Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2017

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 September 30, 2017 and December 31, 2016:



	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
September 30, 2017:
Derivative Assets:
Interest rate swaps	$	76,203	$	1,152	$	75,051	$	—	$	75,051
Futures contracts	2,236		—		2,236		—		2,236
Total non-VIE derivative assets	$	78,439	$	1,152	$	77,287	$	—	$	77,287
Derivative Liabilities:
Credit derivatives	$	8,961	$	—	$	8,961	$	—	$	8,961
Interest rate swaps	83,090		1,152		81,938		81,762		176
Total non-VIE derivative liabilities	$	92,051	$	1,152	$	90,899	$	81,762	$	9,137
Variable Interest Entities Derivative Assets:
Currency swaps	$	57,714	$	—	$	57,714	$	—	$	57,714
Total VIE derivative assets	$	57,714	$	—	$	57,714	$	—	$	57,714
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	2,088,922	$	—	$	2,088,922	$	—	$	2,088,922
Total VIE derivative liabilities	$	2,088,922	$	—	$	2,088,922	$	—	$	2,088,922

December 31, 2016:
Derivative Assets:
Interest rate swaps	$	139,045	$	61,839	$	77,206	$	—	$	77,206
Futures contracts	536		—		536		—		536
Total non-VIE derivative assets	$	139,581	$	61,839	$	77,742	$	—	$	77,742
Derivative Liabilities:
Credit derivatives	$	15,349	$	—	$	15,349	$	—	$	15,349
Interest rate swaps	365,776		61,839		303,937		156,925		147,012
Total non-VIE derivative liabilities	$	381,125	$	61,839	$	319,286	$	156,925	$	162,361
Variable Interest Entities Derivative Assets:
Currency swaps	$	80,407	$	—	$	80,407	$	—	$	80,407
Total VIE derivative assets	$	80,407	$	—	$	80,407	$	—	$	80,407
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	2,078,601	$	—	$	2,078,601	$	—	$	2,078,601
Total VIE derivative liabilities	$	2,078,601	$	—	$	2,078,601	$	—	$	2,078,601

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 September 30, 2017 and December 31, 2016.

The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income (Loss) for the three and nine months ended September 30, 2017 and 2016:



	Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
		Three Months Ended September 30,						Nine Months Ended September 30,
		2017			2016			2017			2016
Non-VIEs:
Credit derivatives	Net change in fair value of credit derivatives	$	179		$	1,733		$	7,855		$	18,554
Non-VIE derivatives:
Interest rate swaps	Net gains (losses) on interest rate derivatives	3,394			(14,646		)	40,643			(125,079		)
Futures contracts	Net gains (losses) on interest rate derivatives	590			136			(4,105		)	(9,186		)
Total Non-VIE derivatives		3,984			(14,510		)	36,538			(134,265		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	(7,794		)	5,509			(22,693		)	31,814
Interest rate swaps	Income (loss) on variable interest entities	(24,851		)	(180,744		)	(10,321		)	(339,524		)
Total Variable Interest Entities		(32,645		)	(175,235		)	(33,014		)	(307,710		)
Total derivative contracts		$	(28,482	)	$	(188,012	)	$	11,379		$	(423,421	)

Summary of Gross Principal Notional Outstanding for CDS Contracts

The following table summarizes the gross principal notional outstanding for CDS contracts, by Ambac rating as of September 30, 2017 and December 31, 2016:



Ambac Rating	September 30, 2017		December 31, 2016
AAA	$	—	$	—
AA	175,576		315,201
A	—		227,146
BBB ⁽¹⁾	147,712		127,250
Below investment grade ⁽²⁾	73,715		67,783
Total	$	397,003	$	737,380


(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 table below summarizes other information related to credit derivatives outstanding as of September 30, 2017 and December 31, 2016:



	September 30, 2017		December 31, 2016
Number of CDS transactions	4		8
Remaining expected weighted-average life of obligations (in years)	6.5		5.2
Gross principal notional outstanding	$	397,003	$	737,380
Net derivative liabilities at fair value	$	8,961	$	15,349

Summary of Notional Amounts of AFS's Trading Derivative Products

As of September 30, 2017 and December 31, 2016 the notional amounts of AFS’s derivatives are as follows:



	Notional
Type of derivative	September 30, 2017		December 31, 2016
Interest rate swaps—receive-fixed/pay-variable	$	1,431,977	$	973,130
Interest rate swaps—pay-fixed/receive-variable	384,235		1,874,678
US Treasury futures contracts—short	1,555,000		195,000

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 September 30, 2017 and December 31, 2016 are as follows:



	Notional
Type of VIE derivative	September 30, 2017		December 31, 2016
Interest rate swaps—receive-fixed/pay-variable	$	1,471,309	$	1,352,010
Interest rate swaps—pay-fixed/receive-variable	2,471,105		2,300,584
Currency swaps	398,270		312,357
Credit derivatives	12,001		12,059

- 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).

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