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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2013
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:
 
September 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
$
812.5

 
$
108.7

 
$
—

 
$
1,000.0

 
$
215.4

 
$
—

Foreign exchange contracts
42.0

 
0.6

 
0.1

 
—

 
—

 
—

Derivatives: Non-qualifying for hedge accounting(1)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts(2)
16,630.4

 
291.5

 
185.3

 
18,131.1

 
292.9

 
328.5

Foreign exchange contracts
183.4

 
3.7

 
14.9

 
161.6

 
0.4

 
18.3

Equity contracts
11.5

 
—

 
0.1

 
14.5

 
0.4

 
—

Credit contracts
384.0

 
6.2

 
—

 
347.5

 
3.6

 
—

Managed custody guarantees
N/A

 
—

 
(1.0
)
 
N/A

 
—

 
—

Embedded derivatives:
 
 
 
 
 
 
 
 
 
 
 
Within fixed maturity investments
N/A

 
32.9

 
—

 
N/A

 
53.7

 
—

Within annuity products
N/A

 
—

 
33.7

 
N/A

 
—

 
122.4

Within reinsurance agreements
N/A

 
—

 
(51.1
)
 
N/A

 
—

 
—

Total
 
 
$
443.6

 
$
182.0

 
 
 
$
566.4

 
$
469.2


(1)
Open derivative contracts are reported as Derivatives assets or liabilities on the Condensed Consolidated Balance Sheets at fair value.
(2) 
As of September 30, 2013, includes a notional amount, asset fair value and liability fair value for interest rate caps of $6.5 billion, $66.0 and $8.6 respectively. As of December 31, 2012, includes a notional amount, asset fair value and liability fair value for interest rate caps of $4.5 billion, $17.7 and $0.6, respectively.
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 derivatives eligible for offset were as follows as of the dates indicated:
 
September 30, 2013
 
Notional Amount
 
Assets Fair Value
 
Liability Fair Value
Credit contracts
$
384.0

 
$
6.2

 
$
—

Equity contracts
—

 
—

 
—

Foreign exchange contracts
225.4

 
4.3

 
15.0

Interest rate contracts
17,006.4

 
386.6

 
185.3

 
 
 
$
397.1

 
$
200.3

 
 
 
 
 
 
Counterparty netting(1)
 
 
$
(187.9
)
 
$
(187.9
)
Cash collateral netting(2)
 
 
(131.4
)
 
—

Securities collateral netting(2)
 
 
(19.2
)
 
(7.4
)
Net receivables/payables
 
 
$
58.6

 
$
5.0

(1) Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.
(2) Represents the netting of collateral received and posted on a counterparty basis under credit support agreements.
 
December 31, 2012
 
Notional Amount
 
Assets Fair Value
 
Liability Fair Value
Credit contracts
$
347.5

 
$
3.6

 
$
—

Equity contracts
—

 
—

 
—

Foreign exchange contracts
161.6

 
0.4

 
18.3

Interest rate contracts
19,131.1

 
508.3

 
328.5

 
 
 
$
512.3

 
$
346.8

 
 
 
 
 
 
Counterparty netting(1)
 
 
$
(291.4
)
 
$
(291.4
)
Cash collateral netting(2)
 
 
(167.1
)
 
—

Securities collateral netting(2)
 
 
(3.1
)
 
(35.8
)
Net receivables/payables
 
 
$
50.7

 
$
19.6

(1) Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.
(2) Represents the netting of collateral received and posted on a counterparty basis under credit support 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 September 30,
 
Nine Months Ended September 30,
 
2013
 
2012
 
2013
 
2012
Derivatives: Qualifying for hedge accounting(1)
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
Interest rate contracts
$
—

 
$
—

 
$
0.1

 
$
—

Foreign exchange contracts
—

*
—

 
—

*
—

Derivatives: Non-qualifying for hedge accounting(2)
 
 
 
 
 
 
 
Interest rate contracts
(8.5
)
 
(5.3
)
 
(86.4
)
 
0.7

Foreign exchange contracts
(4.1
)
 
(11.7
)
 
7.9

 
1.2

Equity contracts
0.7

 
0.7

 
2.4

 
1.8

Credit contracts
1.8

 
3.6

 
4.1

 
9.8

Managed custody guarantees
1.0

 
—

 
1.1

 
1.1

Embedded derivatives:
 
 
 
 
 
 
 
Within fixed maturity investments(2)
(3.6
)
 
(4.1
)
 
(20.8
)
 
(4.3
)
Within annuity products(2)
16.9

 
21.3

 
93.3

 
109.7

Within reinsurance agreements(3)
5.3

 
—

 
51.1

 
—

Total
$
9.5

 
$
4.5

 
$
52.8

 
$
120.0

(1) Changes in value for effective fair value hedges are recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. Changes in fair value upon disposal for effective cash flow hedges are amortized through Net investment income and the ineffective portion is recorded in the Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. For the three and nine months ended September 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.
* Amounts are less than $0.1.