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Contracts Accounted for as Credit Derivatives (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2018
 
As of December 31, 2017
Asset Type
 
Net Par
Outstanding
 
Net Fair Value
 
Net Par
Outstanding
 
Net Fair Value
 
 
(in millions)
Pooled infrastructure
 
$
1,427

 
$
(39
)
 
$
1,561

 
$
(42
)
U.S. RMBS
 
809

 
(26
)
 
916

 
(53
)
Pooled corporate obligations (TruPS collateralized debt obligations (CDOs))
 
750

 
(40
)
 
878

 
(72
)
Infrastructure finance
 
1,322

 
(81
)
 
572

 
(36
)
Other (2)
 
2,373

 
(71
)
 
2,280

 
(66
)
Total
 
$
6,681

 
$
(257
)
 
$
6,207

 
$
(269
)

____________________
(1)    Expected loss to be recovered were $5 million as of June 30, 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 June 30, 2018
 
As of December 31, 2017
Ratings
 
Net Par
Outstanding
 
% of Total
 
Net Par
Outstanding
 
% of Total
 
 
(dollars in millions)
AAA
 
$
2,025

 
30.3
%
 
$
2,144

 
34.6
%
AA
 
1,718

 
25.7

 
1,170

 
18.8

A
 
1,293

 
19.4

 
1,517

 
24.5

BBB
 
1,392

 
20.8

 
1,038

 
16.7

BIG (1)
 
253

 
3.8

 
338

 
5.4

Credit derivative net par outstanding
 
$
6,681

 
100.0
%
 
$
6,207

 
100.0
%

____________________
(1)
BIG comprises U.S. RMBS and TruPS CDOs.

Net Change in Fair Value of Credit Derivatives
Net Change in Fair Value of Credit Derivative Gain (Loss)
 
 
Second Quarter
 
Six Months
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Realized gains on credit derivatives
$
2

 
$
6

 
$
4

 
$
11

Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
(1
)
 
(1
)
 
(1
)
 
9

Realized gains (losses) and other settlements
1

 
5

 
3

 
20

Net unrealized gains (losses):
 
 
 
 
 
 
 
Pooled infrastructure
2

 
(1
)
 
3

 
5

U.S. RMBS
1

 
4

 
27

 
13

Pooled corporate obligations
34

 
(14
)
 
31

 
6

Infrastructure finance
7

 
1

 
17

 
2

Other
3

 
(1
)
 
1

 
2

Net unrealized gains (losses)
47

 
(11
)
 
79

 
28

Net change in fair value of credit derivatives
$
48

 
$
(6
)
 
$
82

 
$
48
CDS Spread on AGC and AGM
CDS Spread on AGC and AGM
Quoted price of CDS contract (in basis points)
 
 
As of
June 30, 2018
 
As of
March 31, 2018
 
As of
December 31, 2017
 
As of
June 30, 2017
 
As of
March 31, 2017
 
As of
December 31, 2016
Five-year CDS spread:
 
 
 
 
 
 
 
 
 
 
 
AGC
105

 
121

 
163

 
136

 
173

 
158

AGM
106

 
109

 
145

 
140

 
181

 
158

 
 
 
 
 
 
 
 
 
 
 
 
One-year CDS spread
 
 
 
 
 
 
 
 


 
 
AGC
22

 
25

 
70

 
15

 
31

 
35

AGM
21

 
22

 
28

 
15

 
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
June 30, 2018
 
As of
December 31, 2017
 
(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads
$
(445
)
 
$
(555
)
Plus: Effect of AGC and AGM credit spreads
188

 
286

Net fair value of credit derivatives
$
(257
)
 
$
(269
)
Schedule of Collateral Posting Requirements for Credit Derivative Contracts
AGC Insured CDS Collateral Posting Requirements

 
As of
June 30, 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