XML 28 R89.htm IDEA: XBRL DOCUMENT v3.3.0.814
Financial Guaranty Contracts Accounted for as Credit Derivatives - Net Change in Fair Value of Credit Derivatives Gains (Losses) (Details) - USD ($)
$ in Millions
3 Months Ended 9 Months Ended
Dec. 31, 2015
Sep. 30, 2015
Sep. 30, 2014
Sep. 30, 2015
Sep. 30, 2014
Credit Derivatives          
Realized gains on credit derivatives [1]   $ 14.0 $ 17.0 $ 52.0 $ 58.0
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements   (8.0) (31.0) (17.0) (38.0)
Realized gains (losses) and other settlements   6.0 (14.0) 35.0 20.0
Net change in unrealized gains (losses) on credit derivatives   80.0 269.0 265.0 127.0
Net change in fair value of credit derivatives [2]   86.0 255.0 300.0 147.0
Pooled corporate obligations [Member]          
Credit Derivatives          
Net change in unrealized gains (losses) on credit derivatives   (24.0) 4.0 0.0 10.0
CMBS [Member]          
Credit Derivatives          
Net change in unrealized gains (losses) on credit derivatives   (3.0) 0.0 1.0 2.0
Other [Member]          
Credit Derivatives          
Net change in unrealized gains (losses) on credit derivatives   96.0 13.0 116.0 (2.0)
United States [Member] | RMBS [Member]          
Credit Derivatives          
Net change in unrealized gains (losses) on credit derivatives   11.0 252.0 148.0 117.0
Credit Risk Contract [Member]          
Credit Derivatives          
Net par of terminated CDS contracts   405.0 1,631.0 969.0 2,931.0
Realized gain due to termination of CDS contracts   $ 0.3 $ (0.1) $ 12.9 $ 0.6
Scenario, Forecast [Member] | Credit Risk Contract [Member] | CMBS [Member]          
Credit Derivatives          
Realized gain due to termination of CDS contracts $ 34.0        
[1] Includes realized gain due to terminations of CDS contracts. CDS terminations in Nine Months 2015 also included a payment received from the resolution of a dispute related to a termination of CDS in 2008.
[2] On October 9, 2015, the Company reached a settlement agreement with a CDS counterparty to terminate five Alt-A first lien CDS transactions. This termination agreement will generate a net fair value gain of approximately $293 million in the Company’s fourth quarter 2015 financial statements. In addition, on October 13, 2015, the Company terminated a CMBS transaction with a CDS counterparty and this termination agreement will generate a net fair value gain of approximately $34 million in the Company's fourth quarter 2015 financial statements.