Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015				As of December 31, 2014
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	19,132	60.3	%	$	21,817	62.3	%
AA	5,195		16.4		5,398		15.4
A	1,865		5.9		1,982		5.7
BBB	2,616		8.2		2,774		8.0
BIG	2,923		9.2		3,025		8.6
Credit derivative net par outstanding	$	31,731	100.0	%	$	34,996	100.0	%

Credit Derivatives

Subordination and Ratings

	As of March 31, 2015							As of December 31, 2014
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	$	10,372	32.0	%	37.7	%	AAA	$	11,688	32.0	%	36.9	%	AAA
Synthetic investment grade pooled corporate	6,363		22.3		20.2		AAA	7,640		22.6		20.6		AAA
TruPS CDOs	2,948		45.6		37.5		BBB-	3,119		45.3		35.8		BBB-
Market value CDOs of corporate obligations	1,052		17.0		15.7		AAA	1,174		19.1		20.7		AAA
Total pooled corporate obligations	20,735		30.2		31.2		AAA	23,621		30.1		30.7		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	1,321		16.2		10.5		BB+	1,378		16.3		10.7		BB+
Subprime first lien	1,315		31.3		49.9		A	1,366		31.1		50.5		A
Prime first lien	213		10.9		0.0		B	223		10.9		0.0		B
Closed-end second lien	19		—		—		CCC	19		—		—		CCC
Total U.S. RMBS	2,868		24.8		33.3		BBB	2,986		24.8		33.9		BBB
CMBS	1,785		35.9		45.5		AAA	1,952		35.3		43.6		AAA
Other	6,343		—		—		A	6,437		—		—		A
Total	$	31,731					AA	$	34,996					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.

Net Change in Fair Value of Credit Derivatives

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

	First Quarter
	2015			2014
	(in millions)
Realized gains on credit derivatives (1)	$	23		$	20
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(2		)	(1		)
Realized gains (losses) and other settlements on credit derivatives	21			19
Net change in unrealized gains (losses) on credit derivatives:
Pooled corporate obligations	17			(58		)
U.S. RMBS	75			(140		)
CMBS	0			0
Other	11			(32		)
Net change in unrealized gains (losses) on credit derivatives	103			(230		)
Net change in fair value of credit derivatives	$	124		$	(211	)

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(1) Includes realized gain due to terminations of CDS contracts of $11 million and $0.2 million for First Quarter 2015 and First Quarter 2014, respectively. Net par of $93 million and $1.1 billion were terminated in First Quarter 2015 and First Quarter 2014, respectively. CDS terminations reflect a payment received from the resolution of a dispute related to a termination of CDS in 2008.

CDS Spread on AGC and AGM

Five-Year CDS Spread

on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of March 31, 2015	As of December 31, 2014	As of March 31, 2014	As of December 31, 2013
AGC	317	323	291	460
AGM	341	325	305	525

One-Year CDS Spread

on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of March 31, 2015	As of December 31, 2014	As of March 31, 2014	As of December 31, 2013
AGC	60	80	55	185
AGM	80	85	70	220

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 March 31, 2015			As of December 31, 2014
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(1,820	)	$	(2,029	)
Plus: Effect of AGC and AGM credit spreads	1,038			1,134
Net fair value of credit derivatives	$	(782	)	$	(895	)

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						Expected Loss to be (Paid) Recovered (1)
Asset Type	As of March 31, 2015			As of December 31, 2014			As of March 31, 2015			As of December 31, 2014
	(in millions)
Pooled corporate obligations	$	(22	)	$	(49	)	$	(13	)	$	(23	)
U.S. RMBS	(419		)	(494		)	(66		)	(73		)
CMBS	0			0			—			—
Other	(341		)	(352		)	37			38
Total	$	(782	)	$	(895	)	$	(42	)	$	(58	)

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(1) Includes R&W benefit of $75 million as of March 31, 2015 and $86 million as of December 31, 2014.

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of March 31, 2015

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(1,590	)	$	(808	)
50% widening in spreads	(1,186		)	(404		)
25% widening in spreads	(986		)	(204		)
10% widening in spreads	(864		)	(82		)
Base Scenario	(782		)	—
10% narrowing in spreads	(706		)	76
25% narrowing in spreads	(593		)	189
50% narrowing in spreads	(407		)	375

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