Contracts Accounted for as Credit Derivatives (Tables)

12 Months Ended

Dec. 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 December 31, 2016				As of December 31, 2015
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	10,967	64.6	%	$	14,808	57.9	%
AA	2,167		12.7		4,821		18.8
A	1,499		8.8		2,144		8.4
BBB	1,391		8.2		2,212		8.6
BIG	973		5.7		1,609		6.3
Credit derivative net par outstanding	$	16,997	100.0	%	$	25,594	100.0	%

Credit Derivatives

	As of December 31, 2016			As of December 31, 2015
Asset Type	Net Par Outstanding		Weighted Average Credit Rating	Net Par Outstanding		Weighted Average Credit Rating
	(dollars in millions)
Pooled corporate obligations:
Collateralized loan obligations (CLO) /collateralized bond obligations	$	2,022	AAA	$	5,873	AAA
Synthetic investment grade pooled corporate	7,224		AAA	7,108		AAA
TruPS CDOs	1,179		BBB+	3,429		A-
Market value CDOs of corporate obligations	—		--	1,113		AAA
Total pooled corporate obligations	10,425		AAA	17,523		AAA
U.S. RMBS	1,142		AA-	1,526		A+
CMBS	—		--	530		AAA
Other	5,430		A+	6,015		A
Total(1)	$	16,997	AA+	$	25,594	AA+

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(1) The December 31, 2016 total amount includes $1.7 billion net par outstanding of credit derivatives from CIFG Acquisition.

Net Change in Fair Value of Credit Derivatives

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

	Year Ended December 31,
	2016			2015			2014
	(in millions)
Realized gains on credit derivatives	$	56		$	63		$	73
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(27		)	(81		)	(50		)
Realized gains (losses) and other settlements	29			(18		)	23
Net unrealized gains (losses):
Pooled corporate obligations	(16		)	147			(18		)
U.S. RMBS	22			396			814
CMBS	0			42			2
Other	63			161			2
Net unrealized gains (losses)	69			746			800
Net change in fair value of credit derivatives	$	98		$	728		$	823

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,
	2016		2015			2014
	(in millions)
Net par of terminated credit derivative contracts	$	3,811	$	2,777		$	3,591
Realized gains on credit derivatives	20		13			1
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	—		(116		)	(26		)
Net unrealized gains (losses) on credit derivatives	103		465			546

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of December 31, 2016	As of December 31, 2015	As of December 31, 2014
Five-year CDS spread:
AGC	158	376	323
AGM	158	366	325
One-year CDS spread:
AGC	35	139	80
AGM	29	131	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 December 31, 2016			As of December 31, 2015
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(811	)	$	(1,448	)
Plus: Effect of AGC and AGM credit spreads	422			1,083
Net fair value of credit derivatives	$	(389	)	$	(365	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

Net Fair Value and Expected Losses

of Credit Derivatives

	As of December 31, 2016			As of December 31, 2015
	(in millions)
Fair value of credit derivative asset (liability), net	$	(389	)	$	(365	)
Expected loss to be (paid) recovered	(10		)	(16		)

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of December 31, 2016

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(791	)	$	(402	)
50% widening in spreads	(590		)	(201		)
25% widening in spreads	(490		)	(101		)
10% widening in spreads	(430		)	(41		)
Base Scenario	(389		)	—
10% narrowing in spreads	(351		)	38
25% narrowing in spreads	(295		)	94
50% narrowing in spreads	(203		)	186

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