Note 3 - Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table sets forth our 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)	September 30, 2014		December 31, 2013
Balance Sheets
Derivative assets:
Financial Guaranty credit derivative assets	$	6,102	$	6,323
Other derivative assets	18,111		10,319
Total derivative assets	24,213		16,642
Derivative liabilities:
Financial Guaranty credit derivative liabilities	138,605		238,728
Financial Guaranty VIE derivative liabilities	46,653		68,457
Total derivative liabilities	185,258		307,185
Total derivative liabilities, net	$	161,045	$	290,543

Derivative Instruments, Gain (Loss) [Table Text Block]

The components of the gains (losses) included in change in fair value of derivative instruments are as follows:

	Three Months Ended September 30,					Nine Months Ended September 30,
(In thousands)	2014		2013			2014			2013
Statements of Operations
Net premiums earned—derivatives	$	2,882	$	4,170		$	9,673		$	14,019
Financial Guaranty credit derivatives	8,979		9,198			97,521			(86,233		)
Financial Guaranty VIE derivatives	4,982		(4,026		)	20,123			513
Other derivatives	2,517		1,436			(394		)	1,344
Change in fair value of derivative instruments	$	19,360	$	10,778		$	126,923		$	(70,357	)

Schedule of Derivative Instruments [Table Text Block]

The following table shows selected information about our derivative contracts:

($ in thousands)	September 30, 2014
	Number of Contracts	Par/ Notional Exposure		Total Net Asset (Liability)
Product
Corporate CDOs	14	$	6,060,500	$	(423	)
Non-Corporate CDOs and other derivative transactions:
TruPs	9	816,257		(18,378		)
CDO of CMBS	1	430,000		(39,341		)
Other:
Structured finance	3	436,865		(39,728		)
Public finance	19	1,071,409		(25,144		)
Total Non-Corporate CDOs and other derivative transactions	32	2,754,531		(122,591		)
Assumed financial guaranty credit derivatives:
Structured finance	21	128,112		(9,185		)
Public finance	4	95,015		(304		)
Total Assumed	25	223,127		(9,489		)
Financial Guaranty VIE derivative liabilities (1)	1	79,473		(46,653		)
Other (2)	3	—		18,111
Grand Total	75	$	9,117,631	$	(161,045	)

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(1) Represents the fair value of a CDS included in a VIE that we have consolidated.

(2) Represents derivative assets related to other purchased derivatives for which we do not have loss exposure that exceeds our net asset amount.