Outstanding Exposure (Tables)

3 Months Ended

Mar. 31, 2014



	Gross Debt Service Outstanding				Net Debt Service Outstanding
	March 31, 2014		December 31, 2013		March 31, 2014		December 31, 2013
	(in millions)
Public finance	$	639,981	$	650,924	$	601,433	$	610,011
Structured finance	81,195		86,456		75,535		80,524
Total financial guaranty	$	721,176	$	737,380	$	676,968	$	690,535

Financial Guaranty Portfolio by Internal Rating

As of March 31, 2014



	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)
AAA	$	4,658	1.3	%	$	1,020	2.9	%	$	29,868	53.9	%	$	8,856	68.2	%	$	44,402	9.9	%
AA	104,577		30.2		427		1.2		9,396		17.0		570		4.4		114,970		25.6
A	187,433		54.1		9,595		27.6		2,340		4.2		661		5.1		200,029		44.4
BBB	40,783		11.8		22,173		63.7		3,496		6.3		1,829		14.1		68,281		15.2
BIG	8,977		2.6		1,611		4.6		10,293		18.6		1,062		8.2		21,943		4.9
Total net par outstanding (excluding loss mitigation bonds)	$	346,428	100.0	%	$	34,826	100.0	%	$	55,393	100.0	%	$	12,978	100.0	%	$	449,625	100.0	%
Loss Mitigation Bonds	32				—				1,204				—				1,236
Net Par Outstanding (including loss mitigation bonds)	$	346,460			$	34,826			$	56,597			$	12,978			$	450,861

Financial Guaranty Portfolio by Internal Rating

As of December 31, 2013



	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)
AAA	$	4,998	1.4	%	$	1,016	3.0	%	$	32,317	54.9	%	$	9,684	69.1	%	$	48,015	10.5	%
AA	107,503		30.5		422		1.2		9,431		16.0		577		4.1		117,933		25.7
A	192,841		54.8		9,453		27.9		2,580		4.4		742		5.3		205,616		44.8
BBB	37,745		10.7		21,499		63.2		3,815		6.4		1,946		13.9		65,005		14.1
BIG	9,094		2.6		1,608		4.7		10,764		18.3		1,072		7.6		22,538		4.9
Total net par outstanding (excluding loss mitigation bonds)	$	352,181	100.0	%	$	33,998	100.0	%	$	58,907	100.0	%	$	14,021	100.0	%	$	459,107	100.0	%
Loss Mitigation Bonds	32				—				1,163				—				1,195
Net Par Outstanding (including loss mitigation bonds)	$	352,213			$	33,998			$	60,070			$	14,021			$	460,302

Financial Guaranty Exposures (Insurance and Credit Derivative Form)

(Insurance and Credit Derivative Form)

As of March 31, 2014



	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	$	77	$	289	$	29	$	395	$	528	0.1	%
Alt-A first lien	703		787		1,223		2,713		3,478		0.6
Option ARM	66		59		440		565		877		0.1
Subprime	227		860		769		1,856		5,921		0.4
Second lien U.S. RMBS:
Closed-end second lien	8		19		116		143		239		0.0
Home equity lines of credit (“HELOCs”)	1,480		19		235		1,734		1,982		0.4
Total U.S. RMBS	2,561		2,033		2,812		7,406		13,025		1.6
Trust preferred securities (“TruPS”)	1,235		343		—		1,578		4,826		0.4
Other structured finance	1,348		304		719		2,371		50,520		0.5
U.S. public finance	8,117		419		441		8,977		346,428		2.0
Non-U.S. public finance	989		622		—		1,611		34,826		0.4
Total	$	14,250	$	3,721	$	3,972	$	21,943	$	449,625	4.9	%

Components of BIG Net Par Outstanding

(Insurance and Credit Derivative Form)

As of December 31, 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	$	52	$	321	$	30	$	403	$	541	0.1	%
Alt-A first lien	656		1,137		935		2,728		3,590		0.6
Option ARM	71		60		467		598		937		0.1
Subprime	297		908		740		1,945		6,130		0.4
Second lien U.S. RMBS:
Closed-end second lien	8		20		118		146		244		0.0
HELOCs	1,499		20		378		1,897		2,279		0.4
Total U.S. RMBS	2,583		2,466		2,668		7,717		13,721		1.6
TruPS	1,587		135		—		1,722		4,970		0.4
Other structured finance	1,367		309		721		2,397		54,237		0.5
U.S. public finance	8,205		440		449		9,094		352,181		2.0
Non-U.S. public finance	1,009		599		—		1,608		33,998		0.4
Total	$	14,751	$	3,949	$	3,838	$	22,538	$	459,107	4.9	%

Net Par Outstanding for Below Investment Grade Credits

BIG Net Par Outstanding

and Number of Risks

As of March 31, 2014



	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	$	12,242	$	2,008	$	14,250	193	24	217
Category 2	2,253		1,468		3,721		80	21	101
Category 3	2,872		1,100		3,972		109	27	136
Total BIG	$	17,367	$	4,576	$	21,943	382	72	454

BIG Net Par Outstanding

and Number of Risks

As of December 31, 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	$	12,391	$	2,360	$	14,751	185	25	210
Category 2	2,323		1,626		3,949		80	21	101
Category 3	3,031		807		3,838		119	27	146
Total BIG	$	17,745	$	4,793	$	22,538	384	73	457

_____________________

(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.

Net Direct Economic Exposure to Selected European Countries

Net Direct Economic Exposure to Selected European Countries(1)

As of March 31, 2014



	Hungary (2)		Ireland		Italy		Portugal (2)		Spain (2)		Total

Sovereign and sub-sovereign exposure:
Non-infrastructure public finance (3)	$	—	$	—	$	1,026	$	98	$	274	$	1,398
Infrastructure finance	370		—		18		12		156		556
Sub-total	370		—		1,044		110		430		1,954
Non-sovereign exposure:
Regulated utilities	—		—		235		—		—		235
RMBS	217		145		312		—		—		674
Sub-total	217		145		547		—		—		909
Total	$	587	$	145	$	1,591	$	110	$	430	$	2,863
Total BIG	$	587	$	—	$	—	$	110	$	429	$	1,126

____________________

(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 and Euros. Included in the table above is $145 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.


(3)	The exposure shown in the “Non-infrastructure 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 entity, that is other than direct sovereign debt of the ultimate governing body of the country.

Amortization Schedule of BIG Net Par Outstanding and BIG Net Debt Service Outstanding of Puerto Rico

Amortization Schedule of BIG Net Par Outstanding

and BIG Net Debt Service Outstanding of Puerto Rico

As of March 31, 2014



	Estimated BIG Net Par Amortization		Estimated BIG Net Debt Service Amortization
	(in millions)
2014 (April 1 - June 30)	$	—	$	64
2014 (July 1 - September 30)	254		315
2014 (October 1 - December 31)	—		61
2015	364		601
2016	289		509
2017	208		415
2018	159		358
2019-2023	884		1,718
2024-2028	937		1,566
2029-2033	697		1,125
After 2033	1,281		1,574
Total	$	5,073	$	8,306