Outstanding Exposure (Tables)

6 Months Ended

Jun. 30, 2012



	Gross Debt Service Outstanding				Net Debt Service Outstanding
	June 30, 2012		December 31, 2011		June 30, 2012		December 31, 2011
	(in millions)
Public finance	$	767,155	$	798,471	$	719,301	$	716,890
Structured finance	123,437		137,661		115,787		128,775
Total financial guaranty	$	890,592	$	936,132	$	835,088	$	845,665

Financial Guaranty Portfolio by Internal Rating



	As of June 30, 2012
	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)
Super senior	$	—	—	%	$	1,109	2.8	%	$	15,157	18.2	%	$	4,777	22.9	%	$	21,043	3.8	%
AAA	4,771		1.2		1,388		3.6		32,947		39.5		9,225		44.2		48,331		8.7
AA	136,709		33.3		998		2.6		10,416		12.5		889		4.3		149,012		27.0
A	220,154		53.7		10,657		27.5		4,692		5.6		1,352		6.5		236,855		42.8
BBB	43,836		10.7		22,102		57.0		4,201		5.0		2,740		13.1		72,879		13.2
Below-investment-grade (“BIG”)	4,407		1.1		2,515		6.5		16,017		19.2		1,875		9.0		24,814		4.5
Total net par outstanding	$	409,877	100.0	%	$	38,769	100.0	%	$	83,430	100.0	%	$	20,858	100.0	%	$	552,934	100.0	%



	As of December 31, 2011
	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)
Super senior	$	—	—	%	$	1,138	2.9	%	$	16,756	18.2	%	$	5,660	23.9	%	$	23,554	4.2	%
AAA	5,074		1.3		1,381		3.5		35,736		38.7		10,231		43.2		52,422		9.4
AA	139,693		34.6		1,056		2.7		12,575		13.6		976		4.1		154,300		27.7
A	213,164		52.9		11,744		30.1		4,115		4.5		1,518		6.4		230,541		41.3
BBB	40,635		10.1		21,399		54.8		5,044		5.5		3,391		14.3		70,469		12.6
BIG	4,507		1.1		2,328		6.0		18,008		19.5		1,919		8.1		26,762		4.8
Total net par outstanding	$	403,073	100.0	%	$	39,046	100.0	%	$	92,234	100.0	%	$	23,695	100.0	%	$	558,048	100.0	%

Schedule of net economic exposure to selected european countries

Net Economic Exposure to Selected European Countries(1)

June 30, 2012



	Greece(2)		Hungary		Ireland		Italy		Portugal		Spain		Total
	(in millions)
Sovereign and sub-sovereign exposure:
Public finance	$	276	$	—	$	—	$	977	$	110	$	257	$	1,620
Infrastructure finance	—		430		23		322		99		165		1,039
Sub-total	276		430		23		1,299		209		422		2,659
Non-sovereign exposure:
Regulated utilities	—		—		—		222		—		12		234
RMBS	—		215		133		489		—		—		837
Commercial receivables	—		1		19		26		14		18		78
Pooled corporate	31		—		208		227		14		492		972
Sub-total	31		216		360		964		28		522		2,121
Total	$	307	$	646	$	383	$	2,263	$	237	$	944	$	4,780
Total BIG	$	276	$	516	$	8	$	238	$	127	$	391	$	1,556

____________________

(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 $133 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) As of June 30, 2012, the Company had established a full limit loss on this exposure. The Company accelerated claims under its financial guaranty on the July payment date with respect to the 2057 bonds and intends to accelerate claims on or after the September payment date with respect to the 2037 bonds.

Financial Guaranty Exposures (Insurance and Credit Derivative Form)

Financial Guaranty Exposures

(Insurance and Credit Derivative Form)



	As of June 30, 2012
	BIG Net Par Outstanding								Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG		Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	76	$	430	$	3	$	509	$	690	0.1	%
Alt-A first lien	436		2,039		1,374		3,849		4,939		0.7
Option ARM	61		471		827		1,359		1,991		0.3
Subprime	218		1,276		864		2,358		7,754		0.4
Second lien U.S. RMBS:
Closed end second lien	—		450		419		869		997		0.2
Home equity lines of credit (“HELOCs”)	394		—		2,587		2,981		3,521		0.5
Total U.S. RMBS	1,185		4,666		6,074		11,925		19,892		2.2
Trust preferred securities (“TruPS”)	2,071		—		952		3,023		6,006		0.5
Other structured finance	1,261		459		1,224		2,944		78,390		0.5
U.S. public finance	3,285		407		715		4,407		409,877		0.8
Non-U.S. public finance (1)	2,239		276		—		2,515		38,769		0.5
Total	$	10,041	$	5,808	$	8,965	$	24,814	$	552,934	4.5	%



	As of December 31, 2011
	BIG Net Par Outstanding								Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
	BIG 1		BIG 2		BIG 3		Total BIG		Net Par Outstanding		BIG Net Par as a % of Net Par Outstanding
					(in millions)
First lien U.S. RMBS:
Prime first lien	$	77	$	465	$	—	$	542	$	739	0.1	%
Alt-A first lien	1,695		1,028		1,540		4,263		5,329		0.8
Option ARM	25		689		882		1,596		2,433		0.3
Subprime (including net interest margin securities)	795		1,200		513		2,508		8,136		0.4
Second lien U.S. RMBS:
Closed end second lien	—		495		520		1,015		1,040		0.2
HELOCs	421		—		2,858		3,279		3,890		0.6
Total U.S. RMBS	3,013		3,877		6,313		13,203		21,567		2.4
TruPS	2,501		—		951		3,452		6,334		0.6
Other structured finance	1,295		548		1,429		3,272		88,028		0.6
U.S. public finance	3,395		274		838		4,507		403,073		0.8
Non-U.S. public finance (1)	2,046		282		—		2,328		39,046		0.4
Total	$	12,250	$	4,981	$	9,531	$	26,762	$	558,048	4.8	%

_____________________

(1) Includes $276 million and $282 million in net par as of June 30, 2012 and December 31, 2011, respectively, for bonds of the Hellenic Republic of Greece, a portion of which was accelerated in July 2012 and a portion of which the Company intends to accelerate on or after September 2012. See Note 4, Financial Guaranty Insurance Contracts.

Net Par Outstanding for Below Investment Grade Credits

Below-Investment-Grade Credits

By Category



	As of June 30, 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	$	7,467	$	2,574	$	10,041	164	35	199
Category 2	3,353		2,455		5,808		79	34	113
Category 3	6,894		2,071		8,965		132	25	157
Total BIG	$	17,714	$	7,100	$	24,814	375	94	469



	As of December 31, 2011
	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	$	8,297	$	3,953	$	12,250	171	40	211
Category 2	3,458		1,523		4,981		71	33	104
Category 3	7,204		2,327		9,531		126	26	152
Total BIG	$	18,959	$	7,803	$	26,762	368	99	467

_____________________

(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.