Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2012

Financial Guaranty Contracts Accounted for as Credit Derivatives

Credit Derivatives Net Par Outstanding

	As of March 31, 2012							As of December 31, 2011
Asset Type	Net Par Outstanding		Original Subordination(1)		Current Subordination(1)		Weighted Average Credit Rating	Net Par Outstanding		Original Subordination(1)		Current Subordination(1)		Weighted Average Credit Rating
	(dollars in millions)
Pooled corporate obligations:
Collateralized loan obligation/collateral bond obligations	$	34,272	33.0	%	32.2	%	AAA	$	34,567	32.6	%	32.0	%	AAA
Synthetic investment grade pooled corporate	11,521		20.8		19.0		AAA	12,393		20.4		18.7		AAA
Synthetic high yield pooled corporate	5,077		35.7		29.8		AA+	5,049		35.7		30.3		AA+
TruPS CDOs	4,475		46.5		31.6		BB	4,518		46.6		31.9		BB
Market value CDOs of corporate obligations	4,122		34.9		30.1		AAA	4,546		30.6		28.9		AAA
Total pooled corporate obligations	59,467		32.0		29.3		AAA	61,073		31.2		28.9		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	3,953		19.2		12.8		BB	4,060		19.6		13.6		BB-
Subprime first lien (including net interest margin)	3,925		29.4		53.6		A+	4,012		30.1		53.9		A+
Prime first lien	382		10.9		7.9		B	398		10.9		8.4		B
Closed end second lien and HELOCs	59		—		—		B	62		—		—		B
Total U.S. RMBS	8,319		23.5		31.8		BBB	8,532		24.1		32.2		BBB
CMBS	4,410		33.5		40.3		AAA	4,612		32.6		38.9		AAA
Other	10,806		—		—		A	10,830		—		—		A
Total	$	83,002					AA+	$	85,047					AA+

(1)Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of March 31, 2012				As of December 31, 2011
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
Super Senior	$	20,787	25.0	%	$	21,802	25.6	%
AAA	40,099		48.3		40,240		47.3
AA	3,617		4.4		4,084		4.8
A	5,906		7.1		5,830		6.9
BBB	5,114		6.2		5,030		5.9
BIG	7,479		9.0		8,061		9.5
Total credit derivative net par outstanding	$	83,002	100.0	%	$	85,047	100.0	%

U.S. Residential Mortgage-Backed Securities

	As of March 31, 2012							First Quarter 2012
Vintage	Net Par Outstanding (in millions)		Original Subordination(1)		Current Subordination(1)		Weighted Average Credit Rating	Unrealized Gain (Loss) (in millions)
2004 and Prior	$	140	6.4	%	19.4	%	BBB+	$	(1.5	)
2005	2,444		30.6		65.3		AA	(5.7		)
2006	1,621		29.4		35.5		A-	(33.4		)
2007	4,114		17.5		10.8		BB-	(588.8		)
Total	$	8,319	23.5	%	31.8	%	BBB	$	(629.4	)

(1) Represents the sum of subordinate tranches and overcollateralization and does not include any benefit from excess interest collections that may be used to absorb losses.

Commercial Mortgage-Backed Securities

	As of March 31, 2012							First Quarter 2012
Vintage	Net Par Outstanding (in millions)		Original Subordination(1)		Current Subordination(1)		Weighted Average Credit Rating	Unrealized Gain (Loss) (in millions)
2004 and Prior	$	144	28.2	%	59.2	%	AAA	$	(0.1	)
2005	672		17.9		33.9		AAA	(0.1		)
2006	2,104		33.9		39.8		AAA	0.5
2007	1,490		40.5		42.2		AAA	(0.1		)
Total	$	4,410	33.5	%	40.3	%	AAA	$	0.2

(1)Represents the sum of subordinate tranches and over-collateralization and does not include any benefit from excess interest collections that may be used to absorb losses.

Net Change in Fair Value of Credit Derivatives

	First Quarter
	2012			2011
	(in millions)
Net credit derivative premiums received and receivable	$	28.9		$	59.6
Net ceding commissions (paid and payable) received and receivable	(0.1		)	1.4
Realized gains on credit derivatives	28.8			61.0
Net credit derivative losses (paid and payable) recovered and recoverable	(85.7		)	(25.6		)
Total realized gains (losses) and other settlements on credit derivatives	(56.9		)	35.4
Net unrealized gains (losses) on credit derivatives	(633.8		)	(271.6		)
Net change in fair value of credit derivatives	$	(690.7	)	$	(236.2	)

Net Change in Unrealized Gains (Losses) on Credit Derivatives By Sector

	First Quarter
Asset Type	2012			2011
	(in millions)
Pooled corporate obligations:
CLOs/Collateral bond obligations	$	7.3		$	2.0
Synthetic investment grade pooled corporate	1.6			10.5
Synthetic high yield pooled corporate	10.8			(2.8		)
TruPS CDOs	(13.8		)	(20.8		)
Market value CDOs of corporate obligations	(0.4		)	(0.1		)
Total pooled corporate obligations	5.5			(11.2		)
U.S. RMBS:
Option ARM and Alt-A first lien	(517.7		)	(267.6		)
Subprime first lien (including net interest margin)	(26.1		)	(24.1		)
Prime first lien	(86.1		)	0.6
Closed end second lien and HELOCs	0.5			0.3
Total U.S. RMBS	(629.4		)	(290.8		)
CMBS	0.2			0.7
Other	(10.1		)	29.7
Total	$	(633.8	)	$	(271.6	)

CDS Spread on AGC and AGM

	As of March 31, 2012	As ofDecember 31, 2011
Quoted price of CDS contract (in basis points):
AGC	743	1,140
AGM	555	778

Components of Credit Derivative Assets (Liabilities)

	As of March 31, 2012			As of December 31, 2011
	(in millions)
Credit derivative assets	$	463.6		$	468.9
Credit derivative liabilities	(2,416.3		)	(1,772.8		)
Net fair value of credit derivatives	$	(1,952.7	)	$	(1,303.9	)

	As of March 31, 2012			As of December 31, 2011
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(4,897.7	)	$	(5,595.8	)
Less: Effect of AGC and AGM credit spreads	(2,945.0		)	(4,291.9		)
Net fair value of credit derivatives	$	(1,952.7	)	$	(1,303.9	)

Net Fair Value and Expected Losses of Credit Derivatives by Sector

	Fair Value of Credit Derivative Asset (Liability), net						Present Value of Expected Claim (Payments) Recoveries(1)
Asset Type	As ofMarch 31, 2012			As ofDecember 31, 2011			As ofMarch 31, 2012			As ofDecember 31, 2011
	(in millions)
Pooled corporate obligations:
CLOs/ Collateralized bond obligations	$	6.6		$	(0.7	)	$	—		$	—
Synthetic investment grade pooled corporate	(22.6		)	(23.8		)	—			—
Synthetic high-yield pooled corporate	(4.9		)	(15.7		)	(0.6		)	(5.2		)
TruPS CDOs	(25.8		)	(11.9		)	(38.1		)	(39.3		)
Market value CDOs of corporate obligations	2.3			2.5			—			—
Total pooled corporate obligations	(44.4		)	(49.6		)	(38.7		)	(44.5		)
U.S. RMBS:
Option ARM and Alt-A first lien(2)	(1,137.2		)	(596.4		)	(159.4		)	(191.2		)
Subprime first lien (including net interest margin)	(31.6		)	(22.5		)	(94.6		)	(94.9		)
Prime first lien	(130.4		)	(44.3		)	—			—
Closed-end second lien and HELOCs	(14.4		)	(14.9		)	12.8			6.6
Total U.S. RMBS	(1,313.6		)	(678.1		)	(241.2		)	(279.5		)
CMBS	(4.6		)	(4.9		)	—			—
Other	(590.1		)	(571.3		)	(96.3		)	(94.9		)
Total	$	(1,952.7	)	$	(1,303.9	)	$	(376.2	)	$	(418.9	)

(1)Represents amount in excess of the present value of future installment fees to be received of $54.4 million as of March 31, 2012 and $47.1 million as of December 31, 2011. Includes R&W on credit derivatives of $233.4 million as of March 31, 2012 and $215.0 million as of December 31, 2011.

(2)Includes one transaction which is covered under the Bank of America Agreement.

Schedule of estimated change in fair values on the net balance of the Company's credit derivative positions assuming immediate parallel shifts in credit spreads

	As of March 31, 2012
Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(4,060.1	)	$	(2,107.4	)
50% widening in spreads	(3,009.8		)	(1,057.1		)
25% widening in spreads	(2,484.6		)	(531.9		)
10% widening in spreads	(2,169.5		)	(216.8		)
Base Scenario	(1,952.7		)	—
10% narrowing in spreads	(1,774.4		)	178.3
25% narrowing in spreads	(1,497.0		)	455.7
50% narrowing in spreads	(1,037.1		)	915.6

(1)Includes the effects of spreads on both the underlying asset classes and the Company’s own credit spread.