Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 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	$	(13,852	)	$	13,490	$	27,342
Cross-currency swaps	561,467		46,194			51,284		5,090
Total cash flow hedges	981,267		32,342			64,774		32,432
Total derivatives designated as hedges	981,267		32,342			64,774		32,432
Derivatives not designated as hedges:
Interest rate swaps	480,100		22,921			32,982		10,061
Futures on equity indices	24,260		—			—		—
Interest rate futures	107,400		—			—		—
Interest rate swaptions	166,664		191			191		—
Other forward contracts	2,437,760		7,268			7,891		623
Cross-currency swaps	662,935		14,700			41,528		26,828
Total derivatives not designated as hedges	3,879,119		45,080			82,592		37,512
Total derivative financial instruments	$	4,860,386	$	77,422		$	147,366	$	69,944

⁽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 September 30,						Three Months Ended September 30,
	2016			2015			2016			2015
Cash flow hedges:
Interest rate swaps	$	(401	)	$	(937	)	$	1,335		$	1,490		(A)
Interest rate swaps	(4,284		)	—			(1,092		)	—			(B)
Cross-currency swaps	(3,120		)	15,741			1,576			630			(A)
Interest rate futures	—			—			—			(21		)	(A)
Total cash flow hedges	$	(7,805	)	$	14,804		$	1,819		$	2,099

(A) Net investment income.

(B) Interest expense.

	Gain (loss) recognized in OCI on derivatives (Effective portion)						Gain (loss) reclassified from OCI into net income (Effective portion)
	Nine Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Cash flow hedges:
Interest rate swaps	$	4,098		$	(311	)	$	4,166		$	5,183		(A)
Interest rate swaps	(29,017		)	—			(1,675		)	—			(B)
Cross-currency swaps	21,612			15,637			3,777			1,329			(A)
Interest rate futures	—			—			—			(64		)	(A)
Total cash flow hedges	$	(3,307	)	$	15,326		$	6,268		$	6,448

(A) Net investment income.

(B) Interest expense.

	Gain (loss) on derivatives recognized in net income						Gain (loss) on hedged assets recognized in net income
	Three Months Ended September 30,						Three Months Ended September 30,
	2016		2015				2016		2015
Fair value hedges:
Interest rate swaps	$	—	$	(620	)	(A)	$	—	$	—
Interest rate swaps	—		323			(B)	—		—
Items hedged in interest rate swaps	—		—				—		623			(A)
Items hedged in interest rate swaps	—		—				—		(323		)	(B)
Total fair value hedges	$	—	$	(297	)		$	—	$	300

(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
	Nine Months Ended September 30,						Nine Months Ended September 30,
	2016		2015				2016		2015
Fair value hedges:
Interest rate swaps	$	—	$	(1,489	)	(A)	$	—	$	—
Interest rate swaps	—		765			(B)	—		—
Items hedged in interest rate swaps	—		—				—		1,493			(A)
Items hedged in interest rate swaps	—		—				—		(765		)	(B)
Total fair value hedges	$	—	$	(724	)		$	—	$	728

(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 September 30,
	2016				2015
Derivatives not designated as hedging instruments:
Futures on equity indices	$	510		(A)	$	478		(A)
Futures on equity indices	(2,081		)	(B)	1,111			(B)
Interest rate swaps	418			(A)	6,480			(A)
Interest rate futures	134			(A)	(99		)	(A)
Interest rate futures	(183		)	(B)	(117		)	(B)
Interest rate swaptions	23			(A)	928			(A)
Interest rate swaptions	(39		)	(B)	—			(B)
Other forward contracts	(8,286		)	(A)	32,538			(A)
Other forward contracts	19,413			(B)	8,504			(B)
Cross-currency swaps	1,872			(A)	36,845			(A)
Total derivatives not designated as hedging instruments	$	11,781			$	86,668

(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
	Nine Months Ended September 30,
	2016				2015
Derivatives not designated as hedging instruments:
Futures on equity indices	$	103		(A)	$	896		(A)
Futures on equity indices	(5,358		)	(B)	122			(B)
Interest rate swaps	19,727			(A)	553			(A)
Interest rate futures	(77		)	(A)	(214		)	(A)
Interest rate futures	(249		)	(B)	55			(B)
Interest rate swaptions	96			(A)	2,919			(A)
Interest rate swaptions	(256		)	(B)	(2,076		)	(B)
Other forward contracts	7,268			(A)	14,778			(A)
Other forward contracts	31,509			(B)	6,414			(B)
Cross-currency swaps	62,147			(A)	44,549			(A)
Total derivatives not designated as hedging instruments	$	114,910			$	67,996

(A) Net investment income.

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