Financial Guaranty Insurance Contracts (Tables)

9 Months Ended

Sep. 30, 2011

Financial Guaranty Insurance Contracts

Net Earned Premiums

	Third Quarter				Nine Months
	2011		2010		2011		2010
	(in millions)
Scheduled net earned premiums	$	178.1	$	256.4	$	595.7	$	814.7
Acceleration of premium earnings(1)	26.8		21.2		77.4		52.0
Accretion of discount on net premiums receivable	5.8		10.5		20.6		31.8
Total financial guaranty	210.7		288.1		693.7		898.5
Other	0.4		0.6		1.4		1.9
Total net earned premiums(2)	$	211.1	$	288.7	$	695.1	$	900.4

(1) Reflects the unscheduled refundings of underlying insured obligations.

(2) Excludes $19.4 million and $12.8 million in Third Quarter 2011 and 2010, respectively, and $56.8 million and $34.4 million for the Nine Months 2011 and 2010, respectively, in net earned premium related to consolidated FG VIEs.

Gross Premium Receivable, Net of Ceding Commissions Roll Forward

	Nine Months
	2011			2010
	(in millions)
Balance beginning of period, January 1	$	1,167.6		$	1,418.2
Change in accounting (1)	—			(19.0		)
Balance beginning of the period, adjusted	1,167.6			1,399.2
Premium written, net (2)	153.2			253.9
Premium payments received, net	(227.8		)	(356.3		)
Adjustments to the premium receivable:
Changes in the expected term of financial guaranty insurance contracts	(117.1		)	13.2
Accretion of discount	22.8			35.1
Foreign exchange translation	(3.1		)	(24.2		)
Other adjustments	(8.5		)	1.6
Balance, September 30	$	987.1		$	1,322.5

(1) Represents elimination of premium receivable at January 1, 2010 related to consolidated FG VIEs upon the adoption of the new accounting guidance.

(2) Includes $14.9 million of premium written related to financial guaranty insurance contracts which replaced existing credit derivative contracts in Nine Months 2011.

Expected Collections of Gross Premiums Receivable, Net of Ceding Commissions

	September 30, 2011(1)
	(in millions)
Gross premium collections expected:
2011 (October 1 - December 31)	$	75.5
2012	119.0
2013	101.3
2014	89.2
2015	78.8
2016 - 2020	306.8
2021 - 2025	212.2
2026 - 2030	154.2
After 2030	204.7
Total gross expected collections	$	1,341.7
FG VIEs	35.0
Total	$	1,376.7

(1) Represents undiscounted amounts expected to be collected.

Unearned Premium Reserve

	As of September 30, 2011									As of December 31, 2010
	Gross			Ceded			Net(1)			Gross			Ceded			Net(1)
	(in millions)
Deferred premium revenue	$	6,202.2		$	764.5		$	5,437.7		$	7,108.6		$	846.6		$	6,262.0
Contra-paid	(99.4		)	(17.3		)	(82.1		)	(146.1		)	(24.8		)	(121.3		)
Total financial guaranty	6,102.8			747.2			5,355.6			6,962.5			821.8			6,140.7
Other	9.0			0.3			8.7			10.4			—			10.4
Total	$	6,111.8		$	747.5		$	5,364.3		$	6,972.9		$	821.8		$	6,151.1

(1) Total net unearned premium reserve excludes $311.5 million and $193.2 million related to FG VIE’s as of September 30, 2011 and December 31, 2010, respectively.

Expected Timing of Financial Guaranty Insurance Premium and Loss Recognition

	As of September 30, 2011
	Scheduled Net Earned Premium		Net Expected Loss to be Expensed(1)		Net
	(in millions)
2011 (October 1 - December 31)	$	167.2	$	40.7	$	126.5
2012	579.8		108.5		471.3
2013	483.0		65.7		417.3
2014	425.4		49.5		375.9
2015	376.0		38.0		338.0
2016 - 2020	1,406.1		144.7		1,261.4
2021 - 2025	882.4		70.2		812.2
2026 - 2030	538.3		39.2		499.1
After 2030	579.5		27.0		552.5
Total present value basis(2)(3)	5,437.7		583.5		4,854.2
Discount	308.9		353.8		(44.9		)
Total future value	$	5,746.6	$	937.3	$	4,809.3

(1) These amounts reflect the Company’s estimate as of September 30, 2011 of expected losses to be expensed and are not included in loss and LAE reserve because loss and LAE is only recorded for the amount by which net expected loss to be expensed exceeds deferred premium revenue, determined on a contract-by-contract basis.

(2) Balances represent discounted amounts.

(3) Consolidation of FG VIEs resulted in reductions of $423.7 million in future scheduled amortization of deferred premium revenue and $240.0 million in net present value of expected loss to be expensed.

Selected Information for Policies Paid in Installments

	As of September 30, 2011			As of December 31, 2010
	(dollars in millions)
Premiums receivable, net of ceding commission payable	$	987.1		$	1,167.6
Gross deferred premium revenue	2,272.5			2,933.6
Weighted average risk-free rate used to discount premiums	3.6		%	3.5		%
Weighted average period of premiums receivable (in years)	10.0			10.1

Financial Guaranty Insurance Present Value of Net Expected Loss and LAE to be paid Roll Forward by Sector

	Net Expected Loss to be Paid as of June 30, 2011			Economic Loss Development(2)			(Paid) Recovered Losses			Net Expected Loss to be Paid as of September 30, 2011
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	3.2		$	(0.8	)	$	—		$	2.4
Alt-A first lien	167.6			(3.1		)	(16.6		)	147.9
Option ARM	266.9			50.4			(74.5		)	242.8
Subprime	161.5			36.3			(0.8		)	197.0
Total first lien	599.2			82.8			(91.9		)	590.1
Second lien:
Closed-end second lien	(94.7		)	47.2			(1.5		)	(49.0		)
HELOCs	(38.3		)	(7.8		)	(23.9		)	(70.0		)
Total second lien	(133.0		)	39.4			(25.4		)	(119.0		)
Total U.S. RMBS	466.2			122.2			(117.3		)	471.1
Other structured finance	180.6			83.7			(4.7		)	259.6
Public finance	66.2			6.7			(30.2		)	42.7
Total	$	713.0		$	212.6		$	(152.2	)	$	773.4

	Net Expected Loss to be Paid as of June 30, 2010			Economic Loss Development(2)			(Paid) Recovered Losses			Net Expected Loss to be Paid as of September 30, 2010
	(in millions)
	(restated)			(restated)						(restated)
U.S. RMBS:
First lien:
Prime first lien	$	0.4		$	0.5		$	—		$	0.9
Alt-A first lien	190.8			8.7			(14.1		)	185.4
Option ARM	571.2			27.7			(54.3		)	544.6
Subprime	144.5			7.1			(0.7		)	150.9
Total first lien	906.9			44.0			(69.1		)	881.8
Second lien:
Closed-end second lien	119.0			5.1			(20.1		)	104.0
HELOCs	(493.7		)	(1.8		)	(129.5		)	(625.0		)
Total second lien	(374.7		)	3.3			(149.6		)	(521.0		)
Total U.S. RMBS	532.2			47.3			(218.7		)	360.8
Other structured finance	146.1			18.2			(1.9		)	162.4
Public finance	88.6			0.4			(22.9		)	66.1
Total	$	766.9		$	65.9		$	(243.5	)	$	589.3

	Net Expected Loss to be Paid as of December 31, 2010			Economic Loss Development(2)			(Paid) Recovered Losses			Net Expected Loss to be Paid as of September 30, 2011
	(in millions)
	(restated)
U.S. RMBS:
First lien:
Prime first lien	$	1.4		$	1.0		$	—		$	2.4
Alt-A first lien	184.4			18.7			(55.2		)	147.9
Option ARM	523.7			(38.0		)	(242.9		)	242.8
Subprime	200.4			13.1			(16.5		)	197.0
Total first lien	909.9			(5.2		)	(314.6		)	590.1
Second lien:
Closed-end second lien	56.6			(62.4		)	(43.2		)	(49.0		)
HELOCs	(805.7		)	96.9			638.8			(70.0		)
Total second lien	(749.1		)	34.5			595.6			(119.0		)
Total U.S. RMBS	160.8			29.3			281.0			471.1
Other structured finance	159.1			108.2			(7.7		)	259.6
Public finance	88.9			(6.8		)	(39.4		)	42.7
Total	$	408.8		$	130.7		$	233.9		$	773.4

	Net Expected Loss to be Paid as of December 31, 2009			Economic Loss Development(2)			(Paid) Recovered Losses			Net Expected Loss to be Paid as of September 30, 2010
	(in millions)
	(restated)			(restated)						(restated)
U.S. RMBS:
First lien:
Prime first lien	$	—		$	0.9		$	—		$	0.9
Alt-A first lien	204.4			24.1			(43.1		)	185.4
Option ARM	545.2			102.8			(103.4		)	544.6
Subprime	77.5			76.4			(3.0		)	150.9
Total first lien	827.1			204.2			(149.5		)	881.8
Second lien:
Closed-end second lien	199.3			(35.3		)	(60.0		)	104.0
HELOCs	(206.6		)	26.9			(445.3		)	(625.0		)
Total second lien	(7.3		)	(8.4		)	(505.3		)	(521.0		)
Total U.S. RMBS	819.8			195.8			(654.8		)	360.8
Other structured finance	115.7			54.2			(7.5		)	162.4
Public finance	130.9			(7.7		)	(57.1		)	66.1
Total	$	1,066.4		$	242.3		$	(719.4	)	$	589.3

(1) Amounts include all expected payments whether or not the insured transaction VIE is consolidated. Amounts exclude reserves for mortgage business of $1.9 million as of September 30, 2011 and $2.1 million as of June 30, 2011 and December 31, 2010.

(2) Economic loss development includes the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.

Reconciliation of Present Value of Net Expected Loss to be Paid and Present Value of Net Expected Loss to be Expensed

	As of September 30,
	2011			2010
	(in millions)                                 (restated)
Net expected loss to be paid	$	773.4		$	589.3
Less: net expected loss to be paid for FG VIEs	(34.2		)	(30.5		)
Total	807.6			619.8
Contra-paid, net	82.1			183.5
Salvage and subrogation recoverable, net(1)	314.6			727.6
Loss and LAE reserve, net(2)	(620.8		)	(457.9		)
Net expected loss to be expensed(3)	$	583.5		$	1,073.0

(1) September 30, 2011 amount consists of gross salvage and subrogation amounts of $360.2 million net of ceded amounts of $45.6 million which is recorded in reinsurance balances payable. The September 30, 2010 amount consists of gross salvage and subrogation amounts of $824.8 million net of ceded amounts of $97.2 million which is recorded in reinsurance balances payable.

(2) Represents loss and LAE reserves, net of reinsurance recoverable on unpaid losses, excluding $1.9 million and $2.1 million in reserves for other runoff lines of business as of September 30, 2011 and December 31, 2010, respectively.

(3) Excludes $240.0 million and $110.0 million as of September 30, 2011 and 2010, respectively, related to consolidated FG VIEs.

Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

HELOC Key Variables	As of September 30, 2011	As of June 30, 2011	As of March 31, 2011	As of December 31, 2010
Plateau conditional default rate	3.8 - 35.3%	4.6 - 34.6%	4.7 - 21.4%	4.2 - 22.1%
Final conditional default rate trended down to	0.4 - 3.2%	0.4 - 3.2%	0.4 - 3.2%	0.4 - 3.2%
Expected period until final conditional default rate	36 months	36 months	36 months	24 months
Initial conditional prepayment rate	3.2 - 16.4%	0.9 - 15.5%	0.9 - 12.6%	3.3 - 17.5%
Final conditional prepayment rate	10%	10%	10%	10%
Loss severity	98%	98%	98%	98%
Initial draw rate	0.0 -5.4%	0.0 - 8.6%	0.0 - 5.2%	0.0 - 6.8%

Closed-End Second Lien Key Variables	As of September 30, 2011	As of June 30, 2011	As of March 31, 2011	As of December 31, 2010
Plateau conditional default rate	5.8 - 21.7%	4.8 - 22.8%	7.2 - 28.9%	7.3 - 27.1%
Final conditional default rate trended down to	2.9 - 8.1%	2.9 - 8.1%	2.9 - 8.1%	2.9 - 8.1%
Expected period until final conditional default rate achieved	36 months	36 months	36 months	24 months
Initial conditional prepayment rate	0.3 - 11.7%	1.4 - 12.0%	0.9 - 12.7%	1.3 - 9.7%
Final conditional prepayment rate	10%	10%	10%	10%
Loss severity	98%	98%	98%	98%

(1) Represents assumptions for most heavily weighted scenario (the “base case”).

First Lien Liquidation Rates

	As of September 30, 2011		As ofJune 30, 2011		As of March 31, 2011		As ofDecember 31, 2010
30 - 59 Days Delinquent
Alt-A first lien, Option ARM and Prime	50	%	50	%	50	%	50	%
Subprime	45		45		45		45
60 - 89 Days Delinquent
Alt-A first lien, Option ARM and Prime	65		65		65		65
Subprime	65		65		65		65
90 - Bankruptcy
Alt-A first lien, Option ARM and Prime	75		75		75		75
Subprime	70		70		70		70
Foreclosure
Alt-A first lien, Option ARM and Prime	85		85		85		85
Subprime	85		85		85		85
Real Estate Owned
Alt-A first lien, Option ARM and Prime	100		100		100		100
Subprime	100		100		100		100

Key Assumptions in Base Case Expected Loss Estimates of First Lien RMBS Transactions

	As of September 30, 2011	As of June 30, 2011	As of March 31, 2011	As of December 31, 2010
Alt-A First Lien
Plateau conditional default rate	2.9 - 40.5%	2.9 - 36.6%	2.7 - 40.2%	2.6 - 42.2%
Intermediate conditional default rate	0.4 - 6.1%	0.4 - 5.5%	0.4 - 6.0%	0.4 - 6.3%
Final conditional default rate	0.1 - 2.0%	0.1 - 1.8%	0.1 - 2.0%	0.1 - 2.1%
Initial loss severity	65%	65%	65%	60%
Initial conditional prepayment rate	0.0 - 17.0%	0.0 - 28.3%	0.4 - 40.5%	0.0 - 36.5%
Final conditional prepayment rate	10%	10%	10%	10%
Option ARM
Plateau conditional default rate	12.7 - 32.2%	13.1 - 32.1%	12.3 - 33.2%	11.7 - 32.7%
Intermediate conditional default rate	1.9 - 4.8%	2.0 - 4.8%	1.8 - 5.0%	1.8 - 4.9%
Final conditional default rate	0.6 - 1.6%	0.7 - 1.6%	0.6 - 1.7%	0.6 - 1.6%
Initial loss severity	65%	65%	65%	60%
Initial conditional prepayment rate	0.1 - 4.2%	0.0 - 7.2%	0.0 - 24.5%	0.0 - 17.7%
Final conditional prepayment rate	10%	10%	10%	10%
Subprime
Plateau conditional default rate	8.6 - 33.4%	7.7 - 34.2%	8.0 - 34.3%	9.0 - 34.6%
Intermediate conditional default rate	1.3 - 5.0%	1.2 - 5.1%	1.2 - 5.1%	1.3 - 5.2%
Final conditional default rate	0.4 - 1.7%	0.4 - 1.7%	0.4 - 1.7%	0.4 - 1.7%
Initial loss severity	80%	80%	80%	80%
Initial conditional prepayment rate	0.0 - 16.8%	0.0 - 9.3%	0.0 - 13.3%	0.0 - 13.5%
Final conditional prepayment rate	10%	10%	10%	10%

Balance Sheet Classification of R&W benefits

	As of September 30, 2011							As of December 31, 2010
	For all Financial Guaranty Insurance Contracts		Effect of Consolidating FG VIEs			Reported on Balance Sheet		For all Financial Guaranty Insurance Contracts		Effect of Consolidating FG VIEs			Reported on Balance Sheet
	(in millions)
Salvage and subrogation recoverable	$	386.3	$	(200.9	)	$	185.4	$	866.2	$	(52.9	)	$	813.3
Loss and LAE reserve	978.1		(89.6		)	888.5		490.6		(85.8		)	404.8
Unearned premium reserve	186.6		(43.7		)	142.9		243.7		(22.5		)	221.2
Total	$	1,551.0	$	(334.2	)	$	1,216.8	$	1,600.5	$	(161.2	)	$	1,439.3

Rollforward of Estimated Benefit from Recoveries of Representation and Warranty Breaches, Net of Reinsurance

	Future Net R&W Benefit at December 31, 2010		R&W Development and Accretion of Discount During Nine Months 2011		R&W Recovered During Nine Months 2011(1)			Future Net R&W Benefit at September 30, 2011(2)
	(in millions)
Prime first lien	$	1.1	$	1.9	$	—		$	3.0
Alt-A first lien	81.0		111.7		—			192.7
Option ARM	309.3		530.9		(67.5		)	772.7
Subprime	26.8		80.9		—			107.7
Closed-end second lien	178.2		37.6		(9.0		)	206.8
HELOC	1,004.1		167.0		(903.0		)	268.1
Total	$	1,600.5	$	930.0	$	(979.5	)	$	1,551.0

	Future Net R&W Benefit at December 31, 2009		R&W Development and Accretion of Discount During Nine Months 2010		R&W Recovered During Nine Months 2010(1)			Future Net R&W Benefit at September 30, 2010
	(in millions)
Prime first lien	$	—	$	1.0	$	—		$	1.0
Alt-A first lien	64.2		19.8		—			84.0
Option ARM	203.7		86.8		(42.5		)	248.0
Subprime	—		—		—			—
Closed-end second lien	76.5		59.5		—			136.0
HELOC	828.7		98.1		(88.9		)	837.9
Total	$	1,173.1	$	265.2	$	(131.4	)	$	1,306.9

(1) Gross amounts recovered are $1,107.8 million and $154.4 million for Nine Months 2011 and 2010, respectively.

(2) Includes R&W benefit of $649.8 million attributable to transactions covered by the Bank of America Agreement.

Financial Guaranty Insurance U.S. RMBS Risks with R&W Benefit

	Number of Risks(1) as of		Debt Service as of
	September 30, 2011	December 31, 2010	September 30, 2011		December 31, 2010
	(dollars in millions)
Prime first lien	1	1	$	54.0	$	57.1
Alt-A first lien	20	17	1,778.4		1,882.8
Option ARM	11	10	1,768.0		1,909.8
Subprime	5	1	1,071.7		228.7
Closed-end second lien	4	4	378.7		444.9
HELOC	15	13	3,522.0		2,969.8
Total	56	46	$	8,572.8	$	7,493.1

(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

Breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with alleged breaches of R&W

	Third Quarter						Nine Months
	2011			2010			2011		2010
	(in millions)
Inclusion of new deals with breaches of R&W during period	$	1.1		$	—		$	108.2	$	62.4
Change in recovery assumptions as the result of additional file review and recovery success	43.3			(3.4		)	241.7		61.9
Estimated increase(decrease) in defaults that will result in additional (lower) breaches	(22.6		)	50.1			11.4		132.2
Results of Bank of America Agreement	129.8			—			559.5		—
Accretion of discount on balance	7.5			6.6			9.2		8.7
Total	$	159.1		$	53.3		$	930.0	$	265.2

Loss and LAE Reserve, Net of Reinsurance and Salvage and Subrogation Recoverable

	As of September 30, 2011									As of December 31, 2010
	Loss and LAE Reserve(1)			Salvage and Subrogation Recoverable(2)			Net			Loss and LAE Reserve(1)			Salvage and Subrogation Recoverable(2)			Net
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	1.8		$	—		$	1.8		$	1.2		$	—		1.2
Alt-A first lien	70.9			47.7			23.2			39.2			2.6			36.6
Option ARM	167.0			121.1			45.9			223.3			63.0			160.3
Subprime	101.5			—			101.5			108.3			0.1			108.2
Total first lien	341.2			168.8			172.4			372.0			65.7			306.3
Second lien:
Closed-end second lien	9.3			114.1			(104.8		)	7.7			50.3			(42.6		)
HELOC	49.5			198.4			(148.9		)	7.1			843.4			(836.3		)
Total second lien	58.8			312.5			(253.7		)	14.8			893.7			(878.9		)
Total U.S. RMBS	400.0			481.3			(81.3		)	386.8			959.4			(572.6		)
Other structured finance	239.1			5.8			233.3			131.1			1.4			129.7
Public finance	56.5			64.3			(7.8		)	81.6			34.4			47.2
Total financial guaranty	695.6			551.4			144.2			599.5			995.2			(395.7		)
Other	1.9			—			1.9			2.1			—			2.1
Subtotal	697.5			551.4			146.1			601.6			995.2			(393.6		)
Effect of consolidating FG VIEs	(74.8		)	(236.8		)	162.0			(49.5		)	(92.2		)	42.7
Total	$	622.7		$	314.6		$	308.1		$	552.1		$	903.0		$	(350.9	)

(1) The September 30, 2011 loss and LAE consists of $670.7 million loss and LAE reserve net of $48.0 million of reinsurance recoverable on unpaid losses. The December 31, 2010 loss and LAE consists of $574.4 million loss and LAE reserve net of $22.3 million of reinsurance recoverable on unpaid losses.

(2) Salvage and subrogation recoverable is net of $45.6 million and $129.4 million in ceded salvage and subrogation recorded in “reinsurance balances payable” at September 30, 2011 and December 31, 2010, respectively. The decrease from December 31, 2010 to September 30, 2011, primarily represents cash collected under the Bank of America Agreement.

Loss and LAE Reported on the Consolidated Statements of Operations

	Third Quarter						Nine Months
	2011			2010			2011			2010
	(in millions)
				(restated)						(restated)
Financial Guaranty:
U.S. RMBS:
First lien:
Prime first lien	$	(0.4	)	$	0.5		$	0.7		$	0.5
Alt-A first lien	25.2			8.8			52.6			22.3
Option ARM	92.4			65.3			133.7			166.3
Subprime	15.7			9.9			10.6			50.9
Total first lien	132.9			84.5			197.6			240.0
Second lien:
Closed-end second lien	22.6			4.8			7.0			(2.3		)
HELOC	18.5			17.2			115.7			52.0
Total second lien	41.1			22.0			122.7			49.7
Total U.S. RMBS	174.0			106.5			320.3			289.7
Other structured finance	83.8			15.0			115.2			51.6
Public finance	(5.2		)	(0.6		)	(16.9		)	10.3
Total financial guaranty	252.6			120.9			418.6			351.6
Other	0.2			0.1			0.2			0.2
Subtotal	252.8			121.0			418.8			351.8
Effect of consolidating FG VIEs	(37.9		)	(10.2		)	(105.5		)	(44.4		)
Total loss and LAE (recoveries)	$	214.9		$	110.8		$	313.3		$	307.4

Net Losses Paid on Financial Guaranty Insurance Contracts

	Third Quarter						Nine Months
	2011			2010			2011			2010
	(in millions)
Financial Guaranty:
U.S. RMBS:
First lien:
Prime first lien	$	—		$	—		$	—		$	—
Alt-A first lien	16.6			14.1			55.2			43.1
Option ARM	74.5			54.3			242.9			103.4
Subprime	0.8			0.7			16.5			3.0
Total first lien	91.9			69.1			314.6			149.5
Second lien:
Closed-end second lien	1.5			20.1			43.2			60.0
HELOC	23.9			129.5			(638.8		)	445.3
Total second lien	25.4			149.6			(595.6		)	505.3
Total U.S. RMBS	117.3			218.7			(281.0		)	654.8
Other structured finance	4.7			1.9			7.7			7.5
Public finance	30.2			22.9			39.4			57.1
Total financial guaranty	152.2			243.5			(233.9		)	719.4
Other	—			0.2			—			0.2
Subtotal	152.2			243.7			(233.9		)	719.6
Effect of consolidating FG VIEs	(47.5		)	(37.0		)	(59.7		)	(95.9		)
Total	$	104.7		$	206.7		$	(293.6	)	$	623.7

(1) Includes the effect of loss mitigation efforts and cessions not yet settled.

Financial Guaranty Insurance BIG Transaction Loss Summary

	BIG Categories
																			Total			Effect of
	BIG 1						BIG 2						BIG 3						BIG,			Consolidating
	Gross			Ceded			Gross			Ceded			Gross			Ceded			Net(1)			VIEs			Total
	(dollars in millions)
Number of risks(2)	165			(62		)	72			(26		)	127			(50		)	364			—			364
Remaining weighted average contract period (in years)	11.9			14.6			9.7			6.6			8.7			6.0			10.1			—			10.1
Net outstanding exposure:
Principal	$	7,451.1		$	(760.5	)	$	5,417.4		$	(226.3	)	$	7,844.2		$	(651.7	)	$	19,074.2		$	—		$	19,074.2
Interest	4,269.4			(561.3		)	2,804.2			(74.9		)	2,280.8			(171.3		)	8,546.9			—			8,546.9
Total	$	11,720.5		$	(1,321.8	)	$	8,221.6		$	(301.2	)	$	10,125.0		$	(823.0	)	$	27,621.1		$	—		$	27,621.1
Expected cash outflows (inflows)	$	456.7		$	(89.1	)	$	1,775.8		$	(114.1	)	$	2,208.9		$	(137.8	)	$	4,100.4		$	(591.2	)	$	3,509.2
Potential recoveries(3)	(616.3		)	114.0			(811.4		)	29.4			(1,759.6		)	96.9			(2,947.0		)	599.2			(2,347.8		)
Subtotal	(159.6		)	24.9			964.4			(84.7		)	449.3			(40.9		)	1,153.4			8.0			1,161.4
Discount	47.2			(2.9		)	(345.5		)	35.4			(110.4		)	(3.8		)	(380.0		)	26.2			(353.8		)
Present value of expected cash flows	$	(112.4	)	$	22.0		$	618.9		$	(49.3	)	$	338.9		$	(44.7	)	$	773.4		$	34.2		$	807.6
Deferred premium revenue	$	96.8		$	(18.3	)	$	394.7		$	(23.7	)	$	995.1		$	(122.2	)	$	1,322.4		$	(405.9	)	$	916.5
Reserves (salvage)(4)	$	(128.0	)	$	25.5		$	360.9		$	(36.8	)	$	(86.5	)	$	9.1		$	144.2		$	162.0		$	306.2

	BIG Categories(restated)
	BIG 1						BIG 2						BIG 3						Total BIG,			Effect of Consolidating
	Gross			Ceded			Gross			Ceded			Gross			Ceded			Net(1)			VIEs			Total
	(dollars in millions)
Number of risks(2)	119			(45		)	98			(42		)	115			(42		)	332			—			332
Remaining weighted average contract period (in years)	11.7			16.0			8.4			7.9			8.8			6.0			9.6			—			9.6
Net outstanding exposure:
Principal	$	6,173.0		$	(723.3	)	$	5,899.3		$	(182.8	)	$	7,954.5		$	(673.6	)	$	18,447.1		$	—		$	18,447.1
Interest	3,599.5			(580.4		)	2,601.6			(70.9		)	2,490.7			(186.3		)	7,854.2			—			7,854.2
Total	$	9,772.5		$	(1,303.7	)	$	8,500.9		$	(253.7	)	$	10,445.2		$	(859.9	)	$	26,301.3		$	—		$	26,301.3
Expected cash outflows (inflows)	$	303.9		$	(20.2	)	$	2,036.6		$	(68.9	)	$	2,256.6		$	(133.2	)	$	4,374.8		$	(384.2	)	$	3,990.6
Potential recoveries(3)	(375.2		)	37.4			(533.0		)	16.6			(2,543.6		)	197.5			(3,200.3		)	354.8			(2,845.5		)
Subtotal	(71.3		)	17.2			1,503.6			(52.3		)	(287.0		)	64.3			1,174.5			(29.4		)	1,145.1
Discount	(21.0		)	(5.5		)	(613.2		)	21.5			(139.6		)	(7.9		)	(765.7		)	(19.8		)	(785.5		)
Present value of expected cash flows	$	(92.3	)	$	11.7		$	890.4		$	(30.8	)	$	(426.6	)	$	56.4		$	408.8		$	(49.2	)	$	359.6
Deferred premium revenue	$	169.9		$	(16.9	)	$	572.4		$	(30.3	)	$	995.9		$	(120.7	)	$	1,570.3		$	(263.9	)	$	1,306.4
Reserves (salvage)(4)	$	(112.9	)	$	12.4		$	424.4		$	(9.5	)	$	(815.9	)	$	105.8		$	(395.7	)	$	42.7		$	(353.0	)

(1)           Includes BIG amounts related to FG VIEs.

(2)           A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

(3)           Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs.

(4)           See table “Components of net reserves (salvage)”.

Components of Net Reserves (Salvage)

	As ofSeptember 30, 2011			As ofDecember 31, 2010
	(in millions)
Loss and LAE reserve	$	670.7		$	574.4
Reinsurance recoverable on unpaid losses	(48.0		)	(22.3		)
Salvage and subrogation recoverable	(360.2		)	(1,032.4		)
Salvage and subrogation payable(1)	45.6			129.4
Total	308.1			(350.9		)
Less: other	1.9			2.1
Financial guaranty reserves, net of salvage and subrogation	$	306.2		$	(353.0	)

(1) Recorded as a component of reinsurance balances payable.