Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

6 Months Ended

Jun. 30, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]



	As of June 30, 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:
Collateralized loan obligation/collateral bond obligations	$	22,954	31.9	%	34.2	%	AAA	$	29,142	32.8	%	33.3	%	AAA
Synthetic investment grade pooled corporate	9,626		21.6		19.7		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	3,716		46.1		33.5		BB	4,099		46.5		32.7		BB
Market value CDOs of corporate obligations	3,111		31.2		32.7		AAA	3,595		30.1		32.0		AAA
Total pooled corporate obligations	42,097		31.7		31.1		AAA	50,120		31.7		30.4		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	3,112		20.0		10.1		B+	3,381		20.2		10.4		B+
Subprime first lien	3,195		30.1		51.7		AA-	3,494		29.8		52.6		A+
Prime first lien	302		10.9		5.2		B	333		10.9		5.2		B
Closed end second lien and HELOCs	25		—		—		CCC	49		—		—		B-
Total U.S. RMBS	6,634		24.3		29.9		BBB	7,257		24.2		30.4		BBB
CMBS	3,816		33.4		41.5		AAA	4,094		33.3		41.8		AAA
Other	8,332		—		—		A	9,310		—		—		A-
Total	$	60,879					AA+	$	70,781					AA+

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(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.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating



	As of June 30, 2013				As of December 31, 2012
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	43,763	71.9	%	$	50,918	71.9	%
AA	3,807		6.3		3,083		4.4
A	3,365		5.5		5,487		7.8
BBB	4,146		6.8		4,584		6.4
BIG	5,798		9.5		6,709		9.5
Total credit derivative net par outstanding	$	60,879	100.0	%	$	70,781	100.0	%

Net Change in Fair Value of Credit Derivatives

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



	Second Quarter						Six Months
	2013			2012			2013			2012
	(in millions)
Net credit derivative premiums received and receivable	$	41		$	34		$	68		$	63
Net ceding commissions (paid and payable) received and receivable	0			0			1			0
Realized gains on credit derivatives	41			34			69			63
Terminations	—			(1		)	—			(1		)
Net credit derivative losses (paid and payable) recovered and recoverable	(127		)	(56		)	(137		)	(142		)
Total realized gains (losses) and other settlements on credit derivatives	(86		)	(23		)	(68		)	(80		)
Net unrealized gains (losses) on credit derivatives	160			284			(450		)	(350		)
Net change in fair value of credit derivatives	$	74		$	261		$	(518	)	$	(430	)

Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector



	Second Quarter					Six Months
Asset Type	2013			2012		2013			2012
	(in millions)
Pooled corporate obligations:	$	(34	)	$	25	$	(139	)	$	30
U.S. RMBS	14			250		(443		)	(379		)
CMBS	(1		)	0		(4		)	0
Other	181			9		136			(1		)
Total	$	160		$	284	$	(450	)	$	(350	)

CDS Spread on AGC and AGM

Five-Year CDS Spread on AGC and AGM



	As of June 30, 2013	As of March 31, 2013	As of December 31, 2012	As of June 30, 2012	As of March 31, 2012	As of December 31, 2011
Quoted price of CDS contract (in basis points):
AGC	343	397	678	904	743	1,140
AGM	365	380	536	652	555	778

One-Year CDS Spread on AGC and AGM



	As of June 30, 2013	As of March 31, 2013	As of December 31, 2012	As of June 30, 2012	As of March 31, 2012	As of December 31, 2011
Quoted price of CDS contract (in basis points):
AGC	57	59	270	629	594	965
AGM	72	60	257	416	378	538

Components of Credit Derivative Assets (Liabilities)



	As of June 30, 2013			As of December 31, 2012
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(3,961	)	$	(4,809	)
Plus: Effect of AGC and AGM credit spreads	1,713			3,016
Net fair value of credit derivatives	$	(2,248	)	$	(1,793	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

The following table presents the fair value and the present value of expected claim payments or recoveries (i.e. net expected loss to be paid as described in Note 5) for contracts accounted for as derivatives.

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 June 30, 2013			As of December 31, 2012			As of June 30, 2013			As of December 31, 2012
	(in millions)
Pooled corporate obligations	$	(135	)	$	6		$	(19	)	$	(16	)
U.S. RMBS	(1,679		)	(1,237		)	(197		)	(181		)
CMBS	(7		)	(2		)	—			—
Other	(427		)	(560		)	43			(85		)
Total	$	(2,248	)	$	(1,793	)	$	(173	)	$	(282	)

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(1)	Represents amount in excess of the present value of future installment fees to be received of $43 million as of June 30, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $204 million as of June 30, 2013 and $237 million as of December 31, 2012.

Schedule of estimated change in fair values on the net balance of the Company's credit derivative positions assuming immediate parallel shifts in credit spreads

The following table summarizes the estimated change in fair values on the net balance of the Company’s credit derivative positions assuming immediate parallel shifts in credit spreads on AGC and AGM and on the risks that they both assume.

Effect of Changes in Credit Spread

As of June 30, 2013



Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(4,558	)	$	(2,310	)
50% widening in spreads	(3,403		)	(1,155		)
25% widening in spreads	(2,826		)	(578		)
10% widening in spreads	(2,479		)	(231		)
Base Scenario	(2,248		)	—
10% narrowing in spreads	(2,037		)	211
25% narrowing in spreads	(1,720		)	528
50% narrowing in spreads	(1,192		)	1,056

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