Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017				As of December 31, 2016
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	7,493	58.3	%	$	10,967	64.6	%
AA	1,900		14.8		2,167		12.7
A	1,597		12.4		1,499		8.8
BBB	1,114		8.7		1,391		8.2
BIG	752		5.8		973		5.7
Credit derivative net par outstanding	$	12,856	100.0	%	$	16,997	100.0	%

Credit Derivatives

	As of March 31, 2017			As of December 31, 2016
Asset Type	Net Par Outstanding		Weighted Average Credit Rating	Net Par Outstanding		Weighted Average Credit Rating
	(dollars in millions)
Pooled corporate obligations:
CLO/collateralized bond obligations	$	1,461	AAA	$	2,022	AAA
Synthetic investment grade pooled corporate	4,400		AAA	7,224		AAA
TruPS CDOs	999		A-	1,179		BBB+
Total pooled corporate obligations	6,860		AAA	10,425		AAA
U.S. RMBS	1,080		AA	1,142		AA-
Pooled infrastructure	1,363		AAA	1,513		AAA
Infrastructure finance	832		BBB+	1,021		BBB+
Other(1)	2,721		A-	2,896		A
Total	$	12,856	AA	$	16,997	AA+

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(1) This comprises numerous transactions across various asset classes, such as commercial receivables, international RMBS, regulated utilities and consumer receivables.

Net Change in Fair Value of Credit Derivatives

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

	First Quarter
	2017		2016
	(in millions)
Realized gains on credit derivatives	$	5	$	10
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	10		(2		)
Realized gains (losses) and other settlements	15		8
Net unrealized gains (losses):
Pooled corporate obligations	20		(48		)
U.S. RMBS	9		(15		)
Pooled infrastructure	6		0
Infrastructure finance	1		0
Other	3		(5		)
Net unrealized gains (losses)	39		(68		)
Net change in fair value of credit derivatives	$	54	$	(60	)

Par and Accelerations From Termination of CDS Contracts

	First Quarter
	2017			2016
	(in millions)
Net par of terminated credit derivative contracts	$	184		$	—
Realized gains on credit derivatives	0			0
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(12		)	—
Net unrealized gains (losses) on credit derivatives	15			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, 2017	As of December 31, 2016	As of March 31, 2016	As of December 31, 2015
Five-year CDS spread:
AGC	173	158	307	376
AGM	181	158	309	366
One-year CDS spread
AGC	31	35	105	139
AGM	31	29	102	131

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, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(713	)	$	(811	)
Plus: Effect of AGC and AGM credit spreads	363			422
Net fair value of credit derivatives	$	(350	)	$	(389	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

Net Fair Value and Expected Losses

of Credit Derivatives

	As of March 31, 2017			As of December 31, 2016
	(in millions)
Fair value of credit derivative asset (liability), net	$	(350	)	$	(389	)
Expected loss to be (paid) recovered	(4		)	(10		)

Effects of Changes in Credit Spread

Effect of Changes in Credit Spread

As of March 31, 2017

Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(712	)	$	(362	)
50% widening in spreads	(531		)	(181		)
25% widening in spreads	(441		)	(91		)
10% widening in spreads	(387		)	(37		)
Base Scenario	(350		)	—
10% narrowing in spreads	(316		)	34
25% narrowing in spreads	(266		)	84
50% narrowing in spreads	(182		)	168

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