Outstanding Exposure (Tables)

9 Months Ended

Sep. 30, 2013



	Gross Debt Service Outstanding				Net Debt Service Outstanding
	September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012
	(in millions)
Public finance	$	665,855	$	722,478	$	624,425	$	677,285
Structured finance	91,723		110,620		85,218		103,071
Total financial guaranty	$	757,578	$	833,098	$	709,643	$	780,356

Financial Guaranty Portfolio by Internal Rating

As of September 30, 2013



	Public Finance U.S.				Public Finance Non-U.S.				Structured Finance U.S				Structured Finance Non-U.S				Total
Rating Category (1)	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
	(dollars in millions)
AAA	$	4,169	1.2	%	$	1,711	4.9	%	$	34,924	55.8	%	$	10,125	69.0	%	$	50,929	10.8	%
AA	112,319		31.1		488		1.4		9,438		15.1		590		4.0		122,835		25.9
A	197,403		54.6		9,358		26.8		2,587		4.1		797		5.5		210,145		44.4
BBB	42,684		11.8		21,729		62.2		4,329		6.9		2,162		14.7		70,904		15.0
Below-investment-grade (“BIG”)	4,628		1.3	%	1,626		4.7		11,306		18.1		997		6.8		18,557		3.9
Total net par outstanding (excluding loss mitigation bonds)	$	361,203	100.0	%	$	34,912	100.0	%	$	62,584	100.0	%	$	14,671	100.0	%	$	473,370	100.0	%
Loss Mitigation Bonds	34				—				1,263				—				1,297
Net Par Outstanding (including loss mitigation bonds)	$	361,237			$	34,912			$	63,847			$	14,671			$	474,667

Financial Guaranty Portfolio by Internal Rating

As of December 31, 2012



	Public Finance U.S.				Public Finance Non-U.S.				Structured Finance U.S				Structured Finance Non-U.S				Total
Rating Category (1)	Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%		Net Par Outstanding		%
	(dollars in millions)
AAA	$	4,502	1.2	%	$	1,706	4.5	%	$	42,187	56.6	%	$	13,169	70.2	%	$	61,564	11.9	%
AA	124,525		32.1		875		2.3		9,543		12.8		722		3.9		135,665		26.1
A	210,124		54.1		9,781		26.1		4,670		6.3		1,409		7.5		225,984		43.6
BBB	44,213		11.4		22,885		61.0		3,737		5.0		2,427		12.9		73,262		14.1
BIG	4,565		1.2		2,293		6.1		14,398		19.3		1,041		5.5		22,297		4.3
Total net par outstanding (excluding loss mitigation bonds)	$	387,929	100.0	%	$	37,540	100.0	%	$	74,535	100.0	%	$	18,768	100.0	%	$	518,772	100.0	%
Loss Mitigation Bonds	38				—				1,083				—				1,121
Net Par Outstanding (including loss mitigation bonds)	$	387,967			$	37,540			$	75,618			$	18,768			$	519,893

____________________


(1)	In Third Quarter 2013, the Company adjusted its approach to assigning internal ratings. See "Refinement of Approach to Internal Credit Ratings and Surveillance Categories" below. This approach is reflected in the "Financial Guaranty Portfolio by Internal Rating" tables as of both September 30, 2013 and December 31, 2012.

Schedule of Financial Guaranty Exposure, Refinement of Approach to Internal Credit Ratings [Table Text Block]

es. The following table shows the BIG exposure as it would have been categorized under the previous approach and how it is categorized under the new approach:

Below-Investment-Grade

Net Par Outstanding

As of September 30, 2013



	Previous Approach		New Approach		Difference
	(in millions)
BIG 1	$	7,032	$	8,986	$	1,954
BIG 2	4,805		4,805		—
BIG 3	6,984		4,766		(2,218		)
Total	$	18,821	$	18,557	$	(264	)

Below-Investment-Grade

Net Par Outstanding

As of December 31, 2012



	Previous Approach		New Approach		Difference
	(in millions)
BIG 1	$	9,254	$	10,820	$	1,566
BIG 2	4,617		4,617		—
BIG 3	8,451		6,860		(1,591		)
Total	$	22,322	$	22,297	$	(25	)

Financi

Financial Guaranty Exposures (Insurance and Credit Derivative Form)

Financial Guaranty Exposures

(Insurance and Credit Derivative Form)

As of September 30, 2013



	BIG Net Par Outstanding								Net Par		BIG Net Par as a % of Total Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding		Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	75	$	333	$	9	$	417	$	561	0.1	%
Alt-A first lien	913		1,454		434		2,801		3,993		0.6
Option ARM	68		353		211		632		1,014		0.2
Subprime	172		921		890		1,983		6,335		0.4
Second lien U.S. RMBS:
Closed end second lien	9		20		121		150		252		0.0
Home equity lines of credit (“HELOCs”)	1,461		22		472		1,955		2,365		0.4
Total U.S. RMBS	2,698		3,103		2,137		7,938		14,520		1.7
Trust preferred securities (“TruPS”)	941		136		919		1,996		5,164		0.4
Other structured finance	1,192		312		865		2,369		57,571		0.5
U.S. public finance	3,154		629		845		4,628		361,203		1.0
Non-U.S. public finance	1,001		625		—		1,626		34,912		0.3
Total	$	8,986	$	4,805	$	4,766	$	18,557	$	473,370	3.9	%

Financial Guaranty Exposures

(Insurance and Credit Derivative Form)

As of December 31, 2012



	BIG Net Par Outstanding								Net Par		BIG Net Par as a % of Total Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding		Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	28	$	436	$	11	$	475	$	641	0.1	%
Alt-A first lien	753		1,962		739		3,454		4,469		0.7
Option ARM	333		392		317		1,042		1,450		0.2
Subprime (including net interest margin securities)	152		988		921		2,061		7,048		0.4
Second lien U.S. RMBS:
Closed end second lien	97		76		58		231		348		0.0
HELOCs	644		—		1,932		2,576		3,079		0.5
Total U.S. RMBS	2,007		3,854		3,978		9,839		17,035		1.9
TruPS	1,920		—		953		2,873		5,694		0.6
Other structured finance	1,310		263		1,154		2,727		70,574		0.5
U.S. public finance	3,290		500		775		4,565		387,929		0.9
Non-U.S. public finance	2,293		—		—		2,293		37,540		0.4
Total	$	10,820	$	4,617	$	6,860	$	22,297	$	518,772	4.3	%

Net Par Outstanding for Below Investment Grade Credits

Below-Investment-Grade Credits

By Category

As of September 30, 2013



	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	$	7,453	$	1,533	$	8,986	154	21	175
Category 2	2,537		2,268		4,805		76	25	101
Category 3	3,588		1,178		4,766		136	29	165
Total BIG	$	13,578	$	4,979	$	18,557	366	75	441

Below-Investment-Grade Credits

By Category

As of December 31, 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	$	7,929	$	2,891	$	10,820	163	33	196
Category 2	2,116		2,501		4,617		76	27	103
Category 3	5,543		1,317		6,860		131	29	160
Total BIG	$	15,588	$	6,709	$	22,297	370	89	459

_____________________

(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.

Schedule of net economic exposure to selected European countries

The Company selected these European countries based on these reports and its view that their credit fundamentals are deteriorating. The Company’s economic exposure to the Selected European Countries (based on par for financial guaranty contracts and notional amount for financial guaranty contracts accounted for as derivatives) is shown in the following table, net of ceded reinsurance.

Net Economic Exposure to Selected European Countries(1)

September 30, 2013



	Greece		Hungary (2)		Ireland		Italy		Portugal		Spain (2)		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Public finance	$	—	$	—	$	—	$	1,020	$	101	$	271	$	1,392
Infrastructure finance	—		417		24		85		96		171		793
Sub-total	—		417		24		1,105		197		442		2,185
Non-sovereign exposure:
Regulated utilities	—		—		—		229		—		—		229
RMBS	—		220		142		314		—		—		676
Commercial receivables	—		0		9		62		14		2		87
Pooled corporate	17		—		103		168		15		502		805
Sub-total	17		220		254		773		29		504		1,797
Total	$	17	$	637	$	278	$	1,878	$	226	$	946	$	3,982
Total BIG	$	—	$	599	$	7	$	1	$	113	$	425	$	1,145

____________________

(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 $142 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 5, Expected Loss to be Paid.

PUERTO RICO

Guarantor Obligations [Line Items]

Financial Guaranty Portfolio by Internal Rating

The table below presents the Company’s exposure to Puerto Rico credits:



	Net Par Outstanding		Internal Rating
	(in millions)
Commonwealth of Puerto Rico	$	1,885	BBB-
Puerto Rico Highways and Transportation Authority (Transportation revenue)	928		BBB-
Puerto Rico Electric Power Authority	860		BBB
Puerto Rico Municipal Finance Authority	450		BBB-
Puerto Rico Aqueduct and Sewer Authority	384		BB+
Puerto Rico Highways and Transportation Authority (Highway revenue)	303		BBB
Puerto Rico Sales Tax Financing Corporation	267		A
Puerto Rico Convention Center District Authority	185		BBB
Puerto Rico Public Buildings Authority	139		BBB-
Puerto Rico Public Finance Corporation	44		BB+
Government Development Bank for Puerto Rico	33		BBB-
Puerto Rico Infrastructure Financing Authority	18		BBB-
University of Puerto Rico	1		BBB-
Total	$	5,497