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Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2012
Fair Value, Assets and Liabilities Measured on Recurring Basis [Abstract]  
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables summarize the changes in fair value of the Company’s Level 3 assets and liabilities for the three and six months ended June 30, 2012.
 
 
Three Months Ended June 30, 2012
 
Fair Value
as of
April 1
 
Total
realized/unrealized
gains (losses) included in:
 
Purchases
 
Issuances
 
Sales
 
Settlements
 
Transfers in to Level 3 (2)
 
Transfers out of Level 3 (2)
 
Fair Value
as of
June 30
 
Change in unrealized gains (losses) included in earnings (3)
 
 
Net income
 
OCI
Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

 
 
 
 
 
 

 
 

 
 

 
 

 
 

U.S. corporate, state and municipalities
$
146.6

 
$
—

 
$
(4.0
)
 
$
6.8

 
$
—

 
$
—

 
$
(15.1
)
 
$
27.9

 
$
(10.6
)
 
$
151.6

 
$
—

Foreign
19.7

 
—

 
(0.3
)
 
—

 
—

 
—

 
—

 
—

 
—

 
19.4

 
—

Residential mortgage-backed securities
11.0

 
1.1

 
1.6

 
—

 
—

 
(6.0
)
 
—

 
—

 
(1.7
)
 
6.0

 
(0.1
)
Other asset-backed securities
28.7

 
0.2

 
(0.5
)
 
—

 
—

 
—

 
(0.5
)
 
2.2

 
—

 
30.1

 
0.2

Total fixed maturities, including securities pledged
206.0

 
1.3

 
(3.2
)
 
6.8

 
—

 
(6.0
)
 
(15.6
)
 
30.1

 
(12.3
)
 
207.1

 
0.1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
18.5

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
18.5

 
—

Derivatives, net
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Product guarantees
(72.0
)
 
(59.8
)
(1) 
—

 
(1.2
)
 
—

 
—

 
—

 
—

 
—

 
(133.0
)
 
—

Fixed Indexed Annuities
(17.9
)
 
0.3

(1) 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(17.6
)
 
—

Separate Accounts (4)
23.1

 
—

 
—

 
—

 
—

 
(14.4
)
 
—

 
—

 
—

 
8.7

 
0.2

(1) All gains and losses on Level 3 are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(2)  The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3)  For financial instruments still held as of June 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(4)  The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
 
 
Six Months Ended June 30, 2012
 
Fair Value
as of
January 1
 
Total
realized/unrealized
gains (losses) included in:
 
Purchases
 
Issuances
 
Sales
 
Settlements
 
Transfers in to Level 3 (2)
 
Transfers out of Level 3 (2)
 
Fair Value
as of
June 30
 
Change in unrealized gains (losses) included in earnings (3)
 
 
Net income
 
OCI
Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

 
 
 
 
 
 

 
 

 
 

 
 

 
 

U.S. corporate, state and municipalities
$
129.1

 
$
(0.2
)
 
$
(3.2
)
 
$
7.2

 
$
—

 
$
—

 
$
(6.0
)
 
$
28.3

 
$
(3.6
)
 
$
151.6

 
$
(0.2
)
Foreign
51.1

 
0.9

 
(1.2
)
 
—

 
—

 
(5.7
)
 
—

 
—

 
(25.7
)
 
19.4

 
—

Residential mortgage-backed securities
41.0

 
0.8

 
1.8

 
—

 
—

 
(6.0
)
 
—

 
—

 
(31.6
)
 
6.0

 
(0.4
)
Other asset-backed securities
27.7

 
0.4

 
0.5

 
—

 
—

 
—

 
(1.1
)
 
2.6

 
—

 
30.1

 
0.4

Total fixed maturities, including securities pledged
248.9

 
1.9

 
(2.1
)
 
7.2

 
—

 
(11.7
)
 
(7.1
)
 
30.9

 
(60.9
)
 
207.1

 
(0.2
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
19.0

 
—

 
(0.1
)
 
0.7

 
—

 
(1.1
)
 
—

 
—

 
—

 
18.5

 
—

Derivatives, net
(12.7
)
 
(1.7
)
 
—

 
—

 
—

 
—

 
14.4

 
—

 
—

 
—

 
—

Product guarantees
(221.0
)
 
90.8

(1) 
—

 
(2.8
)
 
—

 
—

 
—

 
—

 
—

 
(133.0
)
 
—

Fixed Indexed Annuities
(16.3
)
 
(1.3
)
(1) 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(17.6
)
 
—

Separate Accounts(4)
16.1

 
0.3

 
—

 
1.1

 
—

 
(9.0
)
 
—

 
0.2

 
—

 
8.7

 
0.6

(1) All gains and losses on Level 3 are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.

The following tables summarize the changes in fair value of the Company’s Level 3 assets and liabilities for the three and six months ended June 30, 2011.
 
 
Three Months Ended June 30, 2011 (As revised)
 
Fair Value
as of
April 1
 
Total
realized/unrealized
gains (losses) included in:
 
Purchases
and
issuances
 
Sales and Settlements
 
Transfers in to Level 3 (2)
 
Transfers out of Level 3 (2)
 
Fair Value
as of
June 30
 
Change in unrealized gains (losses) included in earnings (3)
 
 
Net income
 
OCI
 
 
 
Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. corporate, state and municipalities
$
13.9

 
$
(0.1
)
 
$
4.5

 
$
—

 
$
(11.6
)
 
$
126.8

 
$
—

 
$
133.5

 
$
—

Foreign
7.6

 
—

 
(0.2
)
 
2.2

 
—

 
22.3

 
(7.0
)
 
24.9

 
—

Residential mortgage-backed securities
119.9

 
(0.2
)
 
(0.4
)
 
—

 
(0.3
)
 
—

 
(106.7
)
 
12.3

 
(0.2
)
Other asset-backed securities
52.0

 
0.1

 
(0.3
)
 
—

 
(1.0
)
 
—

 
(1.7
)
 
49.1

 
0.2

Total fixed maturities, including securities pledged
193.4

 
(0.2
)
 
3.6

 
2.2

 
(12.9
)
 
149.1

 
(115.4
)
 
219.8

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
29.8

 
0.1

 
0.1

 
1.7

 
(1.3
)
 
—

 
(8.7
)
 
21.7

 
—

Derivatives, net
(11.4
)
 
1.7

 
—

 
—

 
—

 
—

 
—

 
(9.7
)
 
1.7

Product guarantees
2.0

 
(3.2
)
(1) 
—

 
(1.3
)
 
—

 
—

 
—

 
(2.5
)
 
—

Fixed Indexed Annuities
(8.4
)
 
(3.4
)
(1) 
—

 
—

 
—

 
—

 
—

 
(11.8
)
 
—

Separate Accounts (4)
20.1

 
0.4

 
—

 
0.1

 
(2.0
)
 
—

 
(5.1
)
 
13.5

 
0.6

(1) All gains and losses on Level 3 are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
 
 
Six Months Ended June 30, 2011 (As revised)
 
Fair Value
as of
January 1
 
Total
realized/unrealized
gains (losses) included in:
 
Purchases
and
issuances
 
Sales and Settlements
 
Transfers in to Level 3 (2)
 
Transfers out of Level 3 (2)
 
Fair Value
as of
June 30
 
Change in unrealized gains (losses) included in earnings (3)
 
 
Net income
 
OCI
 
 
 
Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. corporate, state and municipalities
$
11.2

 
$
—

 
$
3.2

 
$
13.9

 
$
(15.5
)
 
$
120.7

 
$
—

 
$
133.5

 
$
0.1

Foreign
11.4

 
0.9

 
(1.0
)
 
2.3

 
(5.2
)
 
22.3

 
(5.8
)
 
24.9

 
—

Residential mortgage-backed securities
254.7

 
(0.7
)
 
—

 
3.0

 
(0.8
)
 
—

 
(243.9
)
 
12.3

 
(1.7
)
Other asset-backed securities
247.7

 
(1.7
)
 
3.7

 
—

 
(1.4
)
 
1.5

 
(200.7
)
 
49.1

 
(3.5
)
Total fixed maturities, including securities pledged
525.0

 
(1.5
)
 
5.9

 
19.2

 
(22.9
)
 
144.5

 
(450.4
)
 
219.8

 
(5.1
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
27.7

 
0.2

 
0.1

 
4.0

 
(1.3
)
 
—

 
(9.0
)
 
21.7

 
—

Derivatives, net
(13.6
)
 
4.0

 
—

 
—

 
(0.1
)
 
—

 
—

 
(9.7
)
 
3.9

Product guarantees
(3.0
)
 
3.1

(1) 
—

 
(2.6
)
 
—

 
—

 
—

 
(2.5
)
 
—

Fixed Indexed Annuities
(5.6
)
 
(6.2
)
(1) 
—

 
—

 
—

 
—

 
—

 
(11.8
)
 
—

Separate Accounts (4)
22.3

 
0.5

 
—

 
0.1

 
(2.7
)
 
—

 
(6.7
)
 
13.5

 
0.7

(1) All gains and losses on Level 3 are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following tables present the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2012 and December 31, 2011.
 
 
2012
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 

 
 

 
 

 
 

Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

U.S. Treasuries
$
1,000.2

 
$
53.3

 
$
—

 
$
1,053.5

U.S. government agencies and authorities
—

 
403.4

 
—

 
403.4

U.S. corporate, state and municipalities
—

 
9,529.2

 
151.6

 
9,680.8

Foreign
—

 
5,109.1

 
19.4

 
5,128.5

Residential mortgage-backed securities
—

 
2,251.2

 
6.0

 
2,257.2

Commercial mortgage-backed securities
—

 
891.9

 
—

 
891.9

Other asset-backed securities
—

 
426.3

 
30.1

 
456.4

Equity securities, available-for-sale
126.2

 
—

 
18.5

 
144.7

Derivatives:
 

 
 

 
 

 


Interest rate contracts
3.1

 
525.0

 
—

 
528.1

Foreign exchange contracts
—

 
2.7

 
—

 
2.7

Equity contracts
0.4

 
—

 
—

 
0.4

Credit contracts
—

 
1.1

 
—

 
1.1

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement
1,192.0

 
0.2

 
—

 
1,192.2

Assets held in separate accounts
44,318.2

 
4,978.8

 
8.7

 
49,305.7

Total
$
46,640.1

 
$
24,172.2

 
$
234.3

 
$
71,046.6

 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

Product guarantees
$
—

 
$
—

 
$
133.0

 
$
133.0

Fixed indexed annuities
—

 
—

 
17.6

 
17.6

Derivatives:
 

 
 

 
 

 


Interest rate contracts
—

 
337.7

 
—

 
337.7

Foreign exchange contracts
—

 
23.6

 
—

 
23.6

Equity contracts
—

 
1.7

 
—

 
1.7

Credit contracts
—

 
—

 
—

 
—

Total
$
—

 
$
363.0

 
$
150.6

 
$
513.6




 
2011
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 

 
 

 
 

 
 

Fixed maturities, including securities pledged:
 

 
 

 
 

 
 

U.S. Treasuries
$
1,180.3

 
$
51.3

 
$
—

 
$
1,231.6

U.S. government agencies and authorities
—

 
410.7

 
—

 
410.7

U.S. corporate, state and municipalities
—

 
8,883.5

 
129.1

 
9,012.6

Foreign
—

 
4,937.0

 
51.1

 
4,988.1

Residential mortgage-backed securities
—

 
2,206.1

 
41.0

 
2,247.1

Commercial mortgage-backed securities
—

 
911.3

 
—

 
911.3

Other asset-backed securities
—

 
411.1

 
27.7

 
438.8

Equity securities, available-for-sale
125.9

 
—

 
19.0

 
144.9

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
5.7

 
437.6

 
—

 
443.3

Foreign exchange contracts
—

 
0.7

 
—

 
0.7

Credit contracts
—

 
2.6

 
—

 
2.6

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement
953.9

 
4.8

 
—

 
958.7

Assets held in separate accounts
40,556.8

 
4,722.3

 
16.1

 
45,295.2

Total
$
42,822.6

 
$
22,979.0

 
$
284.0

 
$
66,085.6

 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Product guarantees
$
—

 
$
—

 
$
221.0

 
$
221.0

Fixed indexed annuities
—

 
—

 
16.3

 
16.3

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
—

 
306.4

 
—

 
306.4

Foreign exchange contracts
—

 
32.4

 
—

 
32.4

Credit contracts
—

 
8.6

 
12.7

 
21.3

Total
$
—

 
$
347.4

 
$
250.0

 
$
597.4
Fair Value Inputs, Assets, Quantitative Information
The following table presents the unobservable inputs for Level 3 fair value measurements for product guarantees as of June 30, 2012:

 
 
Range(1)
Unobservable Input
 
FIA
 
Stabilizer / MCG
Interest rate implied volatility
 
-
 
0% to 4%
Nonperformance risk
 
0.25% to 3.50%
 
0.25% to 3.50%
Actuarial Assumptions:
 
 
 
 
Lapses
 
0% to 10%
 
0% to 55%
Policyholder deposits(2)
 
-
 
0% to 15%
(1)The range of reasonable assumptions that management has used in its fair value calculations.
(2) Measured as a percentage of assets under management or assets under administration.
Fair Value, by Balance Sheet Grouping
The carrying values and estimated fair values of certain of the Company’s financial instruments were as follows as of June 30, 2012 and December 31, 2011.
 
 
2012
 
2011
 
Carrying
Value
 
Fair
Value
 
Carrying
Value
 
Fair
Value
Assets:
 

 
 

 
 

 
 

Fixed maturities, available-for-sale, including securities pledged
$
19,283.9

 
$
19,283.9

 
$
18,728.3

 
$
18,728.3

Fixed maturities, at fair value using the fair value option
587.8

 
587.8

 
511.9

 
511.9

Equity securities, available-for-sale
144.7

 
144.7

 
144.9

 
144.9

Mortgage loans on real estate
2,709.8

 
2,796.3

 
2,373.5

 
2,423.1

Loan-Dutch State obligation
379.1

 
382.6

 
417.0

 
421.9

Policy loans
240.5

 
240.5

 
245.9

 
245.9

Limited partnerships/corporations
380.7

 
380.7

 
510.6

 
510.6

Cash and cash equivalents, Short-term investments and Short-term investments under securities loan agreement
1,192.2

 
1,192.2

 
958.7

 
958.7

Derivatives
532.3

 
532.3

 
446.6

 
446.6

Notes receivable from affiliates
175.0

 
172.6

 
175.0

 
165.2

Assets held in separate accounts
49,305.7

 
49,305.7

 
45,295.2

 
45,295.2

Liabilities:
 

 
 

 
 
 
 

Investment contract liabilities:
 

 
 

 
 
 
 

With a fixed maturity
1,117.6

 
1,297.4

 
1,222.4

 
1,369.1

Without a fixed maturity
18,907.0

 
24,420.6

 
18,410.4

 
21,739.8

Product guarantees
133.0

 
133.0

 
221.0

 
221.0

Fixed Indexed Annuities
17.6

 
17.6

 
16.3

 
16.3

Derivatives
363.0

 
363.0

 
360.0

 
360.0
Schedule of Mortgage Loans Real Estate and Valuation Allowance
The Company’s mortgage loans on real estate are summarized as follows as of June 30, 2012 and December 31, 2011.
 
 
2012
 
2011
Total commercial mortgage loans
$
2,711.5

 
$
2,374.8

Collective valuation allowance
(1.7
)
 
(1.3
)
Total net commercial mortgage loans
$
2,709.8

 
$
2,373.5

The changes in the collective valuation allowance were as follows for the six months ended June 30, 2012 and the year ended December 31, 2011.
 
 
2012
 
2011
Collective valuation allowance for losses, beginning of period
$
1.3

 
$
1.3

Addition to / (release of) allowance for losses
0.4

 
—

Collective valuation allowance for losses, end of period
$
1.7

 
$
1.3
Loans Receivable, Grouped by Loan to Value and Debt Service Coverage Ratio
The commercial mortgage loan portfolio is the recorded investment, prior to collective valuation allowances, by the indicated loan-to-value ratio and debt service coverage ratio, as reflected in the following tables as of June 30, 2012 and December 31, 2011.
 
 
2012(1)
 
2011(1)
Loan-to-Value Ratio:
 

 
 

0% - 50%
$
536.2

 
$
552.4

50% - 60%
781.2

 
771.5

60% - 70%
1,255.4

 
908.2

70% - 80%
122.0

 
125.2

80% - 90%
16.7

 
17.5

Total commercial mortgage loans
$
2,711.5

 
$
2,374.8

(1)  Balances do not include allowance for mortgage loan credit losses.
 
 
2012(1)
 
2011(1)
Debt Service Coverage Ratio:
 

 
 

Greater than 1.5x
$
1,956.6

 
$
1,600.1

1.25x - 1.5x
397.5

 
408.1

1.0x - 1.25x
280.9

 
286.7

Less than 1.0x
76.5

 
79.9

Mortgages secured by loans on land or construction loans
—

 
—

Total commercial mortgage loans
$
2,711.5

 
$
2,374.8

(1)  Balances do not include allowance for mortgage loan credit losses. 
Impaired Financing Receivables
The carrying values and unpaid principal balances (prior to any charge-off) of impaired commercial mortgage loans were as follows as of June 30, 2012 and December 31, 2011.
 
 
2012
 
2011
 
Carrying Value
 
Carrying Value
Impaired loans without valuation allowances
$
5.7

 
$
5.8

 
 
 
 
Unpaid principal balance of impaired loans
$
7.2

 
$
7.3

 
The following is information regarding impaired loans, restructured loans, loans 90 days or more past due and loans in the process of foreclosure for the three and six months ended June 30, 2012 and 2011.
 
 
Three Months Ended June 30,
 
2012
 
2011
Impaired loans, average investment during the period
$
5.8

 
$
9.4

Interest income recognized on impaired loans, on an accrual basis
0.1

 
0.2

Interest income recognized on impaired loans, on a cash basis
0.1

 
0.2

 
 
 
 
 
Six Months Ended June 30,
 
2012
 
2011
Impaired loans, average investment during the period
$
5.8

 
$
9.4

Interest income recognized on impaired loans, on an accrual basis
0.2

 
0.3

Interest income recognized on impaired loans, on a cash basis
0.2

 
0.3
Schedule of Notional Amounts of Outstanding Derivative Positions
The notional amounts and fair values of derivatives were as follows as of June 30, 2012 and December 31, 2011.
 
2012
 
2011
 
Notional
Amount
 
Asset
Fair Value
 
Liability
Fair Value
 
Notional
Amount
 
Asset
Fair Value
 
Liability
Fair Value
Derivatives: Qualifying for hedge accounting
 

 
 

 
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
1,000.0

 
$
214.0

 
$
—

 
$
1,000.0

 
$
173.9

 
$
—

Derivatives: Non-Qualifying for hedge accounting
 

 
 

 
 

 
 

 
 

 
 

Interest rate contracts
15,364.5

 
314.1

 
337.7

 
17,555.1

 
269.4

 
306.4

Foreign exchange contracts
213.4

 
2.7

 
23.6

 
213.4

 
0.7

 
32.4

Equity contracts
13.9

 
0.4

 
—

 
—

 
—

 
—

Credit contracts
362.7

 
1.1

 
1.7

 
548.4

 
2.6

 
21.3

Managed custody guarantees
N/A

 
—

 
—

 
N/A

 
—

 
1.0

Embedded derivatives:
 

 
 

 
 

 
 

 
 

 
 

Within fixed maturity investments
N/A

 
58.9

 
—

 
N/A

 
59.2

 
—

Within annuity products
N/A

 
—

 
150.6

 
N/A

 
—

 
236.3

Total
 

 
$
591.2

 
$
513.6

 
 

 
$
505.8

 
$
597.4

N/A - Not Applicable
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
Net realized gains (losses) on derivatives were as follows for the three and six months ended June 30, 2012 and 2011.

 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2012
 
2011
 
2012
 
2011
Derivatives: Qualifying for hedge accounting(1)
 

 
 

 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
Interest rate contracts
$
—

 
$
—

 
$
—

 
$
—

Fair value hedges:
 
 
 
 
 
 
 
Interest rate contracts
—

 
—

 
—

 
—

Derivatives: Non-Qualifying for hedge accounting
 
 
 
 
 
 
 
Interest rate contracts
28.9

 
(23.3
)
 
6.0

 
(29.4
)
Foreign exchange contracts
12.5

 
(8.7
)
 
12.9

 
(16.9
)
Equity contracts
(0.5
)
 
0.1

 
1.1

 
0.4

Credit contracts
(1.6
)
 
1.2

 
6.2

 
6.0

Managed custody guarantees
—

 
0.5

 
1.1

 
0.5

Embedded derivatives:
 

 
 
 
 
 
 
Within fixed maturity investments
4.6

 
5.7

 
(0.2
)
 
(1.6
)
Within annuity products
(59.5
)
 
(7.1
)
 
88.4

 
(3.6
)
Total
$
(15.6
)
 
$
(31.6
)
 
$
115.5

 
$
(44.6
)
(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 recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.