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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments

Derivative Instruments:
Maturity
 
Notional
Amount
 
Fair Value as of
December 31, 2014
($ in millions)
 
 
Assets
 
Liabilities [1]
 
 
 
 
 
 
 
 
Interest rate swaps
2016 - 2029
 
$
114.0

 
$
9.7

 
$
1.9

Variance swaps
2015 - 2017
 
0.9

 
—

 
8.6

Swaptions
2024 - 2025
 
777.0

 
0.2

 
—

Put options
2015 - 2022
 
677.5

 
29.4

 
—

Call options
2015 - 2019
 
2,019.2

 
118.2

 
74.6

Equity futures
2015
 
2.9

 
—

 
0.5

Total derivative instruments
 
 
$
3,591.5

 
$
157.5

 
$
85.6

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

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

 
$
3.9

 
$
6.8

Variance swaps
2015 - 2017
 
0.9

 
—

 
7.9

Swaptions
2024 - 2025
 
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

 
—

 
5.3

Total derivative instruments
 
 
$
6,294.2

 
$
225.3

 
$
116.1

———————
[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):
For the years ended December 31,
($ in millions)
2014
 
2013
 
2012
 
 
 
 
 
 
Interest rate swaps
$
11.0

 
$
(11.4
)
 
$
(1.7
)
Variance swaps
(0.7
)
 
(3.6
)
 
(7.9
)
Swaptions
(30.5
)
 
17.3

 
(0.2
)
Put options
(4.9
)
 
(40.7
)
 
(20.9
)
Call options
18.8

 
60.1

 
0.9

Equity futures
(15.6
)
 
(44.8
)
 
(19.2
)
Embedded derivatives
(45.4
)
 
11.0

 
4.0

Related party reinsurance derivatives
—

 
—

 
(8.0
)
Total derivative instrument gains (losses) recognized in
  realized investment gains (losses)
$
(67.3
)
 
$
(12.1
)
 
$
(53.0
)
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.

Offsetting of
Derivative Assets/Liabilities:
As of December 31, 2014
($ in millions)
Gross
amounts
recognized [1]
 
Gross
amounts
offset in the
balance sheet
 
Net amounts
presented in the
balance sheet
 
Gross amounts not offset
in the balance sheet
 
Net amount
 
 
 
 
Financial
instruments
 
Cash collateral
pledged [2]
 
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
$
157.5

 
$
—

 
$
157.5

 
$
(82.6
)
 
$
—

 
$
74.9

Total derivative liabilities
$
(85.6
)
 
$
—

 
$
(85.6
)
 
$
82.6

 
$
3.0

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
Offsetting of
Derivative Assets/Liabilities:
As of December 31, 2013
($ in millions)
Gross
amounts
recognized [1]
 
Gross
amounts
offset in the
balance sheet
 
Net amounts
presented in the
balance sheet
 
Gross amounts not offset
in the balance sheet
 
Net amount
 
 
 
 
Financial
instruments
 
Cash collateral
pledged [2]
 
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
$
225.3

 
$
—

 
$
225.3

 
$
(110.2
)
 
$
—

 
$
115.1

Total derivative liabilities
$
(116.1
)
 
$
—

 
$
(116.1
)
 
$
110.2

 
$
5.9

 
$
—


———————
[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 $13.0 million and $19.7 million as of December 31, 2014 and 2013, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.