Outstanding Exposure (Tables)

12 Months Ended

Dec. 31, 2011

Outstanding Exposure

Debt Service Outstanding

	Gross Debt Service Outstanding				Net Debt Service Outstanding
	December 31, 2011		December 31, 2010		December 31, 2011		December 31, 2010
	(in millions)
Public finance	$	798,471	$	851,634	$	716,890	$	760,167
Structured finance		137,661		178,348		128,775		166,976
Total financial guaranty	$	936,132	$	1,029,982	$	845,665	$	927,143

Summary of Public and Structured Finance Insured Portfolio

	Gross Par Outstanding				Ceded Par Outstanding				Net Par Outstanding
Sector	December 31, 2011		December 31, 2010		December 31, 2011		December 31, 2010		December 31, 2011		December 31, 2010
	(in millions)
Public finance:
U.S.:
General obligation	$	187,857	$	198,553	$	14,796	$	16,754	$	173,061	$	181,799
Tax backed		85,866		92,246		7,860		8,843		78,006		83,403
Municipal utilities		69,803		75,588		4,599		5,522		65,204		70,066
Transportation		40,409		42,482		5,013		5,509		35,396		36,973
Healthcare		23,540		26,383		4,045		4,791		19,495		21,592
Higher education		16,535		16,584		858		897		15,677		15,687
Housing		6,363		7,316		667		754		5,696		6,562
Infrastructure finance		4,983		4,945		873		853		4,110		4,092
Investor-owned utilities		1,125		1,507		1		2		1,124		1,505
Other public finance—U.S.		5,380		5,417		76		100		5,304		5,317
Total public finance—U.S.		441,861		471,021		38,788		44,025		403,073		426,996
Non-U.S.:
Infrastructure finance		18,231		18,780		2,826		2,807		15,405		15,973
Regulated utilities		17,639		18,427		4,379		4,449		13,260		13,978
Pooled infrastructure		3,351		3,656		221		224		3,130		3,432
Other public finance—non-U.S.		9,183		9,582		1,932		2,222		7,251		7,360
Total public finance—non-U.S.		48,404		50,445		9,358		9,702		39,046		40,743
Total public finance obligations	$	490,265	$	521,466	$	48,146	$	53,727	$	442,119	$	467,739
Structured finance:
U.S.:
Pooled corporate obligations	$	54,585	$	71,591	$	3,065	$	4,207	$	51,520	$	67,384
RMBS		22,842		26,609		1,275		1,479		21,567		25,130
Financial products(1)		5,217		6,831		—		—		5,217		6,831
Commercial Mortgage-Backed Securities ("CMBS") and other commercial real estate related exposures		4,827		7,137		53		53		4,774		7,084
Consumer receivables		4,489		6,343		163		270		4,326		6,073
Insurance securitizations		1,966		1,656		73		72		1,893		1,584
Commercial receivables		1,222		2,142		8		3		1,214		2,139
Structured credit		489		1,794		65		65		424		1,729
Other structured finance—U.S.		2,453		1,980		1,154		1,178		1,299		802
Total structured finance—U.S.		98,090		126,083		5,856		7,327		92,234		118,756
Non-U.S.:
Pooled corporate obligations		19,670		25,087		1,939		2,477		17,731		22,610
Commercial receivables		1,893		1,764		28		35		1,865		1,729
RMBS		1,765		3,749		167		355		1,598		3,394
Structured credit		1,097		1,397		118		130		979		1,267
Insurance securitizations		979		979		15		15		964		964
CMBS and other commercial real estate related exposures		180		251		—		—		180		251
Other structured finance—non-U.S.		403		472		25		51		378		421
Total structured finance—non-U.S.		25,987		33,699		2,292		3,063		23,695		30,636
Total structured finance obligations	$	124,077	$	159,782	$	8,148	$	10,390	$	115,929	$	149,392
Total	$	614,342	$	681,248	$	56,294	$	64,117	$	558,048	$	617,131

(1)

As discussed in Note 2, Business Changes, Risks, Uncertainties and Accounting Developments, this represents the exposure to AGM's financial guaranties of GICs issued by AGMH's former financial products companies. This exposure is guaranteed by Dexia. The Company has also been protected by guaranties issued by the French and Belgian governments.

Financial Guaranty Portfolio by Internal Rating

	As of December 31, 2011
	Public Finance U.S.					Public Finance Non-U.S.					Structured Finance U.S					Structured Finance Non-U.S					Total
Rating Category	Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%
	(dollars in millions)
Super senior	$	—		—	%	$	1,138		2.9	%	$	16,756		18.2	%	$	5,660		23.9	%	$	23,554		4.2	%
AAA		5,074		1.3			1,381		3.5			35,736		38.7			10,231		43.2			52,422		9.4
AA		139,693		34.6			1,056		2.7			11,079		12.0			976		4.1			152,804		27.4
A		213,164		52.9			11,744		30.1			4,116		4.5			1,518		6.4			230,542		41.3
BBB		40,635		10.1			21,399		54.8			5,087		5.5			3,391		14.3			70,512		12.6
BIG		4,507		1.1			2,328		6.0			19,460		21.1			1,919		8.1			28,214		5.1
Total net par outstanding	$	403,073		100.0	%	$	39,046		100.0	%	$	92,234		100.0	%	$	23,695		100.0	%	$	558,048		100.0	%

	As of December 31, 2010
	Public Finance U.S.					Public Finance Non-U.S.					Structured Finance U.S					Structured Finance Non-U.S					Total
Rating Category	Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%			Net Par Outstanding		%
	(dollars in millions)
Super senior	$	—		—	%	$	1,420		3.5	%	$	21,837		18.4	%	$	7,882		25.7	%	$	31,139		5.0	%
AAA		5,784		1.4			1,378		3.4			45,067		37.9			13,573		44.3			65,802		10.7
AA		161,906		37.9			1,330		3.3			17,355		14.6			1,969		6.4			182,560		29.6
A		214,199		50.2			12,482		30.6			6,396		5.4			1,873		6.1			234,950		38.1
BBB		41,948		9.8			22,338		54.8			7,543		6.4			4,045		13.2			75,874		12.3
BIG		3,159		0.7			1,795		4.4			20,558		17.3			1,294		4.3			26,806		4.3
Total net par outstanding	$	426,996		100.0	%	$	40,743		100.0	%	$	118,756		100.0	%	$	30,636		100.0	%	$	617,131		100.0	%

Contractual Terms to Maturity of Net Par Outstanding of Financial Guaranty Insured Obligations

	December 31, 2011
Terms to Maturity	Public Finance		Structured Finance		Total
	(in millions)
0 to 5 years	$	90,421	$	25,249	$	115,670
5 to 10 years		94,718		35,176		129,894
10 to 15 years		86,628		9,600		96,228
15 to 20 years		63,153		2,807		65,960
20 years and above		107,199		43,097		150,296
Total net par outstanding	$	442,119	$	115,929	$	558,048

Geographic Distribution of Financial Guaranty Portfolio

	Number of Risks		Net Par Amount Outstanding		Percent of Total Net Par Amount Outstanding			Ceded Par Amount Outstanding
	(dollars in millions)
U.S.:
U.S. Public finance:
California		1,592	$	57,815		10.4	%	$	6,206
New York		1,062		33,268		6.0			4,416
Pennsylvania		1,173		30,656		5.5			1,837
Texas		1,290		29,922		5.4			1,524
Florida		471		25,664		4.6			1,794
Illinois		1,020		25,645		4.6			3,293
New Jersey		764		17,071		3.1			3,034
Michigan		775		15,832		2.8			1,094
Massachusetts		315		11,390		2.0			2,187
Other states		5,906		155,810		27.9			13,403
Total U.S. Public finance		14,368		403,073		72.3			38,788
Structured finance (multiple states)		1,162		92,234		16.5			5,856
Total U.S.		15,530		495,307		88.8			44,644
Non-U.S.:
United Kingdom		125		24,202		4.3			5,610
Australia		37		8,356		1.5			1,405
Canada		13		4,186		0.8			552
France		23		4,056		0.7			1,136
Italy		12		2,396		0.4			478
Other		126		19,545		3.5			2,469
Total non-U.S.		336		62,741		11.2			11,650
Total		15,866	$	558,048		100.0	%	$	56,294

Schedule of net economic exposure to selected european countries

	Greece		Hungary		Ireland		Italy		Portugal		Spain		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Public finance	$	282	$	—	$	—	$	1,011	$	113	$	264	$	1,670
Infrastructure finance		—		453		24		332		102		169		1,080
Sub-total		282		453		24		1,343		215		433		2,750
Non-sovereign exposure:
Regulated utilities		—		—		—		220		—		20		240
RMBS		—		257		136		516		—		—		909
Commercial receivables		—		1		28		29		15		23		96
Pooled corporate		34		—		241		289		25		550		1,139
Sub-total		34		258		405		1,054		40		593		2,384
Total	$	316	$	711	$	429	$	2,397	$	255	$	1,026	$	5,134
Total BIG	$	282	$	414	$	15	$	245	$	130	$	141	$	1,227

(1)

While the Company's exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, including U.S. dollars, Euros and British pounds sterling. Included in the table above is $136.1 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company's legacy mortgage reinsurance business ($171.6 million remaining, including the Irish exposure) and so is not included in the Company's exposure tables elsewhere in this document. One of the residential mortgage-backed securities included in the table above includes residential mortgages in both Italy and Germany, and only the portion of the transaction equal to the portion of the original mortgage pool in Italian mortgages is shown in the table.

Financial Guaranty Exposures (Insurance and Credit Derivative Form)

	December 31, 2011
	BIG Net Par Outstanding
									Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG
	(in millions)
First lien U.S. RMBS:
Prime first lien	$	77	$	499	$	—	$	576	$	739		0.1	%
Alt-A first lien		1,720		1,395		1,540		4,655		5,329		0.8
Option ARM		120		1,088		995		2,203		2,433		0.4
Subprime (including net interest margin securities)		1,000		1,414		513		2,927		8,136		0.5
Second lien U.S. RMBS:
Closed end second lien		—		495		520		1,015		1,040		0.2
Home equity lines of credit ("HELOCs")		421		—		2,858		3,279		3,890		0.6
Total U.S. RMBS		3,338		4,891		6,426		14,655		21,567		2.6
Trust preferred securities ("TruPS")		2,501		—		951		3,452		6,334		0.6
Other structured finance		1,295		548		1,429		3,272		88,028		0.6
Public finance		5,441		556		838		6,835		442,119		1.3
Total	$	12,575	$	5,995	$	9,644	$	28,214	$	558,048		5.1	%

	December 31, 2010
	BIG Net Par Outstanding
									Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG
	(in millions)
First lien U.S. RMBS:
Prime first lien	$	82	$	542	$	—	$	624	$	849		0.1	%
Alt-A first lien		976		3,108		573		4,657		6,134		0.8
Option ARM		33		2,186		640		2,859		3,214		0.5
Subprime (including net interest margin securities)		729		2,248		106		3,083		9,039		0.4
Second lien U.S. RMBS:
Closed end second lien		63		444		624		1,131		1,164		0.2
HELOCs		369		—		3,632		4,001		4,730		0.6
Total U.S. RMBS		2,252		8,528		5,575		16,355		25,130		2.6
TruPS		1,846		—		964		2,810		6,833		0.5
Other structured finance		841		363		1,483		2,687		117,429		0.4
Public finance		3,752		283		919		4,954		467,739		0.8
Total	$	8,691	$	9,174	$	8,941	$	26,806	$	617,131		4.3	%

Net Par Outstanding for Below Investment Grade Credits

	As of December 31, 2011
	Net Par Outstanding						Number of Risks(2)
Description	Financial Guaranty Insurance(1)		Credit Derivative		Total		Financial Guaranty Insurance(1)		Credit Derivative		Total
	(dollars in millions)
BIG:
Category 1	$	8,622	$	3,953	$	12,575		171		40		211
Category 2		4,214		1,781		5,995		71		33		104
Category 3		7,317		2,327		9,644		126		26		152
Total BIG	$	20,153	$	8,061	$	28,214		368		99		467

	As of December 31, 2010
	Net Par Outstanding						Number of Risks(2)
Description	Financial Guaranty Insurance(1)		Credit Derivative		Total		Financial Guaranty Insurance(1)		Credit Derivative		Total
	(dollars in millions)
BIG:
Category 1	$	5,450	$	3,241	$	8,691		119		31		150
Category 2		5,717		3,457		9,174		98		50		148
Category 3		7,281		1,660		8,941		115		12		127
Total BIG	$	18,448	$	8,358	$	26,806		332		93		425

(1)

Includes FG VIE net par outstanding of $2,704 million as of December 31, 2011and $2,234 million as of December 31, 2010.

(2)

A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments.