Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2012 and 2011. Amounts are presented gross of the effect of offsetting balances even where a legal right of offset exists.


	Derivative Asset			Derivative Liability
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair value
*December 31, 2012*
Derivatives held for trading
Credit derivatives	Derivative assets	$	—	Derivative liabilities	$	213,585
Interest rate swaps	Derivative assets		46,752	Derivative liabilities		390,774
	Derivative liabilities		151,365	Derivative assets		—
Currency swaps	Derivative assets		—	Derivative liabilities		—
Futures contracts	Derivative assets		1,253	Derivative liabilities		—
Other contracts	Derivative assets		—	Derivative liabilities		220

Total derivatives held for trading			199,370			604,579

Call options on long-term debt	Derivative assets		—	Derivative liabilities		—

Total non-VIE derivatives		$	199,370		$	604,579

Variable Interest Entities
Currency swaps	VIE—Derivative liabilities		—	VIE—Derivative liabilities		90,466
Interest rate swaps	VIE—Derivative liabilities		—	VIE—Derivative liabilities		2,131,315

Total VIE derivatives		$	—		$	2,221,781

*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 Loss for the years ended December 31, 2012 and 2011:


	Location of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income
		2012			2011
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	(9,219	)	$	48,032
Financial Services derivatives products:
Interest rate swaps	Derivative products		(111,396	)		(259,941	)
Currency swaps	Derivative products		807			30
Futures contracts	Derivative products		(14,864	)		(20,496	)
Other derivatives	Derivative products		449			(411	)

Total Financial Services derivative products			(125,004	)		(280,818	)


Call options on long-term debt	Other income		100,710			6,055

Variable Interest Entities:
Credit derivatives	Income (loss) on variable interest entities		—			(4,511	)
Currency swaps	Income (loss) on variable interest entities		(27,388	)		15,382
Interest rate swaps	Income (loss) on variable interest entities		(107,341	)		(841,768	)

Total Variable Interest Entities			(134,729	)		(830,897	)


Total derivative contracts		($	168,242	)	($	1,057,628	)

Summary of Net Par Outstanding for CDS Contracts

The following tables summarize the net par outstanding for CDS contracts, by Ambac rating, for each major category as of December 31, 2012 and December 31, 2011:


*December 31, 2012* Ambac Rating	CLO		Other		Total
AAA	$	166,200	$	512,283	$	678,483
AA		4,676,362		1,278,756		5,955,118
A		1,313,205		2,370,988		3,684,193
BBB ⁽¹⁾		—		672,293		672,293
Below investment grade ⁽²⁾		—		291,690		291,690

	$	6,155,767	$	5,126,010	$	11,281,777


*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 December 31, 2012 and 2011:


	CLO			Other			Total
*December 31, 2012*
Number of CDS transactions		30			21			51
Remaining expected weighted-average life of obligations (in years)		2.2			5.2			3.6
Gross principal notional outstanding	$	6,155,767		$	5,126,010		$	11,281,777
Net derivative liabilities at fair value	$	(34,645	)	$	(178,940	)	$	(213,585	)


	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 December 31, 2012 and December 31, 2011 the notional amounts of AFS’s trading derivative products are as follows:


	Notional December 31,
Type of derivative	2012		2011
Interest rate swaps—receive-fixed/pay-variable	$	727,926	$	1,370,995
Interest rate swaps—pay-fixed/receive-variable		1,657,382		3,798,305
Interest rate swaps—basis swaps		161,690		175,835
Currency swaps		—		13,559
Futures contracts		161,500		53,500
Other contracts		75,651		118,930

Summary of Notional for VIE Derivatives Outstanding

The notional for VIE derivatives outstanding as of December 31, 2012 and December 31, 2011 are as follows:


Type of VIE derivative	Notional
Type of VIE derivative	December 31, 2012		December 31, 2011
Interest rate swaps—receive-fixed/pay-variable	$	1,782,999	$	1,702,113
Interest rate swaps—pay-fixed/receive-variable		4,707,454		4,535,626
Currency swaps		755,438		721,168
Credit derivatives		20,885		20,934