Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

Derivative Financial Instruments

Summary of derivative financial instruments

	September 30, 2013
			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	$	193,700	$	16,663		$	16,663	$	—
Cross-currency swaps	634,717		(151,071		)	3,145		154,216
Total cash flow hedges	828,417		(134,408		)	19,808		154,216
Fair value hedges:
Interest rate swaps	78,000		3,932			4,114		182
Total fair value hedges	78,000		3,932			4,114		182
Total derivatives designated as hedges	906,417		(130,476		)	23,922		154,398
Derivatives not designated as hedges:
Interest rate swaps	42,100		(1,607		)	955		2,562
Futures on equity indices	4,074		—			—		—
Interest rate futures	16,080		—			—		—
Interest rate swaptions	544,674		920			920		—
Other forward contracts	5,762,300		55,530			85,479		29,949
Total derivatives not designated as hedges	6,369,228		54,843			87,354		32,511
Total cash flow hedges, fair value hedges and derivatives not designated as hedges	$	7,275,645	$	(75,633	)	$	111,276	$	186,909

(1) 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, 2012
			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	$	184,200	$	26,113		$	26,113	$	—
Cross-currency swaps	424,248		(81,109		)	4,643		85,752
Total cash flow hedges	608,448		(54,996		)	30,756		85,752
Fair value hedges:
Interest rate swaps	183,776		(1,391		)	258		1,649
Total fair value hedges	183,776		(1,391		)	258		1,649
Total derivatives designated as hedges	792,224		(56,387		)	31,014		87,401
Derivatives not designated as hedges:
Interest rate swaps	29,264		305			1,062		757
Futures on equity indices	3,133		—			—		—
Interest rate futures	80,550		—			—		—
Interest rate swaptions	688,674		342			342		—
Total derivatives not designated as hedges	801,621		647			1,404		757
Total cash flow hedges, fair value hedges and derivatives not designated as hedges	$	1,593,845	$	(55,740	)	$	32,418	$	88,158

(1) 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

	Gain (loss) recognized
	in OCI on derivatives						Gain (loss) reclassified from OCI
	(Effective portion)						into net income (Effective portion)
	Three months ended September 30,						Three months ended September 30,
	2013			2012			2013		2012
Cash flow hedges:
Interest rate swaps	$	(991	)	$	889		$	575	$	707	(A)
Cross-currency swaps	(48,917		)	(9,467		)	—		—
Interest rate futures	—			—			16		16		(A)
Total cash flow hedges	$	(49,908	)	$	(8,578	)	$	591	$	723

(A) Net investment income.

	Gain (loss) recognized
	in OCI on derivatives						Gain (loss) reclassified from OCI
	(Effective portion)						into net income (Effective portion)
	Nine months ended September 30,						Nine months ended September 30,
	2013			2012			2013		2012
Cash flow hedges:
Interest rate swaps	$	(10,792	)	$	7,095		$	4,491	$	2,149	(A)
Cross-currency swaps	(22,208		)	(8,634		)	—		—
Interest rate futures	—			—			48		48		(A)
Total cash flow hedges	$	(33,000	)	$	(1,539	)	$	4,539	$	2,197

(A) Net investment income.

	Gain (loss) on derivatives						Gain (loss) on hedged assets
	recognized in net income						recognized in net income
	Three months ended September 30,						Three months ended September 30,
	2013			2012			2013			2012
Fair value hedges:
Interest rate swaps	$	(1,756	)	$	(69	)(A)	$	—		$	—
Interest rate swaps	2,094			—		(B)	—			—
Items hedged in interest rate swaps	—			—			1,768			69		(A)
Items hedged in interest rate swaps	—			—			(2,106		)	—		(B)
Total fair value hedges	$	338		$	(69	)	$	(338	)	$	69

(A) Net investment income.

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

	Gain (loss) on derivatives					Gain (loss) on hedged assets
	recognized in net income					recognized in net income
	Nine months ended September 30,					Nine months ended September 30,
	2013		2012			2013			2012
Fair value hedges:
Interest rate swaps	$	5,324	$	(762	)(A)	$	—		$	—
Interest rate swaps	1,909		—		(B)	—			—
Items hedged in interest rate swaps	—		—			(4,290		)	762		(A)
Items hedged in interest rate swaps	—		—			(2,943		)	—		(B)
Total fair value hedges	$	7,233	$	(762	)	$	(7,233	)	$	762

(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
	Three months ended September 30,
	2013			2012
Derivatives not designated as hedging instruments:
Futures on equity indices	$	(25	)(A)	$	(4	)(A)
Futures on equity indices	(330		)(B)	(1,077		)(B)
Interest rate swaps	(597		)(A)	(267		)(A)
Interest rate swaps	14		(B)	—		(B)
Interest rate futures	(143		)(A)	(547		)(A)
Interest rate futures	39		(B)	(306		)(B)
Interest rate swaptions	709		(A)	124		(A)
Interest rate swaptions	(735		)(B)	(495		)(B)
Other forward contracts	86,590		(A)	14,071		(A)
Other forward contracts	(66,093		)(B)	14,924		(B)
Total derivatives not designated as hedging instruments	$	19,429		$	26,423

(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
	Nine months ended September 30,
	2013			2012
Derivatives not designated as hedging instruments:
Futures on equity indices	$	61	(A)	$	75	(A)
Futures on equity indices	(1,442		)(B)	(1,299		)(B)
Interest rate swaps	(1,912		)(A)	8,611		(A)
Interest rate swaps	(622		)(B)	(4,432		)(B)
Interest rate futures	(663		)(A)	(831		)(A)
Interest rate futures	529		(B)	(1,843		)(B)
Interest rate swaptions	2,293		(A)	358		(A)
Interest rate swaptions	(2,043		)(B)	(1,265		)(B)
Other forward contracts	55,530		(A)	16,833		(A)
Other forward contracts	(98,828		)(B)	33,566		(B)
Total derivatives not designated as hedging instruments	$	(47,097	)	$	49,773

(A) Net investment income.

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