Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Our derivatives are not designated as hedges for accounting purposes.

Derivative Instruments:	Maturity	Notional Amount		Fair Value as of
($ in millions)				March 31, 2013
				Assets		Liabilities [1]
Interest rate swaps	2016 - 2027	$	180.0	$	14.9	$	7.9
Variance swaps	2015 - 2017	0.9		—		6.5
Swaptions	2024 - 2025	1,402.0		12.1		—
Put options	2015 - 2022	391.0		53.5		—
Call options	2013 - 2018	1,396.9		95.3		62.0
Equity futures	2013	156.4		10.8		—
Total derivative instruments		$	3,527.2	$	186.6	$	76.4

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

Derivative Instruments:				Fair Value as of
($ in millions)	Maturity	Notional Amount		December 31, 2012
				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 Realized Gains (Losses) Recognized in Earnings

Derivative Instrument Gains (Losses) Recognized in	Three Months Ended
Realized Investment Gains (Losses):	March 31,
($ in millions)	2013			2012
				As restated and amended
Derivative instruments by type
Interest rate swaps	$	(0.8	)	$	(0.8	)
Variance swaps	(2.1		)	(5.6		)
Swaptions	(1.8		)	(0.2		)
Put options	(16.8		)	(8.0		)
Call options	17.0			10.0
Equity futures	(16.4		)	(14.8		)
Embedded derivatives	(0.6		)	23.0
Related party reinsurance derivatives	—			(5.3		)
Total derivative instrument gains (losses) recognized in realized investment gains (losses)	$	(21.5	)	$	(1.7	)

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.

	March 31, 2013
Offsetting of				Gross		Net amounts			Gross amounts not offset
Derivative Assets/Liabilities:	Gross			amounts		presented			in the balance sheet
($ in millions)	amounts			offset in the		in the			Financial			Cash collateral
	recognized [1]			balance sheet		balance sheet			instruments			pledged [2]		Net amount
Total derivative assets	$	186.6		$	—	$	186.6		$	(76.4	)	$	—	$	110.2
Total derivative liabilities	$	(76.4	)	$	—	$	(76.4	)	$	76.4		$	—	$	—
	December 31, 2012
Offsetting of				Gross		Net amounts			Gross amounts not offset
Derivative Assets/Liabilities:	Gross			amounts		presented			in the balance sheet
($ in millions)	amounts			offset in the		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		$	—	$	—

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[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 $8.5 million and $8.5 million as of March 31, 2013 and December 31, 2012, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.