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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2014
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, 2014
 
 
 
Assets
 
Liabilities [1]
 
 
 
 
 
 
 
 
Interest rate swaps
2016 - 2027
 
$
94.0

 
$
5.6

 
$
3.8

Variance swaps
2015 - 2017
 
0.9

 
—

 
8.5

Swaptions
2024 - 2025
 
3,277.0

 
12.5

 
—

Put options
2015 - 2022
 
391.0

 
25.4

 
—

Call options
2014 - 2019
 
1,811.4

 
113.1

 
72.3

Equity futures
2014
 
156.4

 
11.0

 
—

Total derivative instruments
 
 
$
5,730.7

 
$
167.6

 
$
84.6

———————
[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, 2013
 
 
 
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 Instrument Realized Gains (Losses) Recognized in Earnings
Derivative Instrument Gains (Losses) Recognized in
Three Months Ended
Realized Investment Gains (Losses):
March 31,
($ in millions)
2014
 
2013
 
 
 
 
Interest rate swaps
$
5.0

 
$
(0.8
)
Variance swaps
(0.6
)
 
(2.1
)
Swaptions
(18.3
)
 
(1.8
)
Put options
(4.0
)
 
(16.8
)
Call options
(3.1
)
 
17.0

Equity futures
(2.6
)
 
(16.4
)
Embedded derivatives
(11.7
)
 
(0.6
)
Total derivative instrument losses recognized in realized investment gains (losses)
$
(35.3
)
 
$
(21.5
)
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.

Offsetting of
March 31, 2014
Derivative Assets/Liabilities:
 
 
Gross
 
 
 
Gross amounts not offset
 
 
($ in millions)
Gross
 
amounts
 
Net amounts
 
in the balance sheet
 
 
 
amounts
 
offset in the
 
presented in the
 
Financial
 
Cash collateral
 
 
 
recognized [1]
 
balance sheet
 
balance sheet
 
instruments
 
pledged [2]
 
Net amount
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
$
167.6

 
$
—

 
$
167.6

 
$
(82.3
)
 
$
—

 
$
85.3

Total derivative liabilities
$
(84.6
)
 
$
—

 
$
(84.6
)
 
$
82.3

 
$
2.3

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
Offsetting of
December 31, 2013
Derivative Assets/Liabilities:
 
 
Gross
 
 
 
Gross amounts not offset
 
 
($ in millions)
Gross
 
amounts
 
Net amounts
 
in the balance sheet
 
 
 
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

 
$
—

———————
[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 $7.5 million and $7.2 million as of March 31, 2014 and December 31, 2013, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.