Reinsurance and Other Monoline Exposures (Tables)

3 Months Ended

Mar. 31, 2012

Reinsurance and Other Monoline Exposures

Net Effect of Commutations and Cancellations of Reinsurance Contracts

	First Quarter
	2012		2011
	(in millions)
Increase in net unearned premium reserve	$	106.1	$	2.3
Increase in net par outstanding	19,073		265

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

	First Quarter
	2012			2011
	(in millions)
Premiums Written:
Direct	$	61.9		$	30.5
Assumed(1)	26.5			(42.0		)
Ceded(2)	87.0			4.0
Net	$	175.4		$	(7.5	)
Premiums Earned:
Direct	$	206.1		$	276.3
Assumed	14.2			10.0
Ceded	(26.6		)	(32.3		)
Net	$	193.7		$	254.0
Loss and LAE:
Direct	$	308.7		$	7.1
Assumed	17.3			(13.0		)
Ceded	(79.2		)	(19.6		)
Net	$	246.8		$	(25.5	)

(1)Negative assumed premiums written were due to 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 May 4, 2012		Par Outstanding as of March 31, 2012
Reinsurer	Moody’s Reinsurer Rating	S&P Reinsurer Rating	Ceded Par Outstanding(1)		Second-to- Pay Insured Par Outstanding		Assumed Par Outstanding
	(dollars in millions)
American Overseas Reinsurance Company Limited(2)	WR (3)	WR	$	11,146	$	—	$	24
Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio”)	Aa3 (4)	AA- (4)	9,444		—		936
Radian Asset Assurance Inc. (“Radian”)	Bal	B+	5,591		45		1,768
Syncora Guarantee Inc.	Ca	WR	4,304		2,174		213
Mitsui Sumitomo Insurance Co. Ltd.	A1	A+ (4)	2,388		—		—
ACA Financial Guaranty Corp.	NR	WR	860		7		2
Swiss Reinsurance Co.	A1	AA-	506		—		—
Ambac	WR	WR	87		7,488		22,330
CIFG Assurance North America Inc.	WR	WR	65		258		6,246
MBIA Inc.	B3(5)	B(5)	25		11,598		9,719
Financial Guaranty Insurance Co.	WR	WR	—		3,789		2,129
Other	Various	Various	1,019		2,052		96
Total			$	35,435	$	27,411	$	43,463

(1)Includes $4,646 million in ceded par outstanding related to insured credit derivatives.

(2)Formerly RAM Reinsurance Company Ltd.

(3)Represents “Withdrawn Rating.”

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

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

Amounts Due (To) From Reinsurers

	As of March 31, 2012
	Assumed Premium Receivable, net of Commissions		Ceded Premium Payable, net of Commissions			Assumed Expected Loss and LAE			Ceded Expected Loss and LAE
	(in millions)
American Overseas Reinsurance Company Limited	$	—	$	(12.5	)	$	—		$	24.7
Tokio	—		(26.3		)	—			83.8
Radian	—		(19.4		)	—			25.9
Syncora Guarantee Inc.	—		(39.0		)	2.0			0.6
Mitsui Sumitomo Insurance Co. Ltd.	—		(4.7		)	—			25.1
Swiss Reinsurance Co.	—		(3.5		)	—			20.4
Ambac	97.2		—			(91.9		)	—
CIFG Assurance North America Inc.	0.2		—			(0.1		)	2.2
MBIA Inc.	0.2		—			(12.6		)	—
Financial Guaranty Insurance Co.	10.8		—			(49.3		)	—
Other	—		(44.8		)	—			—
Total	$	108.4	$	(150.2	)	$	(151.9	)	$	182.7