Reinsurance and Other Monoline Exposures (Tables)

12 Months Ended

Dec. 31, 2011

Reinsurance and Other Monoline Exposures

Net Effect of Commutations and Cancellations of Reinsurance Contracts

	As of December 31,
	Commutations of Ceded Reinsurance Contracts						Cancellation of Assumed Reinsurance Contracts
	2011		2010		2009		2011			2010			2009
	(in millions)
Increase (decrease) in net unearned premium reserve	$	2.3	$	104.4	$	65.1	$	(22.4	)	$	(84.5	)		(31.4	)
Increase (decrease) in net par		265		15,470		2,936		(1,045	)		(3,097	)		(894	)

Direct, assumed, and ceded premium and loss and LAE amounts

	Year Ended December 31,
	2011			2010			2009
	(in millions)
Premiums Written:
Direct	$	190.3		$	343.3		$	485.8
Assumed(1)		(63.5	)		(120.9	)		70.6
Ceded(2)		4.3			100.5			37.8
Net	$	131.1		$	322.9		$	594.2
Premiums Earned:
Direct	$	997.1		$	1,242.5		$	870.5
Assumed		46.3			72.9			136.4
Ceded		(123.3	)		(128.7	)		(76.5	)
Net	$	920.1		$	1,186.7		$	930.4
Loss and LAE:
Direct	$	577.8		$	398.5		$	276.2
Assumed		4.2			74.2			135.6
Ceded		(120.1	)		(60.5	)		(18.0	)
Net	$	461.9		$	412.2		$	393.8

(1)

Negative assumed premiums written were due to commutations and changes in expected debt service schedules.

(2)

Positive ceded premiums written were due to commutations and changes in expected debt service schedules.

Exposure by Reinsurer

	Ratings at February 22, 2012		Par Outstanding as of December 31, 2011
Reinsurer	Moody's Reinsurer Rating	S&P Reinsurer Rating	Ceded Par Outstanding(3)		Second-to- Pay Insured Par Outstanding		Assumed Par Outstanding
	(dollars in millions)
Radian Asset Assurance Inc.	Ba1	B+	$	19,310	$	50	$	—
Tokio Marine & Nichido Fire Insurance Co., Ltd.	Aa3(1)	AA-(1)		16,345		—		934
American Overseas Reinsurance Company Limited(4)	WR(2)	WR		11,444		—		24
Syncora Guarantee Inc.	Ca	WR		4,222		2,171		217
Mitsui Sumitomo Insurance Co. Ltd.	A1	A+		2,407		—		—
ACA Financial Guaranty Corp	NR	WR		855		12		2
Swiss Reinsurance Co.	A1	AA-		505		—		—
Ambac	WR	WR		87		7,491		22,680
CIFG Assurance North America Inc	WR	WR		69		258		6,561
MBIA Inc.	(5)	(5)		27		11,549		10,422
Financial Guaranty Insurance Co.	WR	WR		—		3,857		2,138
Other	Various	Various		1,023		1,992		96
Total			$	56,294	$	27,380	$	43,074

(1)

The Company has structural collateral agreements satisfying the triple-A credit requirement of S&P and/or Moody's.

(2)

Represents "Withdrawn Rating."

(3)

Includes $5,438 million in ceded par outstanding related to insured credit derivatives.

(4)

Formerly RAM Reinsurance Company Ltd.

(5)

MBIA Inc. includes various subsidiaries which are rated BBB to B by S&P and Baa2, B3, WR and NR by Moody's.

Ceded Par Outstanding by Reinsurer and Credit Rating

	Internal Credit Rating
Reinsurer	Super Senior		AAA		AA		A		BBB		BIG		Total
	(in millions)
Radian Asset Assurance Inc.	$	93	$	892	$	7,490	$	7,805	$	2,627	$	403	$	19,310
Tokio Marine & Nichido Fire Insurance Co., Ltd.		361		1,540		4,673		6,037		2,941		793		16,345
American Overseas Reinsurance Company Limited		265		1,657		4,049		3,262		1,642		569		11,444
Syncora Guarantee Inc.		—		—		287		962		2,330		643		4,222
Mitsui Sumitomo Insurance Co. Ltd.		8		171		825		917		404		82		2,407
ACA Financial Guaranty Corp		—		—		483		329		43		—		855
Swiss Reinsurance Co.		—		9		3		320		98		75		505
Ambac		—		—		—		87		—		—		87
CIFG Assurance North America Inc		—		—		—		—		—		69		69
MBIA Inc.		—		—		27		—		—		—		27
Other		—		—		119		819		85		—		1,023
Total	$	727	$	4,269	$	17,956	$	20,538	$	10,170	$	2,634	$	56,294

Second-to-Pay Insured Par Outstanding by Rating

	Public Finance										Structured Finance
	AAA		AA		A		BBB		BIG		Super Senior		AAA		AA		A		BBB		BIG		Total
	(in millions)
Radian	$	—	$	—	$	13	$	22	$	14	$	—	$	1	$	—	$	—	$	—	$	—	$	50
Syncora Guarantee Inc.		—		25		384		749		328		—		205		134		12		93		241		2,171
ACA Financial Guaranty Corp		—		8		—		4		—		—		—		—		—		—		—		12
Ambac		—		1,741		3,453		1,123		335		—		99		69		256		83		332		7,491
CIFG Assurance North America Inc.		—		11		69		133		45		—		—		—		—		—		—		258
MBIA Inc.		66		3,053		4,603		1,893		8		—		—		1,389		54		460		23		11,549
Financial Guaranty Insurance Co		—		154		1,251		570		355		476		728		—		254		8		61		3,857
Other		—		—		1,992		—		—		—		—		—		—		—		—		1,992
Total	$	66	$	4,992	$	11,765	$	4,494	$	1,085	$	476	$	1,033	$	1,592	$	576	$	644	$	657	$	27,380

(1)

Assured Guaranty's internal rating.

Amounts Due (To) From Reinsurers

	As of December 31, 2011
	Assumed Premium Receivable, net of Commissions		Assumed Expected Loss and LAE			Ceded Expected Loss and LAE
	(in millions)
Radian	$	—	$	—		$	12.9
Tokio Marine & Nichido Fire Insurance Co., Ltd.		—		—			75.1
American Overseas Reinsurance Company Limited		—		—			19.7
Syncora Guarantee Inc.		—		(2.6	)		0.2
Mitsui Sumitomo Insurance Co. Ltd.		—		—			9.9
Swiss Reinsurance Co.		—		—			3.8
Ambac		97.9		(99.9	)		—
CIFG Assurance North America Inc.		6.8		(0.1	)		1.4
MBIA Inc.		0.8		(13.1	)		—
Financial Guaranty Insurance Co.		11.5		(22.3	)		—
Total	$	117.0	$	(138.0	)	$	123.0