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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019 and December 31, 2018:

	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, 2019:
Derivative Assets:
Interest rate swaps	$	73,607			$	389			$	73,218			$	—			$	73,218
Futures contracts	3,182				—				3,182				—				3,182
Total non-VIE derivative assets	$	76,789			$	389			$	76,400			$	—			$	76,400
Derivative Liabilities:
Credit derivatives	$	1,077			$	—			$	1,077			$	—			$	1,077
Interest rate swaps	85,846				389				85,457				73,510				11,947
Total non-VIE derivative liabilities	$	86,923			$	389			$	86,534			$	73,510			$	13,024
Variable Interest Entities Derivative Assets:
Currency swaps	$	59,228			$	—			$	59,228			$	—			$	59,228
Total VIE derivative assets	$	59,228			$	—			$	59,228			$	—			$	59,228
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,781,903			$	—			$	1,781,903			$	—			$	1,781,903
Total VIE derivative liabilities	$	1,781,903			$	—			$	1,781,903			$	—			$	1,781,903

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

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 months ended March 31, 2019 and 2018:

	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 March 31,
					2019				2018
Non-VIE derivatives:
Credit derivatives	Net gains (losses) on derivative contracts				$	473			$	(346	)
Interest rate swaps	Net gains (losses) on derivative contracts				(2,732		)		4,543
Futures contracts	Net gains (losses) on derivative contracts				(13,900		)		20,994
Total Non-VIE derivatives					$	(16,159	)		$	25,191
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities				$	(7,074	)		$	(8,617	)
Interest rate swaps	Income (loss) on variable interest entities				(69,841		)		49,809
Total Variable Interest Entities					(76,915		)		41,192
Total derivative contracts					$	(92,601	)		$	66,037

Summary of Notional Amounts of AFS's Trading Derivative Products

As of March 31, 2019 and December 31, 2018 the notional amounts of AFS’s derivatives are as follows:

		Notional
Type of Derivative		March 31, 2019				December 31, 2018
Interest rate swaps—receive-fixed/pay-variable		$	341,909			$	493,368
Interest rate swaps—pay-fixed/receive-variable		1,269,180				1,121,532
US Treasury futures contracts—short		1,575,000				1,760,000

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 March 31, 2019 and December 31, 2018 are as follows:

		Notional
Type of VIE Derivative		March 31, 2019				December 31, 2018
Interest rate swaps—receive-fixed/pay-variable		$	1,427,299			$	1,399,532
Interest rate swaps—pay-fixed/receive-variable		1,189,113				1,176,748
Currency swaps		344,714				344,992
Credit derivatives		10,457				10,254

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- 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

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5618551-113959

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Tabular disclosure of the notional amounts of outstanding derivative positions.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
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Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument.

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-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
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