XML 103 R50.htm IDEA: XBRL DOCUMENT v2.4.0.8
Note 4 - Fair Value of Financial Instruments Fair Value Measurement Inputs for Level III Assets and Liabilities (Details) (USD $)
Jun. 30, 2013
Dec. 31, 2012
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative assets $ 9,379,000 $ 13,609,000
Derivative liabilities 350,576,000 266,873,000
VIE debt—at fair value 106,767,000 108,858,000
Fair Value, Inputs, Level 3
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Total Level III Assets 3.80%  
Total Level III Liabilities 100.00%  
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | Collateralized Debt Obligation of Commercial Mortgage Backed Securities [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative assets 1,000,000 [1] 1,600,000 [1]
Derivative liabilities 103,300,000 [1] 76,300,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | Collateralized Debt Obligation of Commercial Mortgage Backed Securities [Member] | Minimum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 1.70% [2] 8.00% [2]
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Correlation Factor Related to Vintage and Credit Rating 72.00% 72.00%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | Collateralized Debt Obligation of Commercial Mortgage Backed Securities [Member] | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 5.90% [2] 9.10% [2]
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Correlation Factor Related to Vintage and Credit Rating 85.00% 85.00%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs Collateralized Debt Obligation [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative assets   1,600,000 [1]
Derivative liabilities 21,800,000 [1] 12,700,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs Collateralized Debt Obligation [Member] | Minimum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 1.70% [2] 8.00% [2]
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Probability of Paying a Conditional Liquidity Claim 0.80% 0.80%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs Collateralized Debt Obligation [Member] | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 5.90% [2] 9.10% [2]
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Probability of Paying a Conditional Liquidity Claim 10.00% 36.70%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs Collateralized Debt Obligation [Member] | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Principal Recovery Percent 72.00% 65.00%
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Principal Recovery Rate Using Distressed Pricing Scenario 62.00% 60.00%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs-Related VIE Liabilities [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
VIE debt—at fair value 64,700,000 [1] 70,400,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | TruPs-Related VIE Liabilities [Member] | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Discount Rate 12.30% 13.40%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS derivative assets
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative assets 1,600,000 [1] 1,600,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS derivative assets | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 1.70% [2] 8.50% [2]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS derivative assets | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, NIMS Spread 43.70% 44.00%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS VIEs [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
VIE debt—at fair value 11,000,000 [1] 9,900,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS VIEs [Member] | Minimum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 2.00% [2] 8.50% [2]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS VIEs [Member] | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 9.00% [2] 10.90% [2]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | NIMS VIEs [Member] | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, NIMS Spread 43.70% 43.70%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | State and municipal obligations
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Total Investments at Fair Value 19,400,000 [1] 19,000,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | State and municipal obligations | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Discount Rate 8.80% 8.80%
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Expected Loss Rate 19.00% 19.00%
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | Other investments
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Total Investments at Fair Value 77,000,000 [1] 78,000,000 [1]
Fair Value, Inputs, Level 3 | Discounted Cash Flow Valuation Technique [Member] | Other investments | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Discount Rate 2.50% 1.90%
Fair Value, Inputs, Level 3 | Base Correlation Model Valuation Technique [Member] | Corporate collateralized debt obligations (CDO's)[Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative assets 6,000,000 [1] 8,800,000 [1]
Derivative liabilities 4,400,000 [1] 6,000,000 [1]
Fair Value, Inputs, Level 3 | Base Correlation Model Valuation Technique [Member] | Corporate collateralized debt obligations (CDO's)[Member] | Minimum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 1.70% [2] 8.00% [2]
Fair Value, Inputs, Level 3 | Base Correlation Model Valuation Technique [Member] | Corporate collateralized debt obligations (CDO's)[Member] | Minimum [Member] | Less Than [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Average Credit Spread 0.10% 0.10%
Fair Value, Inputs, Level 3 | Base Correlation Model Valuation Technique [Member] | Corporate collateralized debt obligations (CDO's)[Member] | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Average Credit Spread 1.60% 2.70%
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 5.90% [2] 9.10% [2]
Fair Value, Inputs, Level 3 | Base Correlation Model Valuation Technique [Member] | Corporate collateralized debt obligations (CDO's)[Member] | Weighted Average [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, Correlation Factor 85.00% 85.00%
Fair Value, Inputs, Level 3 | Risk-Based Model Valuation Technique [Member] | Non Corporate CDOS and other derivative transactions[Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative liabilities $ 156,400,000 [1] $ 101,400,000 [1]
Fair Value, Inputs, Level 3 | Risk-Based Model Valuation Technique [Member] | Non Corporate CDOS and other derivative transactions[Member] | Minimum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 1.70% [2] 8.00% [2]
Fair Value, Inputs, Level 3 | Risk-Based Model Valuation Technique [Member] | Non Corporate CDOS and other derivative transactions[Member] | Minimum [Member] | Less Than [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Derivative, Expected Remaining Life 1 year 1 year
Fair Value, Inputs, Level 3 | Risk-Based Model Valuation Technique [Member] | Non Corporate CDOS and other derivative transactions[Member] | Maximum [Member]
   
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]    
Fair Value, Measurement with Unobservable Inputs, Additional Disclosure, CDS Spread Percent 5.90% [2] 9.10% [2]
Derivative, Expected Remaining Life 20 years 20 years
[1] Excludes certain assets and liabilities for which we do not develop quantitative unobservable inputs. The fair value estimates for these assets and liabilities are developed using third-party pricing information, generally without adjustment.
[2] Represents the range of Radian Group’s CDS spread that a typical market participant might use in the valuation analysis based on the remaining term of the investment.