XML 46 R52.htm IDEA: XBRL DOCUMENT v2.4.0.6
Financial Guaranty Insurance Contracts (Details 8) (USD $)
In Millions, unless otherwise specified
3 Months Ended 3 Months Ended 3 Months Ended 3 Months Ended
Mar. 31, 2012
Alt-A first lien
Dec. 31, 2011
Alt-A first lien
Mar. 31, 2012
Alt-A first lien
High end of range
Dec. 31, 2011
Alt-A first lien
High end of range
Mar. 31, 2011
Alt-A first lien
High end of range
Mar. 31, 2012
Alt-A first lien
Low end of range
Dec. 31, 2011
Alt-A first lien
Low end of range
Mar. 31, 2011
Alt-A first lien
Low end of range
Mar. 31, 2012
Option ARM
Dec. 31, 2011
Option ARM
Mar. 31, 2012
Option ARM
High end of range
Dec. 31, 2011
Option ARM
High end of range
Mar. 31, 2011
Option ARM
High end of range
Mar. 31, 2012
Option ARM
Low end of range
Dec. 31, 2011
Option ARM
Low end of range
Mar. 31, 2011
Option ARM
Low end of range
Mar. 31, 2012
Subprime
Dec. 31, 2011
Subprime
Mar. 31, 2012
Subprime
High end of range
Dec. 31, 2011
Subprime
High end of range
Mar. 31, 2011
Subprime
High end of range
Mar. 31, 2012
Subprime
Low end of range
Dec. 31, 2011
Subprime
Low end of range
Mar. 31, 2011
Subprime
Low end of range
Mar. 31, 2012
Total first lien
scenario
Mar. 31, 2012
Prime first lien
Key Variables                                                    
Period until which loss severity rate would continue (in months)                                 6 months                  
Plateau conditional default rate (as a percent)     33.90% 41.30%   2.70% 2.80%       32.20% 31.50%   9.70% 11.70%       30.00% 29.90%   8.30% 8.60%      
Intermediate conditional default rate (as a percent)     6.80% 8.30% 6.00% 0.50% 0.60% 0.40%     6.40% 6.30% 5.00% 1.90% 2.30% 1.80%     6.00% 6.00% 5.10% 1.70% 1.70% 1.20%    
Final conditional default rate trended down to (as a percent)     1.70% 2.10%   0.10% 0.10%       1.60% 1.60%   0.50% 0.60%       1.50% 1.50%   0.40% 0.40%      
Loss severity (as a percent) 65.00% 65.00%             65.00% 65.00%             90.00% 90.00% 90.00%     80.00%        
Initial conditional prepayment rate (as a percent)     34.10% 24.40%   0.00% 0.00%       5.30% 10.80%   0.10% 0.30%       8.80% 16.30%   0.00% 0.00%      
Final conditional prepayment rate (as a percent) 15.00% 15.00%             15.00% 15.00%             15.00% 15.00%                
Period from initial to final conditional prepayment rate (in months)                                                 12 months  
Current conditional prepayment rate used in alternate scenario for loss estimate (as a percent)                                                 15.00%  
Prior conditional prepayment rate used in alternate scenario for loss estimate (as a percent)                                                 10.00%  
Increase in the plateau period used to calculate potential change in loss estimate (in months)                                                 3 months  
Increased plateau period used to calculate potential change in loss estimate (in months)                                                 27 months  
Number of scenarios weighted in estimating expected losses                                                 5  
Increased final loss severity for subprime transactions used to calculate potential change in loss estimate (as a percent)                                                 60.00%  
Prior loss severity recovery period used to calculate potential change in loss estimate (in years)                                                 4 years  
Current loss severity recovery period used to calculate potential change in loss estimate (in years)                                                 2 years  
Increase in expected loss in case of increase in conditional default rate plateau period and loss severity recovery period $ 26.7               $ 31.0               $ 120.0                 $ 0.7
Loss severity recovery period used to calculate potential change in loss estimate in even more stressful scenario (in years)                                                 8 years  
Final loss severity for subprime transactions used to calculate potential change in loss estimate in even more stressful scenario (as a percent)                                                 60.00%  
Increase in expected loss in case of increase in loss severity recovery period in an even more stressful scenario 67.8               65.9               167.1                 2.3
Number of scenarios where the recovery was faster than in base case                                                 2  
Initial subprime loss severity rate assumed for 12 months (as a percent)                                                 80.00%  
Initial subprime loss severity rate assumed to be recovered over two years (as a percent)                                                 40.00%  
Decrease in expected loss in case of less gradual conditional default rate recovery and changes in initial subprime loss severity rate 5.2               30.1               22.1                 0.2
Decrease in the plateau period used to calculate potential change in loss estimate (in months)                                                 3 months  
Decreased plateau period used to calculate potential change in loss estimate (in months)                                                 21 months  
Decrease in expected loss in case of decrease in conditional default rate plateau period $ 24.4               $ 67.7               $ 46.3                 $ 0.6