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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2012
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 September 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 |
September 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives held for trading |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Derivative assets |  | $ | — |  |  |  | Derivative liabilities |  |  | $ | 187,121 |
Interest rate swaps |  | Derivative assets |  |  | 97,464 |  |  |  | Derivative liabilities |  |  |  | 432,581 |
|  | Derivative liabilities |  |  | 166,345 |  |  |  | Derivative assets |  |  |  | — |
Currency swaps |  | Derivative assets |  |  | — |  |  |  | Derivative liabilities |  |  |  | — |
Futures contracts |  | Derivative assets |  |  | — |  |  |  | Derivative liabilities |  |  |  | 1,975 |
Other contracts |  | Derivative assets |  |  | — |  |  |  | Derivative liabilities |  |  |  | 255 |
Total derivatives held for trading |  |  |  |  | 263,809 |  |  |  |  |  |  |  | 621,932 |
Call options on long-term debt |  | Derivative assets |  |  | — |  |  |  | Derivative liabilities |  |  |  | — |
Total non-VIE derivatives |  |  |  | $ | 263,809 |  |  |  |  |  |  | $ | 621,932 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency swaps |  | VIE—Derivative liabilities |  |  | — |  |  |  | VIE—Derivative liabilities |  |  |  | 79,491 |
Interest rate swaps |  | VIE—Derivative liabilities |  |  | — |  |  |  | VIE—Derivative liabilities |  |  |  | 1,981,460 |
Total VIE derivatives |  |  |  | $ | — |  |  |  |  |  |  | $ | 2,060,951 |
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 nine month periods ended September 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 September 30, 2012 |  |  | Three months ended September 30, 2011 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | 27,440 |  |  | $ | 4,505 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (33,036 | ) |  |  | (206,455 | )
Currency swaps |  | Derivative products |  |  | 570 |  |  |  | 372 |
Futures contracts |  | Derivative products |  |  | (3,485 | ) |  |  | (9,364 | )
Other derivatives |  | Derivative products |  |  | (56 | ) |  |  | (328 | )
Total Financial Services derivative products |  |  |  |  | (36,007 | ) |  |  | (215,775 | )
Call options on long-term debt |  | Other (loss) income |  |  | — |  |  |  | (6,910 | )
Variable Interest Entities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Income on variable interest entities |  |  | — |  |  |  | — |
Currency swaps |  | Income on variable interest entities |  |  | 5,581 |  |  |  | 30,517 |
Interest rate swaps |  | Income on variable interest entities |  |  | (2,723 | ) |  |  | (475,288 | )
Total Variable Interest Entities |  |  |  |  | 2,858 |  |  |  | (444,771 | )
Total derivative contracts |  |  |  | $ | (5,709 | ) |  | $ | (662,951 | )
|  | 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 |
|  |  |  | Nine months ended September 30, 2012 |  |  | Nine months ended September 30, 2011 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | 12,803 |  |  | $ | 19,889 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (99,026 | ) |  |  | (240,715 | )
Currency swaps |  | Derivative products |  |  | 807 |  |  |  | (184 | )
Futures contracts |  | Derivative products |  |  | (15,247 | ) |  |  | (19,239 | )
Other derivatives |  | Derivative products |  |  | 325 |  |  |  | (228 | )
Total Financial Services derivative products |  |  |  |  | (113,141 | ) |  |  | (260,366 | )
Call options on long-term debt |  | Other (loss) income |  |  | (100,710 | ) |  |  | 13,860 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Income on variable interest entities |  |  | — |  |  |  | (4,511 | )
Currency swaps |  | Income on variable interest entities |  |  | (16,413 | ) |  |  | (7,848 | )
Interest rate swaps |  | Income on variable interest entities |  |  | 42,514 |  |  |  | (563,809 | )
Total Variable Interest Entities |  |  |  |  | 26,101 |  |  |  | (560,472 | )
Total derivative contracts |  |  |  | $ | (174,947 | ) |  | $ | (787,089 | )
Summary of Net Par Outstanding for CDS Contracts | than Ambac’s internal ratings. The following tables summarize the net par outstanding for CDS contracts, by Ambac rating, for each major category as of September 30, 2012 and December 31, 2011:
September 30, 2012 Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 217,833 |  |  | $ | 524,866 |  |  | $ | 742,699 |
AA |  |  | 5,144,553 |  |  |  | 1,263,749 |  |  |  | 6,408,302 |
A |  |  | 1,705,023 |  |  |  | 2,443,887 |  |  |  | 4,148,910 |
BBB(1) |  |  | — |  |  |  | 683,528 |  |  |  | 683,528 |
Below investment grade(2) |  |  | — |  |  |  | 291,446 |  |  |  | 291,446 |
|  | $ | 7,067,409 |  |  | $ | 5,207,476 |  |  | $ | 12,274,885 |
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 September 30, 2012 and December 31, 2011:
|  | CLO |  |  | Other |  |  | Total |
September 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |
Number of CDS transactions |  |  | 35 |  |  |  | 22 |  |  |  | 57 |
Remaining expected weighted-average life of obligations (in years) |  |  | 2.1 |  |  |  | 5.5 |  |  |  | 3.5 |
Gross principal notional outstanding |  | $ | 7,067,409 |  |  | $ | 5,207,476 |  |  | $ | 12,274,885 |
Net derivative liabilities at fair value |  | $ | (38,182 | ) |  | $ | (148,939 | ) |  | $ | (187,121 | )
|  | 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 | As of September 30, 2012 and December 31, 2011 the notional amounts of AFS’s trading derivative products are as follows:
Type of derivative |  | Notional September 30, 2012 |  |  | Notional December 31, 2011 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 968,168 |  |  | $ | 1,370,995 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 1,745,806 |  |  |  | 3,798,305 |
Interest rate swaps—basis swaps |  |  | 161,690 |  |  |  | 175,835 |
Currency swaps |  |  | — |  |  |  | 13,559 |
Futures contracts |  |  | 258,000 |  |  |  | 53,500 |
Other contracts |  |  | 75,651 |  |  |  | 118,930 |
Summary of Notional for VIE Derivatives Outstanding | to meet specified purposes within the securitization structure. The notional for VIE derivatives outstanding as of September 30, 2012 and December 31, 2011 are as follows:
Type of VIE derivative |  | Notional September 30, 2012 |  |  | Notional December 31, 2011 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,771,255 |  |  | $ | 1,702,113 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 4,676,450 |  |  |  | 4,535,626 |
Currency swaps |  |  | 750,463 |  |  |  | 721,168 |
Credit derivatives |  |  | 20,747 |  |  |  | 20,934 |

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- Definition 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) -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 + Details
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- Definition 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 -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5618551-113959 + Details
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