Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2018

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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 December 31, 2018 and 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
December 31, 2018:
Derivative Assets:
Interest rate swaps	$	59,768	$	300	$	59,468	$	—	$	59,468
Total non-VIE derivative assets	$	59,768	$	300	$	59,468	$	—	$	59,468
Derivative Liabilities:
Credit derivatives	$	1,459	$	—	$	1,459	$	—	$	1,459
Interest rate swaps	72,161		300		71,861		67,126		4,735
Futures contracts	3,379		—		3,379		3,379		—
Total non-VIE derivative liabilities	$	76,999	$	300	$	76,699	$	70,505	$	6,194
Variable Interest Entities Derivative Assets:
Currency swaps	$	66,302	$	—	$	66,302	$	—	$	66,302
Total VIE derivative assets	$	66,302	$	—	$	66,302	$	—	$	66,302
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,712,062	$	—	$	1,712,062	$	—	$	1,712,062
Total VIE derivative liabilities	$	1,712,062	$	—	$	1,712,062	$	—	$	1,712,062

Summary of Location and Amount of Gains and Losses of Derivative Contracts



	Location of Gain (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) – Year Ended December 31,
		2018			2017			2016
Non-VIE derivatives:
Change in fair value of credit derivatives:
Realized gains and other settlements		$	388		$	1,589		$	912
Unrealized gains (losses)		(893		)	14,783			19,194
Credit derivatives	Net gains (losses) on derivative contracts	(505		)	16,372			20,106
Interest rate swaps	Net gains (losses) on derivative contracts	600			48,870			(50,082		)
Futures contracts	Net gains (losses) on derivative contracts	6,895			10,695			(191		)
Total non-VIE derivatives		6,990			75,937			(30,167		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	11,425			(25,530		)	58,990
Interest rate swaps	Income (loss) on variable interest entities	493,203			(126,664		)	(574,554		)
Total Variable Interest Entities		504,628			(152,194		)	(515,564		)
Total derivative contracts		$	511,113		$	(59,885	)	$	(525,625	)

Summary of Gross Principal Notional Outstanding for CDS Contracts

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



Ambac Rating December 31,	2018		2017
AAA	$	—	$	—
AA	295,342		175,765
A	—		—
BBB ⁽¹⁾	—		150,125
Below investment grade ⁽²⁾	—		—
Total	$	295,342	$	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 December 31, 2018 and 2017 the notional amounts of its derivatives are as follows:



	Notional - December 31,
Type of Derivative	2018		2017
Interest rate swaps—receive-fixed/pay-variable	$	493,368	$	379,497
Interest rate swaps—pay-fixed/receive-variable	1,121,532		1,428,264
US Treasury futures contracts—short	1,760,000		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 December 31, 2018 and 2017 are as follows:



	Notional - December 31,
Type of VIE Derivative	2018		2017
Interest rate swaps—receive-fixed/pay-variable	$	1,399,532	$	1,483,491
Interest rate swaps—pay-fixed/receive-variable	1,176,748		2,479,244
Currency swaps	344,992		394,541
Credit derivatives	10,254		12,100

- 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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