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Consolidation of Variable Interest Entities (Tables)
 6 Months Ended
Jun. 30, 2012
Consolidation of Variable Interest Entities [abstract]  
Consolidated FG VIEs By Type of Collateral
Consolidated FG VIEs
By Type of Collateral
 
 
As of June 30, 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

 
$
550.2

 
$
863.6

 
8

 
$
572.9

 
$
907.9

First liens:
 

 
 

 
 

 
 

 
 

 
 

Alt-A first lien
3

 
114.8

 
101.5

 
3

 
118.0

 
106.1

Option ARM
2

 
40.1

 
199.5

 
2

 
49.7

 
244.7

Subprime
7

 
391.3

 
493.6

 
5

 
386.8

 
472.7

Closed-end second lien
10

 
205.7

 
199.2

 
10

 
184.6

 
219.9

Automobile loans
3

 
91.4

 
91.4

 
4

 
155.8

 
155.8

Life insurance
1

 
290.2

 
290.2

 
1

 
289.8

 
289.8

Total with recourse
34

 
1,683.7

 
2,239.0

 
33

 
1,757.6

 
2,396.9

Without recourse
—

 
1,042.3

 
1,042.3

 
—

 
1,061.5

 
1,061.5

Total
34

 
$
2,726.0

 
$
3,281.3

 
33

 
$
2,819.1

 
$
3,458.4
Gross Par Outstanding for FG VIEs Liabilities With Recourse
Gross Unpaid Principal for FG VIEs’ Liabilities
With Recourse
 
 
As of
June 30, 2012
 
As of
December 31, 2011
 
(in millions)
Gross unpaid principal for FG VIEs’ liabilities with recourse
$
3,529.4

 
$
3,796.4
Contractual Maturity Schedule of FG VIE Liabilities with Recourse Gross Par Outstanding
Contractual Maturity Schedule of FG VIE Liabilities with Recourse
 
Contractual Maturity
As of
June 30, 2012
 
(in millions)
2012
$
—

2013
—

2014
90.8

2015
—

2016
—

Thereafter
3,438.6

Total
$
3,529.4
Effect of Consolidating FG VIEs on Net Income and Shareholder's Equity
Effect of Consolidating FG VIEs on Net Income
and Shareholders’ Equity(1)
 
 
Second Quarter
 
Six Months
 
2012
 
2011
 
2012
 
2011
 
(in millions)
Net earned premiums
$
(15.5
)
 
$
(18.3
)
 
$
(32.5
)
 
$
(37.4
)
Net investment income
(2.6
)
 
(0.4
)
 
(5.8
)
 
(0.7
)
Net realized investment gains (losses)
2.1

 
0.2

 
3.5

 
0.5

Fair value gains (losses) on FG VIEs
172.4

 
(174.3
)
 
135.8

 
(54.7
)
Loss and LAE
(0.5
)
 
16.9

 
2.7

 
67.6

Total pretax effect on net income
155.9

 
(175.9
)
 
103.7

 
(24.7
)
Less: tax provision (benefit)
54.6

 
(61.6
)
 
36.3

 
(8.6
)
Total effect on net income (loss)
$
101.3

 
$
(114.3
)
 
$
67.4

 
$
(16.1
)
 


 
As of
June 30, 2012
 
As of
December 31, 2011
 
(in millions)
Total (decrease) increase on shareholders’ equity
$
(339.3
)
 
$
(405.2
)
____________________
(1)
Includes the effect of eliminating insurance balances related to the financial guaranty insurance contracts.
 
Fair value gains (losses) on FG VIEs represent the net change in fair value on the consolidated FG VIEs’ assets and liabilities. During Second Quarter 2012, the Company recorded a pre-tax net fair value gain of consolidated FG VIEs of $172.4 million. The majority of this gain, $160.9 million, is a result of a R&W settlement with Deutsche Bank during the period. This was also the primary driver of the $135.8 million pre-tax fair value gain of consolidated FG VIEs during Six Months 2012. The Six Months 2012 amount was partially offset by an unrealized loss in First Quarter 2012, which resulted from price appreciation on wrapped FG VIE liabilities, as market participants gave more value to the guarantees provided by monoline insurers. A pre-tax fair value loss of approximately $174.3 million was recorded on the consolidated FG VIEs during Second Quarter 2011 and was primarily driven by the consolidation of eight new VIEs, as well as two existing transactions in which the fair value of the underlying collateral depreciated, while the price of the wrapped senior bonds was largely unchanged from the prior quarter. This was also the primary driver of the $54.7 million pre-tax net unrealized loss in the fair value of consolidated FG VIEs during Six Months 2011. The Six Months 2011 amount was partially offset by an unrealized gain in the three-months period ended March 31, 2011, which resulted from longer liquidation time lines on RMBS transactions, which resulted in an increased value for the FG VIE asset