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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments

8.
Derivative Instruments (continued)

Derivative Instruments:
 
 
 
 
Fair Value as of
($ in millions)
 
 
 
 
December 31, 2013
 
 
 
Notional
 
 
 
 
 
Maturity
 
Amount
 
Assets
 
Liabilities [1]
 
 
 
 
 
 
 
 
Interest rate swaps
2016 - 2027
 
$
139.0

 
$
3.9

 
$
6.8

Variance swaps
2015 - 2017
 
0.9

 
—

 
7.9

Swaptions
2014 - 2015
 
3,902.0

 
30.7

 
—

Put options
2015 - 2022
 
391.0

 
29.5

 
—

Call options
2014 - 2018
 
1,701.6

 
161.2

 
96.1

Equity futures
2014
 
159.7

 
12.5

 
—

Total derivative instruments
 
 
$
6,294.2

 
$
237.8

 
$
110.8

———————
[1]
Derivative liabilities are included in other liabilities on the balance sheets.

Derivative Instruments:
 
 
 
 
Fair Value as of
($ in millions)
 
 
Notional
 
December 31, 2012
 
Maturity
 
Amount
 
Assets
 
Liabilities [1]
 
 
 
 
 
 
 
 
Interest rate swaps
2016-2027
 
$
180.0

 
$
15.5

 
$
7.7

Variance swaps
2015-2017
 
0.9

 
—

 
4.4

Swaptions
2024
 
25.0

 
—

 
—

Put options
2015-2022
 
391.0

 
69.5

 
—

Call options
2013-2017
 
1,328.4

 
50.6

 
33.6

Equity futures
2013
 
182.9

 
13.8

 
—

Total derivative instruments
 
 
$
2,108.2

 
$
149.4

 
$
45.7

———————
[1]
Derivative liabilities are included in other liabilities on the balance sheets.
Derivative Instrument Gains (Losses) Recognized in Realized Investment Income
Derivative Instrument Gains (Losses) Recognized in Realized Investment Gains (Losses):
Years Ended
($ in millions)
December 31,
 
2013
 
2012
 
2011
Derivative instruments by type
 
 
 
 
 
Interest rate swaps
$
(11.4
)
 
$
(1.7
)
 
$
6.9

Variance swaps
(3.6
)
 
(7.9
)
 
3.5

Swaptions
17.3

 
(0.2
)
 
(0.8
)
Put options
(40.7
)
 
(20.9
)
 
10.6

Call options
60.1

 
0.9

 
(8.9
)
Equity futures
(44.8
)
 
(19.2
)
 
(5.1
)
Embedded derivatives
17.6

 
11.2

 
(33.2
)
Related party reinsurance derivatives
—

 
(3.5
)
 
9.0

Total derivative instrument gains (losses) recognized in realized investment gains (losses)
$
(5.5
)
 
$
(41.3
)
 
$
(18.0
)
Offsetting Assets and Liabilities
The following tables present the gross fair value amounts, the amounts offset and net position of derivative instruments eligible for offset in the Company’s balance sheets that are subject to an enforceable master netting arrangement upon certain termination events, irrespective of whether they are offset in the balance sheet.

 
December 31, 2013
Offsetting of
 
 
Gross
 
 
 
Gross amounts not offset
 
 
Derivative Assets/Liabilities:
Gross
 
amounts
 
Net amounts
 
in the balance sheet
 
 
($ in millions)
amounts
 
offset in the
 
presented in the
 
Financial
 
Cash collateral
 
 
 
recognized [1]
 
balance sheet
 
balance sheet
 
instruments
 
pledged [2]
 
Net amount
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
$
237.8

 
$
—

 
$
237.8

 
$
(110.2
)
 
$
—

 
$
127.6

Total derivative liabilities
$
(110.8
)
 
$
—

 
$
(110.8
)
 
$
110.2

 
$
0.6

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2012
Offsetting of
 
 
Gross
 
 
 
Gross amounts not offset
 
 
Derivative Assets/Liabilities:
Gross
 
amounts
 
Net amounts
 
in the balance sheet
 
 
($ in millions)
amounts
 
offset in the
 
presented in the
 
Financial
 
Cash collateral
 
 
 
recognized [1]
 
balance sheet
 
balance sheet
 
instruments
 
pledged [2]
 
Net amount
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
$
149.4

 
$
—

 
$
149.4

 
$
(45.7
)
 
$
—

 
$
103.7

Total derivative liabilities
$
(45.7
)
 
$
—

 
$
(45.7
)
 
$
45.7

 
$
—

 
$
—


———————
[1]
Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place.
[2]
Cash collateral pledged with derivative counterparties is recorded within other assets on the balance sheets. The Company pledges cash collateral to offset certain individual derivative liability positions with certain counterparties. Cash collateral of $7.2 million and $8.5 million as of December 31, 2013 and 2012, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.