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Contracts Accounted for as Credit Derivatives (Tables)
 9 Months Ended
Sep. 30, 2018
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 September 30, 2018
 
As of December 31, 2017
Ratings
 
Net Par
Outstanding
 
% of Total
 
Net Par
Outstanding
 
% of Total
 
 
(dollars in millions)
AAA
 
$
1,960

 
30.3
%
 
$
2,144

 
34.6
%
AA
 
1,674

 
25.8

 
1,170

 
18.8

A
 
1,247

 
19.3

 
1,517

 
24.5

BBB
 
1,352

 
20.9

 
1,038

 
16.7

BIG (1)
 
242

 
3.7

 
338

 
5.4

Credit derivative net par outstanding
 
$
6,475

 
100.0
%
 
$
6,207

 
100.0
%

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

Credit Derivatives (1)
 
 
 
As of September 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
 
$
1,408

 
$
(35
)
 
$
1,561

 
$
(42
)
Infrastructure finance
 
1,306

 
(71
)
 
572

 
(36
)
U.S. RMBS
 
765

 
(30
)
 
916

 
(53
)
Pooled corporate obligations (TruPS collateralized debt obligations (CDOs))
 
702

 
(32
)
 
878

 
(72
)
Other (2)
 
2,294

 
(69
)
 
2,280

 
(66
)
Total
 
$
6,475

 
$
(237
)
 
$
6,207

 
$
(269
)

____________________
(1)    Expected loss to be recovered were $4 million as of September 30, 2018 and $14 million as of December 31, 2017.

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

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

 
$
4

 
$
6

 
$
15

Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
(1
)
 
(5
)
 
(2
)
 
4

Realized gains (losses) and other settlements
1

 
(1
)
 
4

 
19

Net unrealized gains (losses):
 
 
 
 
 
 
 
Pooled infrastructure
4

 
(1
)
 
7

 
4

U.S. RMBS
(2
)
 
11

 
25

 
24

Pooled corporate obligations
7

 
35

 
38

 
41

Infrastructure finance
10

 
0

 
27

 
2

Other
1

 
14

 
2

 
16

Net unrealized gains (losses)
20

 
59

 
99

 
87

Net change in fair value of credit derivatives
$
21

 
$
58

 
$
103

 
$
106
CDS Spread on AGC and AGM
CDS Spread on AGC and AGM
Quoted price of CDS contract (in basis points)
 
 
As of
September 30, 2018
 
As of
June 30, 2018
 
As of
December 31, 2017
 
As of
September 30, 2017
 
As of
June 30, 2017
 
As of
December 31, 2016
Five-year CDS spread:
 
 
 
 
 
 
 
 
 
 
 
AGC
77

 
105

 
163

 
190

 
136

 
158

AGM
81

 
106

 
145

 
190

 
140

 
158

 
 
 
 
 
 
 
 
 
 
 
 
One-year CDS spread
 
 
 
 
 
 
 
 


 
 
AGC
15

 
22

 
70

 
81

 
15

 
35

AGM
17

 
21

 
28

 
81

 
15

 
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
September 30, 2018
 
As of
December 31, 2017
 
(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads
$
(382
)
 
$
(555
)
Plus: Effect of AGC and AGM credit spreads
145

 
286

Net fair value of credit derivatives
$
(237
)
 
$
(269
)
Schedule of Collateral Posting Requirements for Credit Derivative Contracts
AGC Insured CDS Collateral Posting Requirements

 
As of
September 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