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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2013
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
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 March 31, 2013 and December 31, 2012.
|  | 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 |
March 31, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 178,447 |  |  | $ | 65,636 |  |  | $ | 112,811 |  |  | $ | — |  |  | $ | 112,811 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total non-VIE derivative assets |  | $ | 178,447 |  |  | $ | 65,636 |  |  | $ | 112,811 |  |  | $ | — |  |  | $ | 112,811 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | $ | 203,307 |  |  | $ | — |  |  | $ | 203,307 |  |  | $ | — |  |  | $ | 203,307 |
Interest rate swaps |  |  | 366,949 |  |  |  | 65,636 |  |  |  | 301,313 |  |  |  | 147,925 |  |  |  | 153,388 |
Futures contracts |  |  | 911 |  |  |  | — |  |  |  | 911 |  |  |  | 911 |  |  |  | — |
Other contracts |  |  | 215 |  |  |  | — |  |  |  | 215 |  |  |  | — |  |  |  | 215 |
Total non-VIE derivative liabilities |  | $ | 571,382 |  |  | $ | 65,636 |  |  | $ | 505,746 |  |  | $ | 148,836 |  |  | $ | 356,910 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 2,231,863 |  |  | $ | — |  |  | $ | 2,231,863 |  |  | $ | — |  |  | $ | 2,231,863 |
Currency swaps |  |  | 85,762 |  |  |  | — |  |  |  | 85,762 |  |  |  | — |  |  |  | 85,762 |
Total VIE derivative liabilities |  | $ | 2,317,625 |  |  | $ | — |  |  | $ | 2,317,625 |  |  | $ | — |  |  | $ | 2,317,625 |
|  | 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 |
December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 198,117 |  |  | $ | 73,264 |  |  | $ | 124,853 |  |  | $ | — |  |  | $ | 124,853 |
Futures contracts |  |  | 1,253 |  |  |  | — |  |  |  | 1,253 |  |  |  | — |  |  |  | 1,253 |
Total non-VIE derivative assets |  | $ | 199,370 |  |  | $ | 73,264 |  |  | $ | 126,106 |  |  | $ | — |  |  | $ | 126,106 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | $ | 213,585 |  |  | $ | — |  |  | $ | 213,585 |  |  | $ | — |  |  | $ | 213,585 |
Interest rate swaps |  |  | 390,774 |  |  |  | 73,264 |  |  |  | 317,510 |  |  |  | 180,113 |  |  |  | 137,397 |
Futures contracts |  |  | 0 |  |  |  | — |  |  |  | 0 |  |  |  | — |  |  |  | 0 |
Other contracts |  |  | 220 |  |  |  | — |  |  |  | 220 |  |  |  | — |  |  |  | 220 |
Total non-VIE derivative liabilities |  | $ | 604,579 |  |  | $ | 73,264 |  |  | $ | 531,315 |  |  | $ | 180,113 |  |  | $ | 351,202 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 2,131,315 |  |  | $ | — |  |  | $ | 2,131,315 |  |  | $ | — |  |  | $ | 2,131,315 |
Currency swaps |  |  | 90,466 |  |  |  | — |  |  |  | 90,466 |  |  |  | — |  |  |  | 90,466 |
Total VIE derivative liabilities |  | $ | 2,221,781 |  |  | $ | — |  |  | $ | 2,221,781 |  |  | $ | — |  |  | $ | 2,221,781 |
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 three month periods ended March 31, 2013 and 2012, respectively:
|  | 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 |
|  |  | March 31, 2013 |  |  | March 31, 2012 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | 12,787 |  |  | $ | (7,222 | )
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (1,022 | ) |  |  | 42,185 |
Currency swaps |  | Derivative products |  |  | 0 |  |  |  | 156 |
Futures contracts |  | Derivative products |  |  | 455 |  |  |  | 4,308 |
Other derivatives |  | Derivative products |  |  | (2 | ) |  |  | 308 |
Total Financial Services derivative products |  |  |  |  | (569 | ) |  |  | 46,957 |
Call options on long-term debt |  | Other income |  |  | — |  |  |  | 61,680 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |  |
Currency swaps |  | Income on variable interest entities |  |  | 4,704 |  |  |  | (11,207 | )
Interest rate swaps |  | Income on variable interest entities |  |  | (100,548 | ) |  |  | 93,715 |
Total Variable Interest Entities |  |  |  |  | (95,844 | ) |  |  | 82,508 |
Total derivative contracts |  |  |  | ($ | 83,626 | ) |  | $ | 183,923 |
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 March 31, 2013 and December 31, 2012:
March 31, 2013 Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 272,685 |  |  | $ | 483,486 |  |  | $ | 756,171 |
AA |  |  | 4,187,258 |  |  |  | 1,220,571 |  |  |  | 5,407,829 |
A |  |  | 1,242,423 |  |  |  | 1,840,701 |  |  |  | 3,083,124 |
BBB (1) |  |  | — |  |  |  | 665,792 |  |  |  | 665,792 |
Below investment grade (2) |  |  | — |  |  |  | 291,822 |  |  |  | 291,822 |
|  | $ | 5,702,366 |  |  | $ | 4,502,372 |  |  | $ | 10,204,738 |
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 |
(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 March 31, 2013 and December 31, 2012:
|  | CLO |  |  | Other |  |  | Total |
March 31, 2013 |  |  |  |  |  |  |  |  |
Number of CDS transactions |  |  | 28 |  |  |  | 21 |  |  |  | 49 |
Remaining expected weighted-average life of obligations (in years) |  |  | 2.1 |  |  |  | 5.3 |  |  |  | 3.5 |
Gross principal notional outstanding |  | $ | 5,702,366 |  |  | $ | 4,502,372 |  |  | $ | 10,204,738 |
Net derivative liabilities at fair value |  | $ | (30,736 | ) |  | $ | (172,571 | ) |  | $ | (203,307 | )
|  | 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 | )
Summary of Notional Amounts of AFS's Trading Derivative Products | As of March 31, 2013 and December 31, 2012 the notional amounts of AFS’s trading derivative products are as follows:
|  | Notional |
Type of derivative |  | March 31, 2013 |  |  | December 31, 2012 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 704,272 |  |  | $ | 727,926 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 1,576,832 |  |  |  | 1,657,382 |
Interest rate swaps—basis swaps |  |  | 161,690 |  |  |  | 161,690 |
Futures contracts |  |  | 161,500 |  |  |  | 161,500 |
Other contracts |  |  | 75,651 |  |  |  | 75,651 |
Summary of Notional for VIE Derivatives Outstanding | The notional for VIE derivatives outstanding as of March 31, 2013 and December 31, 2012 are as follows:
Type of VIE derivative |  | Notional |
| March 31, 2013 |  |  | December 31, 2012 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,667,651 |  |  | $ | 1,782,999 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 4,372,613 |  |  |  | 4,707,454 |
Currency swaps |  |  | 706,568 |  |  |  | 755,438 |
Credit derivatives |  |  | 18,939 |  |  |  | 20,885 |

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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 the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 205G -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44C -Subparagraph a -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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