Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Credit Derivatives (1)

	As of March 31, 2018					As of December 31, 2017
Asset Type	Net Par Outstanding		Net Fair Value			Net Par Outstanding		Net Fair Value
	(in millions)
Pooled infrastructure	$	1,577	$	(41	)	$	1,561	$	(42	)
U.S. RMBS	886		(28		)	916		(53		)
Pooled corporate obligations (TruPS collateralized debt obligations (CDOs))	767		(75		)	878		(72		)
Infrastructure finance	544		(26		)	572		(36		)
Other (2)	1,841		(66		)	2,280		(66		)
Total	$	5,615	$	(236	)	$	6,207	$	(269	)

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(1)    Expected loss to be recovered were $6 million as of March 31, 2018 and $14 million as of December 31, 2017.

(2) This comprises numerous transactions across various asset classes, such as regulated utilities, health care, municipal utilities, and consumer receivables.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of March 31, 2018				As of December 31, 2017
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	2,137	38.1	%	$	2,144	34.6	%
AA	1,053		18.7		1,170		18.8
A	1,203		21.4		1,517		24.5
BBB	964		17.2		1,038		16.7
BIG	258		4.6		338		5.4
Credit derivative net par outstanding	$	5,615	100.0	%	$	6,207	100.0	%

Net Change in Fair Value of Credit Derivatives

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

	First Quarter
	2018			2017
	(in millions)
Realized gains on credit derivatives	$	2		$	5
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	0			10
Realized gains (losses) and other settlements	2			15
Net unrealized gains (losses):
Pooled infrastructure	1			6
U.S. RMBS	26			9
Pooled corporate obligations	(3		)	20
Infrastructure finance	10			1
Other	(2		)	3
Net unrealized gains (losses)	32			39
Net change in fair value of credit derivatives	$	34		$	54

CDS Spread on AGC and AGM

CDS Spread on AGC and AGM

Quoted price of CDS contract (in basis points)

	As of March 31, 2018	As of December 31, 2017	As of March 31, 2017	As of December 31, 2016
Five-year CDS spread:
AGC	121	163	173	158
AGM	109	145	181	158
One-year CDS spread
AGC	25	70	31	35
AGM	22	28	31	29

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, 2018			As of December 31, 2017
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(499	)	$	(555	)
Plus: Effect of AGC and AGM credit spreads	263			286
Net fair value of credit derivatives	$	(236	)	$	(269	)

Schedule of Collateral Posting Requirements for Credit Derivative Contracts

AGC Insured CDS Collateral Posting Requirements

	As of March 31, 2018		As of December 31, 2017
	(in millions)
Gross par of CDS with collateral posting requirement	$	333	$	497
Maximum posting requirement	300		464
Collateral posted	1		18