Consolidation of Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2012

Consolidation of Variable Interest Entities

Consolidated FG VIEs By Type of Collateral

	As of March 31, 2012					As of December 31, 2011
	Number of FG VIEs	Assets		Liabilities		Number of FG VIEs	Assets		Liabilities
	(dollars in millions)
With recourse:
HELOCs	8	$	572.2	$	898.7	8	$	572.9	$	907.9
First liens:
Alt-A first lien	3	117.8		104.4		3	118.0		106.1
Option ARM	2	43.0		230.3		2	49.7		244.7
Subprime	7	399.7		499.0		5	386.8		472.7
Closed-end second lien	10	184.3		207.7		10	184.6		219.9
Automobile loans	4	126.9		126.9		4	155.8		155.8
Life insurance	1	298.2		298.2		1	289.8		289.8
Total with recourse	35	1,742.1		2,365.2		33	1,757.6		2,396.9
Without recourse		1,085.6		1,085.6			1,061.5		1,061.5
Total		$	2,827.7	$	3,450.8		$	2,819.1	$	3,458.4

Gross Par Outstanding for FG VIEs Liabilities With Recourse

	As of March 31, 2012		As of December 31, 2011
	(in millions)
Gross par outstanding for FG VIEs’ liabilities with recourse	$	3,674.8	$	3,796.4

Contractual Maturity Schedule of FG VIE Liabilities with Recourse Gross Par Outstanding

Contractual Maturity	As of March 31, 2012
	(in millions)
2012	$	—
2013	11.8
2014	114.1
2015	—
2016	—
Thereafter	3,548.9
Total	$	3,674.8

Effect of Consolidating FG VIEs on Net Income and Shareholder's Equity

	First Quarter
	2012			2011
	(in millions)
Net earned premiums	$	(17.0	)	$	(19.1	)
Net investment income	(3.2		)	(0.3		)
Net realized investment gains (losses)	1.4			0.3
Fair value gains (losses) on FG VIEs	(36.6		)	119.6
Loss and LAE	3.2			50.7
Total pretax effect on net income	(52.2		)	151.2
Less: tax provision (benefit)	(18.3		)	53.0
Total effect on net income (loss)	$	(33.9	)	$	98.2

	As of March 31, 2012			As of December 31, 2011
	(in millions)
Total (decrease) increase on shareholders’ equity	$	(438.7	)	$	(405.2	)

(1)Includes the effect of eliminating insurance balances related to the financial guaranty insurance contracts.