Note 12 - Financial Guaranty Insurance Contracts Level 3 (Tables)

12 Months Ended

Dec. 31, 2011

Financial Guaranty Insurance Contracts [Abstract]

Schedule of Insured Financial Obligations with Credit Deterioration [Table Text Block]

The following table includes information as of December 31, 2011, regarding our financial guaranty claim liabilities, segregated by the surveillance categories that we use in monitoring the risks related to these contracts:



	Surveillance Categories
($ in millions)	Performing		Special Mention		Intensified Surveillance		Case Reserve		Total
Number of policies	16		135		61		106		318
Remaining weighted-average contract period (in years)	23		18		21		25		20
Insured contractual payments outstanding:
Principal	$	58.1	$	1,080.3	$	370.8	$	358.8	$	1,868.0
Interest	12.6		624.6		198.8		184.4		1,020.4
Total	$	70.7	$	1,704.9	$	569.6	$	543.2	$	2,888.4
Gross claim liability	$	0.4	$	15.7	$	114.5	$	103.9	$	234.5
Less:
Gross potential recoveries	—		0.7		60.0		83.2		143.9
Discount, net	0.1		3.3		10.8		2.2		16.4
Net claim liability	$	0.3	$	11.7	$	43.7	$	18.5	$	74.2
Unearned premium revenue	$	0.2	$	25.3	$	7.7	$	—	$	33.2
Claim liability reported in the balance sheet	$	0.2	$	3.6	$	38.2	$	18.5	$	60.5
Reinsurance recoverables	$	—	$	—	$	—	$	—	$	—

Schedule of Premium Receivable and Unearned with Accretion Detail and Weighted Average Risk-Free Rate [Table Text Block]

The present values of premiums receivable and unearned premiums that are received on an installment basis as of December 31, 2011 and 2010 are as follows:



	December 31,
(In millions)	2011		2010
Premiums receivable	$	34.3	$	44.0
Unearned premiums	39.8		60.5

The accretion of these balances is included either in premiums written and premiums earned for premiums receivable or policy acquisition costs for commissions on our consolidated statements of operations. The amount of the accretion included in premiums written, premiums earned and policy acquisition costs for the years ended December 31, 2011 and 2010 was as follows:



	December 31,
(In millions)	2011		2010
Premiums written	$	1.2	$	1.5
Premiums earned	1.2		1.5
Policy acquisition costs	0.3		0.3

The weighted-average risk-free rate used to discount the premiums receivable and premiums to be collected was 2.6% at December 31, 2011.

Future Premiums To Be Collected On Financial Guaranty Contracts [Table Text Block]

The following table shows the nominal (non-discounted) premiums, net of commissions that are expected to be collected on financial guaranty contracts with installment premiums, included in premiums receivable as of December 31, 2011. See Note 21 for the financial impact of the Assured Transaction executed in January 2012.



(In millions)	Future Expected Premium Payments
1st quarter 2012	$	1.1
2nd quarter 2012	1.8
3rd quarter 2012	1.4
4th quarter 2012	0.7
2012	5.0
2013	3.9
2014	1.5
2015	2.9
2016	2.6
2012 - 2016	15.9
2017 - 2021	10.1
2022 - 2026	6.8
2027 - 2031	4.4
After 2031	5.9
Total	$	43.1

Rollforward of Financial Guaranty NPV of Premiums Receivable [Table Text Block]

The following table shows the rollforward of the net present value of premiums receivable as of December 31, 2011 and 2010:



	December 31,
(In millions)	2011			2010
Balance at January 1	$	44.0		$	54.4
Payments received	(5.0		)	(7.1		)
Accretion	0.9			1.3
Adjustments to installment premiums	(0.4		)	(1.5		)
Foreign exchange revaluation	0.8			(1.3		)
Recaptures/commutation	(6.0		)	(1.8		)
Balance at December 31	$	34.3		$	44.0

Adjustments to Premiums Earned Financial Guaranty Contracts [Table Text Block]

Premiums earned were affected by the following for the years ended December 31, 2011 and 2010:



	December 31,
(In millions)	2011		2010
Refundings	$	27.2	$	35.8
Recaptures/Commutations	2.8		—
Adjustments to installment premiums, gross of commissions	0.4		0.4
Unearned premium acceleration upon establishment of case reserves	3.2		1.4
Foreign exchange revaluation, gross of commissions	1.1		(1.4		)
Policy cancellations	—		2.3
Total adjustment to premiums earned	$	34.7	$	38.5

Financial Guarantee Insurance Contracts Future Premium Revenue to be Recognized [Table Text Block]

The following table shows the expected contractual premium revenue from our existing financial guaranty portfolio, assuming no prepayments or refundings of any financial guaranty obligations, as of December 31, 2011. See Note 21 for the financial impact of the Assured Transaction executed in January 2012.



(In millions)	Ending Net Unearned Premiums		Unearned Premium Amortization		Accretion		Total Premium Revenue
1^st quarter 2012	$	394.4	$	9.5	$	0.3	$	9.8
2^nd quarter 2012	385.5		8.9		0.3		9.2
3^rd quarter 2012	376.8		8.7		0.3		9.0
4^th quarter 2012	368.3		8.5		0.3		8.8
2012	368.3		35.6		1.2		36.8
2013	333.1		35.2		0.9		36.1
2014	300.8		32.3		0.9		33.2
2015	271.9		28.9		0.8		29.7
2016	245.7		26.2		0.7		26.9
2012 – 2016	245.7		158.2		4.5		162.7
2017 – 2021	137.8		107.9		2.9		110.8
2022 – 2026	66.4		71.4		1.9		73.3
2027 – 2031	27.0		39.4		1.2		40.6
After 2031	—		27.0		1.3		28.3
Total	$	—	$	403.9	$	11.8	$	415.7

Schedule of Liability for Unpaid Claims and Claims Adjustment Expense [Table Text Block]

The following table shows the significant components of changes in our financial guaranty claim liability for the years ended December 31, 2011, 2010 and 2009, excluding $2.5 million, $4.3 million and $6.6 million, respectively, related to our trade credit reinsurance and surety business, which is excluded from the accounting standard regarding accounting for financial guaranty insurance contracts by insurance enterprises.



	Year Ended December 31,
(In millions)	2011			2010			2009
Claim liability at January 1	$	67.4		$	121.8		$	211.5
Incurred losses and LAE:
Increase/(decrease) in gross claim liability	68.1			86.2			(6.0		)
Increase in gross potential recoveries	(76.1		)	(74.2		)	(42.6		)
Decrease/(increase) in discount	7.5			(1.9		)	69.6
Decrease/(increase) in unearned premiums	4.6			(1.1		)	20.7
Incurred losses and LAE	4.1			9.0			41.7
Paid losses and LAE:
Current year	—			(1.6		)	(25.4		)
Prior years	(11.0		)	(61.8		)	(106.0		)
Paid losses and LAE	(11.0		)	(63.4		)	(131.4		)
Claim liability at December 31	$	60.5		$	67.4		$	121.8
Components of incurred losses and LAE:
Claim liability established in current period	$	2.2		$	1.7		$	54.1
Changes in existing claim liabilities	1.9			7.3			(12.4		)
Total incurred losses and LAE	$	4.1		$	9.0		$	41.7
Components of decrease/(increase) in discount:
Decrease/(increase) in discount related to claim liabilities established in current period	$	0.2		$	(6.3	)	$	(4.7	)
Decrease in discount related to existing claim liabilities	7.3			4.4			74.3
Total decrease/(increase) in discount	$	7.5		$	(1.9	)	$	69.6

Schedule or Description of Weighted Average Discount Rate [Table Text Block]

The weighted-average risk-free rates used to discount the gross claim liability and gross potential recoveries were as follows, as of the dates indicated:



December 31, 2011	2.80	%
December 31, 2010	3.69	%
December 31, 2009	3.81	%
December 31, 2008	2.53	%

- Definition

Tabular disclosure of insured financial obligations with credit deterioration related to the claim liability on financial guarantee insurance contracts as of the end of each annual and interim reporting period detailing, at a minimum, the following for each surveillance category or grouping used to track and monitor the entity's insured financial obligations: (1) number of issued and outstanding financial guarantee insurance contracts; (2) remaining weighted average contract period; (3) insured contractual payments outstanding, segregating principal and interest; (4) gross claim liability; (5) gross potential recoveries; (6) net discount of both the claim liability and potential recoveries; (7) net claim liability; (8) reinsurance recoverable; and (9) unearned premium revenue.

+ References+ Details

- Definition

Tabular disclosure of the average discount rate in the country of origin applied to insurance contracts to determine future policy benefits to be paid to or on behalf of policyholders and the methodology and assumptions for calculating the discount rate.

+ References+ Details