Note 3 - Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2013

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 thousands)	March 31, 2013		December 31, 2012
Balance Sheets
Derivative assets:
Financial Guaranty credit derivative assets	$	4,851	$	12,024
NIMS assets	1,578		1,585
Total derivative assets	6,429		13,609
Derivative liabilities:
Financial Guaranty credit derivative liabilities	364,146		196,406
Financial Guaranty VIE derivative liabilities	66,752		70,467
Total derivative liabilities	430,898		266,873
Total derivative liabilities, net	$	424,469	$	253,264

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 March 31,
(In thousands)	2013			2012
Statements of Operations
Net premiums earned—derivatives	$	4,992		$	8,648
Financial Guaranty credit derivatives	(175,724		)	(80,219		)
Financial Guaranty VIE derivatives	3,062			(1,227		)
NIMS related	—			41
Change in fair value of derivative instruments	$	(167,670	)	$	(72,757	)

Schedule of Derivative Instruments [Table Text Block]

The following table shows selected information about our derivative contracts:

($ in thousands)	March 31, 2013
	Number of Contracts	Par/ Notional Exposure		Total Net Asset/ (Liability)
Product
NIMS assets (1)	—	$	—	$	1,578
Corporate CDOs	25	9,670,390		(9,960		)
Non-Corporate CDOs and other derivative transactions:
Trust Preferred Securities (“TruPs”)	13	1,071,305		(42,899		)
CDOs of commercial mortgage-backed securities (“CMBS”)	4	1,831,000		(95,936		)
Other:
Structured finance	5	566,116		(133,603		)
Public finance	23	1,444,177		(63,122		)
Total Non-Corporate CDOs and other derivative transactions	45	4,912,598		(335,560		)
Assumed financial guaranty credit derivatives:
Structured finance	32	187,454		(13,157		)
Public finance	7	110,488		(618		)
Total Assumed	39	297,942		(13,775		)
Financial Guaranty VIE derivative liabilities (2)	1	76,792		(66,752		)
Grand Total	110	$	14,957,722	$	(424,469	)

______________________

(1) Represents NIMS derivative assets related to consolidated NIMS VIEs. Because 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 that we have consolidated. See Note 5 for more information on this transaction, the underlying reference securities and our maximum exposure to loss from this consolidated financial guaranty transaction. 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.