Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of derivative financial instruments

The following tables summarize the notional amount and fair value of derivative financial instruments, excluding embedded derivatives:

	June 30, 2015
			Net derivatives			Asset derivatives		Liability derivatives
	Notional amount		Fair value			Fair value (1)		Fair value (1)
Hedge designation/derivative type:
Derivatives designated as hedges:
Cash flow hedges:
Interest rate swaps	$	184,200	$	15,811		$	15,811	$	—
Cross-currency swaps	269,414		1,544			9,112		7,568
Total cash flow hedges	453,614		17,355			24,923		7,568
Fair value hedges:
Interest rate swaps	33,750		638			647		9
Total fair value hedges	33,750		638			647		9
Total derivatives designated as hedges	487,364		17,993			25,570		7,577
Derivatives not designated as hedges:
Interest rate swaps	250,600		(1,559		)	4,620		6,179
Futures on equity indices	18,006		—			—		—
Interest rate futures	8,795		—			—		—
Interest rate swaptions	192,724		260			260		—
Other forward contracts	7,020,500		(17,760		)	7,157		24,917
Cross-currency swaps	662,935		(116,749		)	7,039		123,788
Total derivatives not designated as hedges	8,153,560		(135,808		)	19,076		154,884
Total derivative financial instruments	$	8,640,924	$	(117,815	)	$	44,646	$	162,461

⁽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 condensed consolidated balance sheets.

	December 31, 2014
			Net derivatives			Asset derivatives		Liability derivatives
	Notional amount		Fair value			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 condensed consolidated balance sheets.

Schedule of the effect of derivative instruments in the condensed 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 condensed consolidated statements of income reported by cash flow hedges, fair value hedges, and economic hedges, excluding embedded derivatives: 

	Gain (loss) recognized in OCI on derivatives (Effective portion)						Gain (loss) reclassified from OCI into net income (Effective portion)
	Three Months Ended June 30,						Three Months Ended June 30,
	2015			2014			2015			2014
Cash flow hedges:
Interest rate swaps	$	(2,515	)	$	3,900		$	1,837		$	3,142	(A)
Cross-currency swaps	(14,118		)	(890		)	276			845		(A)
Interest rate futures	—			—			(22		)	18		(A)
Total cash flow hedges	$	(16,633	)	$	3,010		$	2,091		$	4,005

(A) Net investment income.

	Gain (loss) recognized in OCI on derivatives (Effective portion)						Gain (loss) reclassified from OCI into net income (Effective portion)
	Six Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
Cash flow hedges:
Interest rate swaps	$	626		$	5,144		$	3,693		$	3,705	(A)
Cross-currency swaps	(104		)	(1,250		)	699			845		(A)
Cross-currency swaps	—			—			—			35		(B)
Interest rate futures	—			—			(43		)	—		(A)
Total cash flow hedges	$	522		$	3,894		$	4,349		$	4,585

(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
	Three Months Ended June 30,							Three Months Ended June 30,
	2015			2014				2015			2014
Fair value hedges:
Interest rate swaps	$	569		$	(1,333	)	(A)	$	—		$	—
Interest rate swaps	(188		)	—			(B)	—			—
Items hedged in interest rate swaps	—			—				(573		)	1,333		(A)
Items hedged in interest rate swaps	—			—				188			—		(B)
Total fair value hedges	$	381		$	(1,333	)		$	(385	)	$	1,333

(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
	Six Months Ended June 30,							Six Months Ended June 30,
	2015			2014				2015			2014
Fair value hedges:
Interest rate swaps	$	(869	)	$	(2,400	)	(A)	$	—		$	—
Interest rate swaps	442			—			(B)	—			—
Items hedged in interest rate swaps	—			—				870			2,400		(A)
Items hedged in interest rate swaps	—			—				(442		)	—		(B)
Total fair value hedges (1)	$	(427	)	$	(2,400	)		$	428		$	2,400

(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
	Three Months Ended June 30,
	2015				2014
Derivatives not designated as hedging instruments:
Futures on equity indices	$	271		(A)	$	13		(A)
Futures on equity indices	(266		)	(B)	(196		)	(B)
Interest rate swaps	(8,749		)	(A)	941			(A)
Interest rate swaps	—			(B)	—			(B)
Interest rate futures	36			(A)	(62		)	(A)
Interest rate futures	37			(B)	111			(B)
Interest rate swaptions	1,081			(A)	640			(A)
Interest rate swaptions	(1,089		)	(B)	(877		)	(B)
Other forward contracts	(34,585		)	(A)	20,402			(A)
Other forward contracts	7,250			(B)	31,996			(B)
Cross-currency swaps	(37,342		)	(A)	(5,453		)	(A)
Total derivatives not designated as hedging instruments	$	(73,356	)		$	47,515

(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
	Six Months Ended June 30,
	2015				2014
Derivatives not designated as hedging instruments:
Futures on equity indices	$	418		(A)	$	90		(A)
Futures on equity indices	(989		)	(B)	(359		)	(B)
Interest rate swaps	(5,927		)	(A)	2,050			(A)
Interest rate futures	(115		)	(A)	(65		)	(A)
Interest rate futures	172			(B)	87			(B)
Interest rate swaptions	1,991			(A)	842			(A)
Interest rate swaptions	(2,076		)	(B)	(1,710		)	(B)
Other forward contracts	(17,760		)	(A)	14,060			(A)
Other forward contracts	(2,090		)	(B)	39,577			(B)
Cross-currency swaps	7,704			(A)	(7,085		)	(A)
Total derivatives not designated as hedging instruments	$	(18,672	)		$	47,487

(A) Net investment income.

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