Progressive 2015 Annual Report Download - page 82

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INTEREST RATE SWAPS
We use interest rate swaps to manage the fixed-income portfolio duration. The $750 million notional value swaps reflected a
loss for 2015 and 2014, as interest rate swap rates fell during each of these periods. The $750 million notional value swaps
reflected a gain for 2013, as interest rate swap rates rose after the positions were opened. The losses on the $1,263 million
notional value swaps during 2013 reflected a decline in interest rate swap rates during the period. The following table
summarizes our interest rate swap activity:
Net Realized Gains
(Losses)
(millions) Date Notional Value
Years ended
December 31,
Term Effective Maturity Coupon 2015 2014 2013 2015 2014 2013
Open:
10-year 04/2013 04/2023 Receive variable $150 $150 $ 150 $ (4.7) $(12.9) $11.9
10-year 04/2013 04/2023 Receive variable 185 185 185 (5.8) (15.9) 14.8
10-year 04/2013 04/2023 Receive variable 415 415 415 (12.9) (35.8) 33.1
Total open positions $750 $750 $ 750 $(23.4) $(64.6) $59.8
Closed:
5-year NA NA Receive variable $0$0$400$ 0$ 0$(1.0)
5-year NA NA Receive variable 0 0 500 0 0 (1.6)
9-year NA NA Receive variable 0 0 363 0 0 (1.4)
Total closed positions $0$0$1,263 $ 0 $ 0 $ (4.0)
Total interest rate swaps $(23.4) $(64.6) $55.8
NA = Not Applicable
During January 2016, we closed our $185 million notional value interest rate swap position and recognized a loss of $1.9
million for the month.
U.S. TREASURY FUTURES
During 2015, we used treasury futures to manage the fixed-income portfolio duration. The contracts were opened during the
second quarter 2015 and closed prior to December 31, 2015. The positions reflect a net gain, as rates rose overall during
the period held. We did not hold any treasury futures during 2014 or 2013. The following table summarizes our treasury
futures activity:
(millions) Date
Bought/Sold
Notional Value
Net Realized Gains
(Losses)
Years ended
December 31,
Term Effective Maturity 2015 2014 2013 2015 2014 2013
Closed:
10-year Various Various Sold $221.5 $0 $0 $1.7 $0 $0
5-year Various Various Sold 469.0 0 0 0.8 0 0
Total treasury futures $690.5 $0 $0 $2.5 $0 $0
App.-A-81