Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Derivative Instruments:	Maturity	Notional Amount		Fair Value as of June 30, 2015
($ in millions)				Assets		Liabilities [1]
Interest rate swaps	2018 - 2035	$	239.5	$	1.8	$	2.9
Variance swaps	2015 - 2017	0.9		—		9.4
Put options	2015 - 2022	391.0		20.7		—
Call options	2015 - 2020	2,285.3		76.5		42.0
Equity futures	2015	9.6		0.1		—
Total derivative instruments		$	2,926.3	$	99.1	$	54.3

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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 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

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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 Realized Investment Gains (Losses):	Three Months Ended   June 30,						Six Months Ended   June 30,
($ in millions)	2015			2014			2015			2014
Interest rate swaps	$	(4.3	)	$	1.8		$	(1.6	)	$	6.8
Variance swaps	(0.4		)	(0.4		)	(0.8		)	(1.0		)
Swaptions	—			(7.6		)	(0.1		)	(25.9		)
Put options	(3.5		)	(4.1		)	(7.8		)	(8.2		)
Call options	(2.9		)	17.2			(4.3		)	14.2
Equity futures	—			(6.9		)	0.2			(9.5		)
Embedded derivatives	4.2			(2.3		)	(6.0		)	(15.2		)
Total derivative instrument gains (losses) recognized in   realized investment gains (losses)	$	(6.9	)	$	(2.3	)	$	(20.4	)	$	(38.8	)

Offsetting Assets

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:	June 30, 2015
($ 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	$	99.1		$	—	$	99.1		$	(49.6	)	$	—	$	49.5
Total derivative liabilities	$	(54.3	)	$	—	$	(54.3	)	$	49.6		$	4.7	$	—
Offsetting of Derivative Assets/Liabilities:	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	$	—

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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 $27.4 million and $13.0 million as of June 30, 2015 and December 31, 2014, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.

Offsetting Liabilities

Offsetting of Derivative Assets/Liabilities:	June 30, 2015
($ 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	$	99.1		$	—	$	99.1		$	(49.6	)	$	—	$	49.5
Total derivative liabilities	$	(54.3	)	$	—	$	(54.3	)	$	49.6		$	4.7	$	—
Offsetting of Derivative Assets/Liabilities:	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	$	—

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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 $27.4 million and $13.0 million as of June 30, 2015 and December 31, 2014, respectively, that exceeds the net liability resulting from the aggregate derivative positions with a corresponding counterparty is excluded.