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Derivative Instruments (Tables)

3 Months Ended

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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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.

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-Name Accounting Standards Codification

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-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.



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