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Derivative Contracts (Tables)

6 Months Ended

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)

X

- References

No definition available.

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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

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- Definition

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 https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

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