Outstanding Exposure (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Insured Financial Obligations [Line Items]

Debt Service Outstanding

The Company excludes amounts attributable to loss mitigation securities (unless otherwise indicated) from par and Debt Service outstanding, because it manages such securities as investments and not insurance exposure.

Financial Guaranty

Debt Service Outstanding

	Gross Debt Service Outstanding				Net Debt Service Outstanding
	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
	(in millions)
Public finance	$	565,386	$	587,245	$	533,359	$	553,612
Structured finance	54,546		59,477		51,300		56,010
Total financial guaranty	$	619,932	$	646,722	$	584,659	$	609,622

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating

As of March 31, 2015

	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	$	3,563	1.1	%	$	613	2.1	%	$	18,176	47.3	%	$	4,397	57.8	%	$	26,749	6.9	%
AA	86,521		27.6		2,650		9.0		8,360		21.7		377		5.0		97,908		25.2
A	171,308		54.7		7,091		23.9		2,228		5.8		365		4.7		180,992		46.4
BBB	44,110		14.1		17,891		60.4		1,843		4.8		1,746		23.0		65,590		16.9
BIG	7,942		2.5		1,374		4.6		7,823		20.4		721		9.5		17,860		4.6
Total net par outstanding (1)	$	313,444	100.0	%	$	29,619	100.0	%	$	38,430	100.0	%	$	7,606	100.0	%	$	389,099	100.0	%

_____________________

(1) Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of March 31, 2015, which are primarily in the BIG category.

Financial Guaranty Portfolio by Internal Rating

As of December 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	$	4,082	1.3	%	$	615	2.0	%	$	20,037	48.7	%	$	5,409	59.6	%	$	30,143	7.5	%
AA	90,464		28.1		2,785		8.9		8,213		19.9		503		5.5		101,965		25.3
A	176,298		54.7		7,192		22.9		2,940		7.1		445		4.9		186,875		46.3
BBB	43,429		13.5		19,363		61.7		1,795		4.4		1,912		21.1		66,499		16.4
BIG	7,850		2.4		1,404		4.5		8,186		19.9		807		8.9		18,247		4.5
Total net par outstanding (1)	$	322,123	100.0	%	$	31,359	100.0	%	$	41,171	100.0	%	$	9,076	100.0	%	$	403,729	100.0	%

_____________________

(1) Excludes $1.3 billion of loss mitigation securities insured and held by the Company as of December 31, 2014, which are primarily in the BIG category.

Components of BIG Net Par Outstanding (Insurance and Credit Derivative Form)

Components of BIG Net Par Outstanding

(Insurance and Credit Derivative Form)

As of March 31, 2015

	BIG Net Par Outstanding								Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding
					(in millions)
U.S. public finance	$	6,669	$	1,156	$	117	$	7,942	$	313,444
Non-U.S. public finance	863		511		—		1,374		29,619
First lien U.S. residential mortgage-backed securities ("RMBS"):
Prime first lien	49		59		241		349		454
Alt-A first lien	579		436		763		1,778		2,449
Option ARM	9		53		108		170		374
Subprime	179		529		831		1,539		3,935
Second lien U.S. RMBS:
Closed-end second lien	—		19		113		132		212
Home equity lines of credit (“HELOCs”)	1,235		29		240		1,504		1,654
Total U.S. RMBS	2,051		1,125		2,296		5,472		9,078
Triple-X life insurance transactions	—		—		598		598		3,133
Trust preferred securities (“TruPS”)	828		—		327		1,155		4,075
Other structured finance	927		237		155		1,319		29,750
Total	$	11,338	$	3,029	$	3,493	$	17,860	$	389,099

Components of BIG Net Par Outstanding

(Insurance and Credit Derivative Form)

As of December 31, 2014

	BIG Net Par Outstanding								Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding
					(in millions)
U.S. public finance	$	6,577	$	1,156	$	117	$	7,850	$	322,123
Non-U.S. public finance	1,402		2		—		1,404		31,359
First lien U.S. RMBS:
Prime first lien	68		33		252		353		471
Alt-A first lien	585		531		725		1,841		2,532
Option ARM	47		18		118		183		407
Subprime	156		654		765		1,575		4,051
Second lien U.S. RMBS:
Closed-end second lien	—		19		115		134		218
HELOCs	1,012		36		509		1,557		1,738
Total U.S. RMBS	1,868		1,291		2,484		5,643		9,417
Triple-X life insurance transactions	—		—		598		598		3,133
TruPS	997		—		336		1,333		4,326
Other structured finance	1,021		240		158		1,419		33,371
Total	$	11,865	$	2,689	$	3,693	$	18,247	$	403,729

BIG Net Par Outstanding and Number of Risks

BIG Net Par Outstanding

and Number of Risks

As of March 31, 2015

	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	$	9,887	$	1,451	$	11,338	164	18	182
Category 2	2,345		684		3,029		73	12	85
Category 3	2,705		788		3,493		119	25	144
Total BIG	$	14,937	$	2,923	$	17,860	356	55	411

BIG Net Par Outstanding

and Number of Risks

As of December 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	$	10,195	$	1,670	$	11,865	164	18	182
Category 2	2,135		554		2,689		75	14	89
Category 3	2,892		801		3,693		119	24	143
Total BIG	$	15,222	$	3,025	$	18,247	358	56	414

_____________________

(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.

The following table provides information on financial guaranty insurance contracts categorized as BIG.

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of March 31, 2015

	BIG  Categories
	BIG 1						BIG 2						BIG 3						Total BIG, Net			Effect of Consolidating FG VIEs			Total
	Gross			Ceded			Gross			Ceded			Gross			Ceded
	(dollars in millions)
Number of risks(1)	164			(61		)	73			(15		)	119			(38		)	356			—			356
Remaining weighted-average contract period (in years)	9.8			7.2			8.7			7.2			9.9			7.3			10.1			—			10.1
Outstanding exposure:
Principal	$	11,993		$	(2,106	)	$	2,701		$	(356	)	$	2,847		$	(142	)	$	14,937		$	—		$	14,937
Interest	6,082			(792		)	1,262			(127		)	1,013			(45		)	7,393			—			7,393
Total(2)	$	18,075		$	(2,898	)	$	3,963		$	(483	)	$	3,860		$	(187	)	$	22,330		$	—		$	22,330
Expected cash outflows (inflows)	$	1,655		$	(616	)	$	759		$	(84	)	$	1,721		$	(91	)	$	3,344		$	(343	)	$	3,001
Potential recoveries
Undiscounted R&W	(1		)	(1		)	(47		)	2			(133		)	7			(173		)	8			(165		)
Other(3)	(1,583		)	600			(271		)	18			(449		)	47			(1,638		)	180			(1,458		)
Total potential recoveries	(1,584		)	599			(318		)	20			(582		)	54			(1,811		)	188			(1,623		)
Subtotal	71			(17		)	441			(64		)	1,139			(37		)	1,533			(155		)	1,378
Discount	(7		)	0			(96		)	10			(336		)	7			(422		)	33			(389		)
Present value of expected cash flows	$	64		$	(17	)	$	345		$	(54	)	$	803		$	(30	)	$	1,111		$	(122	)	$	989
Deferred premium revenue	$	402		$	(75	)	$	104		$	(6	)	$	268		$	(25	)	$	668		$	(111	)	$	557
Reserves (salvage)(4)	$	(10	)	$	(7	)	$	269		$	(52	)	$	468		$	(10	)	$	658		$	(77	)	$	581

Financial Guaranty Insurance

BIG Transaction Loss Summary

As of December 31, 2014

	BIG Categories
	BIG 1						BIG 2						BIG 3						Total BIG, Net			Effect of Consolidating FG VIEs			Total
	Gross			Ceded			Gross			Ceded			Gross			Ceded
	(dollars in millions)
Number of risks(1)	164			(59		)	75			(15		)	119			(38		)	358			—			358
Remaining weighted-average contract period (in years)	9.9			7.4			10.1			8.9			9.6			6.9			10.3			—			10.3
Outstanding exposure:
Principal	$	12,358		$	(2,163	)	$	2,421		$	(286	)	$	3,067		$	(175	)	$	15,222		$	—		$	15,222
Interest	6,350			(838		)	1,274			(121		)	1,034			(48		)	7,651			—			7,651
Total(2)	$	18,708		$	(3,001	)	$	3,695		$	(407	)	$	4,101		$	(223	)	$	22,873		$	—		$	22,873
Expected cash outflows (inflows)	$	1,762		$	(626	)	$	763		$	(77	)	$	1,716		$	(75	)	$	3,463		$	(345	)	$	3,118
Potential recoveries
Undiscounted R&W	(39		)	0			(48		)	2			(171		)	9			(247		)	8			(239		)
Other(3)	(1,687		)	608			(206		)	5			(404		)	30			(1,654		)	177			(1,477		)
Total potential recoveries	(1,726		)	608			(254		)	7			(575		)	39			(1,901		)	185			(1,716		)
Subtotal	36			(18		)	509			(70		)	1,141			(36		)	1,562			(160		)	1,402
Discount	3			0			(117		)	11			(353		)	9			(447		)	34			(413		)
Present value of expected cash flows	$	39		$	(18	)	$	392		$	(59	)	$	788		$	(27	)	$	1,115		$	(126	)	$	989
Deferred premium revenue	$	378		$	(70	)	$	119		$	(6	)	$	312		$	(33	)	$	700		$	(116	)	$	584
Reserves (salvage)(4)	$	(42	)	$	(5	)	$	278		$	(53	)	$	482		$	(10	)	$	650		$	(79	)	$	571

____________________

(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making Debt Service payments. The ceded number of risks represents the number of risks for which the Company ceded a portion of its exposure.

(2) Includes BIG amounts related to FG VIEs.

(3) Includes excess spread and draws on HELOCs.

(4) See table “Components of net reserves (salvage).”

Net Direct Economic Exposure to Selected European Countries

Net Direct Economic Exposure to Selected European Countries(1)

As of March 31, 2015

	Hungary		Italy		Portugal		Spain		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Non-infrastructure public finance (2)	$	—	$	779	$	91	$	211	$	1,081
Infrastructure finance	265		11		11		120		407
Total sovereign and sub-sovereign exposure	265		790		102		331		1,488
Non-sovereign exposure:
Regulated utilities	—		210		—		—		210
RMBS	174		234		—		—		408
Total non-sovereign exposure	174		444		—		—		618
Total	$	439	$	1,234	$	102	$	331	$	2,106
Total BIG (See Note 5)	$	370	$	—	$	102	$	331	$	803

____________________

(1) While the Company’s exposures are shown in U.S. dollars, the obligations the Company insures are in various currencies, primarily Euros. 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) 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.

Puerto Rico [Member]

Schedule of Insured Financial Obligations [Line Items]

BIG Net Par Outstanding and Number of Risks

Amortization Schedule of Puerto Rico BIG Net Par Outstanding

and BIG Net Debt Service Outstanding

As of March 31, 2015

	Scheduled BIG Net Par Amortization						Scheduled BIG Net Debt Service Amortization
	Previously Subject to the Voided Recovery Act		Not Previously Subject to the Voided Recovery Act		Total		Previously Subject to the Voided Recovery Act		Not Previously Subject to the Voided Recovery Act		Total
	(in millions)
2015 (April 1 - June 30)	$	0	$	0	$	0	$	2	$	1	$	3
2015 (July 1 - September 30)	126		171		297		186		227		413
2015 (October 1 - December 31)	0		33		33		2		35		37
2016	84		183		267		200		287		487
2017	41		166		207		153		262		415
2018	48		109		157		158		195		353
2019	61		126		187		168		207		375
2020	73		182		255		176		258		434
2021	51		58		109		151		123		274
2022	43		67		110		140		129		269
2023	102		39		141		198		99		297
2024	82		78		160		173		136		309
2025-2029	576		340		916		951		566		1,517
2030-2034	440		387		827		696		542		1,238
2035 -2039	397		272		669		525		304		829
2040 -2044	78		12		90		146		13		159
2045 -2047	246		—		246		272		—		272
Total	$	2,448	$	2,223	$	4,671	$	4,297	$	3,384	$	7,681

Gross Par and Gross Debt Service Outstanding

Puerto Rico

Gross Par and Gross Debt Service Outstanding

	Gross Par Outstanding				Gross Debt Service Outstanding
	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
	(in millions)
Previously Subject to the Voided Recovery Act (1)	$	3,059	$	3,058	$	5,252	$	5,326
Not Previously Subject to the Voided Recovery Act	2,977		2,977		4,675		4,748
Total	$	6,036	$	6,035	$	9,927	$	10,074

____________________

(1) On February 6, 2015, the U.S. District Court for the District of Puerto Rico ruled that the Recovery Act is preempted by the Federal Bankruptcy Code and is therefore void. On February 19, 2015, the Commonwealth appealed the ruling to the U.S. Court of Appeals for the First Circuit.

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding

	As of March 31, 2015			As of December 31, 2014
	Total		Internal Rating	Total		Internal Rating
	(in millions)
Exposures Previously Subject to the Voided Recovery Act:
PRHTA (Transportation revenue)	$	844	BB-	$	844	BB-
PREPA	773		B-	772		B-
Puerto Rico Aqueduct and Sewer Authority	384		BB-	384		BB-
PRHTA (Highway revenue)	273		BB	273		BB
Puerto Rico Convention Center District Authority	174		BB-	174		BB-
Total	2,448			2,447
Exposures Not Previously Subject to the Voided Recovery Act:
Commonwealth of Puerto Rico - General Obligation Bonds	1,672		BB	1,672		BB
Puerto Rico Municipal Finance Agency	399		BB-	399		BB-
Puerto Rico Sales Tax Financing Corporation	269		BBB	269		BBB
Puerto Rico Public Buildings Authority	100		BB	100		BB
GDB	33		BB	33		BB
Puerto Rico Infrastructure Finance Authority	18		BB-	18		BB-
University of Puerto Rico	1		BB-	1		BB-
Total	2,492			2,492
Total net exposure to Puerto Rico	$	4,940		$	4,939