Note 5 - Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2014

Schedule of Variable Interest Entities [Table Text Block]

The following tables provide a summary of our maximum exposure to losses, and the financial impact on our condensed consolidated balance sheets, our condensed consolidated statements of operations and our condensed consolidated statements of cash flows as of and for the periods indicated, as it relates to our consolidated and unconsolidated financial guaranty insurance contracts and credit derivative VIEs:



	Consolidated				Unconsolidated
(In thousands)	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Balance Sheet:
Other invested assets	$	82,502	$	81,000	$	—	$	—
Derivative assets	—		—		—		—
Premiums receivable	—		—		1,890		2,211
Other assets	88,219		92,023		—		—
Unearned premiums	—		—		1,432		1,872
Reserve for losses and LAE	—		—		10,878		14,094
Derivative liabilities	46,653		68,457		121,745		220,633
VIE debt—at fair value	88,036		91,800		—		—
Other liabilities	221		254		—		—

Maximum exposure (1)	136,593		121,628		2,699,248		4,578,784

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(1)

The difference between the carrying amounts of the net asset/liability position and maximum exposure related to VIEs is primarily due to the difference between the face amount of the obligation and the recorded fair values, which include an adjustment for our non-performance risk, as applicable. For those VIEs that have recourse to our general credit, the maximum exposure is based on the net par amount of our insured obligation. For any VIEs that do not have recourse to our general credit, the maximum exposure is generally based on the recorded net assets of the VIE, as of the reporting date.



	Consolidated					Unconsolidated
	Nine Months Ended September 30,					Nine Months Ended September 30,
(In thousands)	2014			2013		2014			2013
Statement of Operations:
Premiums earned	$	—		$	—	$	921		$	872
Net investment income	1,338			1,338		—			—
Net gains on investments	165			405		—			—
Change in fair value of derivative instruments—gains (losses)	20,124			513		101,110			(82,069		)
Net gains on other financial instruments	2,976			3,377		—			—
Provision for losses—increase (decrease)	—			—		2,261			(208		)
Other operating expenses	1,303			1,469		—			—

Net Cash (Outflow) Inflow	(34		)	333		(2,493		)	4,133

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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