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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2014
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, 2014
 
December 31, 2013
 
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
$
638.3

 
$
103.7

 
$
—

 
$
763.3

 
$
81.0

 
$
0.2

Foreign exchange contracts
51.2

 
1.7

 
0.6

 
51.2

 
2.2

 
0.6

Derivatives: Non-qualifying for hedge accounting(1)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
24,751.7

 
328.2

 
187.3

 
21,442.7

 
367.6

 
206.2

Foreign exchange contracts
130.1

 
4.7

 
6.0

 
145.9

 
5.5

 
9.6

Equity contracts
10.7

 
—

*
—

 
9.1

 
—

*
—

Credit contracts
384.0

 
7.5

 
—

 
384.0

 
8.1

 
—

Embedded derivatives:
 
 
 
 
 
 
 
 
 
 
 
Within fixed maturity investments
N/A

 
27.7

 
—

 
N/A

 
29.0

 
—

Within annuity products
N/A

 
—

 
57.7

 
N/A

 
—

 
23.1

Within reinsurance agreements
N/A

 
—

 
(12.6
)
 
N/A

 
—

 
(54.0
)
Total
 
 
$
473.5

 
$
239.0

 
 
 
$
493.4

 
$
185.7


* Less than $0.1.
(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, 2014
 
Notional Amount
 
Assets Fair Value
 
Liability Fair Value
Credit contracts
$
384.0

 
$
7.5

 
$
—

Foreign exchange contracts
181.3

 
6.4

 
6.6

Interest rate contracts
25,390.0

 
431.9

 
187.3

 
 
 
445.8

 
193.9

 
 
 
 
 
 
Counterparty netting(1)
 
 
(175.4
)
 
(175.4
)
Cash collateral netting(1)
 
 
(229.4
)
 
—

Securities collateral netting(1)
 
 
—

 
(13.2
)
Net receivables/payables
 
 
$
41.0

 
$
5.3

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

 
December 31, 2013
 
Notional Amount
 
Assets Fair Value
 
Liability Fair Value
Credit contracts
$
384.0

 
$
8.1

 
$
—

Foreign exchange contracts
197.1

 
7.7

 
10.2

Interest rate contracts
22,206.0

 
448.6

 
206.4

 
 
 
464.4

 
216.6

 
 
 
 
 
 
Counterparty netting(1)
 
 
(201.3
)
 
(201.3
)
Cash collateral netting(1)
 
 
(134.0
)
 
(5.4
)
Securities collateral netting(1)
 
 
(15.9
)
 
(4.8
)
Net receivables/payables
 
 
$
113.2

 
$
5.1

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

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,
 
2014
 
2013
 
2014
 
2013
Derivatives: Qualifying for hedge accounting(1)
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
Interest rate contracts
$
(0.1
)
 
$
—

 
$
—

 
$
0.1

Foreign exchange contracts
0.2

 
—

 
0.3

 
—

Derivatives: Non-qualifying for hedge accounting(2)
 
 
 
 
 
 
 
Interest rate contracts
3.0

 
(45.4
)
 
(15.6
)
 
(77.9
)
Foreign exchange contracts
(0.2
)
 
2.6

 
—

 
12.0

Equity contracts
0.6

 
0.4

 
1.0

 
1.7

Credit contracts
1.1

 
0.5

 
1.4

 
2.3

Managed custody guarantees
0.1

 
0.1

 
0.1

 
0.1

Embedded derivatives:
 
 
 
 
 
 
 
Within fixed maturity investments(2)
(0.8
)
 
(11.8
)
 
(1.3
)
 
(17.2
)
Within annuity products(2)
(14.3
)
 
52.1

 
(32.1
)
 
76.4

Within reinsurance agreements(3)
(18.1
)
 
45.0

 
(41.4
)
 
45.8

Total
$
(28.5
)
 
$
43.5

 
$
(87.6
)
 
$
43.3

(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 six months ended June 30, 2014 and 2013, 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.