Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016				As of December 31, 2015
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	14,302	57.5	%	$	14,808	57.9	%
AA	4,624		18.6		4,821		18.8
A	2,253		9.1		2,144		8.4
BBB	2,108		8.5		2,212		8.6
BIG	1,579		6.3		1,609		6.3
Credit derivative net par outstanding	$	24,866	100.0	%	$	25,594	100.0	%

Credit Derivatives

Subordination and Ratings

	As of March 31, 2016							As of December 31, 2015
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	$	5,197	30.7	%	42.8	%	AAA	$	5,873	30.9	%	42.3	%	AAA
Synthetic investment grade pooled corporate	7,127		21.7		19.4		AAA	7,108		21.7		19.4		AAA
TruPS CDOs	3,394		45.6		42.9		A-	3,429		45.8		42.6		A-
Market value CDOs of corporate obligations	1,113		17.0		27.8		AAA	1,113		17.0		30.1		AAA
Total pooled corporate obligations	16,831		29.0		31.9		AAA	17,523		29.2		32.3		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	336		10.5		12.8		AA-	351		10.5		12.7		AA-
Subprime first lien	951		27.7		45.0		AA	981		27.7		45.2		AA
Prime first lien	169		10.9		0.0		BB	177		10.9		0.0		BB
Closed-end second lien	16		—		—		CCC	17		—		—		CCC
Total U.S. RMBS	1,472		24.1		37.3		A+	1,526		24.1		37.4		A+
CMBS	496		44.7		53.8		AAA	530		44.8		52.6		AAA
Other	6,067		—		—		A	6,015		—		—		A
Total	$	24,866					AA+	$	25,594					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
	2016			2015
	(in millions)
Realized gains on credit derivatives	$	10		$	23
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(2		)	(2		)
Realized gains (losses) and other settlements on credit derivatives	8			21
Net change in unrealized gains (losses) on credit derivatives:
Pooled corporate obligations	(48		)	17
U.S. RMBS	(15		)	75
CMBS	0			0
Other	(5		)	11
Net change in unrealized gains (losses) on credit derivatives	(68		)	103
Net change in fair value of credit derivatives	$	(60	)	$	124

Par and Accelerations From Termination of CDS Contracts

Net Par and Realized Gains

from Terminations and Settlements of Credit Derivative Contracts

	First Quarter
	2016		2015
	(in millions)
Net par of terminated credit derivative contracts	$	—	$	93
Realized gains on credit derivatives	0		11

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of March 31, 2016	As of December 31, 2015	As of March 31, 2015	As of December 31, 2014
Five-year CDS spread:
AGC	307	376	317	323
AGM	309	366	341	325
One-year CDS spread
AGC	105	139	60	80
AGM	102	131	80	85

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, 2016			As of December 31, 2015
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(1,509	)	$	(1,448	)
Plus: Effect of AGC and AGM credit spreads	1,075			1,083
Net fair value of credit derivatives (1)	$	(434	)	$	(365	)

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
Asset Type	As of March 31, 2016			As of December 31, 2015			As of March 31, 2016			As of December 31, 2015
	(in millions)
Pooled corporate obligations	$	(131	)	$	(82	)	$	(4	)	$	(5	)
U.S. RMBS	(113		)	(98		)	(33		)	(38		)
CMBS	0			0			—			—
Other	(190		)	(185		)	28			27
Total	$	(434	)	$	(365	)	$	(9	)	$	(16	)

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of March 31, 2016

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(883	)	$	(449	)
50% widening in spreads	(658		)	(224		)
25% widening in spreads	(547		)	(113		)
10% widening in spreads	(479		)	(45		)
Base Scenario	(434		)	—
10% narrowing in spreads	(392		)	42
25% narrowing in spreads	(329		)	105
50% narrowing in spreads	(226		)	208

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