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Note 3 - Derivative Instruments Level 3 (Tables)
 6 Months Ended
Jun. 30, 2011
Derivative Instruments [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The following table sets forth our gross unrealized gains and gross unrealized losses on derivative assets and liabilities as of the dates indicated. Certain contracts are in an asset position because the net present value of the contractual premium we receive exceeds the net present value of our estimate of the expected future premiums that a financial guarantor of similar credit quality to us would charge to provide the same credit protection, assuming a transfer of our obligation to such financial guarantor as of the measurement date.
 
(In millions)
June 30,

2011
 
December 31,

2010
Balance Sheets
 
 
 
Derivative assets:
 
 
 
Financial Guaranty credit derivative assets
$
22.2


 
$
14.5


Net interest margin securities ("NIMS") assets
4.7


 
10.8


Other
0.4


 
0.9


Total derivative assets
27.3


 
26.2


Derivative liabilities:
 
 
 
Financial Guaranty credit derivative liabilities
294.9


 
704.4


Financial Guaranty VIE derivative liabilities
18.8


 
19.2


Total derivative liabilities
313.7


 
723.6


Total derivative liabilities, net
$
(286.4
)
 
$
(697.4
)
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]
The components of the gains (losses) included in change in fair value of derivative instruments are as follows:
 
Three Months Ended

June 30,
 
Six Months Ended

June 30,
(In millions)
2011
 
2010
 
2011
 
2010
Statements of Operations
 
 
 
 
 
 
 
Net premiums earned—derivatives
$
10.5


 
$
12.0


 
$
21.4


 
$
24.1


Financial Guaranty credit derivatives
181.9


 
(524.2
)
 
416.5


 
(608.3
)
Financial Guaranty VIE derivatives
(4.0
)
 
(7.5
)
 
(4.9
)
 
(10.7
)
NIMS
0.4


 
(0.3
)
 
(1.5
)
 
(0.5
)
Mortgage Insurance domestic and international CDS
—


 
(0.4
)
 
—


 
(0.4
)
Put options on CPS
—


 
(4.2
)
 
—


 
(6.3
)
Other
(0.1
)
 
—


 
1.1


 
(0.5
)
Change in fair value of derivative instruments
$
188.7


 
$
(524.6
)
 
$
432.6


 
$
(602.6
)
Schedule of Derivative Instruments [Table Text Block]
The following table shows selected information about our derivative contracts:
 
($ in millions)
June 30, 2011
Number of
Contracts
 
Par/
Notional
Exposure
 
Total Net Asset/
(Liability)
Product
 
 
 
 
 
NIMS related and other (1)
—


 
$
—


 
$
5.1


Corporate collateralized debt obligations ("CDOs")
79


 
31,854.3


 
(6.1
)
Non-Corporate CDOs and other derivative transactions:
 
 
 
 
 
Trust Preferred Securities ("TruPs")
19


 
1,977.2


 
(77.7
)
CDOs of commercial mortgage-backed securities ("CMBS")
4


 
1,831.0


 
(70.3
)
Other:
 
 
 
 
 
Structured finance
9


 
815.0


 
(62.0
)
Public finance
27


 
1,794.0


 
(39.6
)
Total Non-Corporate CDOs and other derivative transactions
59


 
6,417.2


 
(249.6
)
Assumed financial guaranty credit derivatives:
 
 
 
 
 
Structured finance
264


 
1,036.1


 
(15.5
)
Public finance
10


 
166.6


 
(1.5
)
Total Assumed
274


 
1,202.7


 
(17.0
)
Financial Guaranty VIE derivative liabilities (2)
—


 
—


 
(18.8
)
Grand Total
412


 
$
39,474.2


 
$
(286.4
)
 ________________
(1)
Represents NIMS derivative assets related to consolidated NIMS VIEs. Also includes common stock warrants. Because none of these investments represent financial guaranty contracts that we issued, they cannot become liabilities, and therefore, do not represent additional par exposure.
(2)
Represents the fair value of an interest rate swap included in the consolidation of one of our financial guaranty transactions. The notional amount of the interest rate swap does not represent additional par exposure, and therefore, is excluded from this table. See Note 5 for information on our maximum exposure to loss from our consolidated financial guaranty transactions.