XML 104 R70.htm IDEA: XBRL DOCUMENT v3.3.1.900
Derivatives - Balance Sheet (Details) - USD ($)
$ in Thousands
Dec. 31, 2015
Dec. 31, 2014
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset [1] $ 33,159 $ 21,521
Derivative Fair Value Of Derivative Liability [1] (47,916) (27,977)
Fair value (14,757) (6,456)
Derivatives designated as hedges [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0  
Derivative Fair Value Of Derivative Liability (9,305)  
Fair value (9,305)  
Derivatives designated as hedges [Member] | Foreign exchange forward contracts [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0  
Derivative Fair Value Of Derivative Liability (9,305)  
Net notional exposure 392,523  
Fair value (9,305)  
Derivatives designated as hedges [Member] | Euro Member Countries, Euro | Foreign exchange forward contracts [Member]    
Derivative [Line Items]    
Net notional exposure 350,000  
Derivatives not designated as hedges [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset [1] 33,159  
Derivative Fair Value Of Derivative Liability [1] (38,611)  
Fair value (5,452)  
Derivatives not designated as hedges [Member] | Foreign exchange forward contracts [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 15,311 20,033
Derivative Fair Value Of Derivative Liability (5,804) (7,446)
Net notional exposure 1,708,285 2,080,276
Fair value 9,507 12,587
Derivatives not designated as hedges [Member] | Foreign currency option contracts [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0 0
Derivative Fair Value Of Derivative Liability 0 (1,196)
Net notional exposure 82,148 43,380
Fair value 0 (1,196)
Derivatives not designated as hedges [Member] | Futures contracts [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 5,675 846
Derivative Fair Value Of Derivative Liability (140) (467)
Net notional exposure 3,610,658 2,348,735
Fair value 5,535 379
Derivatives not designated as hedges [Member] | Insurance-linked securities [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset [2] 9,428 3
Derivative Fair Value Of Derivative Liability [2] (3,944) (339)
Net notional exposure [2] 140,320 145,481
Fair value [2] 5,484 (336)
Derivatives not designated as hedges [Member] | Total return swaps [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 2,745 485
Derivative Fair Value Of Derivative Liability (2,878) (2,007)
Net notional exposure 42,438 42,524
Fair value (133) (1,522)
Derivatives not designated as hedges [Member] | Interest rate swaps [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset [3] 0 0
Derivative Fair Value Of Derivative Liability [3] (24,383) (16,282)
Net notional exposure [3] 196,804 201,160
Fair value [3] (24,383) (16,282)
Derivatives not designated as hedges [Member] | TBAs [Member]    
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0 154
Derivative Fair Value Of Derivative Liability (1,462) (240)
Net notional exposure 447,315 235,105
Fair value $ (1,462) $ (86)
[1] Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place.
[2] At December 31, 2015 and 2014, insurance-linked securities include a longevity swap for which the notional amount is not reflective of the overall potential exposure of the swap. As such, the Company has included the probable maximum loss under the swap within the net notional exposure as an approximation of the notional amount.
[3] The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. Only the notional value of interest rate swaps on fixed maturities is presented separately in the table.