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Derivative Instruments (Tables)
 9 Months Ended
Sep. 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 September 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
September 30, 2019:
 
 
 
 
 
 
 
 
 
Derivative Assets:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
81,837

 
$
68

 
$
81,769

 
$
—

 
$
81,769

Futures contracts
393

 
—

 
393

 
—

 
393

Total non-VIE derivative assets
$
82,230

 
$
68

 
$
82,162

 
$
—

 
$
82,162

Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Credit derivatives
$
422

 
$
—

 
$
422

 
$
—

 
$
422

Interest rate swaps
102,960

 
68

 
102,892

 
102,076

 
816

Total non-VIE derivative liabilities
$
103,382

 
$
68

 
$
103,314

 
$
102,076

 
$
1,238

Variable Interest Entities Derivative Assets:
 
 
 
 
 
 
 
 
 
Currency swaps
$
67,921

 
$
—

 
$
67,921

 
$
—

 
$
67,921

Total VIE derivative assets
$
67,921

 
$
—

 
$
67,921

 
$
—

 
$
67,921

Variable Interest Entities Derivative Liabilities:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
1,779,077

 
$
—

 
$
1,779,077

 
$
—

 
$
1,779,077

Total VIE derivative liabilities
$
1,779,077

 
$
—

 
$
1,779,077

 
$
—

 
$
1,779,077

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 nine months ended September 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 September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
Non-VIE derivatives:
 
 
 
 
 
 
 
 
 
 
 
Credit derivatives
Net gains (losses) on derivative contracts
 
$
528

 
$
250

 
$
1,311

 
$
(313
)
Interest rate swaps
Net gains (losses) on derivative contracts
 
(547
)
 
3,157

 
(10,656
)
 
9,320

Futures contracts
Net gains (losses) on derivative contracts
 
(9,871
)
 
14,176

 
(52,116
)
 
42,699

Total Non-VIE derivatives
 
 
 
 
$
(9,890
)
 
$
17,583

 
(61,461
)
 
51,706

Variable Interest Entities:
 
 
 
 
 
 
 
 
 
 
 
Currency swaps
Income (loss) on variable interest entities
 
$
9,618

 
$
1,140

 
6,257

 
6,666

Interest rate swaps
Income (loss) on variable interest entities
 
(165,664
)
 
335,054

 
(271,875
)
 
548,092

Total Variable Interest Entities
 
(156,046
)
 
336,194

 
(265,618
)
 
554,758

Total derivative contracts
 
 
$
(165,936
)
 
$
353,777

 
$
(327,079
)
 
$
606,464
Summary of Notional Amounts of AFS's Trading Derivative Products As of September 30, 2019 and December 31, 2018 the notional amounts of AFS’s derivatives are as follows:
 
 
Notional
Type of Derivative
 
September 30,
2019
 
December 31,
2018
Interest rate swaps—receive-fixed/pay-variable
 
$
337,481

 
$
493,368

Interest rate swaps—pay-fixed/receive-variable
 
1,265,895

 
1,121,532

US Treasury futures contracts—short
 
855,000

 
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 September 30, 2019 and December 31, 2018 are as follows:
 
 
Notional
Type of VIE Derivative
 
September 30,
2019
 
December 31,
2018
Interest rate swaps—receive-fixed/pay-variable
 
$
1,103,656

 
$
1,399,532

Interest rate swaps—pay-fixed/receive-variable
 
1,103,199

 
1,176,748

Currency swaps
 
312,264

 
344,992

Credit derivatives
 
8,676

 
10,254