Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Credit Derivatives

Subordination and Ratings

	As of December 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 obligations/collateralized bond obligations	$	5,873	30.9	%	42.3	%	AAA	$	11,688	32.0	%	36.9	%	AAA
Synthetic investment grade pooled corporate	7,108		21.7		19.4		AAA	7,640		22.6		20.6		AAA
TruPS CDOs	3,429		45.8		42.6		A-	3,119		45.3		35.8		BBB-
Market value CDOs of corporate obligations	1,113		17.0		30.1		AAA	1,174		19.1		20.7		AAA
Total pooled corporate obligations	17,523		29.2		32.3		AAA	23,621		30.1		30.7		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	351		10.5		12.7		AA-	1,378		16.3		10.7		BB+
Subprime first lien	981		27.7		45.2		AA	1,366		31.1		50.5		A
Prime first lien	177		10.9		0.0		BB	223		10.9		0.0		B
Closed-end second lien	17		—		—		CCC	19		—		—		CCC
Total U.S. RMBS	1,526		24.1		37.4		A+	2,986		24.8		33.9		BBB
CMBS	530		44.8		52.6		AAA	1,952		35.3		43.6		AAA
Other	6,015		—		—		A	6,437		—		—		A
Total(2)	$	25,594					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.

(2) The December 31, 2015 total amount includes $3.5 billion net par outstanding of credit derivatives acquired from Radian Asset

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of December 31, 2015				As of December 31, 2014
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	14,808	57.9	%	$	21,817	62.3	%
AA	4,821		18.8		5,398		15.4
A	2,144		8.4		1,982		5.7
BBB	2,212		8.6		2,774		8.0
BIG(1)	1,609		6.3		3,025		8.6
Credit derivative net par outstanding	$	25,594	100.0	%	$	34,996	100.0	%

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(1) The December 31, 2015 BIG amount includes $125 million net par outstanding of credit derivatives acquired from Radian Asset.

Net Change in Fair Value of Credit Derivatives

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

	Year Ended December 31,
	2015			2014			2013
	(in millions)
Realized gains on credit derivatives	$	63		$	73		$	121
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(81		)	(50		)	(163		)
Realized gains (losses) and other settlements on credit derivatives	(18		)	23			(42		)
Net change in unrealized gains (losses) on credit derivatives:
Pooled corporate obligations	147			(18		)	(32		)
U.S. RMBS	396			814			(69		)
CMBS	42			2			—
Other	161			2			208
Net change in unrealized gains (losses) on credit derivatives	746			800			107
Net change in fair value of credit derivatives	$	728		$	823		$	65

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

Net Par and Realized Gain and Losses

from Terminations of Credit Derivative Contracts

	Year Ended December 31,
	2015		2014		2013
	(in millions)
Net par of terminated credit derivative contracts	$	2,777	$	3,591	$	4,054
Realized gains on credit derivatives	13		1		21
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	116		26		—

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of December 31, 2015	As of December 31, 2014	As of December 31, 2013
Five-year CDS spread:
AGC	376	323	460
AGM	366	325	525
One-year CDS spread
AGC	139	80	185
AGM	131	85	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 December 31, 2015			As of December 31, 2014
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(1,448	)	$	(2,029	)
Plus: Effect of AGC and AGM credit spreads	1,083			1,134
Net fair value of credit derivatives (1)	$	(365	)	$	(895	)

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(1) December 31, 2015 amount includes $44 million of net fair value loss of credit derivatives acquired from Radian Asset.

Net Fair Value and Expected Losses of Credit Derivatives by Sector

Net Fair Value and Expected Losses

Credit Derivatives by Sector

	Fair Value of Credit Derivative Asset (Liability), net						Expected Loss to be (Paid) Recovered (1)
Asset Type	As of December 31, 2015			As of December 31, 2014			As of December 31, 2015			As of December 31, 2014
	(in millions)
Pooled corporate obligations	$	(82	)	$	(49	)	$	(5	)	$	(23	)
U.S. RMBS	(98		)	(494		)	(38		)	(73		)
CMBS	0			0			—			—
Other	(185		)	(352		)	27			38
Total	$	(365	)	$	(895	)	$	(16	)	$	(58	)

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(1) Includes R&W benefit of $0.4 million as of December 31, 2015 and $86 million as of December 31, 2014.

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of December 31, 2015

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(742	)	$	(377	)
50% widening in spreads	(554		)	(189		)
25% widening in spreads	(460		)	(95		)
10% widening in spreads	(403		)	(38		)
Base Scenario	(365		)	—
10% narrowing in spreads	(330		)	35
25% narrowing in spreads	(277		)	88
50% narrowing in spreads	(190		)	175

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