Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair value and notional amount of derivatives

The following table summarizes information on the fair values and notional values of the Company’s derivative instruments:

	Estimated Fair Value
	Asset Derivatives		Liability Derivatives			Notional Value (1)
June 30, 2017
Futures contracts (2)	$	4,490	$	(9,988	)	$	2,402,654
Foreign currency forward contracts (2)	13,854		(16,659		)	1,068,430
TBAs (3)	4,970		—			4,978
Other (2)	11,871		(8,357		)	1,747,025
Total	$	35,185	$	(35,004	)
December 31, 2016
Futures contracts (2)	$	360	$	(9,398	)	$	1,655,530
Foreign currency forward contracts (2)	9,354		(12,941		)	1,186,386
TBAs (3)	—		—			—
Other (2)	20,287		(3,710		)	1,014,863
Total	$	30,001	$	(26,049	)

(1) Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.

(2) The fair value of asset derivatives are included in ‘other assets’ and the fair value of liability derivatives are included in ‘other liabilities.’

(3) The fair value of TBAs are included in ‘fixed maturities available for sale, at fair value.’

Summary of net realized gains (losses) recorded in the consolidated statements of income

All realized and unrealized contract gains and losses on the Company’s derivative instruments are reflected in net realized gains (losses) in the consolidated statements of income, as summarized in the following table:

Derivatives not designated as	June 30,
hedging instruments:	2017			2016
Three Months Ended
Net realized gains (losses):
Futures contracts	$	(5,310	)	$	34,871
Foreign currency forward contracts	(272		)	(13,782		)
TBAs	86			37
Other	726			(792		)
Total	$	(4,770	)	$	20,334
Six Months Ended
Net realized gains (losses):
Futures contracts	$	2,410		$	61,322
Foreign currency forward contracts	(12,038		)	(18,534		)
TBAs	21			334
Other	(4,344		)	(2,056		)
Total	$	(13,951	)	$	41,066