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9. Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments Tables

Derivative Instruments

Our derivatives do not qualify for hedge accounting. We do not designate the purchased derivatives related to variable annuity living benefits or fixed indexed annuity index credits as hedges for accounting purposes.

Derivative Instruments:										Fair Value as of
($ in millions)						Notional				September 30, 2012
		Maturity				Amount				Assets				Liabilities (1)
Interest rate swaps			2017-2027			$	180.0			$	16.8			$	8.2
Variance swaps			2015-2017				0.9				—				3.1
Swaptions			2024				25.0				—				—
Put options			2015-2022				391.0				77.4				—
Call options			2012-2017				1,261.6				74.0				48.7
Equity futures			2012				182.1				17.6				—
Total derivative instruments						$	2,040.6			$	185.8			$	60.0

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(1)	Derivative liabilities are included in other liabilities on the balance sheets.

Derivative Instruments:									Fair Value as of
($ in millions)									December 31, 2011
					Notional				As restated and amended
		Maturity			Amount				Assets				Liabilities (1)
Interest rate swaps			2017-2026			$	101.1			$	9.3			$	3.5
Variance swaps			2015-2017				0.9				2.8				—
Swaptions			2024				25.0				0.2				—
Put options			2015-2022				200.0				47.3				—
Call options			2012-2016				700.4				28.0				19.0
Equity futures			2012				66.3				16.2				—
Total derivative instruments						$	1,093.7			$	103.8			$	22.5

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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								Nine Months Ended
Realized Investment Gains (Losses):		September 30,								September 30,
($ in millions)		2012				2011				2012				2011
						As restated and amended								As restated and amended
Derivative instruments by type
Interest rate swaps		$	(1.1	)		$	6.3			$	(0.3	)		$	7.1
Variance swaps			(1.8	)			5.1				(6.4	)			3.5
Swaptions			—				(0.4	)			(0.2	)			(0.8	)
Put options			(11.8	)			18.0				(13.7	)			13.3
Call options			7.5				(10.6	)			7.5				(10.5	)
Equity futures			(10.8	)			16.4				(20.4	)			10.6
Embedded derivatives			6.6				(48.3	)			6.1				(41.0	)
Related party reinsurance derivatives			(4.2	)			10.1				(3.5	)			10.1
Total derivative instrument losses recognized in realized gains (losses)		$	(15.6	)		$	(3.4	)		$	(30.9	)		$	(7.7	)

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details