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Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)
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12 Months Ended |
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Dec. 31, 2013
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Credit Derivatives Subordination and Ratings |
Credit Derivatives Subordination and Ratings | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2013 | | As of December 31, 2012 | Asset Type | | Net Par Outstanding | | Original Subordination(1) | | Current Subordination(1) | | Weighted Average Credit Rating | | Net Par Outstanding | | Original Subordination(1) | | Current Subordination(1) | | Weighted Average Credit Rating | | | (dollars in millions) | Pooled corporate obligations: | | |
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| | | Collateralized loan obligation/collateral bond obligations | | $ | 19,323 |
| | 32.4 | % | | 34.0 | % | | AAA | | $ | 29,142 |
| | 32.8 | % | | 33.3 | % | | AAA | Synthetic investment grade pooled corporate | | 9,754 |
| | 21.6 |
| | 20.0 |
| | AAA | | 9,658 |
| | 21.6 |
| | 19.7 |
| | AAA | Synthetic high yield pooled corporate | | 2,690 |
| | 47.2 |
| | 41.1 |
| | AAA | | 3,626 |
| | 35.0 |
| | 30.3 |
| | AAA | TruPS CDOs | | 3,554 |
| | 45.5 |
| | 32.9 |
| | BB+ | | 4,099 |
| | 46.5 |
| | 32.7 |
| | BB | Market value CDOs of corporate obligations | | 2,000 |
| | 24.4 |
| | 30.5 |
| | AAA | | 3,595 |
| | 30.1 |
| | 32.0 |
| | AAA | Total pooled corporate obligations | | 37,321 |
| | 31.5 |
| | 30.6 |
| | AAA | | 50,120 |
| | 31.7 |
| | 30.4 |
| | AAA | U.S. RMBS: | | |
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| | |
| | | | |
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| | | Option ARM and Alt-A first lien | | 2,609 |
| | 19.2 |
| | 8.6 |
| | BB- | | 3,381 |
| | 20.2 |
| | 10.4 |
| | B+ | Subprime first lien | | 2,930 |
| | 30.5 |
| | 51.9 |
| | AA- | | 3,494 |
| | 29.8 |
| | 52.6 |
| | A+ | Prime first lien | | 264 |
| | 10.9 |
| | 3.2 |
| | CCC | | 333 |
| | 10.9 |
| | 5.2 |
| | B | Closed end second lien and HELOCs | | 23 |
| | — |
| | — |
| | B+ | | 49 |
| | — |
| | — |
| | B- | Total U.S. RMBS | | 5,826 |
| | 24.4 |
| | 30.1 |
| | BBB | | 7,257 |
| | 24.2 |
| | 30.4 |
| | BBB | CMBS | | 3,744 |
| | 33.5 |
| | 42.5 |
| | AAA | | 4,094 |
| | 33.3 |
| | 41.8 |
| | AAA | Other | | 7,591 |
| | — |
| | — |
| | A- | | 9,310 |
| | — |
| | — |
| | A | Total | | $ | 54,482 |
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| | AA+ | | $ | 70,781 |
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| | AA+ |
____________________ | | (1) | Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses. |
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| Distribution of Credit Derivative Net Par Outstanding by Internal Rating |
Distribution of Credit Derivative Net Par Outstanding by Internal Rating | | | | | | | | | | | | | | | | | | As of December 31, 2013 | | As of December 31, 2012 | Ratings | | Net Par Outstanding | | % of Total | | Net Par Outstanding | | % of Total | | | (dollars in millions) | AAA | | $ | 38,244 |
| | 70.2 | % | | $ | 50,918 |
| | 71.9 | % | AA | | 3,648 |
| | 6.7 |
| | 3,083 |
| | 4.4 |
| A | | 3,636 |
| | 6.7 |
| | 5,487 |
| | 7.8 |
| BBB | | 4,161 |
| | 7.6 |
| | 4,584 |
| | 6.4 |
| BIG | | 4,793 |
| | 8.8 |
| | 6,709 |
| | 9.5 |
| Credit derivative net par outstanding | | $ | 54,482 |
| | 100.0 | % | | $ | 70,781 |
| | 100.0 | % |
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| Net Change in Fair Value of Credit Derivatives |
Net Change in Fair Value of Credit Derivatives Gain (Loss) | | | | | | | | | | | | | | Year Ended December 31, | | 2013 | | 2012 | | 2011 | | (in millions) | Net credit derivative premiums received and receivable | $ | 119 |
| | $ | 127 |
| | $ | 185 |
| Net ceding commissions (paid and payable) received and receivable | 2 |
| | 1 |
| | 3 |
| Realized gains on credit derivatives | 121 |
| | 128 |
| | 188 |
| Terminations | 0 |
| | (1 | ) | | (23 | ) | Net credit derivative losses (paid and payable) recovered and recoverable | (163 | ) | | (235 | ) | | (159 | ) | Realized gains (losses) and other settlements on credit derivatives | (42 | ) | | (108 | ) | | 6 |
| Net change in unrealized gains (losses) on credit derivatives(1) | 107 |
| | (477 | ) | | 554 |
| Net change in fair value of credit derivatives | $ | 65 |
| | $ | (585 | ) | | $ | 560 |
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____________________ | | (1) | Except for net estimated credit impairments (i.e., net expected loss to be paid as discussed in Note 6), the unrealized gains and losses on credit derivatives are expected to reduce to zero as the exposure approaches its maturity date. With considerable volatility continuing in the market, unrealized gains (losses) on credit derivatives may fluctuate significantly in future periods. |
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| Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts |
Net Par and Accelerations of Credit Derivative Revenues from Terminations of CDS Contracts
| | | | | | | | | | | | | | Year Ended December 31, | | 2013 | | 2012 | | 2011 | | (in millions) | Net par of terminated CDS contracts | $ | 4,054 |
| | $ | 2,264 |
| | $ | 11,543 |
| Accelerations of credit derivative revenues | 21 |
| | 3 |
| | 25 |
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| Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector |
Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector | | | | | | | | | | | | | | | | Year Ended December 31, | Asset Type | | 2013 | | 2012 | | 2011 | | | (in millions) | Pooled corporate obligations | | $ | (32 | ) | | $ | 59 |
| | $ | 39 |
| U.S. RMBS | | (69 | ) | | (551 | ) | | 381 |
| CMBS | | 0 |
| | 2 |
| | 11 |
| Other (1) | | 208 |
| | 13 |
| | 123 |
| Total | | $ | 107 |
| | $ | (477 | ) | | $ | 554 |
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____________________ | | (1) | “Other” includes all other U.S. and international asset classes, such as commercial receivables, international infrastructure, international RMBS securities, and pooled infrastructure securities. |
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| CDS Spread on AGC and AGM |
Five-Year CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) | | | | | | | | | | | As of
December 31, 2013 | | As of
December 31, 2012 | | As of
December 31, 2011 | AGC | 460 |
| | 678 |
| | 1,140 |
| AGM | 525 |
| | 536 |
| | 778 |
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One-Year CDS Spread on AGC and AGM Quoted price of CDS contract (in basis points) | | | | | | | | | | | As of
December 31, 2013 | | As of
December 31, 2012 | | As of
December 31, 2011 | AGC | 185 |
| | 270 |
| | 965 |
| AGM | 220 |
| | 257 |
| | 538 |
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| Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads |
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads | | | | | | | | | | As of
December 31, 2013 | | As of
December 31, 2012 | | (in millions) | Fair value of credit derivatives before effect of AGC and AGM credit spreads | $ | (3,442 | ) | | $ | (4,809 | ) | Plus: Effect of AGC and AGM credit spreads | 1,749 |
| | 3,016 |
| Net fair value of credit derivatives | $ | (1,693 | ) | | $ | (1,793 | ) |
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| Net Fair Value and Expected Losses of Credit Derivatives by Sector |
Net Fair Value and Expected Losses of Credit Derivatives by Sector | | | | | | | | | | | | | | | | | | | | Fair Value of Credit Derivative Asset (Liability), net | | Present Value of Expected Claim (Payments) Recoveries(1) | Asset Type | | As of
December 31, 2013 | | As of
December 31, 2012 | | As of
December 31, 2013 | | As of
December 31, 2012 | | | (in millions) | Pooled corporate obligations | | $ | (30 | ) | | $ | 6 |
| | $ | (35 | ) | | $ | (16 | ) | U.S. RMBS | | (1,308 | ) | | (1,237 | ) | | (147 | ) | | (181 | ) | CMBS | | (2 | ) | | (2 | ) | | — |
| | — |
| Other | | (353 | ) | | (560 | ) | | 43 |
| | (85 | ) | Total | | $ | (1,693 | ) | | $ | (1,793 | ) | | $ | (139 | ) | | $ | (282 | ) |
____________________ | | (1) | Represents the expected claim payments (recoveries) in excess of the present value of future installment fees to be received of $45 million as of December 31, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $180 million as of December 31, 2013 and $237 million as of December 31, 2012. |
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| Effects of Changes in Credit Spread |
Effect of Changes in Credit Spread As of December 31, 2013
| | | | | | | | | | Credit Spreads(1) | | Estimated Net Fair Value (Pre-Tax) | | Estimated Change in Gain/(Loss) (Pre-Tax) | | | (in millions) | 100% widening in spreads | | $ | (3,499 | ) | | $ | (1,806 | ) | 50% widening in spreads | | (2,596 | ) | | (903 | ) | 25% widening in spreads | | (2,145 | ) | | (452 | ) | 10% widening in spreads | | (1,874 | ) | | (181 | ) | Base Scenario | | (1,693 | ) | | — |
| 10% narrowing in spreads | | (1,527 | ) | | 166 |
| 25% narrowing in spreads | | (1,276 | ) | | 417 |
| 50% narrowing in spreads | | (860 | ) | | 833 |
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____________________ | | (1) | Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread. |
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