Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 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:

	December 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	$	33,390		$	33,390	$	—
Cross-currency swaps	614,208		45,347			53,641		8,294
Total cash flow hedges	1,034,008		78,737			87,031		8,294
Total derivatives designated as hedges	1,034,008		78,737			87,031		8,294
Derivatives not designated as hedges:
Interest rate swaps	468,100		(4,358		)	8,982		13,340
Futures on equity indices	34,422		—			—		—
Interest rate futures	81,500		—			—		—
Interest rate swaptions	165,534		354			354		—
Cross-currency swaps	612,733		33,371			50,018		16,647
Total derivatives not designated as hedges	1,362,289		29,367			59,354		29,987
Total derivative financial instruments	$	2,396,297	$	108,104		$	146,385	$	38,281

⁽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, 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 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 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)
	Year Ended December 31,						Year Ended December 31,
	2016		2015		2014		2016			2015			2014
Cash flow hedges:
Interest rate swaps	$	810	$	2,228	$	9,096	$	5,437		$	6,779		$	7,462		(A)
Interest rate swaps	—		—		—		—			3,634			—			(B)
Interest rate swaps	21,228		—		—		(2,657		)	—			—			(C)
Cross-currency swaps	22,738		28,833		11,041		8,469			2,101			1,030			(A)
Cross-currency swaps	—		—		—		—			—			(154		)	(B)
Interest rate futures	—		—		—		—			(134		)	70			(A)
Total cash flow hedges	$	44,776	$	31,061	$	20,137	$	11,249		$	12,380		$	8,408

(A) Net investment income.

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

(C) Interest expense.

	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,
	2016		2015			2014				2016		2015			2014
Fair value hedges:
Interest rate swaps	$	—	$	(1,507	)	$	(3,444	)	(A)	$	—	$	—		$	—
Interest rate swaps	—		773			—			(B)	—		—			—
Items hedged in interest rate swaps	—		—			—				—		1,511			3,439		(A)
Items hedged in interest rate swaps	—		—			—				—		(773		)	—		(B)
Total fair value hedges	$	—	$	(734	)	$	(3,444	)		$	—	$	738		$	3,439

(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,
	2016				2015				2014
Derivatives not designated as hedging instruments:
Futures on equity indices	$	817		(A)	$	(284	)	(A)	$	(41	)	(A)
Futures on equity indices	(7,930		)	(B)	(527		)	(B)	(534		)	(B)
Interest rate swaps	(4,541		)	(A)	(1,094		)	(A)	6,508			(A)
Interest rate futures	(57		)	(A)	(65		)	(A)	(51		)	(A)
Interest rate futures	(164		)	(B)	1			(B)	305			(B)
Interest rate swaptions	302			(A)	2,868			(A)	2,424			(A)
Interest rate swaptions	(313		)	(B)	(3,115		)	(B)	(3,578		)	(B)
Currency forwards	111			(A)	—			(A)	—			(A)
Other forward contracts	4,690			(B)	5,074			(B)	94,465			(B)
Cross-currency swaps	85,746			(A)	69,819			(A)	24,588			(A)
Cross-currency swaps	(1,601		)	(B)	—			(B)	—			(B)
Total derivatives not designated as hedging instruments	$	77,060			$	72,677			$	124,086

(A) Net investment income.

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