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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2015
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 September 30, 2015 and December 31, 2014:
| 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
September 30, 2015: |  |  |  |  |  |  |  |  |
Derivative Assets: |  |  |  |  |  |  |  |  |
Credit derivatives | $ | 1,345 |  |  | $ | — |  |  | $ | 1,345 |  |  | $ | — |  |  | $ | 1,345 |
Interest rate swaps | 153,528 |  |  | 63,785 |  |  | 89,743 |  |  | — |  |  | 89,743 |
Futures contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total non-VIE derivative assets | $ | 154,873 |  |  | $ | 63,785 |  |  | $ | 91,088 |  |  | $ | — |  |  | $ | 91,088 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | $ | 31,232 |  |  | $ | — |  |  | $ | 31,232 |  |  | $ | — |  |  | $ | 31,232 |
Interest rate swaps | 408,168 |  |  | 63,785 |  |  | 344,383 |  |  | 186,752 |  |  | 157,631 |
Futures contracts | 220 |  |  | — |  |  | 220 |  |  | — |  |  | 220 |
Total non-VIE derivative liabilities | $ | 439,620 |  |  | $ | 63,785 |  |  | $ | 375,835 |  |  | $ | 186,752 |  |  | $ | 189,083 |
VIE derivative assets: |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Currency swaps | 31,429 |  |  | 31,429 |  |  | — |  |  | — |  |  | — |
Total VIE derivative assets | $ | 31,429 |  |  | $ | 31,429 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
VIE derivative liabilities: |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 2,065,224 |  |  | $ | — |  |  | $ | 2,065,224 |  |  | $ | — |  |  | $ | 2,065,224 |
Currency swaps | — |  |  | 31,429 |  |  | (31,429 | ) |  | — |  |  | (31,429 | )
Total VIE derivative liabilities | $ | 2,065,224 |  |  | $ | 31,429 |  |  | $ | 2,033,795 |  |  | $ | — |  |  | $ | 2,033,795 |
December 31, 2014: |  |  |  |  |  |  |  |  |
Derivative Assets: |  |  |  |  |  |  |  |  |
Credit derivatives | $ | 2,043 |  |  | $ | — |  |  | $ | 2,043 |  |  | $ | — |  |  | $ | 2,043 |
Interest rate swaps | 161,640 |  |  | 54,666 |  |  | 106,974 |  |  | — |  |  | 106,974 |
Total non-VIE derivative assets | $ | 163,683 |  |  | $ | 54,666 |  |  | $ | 109,017 |  |  | $ | — |  |  | $ | 109,017 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | $ | 75,502 |  |  | $ | — |  |  | $ | 75,502 |  |  | $ | — |  |  | $ | 75,502 |
Interest rate swaps | 385,546 |  |  | 54,666 |  |  | 330,880 |  |  | 169,573 |  |  | 161,307 |
Futures contracts | 562 |  |  | — |  |  | 562 |  |  | 562 |  |  | — |
Total non-VIE derivative liabilities | $ | 461,610 |  |  | $ | 54,666 |  |  | $ | 406,944 |  |  | $ | 170,135 |  |  | $ | 236,809 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 2,133,268 |  |  | $ | — |  |  | $ | 2,133,268 |  |  | $ | — |  |  | $ | 2,133,268 |
Currency swaps | 66,895 |  |  | — |  |  | 66,895 |  |  | — |  |  | 66,895 |
Total VIE derivative liabilities | $ | 2,200,163 |  |  | $ | — |  |  | $ | 2,200,163 |  |  | $ | — |  |  | $ | 2,200,163 |
Summary of Location and Amount of Gains and Losses of Derivative Contracts | There were no amounts held representing an obligation to return cash collateral as of September 30, 2015 and December 31, 2014. 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 months ended September 30, 2015 and 2014:
| Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income |  | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2015 |  | 2014 |  | 2015 |  | 2014
Financial Guarantee: |  |  |  |  |  |  |  |  |
Credit derivatives | Net change in fair value of credit derivatives |  | $ | 36,952 |  |  | $ | 7,416 |  |  | $ | 44,746 |  |  | $ | 13,579 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |
Interest rate swaps | Derivative products |  | (63,044 | ) |  | (15,638 | ) |  | (48,839 | ) |  | (112,995 | )
Futures contracts | Derivative products |  | (2,039 | ) |  | (47 | ) |  | (3,019 | ) |  | (4,516 | )
Total Financial Services derivative products |  |  | (65,083 | ) |  | (15,685 | ) |  | (51,858 | ) |  | (117,511 | )
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Currency swaps | Income (loss) on variable interest entities |  | 12,235 |  |  | 17,014 |  |  | 53,552 |  |  | 21,425 |
Interest rate swaps | Income (loss) on variable interest entities |  | (15,793 | ) |  | (44,846 | ) |  | 68,044 |  |  | (204,411 | )
Total Variable Interest Entities |  |  | (3,558 | ) |  | (27,832 | ) |  | 121,596 |  |  | (182,986 | )
Total derivative contracts |  |  | $ | (31,689 | ) |  | $ | (36,101 | ) |  | $ | 114,484 |  |  | $ | (286,918 | )
Summary of Gross Principal Notional Outstanding for CDS Contracts | The following tables summarize the gross principal notional outstanding for CDS contracts, by Ambac rating, for each major category as of September 30, 2015 and December 31, 2014:
| CLO |  | Other |  | Total
Ambac Rating - September 30, 2015: |  |  |  |  |
AAA | $ | — |  |  | $ | — |  |  | $ | — |
AA | 341,668 |  |  | 233,231 |  |  | 574,899 |
A | — |  |  | 9,322 |  |  | 9,322 |
BBB (1) | — |  |  | 469,724 |  |  | 469,724 |
Below investment grade (2) | — |  |  | 259,852 |  |  | 259,852 |
Total | $ | 341,668 |  |  | $ | 972,129 |  |  | $ | 1,313,797 |
Ambac Rating - December 31, 2014: |  |  |  |  |
AAA | $ | — |  |  | $ | — |  |  | $ | — |
AA | 549,923 |  |  | 217,680 |  |  | 767,603 |
A | — |  |  | 43,160 |  |  | 43,160 |
BBB (1) | — |  |  | 448,249 |  |  | 448,249 |
Below investment grade (2) | — |  |  | 270,747 |  |  | 270,747 |
Total | $ | 549,923 |  |  | $ | 979,836 |  |  | $ | 1,529,759 |
(1) | BBB internal ratings reflect 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 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, 2015 and December 31, 2014:
| CLO |  | Other |  | Total
September 30, 2015: |  |  |  |  |
Number of CDS transactions | 5 |  |  | 9 |  |  | 14 |
Gross principal notional outstanding | $ | 341,668 |  |  | $ | 972,129 |  |  | $ | 1,313,797 |
Net derivative liabilities at fair value | $ | 1,740 |  |  | $ | 28,147 |  |  | $ | 29,887 |
December 31, 2014: |  |  |  |  |
Number of CDS transactions | 6 |  |  | 10 |  |  | 16 |
Gross principal notional outstanding | $ | 549,923 |  |  | $ | 979,836 |  |  | $ | 1,529,759 |
Net derivative liabilities at fair value | $ | 2,027 |  |  | $ | 71,432 |  |  | $ | 73,459 |
Summary of Notional Amounts of AFS's Trading Derivative Products | As of September 30, 2015 and December 31, 2014 the notional amounts of AFS’s trading derivative products are as follows:
| Notional
Type of derivative | September 30, 2015 |  | December 31, 2014
Interest rate swaps—receive-fixed/pay-variable | $ | 757,135 |  |  | $ | 782,904 |
Interest rate swaps—pay-fixed/receive-variable | 1,446,248 |  |  | 1,479,650 |
Interest rate swaps—basis swaps | 38,965 |  |  | 55,800 |
Futures contracts | 75,000 |  |  | 80,000 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] |
Summary of Notional Amounts of AFS's Trading Derivative Products | The notional for VIE derivatives outstanding as of September 30, 2015 and December 31, 2014 are as follows:
| Notional
Type of VIE derivative | September 30, 2015 |  | December 31, 2014
Interest rate swaps—receive-fixed/pay-variable | $ | 1,659,640 |  |  | $ | 1,710,344 |
Interest rate swaps—pay-fixed/receive-variable | 3,058,644 |  |  | 3,152,090 |
Currency swaps | 378,050 |  |  | 724,656 |
Credit derivatives | 16,035 |  |  | 18,278 |

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Credit Derivative -URI http://asc.fasb.org/extlink&oid=6854095 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5708777-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5708775-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5708773-113959 + Details
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- Definition Tabular disclosure for other derivative instruments not designated 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 4C -Subparagraph (e) -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 + Details
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