Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

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:

	March 31, 2016
			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	$	419,800	$	11,443		$	13,867	$	2,424
Cross-currency swaps	389,294		25,518			29,992		4,474
Total cash flow hedges	809,094		36,961			43,859		6,898
Total derivatives designated as hedges	809,094		36,961			43,859		6,898
Derivatives not designated as hedges:
Interest rate swaps	361,100		13,850			21,619		7,769
Futures on equity indices	32,259		—			—		—
Interest rate futures	137,500		—			—		—
Interest rate swaptions	144,704		179			179		—
Other forward contracts	1,687,650		3,056			4,161		1,105
Cross-currency swaps	662,935		(38,149		)	21,716		59,865
Total derivatives not designated as hedges	3,026,148		(21,064		)	47,675		68,739
Total derivative financial instruments	$	3,835,242	$	15,897		$	91,534	$	75,637

⁽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, 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	$	143,800	$	11,843		$	11,843	$	—
Cross-currency swaps	380,873		28,714			28,736		22
Total cash flow hedges	524,673		40,557			40,579		22
Total derivatives designated as hedges	524,673		40,557			40,579		22
Derivatives not designated as hedges:
Interest rate swaps	303,600		3,240			8,295		5,055
Futures on equity indices	29,310		—			—		—
Interest rate futures	117,200		—			—		—
Interest rate swaptions	151,204		189			189		—
Cross-currency swaps	662,935		(51,759		)	19,537		71,296
Total derivatives not designated as hedges	1,264,249		(48,330		)	28,021		76,351
Total derivative financial instruments	$	1,788,922	$	(7,773	)	$	68,600	$	76,373

⁽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 March 31,					Three Months Ended March 31,
	2016			2015		2016		2015
Cash flow hedges:
Interest rate swaps	$	525		$	3,141	$	1,494	$	1,856		(A)
Cross-currency swaps	(2,129		)	14,014		992		423			(A)
Interest rate futures	—			—		—		(21		)	(A)
Total cash flow hedges	$	(1,604	)	$	17,155	$	2,486	$	2,258

(A) Net investment income.

	Gain (loss) on derivatives recognized in net income						Gain (loss) on hedged assets recognized in net income
	Three Months Ended March 31,						Three Months Ended March 31,
	2016		2015				2016		2015
Fair value hedges:
Interest rate swaps	$	—	$	(1,438	)	(A)	$	—	$	—
Interest rate swaps	—		630			(B)	—		—
Items hedged in interest rate swaps	—		—				—		1,443			(A)
Items hedged in interest rate swaps	—		—				—		(630		)	(B)
Total fair value hedges	$	—	$	(808	)		$	—	$	813

(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 March 31,
	2016				2015
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(230	)	(A)	$	147		(A)
Futures on equity indices	(1,441		)	(B)	(723		)	(B)
Interest rate swaps	10,622			(A)	2,822			(A)
Interest rate futures	(204		)	(A)	(151		)	(A)
Interest rate futures	(32		)	(B)	135			(B)
Interest rate swaptions	134			(A)	910			(A)
Interest rate swaptions	(195		)	(B)	(987		)	(B)
Other forward contracts	3,056			(A)	16,825			(A)
Other forward contracts	2,938			(B)	(9,340		)	(B)
Cross-currency swaps	12,199			(A)	45,046			(A)
Total derivatives not designated as hedging instruments	$	26,847			$	54,684

(A) Net investment income.

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