Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of derivative financial instruments

The following tables summarize derivative financial instruments:

	December 31, 2014
			Net derivatives			Asset derivatives		Liability derivatives
	Notional amount		Fair value (1)			Fair value (1)		Fair value (1)
Hedge designation/derivative type:
Derivatives designated as hedges:
Cash flow hedges:
Interest rate swaps	$	184,200	$	17,746		$	17,746	$	—
Cross-currency swaps	174,245		2,322			5,143		2,821
Total cash flow hedges	358,445		20,068			22,889		2,821
Fair value hedges:
Interest rate swaps	78,000		1,506			1,637		131
Total fair value hedges	78,000		1,506			1,637		131
Total derivatives designated as hedges	436,445		21,574			24,526		2,952
Derivatives not designated as hedges:
Interest rate swaps	128,100		4,402			6,246		1,844
Futures on equity indices	5,505		—			—		—
Interest rate futures	17,958		—			—		—
Interest rate swaptions	293,964		271			271		—
Cross-currency swaps	662,935		(127,230		)	4,561		131,791
Total derivatives not designated as hedges	1,108,462		(122,557		)	11,078		133,635
Total derivative financial instruments	$	1,544,907	$	(100,983	)	$	35,604	$	136,587

⁽¹⁾ The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the consolidated balance sheets.

	December 31, 2013
			Net derivatives			Asset derivatives		Liability derivatives
	Notional amount		Fair value (1)			Fair value (1)		Fair value (1)
Hedge designation/derivative type:
Derivatives designated as hedges:
Cash flow hedges:
Interest rate swaps	$	184,200	$	13,829		$	13,829	$	—
Cross-currency swaps	102,545		(7,843		)	—		7,843
Total cash flow hedges	286,745		5,986			13,829		7,843
Fair value hedges:
Interest rate swaps	78,000		4,951			5,098		147
Total fair value hedges	78,000		4,951			5,098		147
Total derivatives designated as hedges	364,745		10,937			18,927		7,990
Derivatives not designated as hedges:
Interest rate swaps	55,600		(2,038		)	1,454		3,492
Futures on equity indices	3,483		—			—		—
Interest rate futures	16,233		—			—		—
Interest rate swaptions	494,774		1,176			1,176		—
Cross-currency swaps	557,676		(154,340		)	1,921		156,261
Total derivatives not designated as hedges	1,127,766		(155,202		)	4,551		159,753
Total derivative financial instruments	$	1,492,511	$	(144,265	)	$	23,478	$	167,743

⁽¹⁾ The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the consolidated balance sheets.

Schedule of the effect of derivative instruments in the consolidated statement of income reported by cash flow hedges, fair value hedges and economic hedges

The following tables present the effect of derivative instruments in the consolidated statement of income reported by cash flow hedges, fair value hedges and economic hedges:

	Gain (loss) recognized in OCI on derivatives (Effective portion)								Gain (loss) reclassified from OCI into net income (Effective portion)
	Year Ended December 31,								Year Ended December 31,
	2014		2013			2012			2014			2013		2012
Cash flow hedges:
Interest rate swaps	$	9,096	$	(12,285	)	$	5,220		$	7,462		$	5,067	$	2,856	(A)
Cross-currency swaps	11,041		15,387			(24,101		)	1,030			—		—		(A)
Cross-currency swaps	—		—			—			(154		)	—		—		(B)
Interest rate futures	—		—			—			70			63		63		(A)
Total cash flow hedges	$	20,137	$	3,102		$	(18,881	)	$	8,408		$	5,130	$	2,919

(A) Net investment income.

(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. 

	Gain (loss) on derivatives recognized in net income									Gain (loss) on hedged assets recognized in net income
	Year Ended December 31,									Year Ended December 31,
	2014			2013		2012				2014		2013			2012
Fair value hedges:
Interest rate swaps	$	(3,444	)	$	6,342	$	(380	)	(A)	$	—	$	—		$	—
Interest rate swaps	—			1,909		—			(B)	—		—			—
Items hedged in interest rate swaps	—			—		—				3,439		(5,308		)	380		(A)
Items hedged in interest rate swaps	—			—		—				—		(2,943		)	—		(B)
Total fair value hedges (1)	$	(3,444	)	$	8,251	$	(380	)		$	3,439	$	(8,251	)	$	380

⁽¹⁾ Hedge ineffectiveness of ($5), zero and zero was recognized during the year ended December 31, 2014, 2013 and 2012, respectively.

(A) Net investment income.

(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net.

	Gain (loss) on derivatives recognized in net income
	Year Ended December 31,
	2014				2013				2012
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(41	)	(A)	$	(97	)	(A)	$	2		(A)
Futures on equity indices	(534		)	(B)	(3,396		)	(B)	(774		)	(B)
Interest rate swaps	6,508			(A)	(3,668		)	(A)	8,620			(A)
Interest rate swaps	—			(B)	(622		)	(B)	(4,979		)	(B)
Interest rate futures	(51		)	(A)	(458		)	(A)	164			(A)
Interest rate futures	305			(B)	303			(B)	(2,641		)	(B)
Interest rate swaptions	2,424			(A)	3,241			(A)	862			(A)
Interest rate swaptions	(3,578		)	(B)	(2,828		)	(B)	(1,827		)	(B)
Other forward contracts	94,465			(B)	(57,442		)	(B)	—			(B)
Cross-currency swaps	24,588			(A)	(50,111		)	(A)	—			(A)
Total derivatives not designated as hedging instruments	$	124,086			$	(115,078	)		$	(573	)

(A) Net investment income.

(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net.