Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2017 and 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
December 31, 2017:
Derivative Assets:
Interest rate swaps	73,826		627		73,199		—		73,199
Total non-VIE derivative assets	$	73,826	$	627	$	73,199	$	—	$	73,199
Derivative Liabilities:
Credit derivatives	$	566	$	—	$	566	$	—	$	566
Interest rate swaps	81,495		627		80,868		79,912		956
Futures contracts	1,348		—		1,348		1,348		—
Total non-VIE derivative liabilities	$	83,409	$	627	$	82,782	$	81,260	$	1,522
Variable Interest Entities Derivative Assets:
Currency swaps	54,877		—		54,877		—		54,877
Total VIE derivative assets	$	54,877	$	—	$	54,877	$	—	$	54,877
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	2,205,264	$	—	$	2,205,264	$	—	$	2,205,264
Total VIE derivative liabilities	$	2,205,264	$	—	$	2,205,264	$	—	$	2,205,264

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



	Location of gain (loss) recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of gain (loss) recognized in Consolidated Statement of Total Comprehensive Income (Loss) – Year Ended December 31,
		2017			2016			2015
Non-VIEs:
Credit derivatives	Net change in fair value of credit derivatives	$	16,372		$	20,106		$	41,701
Non VIE derivatives:
Interest rate swaps	Net gains (losses) on interest rate derivatives	48,870			(50,082		)	(41,177		)
Futures contracts	Net gains (losses) on interest rate derivatives	10,695			(191		)	(1,367		)
Total non-VIE derivatives		59,565			(50,273		)	(42,544		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	(25,530		)	58,990			103,757
Interest rate swaps	Income (loss) on variable interest entities	(126,664		)	(574,554		)	168,003
Total Variable Interest Entities		(152,194		)	(515,564		)	271,760
Total derivative contracts		$	(76,257	)	$	(545,731	)	$	270,917

Summary of Gross Principal Notional Outstanding for CDS Contracts

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



Ambac Rating
December 31,	2017		2016
AAA	$	—	$	—
AA	175,765		315,201
A	—		227,146
BBB ⁽¹⁾	150,125		127,250
Below investment grade ⁽²⁾	—		67,783
Total	$	325,890	$	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.

Summary of Notional Amounts of AFS's Trading Derivative Products

s of December 31, 2017 and 2016 the notional amounts of its derivatives are as follows:



	Notional - December 31,
Type of derivative	2017		2016
Interest rate swaps—receive-fixed/pay-variable	$	379,497	$	973,130
Interest rate swaps—pay-fixed/receive-variable	1,428,264		1,874,678
US Treasury futures contracts—short	1,655,000		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 December 31, 2017 and 2016 are as follows:



	Notional - December 31,
Type of VIE derivative	2017		2016
Interest rate swaps—receive-fixed/pay-variable	$	1,483,491	$	1,352,010
Interest rate swaps—pay-fixed/receive-variable	2,479,244		2,300,584
Currency swaps	394,541		312,357
Credit derivatives	12,100		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).

+ References + Details