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Derivative Contracts (Tables) | 9 Months Ended
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Sep. 30, 2024
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, 2023 and 2022:
|  |  |  | As at December 31, 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 |  | $ | 1,262.1 |  |  | $ | 31.4 |  |  | $ | 945.8 |  |  | $ | 41.9 |  |
Foreign Exchange Contracts |  | Derivative liabilities |  | $ | 540.8 |  |  | $ | (9.3) |  |  | $ | 729.5 |  |  | $ | (3.2) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Derivative liabilities |  | — |  |  | $ | (16.5) |  |  | — |  |  | (31.7) |  |
________________ (1)Fair value is net of $3.4 million of cash collateral (December 31, 2022 — $3.7 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
|  |  |  | As at December 31, 2023 |  | As at December 31, 2022
Derivatives Designated as Cash Flow Hedges Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivative assets |  | $ | 76.9 |  |  | $ | 0.3 |  |  | $ | 109.7 |  |  | $ | 14.3 |
The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at September 30, 2024 and December 31, 2023:
|  |  |  | As at September 30, 2024 |  | As at December 31, 2023 |
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 |  | Derivative assets |  | $ | 1,064.7 |  |  | $ | 23.8 |  |  | $ | 1,262.1 |  |  | $ | 31.4 |  |
Foreign Exchange Contracts (1) |  | Derivative liabilities |  | $ | 520.3 |  |  | $ | (3.1) |  |  | $ | 540.8 |  |  | $ | (9.3) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Derivative liabilities |  | $ | — |  |  | $ | (4.6) |  |  | $ | — |  |  | $ | (16.5) |  |
________________ (1)Fair value is net of $1.9 million of cash collateral (December 31, 2023 — $3.4 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
|  |  |  | As at September 30, 2024 |  | As at December 31, 2023
Derivatives Designated as Cash Flow Hedges Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivative assets |  | $ | 40.6 |  |  | $ | 2.2 |  |  | $ | 76.9 |  |  | $ | 0.3 |
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, 2023 and 2022:
|  |  |  | Amount of (Loss)/Gain Recognized on Derivatives
|  |  |  | For the Twelve Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | December 31, 2023 |  | December 31, 2022
Derivatives not designated as hedges |  |  |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | 10.9 |  |  | (66.0) |
Loss Portfolio Transfer Liability - Embedded Derivative |  | Change in Fair Value of Derivatives |  | 15.2 |  |  | (14.5) |
Derivatives designated as cash flow hedges |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | (8.1) |  |  | 5.9 |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | (14.0) |  |  | 15.4 |
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 three and nine months ended September 30, 2024 and 2023:
|  |  |  | For the Three Months Ended |  | For the Nine Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | September 30, 2024 |  | September 30, 2023 |  | September 30, 2024 |  | September 30, 2023
Derivatives not designated as hedges |  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | 32.7 |  |  | (35.6) |  |  | 10.3 |  |  | (24.3) |
Loss Portfolio Transfer Liability - Embedded Derivative |  | Change in Fair Value of Derivatives |  | 5.1 |  |  | — |  |  | 11.9 |  |  | 8.3 |
Derivatives designated as cash flow hedges |  |  |  |  |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | (0.3) |  |  | (2.4) |  |  | (0.3) |  |  | (6.1) |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | 2.1 |  |  | (6.4) |  |  | 1.9 |  |  | (10.7) |

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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 -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4E -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4E Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4A + Details
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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 -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B + Details
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