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Note 3 - Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2012
Derivative Instruments [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The following table sets forth our gross unrealized gains and gross unrealized losses on derivative assets and liabilities as of the dates indicated. Certain contracts are in an asset position because the net present value of the contractual premium we receive exceeds the net present value of our estimate of the expected future premiums that a financial guarantor of similar credit quality to us would charge to provide the same credit protection, assuming a transfer of our obligation to such financial guarantor as of the measurement date.
 
(In millions)
September 30,
2012
 
December 31,
2011
Balance Sheets
 
 
 
Derivative assets:
 
 
 
Financial Guaranty credit derivative assets
$
13.0

 
$
15.4

NIMS related and other
1.8

 
1.8

Total derivative assets
14.8

 
17.2

Derivative liabilities:
 
 
 
Financial Guaranty credit derivative liabilities
196.2

 
106.5

Financial Guaranty VIE derivative liabilities
71.1

(1)
19.5

Total derivative liabilities
267.3

 
126.0

Total derivative liabilities, net
$
252.5

 
$
108.8


________________
(1)
As a result of the Commutation Transactions described in Note 1, we established a VIE. See Note 5 for further details.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]
The components of the (losses) gains included in change in fair value of derivative instruments are as follows:
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
(In millions)
2012
 
2011
 
2012
 
2011
Statements of Operations
 
 
 
 
 
 
 
Net premiums earned—derivatives
$
7.1

 
$
10.3

 
$
23.0

 
$
31.7

Financial Guaranty credit derivatives
(51.8
)
 
120.1

 
(171.2
)
 
536.6

Financial Guaranty VIE derivatives
3.7

 
(4.5
)
 
1.3

 
(9.4
)
NIMS related and other
—

 
0.1

 
—

 
(0.3
)
Change in fair value of derivative instruments
$
(41.0
)
 
$
126.0

 
$
(146.9
)
 
$
558.6
Schedule of Derivative Instruments [Table Text Block]
The following table shows selected information about our derivative contracts:
($ in millions)
September 30, 2012
Number of
Contracts
 
Par/
Notional
Exposure
 
Total Net Asset/
(Liability)
Product
 
 
 
 
 
NIMS related and other (1)
—

 
$
—

 
$
1.8

Corporate CDOs
47

 
18,391.4

 
1.1

Non-Corporate CDOs and other derivative transactions:
 
 
 
 
 
TruPs
13

 
1,122.6

 
(11.3
)
CDOs of commercial mortgage-backed securities (“CMBS”)
4

 
1,831.0

 
(79.9
)
Other:
 
 
 
 
 
Structured finance
8

 
709.0

 
(40.3
)
Public finance
23

 
1,457.6

 
(38.8
)
Total Non-Corporate CDOs and other derivative transactions
48

 
5,120.2

 
(170.3
)
Assumed financial guaranty credit derivatives:
 
 
 
 
 
Structured finance
35

 
249.3

 
(12.9
)
Public finance
8

 
129.3

 
(1.1
)
Total Assumed
43

 
378.6

 
(14.0
)
Financial Guaranty VIE derivative liabilities (2)
1

 
75.9

 
(71.1
)
Grand Total
139

 
$
23,966.1

 
$
(252.5
)
 ________________
(1)
Represents NIMS derivative assets related to consolidated NIMS VIEs. Also includes common stock warrants. Because none of these investments represent financial guaranty contracts that we issued, they cannot become liabilities, and therefore, do not represent additional par exposure.
(2)
Represents the fair value of a CDS included in a VIE which we consolidate relating to the Terminated TruPs CDOs. The assets in the VIE represent the only funds available to pay the CDS Counterparty for amounts due under the contract; therefore, the notional exposure presented for the CDS is limited to the current trust assets. See Notes 1 and 5 for information on the underlying reference securities and on our maximum exposure to loss from this consolidated financial guaranty transaction.