XML 42 R28.htm IDEA: XBRL DOCUMENT v3.10.0.1

Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018 and December 31, 2017:

	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, 2018:
Derivative Assets:
Interest rate swaps	50,699				437				50,262				—				50,262
Total non-VIE derivative assets	$	50,699			$	437			$	50,262			$	—			$	50,262
Derivative Liabilities:
Credit derivatives	$	1,175			$	—			$	1,175			$	—			$	1,175
Interest rate swaps	60,165				437				59,728				58,935				793
Futures contracts	428				—				428				428				—
Total non-VIE derivative liabilities	$	61,768			$	437			$	61,331			$	59,363			$	1,968
Variable Interest Entities Derivative Assets:
Currency swaps	$	61,543			$	—			$	61,543			$	—			$	61,543
Total VIE derivative assets	$	61,543			$	—			$	61,543			$	—			$	61,543
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,657,173			$	—			$	1,657,173			$	—			$	1,657,173
Total VIE derivative liabilities	$	1,657,173			$	—			$	1,657,173			$	—			$	1,657,173
December 31, 2017:
Derivative Assets:
Interest rate swaps	$	73,826			$	627			$	73,199			$	—			$	73,199
Total non-VIE derivative assets	$	73,826			$	627			$	73,199			$	—			$	73,199
Derivative Liabilities:
Credit derivatives	$	566			$	—			$	566			$	—			$	566
Interest rate swaps	81,495				627				80,868				79,912				956
Futures contracts	1,348				—				1,348				1,348				—
Total non-VIE derivative liabilities	$	83,409			$	627			$	82,782			$	81,260			$	1,522
Variable Interest Entities Derivative Assets:
Currency swaps	$	54,877			$	—			$	54,877			$	—			$	54,877
Total VIE derivative assets	$	54,877			$	—			$	54,877			$	—			$	54,877
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	2,205,264			$	—			$	2,205,264			$	—			$	2,205,264
Total VIE derivative liabilities	$	2,205,264			$	—			$	2,205,264			$	—			$	2,205,264

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 Income (Loss) for the three and nine months ended September 30, 2018 and 2017:

	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,
					2018				2017				2018				2017
Non-VIEs:
Credit derivatives	Net change in fair value of credit derivatives				$	250			$	179			$	(313	)		$	7,855
Non-VIE derivatives:
Interest rate swaps	Net gains (losses) on interest rate derivatives				3,157				3,394				9,320				40,643
Futures contracts	Net gains (losses) on interest rate derivatives				14,176				590				42,699				(4,105		)
Total Non-VIE derivatives					17,333				3,984				52,019				36,538
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities				1,140				(7,794		)		6,666				(22,693		)
Interest rate swaps	Income (loss) on variable interest entities				335,054				(24,851		)		548,092				(10,321		)
Total Variable Interest Entities					336,194				(32,645		)		554,758				(33,014		)
Total derivative contracts					$	353,777			$	(28,482	)		$	606,464			$	11,379

Summary of Gross Principal Notional Outstanding for CDS Contracts

The following table summarizes the gross principal notional outstanding for CDS contracts, by Ambac rating as of September 30, 2018 and December 31, 2017:

Ambac Rating		September 30, 2018				December 31, 2017
AAA		$	—			$	—
AA		158,500				175,765
A		—				—
BBB (1)		145,150				150,125
Below investment grade (2)		—				—
Total		$	303,650			$	325,890

(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.

Summary of Notional Amounts of AFS's Trading Derivative Products

As of September 30, 2018 and December 31, 2017 the notional amounts of AFS’s derivatives are as follows:

		Notional
Type of derivative		September 30, 2018				December 31, 2017
Interest rate swaps—receive-fixed/pay-variable		$	372,586			$	379,497
Interest rate swaps—pay-fixed/receive-variable		1,462,639				1,428,264
US Treasury futures contracts—short		1,740,000				1,655,000

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, 2018 and December 31, 2017 are as follows:

		Notional
Type of VIE derivative		September 30, 2018				December 31, 2017
Interest rate swaps—receive-fixed/pay-variable		$	1,431,360			$	1,483,491
Interest rate swaps—pay-fixed/receive-variable		1,214,375				2,479,244
Currency swaps		359,907				394,541
Credit derivatives		10,487				12,100

X

- 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
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4L
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5708777-113959

Reference 2: 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=84234895&loc=SL5708775-113959

Reference 3: 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=84234895&loc=SL5708773-113959

+ Details

Name:	us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify 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 4A
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5618551-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the notional amounts of outstanding derivative positions.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959

+ Details

Name:	us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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=84234895&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Details

Name:	us-gaap_VariableInterestEntitiesByClassificationOfEntityAxis=us-gaap_VariableInterestEntityNotPrimaryBeneficiaryAggregatedDisclosureMember
Namespace Prefix:
Data Type:	na
Balance Type:
Period Type: