Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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, 2016 and December 31, 2015:



	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, 2016:
Derivative Assets:
Interest rate swaps	$	201,337	$	97,964	$	103,373		$	—	$	103,373
Total non-VIE derivative assets	$	201,337	$	97,964	$	103,373		$	—	$	103,373
Derivative Liabilities:
Credit derivatives	$	16,700	$	—	$	16,700		$	—	$	16,700
Interest rate swaps	516,638		97,964		418,674			230,873		187,801
Futures contracts	36		—		36			36		—
Total non-VIE derivative liabilities	$	533,374	$	97,964	$	435,410		$	230,909	$	204,501
VIE derivative assets:
Currency swaps	$	68,676	$	—	$	68,676		$	—	$	68,676
Total VIE derivative assets	$	68,676	$	—	$	68,676		$	—	$	68,676
VIE derivative liabilities:
Interest rate swaps	$	2,304,789	$	—	$	2,304,789		$	—	$	2,304,789
Total VIE derivative liabilities	$	2,304,789	$	—	$	2,304,789		$	—	$	2,304,789

December 31, 2015:
Derivative Assets:
Interest rate swaps	$	137,015	$	52,129	$	84,886		$	—	$	84,886
Futures contracts	109		—		109			—		109
Total non-VIE derivative assets	$	137,124	$	52,129	$	84,995		$	—	$	84,995
Derivative Liabilities:
Credit derivatives	$	34,543	$	—	$	34,543		$	—	$	34,543
Interest rate swaps	370,944		52,129		318,815			176,386		142,429
Total non-VIE derivative liabilities	$	405,487	$	52,129	$	353,358		$	176,386	$	176,972
Variable Interest Entities Derivative Assets:
Currency swaps	36,862		36,862		—			—		—
Total VIE derivative assets	$	36,862	$	36,862	$	—		$	—	$	—
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,965,265	$	—	$	1,965,265		$	—	$	1,965,265
Currency swaps	—		36,862		(36,862		)	—		(36,862		)
Total VIE derivative liabilities	$	1,965,265	$	36,862	$	1,928,403		$	—	$	1,928,403

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, 2016 and December 31, 2015.

The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income (Loss) for the three and nine months ended September 30, 2016 and 2015:



	Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
		Three Months Ended September 30,						Nine Months Ended September 30,
		2016			2015			2016			2015
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	1,733		$	36,952		$	18,554		$	44,746
Financial Services derivatives products:
Interest rate swaps	Derivative products	(14,646		)	(63,044		)	(125,079		)	(48,839		)
Futures contracts	Derivative products	136			(2,039		)	(9,186		)	(3,019		)
Total Financial Services derivative products		(14,510		)	(65,083		)	(134,265		)	(51,858		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	5,509			12,235			31,814			53,552
Interest rate swaps	Income (loss) on variable interest entities	(180,744		)	(15,793		)	(339,524		)	68,044
Total Variable Interest Entities		(175,235		)	(3,558		)	(307,710		)	121,596
Total derivative contracts		$	(188,012	)	$	(31,689	)	$	(423,421	)	$	114,484

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, 2016 and December 31, 2015:



	September 30, 2016						December 31, 2015
Ambac Rating	CLO		Other		Total		CLO		Other		Total
AAA	$	—	$	—	$	—	$	—	$	—	$	—
AA	176,384		200,077		376,461		295,254		241,458		536,712
A	—		241,385		241,385		—		9,322		9,322
BBB ⁽¹⁾	—		131,110		131,110		—		356,323		356,323
Below investment grade ⁽²⁾	—		72,032		72,032		—		68,526		68,526
Total	$	176,384	$	644,604	$	820,988	$	295,254	$	675,629	$	970,883


(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, 2016 and December 31, 2015:



	September 30, 2016						December 31, 2015
	CLO		Other		Total		CLO		Other		Total
Number of CDS transactions	3		5		8		5		9		14
Remaining expected weighted-average life of obligations (in years)	0.7		6.2		5.0		1.1		5.6		4.3
Gross principal notional outstanding	$	176,384	$	644,604	$	820,988	$	295,254	$	675,629	$	970,883
Net derivative liabilities at fair value	$	399	$	16,301	$	16,700	$	1,837	$	32,706	$	34,543

Summary of Notional Amounts of AFS's Trading Derivative Products

As of September 30, 2016 and December 31, 2015 the notional amounts of AFS’s trading derivative products are as follows:



	Notional
Type of derivative	September 30, 2016		December 31, 2015
Interest rate swaps—receive-fixed/pay-variable	$	919,719	$	773,072
Interest rate swaps—pay-fixed/receive-variable	1,741,644		1,429,644
Interest rate swaps—basis swaps	—		38,965
Futures contracts	115,000		100,000

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, 2016 and December 31, 2015 are as follows:



	Notional
Type of VIE derivative	September 30, 2016		December 31, 2015
Interest rate swaps—receive-fixed/pay-variable	$	1,424,555	$	1,616,289
Interest rate swaps—pay-fixed/receive-variable	2,444,149		2,796,496
Currency swaps	322,277		331,992
Credit derivatives	12,706		15,616

- 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).

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