Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020					As of December 31, 2019
	Net Par Outstanding		Net Fair Value Asset (Liability)			Net Par Outstanding		Net Fair Value Asset (Liability)
	(in millions)
U.S. public finance	$	2,065	$	(112	)	$	1,942	$	(83	)
Non-U.S. public finance	2,461		(52		)	2,676		(39		)
U.S. structured finance	1,156		(89		)	1,206		(58		)
Non-U.S. structured finance	124		(9		)	132		(5		)
Total	$	5,806	$	(262	)	$	5,956	$	(185	)

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(1)    Expected recoveries were $13 million as of March 31, 2020 and $4 million as of December 31, 2019.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of March 31, 2020				As of December 31, 2019
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	1,631	28.1	%	$	1,730	29.0	%
AA	1,702		29.3		1,695		28.5
A	1,127		19.4		1,110		18.6
BBB	1,220		21.0		1,292		21.7
BIG (1)	126		2.2		129		2.2
Credit derivative net par outstanding	$	5,806	100.0	%	$	5,956	100.0	%

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(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 Gains (Losses)

	First Quarter
	2020			2019
	(in millions)
Realized gains on credit derivatives	$	2		$	3
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(2		)	(4		)
Realized gains (losses) and other settlements	—			(1		)
Net unrealized gains (losses)	(77		)	(21		)
Net change in fair value of credit derivatives	$	(77	)	$	(22	)

CDS Spread on AGC and AGM

CDS Spread on AGC (in bps)

	As of March 31, 2020	As of December 31, 2019	As of March 31, 2019	As of December 31, 2018
Five-year CDS spread	224	41	74	110
One-year CDS spread	64	9	20	22

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 Spread

	As of March 31, 2020			As of December 31, 2019
	(in millions)
Fair value of credit derivatives before effect of AGC credit spread	$	(478	)	$	(261	)
Plus: Effect of AGC credit spread	216			76
Net fair value of credit derivatives	$	(262	)	$	(185	)