Contracts Accounted for as Credit Derivatives (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of September 30, 2017				As of December 31, 2016
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	2,956	39.3	%	$	10,967	64.6	%
AA	1,247		16.5		2,167		12.7
A	1,628		21.6		1,499		8.8
BBB	1,008		13.4		1,391		8.2
BIG	696		9.2		973		5.7
Credit derivative net par outstanding	$	7,535	100.0	%	$	16,997	100.0	%

Credit Derivatives

	As of September 30, 2017			As of December 31, 2016
Asset Type	Net Par Outstanding		Weighted Average Credit Rating	Net Par Outstanding		Weighted Average Credit Rating
	(dollars in millions)
Pooled corporate obligations:
CLO/collateralized bond obligations	$	199	AAA	$	2,022	AAA
Synthetic investment grade pooled corporate	547		AAA	7,224		AAA
TruPS CDOs	898		A-	1,179		BBB+
Total pooled corporate obligations	1,644		AA	10,425		AAA
U.S. RMBS	1,003		AA	1,142		AA-
Pooled infrastructure	1,553		AAA	1,513		AAA
Infrastructure finance	847		BBB+	1,021		BBB+
Other(1)	2,488		A-	2,896		A
Total	$	7,535	AA-	$	16,997	AA+

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(1) This comprises numerous transactions across various asset classes, such as commercial receivables, international RMBS, regulated utilities and consumer receivables.

Net Change in Fair Value of Credit Derivatives

Net Change in Fair Value of Credit Derivative Gain (Loss)

	Third Quarter						Nine Months
	2017			2016			2017		2016
	(in millions)
Realized gains on credit derivatives	$	4		$	11		$	15	$	39
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(5		)	4			4		8
Realized gains (losses) and other settlements	(1		)	15			19		47
Net unrealized gains (losses):
Pooled corporate obligations	35			3			41		(37		)
U.S. RMBS	11			(12		)	24		0
Pooled infrastructure	(1		)	4			4		10
Infrastructure finance	0			1			2		0
Other	14			10			16		4
Net unrealized gains (losses)	59			6			87		(23		)
Net change in fair value of credit derivatives	$	58		$	21		$	106	$	24

Par and Accelerations From Termination of CDS Contracts

	Third Quarter					Nine Months
	2017			2016		2017			2016
	(in millions)
Net par of terminated credit derivative contracts	$	40		$	1,071	$	273		$	3,507
Realized gains on credit derivatives	0			3		0			11
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(3		)	—		(15		)	—
Net unrealized gains (losses) on credit derivatives	8			11		24			81

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of September 30, 2017	As of June 30, 2017	As of December 31, 2016	As of September 30, 2016	As of June 30, 2016	As of December 31, 2015
Five-year CDS spread:
AGC	190	136	158	170	265	376
AGM	190	140	158	170	265	366
One-year CDS spread
AGC	81	15	35	31	45	139
AGM	81	15	29	31	47	131

Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads

Fair Value of Credit Derivatives Assets (Liabilities)

and Effect of AGC and AGM

Credit Spreads

	As of September 30, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(630	)	$	(811	)
Plus: Effect of AGC and AGM credit spreads	328			422
Net fair value of credit derivatives	$	(302	)	$	(389	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

Net Fair Value and Expected Losses

of Credit Derivatives

	As of September 30, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivative asset (liability), net	$	(302	)	$	(389	)
Expected loss to be (paid) recovered	6			(10		)

Schedule of Collateral Posting Requirements for Credit Derivative Contracts

AGC Insured CDS Collateral Posting Requirements

	As of September 30, 2017		As of December 31, 2016
	(in millions)
Gross par of CDS with collateral posting requirement	$	502	$	690
Maximum posting requirement	469		674
Collateral posted	18		116

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

A of September 30, 2017

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(531	)	$	(229	)
50% widening in spreads	(417		)	(115		)
25% widening in spreads	(359		)	(57		)
10% widening in spreads	(325		)	(23		)
Base Scenario	(302		)	—
10% narrowing in spreads	(279		)	23
25% narrowing in spreads	(245		)	57
50% narrowing in spreads	(188		)	114

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(1) Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.