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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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, 2019 and December 31, 2018:
 
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, 2019:
 
 
 
 
 
 
 
 
 
Derivative Assets:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
72,395

 
$
239

 
$
72,156

 
$
—

 
$
72,156

Futures contracts
220

 
—

 
220

 
—

 
220

Total non-VIE derivative assets
$
72,615

 
$
239

 
$
72,376

 
$
—

 
$
72,376

Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Credit derivatives
$
861

 
$
—

 
$
861

 
$
—

 
$
861

Interest rate swaps
87,623

 
239

 
87,384

 
86,427

 
957

Total non-VIE derivative liabilities
$
88,484

 
$
239

 
$
88,245

 
$
86,427

 
$
1,818

Variable Interest Entities Derivative Assets:
 
 
 
 
 
 
 
 
 
Currency swaps
$
62,941

 
$
—

 
$
62,941

 
$
—

 
$
62,941

Total VIE derivative assets
$
62,941

 
$
—

 
$
62,941

 
$
—

 
$
62,941

Variable Interest Entities Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
1,818,273

 
$
—

 
$
1,818,273

 
$
—

 
$
1,818,273

Total VIE derivative liabilities
$
1,818,273

 
$
—

 
$
1,818,273

 
$
—

 
$
1,818,273

December 31, 2018:
 
 
 
 
 
 
 
 
 
Derivative Assets:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
59,768

 
$
300

 
$
59,468

 
$
—

 
$
59,468

Total non-VIE derivative assets
$
59,768

 
$
300

 
$
59,468

 
$
—

 
$
59,468

Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Credit derivatives
$
1,459

 
$
—

 
$
1,459

 
$
—

 
$
1,459

Interest rate swaps
72,161

 
300

 
71,861

 
67,126

 
4,735

Futures contracts
3,379

 
—

 
3,379

 
3,379

 
—

Total non-VIE derivative liabilities
$
76,999

 
$
300

 
$
76,699

 
$
70,505

 
$
6,194

Variable Interest Entities Derivative Assets:
 
 
 
 
 
 
 
 
 
Currency swaps
$
66,302

 
$
—

 
$
66,302

 
$
—

 
$
66,302

Total VIE derivative assets
$
66,302

 
$
—

 
$
66,302

 
$
—

 
$
66,302

Variable Interest Entities Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
1,712,062

 
$
—

 
$
1,712,062

 
$
—

 
$
1,712,062

Total VIE derivative liabilities
$
1,712,062

 
$
—

 
$
1,712,062

 
$
—

 
$
1,712,062
Summary of Location and Amount of Gains and Losses of Derivative Contracts
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 six months ended June 30, 2019 and 2018:
 
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 June 30,
 
Six Months Ended June 30,
 
 
2019
 
2018
 
2019
 
2018
Non-VIE derivatives:
 
 
 
 
 
 
 
 
 
 
 
Credit derivatives
Net gains (losses) on derivative contracts
 
$
310

 
$
(217
)
 
$
783

 
$
(563
)
Interest rate swaps
Net gains (losses) on derivative contracts
 
(7,377
)
 
1,620

 
(10,109
)
 
6,163

Futures contracts
Net gains (losses) on derivative contracts
 
(28,345
)
 
7,529

 
(42,245
)
 
28,523

Total Non-VIE derivatives
 
 
 
 
$
(35,412
)
 
$
8,932

 
(51,571
)
 
34,123

Variable Interest Entities:
 
 
 
 
 
 
 
 
 
 
 
Currency swaps
Income (loss) on variable interest entities
 
$
3,713

 
$
14,143

 
(3,361
)
 
5,526

Interest rate swaps
Income (loss) on variable interest entities
 
(36,370
)
 
163,229

 
(106,211
)
 
213,038

Total Variable Interest Entities
 
(32,657
)
 
177,372

 
(109,572
)
 
218,564

Total derivative contracts
 
 
$
(68,069
)
 
$
186,304

 
$
(161,143
)
 
$
252,687
Summary of Notional Amounts of AFS's Trading Derivative Products As of June 30, 2019 and December 31, 2018 the notional amounts of AFS’s derivatives are as follows:
 
 
Notional
Type of Derivative
 
June 30, 2019
 
December 31,
2018
Interest rate swaps—receive-fixed/pay-variable
 
$
341,415

 
$
493,368

Interest rate swaps—pay-fixed/receive-variable
 
1,266,634

 
1,121,532

US Treasury futures contracts—short
 
1,375,000

 
1,760,000
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, 2019 and December 31, 2018 are as follows:
 
 
Notional
Type of VIE Derivative
 
June 30, 2019
 
December 31,
2018
Interest rate swaps—receive-fixed/pay-variable
 
$
1,393,935

 
$
1,399,532

Interest rate swaps—pay-fixed/receive-variable
 
1,150,451

 
1,176,748

Currency swaps
 
329,626

 
344,992

Credit derivatives
 
9,530

 
10,254