Outstanding Exposure (Tables)

6 Months Ended

Jun. 30, 2015

Schedule of Insured Financial Obligations [Line Items]

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
	June 30, 2015		December 31, 2014		June 30, 2015		December 31, 2014
	(in millions)
Public finance	$	557,816	$	587,245	$	532,992	$	553,612
Structured finance	54,177		59,477		51,436		56,010
Total financial guaranty	$	611,993	$	646,722	$	584,428	$	609,622

Financial Guaranty Portfolio by Internal Rating

Financial Guaranty Portfolio by Internal Rating (2)

As of June 30, 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	$	3,280	1.1	%	$	695	2.1	%	$	17,619	45.3	%	$	3,715	53.2	%	$	25,309	6.5	%
AA	80,550		25.8		2,735		8.5		8,628		22.2		395		5.7		92,308		23.6
A	171,633		55.0		7,627		23.6		2,684		6.9		378		5.4		182,322		46.7
BBB	46,822		15.0		19,651		60.8		1,797		4.6		1,771		25.4		70,041		17.9
BIG	9,897		3.1		1,611		5.0		8,178		21.0		718		10.3		20,404		5.3
Total net par outstanding (1)	$	312,182	100.0	%	$	32,319	100.0	%	$	38,906	100.0	%	$	6,977	100.0	%	$	390,384	100.0	%

_____________________


(1)	Excludes $1.2 billion of loss mitigation securities insured and held by the Company as of June 30, 2015, which are primarily in the BIG category.


(2)	The June 30, 2015 amounts include $13.1 billion of net par acquired from Radian Asset.

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 June 30, 2015



	BIG Net Par Outstanding								Net Par
	BIG 1		BIG 2		BIG 3		Total BIG		Outstanding
					(in millions)
U.S. public finance	$	7,622	$	2,132	$	143	$	9,897	$	312,182
Non-U.S. public finance	952		659		—		1,611		32,319
Structured finance:
First lien U.S. residential mortgage-backed securities ("RMBS"):
Prime first lien	246		61		29		336		498
Alt-A first lien	543		430		777		1,750		2,397
Option ARM	44		15		101		160		338
Subprime	218		512		827		1,557		3,920
Second lien U.S. RMBS:
Closed-end second lien	0		19		112		131		208
Home equity lines of credit (“HELOCs”)	877		34		548		1,459		1,567
Total U.S. RMBS	1,928		1,071		2,394		5,393		8,928
Triple-X life insurance transactions	—		—		598		598		3,133
Trust preferred securities (“TruPS”)	560		—		306		866		4,850
Student loans	—		81		86		167		1,827
Other structured finance	1,660		169		43		1,872		27,145
Total	$	12,722	$	4,112	$	3,570	$	20,404	$	390,384

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
Structured finance:
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
Student loans	14		68		113		195		1,857
Other structured finance	1,007		172		45		1,224		31,514
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 June 30, 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	$	10,504	$	2,218	$	12,722	266	22	288
Category 2	3,389		723		4,112		76	11	87
Category 3	3,011		559		3,570		126	24	150
Total BIG	$	16,904	$	3,500	$	20,404	468	57	525

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 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 June 30, 2015



	BIG Categories
	BIG 1						BIG 2						BIG 3						Total BIG, Net			Effect of Consolidating FG VIEs			Total
	Gross			Ceded			Gross			Ceded			Gross			Ceded			Total BIG, Net			Effect of Consolidating FG VIEs			Total
	(dollars in millions)
Number of risks(1)	266			(54		)	76			(14		)	126			(41		)	468			—			468
Remaining weighted-average contract period (in years)	9.7			6.5			10.3			8.1			9.2			6.7			10.1			—			10.1
Outstanding exposure:
Principal	$	12,125		$	(1,621	)	$	3,696		$	(307	)	$	3,147		$	(136	)	$	16,904		$	—		$	16,904
Interest	6,019			(542		)	2,005			(122		)	1,039			(37		)	8,362			—			8,362
Total(2)	$	18,144		$	(2,163	)	$	5,701		$	(429	)	$	4,186		$	(173	)	$	25,266		$	—		$	25,266
Expected cash outflows (inflows)	$	561		$	(28	)	$	1,012		$	(79	)	$	1,659		$	(49	)	$	3,076		$	(339	)	$	2,737
Potential recoveries
Undiscounted R&W	17			(1		)	(49		)	1			(127		)	6			(153		)	9			(144		)
Other(3)	(446		)	14			(209		)	6			(399		)	19			(1,015		)	180			(835		)
Total potential recoveries	(429		)	13			(258		)	7			(526		)	25			(1,168		)	189			(979		)
Subtotal	132			(15		)	754			(72		)	1,133			(24		)	1,908			(150		)	1,758
Discount	10			(1		)	(190		)	13			(365		)	3			(530		)	36			(494		)
Present value of expected cash flows	$	142		$	(16	)	$	564		$	(59	)	$	768		$	(21	)	$	1,378		$	(114	)	$	1,264
Deferred premium revenue	$	631		$	(59	)	$	144		$	(4	)	$	296		$	(19	)	$	989		$	(107	)	$	882
Reserves (salvage)(4)	$	7		$	(8	)	$	459		$	(54	)	$	433		$	(8	)	$	829		$	(69	)	$	760

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			Total BIG, Net			Effect of Consolidating FG VIEs			Total
	(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 June 30, 2015



	Hungary		Italy		Portugal		Spain		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Non-infrastructure public finance (2)	$	—	$	813	$	90	$	257	$	1,160
Infrastructure finance	291		11		11		126		439
Total sovereign and sub-sovereign exposure	291		824		101		383		1,599
Non-sovereign exposure:
Regulated utilities	—		226		—		—		226
RMBS and other structured finance	175		256		—		13		444
Total non-sovereign exposure	175		482		—		13		670
Total	$	466	$	1,306	$	101	$	396	$	2,269
Total BIG (See Note 6)	$	397	$	—	$	101	$	396	$	894

____________________

(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 Net Par Outstanding

and Net Debt Service Outstanding

As of June 30, 2015



	Scheduled Net Par Amortization						Scheduled 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 (July 1 - September 30)	$	131	$	207	$	338	$	198	$	276	$	474
2015 (October 1 - December 31)	0		33		33		2		35		37
2016	98		204		302		229		332		561
2017	51		171		222		175		289		464
2018	56		123		179		178		232		410
2019	74		130		204		192		232		424
2020	87		183		270		202		280		482
2021	66		60		126		177		147		324
2022	47		68		115		153		152		305
2023	110		41		151		214		123		337
2024	89		85		174		187		165		352
2025-2029	619		395		1,014		1,032		723		1,755
2030-2034	505		475		980		787		712		1,499
2035 -2039	429		283		712		567		382		949
2040 -2044	97		267		364		171		296		467
2045 -2047	246		—		246		272		—		272
Total	$	2,705	$	2,725	$	5,430	$	4,736	$	4,376	$	9,112

Gross Par and Gross Debt Service Outstanding

Puerto Rico

Gross Par and Gross Debt Service Outstanding



	Gross Par Outstanding				Gross Debt Service Outstanding
	June 30, 2015		December 31, 2014		June 30, 2015		December 31, 2014
	(in millions)
Previously Subject to the Voided Recovery Act (1)	$	3,135	$	3,058	$	5,408	$	5,326
Not Previously Subject to the Voided Recovery Act	3,087		2,977		4,852		4,748
Total	$	6,222	$	6,035	$	10,260	$	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, and on July 6, 2015, the U.S. Court of Appeals for the First Circuit upheld that ruling.

Schedule of Geographic Exposure of Net Par Outstanding

Puerto Rico

Net Par Outstanding



	As of June 30, 2015			As of December 31, 2014
	Total (1)(2)		Internal Rating	Total		Internal Rating
	(in millions)
Exposures Previously Subject to the Voided Recovery Act:
PRHTA (Transportation revenue)	$	934	CCC-	$	844	BB-
PREPA	818		CC	772		B-
Puerto Rico Aqueduct and Sewer Authority	403		CCC	384		BB-
PRHTA (Highway revenue)	376		CCC	273		BB
Puerto Rico Convention Center District Authority	174		CCC-	174		BB-
Total	2,705			2,447

Exposures Not Previously Subject to the Voided Recovery Act:
Commonwealth of Puerto Rico - General Obligation Bonds	1,744		CCC	1,672		BB
Puerto Rico Municipal Finance Agency	444		CCC-	399		BB-
Puerto Rico Sales Tax Financing Corporation	269		CCC+	269		BBB
Puerto Rico Public Buildings Authority	216		CCC	100		BB
GDB	33		CCC	33		BB
PRIFA	18		CCC-	18		BB-
University of Puerto Rico	1		CCC-	1		BB-
Total	2,725			2,492
Total net exposure to Puerto Rico	$	5,430		$	4,939

____________________


(1)	In Second Quarter 2015, the Company's Puerto Rico exposures increased due to (1) the Radian Asset Acquisition, which increased net par outstanding by $422 million, of which $22 million was for PREPA and $169 million for PRHTA, and (2) a commutation of previously ceded Puerto Rico exposures.


(2)	In July 2015, various Puerto Rico issuers made payment on $293 million of par scheduled to be paid; of that amount, $74 million and $31 million of par was paid by PREPA and PRHTA, respectively.