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Contracts Accounted for as Credit Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating | The components of the Company’s credit derivative net par outstanding by sector are presented in the table below. The estimated remaining weighted average life of credit derivatives was 13.4 years and 13.2 years as of March 31, 2022 and December 31, 2021, respectively. Credit Derivatives (1)
|  | As of March 31, 2022 |  | As of December 31, 2021
Sector |  | Net Par Outstanding |  | Net Fair Value Asset (Liability) |  | Net Par Outstanding |  | Net Fair Value Asset (Liability)
|  | (in millions)
U.S. public finance |  | $ | 1,487 |  |  | $ | (81) |  |  | $ | 1,705 |  |  | $ | (72) |
Non-U.S. public finance |  | 1,586 |  |  | (46) |  |  | 1,800 |  |  | (48) |
U.S. structured finance |  | 370 |  |  | (27) |  |  | 400 |  |  | (32) |
Non-U.S. structured finance |  | 131 |  |  | (2) |  |  | 135 |  |  | (2) |
Total |  | $ | 3,574 |  |  | $ | (156) |  |  | $ | 4,040 |  |  | $ | (154) |
____________________ (1) Expected loss to be paid was $6 million as of March 31, 2022 and $5 million as of December 31, 2021. Distribution of Credit Derivative Net Par Outstanding by Internal Rating
|  | As of March 31, 2022 |  | As of December 31, 2021
Rating Category |  | Net Par Outstanding |  | % of Total |  | Net Par Outstanding |  | % of Total
|  | (dollars in millions)
AAA |  | $ | 1,359 |  |  | 38.0 | % |  | $ | 1,503 |  |  | 37.2 | %
AA |  | 1,217 |  |  | 34.1 |  |  | 1,283 |  |  | 31.8 |
A |  | 407 |  |  | 11.4 |  |  | 514 |  |  | 12.7 |
BBB |  | 531 |  |  | 14.8 |  |  | 677 |  |  | 16.7 |
BIG |  | 60 |  |  | 1.7 |  |  | 63 |  |  | 1.6 |
Credit derivative net par outstanding |  | $ | 3,574 |  |  | 100.0 | % |  | $ | 4,040 |  |  | 100.0 | %
Net Change in Fair Value of Credit Derivatives | Fair Value Gains (Losses) on Credit Derivatives
| First Quarter
| 2022 |  | 2021
| (in millions)
Realized gains (losses) and other settlements | $ | (1) |  |  | $ | 1 |
Net unrealized gains (losses) | (2) |  |  | (20) |
Fair value gains (losses) on credit derivatives | $ | (3) |  |  | $ | (19) |
CDS Spread on AGC and AGM | CDS Spread on AGC (in basis points)
| As of March 31, 2022 |  | As of December 31, 2021 |  | As of March 31, 2021 |  | As of December 31, 2020
Five-year CDS spread | 71 |  | 49 |  | 97 |  | 132
One-year CDS spread | 26 |  | 16 |  | 19 |  | 36
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, 2022 |  | December 31, 2021
| (in millions)
Fair value of credit derivatives before effect of AGC credit spread | $ | (229) |  |  | $ | (225) |
Plus: Effect of AGC credit spread | 73 |  |  | 71 |
Net fair value of credit derivatives | $ | (156) |  |  | $ | (154) |

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- Definition Tabular disclosure of the effect of the entity's credit spread on the fair value of credit derivatives. + References No definition available. + Details
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- Definition Schedule of Credit Derivative Instruments, Net Change in Fair Value [Table Text Block] + References No definition available. + Details
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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5708777-113959 + Details
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- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 + Details
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