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Reinsurance (Tables)
9 Months Ended
Sep. 30, 2011
Reinsurance 
Net Effect of Commutations and Cancellations of Reinsurance Contracts

 

 

 

Third Quarter

 

Nine Months

 

 

 

2011

 

2010

 

2011

 

2010

 

 

 

(in millions)

 

Increase (decrease) in net unearned premium reserve

 

$

—

 

$

(0.5

)

$

(20.1

)

$

59.9

 

Increase (decrease) in net par

 

—

 

4,081

 

(780

)

12,455

 

Direct, Assumed and Ceded Premium and Loss and LAE

 

 

 

Third Quarter

 

Nine Months

 

 

 

2011

 

2010

 

2011

 

2010

 

 

 

(in millions)

 

Premiums Written:

 

 

 

 

 

 

 

 

 

Direct

 

$

36.9

 

$

91.7

 

$

94.3

 

$

287.4

 

Assumed(1)

 

(15.3

)

(14.1

)

(67.2

)

(26.0

)

Ceded(2)

 

1.5

 

(1.4

)

5.9

 

56.8

 

Net

 

$

23.1

 

$

76.2

 

$

33.0

 

$

318.2

 

Premiums Earned:

 

 

 

 

 

 

 

 

 

Direct

 

$

226.9

 

$

300.7

 

$

741.8

 

$

936.8

 

Assumed

 

4.3

 

20.6

 

35.3

 

57.6

 

Ceded

 

(20.1

)

(32.6

)

(82.0

)

(94.0

)

Net

 

$

211.1

 

$

288.7

 

$

695.1

 

$

900.4

 

Loss and LAE:

 

 

 

 

 

 

 

 

 

Direct

 

$

243.8

 

$

107.0

 

$

380.3

 

$

327.2

 

Assumed

 

(1.6

)

7.2

 

(7.4

)

47.7

 

Ceded

 

(27.3

)

(3.4

)

(59.6

)

(67.5

)

Net

 

$

214.9

 

$

110.8

 

$

313.3

 

$

307.4

 

 

(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 November 9, 2011

 

Par Outstanding as of September 30, 2011

 

Reinsurer

 

Moody’s
Financial
Strength
Rating

 

S&P
Financial
Strength
Rating

 

Ceded
Par
Outstanding(3)

 

Second-to-
Pay
Insured Par
Outstanding

 

Assumed
Par
Outstanding

 

 

 

(dollars in millions)

 

Radian Asset Assurance Inc.

 

Ba1

 

BB-

 

$

20,026

 

$

56

 

$

—

 

Tokio Marine & Nichido Fire Insurance Co., Ltd.

 

Aa2(1)

 

AA-

 

17,117

 

—

 

933

 

RAM Reinsurance Co. Ltd.

 

WR(2)

 

WR

 

12,067

 

—

 

24

 

Syncora Guarantee Inc.

 

Ca

 

WR

 

4,203

 

2,197

 

217

 

Mitsui Sumitomo Insurance Co. Ltd.

 

Aa3

 

AA-

 

2,416

 

—

 

—

 

ACA Financial Guaranty Corp

 

NR

 

WR

 

856

 

12

 

2

 

Swiss Reinsurance Co.

 

A1

 

AA-

 

507

 

—

 

—

 

Ambac

 

WR

 

WR

 

87

 

7,551

 

23,259

 

CIFG Assurance North America Inc.

 

WR

 

WR

 

69

 

258

 

7,077

 

MBIA Insurance Corporation

 

B3

 

B

 

40

 

11,598

 

10,864

 

Financial Guaranty Insurance Co.

 

WR

 

WR

 

—

 

3,754

 

—

 

Other

 

Various

 

Various

 

1,049

 

2,001

 

2,406

 

Total

 

 

 

 

 

$

58,437

 

$

27,427

 

$

44,782

 

 

(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 $5,994  million in ceded par outstanding related to insured credit derivatives.

Amounts Due (To) From Reinsurers

 

 

 

As of September30, 2011

 

 

 

Assumed
Premium
Receivable, net
of Commissions

 

Assumed
Expected
Loss and LAE

 

Ceded
Expected
Loss and LAE

 

 

 

(in millions)

 

Radian Asset Assurance Inc.

 

$

—

 

$

—

 

$

25.7

 

Tokio Marine & Nichido Fire Insurance Co., Ltd.

 

—

 

—

 

88.5

 

RAM Reinsurance Co. Ltd.

 

—

 

—

 

18.5

 

Syncora Guarantee Inc.

 

—

 

(1.7

)

—

 

Mitsui Sumitomo Insurance Co. Ltd.

 

—

 

—

 

7.1

 

Swiss Reinsurance Co.

 

—

 

—

 

2.4

 

Ambac

 

96.1

 

(111.2

)

—

 

CIFG Assurance North America Inc.

 

6.8

 

—

 

3.0

 

MBIA Insurance Corporation

 

0.2

 

(16.4

)

—

 

Financial Guaranty Insurance Co.

 

12.6

 

(8.4

)

—

 

Total

 

$

115.7

 

$

(137.7

)

$

145.2