XML 132 R20.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
he notional amounts and fair values of derivatives were as follows as of the dates indicated:
 
June 30, 2013
 
December 31, 2012
 
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
$
875.0

 
$
120.6

 
$
—

 
$
1,000.0

 
$
215.4

 
$
—

Derivatives: Non-qualifying for hedge accounting(1)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
18,859.8

 
301.8

 
294.0

 
18,131.1

 
292.9

 
328.5

Foreign exchange contracts
145.8

 
3.7

 
12.3

 
161.6

 
0.4

 
18.3

Equity contracts
9.4

 
—

 
—

 
14.5

 
0.4

 
—

Credit contracts
309.0

 
4.4

 
—

 
347.5

 
3.6

 
—

Managed custody guarantees
N/A

 
—

 
—

 
N/A

 
—

 
—

Embedded derivatives:
 
 
 
 
 
 
 
 
 
 
 
Within fixed maturity investments
N/A

 
36.4

 
—

 
N/A

 
53.7

 
—

Within annuity products
N/A

 
—

 
49.1

 
N/A

 
—

 
122.4

Within reinsurance agreements
N/A

 
—

 
(45.8
)
 
N/A

 
—

 
—

Total
 
 
$
466.9

 
$
309.6

 
 
 
$
566.4

 
$
469.2
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,
 
2013
 
2012
 
2013
 
2012
Derivatives: Qualifying for hedge accounting(1)
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
Interest rate contracts
$
—

 
$
—

 
$
0.1

 
$
—

Derivatives: Non-qualifying for hedge accounting(2)
 
 
 
 
 
 
 
Interest rate contracts
(45.4
)
 
28.9

 
(77.9
)
 
6.0

Foreign exchange contracts
2.6

 
12.5

 
12.0

 
12.9

Equity contracts
0.4

 
(0.5
)
 
1.7

 
1.1

Credit contracts
0.5

 
(1.6
)
 
2.3

 
6.2

Managed custody guarantees
0.1

 
—

 
0.1

 
1.1

Embedded derivatives:
 
 
 
 
 
 
 
Within fixed maturity investments(2)
(11.8
)
 
4.6

 
(17.2
)
 
(0.2
)
Within annuity products(2)
52.1

 
(59.5
)
 
76.4

 
88.4

Within reinsurance agreements(3)
45.0

 
—

 
45.8

 
—

Total
$
43.5

 
$
(15.6
)
 
$
43.3

 
$
115.5

(1) 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, 2013 and 2012, 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.