Contracts Accounted for as Credit Derivatives (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2019					As of December 31, 2018 (2)
	Net Par Outstanding		Net Fair Value			Net Par Outstanding		Net Fair Value
	(in millions)
U.S. public finance	$	2,067	$	(103	)	$	1,783	$	(65	)
Non-U.S. public finance	2,709		(46		)	2,807		(51		)
U.S. structured finance	1,266		(51		)	1,465		(85		)
Non-U.S. structured finance	123		(8		)	127		(6		)
Total	$	6,165	$	(208	)	$	6,182	$	(207	)

____________________

(1)    Expected recoveries were $5 million as of September 30, 2019 and $2 million as of December 31, 2018.

(2)    Prior year presentation has been conformed to the current year's presentation.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of September 30, 2019				As of December 31, 2018
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	1,662	27.0	%	$	1,813	29.4	%
AA	1,748		28.4		1,690		27.3
A	1,255		20.3		1,171		18.9
BBB	1,368		22.2		1,351		21.9
BIG (1)	132		2.1		157		2.5
Credit derivative net par outstanding	$	6,165	100.0	%	$	6,182	100.0	%

____________________

(1) All BIG credit derivatives are U.S. RMBS transactions.

Net Change in Fair Value of Credit Derivatives

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

	Third Quarter						Nine Months
	2019			2018			2019			2018
	(in millions)
Realized gains on credit derivatives	$	2		$	2		$	6		$	6
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(5		)	(1		)	(30		)	(2		)
Realized gains (losses) and other settlements	(3		)	1			(24		)	4
Net unrealized gains (losses)	8			20			(1		)	99
Net change in fair value of credit derivatives	$	5		$	21		$	(25	)	$	103

CDS Spread on AGC and AGM

CDS Spread on AGC

Quoted price of CDS contract (in bps)

 

	As of September 30, 2019	As of June 30, 2019	As of December 31, 2018	As of September 30, 2018	As of June 30, 2018	As of December 31, 2017
Five-year CDS spread	56	56	110	77	105	163
One-year CDS spread	14	13	22	15	22	70

Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AGC

Credit Spreads

	As of September 30, 2019			As of December 31, 2018
	(in millions)
Fair value of credit derivatives before effect of AGC credit spread	$	(306	)	$	(407	)
Plus: Effect of AGC credit spread	98			200
Net fair value of credit derivatives	$	(208	)	$	(207	)