Outstanding Exposure (Tables)

9 Months Ended

Sep. 30, 2012



	Gross Debt Service Outstanding				Net Debt Service Outstanding
	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
	(in millions)
Public finance	$	746,703	$	798,471	$	699,938	$	716,890
Structured finance	117,105		137,661		109,790		128,775
Total financial guaranty	$	863,808	$	936,132	$	809,728	$	845,665

Financial Guaranty Portfolio by Internal Rating



	As of September 30, 2012
	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	$	—	—	%	$	1,119	2.9	%	$	13,714	17.5	%	$	4,818	24.1	%	$	19,651	3.7	%
AAA	4,575		1.2		1,392		3.6		30,745		39.2		8,504		42.5		45,216		8.4
AA	131,488		32.9		950		2.4		9,996		12.7		725		3.6		143,159		26.7
A	215,989		54.1		10,281		26.5		4,500		5.7		1,476		7.4		232,246		43.3
BBB	42,353		10.6		22,712		58.7		4,093		5.2		2,594		13.0		71,752		13.4
Below-investment-grade (“BIG”)	4,771		1.2		2,266		5.9		15,456		19.7		1,876		9.4		24,369		4.5
Total net par outstanding	$	399,176	100.0	%	$	38,720	100.0	%	$	78,504	100.0	%	$	19,993	100.0	%	$	536,393	100.0	%



	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		12,575		13.6		976		4.1		154,300		27.7
A	213,164		52.9		11,744		30.1		4,115		4.5		1,518		6.4		230,541		41.3
BBB	40,635		10.1		21,399		54.8		5,044		5.5		3,391		14.3		70,469		12.6
BIG	4,507		1.1		2,328		6.0		18,008		19.5		1,919		8.1		26,762		4.8
Total net par outstanding	$	403,073	100.0	%	$	39,046	100.0	%	$	92,234	100.0	%	$	23,695	100.0	%	$	558,048	100.0	%

Schedule of net economic exposure to selected european countries

Net Economic Exposure to Selected European Countries(1)

September 30, 2012



	Greece		Hungary		Ireland		Italy		Portugal		Spain (2)		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Public finance	$	—	$	—	$	—	$	992	$	108	$	260	$	1,360
Infrastructure finance	—		423		23		326		99		167		1,038
Sub-total	—		423		23		1,318		207		427		2,398
Non-sovereign exposure:
Regulated utilities	—		—		—		228		—		9		237
RMBS	—		219		135		491		—		—		845
Commercial receivables	—		1		18		26		14		17		76
Pooled corporate	25		—		187		227		14		527		980
Sub-total	25		220		340		972		28		553		2,138
Total	$	25	$	643	$	363	$	2,290	$	235	$	980	$	4,536
Total BIG	$	—	$	511	$	8	$	242	$	125	$	410	$	1,296

____________________

(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 $135 million of reinsurance assumed on a 2004 - 2006 pool of Irish residential mortgages that is part of the Company’s remaining legacy mortgage reinsurance business. 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.


(2)	See Note 4, Financial Guaranty Insurance Contracts.

The Company no longer guarantees any sovereign bonds of the Selected European Countries. The exposure shown in the “Public Finance Category” is from transactions backed by receivable payments from sub-sovereigns in Italy, Spain and Portugal. Sub-sovereign debt is debt issued by a governmental entity or government backed entity, or supported by such an

Financial Guaranty Exposures (Insurance and Credit Derivative Form)

Financial Guaranty Exposures

(Insurance and Credit Derivative Form)



	As of September 30, 2012
	BIG Net Par Outstanding								Net Par		BIG Net Par as a % of Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding		Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	27	$	461	$	3	$	491	$	663	0.1	%
Alt-A first lien	120		2,146		1,442		3,708		4,760		0.7
Option ARM	60		425		734		1,219		1,753		0.2
Subprime	116		1,350		854		2,320		7,541		0.4
Second lien U.S. RMBS:
Closed end second lien	—		451		412		863		985		0.2
Home equity lines of credit (“HELOCs”)	96		—		2,755		2,851		3,358		0.5
Total U.S. RMBS	419		4,833		6,200		11,452		19,060		2.1
Trust preferred securities (“TruPS”)	2,026		—		951		2,977		5,863		0.6
Other structured finance	1,156		377		1,370		2,903		73,574		0.5
U.S. public finance	3,288		665		818		4,771		399,176		0.9
Non-U.S. public finance	2,266		—		—		2,266		38,720		0.4
Total	$	9,155	$	5,875	$	9,339	$	24,369	$	536,393	4.5	%



	As of December 31, 2011
	BIG Net Par Outstanding								Net Par		BIG Net Par as a % of Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding		Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	77	$	465	$	—	$	542	$	739	0.1	%
Alt-A first lien	1,695		1,028		1,540		4,263		5,329		0.8
Option ARM	25		689		882		1,596		2,433		0.3
Subprime (including net interest margin securities)	795		1,200		513		2,508		8,136		0.4
Second lien U.S. RMBS:
Closed end second lien	—		495		520		1,015		1,040		0.2
HELOCs	421		—		2,858		3,279		3,890		0.6
Total U.S. RMBS	3,013		3,877		6,313		13,203		21,567		2.4
TruPS	2,501		—		951		3,452		6,334		0.6
Other structured finance	1,295		548		1,429		3,272		88,028		0.6
U.S. public finance	3,395		274		838		4,507		403,073		0.8
Non-U.S. public finance (1)	2,046		282		—		2,328		39,046		0.4
Total	$	12,250	$	4,981	$	9,531	$	26,762	$	558,048	4.8	%

_____________________

(1) Includes $282 million in net par as of December 31, 2011, for bonds of the Hellenic Republic of Greece. See Note 4, Financial Guaranty Insurance Contracts.

Net Par Outstanding for Below Investment Grade Credits

Below-Investment-Grade Credits

By Category



	As of September 30, 2012
	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	$	6,943	$	2,212	$	9,155	148	31	179
Category 2	3,233		2,642		5,875		90	30	120
Category 3	7,299		2,040		9,339		136	31	167
Total BIG	$	17,475	$	6,894	$	24,369	374	92	466



	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	$	8,297	$	3,953	$	12,250	171	40	211
Category 2	3,458		1,523		4,981		71	33	104
Category 3	7,204		2,327		9,531		126	26	152
Total BIG	$	18,959	$	7,803	$	26,762	368	99	467

_____________________

(1) Includes net par outstanding for 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.

Hurricane Sandy

On October 29, 2012, Hurricane Sandy made landfall in New Jersey and caused significant loss of life and property damage in New Jersey, New York and Connecticut. While the Company is continuing to evaluate the effects of Hurricane Sandy on its insured portfolio, it does not expect any significant losses as a result of the hurricane at this time.