Financial Guaranty Insurance Contracts (Tables)

6 Months Ended

Jun. 30, 2012

Schedule of Effect of Retrospective Application of New Deferred Acquisition Cost Guidance On Consolidated Statements of Operations

Effect of Retrospective Application of New Deferred Acquisition Cost Guidance

On Consolidated Statements of Operations



	As Reported Second Quarter 2011			Retroactive Application Adjustment			As Revised Second Quarter 2011
	(in millions except per share amounts)
Amortization of deferred acquisition costs	$	9.5		$	(3.7	)	$	5.8
Other operating expenses	48.5			4.7			53.2
Net income (loss)	(42.6		)	(0.5		)	(43.1		)
Earnings per share:
Basic	$	(0.23	)	$	—		$	(0.23	)
Diluted	(0.23		)	—			(0.23		)



	As Reported Six Months 2011		Retroactive Application Adjustment			As Revised Six Months 2011
	(in millions except per share amounts)
Amortization of deferred acquisition costs	$	16.9	$	(7.4	)	$	9.5
Other operating expenses	105.3		10.7			116.0
Net income (loss)	98.0		(1.8		)	96.2
Earnings per share:
Basic	0.53		(0.01		)	0.52
Diluted	0.52		(0.01		)	0.51

Net Earned Premiums



	Second Quarter				Six Months
	2012		2011		2012		2011
	(in millions)
Scheduled net earned premiums	$	144.7	$	202.7	$	296.7	$	417.6
Acceleration of premium earnings	68.2		21.0		104.8		50.6
Accretion of discount on net premiums receivable	6.3		5.8		11.0		14.8
Total financial guaranty	219.2		229.5		412.5		483.0
Other	0.1		0.5		0.5		1.0
Total net earned premiums(1)	$	219.3	$	230.0	$	413.0	$	484.0

___________________

(1) Excludes $15.5 million and $18.3 million in Second Quarter 2012 and 2011, respectively, and $32.5 million and $37.4 million for the Six Months 2012 and 2011, respectively, related to consolidated FG VIEs.

Gross Premium Receivable, Net of Ceding Commissions Roll Forward



	Six Months
	2012			2011
	(in millions)
Balance beginning of period	$	1,002.9		$	1,167.6
Premium written, net	102.7			102.9
Premium payments received, net	(166.5		)	(151.7		)
Adjustments to the premium receivable:
Changes in the expected term of financial guaranty insurance contracts	18.8			(91.1		)
Accretion of discount	13.4			16.4
Foreign exchange translation	(0.5		)	22.8
Consolidation of FG VIEs	(5.4		)	(9.9		)
Other adjustments	(1.3		)	2.5
Balance, end of period (1)	$	964.1		$	1,059.5

____________________

(1) Excludes $31.7 million and $31.7 million as of June 30, 2012 and 2011, respectively, related to consolidated FG VIEs.

Expected Collections of Gross Premiums Receivable, Net of Ceding Commissions (Undiscounted)

Expected Collections of Gross Premiums Receivable,

Net of Ceding Commissions (Undiscounted)



	June 30, 2012
	(in millions)
2012 (July 1 – September 30)	$	48.4
2012 (October 1 – December 31)	50.0
2013	106.6
2014	93.3
2015	83.3
2016	77.3
2017-2021	305.6
2022-2026	206.6
2027-2031	152.2
After 2031	187.6
Total(1)	$	1,310.9

____________________

(1) Excludes expected cash collections on FG VIEs of $37.8 million.

Components of Unearned Premium Reserve



	As of June 30, 2012									As of December 31, 2011
	Gross			Ceded			Net(1)			Gross			Ceded			Net(1)
	(in millions)
Deferred premium revenue	$	5,698.6		$	610.6		$	5,088.0		$	6,046.3		$	727.4		$	5,318.9
Contra-paid	(123.1		)	(19.8		)	(103.3		)	(92.2		)	(18.8		)	(73.4		)
Total financial guaranty	5,575.5			590.8			4,984.7			5,954.1			708.6			5,245.5
Other	7.9			0.0			7.9			8.7			0.3			8.4
Total	$	5,583.4		$	590.8		$	4,992.6		$	5,962.8		$	708.9		$	5,253.9

____________________

(1) Total net unearned premium reserve excludes $255.5 million and $274.2 million related to FG VIEs as of June 30, 2012 and December 31, 2011, respectively.

Expected Timing of Financial Guaranty Insurance Premium and Loss Recognition

Expected Timing of Premium and Loss Recognition



	As of June 30, 2012
	Scheduled Net Earned Premium		Net Expected Loss to be Expensed		Net
	(in millions)
2012 (July 1–September 30)	$	137.9	$	16.2	$	121.7
2012 (October 1–December 31)	131.0		14.9		116.1
Subtotal 2012	268.9		31.1		237.8
2013	472.9		61.0		411.9
2014	434.7		48.6		386.1
2015	384.6		38.0		346.6
2016	349.1		33.7		315.4
2017 - 2021	1,325.7		142.1		1,183.6
2022 - 2026	834.5		78.5		756.0
2027 - 2031	505.6		39.5		466.1
After 2031	512.0		30.7		481.3
Total present value basis(1)(2)	5,088.0		503.2		4,584.8
Discount	279.6		275.6		4.0
Total future value	$	5,367.6	$	778.8	$	4,588.8

____________________

(1) Balances represent discounted amounts.

(2) Consolidation of FG VIEs resulted in reductions of $381.4 million in future scheduled net earned premium and $196.8 million in net expected loss to be expensed.

Selected Information for Policies Paid in Installments



	As of June 30, 2012			As of December 31, 2011
	(dollars in millions)
Premiums receivable, net of ceding commission payable	$	964.1		$	1,002.9
Gross deferred premium revenue	2,013.1			2,192.6
Weighted-average risk-free rate used to discount premiums	3.6		%	3.4		%
Weighted-average period of premiums receivable (in years)	10.0			9.8

Financial Guaranty Insurance Present Value of Net Expected Loss to be Paid Roll Forward by Sector

Present Value of Net Expected Loss to be Paid

Roll Forward by Sector(1)



	Net Expected Loss to be Paid as of March 31, 2012			Economic Loss Development(2)			(Paid) Recovered Losses(3)			Net Expected Loss to be Paid as of June 30, 2012(4)
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	2.2		$	0.7		$	—		$	2.9
Alt-A first lien	116.9			22.8			52.4			192.1
Option ARM	75.3			0.7			(112.3		)	(36.3		)
Subprime	150.4			10.6			(1.6		)	159.4
Total first lien	344.8			34.8			(61.5		)	318.1
Second lien:
Closed-end second lien	(89.7		)	(2.6		)	75.9			(16.4		)
HELOCs	(42.5		)	14.8			(36.0		)	(63.7		)
Total second lien	(132.2		)	12.2			39.9			(80.1		)
Total U.S. RMBS	212.6			47.0			(21.6		)	238.0
TruPS	8.5			(1.8		)	(0.2		)	6.5
Other structured finance	196.8			30.9			(6.6		)	221.1
U.S. public finance	32.7			35.5			(9.8		)	58.4
Non-U.S. public finance	301.8			(15.0		)	15.7			302.5
Total financial guaranty	752.4			96.6			(22.5		)	826.5
Other	1.9			(6.0		)	—			(4.1		)
Total	$	754.3		$	90.6		$	(22.5	)	$	822.4



	Net Expected Loss to be Paid as of March 31, 2011			Economic Loss Development(2)			(Paid) Recovered Losses(3)			Net Expected Loss to be Paid as of June 30, 2011
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	1.5		$	1.7		$	—		$	3.2
Alt-A first lien	171.4			15.3			(19.1		)	167.6
Option ARM	322.1			26.3			(81.5		)	266.9
Subprime	167.5			(5.4		)	(0.6		)	161.5
Total first lien	662.5			37.9			(101.2		)	599.2
Second lien:
Closed-end second lien	(76.9		)	(3.2		)	(14.6		)	(94.7		)
HELOCs	(792.7		)	27.1			727.3			(38.3		)
Total second lien	(869.6		)	23.9			712.7			(133.0		)
Total U.S. RMBS	(207.1		)	61.8			611.5			466.2
TruPS	(0.9		)	7.0			(1.4		)	4.7
Other structured finance	173.9			1.2			0.8			175.9
U.S. public finance	55.9			3.7			(0.2		)	59.4
Non-U.S. public finance	10.4			(3.6		)	—			6.8
Total financial guaranty	32.2			70.1			610.7			713.0
Other	2.1			—			—			2.1
Total	$	34.3		$	70.1		$	610.7		$	715.1



	Net Expected Loss to be Paid as of December 31, 2011(4)			Economic Loss Development(2)			(Paid) Recovered Losses(3)			Net Expected Loss to be Paid as of June 30, 2012(4)
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	1.8		$	1.1		$	—		$	2.9
Alt-A first lien	134.9			14.2			43.0			192.1
Option ARM	152.9			(1.0		)	(188.2		)	(36.3		)
Subprime	140.3			21.9			(2.8		)	159.4
Total first lien	429.9			36.2			(148.0		)	318.1
Second lien:
Closed-end second lien	(79.6		)	(3.7		)	66.9			(16.4		)
HELOCs	(31.1		)	22.4			(55.0		)	(63.7		)
Total second lien	(110.7		)	18.7			11.9			(80.1		)
Total U.S. RMBS	319.2			54.9			(136.1		)	238.0
TruPS	13.2			(6.3		)	(0.4		)	6.5
Other structured finance	239.6			11.6			(30.1		)	221.1
U.S. public finance	15.8			58.3			(15.7		)	58.4
Non-U.S public finance	50.2			182.9			69.4			302.5
Total financial guaranty	638.0			301.4			(112.9		)	826.5
Other	1.9			(6.0		)	—			(4.1		)
Total	$	639.9		$	295.4		$	(112.9	)	$	822.4



	Net Expected Loss to be Paid as of December 31, 2010			Economic Loss Development(2)			(Paid) Recovered Losses(3)			Expected Loss to be Paid as of June 30, 2011
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	1.4		$	1.8		$	—		$	3.2
Alt-A first lien	184.4			21.8			(38.6		)	167.6
Option ARM	523.7			(88.4		)	(168.4		)	266.9
Subprime	200.4			(23.2		)	(15.7		)	161.5
Total first lien	909.9			(88.0		)	(222.7		)	599.2
Second lien:
Closed-end second lien	56.6			(109.6		)	(41.7		)	(94.7		)
HELOCs	(805.7		)	104.7			662.7			(38.3		)
Total second lien	(749.1		)	(4.9		)	621.0			(133.0		)
Total U.S. RMBS	160.8			(92.9		)	398.3			466.2
TruPS	(0.6		)	7.0			(1.7		)	4.7
Other structured finance	159.7			17.5			(1.3		)	175.9
U.S. public finance	81.6			(13.0		)	(9.2		)	59.4
Non-U.S public finance	7.3			(0.5		)	—			6.8
Total financial guaranty	408.8			(81.9		)	386.1			713.0
Other	2.1			—			—			2.1
Total	$	410.9		$	(81.9	)	$	386.1		$	715.1

____________________

(1) Amounts include all expected payments whether or not the insured VIE is consolidated.

(2) Economic loss development includes the effects of changes in assumptions based on observed market trends, changes in discount rates, accretion of discount and the economic effects of loss mitigation efforts.


(3)	Net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded in reinsurance recoverable on paid losses included in other assets.


(4)	Includes expected LAE to be paid for mitigating claim liabilities of $31.1 million as of June 30, 2012 and $35.5 million as of December 31, 2011.

Reconciliation of Present Value of Net Expected Loss to be Paid and Net Present Value of Net Expected Loss to be Expensed

Reconciliation of Financial Guaranty Insurance Present Value of Net Expected Loss to be Paid

and Net Present Value of Net Expected Loss to be Expensed



	As of June 30, 2012
	(in millions)
Net expected loss to be paid	$	826.5
Less: net expected loss to be paid for FG VIEs	(65.7		)
Total	892.2
Contra-paid, net	103.3
Salvage and subrogation recoverable	370.8
Ceded salvage and subrogation recoverable(1)	(40.3		)
Loss and LAE reserve	(992.0		)
Reinsurance recoverable on unpaid losses	169.2
Net expected loss to be expensed(2)	$	503.2

____________________

(1) Recorded in reinsurance balances payable on the consolidated balance sheet.

(2) Excludes $196.8 million related to consolidated FG VIEs.

Key Assumptions in Base Case Expected Loss Estimates Second Lien RMBS

Key Assumptions in Base Case Expected Loss Estimates

Second Lien RMBS(1)



HELOC key assumptions	As of June 30, 2012				As of March 31, 2012				As of December 31, 2011
Plateau CDR	2.9	%	–	20.9%	3.3	%	–	26.3%	4.0	%	–	27.4%
Final CDR trended down to	0.4	%	–	3.2%	0.4	%	–	3.2%	0.4	%	–	3.2%
Expected period until final CDR	36 months				36 months				36 months
Initial CPR	2.7	%	–	16.4%	2.6	%	–	15.1%	1.4	%	–	25.8%
Final CPR	10%				10%				10%
Loss severity	98%				98%				98%
Initial draw rate	0.0	%	–	4.1%	0.0	%	–	7.8%	0.0	%	–	15.3%



Closed-end second lien key assumptions	As of June 30, 2012				As of March 31, 2012				As of December 31, 2011
Plateau CDR	4.3	%	–	20.7%	5.4	%	–	24.9%	6.9	%	–	24.8%
Final CDR trended down to	3.3	%	–	9.1%	3.3	%	–	9.2%	3.5	%	–	9.2%
Expected period until final CDR	36 months				36 months				36 months
Initial CPR	1.1	%	–	11.0%	1.2	%	–	8.6%	0.9	%	–	14.7%
Final CPR	10%				10%				10%
Loss severity	98%				98%				98%

____________________

(1) Represents variables for most heavily weighted scenario (the “base case”).

First Lien Liquidation Rates

as of June 30, 2012



30 – 59 Days Delinquent
Alt A and Prime	35%
Option ARM	50
Subprime	30
60 – 89 Days Delinquent
Alt A and Prime	55
Option ARM	65
Subprime	45
90+ Days Delinquent
Alt A and Prime	65
Option ARM	75
Subprime	60
Bankruptcy
Alt A and Prime	55
Option ARM	70
Subprime	50
Foreclosure
Alt A and Prime	85
Option ARM	85
Subprime	80
Real Estate Owned ("REO")
All	100

Schedule of Estimated Expected Losses Assumptions First Lien RMBS [Table Text Block]

Key Assumptions in Base Case Expected Loss Estimates

First Lien RMBS



	As of June 30, 2012				As of March 31, 2012				As of December 31, 2011
Alt-A First Lien
Plateau CDR	3.3	%	–	23.0%	2.7	%	–	33.9%	2.8	%	–	41.3%
Intermediate CDR	0.7	%	–	4.6%	0.5	%	–	6.8%	0.6	%	–	8.3%
Final CDR	0.2	%	–	1.2%	0.1	%	–	1.7%	0.1	%	–	2.1%
Initial loss severity	65%				65%				65%
Initial CPR	0.0	%	–	27.1%	0.0	%	–	34.1%	0.0	%	–	24.4%
Final CPR	15%				15%				15%
Option ARM
Plateau CDR	9.3	%	–	30.2%	9.7	%	–	32.2%	11.7	%	–	31.5%
Intermediate CDR	1.9	%	–	6.0%	1.9	%	–	6.4%	2.3	%	–	6.3%
Final CDR	0.5	%	–	1.5%	0.5	%	–	1.6%	0.6	%	–	1.6%
Initial loss severity	65%				65%				65%
Initial CPR	0.6	%	–	4.9%	0.1	%	–	5.3%	0.3	%	–	10.8%
Final CPR	15%				15%				15%
Subprime
Plateau conditional default rate	7.2	%	–	29.2%	8.3	%	–	30.0%	8.6	%	–	29.9%
Intermediate conditional default rate	1.4	%	–	5.8%	1.7	%	–	6.0%	1.7	%	–	6.0%
Final conditional default rate	0.4	%	–	1.5%	0.4	%	–	1.5%	0.4	%	–	1.5%
Initial loss severity	90%				90%				90%
Initial CPR	0.0	%	–	8.8%	0.0	%	–	8.8%	0.0	%	–	16.3%
Final CPR	15%				15%				15%

Balance Sheet Classification of R&W benefits, Net of Reinsurance

Balance Sheet Classification of R&W Benefit, Net of Reinsurance



	As of June 30, 2012							As of December 31, 2011
	For all Financial Guaranty Insurance Contracts		Effect of Consolidating FG VIEs			Reported on Balance Sheet(1)		For all Financial Guaranty Insurance Contracts		Effect of Consolidating FG VIEs			Reported on Balance Sheet(1)
	(in millions)
Salvage and subrogation recoverable	$	313.1	$	(124.5	)	$	188.6	$	401.8	$	(197.3	)	$	204.5
Loss and LAE reserve	740.7		(39.8		)	700.9		857.5		(74.6		)	782.9

____________________

(1) The remaining benefit for R&W is not recorded on the balance sheet until the expected loss, net of R&W, exceeds unearned premium reserve.

Roll Forward of Estimated Benefit from Recoveries from Representation and Warranty Breaches, Net of Reinsurance

Roll Forward of Estimated Benefit from

Recoveries from Representation and Warranty Breaches, Net of Reinsurance



	Future Net R&W Benefit as of December 31, 2011		R&W Development and Accretion of Discount During Six Months 2012			R&W Recovered During Six Months 2012(1)			Future Net R&W Benefit as of June 30, 2012
	(in millions)
Prime first lien	$	3.0	$	1.0		$	—		$	4.0
Alt-A first lien	202.7		21.0			(64.2		)	159.5
Option ARM	713.9		59.0			(75.8		)	697.1
Subprime	101.5		(8.1		)	(0.1		)	93.3
Closed end second lien	223.8		(2.0		)	(84.9		)	136.9
HELOC	189.9		(0.2		)	(67.6		)	122.1
Total	$	1,434.8	$	70.7		$	(292.6	)	$	1,212.9



	Future Net R&W Benefit as of December 31, 2010		R&W Development and Accretion of Discount During Six Months 2011		R&W Recovered During Six Months 2011(1)			Future Net R&W Benefit as of June 30, 2011
	(in millions)
Prime first lien	$	1.1	$	1.8	$	—		$	2.9
Alt-A first lien	81.0		46.6		—			127.6
Option ARM	309.3		449.2		(47.3		)	711.2
Subprime	26.8		54.7		—			81.5
Closed end second lien	178.2		61.5		—			239.7
HELOC	1,004.1		157.1		(850.8		)	310.4
Total	$	1,600.5	$	770.9	$	(898.1	)	$	1,473.3

____________________

(1) Gross amounts recovered were $311.4 million and $1,015.0 million in Six Months 2012 and 2011, respectively.

Financial Guaranty Insurance U.S. RMBS Risks with R&W Benefit



	Number of Risks (1) as of		Debt Service as of
	June 30, 2012	December 31, 2011	June 30, 2012		December 31, 2011
	(dollars in millions)
Prime first lien	1	1	$	39.3	$	41.9
Alt-A first lien	19	22	1,492.9		1,732.6
Option ARM	10	12	1,129.4		1,459.7
Subprime	5	5	842.0		905.8
Closed-end second lien	4	4	245.3		361.4
HELOC (2)	6	15	543.6		2,978.5
Total	45	59	$	4,292.5	$	7,479.9

____________________

(1) A risk represents the aggregate of the financial guaranty policies that share the same revenue source for purposes of making debt service payments.

(2) The decline in number of HELOC risks and debt service relates to the final payment from Bank of America for covered HELOC transactions.

Breakdown of the development and accretion amount in the rollforward of estimated recoveries associated with alleged breaches of R&W

The following table provides a breakdown of the development and accretion amount in the roll forward of estimated recoveries associated with alleged breaches of R&W.



	Second Quarter						Six Months
	2012			2011			2012			2011
	(in millions)
Inclusion or removal of deals with breaches of R&W during period	$	(5.0	)	$	—		$	(5.0	)	$	107.1
Change in recovery assumptions as the result of additional file review and recovery success	(10.0		)	—			69.7			198.4
Estimated increase (decrease) in defaults that will result in additional (lower) breaches	50.9			(5.8		)	(0.4		)	34.0
Results of settlements	—			95.6			—			429.7
Accretion of discount on balance	2.4			1.1			6.4			1.7
Total	$	38.3		$	90.9		$	70.7		$	770.9

Loss and LAE Reserve (Recovery), Net of Reinsurance and Salvage and Subrogation Recoverable

Loss and LAE Reserve (Recovery)

Net of Reinsurance and Salvage and Subrogation Recoverable



	As of June 30, 2012									As of December 31, 2011
	Loss and LAE Reserve			Salvage and Subrogation Recoverable			Net			Loss and LAE Reserve			Salvage and Subrogation Recoverable			Net
	(in millions)
U.S. RMBS:
First lien:
Prime first lien	$	2.1		$	—		$	2.1		$	1.2		$	—		$	1.2
Alt-A first lien	84.4			—			84.4			69.8			55.4			14.4
Option ARM	85.8			189.8			(104.0		)	141.7			140.3			1.4
Subprime	71.8			0.3			71.5			51.4			0.3			51.1
Total first lien	244.1			190.1			54.0			264.1			196.0			68.1
Second lien:
Closed-end second lien	13.9			67.1			(53.2		)	11.2			136.2			(125.0		)
HELOC	45.4			194.3			(148.9		)	61.1			177.2			(116.1		)
Total second lien	59.3			261.4			(202.1		)	72.3			313.4			(241.1		)
Total U.S. RMBS	303.4			451.5			(148.1		)	336.4			509.4			(173.0		)
TruPS	4.6			—			4.6			11.1			—			11.1
Other structured finance	192.4			6.6			185.8			221.9			5.9			216.0
U.S. public finance	108.2			75.2			33.0			62.2			69.9			(7.7		)
Non-U.S. public finance	280.3			—			280.3			37.8			—			37.8
Total financial guaranty	888.9			533.3			355.6			669.4			585.2			84.2
Other	1.9			6.0			(4.1		)	1.9			—			1.9
Subtotal	890.8			539.3			351.5			671.3			585.2			86.1
Effect of consolidating FG VIEs	(66.1		)	(202.8		)	136.7			(61.6		)	(258.1		)	196.5
Total (1)	$	824.7		$	336.5		$	488.2		$	609.7		$	327.1		$	282.6

_______________

(1) See “Components of Net Reserves (Salvage)” table for loss and LAE reserve and salvage and subrogation recoverable components.

Components of Net Reserves (Salvage)



	As of June 30, 2012			As of December 31, 2011
	(in millions)
Loss and LAE reserve	$	995.2		$	679.0
Reinsurance recoverable on unpaid losses	(170.5		)	(69.3		)
Subtotal	824.7			609.7
Salvage and subrogation recoverable	(376.8		)	(367.7		)
Salvage and subrogation payable(1)	40.3			40.6
Subtotal	(336.5		)	(327.1		)
Total	488.2			282.6
Less: other	(4.1		)	1.9
Financial guaranty net reserves (salvage)	$	492.3		$	280.7

___________________

(1) Recorded as a component of reinsurance balances payable.

Loss and LAE Reported on the Consolidated Statements of Operations

Loss and LAE Reported

on the Consolidated Statements of Operations



	Second Quarter						Six Months
	2012			2011			2012			2011
	(in millions)
Financial Guaranty:
U.S. RMBS:
First lien:
Prime first lien	$	0.5		$	1.2		$	0.9		$	1.1
Alt-A first lien	29.0			19.2			27.7			27.4
Option ARM	16.9			70.4			69.4			41.3
Subprime	16.7			4.3			24.5			(5.1		)
Total first lien	63.1			95.1			122.5			64.7
Second lien:
Closed end second lien	2.4			(5.7		)	1.6			(15.6		)
HELOC	4.1			36.2			19.2			97.2
Total second lien	6.5			30.5			20.8			81.6
Total U.S. RMBS	69.6			125.6			143.3			146.3
TruPS	(1.8		)	3.7			(6.1		)	3.7
Other structured finance	29.3			7.4			1.2			27.7
U.S. public finance	25.3			3.4			44.5			(12.4		)
Non-U.S. public finance	5.6			0.7			195.1			0.7
Total financial guaranty	128.0			140.8			378.0			166.0
Other	(6.0		)	—			(6.0		)	—
Subtotal	122.0			140.8			372.0			166.0
Effect of consolidating FG VIEs	0.5			(16.9		)	(2.7		)	(67.6		)
Total loss and LAE	$	122.5		$	123.9		369.3			98.4

Financial Guaranty Insurance BIG Transaction Loss Summary

June 30, 2012



	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			(60		)	79			(25		)	132			(50		)	375			—			375
Remaining weighted-average contract period (in years)	10.4			9.2			14.4			26.1			9.1			6.6			10.7			—			10.7
Outstanding exposure:
Principal	$	8,959.2		$	(1,492.5	)	$	3,622.2		$	(268.6	)	$	7,462.1		$	(568.0	)	$	17,714.4		$	—		$	17,714.4
Interest	4,207.6			(563.4		)	3,042.4			(504.0		)	2,328.4			(157.0		)	8,354.0			—			8,354.0
Total(2)	$	13,166.8		$	(2,055.9	)	$	6,664.6		$	(772.6	)	$	9,790.5		$	(725.0	)	$	26,068.4		$	—		$	26,068.4
Expected cash outflows (inflows)	$	1,594.1		$	(673.3	)	$	1,738.1		$	(225.7	)	$	2,940.2		$	(144.8	)	$	5,228.6		$	(767.2	)	$	4,461.4
Potential recoveries(3)	(1,712.4		)	696.1			(653.2		)	20.3			(2,571.8		)	122.0			(4,099.0		)	805.4			(3,293.6		)
Subtotal	(118.3		)	22.8			1,084.9			(205.4		)	368.4			(22.8		)	1,129.6			38.2			1,167.8
Discount	18.6			(6.3		)	(247.4		)	29.4			(94.1		)	(3.3		)	(303.1		)	27.5			(275.6		)
Present value of expected cash flows	$	(99.7	)	$	16.5		$	837.5		$	(176.0	)	$	274.3		$	(26.1	)	$	826.5		$	65.7		$	892.2
Deferred premium revenue	$	122.1		$	(15.8	)	$	310.4		$	(32.0	)	$	863.3		$	(102.9	)	$	1,145.1		$	(331.3	)	$	813.8
Reserves (salvage)(4)	$	(132.5	)	$	23.2		$	617.4		$	(158.1	)	$	(0.4	)	$	6.0		$	355.6		$	136.7		$	492.3

Financial Guaranty Insurance BIG Transaction Loss Summary

December 31, 2011



	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)	171			(68		)	71			(26		)	126			(48		)	368			—			368
Remaining weighted-average contract period (in years)	10.0			9.2			13.7			20.5			9.2			6.4			10.4			—			10.4
Outstanding exposure:
Principal	$	9,675.8		$	(1,378.0	)	$	3,731.6		$	(274.0	)	$	7,830.8		$	(627.7	)	$	18,958.5		$	—		$	18,958.5
Interest	4,307.9			(485.6		)	2,889.4			(404.8		)	2,486.4			(170.0		)	8,623.3			—			8,623.3
Total(2)	$	13,983.7		$	(1,863.6	)	$	6,621.0		$	(678.8	)	$	10,317.2		$	(797.7	)	$	27,581.8		$	—		$	27,581.8
Expected cash outflows (inflows)	$	1,730.6		$	(658.8	)	$	1,833.3		$	(120.3	)	$	2,423.0		$	(133.4	)	$	5,074.4		$	(998.4	)	$	4,076.0
Potential recoveries(3)	(1,798.0		)	664.0			(1,079.3		)	38.5			(2,040.5		)	100.3			(4,115.0		)	1,059.8			(3,055.2		)
Subtotal	(67.4		)	5.2			754.0			(81.8		)	382.5			(33.1		)	959.4			61.4			1,020.8
Discount	15.7			(4.6		)	(240.6		)	31.6			(125.1		)	1.6			(321.4		)	45.3			(276.1		)
Present value of expected cash flows	$	(51.7	)	$	0.6		$	513.4		$	(50.2	)	$	257.4		$	(31.5	)	$	638.0		$	106.7		$	744.7
Deferred premium revenue	$	260.8		$	(69.1	)	$	280.9		$	(12.3	)	$	991.8		$	(126.6	)	$	1,325.5		$	(390.7	)	$	934.8
Reserves (salvage)(4)	$	(96.6	)	$	6.9		$	319.5		$	(41.9	)	$	(110.2	)	$	6.5		$	84.2		$	196.5		$	280.7

____________________


(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 which are not eliminated.


(3)	Includes estimated future recoveries for breaches of R&W as well as excess spread, and draws on HELOCs.


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