Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018
			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	$	22,300	$	6,156		$	6,156	$	—
Cross-currency swaps	864,609		(65,232		)	10,404		75,636
Total cash flow hedges	886,909		(59,076		)	16,560		75,636
Total derivatives designated as hedges	886,909		(59,076		)	16,560		75,636
Derivatives not designated as hedges:
Interest rate swaps	534,100		775			1,703		928
Futures on equity indices	57,609		—			—		—
Interest rate futures	47,300		—			—		—
Interest rate swaptions	172,761		135			135		—
Other forward contracts	820,000		3,691			3,691		—
Cross-currency swaps	612,733		(49,242		)	12,882		62,124
Total derivatives not designated as hedges	2,244,503		(44,641		)	18,411		63,052
Total derivative financial instruments	$	3,131,412	$	(103,717	)	$	34,971	$	138,688

⁽¹⁾ The estimated fair value includes 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, 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 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 March 31,						Three Months Ended March 31,
	2018			2017			2018			2017
Cash flow hedges:
Interest rate swaps	$	(1,012	)	$	(148	)	$	928		$	1,220		(A)
Interest rate swaps	29,029			3,843			(255		)	(880		)	(B)
Cross-currency swaps	(34,513		)	(10,650		)	(526		)	1,102			(A)
Total cash flow hedges	$	(6,496	)	$	(6,955	)	$	147		$	1,442

(A) Net investment income.

(B) Interest expense.

	Gain (loss) on derivatives recognized in net income
	Three Months Ended March 31,
	2018				2017
Derivatives not designated as hedging instruments:
Futures on equity indices	$	—		(A)	$	(684	)	(A)
Futures on equity indices	(641		)	(B)	(1,284		)	(B)
Interest rate swaps	—			(A)	(1,549		)	(A)
Interest rate swaps	(10,966		)	(B)	—			(B)
Interest rate futures	—			(A)	(14		)	(A)
Interest rate futures	48			(B)	5			(B)
Interest rate swaptions	—			(A)	(27		)	(A)
Interest rate swaptions	36			(B)	(74		)	(B)
Other forward contracts	—			(A)	6,784			(A)
Other forward contracts	(20,368		)	(B)	(5,597		)	(B)
Cross-currency swaps	—			(A)	(14,168		)	(A)
Cross-currency swaps	(28,144		)	(B)	—			(B)
Total derivatives not designated as hedging instruments	$	(60,035	)		$	(16,608	)

(A) Net investment income.

(B) Represents investment (losses) gains, net.