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | (4.3) |  |  | (6.4) |

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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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 + Details
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