XML 81 R62.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments (Details) - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Dec. 31, 2016
Derivative offsetting [Abstract]          
Derivative assets subject to master netting agreements $ 33,100   $ 33,100   $ 28,400
Derivative liabilities subject to master netting agreements 34,500   34,500   26,000
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments [1] (4,770) $ 20,334 (13,951) $ 41,066  
Not Designated as Hedging Instrument [Member]          
Derivative [Line Items]          
Asset derivatives - fair value 35,185   35,185   30,001
Liability derivatives - fair value (35,004)   (35,004)   (26,049)
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments (4,770) 20,334 (13,951) 41,066  
Not Designated as Hedging Instrument [Member] | Futures contracts          
Derivative [Line Items]          
Net derivatives - notional value [2],[3] 2,402,654   2,402,654   1,655,530
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments (5,310) 34,871 2,410 61,322  
Not Designated as Hedging Instrument [Member] | Futures contracts | Other assets          
Derivative [Line Items]          
Asset derivatives - fair value 4,490 [3]   4,490 [3]   360
Not Designated as Hedging Instrument [Member] | Futures contracts | Other liabilities          
Derivative [Line Items]          
Liability derivatives - fair value [3] (9,988)   (9,988)   (9,398)
Not Designated as Hedging Instrument [Member] | Foreign currency forward contracts          
Derivative [Line Items]          
Net derivatives - notional value [2],[3] 1,068,430   1,068,430   1,186,386
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments (272) (13,782) (12,038) (18,534)  
Not Designated as Hedging Instrument [Member] | Foreign currency forward contracts | Other assets          
Derivative [Line Items]          
Asset derivatives - fair value [3] 13,854   13,854   9,354
Not Designated as Hedging Instrument [Member] | Foreign currency forward contracts | Other liabilities          
Derivative [Line Items]          
Liability derivatives - fair value [3] (16,659)   (16,659)   (12,941)
Not Designated as Hedging Instrument [Member] | TBAs          
Derivative [Line Items]          
Net derivatives - notional value [2],[4] 4,978   4,978   0
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments 86 37 21 334  
Not Designated as Hedging Instrument [Member] | TBAs | Fixed maturities available for sale          
Derivative [Line Items]          
Asset derivatives - fair value 4,970 [4]   4,970 [4]   0
Liability derivatives - fair value [4] 0   0   0
Not Designated as Hedging Instrument [Member] | Other          
Derivative [Line Items]          
Net derivatives - notional value [2],[3] 1,747,025   1,747,025   1,014,863
Net realized gains (losses) on derivative instruments          
Net realized gains (losses) on derivative instruments 726 $ (792) (4,344) $ (2,056)  
Not Designated as Hedging Instrument [Member] | Other | Other assets          
Derivative [Line Items]          
Asset derivatives - fair value [3] 11,871   11,871   20,287
Not Designated as Hedging Instrument [Member] | Other | Other liabilities          
Derivative [Line Items]          
Liability derivatives - fair value [3] $ (8,357)   $ (8,357)   $ (3,710)
[1] See Note 9 for information on the Company’s derivative instruments.
[2] Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.
[3] The fair value of asset derivatives are included in ‘other assets’ and the fair value of liability derivatives are included in ‘other liabilities.’
[4] The fair value of TBAs are included in ‘fixed maturities available for sale, at fair value.’