Financial Guaranty Contracts Accounted for as Credit Derivatives (Tables)

3 Months Ended

Mar. 31, 2013



	As of March 31, 2013							As of December 31, 2012
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	$	26,342	32.3	%	34.0	%	AAA	$	29,142	32.8	%	33.3	%	AAA
Synthetic investment grade pooled corporate	9,592		21.6		19.7		AAA	9,658		21.6		19.7		AAA
Synthetic high yield pooled corporate	2,690		47.2		41.1		AAA	3,626		35.0		30.3		AAA
TruPS CDOs	3,967		46.4		33.4		BB	4,099		46.5		32.7		BB
Market value CDOs of corporate obligations	3,648		29.7		31.7		AAA	3,595		30.1		32.0		AAA
Total pooled corporate obligations	46,239		31.9		31.2		AAA	50,120		31.7		30.4		AAA
U.S. RMBS:
Option ARM and Alt-A first lien	3,259		20.1		10.2		B+	3,381		20.2		10.4		B+
Subprime first lien	3,360		29.9		52.5		AA-	3,494		29.8		52.6		A+
Prime first lien	318		10.9		5.2		B	333		10.9		5.2		B
Closed end second lien and HELOCs	47		—		—		B-	49		—		—		B-
Total U.S. RMBS	6,984		24.2		30.2		BBB	7,257		24.2		30.4		BBB
CMBS	3,983		33.3		42.0		AAA	4,094		33.3		41.8		AAA
Other	8,694		—		—		A	9,310		—		—		A-
Total	$	65,900					AA+	$	70,781					AA+

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(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.



	As of March 31, 2013				As of December 31, 2012
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
Super Senior	$	18,184	27.6	%	$	18,908	26.7	%
AAA	29,699		45.1		32,010		45.2
AA	3,784		5.7		3,083		4.4
A	3,316		5.0		5,487		7.8
BBB	4,611		7.0		4,584		6.4
BIG	6,306		9.6		6,709		9.5
Total credit derivative net par outstanding	$	65,900	100.0	%	$	70,781	100.0	%

Credit Derivative

U.S. Residential Mortgage-Backed Securities



	As of March 31, 2013							Net Change in Unrealized Gain (Loss)
Vintage	Net Par Outstanding		Original Subordination(1)		Current Subordination(1)		Weighted Average Credit Rating	First Quarter 2013
	(in millions)							(in millions)
2004 and Prior	$	119	5.8	%	17.0	%	BBB+	$	(1	)
2005	1,909		31.4		67.3		AA+	1
2006	1,558		29.4		34.2		A+	(64		)
2007	3,398		18.4		8.1		B	(393		)
Total	$	6,984	24.2	%	30.2	%	BBB	$	(457	)

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(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.

Net Change in Fair Value of Credit Derivatives Gain (Loss)



	First Quarter
	2013			2012
	(in millions)
Net credit derivative premiums received and receivable	$	27		$	29
Net ceding commissions (paid and payable) received and receivable	1			0
Realized gains on credit derivatives	28			29
Net credit derivative losses (paid and payable) recovered and recoverable	(10		)	(86		)
Total realized gains (losses) and other settlements on credit derivatives	18			(57		)
Net unrealized gains (losses) on credit derivatives	(610		)	(634		)
Net change in fair value of credit derivatives	$	(592	)	$	(691	)



	First Quarter
Asset Type	2013			2012
	(in millions)

Pooled corporate obligations:
CLOs/Collateral bond obligations	$	(54	)	$	7
Synthetic investment grade pooled corporate	2			2
Synthetic high yield pooled corporate	(1		)	11
TruPS CDOs	(39		)	(14		)
Market value CDOs of corporate obligations	(13		)	(1		)
Total pooled corporate obligations	(105		)	5
U.S. RMBS:
Option ARMs and Alt-A first lien	(295		)	(518		)
Subprime first lien	(79		)	(26		)
Prime first lien	(83		)	(86		)
Closed end second lien and HELOCs	—			1
Total U.S. RMBS	(457		)	(629		)
CMBS	(3		)	0
Other	(45		)	(10		)
Total	$	(610	)	$	(634	)

Five-Year CDS Spread on AGC and AGM



	As of March 31, 2013	As of December 31, 2012	As of December 31, 2011
Quoted price of CDS contract (in basis points):
AGC	397	678	1,140
AGM	380	536	778

One-Year CDS Spread on AGC and AGM



	As of March 31, 2013	As of December 31, 2012	As of December 31, 2011
Quoted price of CDS contract (in basis points):
AGC	59	270	965
AGM	60	257	538



	As of March 31, 2013			As of December 31, 2012
	(in millions)
Credit derivative assets	$	125		$	141
Credit derivative liabilities	(2,518		)	(1,934		)
Net fair value of credit derivatives	$	(2,393	)	$	(1,793	)



	As of March 31, 2013			As of December 31, 2012
	(in millions)
Fair value of credit derivatives before effect of AGC and AGM credit spreads	$	(4,296	)	$	(4,809	)
Plus: Effect of AGC and AGM credit spreads	1,903			3,016
Net fair value of credit derivatives	$	(2,393	)	$	(1,793	)



	Fair Value of Credit Derivative Asset (Liability), net						Present Value of Expected Claim (Payments) Recoveries(1)
Asset Type	As of March 31, 2013			As of December 31, 2012			As of March 31, 2013			As of December 31, 2012
	(in millions)
Pooled corporate obligations:
CLOs/ Collateralized bond obligations	$	(52	)	$	3		$	—		$	—
Synthetic investment grade pooled corporate	(3		)	(5		)	—			—
Synthetic high-yield pooled corporate	2			3			—			—
TruPS CDOs	(37		)	3			(13		)	(16		)
Market value CDOs of corporate obligations	(11		)	2			—			—
Total pooled corporate obligations	(101		)	6			(13		)	(16		)
U.S. RMBS:
Option ARM and Alt-A first lien	(1,394		)	(1,076		)	(109		)	(121		)
Subprime first lien	(109		)	(52		)	(77		)	(70		)
Prime first lien	(179		)	(99		)	(6		)	—
Closed-end second lien and HELOCs	(11		)	(10		)	10			10
Total U.S. RMBS	(1,693		)	(1,237		)	(182		)	(181		)
CMBS	(5		)	(2		)	—			—
Other	(594		)	(560		)	(91		)	(85		)
Total	$	(2,393	)	$	(1,793	)	$	(286	)	$	(282	)

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(1)	Represents amount in excess of the present value of future installment fees to be received of $42 million as of March 31, 2013 and $43 million as of December 31, 2012. Includes R&W benefit of $226 million as of March 31, 2013 and $237 million as of December 31, 2012.

Effect of Changes in Credit Spread

As of March 31, 2013



Credit Spreads(1)	Estimated Net Fair Value (Pre-Tax)			Estimated Change in Gain/(Loss) (Pre-Tax)
	(in millions)
100% widening in spreads	$	(4,859	)	$	(2,466	)
50% widening in spreads	(3,626		)	(1,233		)
25% widening in spreads	(3,010		)	(617		)
10% widening in spreads	(2,640		)	(247		)
Base Scenario	(2,393		)	—
10% narrowing in spreads	(2,169		)	224
25% narrowing in spreads	(1,837		)	556
50% narrowing in spreads	(1,285		)	1,108

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