Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 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:

	December 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	$	388,800	$	7,476		$	7,476	$	—
Cross-currency swaps	800,060		(31,358		)	19,958		51,316
Total cash flow hedges	1,188,860		(23,882		)	27,434		51,316
Total derivatives designated as hedges	1,188,860		(23,882		)	27,434		51,316
Derivatives not designated as hedges:
Interest rate swaps	519,100		1,902			3,530		1,628
Futures on equity indices	22,074		—			—		—
Interest rate futures	60,700		—			—		—
Interest rate swaptions	164,522		75			75		—
Cross-currency swaps	612,733		(21,279		)	20,320		41,599
Total derivatives not designated as hedges	1,379,129		(19,302		)	23,925		43,227
Total derivative financial instruments	$	2,567,989	$	(43,184	)	$	51,359	$	94,543

⁽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, 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.

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 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)
	Year Ended December 31,							Year Ended December 31,
	2017			2016		2015		2017			2016			2015
Cash flow hedges:
Interest rate swaps	$	486		$	810	$	2,228	$	5,920		$	5,437		$	6,779		(A)
Interest rate swaps	—			—		—		59			—			3,634			(B)
Interest rate swaps	(5,590		)	21,228		—		(2,954		)	(2,657		)	—			(C)
Cross-currency swaps	(68,622		)	22,738		28,833		1,473			8,469			2,101			(A)
Interest rate futures	—			—		—		—			—			(134		)	(A)
Total cash flow hedges	$	(73,726	)	$	44,776	$	31,061	$	4,498		$	11,249		$	12,380

(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
	Year Ended December 31,
	2017				2016				2015
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(559	)	(A)	$	817		(A)	$	(284	)	(A)
Futures on equity indices	(5,829		)	(B)	(7,930		)	(B)	(527		)	(B)
Interest rate swaps	3,280			(A)	(4,541		)	(A)	(1,094		)	(A)
Interest rate futures	75			(A)	(57		)	(A)	(65		)	(A)
Interest rate futures	(307		)	(B)	(164		)	(B)	1			(B)
Interest rate swaptions	(83		)	(A)	302			(A)	2,868			(A)
Interest rate swaptions	(280		)	(B)	(313		)	(B)	(3,115		)	(B)
Currency forwards	—			(A)	111			(A)	—			(A)
Other forward contracts	15,326			(B)	4,690			(B)	5,074			(B)
Cross-currency swaps	(56,018		)	(A)	85,746			(A)	69,819			(A)
Cross-currency swaps	—			(B)	(1,601		)	(B)	—			(B)
Total derivatives not designated as hedging instruments	$	(44,395	)		$	77,060			$	72,677

(A) Net investment income.

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