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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions

The notional amounts and fair values of derivatives were as follows as of the dates indicated:
 
June 30, 2017
 
December 31, 2016
 
Notional
Amount
 
Asset
Fair Value
 
Liability
Fair Value
 
Notional
Amount
 
Asset
Fair Value
 
Liability
Fair Value
Derivatives: Qualifying for hedge accounting(1)
 
 
 
 
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
35.3

 
$
0.1

 
$
—

 
$
35.3

 
$
0.4

 
$
0.2

Foreign exchange contracts
270.6

 
2.2

 
15.8

 
230.5

 
12.8

 
6.3

Derivatives: Non-qualifying for hedge accounting(1)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
25,625.4

 
148.6

 
24.7

 
29,112.2

 
437.1

 
154.2

Foreign exchange contracts
242.1

 
4.6

 
3.5

 
175.4

 
12.6

 
12.0

Equity contracts
125.5

 
3.9

 
1.5

 
89.4

 
2.3

 
—

Credit contracts
846.7

 
8.8

 
6.4

 
425.5

 
5.6

 
0.2

 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivatives and Managed custody guarantees:
 
 
 
 
 
 
 
 
 
 
 
Within fixed maturity investments
N/A

 
15.0

 
—

 
N/A

 
17.5

 
—

Within products
N/A

 
—

 
164.2

 
N/A

 
—

 
173.8

Within reinsurance agreements
N/A

 
—

 
(27.6
)
 
N/A

 
—

 
(43.5
)
Managed custody guarantees
N/A

 
—

 
—

 
N/A

 
—

 
—

Total
 
 
$
183.2

 
$
188.5

 
 
 
$
488.3

 
$
303.2


(1) Open derivative contracts are reported as Derivatives assets or liabilities on the Condensed Consolidated Balance Sheets at fair value.
N/A - Not Applicable
Offsetting Assets and Liabilities
Although the Company has not elected to net its derivative exposures, the notional amounts and fair values of Over-The-Counter ("OTC") and cleared derivatives excluding exchange traded contracts and forward contracts (To Be Announced mortgage-backed securities) are presented in the tables below as of the dates indicated:
 
June 30, 2017
 
Notional Amount
 
Asset Fair Value
 
Liability Fair Value
Credit contracts
$
846.7

 
$
8.8

 
$
6.4

Equity contracts
125.5

 
3.9

 
1.5

Foreign exchange contracts
512.7

 
6.8

 
19.3

Interest rate contracts
23,546.9

 
148.1

 
24.7

 
 
 
167.6

 
51.9

 
 
 
 
 
 
Counterparty netting(1)
 
 
(47.5
)
 
(47.5
)
Cash collateral netting(1)
 
 
(107.4
)
 
—

Securities collateral netting(1)
 
 
(9.2
)
 
(3.3
)
Net receivables/payables
 
 
$
3.5

 
$
1.1

(1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements.

 
December 31, 2016
 
Notional Amount
 
Asset Fair Value
 
Liability Fair Value
Credit contracts
$
425.5

 
$
5.6

 
$
0.2

Equity contracts
89.4

 
2.3

 
—

Foreign exchange contracts
405.9

 
25.4

 
18.3

Interest rate contracts
25,606.7

 
437.5

 
153.8

 
 
 
470.8

 
172.3

 
 
 
 
 
 
Counterparty netting(1)
 
 
(169.0
)
 
(169.0
)
Cash collateral netting(1)
 
 
(265.8
)
 
—

Securities collateral netting(1)
 
 
(11.0
)
 
(1.7
)
Net receivables/payables
 
 
$
25.0

 
$
1.6

(1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
Net realized gains (losses) on derivatives were as follows for the periods indicated:
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
Derivatives: Qualifying for hedge accounting(1)
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
Interest rate contracts
$
0.1

 
$
0.1

 
$
0.2

 
$
0.3

Foreign exchange contracts
0.8

 
0.1

 
7.8

 
0.3

Derivatives: Non-qualifying for hedge accounting(2)
 
 
 
 
 
 
 
Interest rate contracts
(1.5
)
 
12.9

 
(4.9
)
 
77.4

Foreign exchange contracts
1.2

 
(1.5
)
 
(0.4
)
 
(3.7
)
Equity contracts
0.3

 
0.1

 
0.8

 
(0.3
)
Credit contracts
1.5

 
0.5

 
2.8

 
1.1

Embedded derivatives and Managed custody guarantees:
 
 
 
 
 
 
 
Within fixed maturity investments(2)
(1.0
)
 
(0.6
)
 
(2.5
)
 
0.3

Within products(2)
(9.3
)
 
(43.6
)
 
10.9

 
(104.0
)
Within reinsurance agreements(3)
(13.4
)
 
(33.0
)
 
(15.9
)
 
(72.3
)
Managed custody guarantees(2)
—

 
(1.5
)
 
0.1

 
(3.9
)
Total
$
(21.3
)
 
$
(66.5
)
 
$
(1.1
)
 
$
(104.8
)
 
 
 
 
 
 
 
 
(1) Changes in value for effective fair value hedges are recorded in Other net realized capital gains (losses). Changes in fair value upon disposal for effective cash flow hedges are amortized through Net investment income and the ineffective portion is recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. For the three and six months ended June 30, 2017 and 2016, ineffective amounts were immaterial.
(2) Changes in value are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(3) Changes in value are included in Interest credited and other benefits to contract owners/policyholders in the Condensed Consolidated Statements of Operations.