Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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:

	June 30, 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	$	29,929		$	29,929	$	—
Cross-currency swaps	714,334		20,272			40,324		20,052
Total cash flow hedges	1,134,134		50,201			70,253		20,052
Total derivatives designated as hedges	1,134,134		50,201			70,253		20,052
Derivatives not designated as hedges:
Interest rate swaps	494,100		(2,196		)	10,296		12,492
Futures on equity indices	28,243		—			—		—
Interest rate futures	88,500		—			—		—
Interest rate swaptions	161,294		204			204		—
Other forward contracts	2,957,950		(2,580		)	2,843		5,423
Cross-currency swaps	612,733		11,583			35,587		24,004
Total derivatives not designated as hedges	4,342,820		7,011			48,930		41,919
Total derivative financial instruments	$	5,476,954	$	57,212		$	119,183	$	61,971

⁽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 and comprehensive income reported by cash flow hedges and derivatives not designated as 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 June 30,						Three Months Ended June 30,
	2017			2016			2017			2016
Cash flow hedges:
Interest rate swaps	$	644		$	3,974		$	1,186		$	1,337		(A)
Interest rate swaps	(8,193		)	(24,733		)	(787		)	(583		)	(B)
Cross-currency swaps	(10,696		)	26,861			(973		)	1,209			(A)
Total cash flow hedges	$	(18,245	)	$	6,102		$	(574	)	$	1,963

(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)
	Six Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Cash flow hedges:
Interest rate swaps	$	496		$	4,499		$	2,406		$	2,831		(A)
Interest rate swaps	(4,350		)	(24,733		)	(1,667		)	(583		)	(B)
Cross-currency swaps	(21,346		)	24,732			129			2,201			(A)
Total cash flow hedges	$	(25,200	)	$	4,498		$	868		$	4,449

(A) Net investment income.

(B) Interest expense.

	Gain (loss) on derivatives recognized in net income
	Three Months Ended June 30,
	2017				2016
Derivatives not designated as hedging instruments:
Futures on equity indices	$	350		(A)	$	(177	)	(A)
Futures on equity indices	(1,536		)	(B)	(1,836		)	(B)
Interest rate swaps	4,976			(A)	8,687			(A)
Interest rate futures	116			(A)	(7		)	(A)
Interest rate futures	(206		)	(B)	(34		)	(B)
Interest rate swaptions	(4		)	(A)	(61		)	(A)
Interest rate swaptions	(77		)	(B)	(22		)	(B)
Other forward contracts	(9,363		)	(A)	12,498			(A)
Other forward contracts	18,716			(B)	9,158			(B)
Cross-currency swaps	(8,083		)	(A)	48,076			(A)
Total derivatives not designated as hedging instruments	$	4,889			$	76,282

(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
	Six Months Ended June 30,
	2017				2016
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(334	)	(A)	$	(407	)	(A)
Futures on equity indices	(2,820		)	(B)	(3,277		)	(B)
Interest rate swaps	3,427			(A)	19,309			(A)
Interest rate futures	102			(A)	(211		)	(A)
Interest rate futures	(201		)	(B)	(66		)	(B)
Interest rate swaptions	(31		)	(A)	73			(A)
Interest rate swaptions	(151		)	(B)	(217		)	(B)
Other forward contracts	(2,580		)	(A)	15,555			(A)
Other forward contracts	13,119			(B)	12,096			(B)
Cross-currency swaps	(22,251		)	(A)	60,275			(A)
Total derivatives not designated as hedging instruments	$	(11,720	)		$	103,130

(A) Net investment income.

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