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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Derivative Instruments [Abstract]

Summary of location and fair values of individual derivative instruments

The following tables summarize the location and fair values of individual derivative instruments reported in the Consolidated Balance Sheets as of June 30, 2012 and December 31, 2011. Amounts are presented gross of the effect of offsetting balances even where a legal right of offset exists.

Fair Values of Derivative Instruments

		Derivative Asset						Derivative Liability
		Balance Sheet Location		Fair Value				Balance Sheet Location		Fair value
June 30, 2012
Derivatives held for trading
Credit derivatives		Derivative assets		$	—			Derivative liabilities		$	211,617
Interest rate swaps		Derivative assets			392,766			Derivative liabilities			180,713
		Derivative liabilities			582			Derivative assets			259,852
Currency swaps		Derivative assets			—			Derivative liabilities			570
Futures contracts		Derivative assets			—			Derivative liabilities			1,541
Other contracts		Derivative assets			—			Derivative liabilities			180
Total derivatives held for trading					393,348						654,473
Call options on long-term debt		Derivative assets			—			Derivative liabilities			—
Total non-VIE derivatives				$	393,348					$	654,473
Variable Interest Entities
Currency swaps		VIE—Derivative liabilities			—			VIE—Derivative liabilities			85,072
Interest rate swaps		VIE—Derivative liabilities			—			VIE—Derivative liabilities			1,978,737
Total VIE derivatives				$	—					$	2,063,809
December 31, 2011:
Derivatives held for trading
Credit derivatives		Derivative assets		$	—			Derivative liabilities		$	190,653
Interest rate swaps		Derivative assets			411,652			Derivative liabilities			251,303
		Derivative liabilities			30,859			Derivative assets			242,500
Currency swaps		Derivative assets			—			Derivative liabilities			2,423
Futures contracts		Derivative assets			—			Derivative liabilities			627
Other contracts		Derivative assets			—			Derivative liabilities			361
Total derivatives held for trading					442,511						687,867
Call options on long-term debt		Derivative assets			6,055			Derivative liabilities			—
Total non-VIE derivatives				$	448,566					$	687,867
Variable Interest Entities
Currency swaps		VIE—Derivative liabilities			27,779			VIE—Derivative liabilities			90,857
Interest rate swaps		VIE—Derivative liabilities			—			VIE—Derivative liabilities			2,023,974
Total VIE derivatives				$	27,779					$	2,114,831

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 for the three and six month periods ended June 30, 2012 and 2011, respectively:

		Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income		Amount of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income
				Three months ended June 30, 2012				Three months ended June 30, 2011
Financial Guarantee:
Credit derivatives		Net change in fair value of credit derivatives		$	(7,415	)		$	24,287
Financial Services derivatives products:
Interest rate swaps		Derivative products			(108,175	)			(57,952	)
Currency swaps		Derivative products			81				(354	)
Futures contracts		Derivative products			(16,070	)			(7,307	)
Other derivatives		Derivative products			73				19
Total Financial Services derivative products					(124,091	)			(65,594	)
Call options on long-term debt		Other income			39,030				4,045
Variable Interest Entities:
Credit derivatives		Income (loss) on variable interest entities			—				—
Currency swaps		Income (loss) on variable interest entities			(10,787	)			(9,970	)
Interest rate swaps		Income (loss) on variable interest entities			(48,478	)			(147,350	)
Total Variable Interest Entities					(59,265	)			(157,320	)
Total derivative contracts				$	(151,741	)		$	(194,582	)
		Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income		Amount of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income
				Six months ended June 30, 2012				Six months ended June 30, 2011
Financial Guarantee:
Credit derivatives		Net change in fair value of credit derivatives		$	(14,637	)		$	15,384
Financial Services derivatives products:
Interest rate swaps		Derivative products			(65,990	)			(34,260	)
Currency swaps		Derivative products			237				(556	)
Futures contracts		Derivative products			(11,762	)			(9,875	)
Other derivatives		Derivative products			381				100
Total Financial Services derivative products					(77,134	)			(44,591	)
Call options on long-term debt		Other income			100,710				20,770
Variable Interest Entities:
Credit derivatives		Income (loss) on variable interest entities			—				(4,511	)
Currency swaps		Income (loss) on variable interest entities			(21,994	)			(22,669	)
Interest rate swaps		Income (loss) on variable interest entities			45,237				(88,521	)
Total Variable Interest Entities					23,243				(115,701	)
Total derivative contracts				$	32,182			$	(124,138	)

Summary of net par outstanding for CDS contracts

June 30, 2012 Ambac Rating		CLO				Other				Total
AAA		$	127,730			$	920,142			$	1,047,872
AA			5,756,517				846,291				6,602,808
A			1,702,167				2,755,418				4,457,585
BBB(1)			—				485,965				485,965
Below investment grade (2)			—				290,186				290,186
		$	7,586,414			$	5,298,002			$	12,884,416
December 31, 2011 Ambac Rating		CLO				Other				Total
AAA		$	297,741			$	913,857			$	1,211,598
AA			6,193,522				1,248,584				7,442,106
A			1,737,314				2,967,445				4,704,759
BBB(1)			—				518,142				518,142
Below investment grade (2)			—				290,007				290,007
		$	8,228,577			$	5,938,035			$	14,166,612

(1) BBB internal rating reflects 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 (“BIG”) 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, 2012 and December 31, 2011:

		CLO				Other				Total
June 30, 2012
Number of CDS transactions			38				22				60
Remaining expected weighted-average life of obligations (in years)			2.3				5.8				3.7
Gross principal notional outstanding		$	7,586,414			$	5,298,002			$	12,884,416
Net derivative liabilities at fair value		$	(51,166	)		$	(160,451	)		$	(211,617	)
		CLO				Other				Total
December 31, 2011
Number of CDS transactions			44				24				68
Remaining expected weighted-average life of obligations (in years)			2.7				6.0				4.1
Gross principal notional outstanding		$	8,228,577			$	5,938,035			$	14,166,612
Net derivative liabilities at fair value		$	(54,320	)		$	(136,333	)		$	(190,653	)

Summary of notional amounts of AFS's trading derivative products

Type of derivative		Notional June 30, 2012				Notional December 31, 2011
Interest rate swaps—receive-fixed/pay-variable		$	978,781			$	1,370,995
Interest rate swaps—pay-fixed/receive-variable			2,094,301				3,798,305
Interest rate swaps—basis swaps			175,835				175,835
Currency swaps			3,549				13,559
Futures contracts			295,000				53,500
Other contracts			118,450				118,930

Summary of notional for VIE derivatives outstanding

		Notional				Notional
Type of VIE derivative		June 30, 2012				December 31, 2011
Interest rate swaps—receive-fixed/pay-variable		$	1,721,100			$	1,702,113
Interest rate swaps—pay-fixed/receive-variable			4,586,220				4,535,626
Currency swaps			729,213				721,168
Credit derivatives			20,605				20,934

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Summary of notional for VIE derivatives outstanding.

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Tabular disclosure of the effective portion of the gains and losses on derivative instruments designated (and non-derivative instruments) designated and qualifying in cash flow hedges and net investment hedges that was recognized in other comprehensive income (loss) during the current period.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 815

-SubTopic 10

-Section 50

-Paragraph 4C

-Subparagraph (b)

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Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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-SubTopic 10

-Section 50

-Paragraph 4A

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Tabular disclosure of the notional amounts of outstanding derivative positions.

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Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 815

-SubTopic 10

-Section 50

-Paragraph 1A

-Subparagraph (d)

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