Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Summary of Gross Fair Values of Individual Derivative Instruments

The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of June 30, 2015 and December 31, 2014:



	Gross Amounts of Recognized Assets / Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet		Net Amount
June 30, 2015:
Derivative Assets:
Credit derivatives	$	—	$	—	$	—	$	—	$	—
Interest rate swaps	128,601		48,212		80,389		—		80,389
Futures contracts	272		—		272		—		272
Total non-VIE derivative assets	$	128,873	$	48,212	$	80,661	$	—	$	80,661
Derivative Liabilities:
Credit derivatives	$	66,490	$	—	$	66,490	$	—	$	66,490
Interest rate swaps	324,506		48,212		276,294		149,395		126,899
Total non-VIE derivative liabilities	$	390,996	$	48,212	$	342,784	$	149,395	$	193,389
Variable Interest Entities:
Interest rate swaps	$	2,049,431	$	—	$	2,049,431	$	—	$	2,049,431
Currency swaps	25,578		—		25,578		—		25,578
Total VIE derivative liabilities	$	2,075,009	$	—	$	2,075,009	$	—	$	2,075,009

December 31, 2014:
Derivative Assets:
Credit derivatives	$	2,043	$	—	$	2,043	$	—	$	2,043
Interest rate swaps	161,640		54,666		106,974		—		106,974
Total non-VIE derivative assets	$	163,683	$	54,666	$	109,017	$	—	$	109,017
Derivative Liabilities:
Credit derivatives	$	75,502	$	—	$	75,502	$	—	$	75,502
Interest rate swaps	385,546		54,666		330,880		169,573		161,307
Futures contracts	562		—		562		562		—
Total non-VIE derivative liabilities	$	461,610	$	54,666	$	406,944	$	170,135	$	236,809
Variable Interest Entities:
Interest rate swaps	$	2,133,268	$	—	$	2,133,268	$	—	$	2,133,268
Currency swaps	66,895		—		66,895		—		66,895
Total VIE derivative liabilities	$	2,200,163	$	—	$	2,200,163	$	—	$	2,200,163

Summary of Location and Amount of Gains and Losses of Derivative Contracts

There were no amounts held representing an obligation to return cash collateral as of June 30, 2015 and December 31, 2014.

The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income for the three and six months ended June 30, 2015 and 2014:



	Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income
		Three Months Ended June 30,					Six Months Ended June 30,
		2015		2014			2015			2014
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	10,293	$	(1,219	)	$	7,794		$	6,163
Financial Services derivatives products:
Interest rate swaps	Derivative products	49,752		(45,508		)	14,205			(97,357		)
Futures contracts	Derivative products	1,247		(2,477		)	(980		)	(4,469		)
Total Financial Services derivative products		50,999		(47,985		)	13,225			(101,826		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	19,053		(997		)	41,317			4,411
Interest rate swaps	Income (loss) on variable interest entities	31,651		(81,773		)	83,837			(159,565		)
Total Variable Interest Entities		50,704		(82,770		)	125,154			(155,154		)
Total derivative contracts		$	111,996	$	(131,974	)	$	146,173		$	(250,817	)

Summary of Gross Principal Notional Outstanding for CDS Contracts

The following tables summarize the gross principal notional outstanding for CDS contracts, by Ambac rating, for each major category as of June 30, 2015 and December 31, 2014:



	CLO		Other		Total
Ambac Rating - June 30, 2015:
AAA	$	—	$	—	$	—
AA	433,555		239,322		672,877
A	—		9,322		9,322
BBB ⁽¹⁾	—		499,289		499,289
Below investment grade ⁽²⁾	—		266,451		266,451
Total	$	433,555	$	1,014,384	$	1,447,939

Ambac Rating - December 31, 2014:
AAA	$	—	$	—	$	—
AA	549,923		217,680		767,603
A	—		43,160		43,160
BBB⁽¹⁾	—		448,249		448,249
Below investment grade ⁽²⁾	—		270,747		270,747
Total	$	549,923	$	979,836	$	1,529,759


(1)	BBB internal ratings reflect bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles.


(2)	Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions.

Summarize Information by Major Category of CDS Contracts

The tables below summarize information by major category as of June 30, 2015 and December 31, 2014:



	CLO		Other		Total
June 30, 2015:
Number of CDS transactions	5		9		14
Remaining expected weighted-average life of obligations (in years)	1.3		6.0		4.6
Gross principal notional outstanding	$	433,555	$	1,014,384	$	1,447,939
Net derivative liabilities at fair value	$	1,518	$	64,972	$	66,490

December 31, 2014:
Number of CDS transactions	6		10		16
Remaining expected weighted-average life of obligations (in years)	1.8		5.4		4.1
Gross principal notional outstanding	$	549,923	$	979,836	$	1,529,759
Net derivative liabilities at fair value	$	2,027	$	71,432	$	73,459

Summary of Notional Amounts of AFS's Trading Derivative Products

As of June 30, 2015 and December 31, 2014 the notional amounts of AFS’s trading derivative products are as follows:



	Notional
Type of derivative	June 30, 2015		December 31, 2014
Interest rate swaps—receive-fixed/pay-variable	$	759,688	$	782,904
Interest rate swaps—pay-fixed/receive-variable	1,462,108		1,479,650
Interest rate swaps—basis swaps	55,800		55,800
Futures contracts	60,000		80,000

Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]

Summary of Notional Amounts of AFS's Trading Derivative Products

The notional for VIE derivatives outstanding as of June 30, 2015 and December 31, 2014 are as follows:



	Notional
Type of VIE derivative	June 30, 2015		December 31, 2014
Interest rate swaps—receive-fixed/pay-variable	$	1,726,477	$	1,710,344
Interest rate swaps—pay-fixed/receive-variable	3,181,823		3,152,090
Currency swaps	731,492		724,656
Credit derivatives	17,217		18,278

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details