Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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:



	September 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	$	175,800	$	13,960		$	13,960	$	—
Cross-currency swaps	342,834		16,392			17,375		983
Total cash flow hedges	518,634		30,352			31,335		983

Fair value hedges:
Interest rate swaps	8,750		18			18		—
Total fair value hedges	8,750		18			18		—

Total derivatives designated as hedges	527,384		30,370			31,353		983

Derivatives not designated as hedges:
Interest rate swaps	276,600		4,905			10,057		5,152
Futures on equity indices	34,778		—			—		—
Interest rate futures	120,000		—			—		—
Interest rate swaptions	142,704		193			193		—
Other forward contracts	5,137,500		14,778			23,519		8,741
Cross-currency swaps	662,935		(78,460		)	13,900		92,360
Total derivatives not designated as hedges	6,374,517		(58,584		)	47,669		106,253
Total derivative financial instruments	$	6,901,901	$	(28,214	)	$	79,022	$	107,236

⁽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 September 30,					Three Months Ended September 30,
	2015			2014		2015			2014
Cash flow hedges:
Interest rate swaps	$	(937	)	$	184	$	1,490		$	1,876		(A)
Cross-currency swaps	15,741			7,224		630			900			(A)
Cross-currency swaps	—			—		—			(154		)	(B)
Interest rate futures	—			—		(21		)	17			(A)
Total cash flow hedges	$	14,804		$	7,408	$	2,099		$	2,639

(A) Net investment income.