Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017
			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	$	37,308		$	37,308	$	—
Cross-currency swaps	666,577		32,731			43,652		10,921
Total cash flow hedges	1,086,377		70,039			80,960		10,921
Total derivatives designated as hedges	1,086,377		70,039			80,960		10,921
Derivatives not designated as hedges:
Interest rate swaps	486,100		(6,708		)	8,187		14,895
Futures on equity indices	31,433		—			—		—
Interest rate futures	74,600		—			—		—
Interest rate swaptions	162,464		265			265		—
Other forward contracts	2,538,450		6,784			7,817		1,033
Cross-currency swaps	612,733		19,152			42,071		22,919
Total derivatives not designated as hedges	3,905,780		19,493			58,340		38,847
Total derivative financial instruments	$	4,992,157	$	89,532		$	139,300	$	49,768

⁽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, 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 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 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,
	2017			2016			2017			2016
Cash flow hedges:
Interest rate swaps	$	(148	)	$	525		$	1,220		$	1,494	(A)
Interest rate swaps	3,843			—			(880		)	—		(B)
Cross-currency swaps	(10,650		)	(2,129		)	1,102			992		(A)
Total cash flow hedges	$	(6,955	)	$	(1,604	)	$	1,442		$	2,486

(A) Net investment income.

(B) Interest expense.

	Gain (loss) on derivatives recognized in net income
	Three Months Ended March 31,
	2017				2016
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(684	)	(A)	$	(230	)	(A)
Futures on equity indices	(1,284		)	(B)	(1,441		)	(B)
Interest rate swaps	(1,549		)	(A)	10,622			(A)
Interest rate futures	(14		)	(A)	(204		)	(A)
Interest rate futures	5			(B)	(32		)	(B)
Interest rate swaptions	(27		)	(A)	134			(A)
Interest rate swaptions	(74		)	(B)	(195		)	(B)
Other forward contracts	6,784			(A)	3,056			(A)
Other forward contracts	(5,597		)	(B)	2,938			(B)
Cross-currency swaps	(14,168		)	(A)	12,199			(A)
Total derivatives not designated as hedging instruments	$	(16,608	)		$	26,847

(A) Net investment income.

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