Contracts Accounted for as Credit Derivatives (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Credit Derivatives

	As of December 31, 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	$	—	--	$	2,022	AAA
Synthetic investment grade pooled corporate	—		--	7,224		AAA
TruPS CDOs	878		A	1,179		BBB+
Total pooled corporate obligations	878		A	10,425		AAA
U.S. RMBS	916		AA	1,142		AA-
Pooled infrastructure	1,561		AAA	1,513		AAA
Infrastructure finance	572		A	1,021		BBB+
Other(1)	2,280		A-	2,896		A
Total	$	6,207	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.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of December 31, 2017				As of December 31, 2016
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	2,144	34.6	%	$	10,967	64.6	%
AA	1,170		18.8		2,167		12.7
A	1,517		24.5		1,499		8.8
BBB	1,038		16.7		1,391		8.2
BIG	338		5.4		973		5.7
Credit derivative net par outstanding	$	6,207	100.0	%	$	16,997	100.0	%

Net Change in Fair Value of Credit Derivatives

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

	Year Ended December 31,
	2017			2016			2015
	(in millions)
Realized gains on credit derivatives	$	17		$	56		$	63
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(27		)	(27		)	(81		)
Realized gains (losses) and other settlements	(10		)	29			(18		)
Net unrealized gains (losses):
Pooled corporate obligations	35			(16		)	147
U.S. RMBS	23			22			396
Pooled infrastructure	5			17			17
Infrastructure finance	4			4			0
Other	54			42			186
Net unrealized gains (losses)	121			69			746
Net change in fair value of credit derivatives	$	111		$	98		$	728

Net Par and Accelerations of Credit Derivative Revenues from Termination of CDS Contracts

Terminations and Settlements

of Direct Credit Derivative Contracts

	Year Ended December 31,
	2017			2016		2015
	(in millions)
Net par of terminated credit derivative contracts	$	331		$	3,811	$	2,777
Realized gains on credit derivatives	0			20		13
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(15		)	—		(116		)
Net unrealized gains (losses) on credit derivatives	26			103		465

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of December 31, 2017	As of December 31, 2016	As of December 31, 2015
Five-year CDS spread:
AGC	163	158	376
AGM	145	158	366
One-year CDS spread
AGC	70	35	139
AGM	28	29	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 December 31, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(555	)	$	(811	)
Plus: Effect of AGC and AGM credit spreads	286			422
Net fair value of credit derivatives	$	(269	)	$	(389	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

Net Fair Value and Expected Losses

of Credit Derivatives

	As of December 31, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivative asset (liability), net	$	(269	)	$	(389	)
Expected loss to be (paid) recovered	14			(10		)

Schedule of Collateral Posting Requirements for Credit Derivative Contracts

AGC Insured CDS Collateral Posting Requirements

	As of December 31, 2017		As of December 31, 2016
	(in millions)
Gross par of CDS with collateral posting requirement	$	497	$	690
Maximum posting requirement	464		674
Collateral posted	18		116

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of December 31, 2017

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(501	)	$	(232	)
50% widening in spreads	(385		)	(116		)
25% widening in spreads	(327		)	(58		)
10% widening in spreads	(292		)	(23		)
Base Scenario	(269		)	—
10% narrowing in spreads	(250		)	19
25% narrowing in spreads	(222		)	47
50% narrowing in spreads	(174		)	95

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