Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]



Derivative Instruments:	Maturity	Notional Amount		Fair Value as of
($ in millions)				June 30, 2014
				Assets		Liabilities [1]

Interest rate swaps	2016 - 2029	$	114.0	$	6.7	$	3.2
Variance swaps	2015 - 2017	0.9		—		8.9
Swaptions	2024 - 2025	3,277.0		4.9		—
Put options	2015 -2022	391.0		21.3		—
Call options	2014 -2019	1,889.4		126.3		72.9
Equity futures	2014	135.6		10.8		—
Total derivative instruments		$	5,807.9	$	170.0	$	85.0

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



Derivative Instruments:	Maturity	Notional Amount		Fair Value as of
($ in millions)				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

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[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						Six Months Ended
Realized Investment Gains (Losses):	June 30,						June 30,
($ in millions)	2014			2013			2014			2013

Interest rate swaps	$	(0.2	)	$	(5.2	)	$	4.8		$	(6.0	)
Variance swaps	(0.4		)	0.3			(1.0		)	(1.8		)
Swaptions	(7.5		)	15.4			(25.8		)	13.6
Put options	(4.2		)	(3.8		)	(8.2		)	(20.6		)
Call options	17.1			2.7			14.0			19.7
Equity futures	(6.9		)	(4.6		)	(9.5		)	(21.0		)
Embedded derivatives	(0.4		)	5.9			(12.1		)	5.3
Total derivative instrument gains (losses) recognized in realized investment gains (losses)	$	(2.5	)	$	10.7		$	(37.8	)	$	(10.8	)

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	June 30, 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	$	170.0		$	—	$	170.0		$	(81.3	)	$	—	$	88.7
Total derivative liabilities	$	(85.0	)	$	—	$	(85.0	)	$	81.3		$	3.7	$	—

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	$	—

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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 $8.2 million and $7.2 million as of June 30, 2014 and December 31, 2013, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.