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Contracts Accounted for as Credit Derivatives (Tables)
 3 Months Ended
Mar. 31, 2019
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, 2019
 
As of December 31, 2018
Asset Type
 
Net Par
Outstanding
 
Net Fair Value
 
Net Par
Outstanding
 
Net Fair Value
 
 
(in millions)
Pooled infrastructure
 
$
1,403

 
$
(41
)
 
$
1,373

 
$
(34
)
Infrastructure finance
 
1,294

 
(87
)
 
1,300

 
(63
)
Regulated utilities
 
1,115

 
(10
)
 
1,096

 
(11
)
TruPS collateralized debt obligations (CDOs)
 
606

 
(22
)
 
642

 
(28
)
U.S. RMBS
 
588

 
(30
)
 
641

 
(31
)
Other (2)
 
1,114

 
(38
)
 
1,130

 
(40
)
Total
 
$
6,120

 
$
(228
)
 
$
6,182

 
$
(207
)

____________________
(1)    Expected recoveries were $6 million as of March 31, 2019 and $2 million as of December 31, 2018.

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

Distribution of Credit Derivative Net Par Outstanding by Internal Rating
 
 
 
As of March 31, 2019
 
As of December 31, 2018
Ratings
 
Net Par
Outstanding
 
% of Total
 
Net Par
Outstanding
 
% of Total
 
 
(dollars in millions)
AAA
 
$
1,795

 
29.3
%
 
$
1,813

 
29.4
%
AA
 
1,665

 
27.2

 
1,690

 
27.3

A
 
1,180

 
19.3

 
1,171

 
18.9

BBB
 
1,327

 
21.7

 
1,351

 
21.9

BIG (1)
 
153

 
2.5

 
157

 
2.5

Credit derivative net par outstanding
 
$
6,120

 
100.0
%
 
$
6,182

 
100.0
%

____________________
(1)
BIG relates to U.S. RMBS.

Net Change in Fair Value of Credit Derivatives Net Change in Fair Value of Credit Derivative Gain (Loss)
 
 
First Quarter
 
2019
 
2018
 
(in millions)
Realized gains on credit derivatives
$
3

 
$
2

Net credit derivative losses (paid and payable) recovered and recoverable and other settlements
(4
)
 
—

Realized gains (losses) and other settlements
(1
)
 
2

Net unrealized gains (losses)
(21
)
 
32

Net change in fair value of credit derivatives
$
(22
)
 
$
34
CDS Spread on AGC and AGM CDS Spread on AGC and AGM
Quoted price of CDS contract (in bps)
 
 
As of
March 31, 2019
 
As of
December 31, 2018
 
As of
March 31, 2018
 
As of
December 31, 2017
Five-year CDS spread:
 
 
 
 
 
 
 
AGC
74

 
110

 
121

 
163

AGM
72

 
116

 
109

 
145

 
 
 
 
 
 
 
 
One-year CDS spread
 
 
 
 
 
 
 
AGC
20

 
22

 
25

 
70

AGM
13

 
24

 
22

 
28
Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads Fair Value of Credit Derivative Assets (Liabilities)
and Effect of AGC and AGM
Credit Spreads

 
As of
March 31, 2019
 
As of
December 31, 2018
 
(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads
$
(370
)
 
$
(407
)
Plus: Effect of AGC and AGM credit spreads
142

 
200

Net fair value of credit derivatives
$
(228
)
 
$
(207
)
Schedule of Collateral Posting Requirements for Credit Derivative Contracts AGC Insured CDS Collateral Posting Requirements

 
As of
March 31, 2019
 
As of
December 31, 2018
 
(in millions)
Gross par of CDS with collateral posting requirement
$
221

 
$
250

Maximum posting requirement
221

 
250

Collateral posted
1

 
1