FORM 10-Q |
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) |
OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) |
OF THE SECURITIES EXCHANGE ACT OF 1934 |
Ambac Financial Group, Inc. |
(Exact name of Registrant as specified in its charter) |
Delaware | 13-3621676 | |
(State of incorporation) | (I.R.S. employer identification no.) | |
One State Street Plaza, New York, New York | 10004 | |
(Address of principal executive offices) | (Zip code) | |
212-658-7470 |
(Registrant’s telephone number, including area code) |
Large accelerated filer | x | Accelerated filer | ¨ | Non-accelerated filer | ¨ | Smaller reporting company | ¨ |
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Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. |
(Dollars in thousands, except share data) | September 30, 2014 | December 31, 2013 | |||||
(Unaudited) | |||||||
Assets: | |||||||
Investments: | |||||||
Fixed income securities, at fair value (amortized cost of $5,941,188 in 2014 and $5,927,254 in 2013) | $ | 6,156,228 | $ | 5,885,316 | |||
Fixed income securities pledged as collateral, at fair value (amortized cost of $64,323 in 2014 and $126,196 in 2013) | 64,031 | 126,223 | |||||
Short-term investments, at fair value (amortized cost of $550,898 in 2014 and $271,118 in 2013) | 550,900 | 271,119 | |||||
Other investments (includes $270,791 at fair value in 2014 and $240,969 at fair value in 2013) | 290,870 | 241,069 | |||||
Total investments | 7,062,029 | 6,523,727 | |||||
Cash and cash equivalents | 43,332 | 77,370 | |||||
Receivable for securities | 33,836 | 14,450 | |||||
Investment income due and accrued | 32,818 | 37,663 | |||||
Premium receivables | 1,266,632 | 1,453,021 | |||||
Reinsurance recoverable on paid and unpaid losses | 105,511 | 121,249 | |||||
Deferred ceded premium | 127,596 | 145,529 | |||||
Subrogation recoverable | 489,237 | 498,478 | |||||
Loans | 6,057 | 6,179 | |||||
Derivative assets | 91,320 | 77,711 | |||||
Insurance intangible asset | 1,475,012 | 1,597,965 | |||||
Goodwill | 514,511 | 514,511 | |||||
Other assets | 173,219 | 35,927 | |||||
Variable interest entity assets: | |||||||
Fixed income securities, at fair value | 2,651,683 | 2,475,182 | |||||
Restricted cash | 7,337 | 17,498 | |||||
Investment income due and accrued | 4,192 | 1,365 | |||||
Loans, at fair value | 12,503,484 | 13,398,895 | |||||
Intangible assets | — | 76,140 | |||||
Other assets | 2,979 | 19,617 | |||||
Total assets | $ | 26,590,785 | $ | 27,092,477 |
(Dollars in thousands, except share data) | September 30, 2014 | December 31, 2013 | |||||
(Unaudited) | |||||||
Liabilities and Stockholders’ Equity: | |||||||
Liabilities: | |||||||
Unearned premiums | $ | 1,953,392 | $ | 2,255,680 | |||
Loss and loss expense reserves | 6,003,474 | 5,968,712 | |||||
Ceded premiums payable | 61,104 | 70,962 | |||||
Obligations under investment agreements | 160,515 | 359,070 | |||||
Deferred taxes | 2,176 | 2,199 | |||||
Current taxes | 785 | 738 | |||||
Long-term debt | 1,219,310 | 963,178 | |||||
Accrued interest payable | 376,773 | 294,817 | |||||
Derivative liabilities | 348,427 | 253,898 | |||||
Other liabilities | 66,101 | 67,377 | |||||
Payable for securities purchased | 27,263 | 4,654 | |||||
Variable interest entity liabilities: | |||||||
Accrued interest payable | 6,141 | 722 | |||||
Long-term debt, at fair value | 13,159,174 | 14,091,753 | |||||
Derivative liabilities | 1,955,291 | 1,772,306 | |||||
Other liabilities | 169 | 7,989 | |||||
Total liabilities | $ | 25,340,095 | $ | 26,114,055 | |||
Commitments and contingencies (see Note 13) | |||||||
Stockholders’ equity: | |||||||
Preferred stock, par value $0.01 per share; authorized shares—20,000,000; issued and outstanding shares—none | — | — | |||||
Common stock, par value $0.01 per share; authorized shares—130,000,000; issued and outstanding shares—45,004,410 at September 30, 2014 and 45,003,461 at December 31, 2013 | 450 | 450 | |||||
Additional paid-in capital | 188,648 | 185,672 | |||||
Accumulated other comprehensive income | 250,865 | 11,661 | |||||
Accumulated earnings | 535,706 | 505,219 | |||||
Common stock held in treasury at cost, 937 shares at September 30, 2014 and December 31, 2013 | (19 | ) | (19 | ) | |||
Total Ambac Financial Group, Inc. stockholders’ equity | 975,650 | 702,983 | |||||
Noncontrolling interest | 275,040 | 275,439 | |||||
Total stockholders’ equity | 1,250,690 | 978,422 | |||||
Total liabilities and stockholders’ equity | $ | 26,590,785 | $ | 27,092,477 |
Period from July 1 | Period from July 1 | ||||||
through | through | ||||||
(Dollars in thousands, except share data) | September 30, 2014 | September 30, 2013 | |||||
Revenues: | |||||||
Net premiums earned | $ | 64,831 | $ | 70,949 | |||
Net investment income: | |||||||
Securities available-for-sale and short-term | 82,881 | 51,776 | |||||
Other investments | 700 | 350 | |||||
Total net investment income | 83,581 | 52,126 | |||||
Other-than-temporary impairment losses: | |||||||
Total other-than-temporary impairment losses | (6,997 | ) | (38,553 | ) | |||
Portion of loss recognized in other comprehensive income | 1,986 | 516 | |||||
Net other-than-temporary impairment losses recognized in earnings | (5,011 | ) | (38,037 | ) | |||
Net realized investment gains (losses) | 10,045 | (10,310 | ) | ||||
Change in fair value of credit derivatives: | |||||||
Realized gains (losses) and other settlements | 596 | 1,580 | |||||
Unrealized gains (losses) | 6,820 | 29,614 | |||||
Net change in fair value of credit derivatives | 7,416 | 31,194 | |||||
Derivative products | (15,685 | ) | 12,372 | ||||
Other income (loss) | 1,046 | (1,751 | ) | ||||
Income (loss) on variable interest entities | 9,116 | 55,109 | |||||
Total revenues before expenses and reorganization items | 155,339 | 171,652 | |||||
Expenses: | |||||||
Losses and loss expenses (benefit) | (28,698 | ) | (154,290 | ) | |||
Insurance intangible amortization | 41,908 | 37,473 | |||||
Underwriting and operating expenses | 25,513 | 25,047 | |||||
Interest expense | 31,841 | 31,817 | |||||
Total expenses (benefit) before reorganization items | 70,564 | (59,953 | ) | ||||
Pre-tax income (loss) from continuing operations before reorganization items | 84,775 | 231,605 | |||||
Reorganization items | 2 | 4 | |||||
Pre-tax income (loss) from continuing operations | 84,773 | 231,601 | |||||
Provision for income taxes | 2,344 | 594 | |||||
Net income (loss) | 82,429 | 231,007 | |||||
Less: net (loss) gain attributable to noncontrolling interest | (21 | ) | 32 | ||||
Net income (loss) attributable to common shareholders | $ | 82,450 | $ | 230,975 | |||
Other comprehensive income (loss), after tax: | |||||||
Net income (loss) | $ | 82,429 | $ | 231,007 | |||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (17,225 | ) | 53,877 | ||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | (38,429 | ) | 39,798 | ||||
Changes to postretirement benefit, net of tax of $0 | (204 | ) | — | ||||
Total other comprehensive (loss) income, net of tax | (55,858 | ) | 93,675 | ||||
Total comprehensive income (loss) | 26,571 | 324,682 | |||||
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | |||||||
Net (loss) gain | (21 | ) | 32 | ||||
Currency translation adjustments | (395 | ) | 414 | ||||
Total comprehensive income (loss) attributable to common shareholders | $ | 26,987 | $ | 324,236 | |||
Net income (loss) per share attributable to common shareholders | $ | 1.83 | $ | 5.13 | |||
Net income (loss) per diluted share attributable to common shareholders | $ | 1.77 | $ | 4.98 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
(Dollars in thousands, except share data) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Revenues: | ||||||||||||
Net premiums earned | $ | 212,391 | $ | 128,988 | $ | 130,000 | ||||||
Net investment income: | ||||||||||||
Securities available-for-sale and short-term | 228,570 | 80,987 | 116,371 | |||||||||
Other investments | 5,905 | (2,665 | ) | 369 | ||||||||
Total net investment income | 234,475 | 78,322 | 116,740 | |||||||||
Other-than-temporary impairment losses: | ||||||||||||
Total other-than-temporary impairment losses | (26,440 | ) | (40,557 | ) | (467 | ) | ||||||
Portion of loss recognized in other comprehensive income | 2,283 | 518 | — | |||||||||
Net other-than-temporary impairment losses recognized in earnings | (24,157 | ) | (40,039 | ) | (467 | ) | ||||||
Net realized investment gains (losses) | 29,401 | 8,162 | 53,305 | |||||||||
Change in fair value of credit derivatives: | ||||||||||||
Realized gains (losses) and other settlements | 2,088 | 7,654 | 3,444 | |||||||||
Unrealized gains (losses) | 11,491 | 74,760 | (63,828 | ) | ||||||||
Net change in fair value of credit derivatives | 13,579 | 82,414 | (60,384 | ) | ||||||||
Derivative products | (117,511 | ) | 96,085 | (33,735 | ) | |||||||
Other income (loss) | 8,206 | 428 | 8,363 | |||||||||
Income (loss) on variable interest entities | (34,574 | ) | 59,707 | 426,566 | ||||||||
Total revenues before expenses and reorganization items | 321,810 | 414,067 | 640,388 | |||||||||
Expenses: | ||||||||||||
Losses and loss expenses (benefit) | 6,608 | (180,407 | ) | (38,056 | ) | |||||||
Insurance intangible amortization | 109,878 | 62,425 | — | |||||||||
Underwriting and operating expenses | 75,332 | 41,264 | 44,566 | |||||||||
Interest expense | 96,122 | 52,961 | 31,025 | |||||||||
Total expenses (benefit) before reorganization items | 287,940 | (23,757 | ) | 37,535 | ||||||||
Pre-tax income (loss) from continuing operations before reorganization items | 33,870 | 437,824 | 602,853 | |||||||||
Reorganization items | 211 | 428 | (2,745,180 | ) | ||||||||
Pre-tax income (loss) from continuing operations | 33,659 | 437,396 | 3,348,033 | |||||||||
Provision for income taxes | 3,414 | 1,107 | 755 | |||||||||
Net income (loss) | 30,245 | 436,289 | 3,347,278 | |||||||||
Less: net (loss) gain attributable to noncontrolling interest | (242 | ) | (367 | ) | (1,771 | ) | ||||||
Net income (loss) attributable to common shareholders | $ | 30,487 | $ | 436,656 | $ | 3,349,049 | ||||||
Other comprehensive income (loss), after tax: | ||||||||||||
Net income (loss) | $ | 30,245 | $ | 436,289 | $ | 3,347,278 | ||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | 256,660 | (37,106 | ) | 175,347 | ||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | (17,001 | ) | 27,136 | (428 | ) | |||||||
Changes to postretirement benefit, net of tax of $0 | (612 | ) | — | 185 | ||||||||
Total other comprehensive income (loss), net of tax | 239,047 | (9,970 | ) | 175,104 | ||||||||
Total comprehensive income (loss) | 269,292 | 426,319 | 3,522,382 | |||||||||
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | ||||||||||||
Net (loss) gain | (242 | ) | (367 | ) | (1,771 | ) | ||||||
Currency translation adjustments | (157 | ) | 276 | 229 | ||||||||
Total comprehensive income (loss) attributable to common shareholders | $ | 269,691 | $ | 426,410 | $ | 3,523,924 | ||||||
Net income (loss) per share attributable to common shareholders | $ | 0.68 | $ | 9.70 | $ | 11.07 | ||||||
Net income (loss) per diluted share attributable to common shareholders | $ | 0.65 | $ | 9.40 | $ | 11.07 |
Ambac Financial Group, Inc. | |||||||||||||||||||||||||||||||
(Dollars in thousands) | Total | Accumulated Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional Paid-in Capital | Common Stock Held in Treasury, at Cost | Noncontrolling Interest | |||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||||
Balance at January 1, 2014 | $ | 978,422 | $ | 505,219 | $ | 11,661 | $ | — | $ | 450 | $ | 185,672 | $ | (19 | ) | $ | 275,439 | ||||||||||||||
Total comprehensive income | 269,292 | 30,487 | 239,204 | — | — | — | — | (399 | ) | ||||||||||||||||||||||
Stock-based compensation | 2,960 | — | — | — | — | 2,960 | — | — | |||||||||||||||||||||||
Shares issued under equity plans | — | — | — | — | — | — | — | — | |||||||||||||||||||||||
Warrants exercised | 16 | — | — | — | — | 16 | — | — | |||||||||||||||||||||||
Balance at September 30, 2014 | $ | 1,250,690 | $ | 535,706 | $ | 250,865 | $ | — | $ | 450 | $ | 188,648 | $ | (19 | ) | $ | 275,040 | ||||||||||||||
Ambac Financial Group, Inc. | |||||||||||||||||||||||||||||||
(Dollars in thousands) | Total | Accumulated Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional Paid-in Capital | Common Stock Held in Treasury, at Cost | Noncontrolling Interest | |||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||||
Balance at May 1, 2013 | $ | 460,415 | $ | — | $ | — | $ | — | $ | 450 | $ | 184,550 | $ | — | $ | 275,415 | |||||||||||||||
Total comprehensive income | 426,319 | 436,656 | (10,246 | ) | — | — | — | — | (91 | ) | |||||||||||||||||||||
Warrants exercised | 16 | — | — | — | — | 16 | — | — | |||||||||||||||||||||||
Balance at September 30, 2013 | $ | 886,750 | $ | 436,656 | $ | (10,246 | ) | $ | — | $ | 450 | $ | 184,566 | $ | — | $ | 275,324 | ||||||||||||||
Ambac Financial Group, Inc. | |||||||||||||||||||||||||||||||
(Dollars in thousands) | Total | Accumulated Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional Paid-in Capital | Common Stock Held in Treasury, at Cost | Noncontrolling Interest | |||||||||||||||||||||||
Predecessor Ambac | |||||||||||||||||||||||||||||||
Balance at January 1, 2013 | $ | (3,246,967 | ) | $ | (6,297,264 | ) | $ | 625,385 | $ | — | $ | 3,080 | $ | 2,172,027 | $ | (410,755 | ) | $ | 660,560 | ||||||||||||
Total comprehensive income | 3,522,382 | 3,349,049 | 174,875 | — | — | — | — | (1,542 | ) | ||||||||||||||||||||||
Stock-based compensation | (60 | ) | (60 | ) | — | — | — | — | — | — | |||||||||||||||||||||
Shares issued under equity plans | 60 | — | — | — | — | — | 60 | — | |||||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder equity accounts and noncontrolling interest adjustment | — | 2,948,275 | (800,260 | ) | — | (3,080 | ) | (2,172,027 | ) | 410,695 | (383,603 | ) | |||||||||||||||||||
Balance at April 30, 2013 | $ | 275,415 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 275,415 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
(Dollars in thousands) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) attributable to common shareholders | $ | 30,487 | $ | 436,656 | $ | 3,349,049 | ||||||
Noncontrolling interest in subsidiaries’ earnings | (242 | ) | (367 | ) | (1,771 | ) | ||||||
Net income (loss) | 30,245 | 436,289 | 3,347,278 | |||||||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||||||
Depreciation and amortization | 2,223 | 1,243 | 974 | |||||||||
Amortization of bond premium and discount | (50,432 | ) | (15,056 | ) | (60,146 | ) | ||||||
Reorganization items | 211 | 428 | (2,745,180 | ) | ||||||||
Share-based compensation | 2,960 | — | — | |||||||||
Deferred income taxes | (23 | ) | 31 | (6 | ) | |||||||
Current income taxes | 47 | 821 | (101,188 | ) | ||||||||
Deferred acquisition costs | — | — | 14,207 | |||||||||
Unearned premiums, net | (284,355 | ) | (164,551 | ) | (172,549 | ) | ||||||
Losses and loss expenses, net | 59,741 | (158,706 | ) | (43,284 | ) | |||||||
Ceded premiums payable | (9,858 | ) | (6,440 | ) | (2,059 | ) | ||||||
Investment income due and accrued | 4,845 | 3,846 | 1,781 | |||||||||
Premium receivables | 186,389 | 95,621 | 88,990 | |||||||||
Accrued interest payable | 81,956 | 37,454 | 23,953 | |||||||||
Amortization of insurance intangible assets | 109,878 | 62,425 | — | |||||||||
Net mark-to-market (gains) losses | (11,491 | ) | (74,760 | ) | 63,828 | |||||||
Net realized investment gains | (29,401 | ) | (8,162 | ) | (53,305 | ) | ||||||
Other-than-temporary impairment charges | 24,157 | 40,039 | 467 | |||||||||
Variable interest entity activities | 34,574 | (59,707 | ) | (426,566 | ) | |||||||
Other, net | 106,703 | (106,559 | ) | 62,122 | ||||||||
Net cash provided by (used in) operating activities | 258,369 | 84,256 | (683 | ) | ||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from sales of bonds | 1,727,142 | 622,608 | 310,916 | |||||||||
Proceeds from matured bonds | 896,936 | 461,436 | 307,472 | |||||||||
Purchases of bonds | (2,547,727 | ) | (1,400,547 | ) | (286,633 | ) | ||||||
Proceeds from sales of other invested assets | 40,173 | 59,449 | — | |||||||||
Purchases of other invested assets | (54,768 | ) | (127,237 | ) | (164,368 | ) | ||||||
Change in short-term investments | (279,781 | ) | 177,385 | (64,956 | ) | |||||||
Loans, net | 112 | 1,134 | 1,920 | |||||||||
Change in swap collateral receivable | (105,354 | ) | 10,889 | (8,863 | ) | |||||||
Other, net | 6,553 | (1,667 | ) | 19,828 | ||||||||
Net cash (used in) provided by investing activities | (316,714 | ) | (196,550 | ) | 115,316 | |||||||
Cash flows from financing activities: | ||||||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 224,262 | — | — | |||||||||
Paydowns of variable interest entity secured borrowing | — | (7,566 | ) | (5,519 | ) | |||||||
Proceeds from warrant exercise | 15 | 16 | — | |||||||||
Payments for investment agreement draws | (199,970 | ) | (4,556 | ) | — | |||||||
Net cash provided by (used in) financing activities | 24,307 | (12,106 | ) | (5,519 | ) | |||||||
Net cash flow | (34,038 | ) | (124,400 | ) | 109,114 | |||||||
Cash and cash equivalents at beginning of period | 77,370 | 152,951 | 43,837 | |||||||||
Cash and cash equivalents end of period | $ | 43,332 | $ | 28,551 | $ | 152,951 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
(Dollars in thousands) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Supplemental disclosure of cash flow information: | ||||||||||||
Cash paid during the period for: | ||||||||||||
Income taxes | $ | 3,246 | $ | 336 | $ | 102,129 | ||||||
Interest on variable interest entity secured borrowing | — | 163 | 276 | |||||||||
Interest on investment agreements | 459 | 640 | 444 | |||||||||
Cash payments related to reorganization items: | ||||||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 272 | 15,478 | 3,860 |
• | Increasing the value of its investment in Ambac Assurance Corporation ("Ambac Assurance") by actively managing its assets and liabilities with a focus on maximizing risk-adjusted investment portfolio returns and mitigating or remediating losses on poorly performing insured transactions through executing policy commutations, repurchasing liabilities at a discount, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions, and other means; and |
• | Pursuing new businesses, which may include financial services businesses such as advisory, asset servicing, asset management, and/or insurance. |
Period from July 1 | Period from July 1 | ||||||
through | through | ||||||
September 30, 2014 | September 30, 2013 | ||||||
U.S. Trustee fees | $ | — | $ | 13 | |||
Professional fees | 2 | (9 | ) | ||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | |||||
Fresh start reporting adjustments | — | — | |||||
Total reorganization items | $ | 2 | $ | 4 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | ||||||||||
U.S. Trustee fees | $ | — | $ | 13 | $ | 23 | ||||||
Professional fees | 211 | 415 | 4,483 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521,435 | ) | ||||||||
Fresh start reporting adjustments | — | — | (1,228,251 | ) | ||||||||
Total reorganization items | $ | 211 | $ | 428 | $ | (2,745,180 | ) |
September 30, 2014 | December 31, 2013 | ||||||
Investments: | |||||||
Corporate obligations | $ | 2,651,683 | $ | 2,475,182 | |||
Total variable interest entity assets: fixed income securities | $ | 2,651,683 | $ | 2,475,182 |
Estimated fair value | Unpaid principal balance | ||||||
September 30, 2014 | |||||||
Loans | $ | 12,503,484 | $ | 10,653,928 | |||
Long-term debt | 13,159,174 | 12,661,349 | |||||
December 31, 2013 | |||||||
Loans | 13,398,895 | 12,226,481 | |||||
Long-term debt | $ | 14,091,753 | $ | 14,251,771 |
Carrying Value of Assets and Liabilities | |||||||||||||||
Maximum Exposure To Loss (1) | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | ||||||||||||
September 30, 2014 | |||||||||||||||
Global structured finance: | |||||||||||||||
Collateralized debt obligations | $ | 1,317,071 | $ | 1,416 | $ | 4,677 | $ | 4,925 | |||||||
Mortgage-backed—residential | 16,958,514 | 549,303 | 4,029,415 | — | |||||||||||
Other consumer asset-backed | 5,191,120 | 66,556 | 907,591 | — | |||||||||||
Other commercial asset-backed | 5,069,719 | 376,164 | 402,744 | 36,275 | |||||||||||
Other | 4,195,483 | 99,350 | 579,036 | 2,736 | |||||||||||
Total global structured finance | 32,731,907 | 1,092,789 | 5,923,463 | 43,936 | |||||||||||
Global public finance | 32,471,073 | 465,923 | 545,760 | 26,625 | |||||||||||
Total | $ | 65,202,980 | $ | 1,558,712 | $ | 6,469,223 | $ | 70,561 |
Carrying Value of Assets and Liabilities | |||||||||||||||
Maximum Exposure To Loss (1) | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | ||||||||||||
December 31, 2013 | |||||||||||||||
Global structured finance: | |||||||||||||||
Collateralized debt obligations | $ | 2,092,072 | $ | 3,867 | $ | 7,119 | $ | 10,092 | |||||||
Mortgage-backed—residential | 19,231,335 | 581,498 | 3,890,937 | — | |||||||||||
Other consumer asset-backed | 5,425,583 | 68,511 | 992,177 | — | |||||||||||
Other commercial asset-backed | 7,237,953 | 429,559 | 559,600 | 39,916 | |||||||||||
Other | 4,347,287 | 113,468 | 608,213 | 4,312 | |||||||||||
Total global structured finance | 38,334,230 | 1,196,903 | 6,058,046 | 54,320 | |||||||||||
Global public finance | 35,732,858 | 531,519 | 604,339 | 27,112 | |||||||||||
Total | $ | 74,067,088 | $ | 1,728,422 | $ | 6,662,385 | $ | 81,432 |
(1) | Maximum exposure to loss represents the gross maximum future payments of principal and interest on insured obligations and credit derivative contracts. Ambac’s maximum exposure to loss does not include accrued and unpaid interest on Deferred Amounts nor the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests. |
(2) | Insurance assets represent the amount recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. |
(3) | Insurance liabilities represent the amount recorded in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. |
(4) | Derivative liabilities represent the fair value recognized on credit derivative contracts on Ambac’s Consolidated Balance Sheets. |
Unrealized Gains (Losses) on Available- for-Sale Securities (1) | Amortization of Postretirement Benefit (1) | Gain (Loss) on Foreign Currency Translation (1) | Total | ||||||||||||||||||||||||||||
Period from July 1 | Period from July 1 | Period from July 1 | Period from July 1 | Period from July 1 | Period from July 1 | Period from July 1 | Period from July 1 | ||||||||||||||||||||||||
through | through | through | through | through | through | through | through | ||||||||||||||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | ||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||||
Beginning Balance | $ | 231,975 | $ | (90,983 | ) | $ | 10,439 | $ | — | $ | 63,914 | $ | (12,524 | ) | $ | 306,328 | $ | (103,507 | ) | ||||||||||||
Other comprehensive income (loss) before reclassifications | (12,222 | ) | 4,316 | — | — | (38,034 | ) | 39,384 | (50,256 | ) | 43,700 | ||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (5,003 | ) | 49,561 | (204 | ) | — | — | — | (5,207 | ) | 49,561 | ||||||||||||||||||||
Net current period other comprehensive income (loss) | (17,225 | ) | 53,877 | (204 | ) | — | (38,034 | ) | 39,384 | (55,463 | ) | 93,261 | |||||||||||||||||||
Balance at September 30 | $ | 214,750 | $ | (37,106 | ) | $ | 10,235 | $ | — | $ | 25,880 | $ | 26,860 | $ | 250,865 | $ | (10,246 | ) |
Unrealized Gains (Losses) on Available- for-Sale Securities (1) | Amortization of Postretirement Benefit (1) | Gain (Loss) on Foreign Currency Translation (1) | Total | ||||||||||||||||||||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | Period from May 1 | Period from January 1 | Period from May 1 | Period from January 1 | Period from May 1 | ||||||||||||||||||||||||
through | through | through | through | through | through | through | through | ||||||||||||||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | ||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||||
Beginning Balance | $ | (41,910 | ) | $ | — | $ | 10,847 | $ | — | $ | 42,724 | $ | — | $ | 11,661 | $ | — | ||||||||||||||
Other comprehensive income (loss) before reclassifications | 261,879 | (70,195 | ) | — | — | (16,844 | ) | 26,860 | 245,035 | (43,335 | ) | ||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (5,219 | ) | 33,089 | (612 | ) | — | — | — | (5,831 | ) | 33,089 | ||||||||||||||||||||
Net current period other comprehensive income (loss) | 256,660 | (37,106 | ) | (612 | ) | — | (16,844 | ) | 26,860 | 239,204 | (10,246 | ) | |||||||||||||||||||
Balance at September 30 | $ | 214,750 | $ | (37,106 | ) | $ | 10,235 | $ | — | $ | 25,880 | $ | 26,860 | $ | 250,865 | $ | (10,246 | ) |
Unrealized Gains (Losses) on Available-for-Sale Securities (1) | Changes to Postretirement Benefit (1) | Gain (Loss) on Foreign Currency Translation (1) | Total | ||||||||||||
Period from January 1 | Period from January 1 | Period from January 1 | Period from January 1 | ||||||||||||
through | through | through | through | ||||||||||||
April 30, 2013 | April 30, 2013 | April 30, 2013 | April 30, 2013 | ||||||||||||
Predecessor Ambac | |||||||||||||||
Beginning Balance | $ | 651,272 | $ | (5,860 | ) | $ | (20,027 | ) | $ | 625,385 | |||||
Other comprehensive income (loss) before reclassifications | 188,696 | — | (657 | ) | 188,039 | ||||||||||
Amounts reclassified from accumulated other comprehensive income | (13,349 | ) | 185 | — | (13,164 | ) | |||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | (826,619 | ) | 5,675 | 20,684 | (800,260 | ) | |||||||||
Net current period other comprehensive income (loss) | (651,272 | ) | 5,860 | 20,027 | (625,385 | ) | |||||||||
Balance at April 30, 2013 | $ | — | $ | — | $ | — | $ | — |
Amount Reclassified from Accumulated Other Comprehensive Income (1) | |||||||||||
Period from July 1 | Period from July 1 | Affected Line Item in the | |||||||||
Details about Accumulated Other | through | through | Consolidated Statement of | ||||||||
Comprehensive Income Components | September 30, 2014 | September 30, 2013 | Total Comprehensive Income | ||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | |||||||||||
$ | (5,003 | ) | $ | 49,561 | Net realized investment gains | ||||||
— | — | Tax (expense) benefit | |||||||||
$ | (5,003 | ) | $ | 49,561 | Net of tax and noncontrolling interest | ||||||
Amortization of Postretirement Benefit | |||||||||||
Prior service cost | $ | (166 | ) | $ | — | Underwriting and operating expenses (2) | |||||
Actuarial gains (losses) | (38 | ) | — | Underwriting and operating expenses (2) | |||||||
(204 | ) | — | Total before tax | ||||||||
— | — | Tax (expense) benefit | |||||||||
$ | (204 | ) | $ | — | Net of tax and noncontrolling interest | ||||||
Total reclassifications for the period | $ | (5,207 | ) | $ | 49,561 | Net of tax and noncontrolling interest |
Amount Reclassified from Accumulated Other Comprehensive Income (1) | |||||||||||||||
Successor Ambac – | Predecessor Ambac – | ||||||||||||||
Details about Accumulated Other | Period from January 1 | Period from May 1 | Period from January 1 | Affected Line Item in the | |||||||||||
Comprehensive Income | through | through | through | Consolidated Statement of | |||||||||||
Components | September 30, 2014 | September 30, 2013 | April 30, 2013 | Total Comprehensive Income | |||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | |||||||||||||||
$ | (5,219 | ) | $ | 33,089 | $ | (13,349 | ) | Net realized investment gains | |||||||
— | — | — | Tax (expense) benefit | ||||||||||||
$ | (5,219 | ) | $ | 33,089 | $ | (13,349 | ) | Net of tax and noncontrolling interest | |||||||
Amortization of Postretirement Benefit | |||||||||||||||
Prior service cost | $ | (498 | ) | $ | — | $ | 1,616 | Underwriting and operating expenses (2) | |||||||
Actuarial gains (losses) | (114 | ) | — | (727 | ) | Underwriting and operating expenses (2) | |||||||||
(612 | ) | — | 889 | Total before tax | |||||||||||
— | — | (704 | ) | Tax (expense) benefit | |||||||||||
$ | (612 | ) | $ | — | $ | 185 | Net of tax and noncontrolling interest | ||||||||
Total reclassifications for the period | $ | (5,831 | ) | $ | 33,089 | $ | (13,164 | ) | Net of tax and noncontrolling interest |
Period from July 1 | Period from July 1 | ||||
through | through | ||||
September 30, 2014 | September 30, 2013 | ||||
Weighted average number of common shares used for basic earnings per share | 45,115,882 | 45,002,463 | |||
Effect of potential dilutive shares: | |||||
Warrants | 1,469,203 | 1,352,412 | |||
Stock options | 8,220 | — | |||
Restricted stock units | 31,384 | — | |||
Performance stock units | — | — | |||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 46,624,689 | 46,354,875 | |||
Anti-dilutive shares excluded from the above reconciliation: | |||||
Warrants | — | — | |||
Stock options | — | — | |||
Restricted stock units | — | — |
Successor Ambac | Predecessor Ambac | ||||||||
Period from January 1 | Period from May 1 | Period from January 1 | |||||||
through | through | through | |||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||
Weighted average number of common shares used for basic earnings per share | 45,083,831 | 45,001,741 | 302,469,544 | ||||||
Effect of potential dilutive shares: | |||||||||
Warrants | 1,892,211 | 1,443,874 | — | ||||||
Stock options | 10,569 | — | — | ||||||
Restricted stock units | 40,473 | — | 109,701 | ||||||
Performance stock units | — | — | — | ||||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 47,027,084 | 46,445,615 | 302,579,245 | ||||||
Anti-dilutive shares excluded from the above reconciliation: | |||||||||
Warrants | — | — | — | ||||||
Stock options | — | — | 475,550 | ||||||
Restricted stock units | — | — | — |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | ||||||||||
Beginning premium receivable | $ | 1,453,021 | $ | 1,531,631 | $ | 1,620,621 | ||||||
Premium receipts | (100,646 | ) | (49,940 | ) | (48,296 | ) | ||||||
Adjustments for changes in expected and contractual cash flows | (93,795 | ) | (70,900 | ) | (28,237 | ) | ||||||
Accretion of premium receivable discount | 29,644 | 17,232 | 14,740 | |||||||||
Uncollectable premiums | (801 | ) | (14,800 | ) | (634 | ) | ||||||
Other adjustments (including foreign exchange) | (20,791 | ) | 22,787 | (26,563 | ) | |||||||
Ending premium receivable | $ | 1,266,632 | $ | 1,436,010 | $ | 1,531,631 |
Period from July 1 through | Period from July 1 through | |||||||||||||||
September 30, 2014 | September 30, 2013 | |||||||||||||||
Written | Earned | Written | Earned | |||||||||||||
Direct | $ | (13,700 | ) | $ | 68,685 | $ | (34,380 | ) | $ | 73,997 | ||||||
Assumed | — | 23 | — | 24 | ||||||||||||
Ceded | (2,805 | ) | 3,877 | (4,017 | ) | 3,072 | ||||||||||
Net premiums | $ | (10,895 | ) | $ | 64,831 | $ | (30,363 | ) | $ | 70,949 |
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||
Period from January 1 through | Period from May 1 through | Period from January 1 through | ||||||||||||||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | ||||||||||||||||||||||
Written | Earned | Written | Earned | Written | Earned | |||||||||||||||||||
Direct | $ | (64,952 | ) | $ | 222,894 | $ | (68,461 | ) | $ | 136,029 | $ | (14,125 | ) | $ | 138,468 | |||||||||
Assumed | — | 114 | — | 40 | — | 32 | ||||||||||||||||||
Ceded | (7,316 | ) | 10,617 | (7,055 | ) | 7,081 | (1,098 | ) | 8,500 | |||||||||||||||
Net premiums | $ | (57,636 | ) | $ | 212,391 | $ | (61,406 | ) | $ | 128,988 | $ | (13,027 | ) | $ | 130,000 |
Future premiums to be collected (1) | Future premiums to be earned, net of reinsurance (1) | ||||||
Three months ended: | |||||||
December 31, 2014 | $ | 30,343 | $ | 44,483 | |||
Twelve months ended: | |||||||
December 31, 2015 | 119,080 | 161,776 | |||||
December 31, 2016 | 112,384 | 145,435 | |||||
December 31, 2017 | 105,925 | 133,804 | |||||
December 31, 2018 | 100,696 | 124,570 | |||||
Five years ended: | |||||||
December 31, 2023 | 444,832 | 514,973 | |||||
December 31, 2028 | 352,220 | 360,470 | |||||
December 31, 2033 | 224,150 | 209,229 | |||||
December 31, 2038 | 85,447 | 88,255 | |||||
December 31, 2043 | 28,756 | 27,365 | |||||
December 31, 2048 | 11,920 | 12,028 | |||||
December 31, 2053 | 2,253 | 3,324 | |||||
December 31, 2058 | 31 | 84 | |||||
Total | $ | 1,618,037 | $ | 1,825,796 |
(1) | Future premiums to be collected are undiscounted and relate to the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premium liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable as described above, which results in a higher premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected in the future. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which results in higher unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing. |
September 30, 2014 | |||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | ||||||||||||||||||||||
Balance Sheet Line Item | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves | |||||||||||||||||
Loss and loss expense reserves | $ | 3,319,248 | $ | 289,865 | $ | 4,324,634 | $ | (1,488,476 | ) | $ | (441,797 | ) | $ | 6,003,474 | |||||||||
Subrogation recoverable | 695,918 | 69,955 | 138,738 | (1,393,848 | ) | — | (489,237 | ) | |||||||||||||||
Totals | $ | 4,015,166 | $ | 359,820 | $ | 4,463,372 | $ | (2,882,324 | ) | $ | (441,797 | ) | $ | 5,514,237 |
December 31, 2013 | |||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | ||||||||||||||||||||||
Balance Sheet Line Item | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves | |||||||||||||||||
Loss and loss expense reserves | $ | 3,374,224 | $ | — | $ | 4,895,277 | $ | (1,797,805 | ) | $ | (502,984 | ) | $ | 5,968,712 | |||||||||
Subrogation recoverable | 530,091 | — | 135,610 | (1,164,179 | ) | — | (498,478 | ) | |||||||||||||||
Totals | $ | 3,904,315 | $ | — | $ | 5,030,887 | $ | (2,961,984 | ) | $ | (502,984 | ) | $ | 5,470,234 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | ||||||||||
Beginning gross loss and loss expense reserves | $ | 5,470,234 | $ | 5,572,672 | $ | 6,122,140 | ||||||
Less reinsurance on loss and loss expense reserves | 122,357 | 138,155 | 147,409 | |||||||||
Beginning balance of net loss and loss expense reserves | 5,347,877 | 5,434,517 | 5,974,731 | |||||||||
Changes in the loss and loss expense reserves due to: | ||||||||||||
Current year: | ||||||||||||
Establishment of new loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | 236 | 47,838 | 2,748 | |||||||||
Claim and loss expense payments, net of subrogation and reinsurance | (4 | ) | (163 | ) | (58 | ) | ||||||
Establishment of RMBS subrogation recoveries, net of reinsurance | — | (315 | ) | (159 | ) | |||||||
Total current year | 232 | 47,360 | 2,531 | |||||||||
Prior years: | ||||||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | (934 | ) | (322,165 | ) | (52,642 | ) | ||||||
Claim and loss expense recoveries (payments), net of subrogation and reinsurance | 67,736 | (2,376 | ) | 20,902 | ||||||||
Change in previously established RMBS subrogation recoveries, net of reinsurance | (6,315 | ) | 119,294 | (12,596 | ) | |||||||
Total prior years | 60,487 | (205,247 | ) | (44,336 | ) | |||||||
Net change in loss and loss expense reserves | 60,719 | (157,887 | ) | (41,805 | ) | |||||||
Net consolidation of certain VIEs | — | — | (498,409 | ) | ||||||||
Ending net loss and loss expense reserves | 5,408,596 | 5,276,630 | 5,434,517 | |||||||||
Add reinsurance on loss and loss expense reserves | 105,641 | 123,425 | 138,155 | |||||||||
Ending gross loss and loss expense reserves | $ | 5,514,237 | $ | 5,400,055 | $ | 5,572,672 |
Surveillance Categories (at September 30, 2014) | |||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | |||||||||||||||||||||
Number of policies | 36 | 26 | 41 | 86 | 164 | 1 | 354 | ||||||||||||||||||||
Remaining weighted-average contract period (in years) | 8 | 12 | 15 | 20 | 12 | 6 | 15 | ||||||||||||||||||||
Gross insured contractual payments outstanding: | |||||||||||||||||||||||||||
Principal | $ | 898,817 | $ | 478,130 | $ | 3,101,558 | $ | 5,516,840 | $ | 10,463,229 | $ | 47 | $ | 20,458,621 | |||||||||||||
Interest | 344,788 | 208,929 | 1,974,807 | 3,051,291 | 2,255,635 | 19 | 7,835,469 | ||||||||||||||||||||
Total | $ | 1,243,605 | $ | 687,059 | $ | 5,076,365 | $ | 8,568,131 | $ | 12,718,864 | $ | 66 | $ | 28,294,090 | |||||||||||||
Gross undiscounted claim liability (1) | $ | 16,134 | $ | 11,620 | $ | 176,815 | $ | 2,474,118 | $ | 7,832,910 | $ | 60 | $ | 10,511,657 | |||||||||||||
Discount, gross claim liability | (1,124 | ) | (1,043 | ) | (18,676 | ) | (869,612 | ) | (894,405 | ) | (2 | ) | (1,784,862 | ) | |||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 15,010 | $ | 10,577 | $ | 158,139 | $ | 1,604,506 | $ | 6,938,505 | $ | 58 | $ | 8,726,795 | |||||||||||||
Less: | |||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (6 | ) | (2,231,234 | ) | — | (2,231,240 | ) | |||||||||||||||||
Discount, RMBS subrogation | — | — | — | — | 16,810 | — | 16,810 | ||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (6 | ) | (2,214,424 | ) | — | (2,214,430 | ) | |||||||||||||||||
Less: | |||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (18,030 | ) | (112,998 | ) | (622,128 | ) | — | (753,156 | ) | ||||||||||||||||
Discount, other subrogation | — | — | 7,035 | 29,133 | 49,094 | — | 85,262 | ||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,995 | ) | (83,865 | ) | (573,034 | ) | — | (667,894 | ) | ||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 15,010 | $ | 10,577 | $ | 147,144 | $ | 1,520,635 | $ | 4,151,047 | $ | 58 | $ | 5,844,471 | |||||||||||||
Less: Unearned premium revenue | (10,604 | ) | (3,441 | ) | (76,255 | ) | (280,123 | ) | (71,374 | ) | — | (441,797 | ) | ||||||||||||||
Plus: Loss expense reserves | 109 | 1,754 | 2,420 | 9,152 | 98,128 | — | 111,563 | ||||||||||||||||||||
Gross loss and loss expense reserves | $ | 4,515 | $ | 8,890 | $ | 73,309 | $ | 1,249,664 | $ | 4,177,801 | $ | 58 | $ | 5,514,237 | |||||||||||||
Reinsurance recoverable reported on Balance Sheet (4) | $ | 64 | $ | 896 | $ | 1,393 | $ | 112,683 | $ | (9,525 | ) | $ | — | $ | 105,511 |
(1) | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. |
(2) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty breaches. |
(3) | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. |
(4) | Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $105,641 related to future loss and loss expenses and $(130) related to previously presented loss and loss expenses. |
Surveillance Categories (at December 31, 2013) | |||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | |||||||||||||||||||||
Number of policies | 18 | 23 | 52 | 76 | 169 | 1 | 339 | ||||||||||||||||||||
Remaining weighted-average contract period (in years) | 13 | 19 | 17 | 19 | 11 | 6 | 14 | ||||||||||||||||||||
Gross insured contractual payments outstanding: | |||||||||||||||||||||||||||
Principal | $ | 834,708 | $ | 1,125,284 | $ | 3,464,420 | $ | 5,597,387 | $ | 11,184,943 | $ | 47 | $ | 22,206,789 | |||||||||||||
Interest | 506,903 | 871,751 | 2,130,271 | 2,331,222 | 2,556,968 | 18 | 8,397,133 | ||||||||||||||||||||
Total | $ | 1,341,611 | $ | 1,997,035 | $ | 5,594,691 | $ | 7,928,609 | $ | 13,741,911 | $ | 65 | $ | 30,603,922 | |||||||||||||
Gross undiscounted claim liability (1) | $ | 7,447 | $ | 54,398 | $ | 221,321 | $ | 3,029,891 | $ | 7,963,137 | $ | 65 | $ | 11,276,259 | |||||||||||||
Discount, gross claim liability | (1,225 | ) | (6,726 | ) | (32,630 | ) | (1,299,032 | ) | (1,112,829 | ) | (6 | ) | (2,452,448 | ) | |||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 6,222 | $ | 47,672 | $ | 188,691 | $ | 1,730,859 | $ | 6,850,308 | $ | 59 | $ | 8,823,811 | |||||||||||||
Less: | |||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (4,516 | ) | (2,211,333 | ) | — | (2,215,849 | ) | |||||||||||||||||
Discount, RMBS subrogation | — | — | — | 15 | 9,236 | — | 9,251 | ||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (4,501 | ) | (2,202,097 | ) | — | (2,206,598 | ) | |||||||||||||||||
Less: | |||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (20,367 | ) | (116,145 | ) | (710,187 | ) | — | (846,699 | ) | ||||||||||||||||
Discount, other subrogation | — | — | 9,522 | 36,125 | 45,666 | — | 91,313 | ||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,845 | ) | (80,020 | ) | (664,521 | ) | — | (755,386 | ) | ||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 6,222 | $ | 47,672 | $ | 177,846 | $ | 1,646,338 | $ | 3,983,690 | $ | 59 | $ | 5,861,827 | |||||||||||||
Less: Unearned premium revenue | (4,060 | ) | (22,901 | ) | (95,550 | ) | (280,245 | ) | (100,228 | ) | — | (502,984 | ) | ||||||||||||||
Plus: Loss expense reserves | — | 11 | 2,257 | 1,658 | 107,465 | — | 111,391 | ||||||||||||||||||||
Gross loss and loss expense reserves | $ | 2,162 | $ | 24,782 | $ | 84,553 | $ | 1,367,751 | $ | 3,990,927 | $ | 59 | $ | 5,470,234 | |||||||||||||
Reinsurance recoverable reported on Balance Sheet | $ | 146 | $ | 2,271 | $ | 2,273 | $ | 119,795 | $ | (3,236 | ) | $ | — | $ | 121,249 |
(1) | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. |
(2) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty breaches. |
(3) | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. |
(4) | Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $122,357 related to future loss and loss expenses and $(1,108) related to previously presented loss and loss expenses. |
September 30, 2014 | ||||||||||||
Approach | Gross loss reserves before subrogation recoveries (1) | Subrogation recoveries (2)(3) | Gross loss reserves after subrogation recoveries | |||||||||
Random samples (4) | $ | 2,670,550 | $ | (2,214,430 | ) | $ | 456,120 | |||||
Totals | $ | 2,670,550 | (2,214,430 | ) | $ | 456,120 |
December 31, 2013 | |||||||||||
Approach | Gross loss reserves before subrogation recoveries (1) | Subrogation recoveries (2) (3) | Gross loss reserves after subrogation recoveries | ||||||||
Adverse samples | $ | 2,084,911 | (1,252,773 | ) | $ | 832,138 | |||||
Random samples (4) | 1,078,861 | (953,825 | ) | 125,036 | |||||||
Totals | $ | 3,163,772 | (2,206,598 | ) | $ | 957,174 |
(1) | Includes unpaid RMBS claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account. |
(2) | The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid and unpaid losses plus the present value of expected cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of RMBS subrogation recoveries may exceed the sum of the unpaid claims and the present value of expected cash flows for a given policy. The net cash inflow for these policies is recorded as a “Subrogation recoverable” asset. For those transactions where the subrogation recovery is less than the sum of unpaid claims and the present value of expected cash flows, the net cash outflow for these policies is recorded as a “Loss and loss expense reserves” liability. |
(3) | The sponsor’s repurchase obligation may differ depending on the terms of the particular transaction and the status of the specific loan, such as whether it is performing or has been liquidated or charged off. The estimated subrogation recovery for these transactions is based primarily on loan level data provided through trustee reports received in the normal course of our surveillance activities or provided by the sponsor. While this data may not include all the components of the sponsor’s contractual repurchase obligation we believe it is the best information available to estimate the subrogation recovery. |
(4) | From time to time R&W subrogation may include estimates of potential sponsor settlements that are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample section of this table. |
Random sample | Adverse sample | Total | |||||||||
Successor Ambac: | |||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2014 | $ | 953,825 | $ | 1,252,773 | $ | 2,206,598 | |||||
Changes recognized in 2014: | |||||||||||
Additional transactions reviewed | 24,565 | — | 24,565 | ||||||||
Changes in estimation approach (1) | 1,272,532 | (1,218,681 | ) | 53,851 | |||||||
Impact of Sponsor Actions (2) | (90,000 | ) | — | (90,000 | ) | ||||||
All other changes (3) | 53,508 | (34,092 | ) | 19,416 | |||||||
Discounted RMBS subrogation (gross of reinsurance) at September 30, 2014 | 2,214,430 | — | 2,214,430 |
Random sample | Adverse sample | Total | |||||||||
Successor Ambac: | |||||||||||
Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 | |||||
Changes recognized through September 30, 2013: | |||||||||||
Additional transactions reviewed | 2,426 | — | 2,426 | ||||||||
Changes in estimation approach (1) | — | — | — | ||||||||
Impact of Sponsor Actions (2) | — | — | — | ||||||||
All other changes (3) | (48,910 | ) | (74,578 | ) | (123,488 | ) | |||||
Discounted RMBS subrogation (gross of reinsurance) at September 30, 2013 | $ | 957,768 | $ | 1,404,088 | $ | 2,361,856 |
Random sample | Adverse sample | Total | |||||||||
Predecessor Ambac | |||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2013 | $ | 1,080,408 | $ | 1,442,817 | $ | 2,523,225 | |||||
Changes recognized through April 30, 2013: | |||||||||||
Additional transactions reviewed | — | — | — | ||||||||
Changes in estimation approach (1) | — | — | — | ||||||||
Impact of sponsor actions (2) | (54,195 | ) | — | (54,195 | ) | ||||||
All other changes (3) | (21,961 | ) | 35,849 | 13,888 | |||||||
Discounted RMBS subrogation (gross of reinsurance) at April 30, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 |
(1) | Represents estimated subrogation for those transactions previously evaluated using the Adverse Sample approach, which are evaluated using a Random Sample approach beginning June 30, 2014. The amounts shown in the Random and Adverse Sample columns are different as a result of the differences in estimation approaches. |
(2) | Sponsor actions include loan repurchases, direct payments to Ambac, and other contributions from sponsors. |
(3) | All other changes which may impact RMBS subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor, and/or the projected timing of recoveries. All other changes may also include estimates of potential sponsor settlements that are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table. |
2014 | $ | 33,238 | |
2015 | 122,516 | ||
2016 | 110,532 | ||
2017 | 100,993 | ||
2018 | 93,711 | ||
Thereafter | 1,014,022 |
Level 1 | Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury securities, exchange traded futures contracts, variable rate demand obligations, money market funds and mutual funds. | |
Level 2 | Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Assets and liabilities classified as Level 2 generally include direct investments in fixed income securities representing municipal, asset-backed and corporate obligations, most financial services derivatives, and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. Also included are equity interests in pooled investment funds measured at fair value where the investment can be redeemed in the near term at a value based on the net asset value. | |
Level 3 | Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the use of observable market data when available. Assets and liabilities classified as Level 3 include credit derivative contracts written as part of the financial guarantee business, certain financial services interest rate swap contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include fixed income securities, loan receivables, and certain long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. |
Successor Ambac | |||||||||||||||||||
Carrying Amount | Total Fair Value | Fair Value Measurements Categorized as: | |||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||
September 30, 2014 | |||||||||||||||||||
Financial assets: | |||||||||||||||||||
Fixed income securities: | |||||||||||||||||||
Municipal obligations | $ | 939,442 | $ | 939,442 | $ | — | $ | 939,442 | $ | — | |||||||||
Corporate obligations | 1,805,683 | 1,805,683 | — | 1,801,938 | 3,745 | ||||||||||||||
Foreign obligations | 125,113 | 125,113 | — | 125,113 | — | ||||||||||||||
U.S. government obligations | 78,048 | 78,048 | 78,048 | — | — | ||||||||||||||
U.S. agency obligations | 29,868 | 29,868 | — | 29,868 | — | ||||||||||||||
Residential mortgage-backed securities | 1,824,492 | 1,824,492 | — | 1,824,492 | — | ||||||||||||||
Collateralized debt obligations | 46,040 | 46,040 | — | 46,040 | — | ||||||||||||||
Other asset-backed securities | 1,307,542 | 1,307,542 | — | 1,248,627 | 58,915 | ||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||
U.S. government obligations | 64,031 | 64,031 | 64,031 | — | — | ||||||||||||||
Short term investments | 550,900 | 550,900 | 549,124 | 1,776 | — | ||||||||||||||
Other investments | 290,870 | 282,845 | — | 270,791 | 12,054 | ||||||||||||||
Cash and cash equivalents | 43,332 | 43,332 | 43,332 | — | — | ||||||||||||||
Loans | 6,057 | 6,129 | — | — | 6,129 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Credit derivatives | 1,052 | 1,052 | — | — | 1,052 | ||||||||||||||
Interest rate swaps—asset position | 89,159 | 89,159 | — | 89,159 | — | ||||||||||||||
Interest rate swaps—liability position | — | — | — | — | — | ||||||||||||||
Futures contracts | 1,109 | 1,109 | 1,109 | — | — | ||||||||||||||
Other assets | 12,401 | 12,401 | — | — | 12,401 | ||||||||||||||
Variable interest entity assets: | |||||||||||||||||||
Fixed income securities: | |||||||||||||||||||
Corporate obligations | 2,651,683 | 2,651,683 | — | — | 2,651,683 | ||||||||||||||
Restricted cash | 7,337 | 7,337 | 7,337 | — | — | ||||||||||||||
Loans | 12,503,484 | 12,503,484 | — | — | 12,503,484 | ||||||||||||||
Total financial assets | $ | 22,377,643 | $ | 22,369,690 | $ | 742,981 | $ | 6,377,246 | $ | 15,249,463 | |||||||||
Financial liabilities: | |||||||||||||||||||
Obligations under investment agreements | $ | 160,515 | $ | 163,960 | $ | — | $ | — | $ | 163,960 | |||||||||
Long term debt, including accrued interest | 1,595,358 | 1,741,594 | — | — | 1,741,594 | ||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Credit derivatives | 83,882 | 83,882 | — | — | 83,882 | ||||||||||||||
Interest rate swaps—asset position | (50,107 | ) | (50,107 | ) | — | (50,107 | ) | — | |||||||||||
Interest rate swaps—liability position | 314,515 | 314,515 | — | 181,443 | 133,072 | ||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||
Other contracts | 137 | 137 | — | 137 | — | ||||||||||||||
Liabilities for net financial guarantees written (1) | 4,580,937 | 6,661,100 | — | — | 6,661,100 | ||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||
Long-term debt | 13,159,174 | 13,159,174 | — | 11,870,471 | 1,288,703 | ||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate swaps—liability position | 1,885,244 | 1,885,244 | — | 1,885,244 | — | ||||||||||||||
Currency swaps—liability position | 70,047 | 70,047 | — | 70,047 | — | ||||||||||||||
Total financial liabilities | $ | 21,799,702 | $ | 24,029,546 | $ | — | $ | 13,957,235 | $ | 10,072,311 |
(1) | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. |
Successor Ambac | |||||||||||||||||||
Carrying Amount | Total Fair Value | Fair Value Measurements Categorized as: | |||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||
December 31, 2013 | |||||||||||||||||||
Financial assets: | |||||||||||||||||||
Fixed income securities: | |||||||||||||||||||
Municipal obligations | $ | 1,377,723 | $ | 1,377,723 | $ | — | $ | 1,377,723 | $ | — | |||||||||
Corporate obligations | 1,489,369 | 1,489,369 | — | 1,485,867 | 3,502 | ||||||||||||||
Foreign obligations | 124,877 | 124,877 | — | 124,877 | — | ||||||||||||||
U.S. government obligations | 126,248 | 126,248 | 126,248 | — | — | ||||||||||||||
U.S. agency obligations | 32,154 | 32,154 | — | 31,946 | 208 | ||||||||||||||
Residential mortgage-backed securities | 1,558,625 | 1,558,625 | — | 1,558,625 | — | ||||||||||||||
Collateralized debt obligations | 183,872 | 183,872 | — | 183,872 | — | ||||||||||||||
Other asset-backed securities | 992,448 | 992,448 | — | 928,375 | 64,073 | ||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||
U.S. government obligations | 126,223 | 126,223 | 126,223 | — | — | ||||||||||||||
Short term investments | 271,119 | 271,119 | 267,612 | 3,507 | — | ||||||||||||||
Other investments | 241,069 | 241,069 | — | 240,969 | 100 | ||||||||||||||
Cash and cash equivalents | 77,370 | 77,370 | 74,425 | 2,945 | — | ||||||||||||||
Loans | 6,179 | 6,238 | — | — | 6,238 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate swaps—asset position | 76,631 | 76,631 | — | 76,631 | — | ||||||||||||||
Interest rate swaps—liability position | (1,257 | ) | (1,257 | ) | — | (1,257 | ) | — | |||||||||||
Futures contracts | 2,337 | 2,337 | 2,337 | — | — | ||||||||||||||
Other assets | 13,384 | 13,384 | — | — | 13,384 | ||||||||||||||
Variable interest entity assets: | |||||||||||||||||||
Fixed income securities: | |||||||||||||||||||
Corporate obligations | 2,475,182 | 2,475,182 | — | — | 2,475,182 | ||||||||||||||
Restricted cash | 17,498 | 17,498 | 17,498 | — | — | ||||||||||||||
Loans | 13,398,895 | 13,398,895 | — | — | 13,398,895 | ||||||||||||||
Total financial assets | $ | 22,589,946 | $ | 22,590,005 | $ | 614,343 | $ | 6,014,080 | $ | 15,961,582 | |||||||||
Financial liabilities: | |||||||||||||||||||
Obligations under investment agreements | $ | 359,070 | $ | 360,506 | $ | — | $ | — | $ | 360,506 | |||||||||
Long term debt, including accrued interest | 1,256,602 | 1,215,029 | — | — | 1,215,029 | ||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Credit derivatives | 94,322 | 94,322 | — | — | 94,322 | ||||||||||||||
Interest rate swaps—asset position | (55,619 | ) | (55,619 | ) | — | (55,619 | ) | — | |||||||||||
Interest rate swaps—liability position | 215,030 | 215,030 | — | 122,418 | 92,612 | ||||||||||||||
Other contracts | 165 | 165 | — | 165 | — | ||||||||||||||
Liabilities for net financial guarantees written (1) | 4,509,539 | 4,876,617 | — | — | 4,876,617 | ||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||
Long-term debt | 14,091,753 | 14,091,753 | — | 12,577,148 | 1,514,605 | ||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate swaps—liability position | 1,680,834 | 1,680,834 | — | 1,680,834 | — | ||||||||||||||
Currency swaps—liability position | 91,472 | 91,472 | — | 91,472 | — | ||||||||||||||
Total financial liabilities | $ | 22,243,168 | $ | 22,570,109 | $ | — | $ | 14,416,418 | $ | 8,153,691 |
(1) | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. |
a. | Coupon rate: 0.35% |
b. | Maturity: 19.39 years |
c. | Yield: 5.23% |
a. | Coupon rate: 0.35% |
b. | Maturity: 20.14 years |
c. | Yield: 6.30% |
a. | Coupon rate: 6.98% |
b. | Maturity: 1.37 years |
c. | Yield: 0.39% |
a. | Coupon rate: 0.63% |
b. | Maturity: 6.69 years |
c. | Yield: 4.72% |
a. | Coupon rate: 0.64% |
b. | Maturity: 7.15 years |
c. | Yield: 5.17% |
Successor Ambac - As of September 30, 2014 | CLOs | Other (1) | |||||
Notional outstanding | $ | 669,251 | $ | 1,230,874 | |||
Weighted average reference obligation price | 98.8 | 88.6 | |||||
Weighted average life (WAL) in years | 1.8 | 4.8 | |||||
Weighted average credit rating | AA | BBB | |||||
Weighted average relative change ratio | 35.7 | % | 43.7 | % | |||
CVA percentage | 5.63 | % | 16.77 | % | |||
Fair value of derivative liabilities | $ | 2,726 | $ | 78,246 |
Successor Ambac - As of December 31, 2013 | CLOs | Other (1) | |||||
Notional outstanding | $ | 1,337,737 | $ | 1,291,371 | |||
Weighted average reference obligation price | 98.0 | 85.7 | |||||
Weighted average life (WAL) in years | 2.1 | 5.4 | |||||
Weighted average credit rating | AA | BBB- | |||||
Weighted average relative change ratio | 35.3 | % | 43.1 | % | |||
CVA percentage | 13.67 | % | 30.70 | % | |||
Fair value of derivative liabilities | $ | 7,993 | $ | 84,780 |
(1) | Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of $58,801, WAL of 1.4 years and liability fair value of $1,858 as of September 30, 2014. Other inputs to the valuation of these transactions at September 30, 2014 include weighted average quotes of 4% of notional, weighted average rating of A and Ambac CVA percentage of 2.41%. As of December 31, 2013, these contracts had a combined notional outstanding of $146,995, WAL of 1.0 years and liability fair value of $1,549. Other inputs to the valuation of these transactions at December 31, 2013 include weighted average quotes of 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 8.7%. |
a. | Coupon rate: 0.33% |
b. | Maturity: 21.48 years |
c. | Yield: 9.42% |
a. | Coupon rate: 0.72% |
b. | Maturity: 17.86 years |
c. | Yield: 8.02% |
a. | Coupon rate: 5.88% |
b. | Maturity: 15.88 years |
c. | Yield: 7.36% |
a. | Coupon rate: 6.11% |
b. | Maturity: 6.83 years |
c. | Yield: 11.95% |
VIE Assets and Liabilities | ||||||||||||||||||||||||||||
Successor Ambac - Period from July 1 through September 30, 2014 | Investments | Other assets | Derivatives | Investments | Loans | Long-term debt | Total | |||||||||||||||||||||
Balance, beginning of period | $ | 66,352 | $ | 12,782 | $ | (218,661 | ) | $ | 2,688,388 | $ | 13,743,231 | $ | (1,375,049 | ) | $ | 14,917,043 | ||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included in earnings | 835 | (381 | ) | 3,885 | 105,116 | 209,028 | (16,961 | ) | 301,522 | |||||||||||||||||||
Included in other comprehensive income | (254 | ) | — | — | (141,821 | ) | (678,944 | ) | 62,314 | (758,705 | ) | |||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | |||||||||||||||||||||
Sales | (3,388 | ) | — | — | — | — | — | (3,388 | ) | |||||||||||||||||||
Settlements | (885 | ) | — | (1,126 | ) | — | (73,042 | ) | 4,102 | (70,951 | ) | |||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | (696,789 | ) | 36,891 | (659,898 | ) | |||||||||||||||||||
Balance, end of period | $ | 62,660 | $ | 12,401 | $ | (215,902 | ) | $ | 2,651,683 | $ | 12,503,484 | $ | (1,288,703 | ) | $ | 13,725,623 | ||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (381 | ) | $ | 3,229 | $ | 105,116 | $ | 215,296 | $ | (16,047 | ) | $ | 307,213 |
VIE Assets and Liabilities | ||||||||||||||||||||||||||||
Successor Ambac - Period from January 1 through September 30, 2014 | Investments | Other assets | Derivatives | Investments | Loans | Long-term debt | Total | |||||||||||||||||||||
Balance, beginning of period | $ | 67,783 | $ | 13,384 | $ | (186,934 | ) | $ | 2,475,182 | $ | 13,398,895 | $ | (1,514,605 | ) | $ | 14,253,705 | ||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included in earnings | 1,676 | (983 | ) | (36,323 | ) | 235,178 | 735,597 | (268,951 | ) | 666,194 | ||||||||||||||||||
Included in other comprehensive income | (595 | ) | — | — | (58,677 | ) | (270,727 | ) | 24,066 | (305,933 | ) | |||||||||||||||||
Purchases | — | — | — | — | 70,000 | — | 70,000 | |||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | |||||||||||||||||||||
Sales | (3,388 | ) | — | — | — | — | — | (3,388 | ) | |||||||||||||||||||
Settlements | (2,608 | ) | — | 7,355 | — | (733,492 | ) | 433,896 | (294,849 | ) | ||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3 | (208 | ) | — | — | — | (696,789 | ) | 36,891 | (660,106 | ) | ||||||||||||||||||
Balance, end of period | $ | 62,660 | $ | 12,401 | $ | (215,902 | ) | $ | 2,651,683 | $ | 12,503,484 | $ | (1,288,703 | ) | $ | 13,725,623 | ||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (983 | ) | $ | (39,830 | ) | $ | 235,178 | $ | 736,732 | $ | (264,899 | ) | $ | 666,198 |
VIE Assets and Liabilities | ||||||||||||||||||||||||||||
Successor Ambac - Period from July 1 through September 30, 2013 | Investments | Other assets | Derivatives | Investments | Loans | Long-term debt | Total | |||||||||||||||||||||
Balance, beginning of period | $ | 68,572 | $ | 13,884 | $ | (340,663 | ) | $ | 2,242,989 | $ | 13,820,878 | $ | (1,573,687 | ) | $ | 14,231,973 | ||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included in earnings | 467 | (213 | ) | 37,126 | 36,694 | 195,305 | 21,816 | 291,195 | ||||||||||||||||||||
Included in other comprehensive income | 5,951 | — | — | 144,231 | 842,715 | (76,533 | ) | 916,364 | ||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | |||||||||||||||||||||
Sales | — | — | — | — | — | — | — | |||||||||||||||||||||
Settlements | (4,192 | ) | — | (2,137 | ) | — | (96,452 | ) | — | (102,781 | ) | |||||||||||||||||
Transfers in Level 3 | 273 | — | — | — | — | 4,253 | 4,526 | |||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Balance, end of period | $ | 71,071 | $ | 13,671 | $ | (305,674 | ) | $ | 2,423,914 | $ | 14,762,446 | $ | (1,624,151 | ) | $ | 15,341,277 | ||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (213 | ) | $ | 32,984 | $ | 36,694 | $ | 195,305 | $ | 21,816 | $ | 286,586 |
VIE Assets and Liabilities | ||||||||||||||||||||||||||||
Successor Ambac – Period from May 1 through September 30, 2013 | Investments | Other assets | Derivatives | Investments | Loans | Long-term debt | Total | |||||||||||||||||||||
Balance, beginning of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | ||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included in earnings | 863 | (390 | ) | 107,253 | (172,304 | ) | (391,336 | ) | 26,163 | (429,751 | ) | |||||||||||||||||
Included in other comprehensive income | 6,013 | — | — | 95,653 | 560,294 | (48,319 | ) | 613,641 | ||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | |||||||||||||||||||||
Sales | — | — | — | — | — | — | — | |||||||||||||||||||||
Settlements | (5,490 | ) | — | 2,433 | — | (158,565 | ) | 4,253 | (157,369 | ) | ||||||||||||||||||
Transfers in Level 3 | 273 | — | — | — | — | (220,922 | ) | (220,649 | ) | |||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 365,046 | 365,046 | |||||||||||||||||||||
Balance, end of period | $ | 71,071 | $ | 13,671 | $ | (305,674 | ) | $ | 2,423,914 | $ | 14,762,446 | $ | (1,624,151 | ) | $ | 15,341,277 | ||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (390 | ) | $ | 65,509 | $ | (172,304 | ) | $ | (391,336 | ) | $ | 26,163 | $ | (472,358 | ) |
VIE Assets and Liabilities | ||||||||||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Investments | Other assets | Derivatives | Investments | Loans | Long-term debt | Total | |||||||||||||||||||||
Balance, beginning of period | $ | 60,402 | $ | 14,557 | $ | (322,337 | ) | $ | 2,261,294 | $ | 15,359,073 | $ | (2,956,501 | ) | $ | 14,416,488 | ||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | (409,300 | ) | (409,300 | ) | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included in earnings | (33 | ) | (496 | ) | (88,546 | ) | 328,768 | 956,402 | (138,914 | ) | 1,057,181 | |||||||||||||||||
Included in other comprehensive income | 12,329 | — | — | (89,497 | ) | (849,833 | ) | 150,987 | (776,014 | ) | ||||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | |||||||||||||||||||||
Sales | — | — | — | — | — | — | — | |||||||||||||||||||||
Settlements | (3,286 | ) | — | (4,477 | ) | — | (713,589 | ) | 4,864 | (716,488 | ) | |||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 1,598,492 | 1,598,492 | |||||||||||||||||||||
Balance, end of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | ||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (496 | ) | $ | (92,002 | ) | $ | 328,768 | $ | 956,402 | $ | (138,914 | ) | $ | 1,053,758 |
Successor Ambac - Period from July 1 through September 30, 2014 | Collateralized Debt Obligations | Other Asset Backed Securities | Corporate Obligations | U.S. Agency Obligations | Total Investments | |||||||||||||||
Balance, beginning of period | $ | — | $ | 62,601 | $ | 3,751 | $ | — | $ | 66,352 | ||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||
Included in earnings | — | 859 | (24 | ) | — | 835 | ||||||||||||||
Included in other comprehensive income | — | (272 | ) | 18 | — | (254 | ) | |||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Issuances | — | — | — | — | — | |||||||||||||||
Sales | — | (3,388 | ) | — | — | (3,388 | ) | |||||||||||||
Settlements | — | (885 | ) | — | — | (885 | ) | |||||||||||||
Transfers in Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | |||||||||||||||
Balance, end of period | $ | — | $ | 58,915 | $ | 3,745 | $ | — | $ | 62,660 | ||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — |
Successor Ambac - Period from January 1 through September 30, 2014 | Collateralized Debt Obligations | Other Asset Backed Securities | Corporate Obligations | U.S. Agency Obligations | Total Investments | |||||||||||||||
Balance, beginning of period | $ | — | $ | 64,073 | $ | 3,502 | $ | 208 | $ | 67,783 | ||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||
Included in earnings | — | 1,748 | (72 | ) | — | 1,676 | ||||||||||||||
Included in other comprehensive income | — | (910 | ) | 315 | — | (595 | ) | |||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Issuances | — | — | — | — | — | |||||||||||||||
Sales | — | (3,388 | ) | — | — | (3,388 | ) | |||||||||||||
Settlements | — | (2,608 | ) | — | — | (2,608 | ) | |||||||||||||
Transfers in Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | — | — | — | (208 | ) | (208 | ) | |||||||||||||
Balance, end of period | $ | — | $ | 58,915 | $ | 3,745 | $ | — | $ | 62,660 | ||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — |
Successor Ambac - Period from July 1 through September 30, 2013 | Collateralized Debt Obligations | Other Asset Backed Securities | Corporate Obligations | U.S. Agency Obligations | Total Investments | |||||||||||||||
Balance, beginning of period | $ | 3,415 | $ | 61,736 | $ | 3,421 | $ | — | $ | 68,572 | ||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||
Included in earnings | 7 | 483 | (23 | ) | — | 467 | ||||||||||||||
Included in other comprehensive income | (7 | ) | 5,923 | 35 | — | 5,951 | ||||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Issuances | — | — | — | — | — | |||||||||||||||
Sales | — | — | — | — | — | |||||||||||||||
Settlements | (3,415 | ) | (777 | ) | — | — | (4,192 | ) | ||||||||||||
Transfers in Level 3 | — | — | — | 273 | 273 | |||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | |||||||||||||||
Balance, end of period | $ | — | $ | 67,365 | $ | 3,433 | $ | 273 | $ | 71,071 | ||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — |
Successor Ambac - Period from May 1 through September 30, 2013 | Collateralized Debt Obligations | Other Asset Backed Securities | Corporate Obligations | U.S. Agency Obligations | Total Investments | |||||||||||||||
Balance, beginning of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | ||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||
Included in earnings | 25 | 876 | (38 | ) | — | 863 | ||||||||||||||
Included in other comprehensive income | (19 | ) | 6,242 | (210 | ) | — | 6,013 | |||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Issuances | — | — | — | — | — | |||||||||||||||
Sales | — | — | — | — | — | |||||||||||||||
Settlements | (3,955 | ) | (1,535 | ) | — | — | (5,490 | ) | ||||||||||||
Transfers in Level 3 | — | — | — | 273 | 273 | |||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | |||||||||||||||
Balance, end of period | $ | — | $ | 67,365 | $ | 3,433 | $ | 273 | $ | 71,071 | ||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — |
Predecessor Ambac – Period from January 1 through April 30, 2013 | Collateralized Debt Obligations | Other Asset Backed Securities | Corporate Obligations | U.S. Agency Obligations | Total Investments | |||||||||||||||
Balance, beginning of period | $ | 6,482 | $ | 50,264 | $ | 3,656 | $ | — | $ | 60,402 | ||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||
Included in earnings | (6 | ) | — | (27 | ) | — | (33 | ) | ||||||||||||
Included in other comprehensive income | 160 | 12,117 | 52 | — | 12,329 | |||||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Issuances | — | — | — | — | — | |||||||||||||||
Sales | — | — | — | — | — | |||||||||||||||
Settlements | (2,687 | ) | (599 | ) | — | — | (3,286 | ) | ||||||||||||
Transfers in Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | |||||||||||||||
Balance, end of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | ||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — |
Successor Ambac - Period from July 1 through September 30, 2014 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance, beginning of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | |||
Total gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | (3,532 | ) | 7,417 | 3,885 | ||||||||
Included in other comprehensive income | — | — | — | |||||||||
Purchases | — | — | — | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | (530 | ) | (596 | ) | (1,126 | ) | ||||||
Transfers in Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance, end of period | $ | (133,072 | ) | $ | (82,830 | ) | $ | (215,902 | ) | |||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (3,532 | ) | $ | 6,761 | $ | 3,229 |
Successor Ambac - Period ended January 1 through September 30, 2014 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance, beginning of period | $ | (92,612 | ) | $ | (94,322 | ) | $ | (186,934 | ) | |||
Total gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | (49,903 | ) | 13,580 | (36,323 | ) | |||||||
Included in other comprehensive income | — | — | — | |||||||||
Purchases | — | — | — | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | 9,443 | (2,088 | ) | 7,355 | ||||||||
Transfers in Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance, end of period | $ | (133,072 | ) | $ | (82,830 | ) | $ | (215,902 | ) | |||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (49,903 | ) | $ | 10,073 | $ | (39,830 | ) |
Successor Ambac - Period from July 1 to September 30, 2013 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance, beginning of period | $ | (108,396 | ) | $ | (232,267 | ) | $ | (340,663 | ) | |||
Total gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | 5,931 | 31,195 | 37,126 | |||||||||
Included in other comprehensive income | — | — | — | |||||||||
Purchases | — | — | — | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | (556 | ) | (1,581 | ) | (2,137 | ) | ||||||
Transfers in Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance, end of period | $ | (103,021 | ) | $ | (202,653 | ) | $ | (305,674 | ) | |||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | 5,931 | $ | 27,053 | $ | 32,984 |
Successor Ambac – Period from May 1 through September 30, 2013 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance, beginning of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | |||
Total gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | 24,838 | 82,415 | 107,253 | |||||||||
Included in other comprehensive income | — | — | — | |||||||||
Purchases | — | — | — | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | 10,088 | (7,655 | ) | 2,433 | ||||||||
Transfers in Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance, end of period | $ | (103,021 | ) | $ | (202,653 | ) | $ | (305,674 | ) | |||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | 24,838 | $ | 40,671 | $ | 65,509 |
Predecessor Ambac – Period from January 1 through April 30, 2013 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance, beginning of period | $ | (108,752 | ) | $ | (213,585 | ) | $ | (322,337 | ) | |||
Total gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | (28,162 | ) | (60,384 | ) | (88,546 | ) | ||||||
Included in other comprehensive income | — | — | — | |||||||||
Purchases | — | — | — | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | (1,033 | ) | (3,444 | ) | (4,477 | ) | ||||||
Transfers in Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | |||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (28,162 | ) | $ | (63,840 | ) | $ | (92,002 | ) |
Net investment income | Realized gains or (losses) and other settlements on credit derivative contracts | Unrealized gains or (losses) on credit derivative contracts | Derivative products revenues (interest rate swaps) | Income (loss) on variable interest entities | Other income or (loss) | |||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Period from July 1 through September 30, 2014 | ||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 835 | $ | 596 | $ | 6,820 | $ | (3,532 | ) | $ | 297,183 | $ | (381 | ) | ||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 6,761 | (3,532 | ) | 304,365 | (381 | ) | ||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Period from January 1 through September 30, 2014 | ||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 1,676 | $ | 2,088 | $ | 11,491 | $ | (49,903 | ) | $ | 701,824 | $ | (983 | ) | ||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 10,074 | (49,903 | ) | 707,011 | (983 | ) | ||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Period from July 1 through September 30, 2013 | ||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 467 | $ | 1,580 | $ | 29,614 | $ | 5,931 | $ | 253,815 | $ | (213 | ) | |||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 27,053 | 5,931 | 253,815 | (213 | ) | |||||||||||||||||
Period from May 1 through September 30, 2013 | ||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 863 | $ | 7,654 | $ | 74,760 | $ | 24,838 | $ | (537,477 | ) | $ | (390 | ) | ||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 40,671 | 24,838 | (537,477 | ) | (390 | ) | ||||||||||||||||
Predecessor Ambac: | ||||||||||||||||||||||||
Period from January 1 through April 30, 2013 | ||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | (33 | ) | $ | 3,444 | $ | (63,828 | ) | $ | (28,162 | ) | $ | 1,146,256 | $ | (496 | ) | ||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (63,840 | ) | (28,162 | ) | 1,146,256 | (496 | ) |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | Non-credit other- than-temporary Impairments (1) | ||||||||||||||||
Successor Ambac - September 30, 2014 | ||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||
Municipal obligations | $ | 930,171 | $ | 18,611 | $ | 9,340 | $ | 939,442 | $ | — | ||||||||||
Corporate obligations | 1,802,775 | 12,457 | 9,549 | 1,805,683 | — | |||||||||||||||
Foreign obligations | 126,304 | 1,359 | 2,550 | 125,113 | — | |||||||||||||||
U.S. government obligations | 78,522 | 478 | 952 | 78,048 | — | |||||||||||||||
U.S. agency obligations | 29,900 | 12 | 44 | 29,868 | — | |||||||||||||||
Residential mortgage-backed securities | 1,664,096 | 169,004 | 8,608 | 1,824,492 | 2,476 | |||||||||||||||
Collateralized debt obligations | 45,876 | 239 | 75 | 46,040 | — | |||||||||||||||
Other asset-backed securities | 1,263,544 | 44,073 | 75 | 1,307,542 | — | |||||||||||||||
5,941,188 | 246,233 | 31,193 | 6,156,228 | 2,476 | ||||||||||||||||
Short-term | 550,898 | 2 | — | 550,900 | — | |||||||||||||||
6,492,086 | 246,235 | 31,193 | 6,707,128 | 2,476 | ||||||||||||||||
Fixed income securities pledged as collateral: | ||||||||||||||||||||
U.S. government obligations | 64,323 | — | 292 | 64,031 | — | |||||||||||||||
Total collateralized investments | 64,323 | — | 292 | 64,031 | — | |||||||||||||||
Total available-for-sale investments | $ | 6,556,409 | $ | 246,235 | $ | 31,485 | $ | 6,771,159 | $ | 2,476 | ||||||||||
Successor Ambac - December 31, 2013 | ||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||
Municipal obligations | $ | 1,405,293 | $ | 857 | $ | 28,427 | $ | 1,377,723 | $ | — | ||||||||||
Corporate obligations | 1,508,377 | 4,886 | 23,894 | 1,489,369 | — | |||||||||||||||
Foreign obligations | 131,709 | 69 | 6,901 | 124,877 | — | |||||||||||||||
U.S. government obligations | 128,415 | 9 | 2,176 | 126,248 | — | |||||||||||||||
U.S. agency obligations | 32,214 | 10 | 70 | 32,154 | — | |||||||||||||||
Residential mortgage-backed securities | 1,516,877 | 59,853 | 18,105 | 1,558,625 | 852 | |||||||||||||||
Collateralized debt obligations | 184,118 | 217 | 463 | 183,872 | — | |||||||||||||||
Other asset-backed securities | 1,020,251 | 8,795 | 36,598 | 992,448 | — | |||||||||||||||
5,927,254 | 74,696 | 116,634 | 5,885,316 | 852 | ||||||||||||||||
Short-term | 271,118 | 1 | — | 271,119 | — | |||||||||||||||
6,198,372 | 74,697 | 116,634 | 6,156,435 | 852 | ||||||||||||||||
Fixed income securities pledged as collateral: | ||||||||||||||||||||
U.S. government obligations | 126,196 | 27 | — | 126,223 | — | |||||||||||||||
Total collateralized investments | 126,196 | 27 | — | 126,223 | — | |||||||||||||||
Total available-for-sale investments | $ | 6,324,568 | $ | 74,724 | $ | 116,634 | $ | 6,282,658 | $ | 852 |
(1) | Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive loss on securities that also had a credit impairment. These losses are included in gross unrealized losses as of September 30, 2014 and December 31, 2013. |
Amortized Cost | Estimated Fair Value | |||||||
Due in one year or less | $ | 775,041 | $ | 775,139 | ||||
Due after one year through five years | 1,183,781 | 1,183,703 | ||||||
Due after five years through ten years | 1,247,527 | 1,251,073 | ||||||
Due after ten years | 376,544 | 383,170 | ||||||
3,582,893 | 3,593,085 | |||||||
Residential mortgage-backed securities | 1,664,096 | 1,824,492 | ||||||
Collateralized debt obligations | 45,876 | 46,040 | ||||||
Other asset-backed securities | 1,263,544 | 1,307,542 | ||||||
Total | $ | 6,556,409 | $ | 6,771,159 |
Less Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||||
Successor Ambac - September 30, 2014 | ||||||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | 67,274 | $ | 1,369 | $ | 155,408 | $ | 7,971 | $ | 222,682 | $ | 9,340 | ||||||||||||
Corporate obligations | 474,889 | 3,419 | 209,911 | 6,130 | 684,800 | 9,549 | ||||||||||||||||||
Foreign government obligations | 32,642 | 1,109 | 38,043 | 1,441 | 70,685 | 2,550 | ||||||||||||||||||
U.S. government obligations | 9,302 | 351 | 14,667 | 601 | 23,969 | 952 | ||||||||||||||||||
U.S. agency obligations | — | — | 4,413 | 44 | 4,413 | 44 | ||||||||||||||||||
Residential mortgage-backed securities | 200,916 | 8,508 | 3,363 | 100 | 204,279 | 8,608 | ||||||||||||||||||
Collateralized debt obligations | 5,442 | 75 | — | — | 5,442 | 75 | ||||||||||||||||||
Other asset-backed securities | 169,755 | 75 | — | — | 169,755 | 75 | ||||||||||||||||||
960,220 | 14,906 | 425,805 | 16,287 | 1,386,025 | 31,193 | |||||||||||||||||||
Short-term | 1,368 | — | — | — | 1,368 | — | ||||||||||||||||||
$ | 961,588 | $ | 14,906 | $ | 425,805 | $ | 16,287 | $ | 1,387,393 | $ | 31,193 | |||||||||||||
Fixed income securities, pledged as collateral: | ||||||||||||||||||||||||
U.S. government obligations | 64,031 | 292 | — | — | 64,031 | 292 | ||||||||||||||||||
Total collateralized investments | 64,031 | 292 | — | — | 64,031 | 292 | ||||||||||||||||||
Total temporarily impaired securities | $ | 1,025,619 | $ | 15,198 | $ | 425,805 | $ | 16,287 | $ | 1,451,424 | $ | 31,485 |
Less Than 12 Months (1) | ||||||||
Fair Value | Gross Unrealized Loss | |||||||
Successor Ambac - December 31, 2013 | ||||||||
Fixed income securities: | ||||||||
Municipal obligations | $ | 437,683 | $ | 28,427 | ||||
Corporate obligations | 877,356 | 23,894 | ||||||
Foreign government obligations | 117,905 | 6,901 | ||||||
U.S. government obligations | 70,044 | 2,176 | ||||||
U.S. agency obligations | 5,834 | 70 | ||||||
Residential mortgage-backed securities | 644,502 | 18,105 | ||||||
Collateralized debt obligations | 137,685 | 463 | ||||||
Other asset-backed securities | 629,957 | 36,598 | ||||||
2,920,966 | 116,634 | |||||||
Short-term | — | — | ||||||
Total temporarily impaired securities | $ | 2,920,966 | $ | 116,634 |
(1) | As a result of the implementation of Fresh Start, amortized cost for available for sale securities were set to equal fair value on April 30, 2013. Accordingly, as of December 31, 2013 Successor Ambac did not have any gross unrealized losses that were in a continuous unrealized loss position for greater than 12 months. |
Period from July 1 | Period from July 1 | ||||||||
through | through | ||||||||
September 30, 2014 | September 30, 2013 | ||||||||
Gross realized gains on securities | $ | 7,658 | $ | 3,906 | |||||
Gross realized losses on securities | (3,908 | ) | (7,239 | ) | |||||
Foreign exchange gains (losses) | 6,295 | (6,977 | ) | ||||||
Net realized gains (losses) | $ | 10,045 | $ | (10,310 | ) | ||||
Net other-than-temporary impairments (1) | $ | (5,011 | ) | $ | (38,037 | ) |
Successor Ambac – | Predecessor Ambac – | ||||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | |||||||||||
through | through | through | |||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||||
Gross realized gains on securities | $ | 37,355 | $ | 20,518 | $ | 47,448 | |||||||
Gross realized losses on securities | (7,779 | ) | (8,831 | ) | (320 | ) | |||||||
Foreign exchange (losses) gains | (175 | ) | (3,525 | ) | 6,177 | ||||||||
Net realized gains | $ | 29,401 | $ | 8,162 | $ | 53,305 | |||||||
Net other-than-temporary impairments (1) | $ | (24,157 | ) | $ | (40,039 | ) | $ | (467 | ) |
(1) | Other-than-temporary impairments exclude impairment amounts recorded in other comprehensive income under ASC Paragraph 320-10-65-1, which comprise non-credit related amounts on securities that are credit impaired but which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis. |
Credit Impairment | ||||
Successor Ambac: | ||||
Balance as of January 1, 2014 | $ | 1,182 | ||
Additions for credit impairments recognized on: | ||||
Securities not previously impaired | 11,337 | |||
Securities previously impaired | — | |||
Reductions for credit impairments previously recognized on: | ||||
Securities that matured or were sold during the period | — | |||
Balance as of September 30, 2014 | $ | 12,519 | ||
Predecessor Ambac: | ||||
Balance as of January 1, 2013 | $ | 183,300 | ||
Additions for credit impairments recognized on: | ||||
Securities not previously impaired | 467 | |||
Securities previously impaired | — | |||
Reductions for credit impairments previously recognized on: | ||||
Securities that matured or were sold during the period | (183,767 | ) | ||
Balance as of April 30, 2013 | $ | — | ||
Successor Ambac: | ||||
Balance as of May 1, 2013 | $ | — | ||
Additions for credit impairments recognized on: | ||||
Securities not previously impaired | 1,032 | |||
Securities previously impaired | — | |||
Reductions for credit impairments previously recognized on: | ||||
Securities that matured or were sold during the period | (3 | ) | ||
Balance as of September 30, 2013 | $ | 1,029 |
(1) | Cash and securities held in Ambac’s investment portfolio—Ambac pledges assets it holds in its investment portfolio to investment agreement and derivative counterparties. Securities pledged to investment agreement counterparties may not then be re-pledged to another entity. Ambac’s counterparties under derivative agreements have the right to pledge or rehypothecate the securities and as such, these pledged securities are separately classified on the Consolidated Balance Sheets as Fixed income securities pledged as collateral, at fair value. |
(2) | Cash and securities pledged to Ambac under derivative agreements—Ambac may re-pledge securities it holds from certain derivative counterparties to other derivative counterparties in accordance with its rights and obligations under those agreements. |
Fair Value of Cash and Underlying Securities | Fair Value of Cash and Securities Pledged to Investment Agreement Counterparties | Fair Value of Cash and Securities Pledged to Derivative Counterparties | ||||||||||
Successor Ambac - September 30, 2014 | ||||||||||||
Sources of Collateral: | ||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 330,681 | $ | 158,040 | $ | 172,641 | ||||||
Cash and securities pledged from derivative counterparties | — | — | — | |||||||||
Successor Ambac - December 31, 2013 | ||||||||||||
Sources of Collateral: | ||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 500,986 | $ | 371,723 | $ | 129,263 | ||||||
Cash and securities pledged from derivative counterparties | 690 | — | — |
Municipal obligations | Corporate obligations | Mortgage and asset- backed securities | Short-term | Total | Weighted Average Underlying Rating (1) | |||||||||||||||||
Successor Ambac - September 30, 2014: | ||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 66,213 | $ | — | $ | 2,206,828 | $ | — | $ | 2,273,041 | CCC | |||||||||||
Assured Guaranty Municipal Corporation | 290,395 | 78,423 | — | — | 368,818 | A+ | ||||||||||||||||
National Public Finance Guarantee Corporation | 234,577 | 34,707 | — | — | 269,284 | A+ | ||||||||||||||||
Assured Guaranty Corporation | — | — | 2,639 | — | 2,639 | D | ||||||||||||||||
MBIA Insurance Corporation | — | — | — | — | — | |||||||||||||||||
Financial Guarantee Insurance Corporation | — | — | — | — | — | |||||||||||||||||
Total | $ | 591,185 | $ | 113,130 | $ | 2,209,467 | $ | — | $ | 2,913,782 | B | |||||||||||
Successor Ambac - December 31, 2013: | ||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 64,596 | $ | — | $ | 1,747,283 | $ | — | $ | 1,811,879 | CCC | |||||||||||
Assured Guaranty Municipal Corporation | 372,392 | 77,163 | — | — | 449,555 | A+ | ||||||||||||||||
National Public Finance Guarantee Corporation | 532,752 | 37,642 | — | — | 570,394 | AA- | ||||||||||||||||
Assured Guaranty Corporation | — | — | 2,917 | — | 2,917 | D | ||||||||||||||||
MBIA Insurance Corporation | — | 17,444 | — | — | 17,444 | BBB- | ||||||||||||||||
Financial Guarantee Insurance Corporation | — | — | 2,869 | — | 2,869 | D | ||||||||||||||||
Total | $ | 969,740 | $ | 132,249 | $ | 1,753,069 | $ | — | $ | 2,855,058 | BB- |
(1) | Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. |
(2) | Includes asset-backed securities with a fair value of $51,395 and $50,953 at September 30, 2014 and December 31, 2013, respectively, insured by Ambac UK. |
Period from July 1 | Period from July 1 | ||||||||
through | through | ||||||||
September 30, 2014 | September 30, 2013 | ||||||||
Fixed income securities | $ | 84,339 | $ | 53,301 | |||||
Short-term investments | 832 | 626 | |||||||
Loans | 123 | 109 | |||||||
Investment expense | (2,413 | ) | (2,260 | ) | |||||
Securities available-for-sale and short-term | 82,881 | 51,776 | |||||||
Other investments | 700 | 350 | |||||||
Total net investment income | $ | 83,581 | $ | 52,126 |
Successor Ambac – | Predecessor Ambac – | ||||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | |||||||||||
through | through | through | |||||||||||
September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||||
Fixed income securities | $ | 233,878 | $ | 83,732 | $ | 118,097 | |||||||
Short-term investments | 2,000 | 788 | 677 | ||||||||||
Loans | 415 | 193 | 146 | ||||||||||
Investment expense | (7,723 | ) | (3,726 | ) | (2,549 | ) | |||||||
Securities available-for-sale and short-term | 228,570 | 80,987 | 116,371 | ||||||||||
Other investments | 5,905 | (2,665 | ) | 369 | |||||||||
Total net investment income | $ | 234,475 | $ | 78,322 | $ | 116,740 |
Gross Amounts of Recognized Assets / Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet | Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet | Net Amount | |||||||||||||||
Successor Ambac—September 30, 2014: | |||||||||||||||||||
Derivative Assets: | |||||||||||||||||||
Credit derivatives | $ | 1,052 | $ | — | $ | 1,052 | $ | — | $ | 1,052 | |||||||||
Interest rate swaps | 139,266 | 50,107 | 89,159 | — | 89,159 | ||||||||||||||
Futures contracts | 1,109 | — | 1,109 | — | 1,109 | ||||||||||||||
Total non-VIE derivative assets | $ | 141,427 | $ | 50,107 | $ | 91,320 | $ | — | $ | 91,320 | |||||||||
Derivative Liabilities: | |||||||||||||||||||
Credit derivatives | $ | 83,882 | $ | — | $ | 83,882 | $ | — | $ | 83,882 | |||||||||
Interest rate swaps | 314,515 | 50,107 | 264,408 | 110,646 | 153,762 | ||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||
Other contracts | 137 | — | 137 | — | 137 | ||||||||||||||
Total non-VIE derivative liabilities | $ | 398,534 | $ | 50,107 | $ | 348,427 | $ | 110,646 | $ | 237,781 | |||||||||
Variable Interest Entities | |||||||||||||||||||
Interest rate swaps | $ | 1,885,244 | $ | — | $ | 1,885,244 | $ | — | $ | 1,885,244 | |||||||||
Currency swaps | 70,047 | — | 70,047 | — | 70,047 | ||||||||||||||
Total VIE derivative liabilities | $ | 1,955,291 | $ | — | $ | 1,955,291 | $ | — | $ | 1,955,291 |
Gross Amounts of Recognized Assets / Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Net Amounts of Assets / Liabilities Presented in the Consolidated Balance Sheet | Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet | Net Amount | |||||||||||||||
Successor Ambac—December 31, 2013: | |||||||||||||||||||
Derivative Assets: | |||||||||||||||||||
Interest rate swaps | $ | 132,250 | $ | 56,876 | $ | 75,374 | $ | — | $ | 75,374 | |||||||||
Futures contracts | 2,337 | — | 2,337 | 690 | 1,647 | ||||||||||||||
Total non-VIE derivative assets | $ | 134,587 | $ | 56,876 | $ | 77,711 | $ | 690 | $ | 77,021 | |||||||||
Derivative Liabilities: | |||||||||||||||||||
Credit derivatives | $ | 94,322 | $ | — | $ | 94,322 | $ | — | $ | 94,322 | |||||||||
Interest rate swaps | 216,287 | 56,876 | 159,411 | 42,555 | 116,856 | ||||||||||||||
Other contracts | 165 | — | 165 | — | 165 | ||||||||||||||
Total non-VIE derivative liabilities | $ | 310,774 | $ | 56,876 | $ | 253,898 | $ | 42,555 | $ | 211,343 | |||||||||
Variable Interest Entities | |||||||||||||||||||
Interest rate swaps | $ | 1,680,834 | $ | — | $ | 1,680,834 | $ | — | $ | 1,680,834 | |||||||||
Currency swaps | 91,472 | — | 91,472 | — | 91,472 | ||||||||||||||
Total VIE derivative liabilities | $ | 1,772,306 | $ | — | $ | 1,772,306 | $ | — | $ | 1,772,306 |
Successor Ambac | |||||||||||
Location of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from July 1 through September 30, 2014 | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from July 1 through September 30, 2013 | |||||||||
Financial Guarantee: | |||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | 7,416 | $ | 31,194 | ||||||
Financial Services derivatives products: | |||||||||||
Interest rate swaps | Derivative products | (15,634 | ) | 13,299 | |||||||
Futures contracts | Derivative products | (47 | ) | (961 | ) | ||||||
Other derivatives | Derivative products | (4 | ) | 34 | |||||||
Total Financial Services derivative products | (15,685 | ) | 12,372 | ||||||||
Variable Interest Entities: | |||||||||||
Currency swaps | Income (loss) on variable interest entities | 17,014 | 6,000 | ||||||||
Interest rate swaps | Income (loss) on variable interest entities | (44,846 | ) | (63,421 | ) | ||||||
Total Variable Interest Entities | (27,832 | ) | (57,421 | ) | |||||||
Total derivative contracts | $ | (36,101 | ) | $ | (13,855 | ) |
Successor Ambac | Predecessor Ambac | |||||||||||||
Location of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from January 1 through September 30, 2014 | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from May 1 through September 30, 2013 | Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from January 1 through April 30, 2013 | |||||||||||
Financial Guarantee: | ||||||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | 13,579 | $ | 82,414 | $ | (60,384 | ) | ||||||
Financial Services derivatives products: | ||||||||||||||
Interest rate swaps | Derivative products | (113,028 | ) | 87,468 | (30,622 | ) | ||||||||
Futures contracts | Derivative products | (4,516 | ) | 8,870 | (3,133 | ) | ||||||||
Other derivatives | Derivative products | 33 | (253 | ) | 20 | |||||||||
Total Financial Services derivative products | (117,511 | ) | 96,085 | (33,735 | ) | |||||||||
Variable Interest Entities: | ||||||||||||||
Currency swaps | Income (loss) on variable interest entities | 21,425 | 4,110 | (116 | ) | |||||||||
Interest rate swaps | Income (loss) on variable interest entities | (204,411 | ) | 374,203 | (203,620 | ) | ||||||||
Total Variable Interest Entities | (182,986 | ) | 378,313 | (203,736 | ) | |||||||||
Total derivative contracts | $ | (286,918 | ) | $ | 556,812 | $ | (297,855 | ) |
Ambac Rating | CLO | Other | Total | ||||||||
AAA | $ | — | $ | — | $ | — | |||||
AA | 669,251 | 208,682 | 877,933 | ||||||||
A | — | 43,160 | 43,160 | ||||||||
BBB (1) | — | 761,700 | 761,700 | ||||||||
Below investment grade (2) | — | 276,133 | 276,133 | ||||||||
$ | 669,251 | $ | 1,289,675 | $ | 1,958,926 |
Ambac Rating | CLO | Other | Total | ||||||||
AAA | $ | — | $ | 24,034 | $ | 24,034 | |||||
AA | 1,209,071 | 203,025 | 1,412,096 | ||||||||
A | 128,666 | 107,251 | 235,917 | ||||||||
BBB (1) | — | 826,175 | 826,175 | ||||||||
Below investment grade (2) | — | 277,881 | 277,881 | ||||||||
$ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 |
(1) | BBB internal ratings reflect bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles. |
(2) | Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions. |
CLO | Other | Total | |||||||||
Number of CDS transactions | 6 | 11 | 17 | ||||||||
Remaining expected weighted-average life of obligations (in years) | 1.8 | 4.7 | 3.7 | ||||||||
Gross principal notional outstanding | $ | 669,251 | $ | 1,289,675 | $ | 1,958,926 | |||||
Net derivative liabilities at fair value | $ | 2,726 | $ | 80,104 | $ | 82,830 |
CLO | Other | Total | |||||||||
Number of CDS transactions | 7 | 13 | 20 | ||||||||
Remaining expected weighted-average life of obligations (in years) | 2.1 | 5.0 | 3.6 | ||||||||
Gross principal notional outstanding | $ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 | |||||
Net derivative liabilities at fair value | $ | 7,993 | $ | 86,329 | $ | 94,322 |
Notional | |||||||
Type of derivative | September 30, 2014 | December 31, 2013 | |||||
Interest rate swaps—receive-fixed/pay-variable | $ | 686,558 | $ | 697,837 | |||
Interest rate swaps—pay-fixed/receive-variable | 1,484,081 | 1,540,976 | |||||
Interest rate swaps—basis swaps | 55,800 | 146,705 | |||||
Futures contracts | 100,000 | 100,000 | |||||
Other contracts | 75,650 | 75,650 |
Notional | |||||||
Type of VIE derivative | September 30, 2014 | December 31, 2013 | |||||
Interest rate swaps—receive-fixed/pay-variable | $ | 1,778,828 | $ | 1,818,118 | |||
Interest rate swaps—pay-fixed/receive-variable | 3,278,303 | 3,350,714 | |||||
Currency swaps | 753,672 | 770,319 | |||||
Credit derivatives | 19,010 | 20,130 |
11. | LONG-TERM DEBT |
September 30, 2014 | December 31, 2013 | |||||||
Ambac Assurance Corporation: | ||||||||
5.1% surplus notes, general account, due 2020 | $ | 934,812 | $ | 909,186 | ||||
5.1% surplus notes, segregated account, due 2020 | 40,919 | 39,797 | ||||||
5.1% junior surplus notes, segregated account, due 2020 | 243,579 | 14,195 | ||||||
Ambac Assurance long-term debt | $ | 1,219,310 | $ | 963,178 | ||||
Variable Interest Entities: | ||||||||
Long-term debt | $ | 13,159,174 | $ | 14,091,753 |
Jurisdiction | Tax Year |
United States | 2010 |
New York State | 2010 |
New York City | 2011 |
United Kingdom | 2009 |
Italy | 2009 |
September 30, 2014 | December 31, 2013 | ||||||
Deferred tax liabilities: | |||||||
Insurance intangible | $ | 516,254 | $ | 559,288 | |||
Variable interest entities | 107,872 | 131,137 | |||||
Investments | 199,656 | 168,653 | |||||
Unearned premiums and credit fees | 39,559 | 38,826 | |||||
Other | 2,198 | 2,221 | |||||
Total deferred tax liabilities | 865,539 | 900,125 | |||||
Deferred tax assets: | |||||||
Net operating loss and capital carryforward | 2,120,747 | 2,177,029 | |||||
Loss reserves | 544,511 | 634,692 | |||||
Compensation | 9,110 | 8,724 | |||||
AMT Credits | 4,269 | 4,269 | |||||
Other | 58,160 | 58,581 | |||||
Sub-total deferred tax assets | 2,736,797 | 2,883,295 | |||||
Valuation allowance | 1,873,434 | 1,985,369 | |||||
Total deferred tax assets | 863,363 | 897,926 | |||||
Net deferred tax liability | $ | (2,176 | ) | $ | (2,199 | ) |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. EMC Mortgage LLC (formerly known as EMC Mortgage Corporation), J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc.), and JP Morgan Chase Bank, N.A. (Supreme Court of the State of New York, County of New York, filed March 30, 2012 and amended on August 14, 2012). On June 13, 2013, the court dismissed Ambac Assurance’s contractual claims but not its claims for fraudulent inducement or successor liability. Ambac Assurance appealed the trial court’s decision. On October 16, 2014, the Appellate Division for the First Department affirmed the trial court’s dismissal. Ambac Assurance filed for leave to re-argue, or in the alternative to appeal, the decision. With respect to the claims that remain in the case, discovery is ongoing. |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. First Franklin Financial Corporation, Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch Mortgage Investors, Inc. (Supreme Court of the State of New York, County of New York, filed April 16, 2012). Defendants filed a motion to dismiss on July 13, 2012, which Ambac opposed on September 21, 2012. Oral argument was held on May 6, 2013. On July 18, 2013 the court dismissed Ambac Assurance’s claims for indemnification and limited Ambac Assurance’s claim for breach of loan-level warranties to the repurchase protocol, but did not dismiss Ambac Assurance’s other contractual claims or fraudulent inducement claim. On August 21, 2013, defendants filed a notice of appeal, and on August 30, 2013, Ambac Assurance filed a notice of cross-appeal. On April 22, 2014, the parties filed a stipulation withdrawing defendants’ appeal and Ambac Assurance’s cross-appeal of the court’s July 18, 2013 decision. Discovery is ongoing. No trial date has been set. |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Capital One, N.A., as successor by merger to Chevy Chase Bank, F.S.B. (United States District Court for the Southern District of New York, filed on October 24, 2012). Defendants filed a motion to dismiss on February 6, 2013, which Ambac Assurance opposed. The court held oral argument on March 7, 2013 and on March 27, 2014, the court ordered the motion withdrawn. Defendant filed its answer on April 11, 2014. On June 16, 2014, the court entered an order discontinuing the litigation with prejudice pursuant to stipulation signed by the parties. |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Nomura Credit & Capital, Inc. and Nomura Holding America Inc. (Supreme Court of the State of New York, County of New York, filed on April 15, 2013). On September 22, 2014, plaintiffs filed an amended complaint alleging claims for fraudulent inducement, material breach of contract and for the repurchase of loans that breach representations and warranties under the contracts, as well as damages. Pursuant to court order, on October 29, 2014, the parties submitted supplemental briefing on the impact, if any, of the First Department’s appellate decision in Ambac v. EMC on defendants’ pending motion to dismiss. On October 31, 2014 defendants filed a motion to strike the amended complaint. Plaintiffs intend to oppose the motion and to file a cross motion for leave to amend by November 14, 2014. |
Successor Ambac - Period from July 1 through September 30, 2014 | Financial Guarantee | Financial Services | Corporate and Other | Inter-segment Eliminations | Consolidated | |||||||||||||||
Revenues: | ||||||||||||||||||||
Unaffiliated customers (1) | $ | 170,335 | $ | (15,445 | ) | $ | 78 | $ | — | $ | 154,968 | |||||||||
Equity in net income of investees accounted for by equity method | — | — | 371 | — | 371 | |||||||||||||||
Inter-segment | 237 | (219 | ) | 5,838 | (5,856 | ) | — | |||||||||||||
Total revenues | 170,572 | (15,664 | ) | 6,287 | (5,856 | ) | 155,339 | |||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||
Unaffiliated customers (1)(2)(3) | 101,975 | (16,304 | ) | (1,269 | ) | — | 84,402 | |||||||||||||
Equity in net income of investees accounted for by equity method | — | — | 371 | — | 371 | |||||||||||||||
Inter-segment | (6,441 | ) | (281 | ) | 6,722 | — | — | |||||||||||||
Pre-tax income (loss) from continuing operations | 95,534 | (16,585 | ) | 5,824 | — | 84,773 | ||||||||||||||
Total assets as of September 30, 2014 | 25,922,462 | 373,200 | 295,123 | — | 26,590,785 | |||||||||||||||
Net investment income | 82,978 | 154 | 449 | — | 83,581 | |||||||||||||||
Insurance intangible amortization | 41,908 | — | — | — | 41,908 | |||||||||||||||
Interest expense | 31,491 | 350 | — | — | 31,841 | |||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 2 | $ | — | $ | 2 |
Successor Ambac - Period from July 1 through September 30, 2013 | Financial Guarantee | Financial Services | Corporate and Other | Inter-segment Eliminations | Consolidated | |||||||||||||||
Revenues: | ||||||||||||||||||||
Unaffiliated customers (1) | $ | 157,382 | $ | 14,144 | $ | 126 | $ | — | $ | 171,652 | ||||||||||
Inter-segment | 512 | (472 | ) | 8,259 | (8,299 | ) | — | |||||||||||||
Total revenues | 157,894 | 13,672 | 8,385 | (8,299 | ) | 171,652 | ||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||
Unaffiliated customers (1)(2)(3) | 219,006 | 12,812 | (217 | ) | — | 231,601 | ||||||||||||||
Inter-segment | (8,664 | ) | (623 | ) | 9,287 | — | — | |||||||||||||
Pre-tax income (loss) from continuing operations | 210,342 | 12,189 | 9,070 | — | 231,601 | |||||||||||||||
Total assets as of September 30, 2013 | 28,117,113 | 477,111 | 39,414 | — | 28,633,638 | |||||||||||||||
Net investment income | 51,637 | 474 | 15 | — | 52,126 | |||||||||||||||
Insurance intangible amortization | 37,473 | — | — | — | 37,473 | |||||||||||||||
Interest expense | 31,281 | 536 | — | — | 31,817 | |||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 4 | $ | — | $ | 4 |
Successor Ambac - Period from January 1 through September 30, 2014 | Financial Guarantee | Financial Services | Corporate and Other | Inter-segment Eliminations | Consolidated | |||||||||||||||
Revenues: | ||||||||||||||||||||
Unaffiliated customers (1) | $ | 437,591 | $ | (116,294 | ) | $ | 142 | $ | — | $ | 321,439 | |||||||||
Equity in net income of investees accounted for by equity method | — | — | 371 | — | 371 | |||||||||||||||
Inter-segment | 937 | (901 | ) | 23,309 | (23,345 | ) | — | |||||||||||||
Total revenues | 438,528 | (117,195 | ) | 23,822 | (23,345 | ) | 321,810 | |||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||
Unaffiliated customers (1)(2)(3) | 157,551 | (119,287 | ) | (4,976 | ) | — | 33,288 | |||||||||||||
Equity in net income of investees accounted for by equity method | — | — | 371 | — | 371 | |||||||||||||||
Inter-segment | (24,995 | ) | (1,150 | ) | 26,145 | — | — | |||||||||||||
Pre-tax income (loss) from continuing operations | 132,556 | (120,437 | ) | 21,540 | — | 33,659 | ||||||||||||||
Total assets as of September 30, 2014 | 25,922,462 | 373,200 | 295,123 | — | 26,590,785 | |||||||||||||||
Net investment income | 232,995 | 967 | 513 | — | 234,475 | |||||||||||||||
Insurance intangible amortization | 109,878 | — | — | — | 109,878 | |||||||||||||||
Interest expense | 94,886 | 1,236 | — | — | 96,122 | |||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 211 | $ | — | $ | 211 |
Successor Ambac - Period from May 1 through September 30, 2013 | Financial Guarantee | Financial Services | Corporate and Other | Inter-segment Eliminations | Consolidated | |||||||||||||||
Revenues: | ||||||||||||||||||||
Unaffiliated customers (1) | $ | 317,287 | $ | 96,634 | $ | 146 | $ | — | $ | 414,067 | ||||||||||
Inter-segment | 911 | (846 | ) | 13,684 | (13,749 | ) | — | |||||||||||||
Total revenues | 318,198 | 95,788 | 13,830 | (13,749 | ) | 414,067 | ||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||
Unaffiliated customers (1) (2) (3) | 343,896 | 94,504 | (1,004 | ) | — | 437,396 | ||||||||||||||
Inter-segment | (14,161 | ) | (1,146 | ) | 15,307 | — | — | |||||||||||||
Pre-tax income (loss) from continuing operations | 329,735 | 93,358 | 14,303 | — | 437,396 | |||||||||||||||
Total assets as of September 30, 2013 | 28,117,113 | 477,111 | 39,414 | — | 28,633,638 | |||||||||||||||
Net investment income | 77,652 | 632 | 38 | — | 78,322 | |||||||||||||||
Insurance intangible amortization | 62,425 | — | — | — | 62,425 | |||||||||||||||
Interest expense | 52,057 | 904 | — | — | 52,961 | |||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 428 | $ | — | $ | 428 |
Predecessor Ambac - Period from January 1 through April 30, 2013 | Financial Guarantee | Financial Services | Corporate and Other | Inter-segment Eliminations | Consolidated | |||||||||||||||
Revenues: | ||||||||||||||||||||
Unaffiliated customers (1) | $ | 633,010 | $ | 7,339 | $ | 39 | $ | — | $ | 640,388 | ||||||||||
Inter-segment | 940 | (882 | ) | 197,055 | (197,113 | ) | — | |||||||||||||
Total revenues | 633,950 | 6,457 | 197,094 | (197,113 | ) | 640,388 | ||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||
Unaffiliated customers (1)(2) | 1,830,165 | 3,233 | 1,514,635 | — | 3,348,033 | |||||||||||||||
Inter-segment | (197,187 | ) | (1,101 | ) | 198,288 | — | — | |||||||||||||
Pre-tax income (loss) from continuing operations | 1,632,978 | 2,132 | 1,712,923 | — | 3,348,033 | |||||||||||||||
Total assets as of April 30, 2013 | 28,287,321 | 536,711 | 29,403 | — | 28,853,435 | |||||||||||||||
Net investment income | 115,129 | 1,572 | 39 | — | 116,740 | |||||||||||||||
Interest expense | 29,718 | 1,307 | — | — | 31,025 | |||||||||||||||
Reorganization items (4) | $ | (1,231,550 | ) | $ | 1,505 | $ | (1,515,135 | ) | $ | — | $ | (2,745,180 | ) |
(1) | Included in both revenues from unaffiliated customers and in pre-tax income (loss) from continuing operations from unaffiliated customers is net investment income. |
(2) | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is interest expense. |
(3) | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is amortization of intangible asset arising from financial guarantee contracts that were set to fair value upon adoption of Fresh Start. |
(4) | Refer to "Note 2: Reorganization under Chapter 11," for a further discussion of Reorganization items. |
Period from July 1 through September 30, 2014 | Period from July 1 through September 30, 2013 | ||||||||||||||||||||||||
Gross Premiums Written | Net Premiums Earned | Net Change in Fair Value of Credit Derivatives | Gross Premiums Written | Net Premiums Earned | Net Change in Fair Value of Credit Derivatives | ||||||||||||||||||||
United States | $ | (15,355 | ) | $ | 44,882 | $ | 262 | $ | (25,030 | ) | $ | 50,234 | $ | 21,911 | |||||||||||
United Kingdom | 1,482 | 14,309 | — | (2,789 | ) | 15,273 | 948 | ||||||||||||||||||
Other international | 173 | 5,640 | 7,154 | (6,561 | ) | 5,442 | 8,335 | ||||||||||||||||||
Total | $ | (13,700 | ) | $ | 64,831 | $ | 7,416 | $ | (34,380 | ) | $ | 70,949 | $ | 31,194 |
Successor Ambac | Predecessor Ambac | ||||||||||||||||||||||||||||||||||||
Period from January 1 through September 30, 2014 | Period from May 1 through September 30, 2013 | Period from January 1 through April 30, 2013 | |||||||||||||||||||||||||||||||||||
Gross Premiums Written | Net Premiums Earned | Net Change in Fair Value of Credit Derivatives | Gross Premiums Written | Net Premiums Earned | Net Change in Fair Value of Credit Derivatives | Gross Premiums Written | Net Premiums Earned | Net Change in Fair Value of Credit Derivatives | |||||||||||||||||||||||||||||
United States | $ | (44,266 | ) | $ | 141,472 | $ | 6,283 | $ | (49,523 | ) | $ | 96,574 | $ | 36,860 | $ | (16,102 | ) | $ | 104,594 | $ | (31,134 | ) | |||||||||||||||
United Kingdom | (1,681 | ) | 55,752 | — | (4,706 | ) | 24,113 | 3,061 | 10,673 | 18,071 | (5,861 | ) | |||||||||||||||||||||||||
Other international | (19,005 | ) | 15,167 | 7,296 | (14,232 | ) | 8,301 | 42,493 | (8,696 | ) | 7,335 | (23,389 | ) | ||||||||||||||||||||||||
Total | $ | (64,952 | ) | $ | 212,391 | $ | 13,579 | $ | (68,461 | ) | $ | 128,988 | $ | 82,414 | $ | (14,125 | ) | $ | 130,000 | $ | (60,384 | ) |
• | Increasing the value of its investment in Ambac Assurance Corporation (“Ambac Assurance”) by actively managing its assets and liabilities with a focus on maximizing risk-adjusted investment portfolio returns and mitigating or remediating losses on poorly performing insured transactions through executing policy commutations, repurchasing liabilities at a discount, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions and other means; and |
• | Pursuing new businesses, which may include financial services businesses such as advisory, asset servicing, asset management, and/or insurance. |
($ in millions) | September 30, 2014 | December 31, 2013 | |||||
Public Finance (1)(2) | $ | 101,663 | $ | 116,062 | |||
Structured Finance | 27,523 | 31,412 | |||||
International Finance | 28,206 | 31,618 | |||||
Total net par outstanding (3) | $ | 157,392 | $ | 179,092 |
(1) | Includes $6,103 and $6,165 of Military Housing net par outstanding at September 30, 2014 and December 31, 2013, respectively. |
(2) | Includes $2,437 and $2,485 of Puerto Rico net par outstanding at September 30, 2014 and December 31, 2013, respectively. Components of Puerto Rico net par outstanding includes capital appreciation bonds which are reported at the par amount at the time of issuance of the related insurance policy. |
(3) | Included in the above net par exposures at September 30, 2014 and December 31, 2013 are $1,959 and $2,776, respectively, of exposures that were executed in credit derivatives form. |
Ambac Rating (1) | September 30, 2014 | December 31, 2013 | |||
AAA | <1% | <1% | |||
AA | 19 | 20 | |||
A | 43 | 43 | |||
BBB | 21 | 20 | |||
Below investment grade | 17 | 17 | |||
Total | 100 | % | 100 | % |
(1) | Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance, and for Ambac UK related transactions, based on the view of Ambac UK. In cases where Ambac Assurance or Ambac UK has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance and Ambac UK credit ratings are subject to revision at any time and do not constitute investment advice. |
($ in millions) | September 30, 2014 | December 31, 2013 | |||||
Public Finance: | |||||||
Tax-backed (1) | $ | 2,598 | $ | 1,887 | |||
Housing (2) | 842 | 732 | |||||
General obligation (1) | 588 | 363 | |||||
Transportation | 499 | 519 | |||||
Health care | 30 | 30 | |||||
Other | 1,344 | 1,291 | |||||
Total Public Finance | 5,901 | 4,822 | |||||
Structured Finance: | |||||||
Residential mortgage-backed and home equity—first lien | 7,272 | 8,092 | |||||
Residential mortgage-backed and home equity—second lien | 5,753 | 6,440 | |||||
Student loans | 3,239 | 4,223 | |||||
Structured Insurance | 1,037 | 1,648 | |||||
Mortgage-backed and home equity—other | 311 | 346 | |||||
Other | 546 | 547 | |||||
Total Structured Finance | 18,158 | 21,296 | |||||
International Finance: | |||||||
Other | 3,458 | 3,702 | |||||
Total International Finance | 3,458 | 3,702 | |||||
Total | $ | 27,517 | $ | 29,820 |
(1) | Tax-backed includes $2,186 and $1,430 of Puerto Rico net par at September 30, 2014 and December 31, 2013, respectively. General obligation includes $250 and $0 of Puerto Rico net par at September 30, 2014 and December 31, 2013, respectively. Components of Puerto Rico net par outstanding includes capital appreciation bonds which are reported at the par amount at the time of issuance of the related insurance policy. |
(2) | Includes $610 and $486 of military housing net par at September 30, 2014 and December 31, 2013, respectively. |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
Quarterly Information ($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Revenues: | ||||||||
Net premiums earned | $ | 64.8 | $ | 70.9 | ||||
Net investment income | 83.6 | 52.1 | ||||||
Net other-than-temporary impairment losses | (5.0 | ) | (38.0 | ) | ||||
Net realized investment gains (losses) | 10.0 | (10.3 | ) | |||||
Change in fair value of credit derivatives | 7.4 | 31.2 | ||||||
Derivative product revenues | (15.7 | ) | 12.4 | |||||
Other income | 1.0 | (1.8 | ) | |||||
Income (loss) on variable interest entities | 9.1 | 55.1 | ||||||
Expenses: | ||||||||
Loss and loss expenses (benefit) | (28.7 | ) | (154.3 | ) | ||||
Insurance intangible amortization | 41.9 | 37.5 | ||||||
Underwriting and operating expenses | 25.5 | 25.0 | ||||||
Interest expense | 31.8 | 31.8 | ||||||
Reorganization items | — | — | ||||||
Provision for income taxes | 2.3 | 0.6 | ||||||
Less: Net income attributable to the noncontrolling interest | — | — | ||||||
Net income (attributable to common shareholders) | $ | 82.4 | $ | 231.0 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
Year-to-date information ($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Revenues: | ||||||||||||
Net premiums earned | $ | 212.4 | $ | 129.0 | $ | 130.0 | ||||||
Net investment income | 234.5 | 78.3 | 116.7 | |||||||||
Net other-than-temporary impairment losses | (24.2 | ) | (40.0 | ) | (0.5 | ) | ||||||
Net realized investment gains | 29.4 | 8.2 | 53.3 | |||||||||
Change in fair value of credit derivatives | 13.6 | 82.4 | (60.4 | ) | ||||||||
Derivative product revenues | (117.5 | ) | 96.1 | (33.7 | ) | |||||||
Other income | 8.2 | 0.4 | 8.4 | |||||||||
Income (loss) on variable interest entities | (34.6 | ) | 59.7 | 426.6 | ||||||||
Expenses: | ||||||||||||
Loss and loss expenses (benefit) | 6.6 | (180.4 | ) | (38.1 | ) | |||||||
Insurance intangible amortization | 109.9 | 62.4 | — | |||||||||
Underwriting and operating expenses | 75.3 | 41.3 | 44.6 | |||||||||
Interest expense | 96.1 | 53.0 | 31.0 | |||||||||
Reorganization items | 0.2 | 0.4 | (2,745.2 | ) | ||||||||
Provision for income taxes | 3.4 | 1.1 | 0.8 | |||||||||
Less: Net income attributable to the noncontrolling interest | (0.2 | ) | (0.4 | ) | (1.8 | ) | ||||||
Net income (attributable to common shareholders) | $ | 30.5 | $ | 436.7 | $ | 3,349.0 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Public Finance | $ | 25.5 | $ | 33.0 | ||||
Structured Finance | 10.4 | (0.5 | ) | |||||
International Finance | 19.7 | 18.7 | ||||||
Total normal premiums earned | 55.6 | 51.2 | ||||||
Accelerated earnings | 9.2 | 19.7 | ||||||
Total net premiums earned | $ | 64.8 | $ | 70.9 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Public Finance | $ | 79.2 | $ | 56.6 | $ | 47.9 | ||||||
Structured Finance | 31.7 | 8.3 | 20.3 | |||||||||
International Finance | 59.2 | 31.4 | 25.4 | |||||||||
Total normal premiums earned | 170.1 | 96.3 | 93.6 | |||||||||
Accelerated earnings | 42.3 | 32.7 | 36.4 | |||||||||
Total net premiums earned | $ | 212.4 | $ | 129.0 | $ | 130.0 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Public Finance | $ | 9.7 | $ | 16.3 | ||||
Structured Finance | (0.7 | ) | 1.5 | |||||
International Finance | 0.2 | $ | 1.9 | |||||
Total accelerated earnings | $ | 9.2 | 19.7 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Public Finance | $ | 33.4 | $ | 27.2 | $ | 32.6 | ||||||
Structured Finance | (2.8 | ) | 4.4 | 3.8 | ||||||||
International Finance | 11.7 | 1.1 | — | |||||||||
Total accelerated earnings | $ | 42.3 | $ | 32.7 | $ | 36.4 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Financial Guarantee | $ | 83.0 | $ | 51.6 | ||||
Financial Services | 0.2 | 0.5 | ||||||
Corporate | 0.4 | — | ||||||
Total net investment income | $ | 83.6 | $ | 52.1 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Financial Guarantee | $ | 233.0 | $ | 77.7 | $ | 115.1 | ||||||
Financial Services | 1.0 | 0.6 | 1.6 | |||||||||
Corporate | 0.5 | — | — | |||||||||
Total net investment income | $ | 234.5 | $ | 78.3 | $ | 116.7 |
($ in millions) | Financial Guarantee | Financial Services | Corporate | Total | |||||||||||
Successor Ambac - Period from July 1 through September 30, 2014 | |||||||||||||||
Net gains on securities sold or called | $ | 3.6 | $ | 0.1 | $ | — | $ | 3.7 | |||||||
Foreign exchange gains | 6.3 | — | — | 6.3 | |||||||||||
Total net realized gains | $ | 9.9 | $ | 0.1 | $ | — | $ | 10.0 | |||||||
Successor Ambac—Period from July 1 through September 30, 2013 | |||||||||||||||
Net (losses) gains on securities sold or called | $ | (4.6 | ) | $ | 1.3 | $ | — | $ | (3.3 | ) | |||||
Foreign exchange (losses) | (7.0 | ) | — | — | (7.0 | ) | |||||||||
Total net realized (losses) gains | $ | (11.6 | ) | $ | 1.3 | $ | — | $ | (10.3 | ) | |||||
Successor Ambac—Period from January 1 through September 30, 2014 | |||||||||||||||
Net gains on securities sold or called | $ | 29.4 | $ | 0.2 | $ | — | $ | 29.6 | |||||||
Foreign exchange (losses) | (0.2 | ) | — | — | (0.2 | ) | |||||||||
Total net realized gains | $ | 29.2 | $ | 0.2 | $ | — | $ | 29.4 | |||||||
Successor Ambac—Period from May 1 through September 30, 2013 | |||||||||||||||
Net gains on securities sold or called | $ | 10.3 | $ | 1.4 | $ | — | $ | 11.7 | |||||||
Foreign exchange (losses) | (3.5 | ) | — | — | (3.5 | ) | |||||||||
Total net realized gains | $ | 6.8 | $ | 1.4 | $ | — | $ | 8.2 | |||||||
Predecessor Ambac—Period from January 1 through April 30, 2013 | |||||||||||||||
Net gains on securities sold or called | $ | 7.2 | $ | 39.9 | $ | — | $ | 47.1 | |||||||
Foreign exchange gains | 6.2 | — | — | 6.2 | |||||||||||
Total net realized gains | $ | 13.4 | $ | 39.9 | $ | — | $ | 53.3 |
($ in millions) | September 30, 2014 | December 31, 2013 | |||||
Mark-to-market liability of credit derivatives, excluding CVA | $ | 98.8 | $ | 133.3 | |||
CVA on credit derivatives | (16.0 | ) | (39.0 | ) | |||
Net credit derivative liability at fair value | $ | 82.8 | $ | 94.3 |
($ in millions) | September 30, 2014 | December 31, 2013 | |||||
Derivative products mark-to-market liability, excluding CVA | $ | 222.8 | $ | 130.3 | |||
CVA on derivative products portfolio | (48.5 | ) | (48.4 | ) | |||
Net derivative products portfolio liability at fair value | $ | 174.3 | $ | 81.9 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
RMBS | $ | 20.4 | $ | (102.4 | ) | |||
Student Loans | (11.4 | ) | (105.6 | ) | ||||
Domestic Public Finance | (21.6 | ) | 44.5 | |||||
Ambac UK | (45.9 | ) | (22.8 | ) | ||||
All other credits | (46.8 | ) | 11.7 | |||||
Interest on Deferred Amounts | 51.7 | — | ||||||
Loss Expenses | 24.9 | 20.3 | ||||||
Totals | $ | (28.7 | ) | $ | (154.3 | ) |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
RMBS | $ | (317.1 | ) | $ | (15.6 | ) | $ | (241.1 | ) | |||
Student Loans | (65.6 | ) | (125.2 | ) | 35.4 | |||||||
Domestic Public Finance | 78.3 | 34.1 | 45.6 | |||||||||
Ambac UK | (29.8 | ) | (88.1 | ) | 88.8 | |||||||
All other credits | (58.6 | ) | 9.4 | 23.1 | ||||||||
Interest on Deferred Amounts | 359.8 | — | — | |||||||||
Loss Expenses | 39.6 | 5.0 | 10.1 | |||||||||
Totals | $ | 6.6 | $ | (180.4 | ) | $ | (38.1 | ) |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Claims recorded (1) | $ | 86.1 | $ | 189.3 | ||||
Subrogation Received | (75.7 | ) | (78.1 | ) | ||||
Net Claims Recorded | $ | 10.4 | $ | 111.2 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Claims recorded (1) | $ | 317.9 | $ | 328.3 | $ | 403.4 | ||||||
Subrogation Received | (315.0 | ) | (137.0 | ) | (160.4 | ) | ||||||
Net Claims Recorded | $ | 2.9 | $ | 191.3 | $ | 243.0 |
(1) | Claims recorded include (i) claims paid and (ii) changes to claims presented and not yet presented through the balance sheet date for policies which were allocated to the Segregated Account. Item (ii) includes permitted policy claims for policies allocated to the Segregated Account that were presented and approved by the Rehabilitator of the Segregated Account but not paid through to the balance sheet date in accordance with the Segregated Account Rehabilitation Plan and associated rules and guidelines as discussed in Note 1 to the Consolidated Financial Statements in Part II, Item 8 of Ambac’s 2013 Form 10-K and in Note 1 to the Unconsolidated Financial Statements in Part I, Item 1 of this Form 10-Q. Amounts recorded for claims not yet presented and/or permitted are based on management’s judgment. Claims recorded does not include interest accrued on Deferred Amounts. |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Gross Operating Expenses | $ | 25.0 | $ | 24.3 | ||||
Reinsurance commissions, net | 0.5 | 0.7 | ||||||
Amortization of deferred acquisition costs | — | — | ||||||
Total | $ | 25.5 | $ | 25.0 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Gross Operating Expenses | $ | 73.9 | $ | 40.0 | $ | 37.8 | ||||||
Reinsurance commissions, net | 1.4 | 1.3 | 0.3 | |||||||||
Amortization of deferred acquisition costs | — | — | 6.5 | |||||||||
Total | $ | 75.3 | $ | 41.3 | $ | 44.6 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Interest expense: | ||||||||
Surplus notes | $ | 31.5 | $ | 31.2 | ||||
Investment agreements | 0.3 | 0.5 | ||||||
Secured borrowing | — | 0.1 | ||||||
Total | $ | 31.8 | $ | 31.8 |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Interest expense: | ||||||||||||
Surplus notes | $ | 94.9 | $ | 51.9 | $ | 29.5 | ||||||
Investment agreements | 1.2 | 0.9 | 1.3 | |||||||||
Secured borrowing | — | 0.2 | 0.2 | |||||||||
Total | $ | 96.1 | $ | 53.0 | $ | 31.0 |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in millions) | September 30, 2014 | September 30, 2013 | ||||||
Reorganization items: | ||||||||
Professional advisory fees | $ | — | $ | — | ||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | ||||||
Fresh Start reporting adjustments | — | — | ||||||
Total | $ | — | $ | — |
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Reorganization items: | ||||||||||||
Professional advisory fees | $ | 0.2 | $ | 0.4 | $ | 4.4 | ||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521.4 | ) | ||||||||
Fresh Start reporting adjustments | — | — | (1,228.2 | ) | ||||||||
Total | $ | 0.2 | $ | 0.4 | $ | (2,745.2 | ) |
($ in millions) | Financial Guarantee | Financial Services | Corporate | Total | |||||||||||
Successor Ambac—September 30, 2014: | |||||||||||||||
Fixed income securities: | |||||||||||||||
Municipal obligations (1) | $ | 939.4 | $ | — | $ | — | $ | 939.4 | |||||||
Corporate obligations | 1,805.7 | — | — | 1,805.7 | |||||||||||
Foreign obligations | 125.1 | — | — | 125.1 | |||||||||||
U.S. government obligations | 33.8 | 44.3 | — | 78.1 | |||||||||||
U.S. agency obligations | 29.9 | — | — | 29.9 | |||||||||||
Residential mortgage-backed securities (2) | 1,824.5 | — | — | 1,824.5 | |||||||||||
Collateralized debt obligations | 25.9 | — | 20.1 | 46.0 | |||||||||||
Other asset-backed securities | 1,050.8 | 109.2 | 147.5 | 1,307.5 | |||||||||||
5,835.1 | 153.5 | 167.6 | 6,156.2 | ||||||||||||
Short-term (1) | 437.1 | 6.3 | 107.5 | 550.9 | |||||||||||
Other investments | 270.9 | — | 20.0 | 290.9 | |||||||||||
6,543.1 | 159.8 | 295.1 | 6,998.0 | ||||||||||||
Fixed income securities pledged as collateral: | |||||||||||||||
U.S. government obligations | 64.0 | — | — | 64.0 | |||||||||||
64.0 | — | — | 64.0 | ||||||||||||
Total investments | $ | 6,607.1 | $ | 159.8 | $ | 295.1 | $ | 7,062.0 | |||||||
Percent total | 93.5 | % | 2.3 | % | 4.2 | % | 100 | % |
($ in millions) | Financial Guarantee | Financial Services | Corporate | Total | |||||||||||
Successor Ambac—December 31, 2013: | |||||||||||||||
Fixed income securities: | |||||||||||||||
Municipal obligations (1) | $ | 1,377.7 | $ | — | $ | — | $ | 1,377.7 | |||||||
Corporate obligations | 1,489.4 | — | — | 1,489.4 | |||||||||||
Foreign obligations | 124.9 | — | — | 124.9 | |||||||||||
U.S. government obligations | 89.1 | 37.2 | — | 126.3 | |||||||||||
U.S. agency obligations | 32.1 | — | — | 32.1 | |||||||||||
Residential mortgage-backed securities (2) | 1,547.8 | 10.8 | — | 1,558.6 | |||||||||||
Collateralized debt obligations | 176.2 | 7.7 | — | 183.9 | |||||||||||
Other asset-backed securities | 649.9 | 314.4 | 28.1 | 992.4 | |||||||||||
5,487.1 | 370.1 | 28.1 | 5,885.3 | ||||||||||||
Short-term (1) | 262.3 | — | 8.8 | 271.1 | |||||||||||
Other investments | 241.1 | — | — | 241.1 | |||||||||||
5,990.5 | 370.1 | 36.9 | 6,397.5 | ||||||||||||
Fixed income securities pledged as collateral: | |||||||||||||||
U.S. government obligations | 126.2 | — | — | 126.2 | |||||||||||
126.2 | — | — | 126.2 | ||||||||||||
Total investments | $ | 6,116.7 | $ | 370.1 | $ | 36.9 | $ | 6,523.7 | |||||||
Percent total | 93.7 | % | 5.7 | % | 0.6 | % | 100.0 | % |
(1) | Includes taxable and tax exempt securities. |
(2) | Includes RMBS insured by Ambac Assurance. |
($ in millions) | Financial Guarantee | Financial Services | Corporate | Total | |||||||||||
Successor Ambac—September 30, 2014: | |||||||||||||||
Residential mortgage-backed securities: | |||||||||||||||
RMBS—Second Lien | $ | 868.6 | $ | — | $ | — | $ | 868.6 | |||||||
RMBS—First-lien—Alt-A | 582.4 | — | — | 582.4 | |||||||||||
RMBS—First Lien—Sub Prime | 337.2 | — | — | 337.2 | |||||||||||
U.S. Government Sponsored Enterprise | 35.3 | — | — | 35.3 | |||||||||||
Government National Mortgage Association | 1.0 | — | — | 1.0 | |||||||||||
RMBS—First-lien—Prime | — | — | — | — | |||||||||||
Total residential mortgage-backed securities | 1,824.5 | — | — | 1,824.5 | |||||||||||
Other asset-backed securities | |||||||||||||||
Military Housing | 228.0 | — | — | 228.0 | |||||||||||
Auto | 268.1 | 4.5 | 68.6 | 341.2 | |||||||||||
Credit Cards | 109.8 | 104.7 | 58.5 | 273.0 | |||||||||||
Student Loans | 222.9 | — | — | 222.9 | |||||||||||
Structured Insurance | 51.4 | — | — | 51.4 | |||||||||||
Other | 170.6 | — | 20.4 | 191.0 | |||||||||||
Total other asset-backed securities | 1,050.8 | 109.2 | 147.5 | 1,307.5 | |||||||||||
Total | $ | 2,875.3 | $ | 109.2 | $ | 147.5 | $ | 3,132.0 | |||||||
Successor Ambac—December 31, 2013: | |||||||||||||||
Residential mortgage-backed securities: | |||||||||||||||
RMBS—Second Lien | $ | 698.4 | $ | — | $ | — | $ | 698.4 | |||||||
RMBS—First-lien—Alt-A | 512.7 | — | — | 512.7 | |||||||||||
RMBS—First Lien—Sub Prime | 291.8 | — | — | 291.8 | |||||||||||
U.S. Government Sponsored Enterprise | 42.9 | 10.8 | — | 53.7 | |||||||||||
Government National Mortgage Association | 1.3 | — | — | 1.3 | |||||||||||
RMBS—First Lien—Prime | 0.7 | — | — | 0.7 | |||||||||||
Total residential mortgage-backed securities | 1,547.8 | 10.8 | — | 1,558.6 | |||||||||||
Other asset-backed securities | |||||||||||||||
Military Housing | 344.1 | — | — | 344.1 | |||||||||||
Auto | 122.5 | 79.1 | 17.8 | 219.4 | |||||||||||
Credit Cards | 20.7 | 235.3 | 8.0 | 264.0 | |||||||||||
Student Loans | 14.0 | — | — | 14.0 | |||||||||||
Structured Insurance | 50.9 | — | — | 50.9 | |||||||||||
Other | 97.7 | — | 2.3 | 100.0 | |||||||||||
Total other asset-backed securities | 649.9 | 314.4 | 28.1 | 992.4 | |||||||||||
Total | $ | 2,197.7 | $ | 325.2 | $ | 28.1 | $ | 2,551.0 |
Financial Guarantee (2) | Financial Services | Corporate | Combined | ||||||||
Successor Ambac—September 30, 2014: | |||||||||||
AAA | 21 | % | 100 | % | 100 | % | 26 | % | |||
AA | 16 | — | — | 15 | |||||||
A | 15 | — | — | 14 | |||||||
BBB | 12 | — | — | 11 | |||||||
Below investment grade | 32 | — | — | 30 | |||||||
Not rated | 4 | — | — | 4 | |||||||
100 | % | 100 | % | 100 | % | 100 | % | ||||
Successor Ambac—December 31, 2013: | |||||||||||
AAA | 12 | % | 87 | % | 100 | % | 16 | % | |||
AA | 24 | 13 | — | 23 | |||||||
A | 19 | — | — | 18 | |||||||
BBB | 14 | — | — | 13 | |||||||
Below investment grade | 26 | — | — | 25 | |||||||
Not rated | 5 | — | — | 5 | |||||||
100 | % | 100 | % | 100 | % | 100 | % |
(1) | Ratings are based on the lower of Moody’s or S&P ratings. If guaranteed, rating represents the higher of the underlying or guarantor’s financial strength rating. |
(2) | Below investment grade Ambac Assurance insured bonds represent 29% and 21% of the 2014 and 2013 Financial Guarantee portfolio, respectively. |
September 30, 2014 | December 31, 2013 (2) | ||||||||||||||
($ in millions) | Estimated Fair Value (1) | Gross Unrealized Losses | Estimated Fair Value (1) | Gross Unrealized Losses | |||||||||||
Municipal obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | $ | 67.3 | $ | 1.4 | $ | 437.7 | $ | 28.4 | |||||||
Greater than 12 months | 155.4 | 8.0 | — | — | |||||||||||
222.7 | 9.4 | 437.7 | 28.4 | ||||||||||||
Corporate obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 474.9 | 3.4 | 877.4 | 23.9 | |||||||||||
Greater than 12 months | 209.9 | 6.1 | — | — | |||||||||||
684.8 | 9.5 | 877.4 | 23.9 | ||||||||||||
Foreign government obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 32.6 | 1.1 | 117.9 | 6.9 | |||||||||||
Greater than 12 months | 38.1 | 1.5 | — | — | |||||||||||
70.7 | 2.6 | 117.9 | 6.9 | ||||||||||||
U.S. government obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 73.3 | 0.6 | 70.0 | 2.2 | |||||||||||
Greater than 12 months | 14.7 | 0.6 | — | — | |||||||||||
88.0 | 1.2 | 70.0 | 2.2 | ||||||||||||
U.S. agency obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | — | — | 5.8 | 0.1 | |||||||||||
Greater than 12 months | 4.4 | — | — | — | |||||||||||
4.4 | — | 5.8 | 0.1 | ||||||||||||
Residential mortgage-backed securities in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 200.9 | 8.5 | 644.5 | 18.1 | |||||||||||
Greater than 12 months | 3.4 | 0.1 | — | — | |||||||||||
204.3 | 8.6 | 644.5 | 18.1 | ||||||||||||
Collateralized debt obligations in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 5.4 | 0.1 | 137.7 | 0.4 | |||||||||||
Greater than 12 months | — | — | — | — | |||||||||||
5.4 | 0.1 | 137.7 | 0.4 | ||||||||||||
Other asset-backed securities in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 169.7 | 0.1 | 630.0 | 36.6 | |||||||||||
Greater than 12 months | — | — | — | — | |||||||||||
169.7 | 0.1 | 630.0 | 36.6 | ||||||||||||
Short term securities in continuous unrealized loss for: | |||||||||||||||
Less than 12 months | 1.4 | — | — | — | |||||||||||
Greater than 12 months | — | — | — | — | |||||||||||
1.4 | — | — | — | ||||||||||||
Total | $ | 1,451.4 | $ | 31.5 | $ | 2,921.0 | $ | 116.6 |
(1) | Since the table is presented in millions, securities with market values and unrealized losses that are less than $0.1 will be shown as zero. |
(2) | As a result of the implementation of Fresh Start, amortized cost for available-for-sale securities was set to equal fair value on April 30, 2013. Accordingly, at December 31, 2013, Ambac does not have any gross unrealized losses that have been in a continuous unrealized loss position for greater than 12 months. |
September 30, 2014 | December 31, 2013 | ||||||||||||||
($ in millions) | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | |||||||||||
Municipal obligations: | |||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | |||||||
Due after one year through five years | 11.7 | 11.6 | 74.8 | 73.1 | |||||||||||
Due after five years through ten years | 135.8 | 131.0 | 313.7 | 294.1 | |||||||||||
Due after ten years | 84.6 | 80.1 | 77.6 | 70.5 | |||||||||||
232.1 | 222.7 | 466.1 | 437.7 | ||||||||||||
Corporate obligations: | |||||||||||||||
Due in one year or less | 8.0 | 7.9 | 25.5 | 25.5 | |||||||||||
Due after one year through five years | 391.3 | 388.2 | 357.5 | 353.7 | |||||||||||
Due after five years through ten years | 280.2 | 274.2 | 475.9 | 457.8 | |||||||||||
Due after ten years | 14.8 | 14.5 | 42.4 | 40.4 | |||||||||||
694.3 | 684.8 | 901.3 | 877.4 | ||||||||||||
Foreign government obligations: | |||||||||||||||
Due in one year or less | 2.1 | 1.9 | — | — | |||||||||||
Due after one year through five years | 27.2 | 26.4 | 51.7 | 50.4 | |||||||||||
Due after five years through ten years | 43.0 | 41.4 | 67.6 | 62.8 | |||||||||||
Due after ten years | 1.0 | 1.0 | 5.5 | 4.7 | |||||||||||
73.3 | 70.7 | 124.8 | 117.9 | ||||||||||||
U.S. government obligations: | |||||||||||||||
Due in one year or less | 3.5 | 3.4 | 0.4 | 0.4 | |||||||||||
Due after one year through five years | 82.7 | 81.8 | 51.3 | 50.3 | |||||||||||
Due after five years through ten years | 3.0 | 2.8 | 17.8 | 16.7 | |||||||||||
Due after ten years | — | — | 2.7 | 2.6 | |||||||||||
89.2 | 88.0 | 72.2 | 70.0 | ||||||||||||
U.S. agency obligations: | |||||||||||||||
Due in one year or less | — | — | 1.3 | 1.3 | |||||||||||
Due after one year through five years | 4.4 | 4.4 | 4.6 | 4.5 | |||||||||||
Due after five years through ten years | — | — | — | — | |||||||||||
Due after ten years | — | — | — | — | |||||||||||
4.4 | 4.4 | 5.9 | 5.8 | ||||||||||||
Residential mortgage-backed securities | 212.9 | 204.3 | 662.6 | 644.5 | |||||||||||
Collateralized debt obligations | 5.5 | 5.4 | 138.1 | 137.7 | |||||||||||
Other asset-backed securities | 169.8 | 169.7 | 666.6 | 630.0 | |||||||||||
Short term securities | 1.4 | 1.4 | — | — | |||||||||||
Total | $ | 1,482.9 | $ | 1,451.4 | $ | 3,037.6 | $ | 2,921.0 |
Reinsurers | Moody’s Rating | Moody’s Outlook | Percentage ceded Par | Net unsecured reinsurance recoverable (in thousands) (1) | ||||||
Assured Guaranty Re Ltd | Baa1 | Negative | 89.4 | % | $ | 31,301 | ||||
Sompo Japan Insurance Inc. | A1 | Stable | 6.2 | % | — | |||||
Assured Guaranty Corporation | A3 | Negative | 4.4 | % | 4,913 | |||||
Total | 100.0 | % | $ | 36,214 |
(1) | Represents reinsurance recoverables on paid and unpaid losses and deferred ceded premiums, net of ceded premium payables due to reinsurers, letters of credit, and collateral posted for the benefit of Ambac Assurance. |
September 30, 2014 | |||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | Unearned | Gross Loss and | ||||||||||||||||||||
($ in millions) Balance Sheet Line Item | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries (1) | Premium Revenue | Loss Expense Reserves | |||||||||||||||||
Loss and loss expense reserves | $ | 3,319 | $ | 290 | $ | 4,324 | $ | (1,488 | ) | $ | (442 | ) | $ | 6,003 | |||||||||
Subrogation recoverable | 696 | 70 | 139 | (1,394 | ) | — | (489 | ) | |||||||||||||||
Totals | $ | 4,015 | $ | 360 | $ | 4,463 | $ | (2,882 | ) | $ | (442 | ) | $ | 5,514 |
December 31, 2013 | |||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | Unearned | Gross Loss and | ||||||||||||||||||||
($ in millions) Balance Sheet Line Item | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries (1) | Premium Revenue | Loss Expense Reserves | |||||||||||||||||
Loss and loss expense reserves | $ | 3,374 | $ | — | $ | 4,895 | $ | (1,798 | ) | $ | (503 | ) | $ | 5,968 | |||||||||
Subrogation recoverable | 530 | — | 136 | (1,164 | ) | — | (498 | ) | |||||||||||||||
Totals | $ | 3,904 | $ | — | $ | 5,031 | $ | (2,962 | ) | $ | (503 | ) | $ | 5,470 |
(1) | Present value of future recoveries include RMBS representation and warranty recoveries of $2,214 and $2,207 at September 30, 2014 and December 31, 2013, respectively. |
September 30, 2014 | |||||||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | ||||||||||||||||||||||||||
($ in millions) | Gross par outstanding (1) | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves (1)(2) | ||||||||||||||||||||
RMBS | $ | 10,437 | $ | 3,996 | $ | 359 | $ | 1,897 | $ | (2,731 | ) | $ | (39 | ) | $ | 3,482 | |||||||||||
Student Loans | 2,006 | — | — | 996 | (36 | ) | (55 | ) | 905 | ||||||||||||||||||
Domestic Public Finance | 4,974 | 19 | 1 | 551 | (108 | ) | (74 | ) | 389 | ||||||||||||||||||
Ambac UK | 1,817 | — | — | 821 | (7 | ) | (224 | ) | 590 | ||||||||||||||||||
All other credits | 1,226 | — | — | 86 | — | (50 | ) | 36 | |||||||||||||||||||
Loss expenses | — | — | 112 | — | — | 112 | |||||||||||||||||||||
Totals | $ | 20,460 | $ | 4,015 | $ | 360 | $ | 4,463 | $ | (2,882 | ) | $ | (442 | ) | $ | 5,514 |
December 31, 2013 | |||||||||||||||||||||||||||
Unpaid Claims | Present Value of Expected Net Cash Flows | ||||||||||||||||||||||||||
($ in millions) | Gross par outstanding (1) | Claims | Accrued Interest | Claims and Loss Expenses | Recoveries | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves (1)(2) | ||||||||||||||||||||
RMBS | $ | 11,683 | $ | 3,891 | $ | — | $ | 2,312 | $ | (2,821 | ) | $ | (70 | ) | $ | 3,312 | |||||||||||
Student Loans | 2,352 | — | — | 1,078 | (37 | ) | (59 | ) | 982 | ||||||||||||||||||
Domestic Public Finance | 5,019 | 13 | — | 500 | (97 | ) | (78 | ) | 338 | ||||||||||||||||||
Ambac UK | 1,844 | — | — | 882 | (7 | ) | (242 | ) | 633 | ||||||||||||||||||
All other credits | 1,309 | — | — | 148 | — | (54 | ) | 94 | |||||||||||||||||||
Loss expenses | — | — | — | 111 | — | — | 111 | ||||||||||||||||||||
Totals | $ | 22,207 | $ | 3,904 | $ | — | $ | 5,031 | $ | (2,962 | ) | $ | (503 | ) | $ | 5,470 |
(1) | Ceded par outstanding and ceded loss and loss expense reserves at September 30, 2014 and December 31, 2013, are $999 and $106 and $901 and $122, respectively. Ceded loss and loss expense reserves are included in Reinsurance recoverable on paid and unpaid losses. |
(2) | Loss reserves are included in the balance sheet as Loss and loss expense reserves or Subrogation recoverable dependent on if a policy is in a net liability or net recoverable position. |
September 30, 2014 | |||||||||||||||
($ in millions) | Gross par outstanding | Gross loss and loss expense reserves before representation and warranty subrogation recoveries | Representation and warranty subrogation recoveries | Gross loss and loss expense reserves net of representation and warranty subrogation recoveries | |||||||||||
Second-lien | $ | 1,938 | $ | 546 | $ | — | $ | 546 | |||||||
First-lien Mid-prime | 3,161 | 2,144 | — | 2,144 | |||||||||||
First-lien Sub-prime | 1,251 | 156 | — | 156 | |||||||||||
Other | 237 | 180 | — | 180 | |||||||||||
Total Credits Without Subrogation | 6,587 | 3,026 | — | 3,026 | |||||||||||
Second-lien | 2,082 | 1,212 | (1,615 | ) | (403 | ) | |||||||||
First-lien Mid-prime | 142 | 620 | (150 | ) | 470 | ||||||||||
First-lien Sub-prime | 1,626 | 838 | (449 | ) | 389 | ||||||||||
Total Credits With Subrogation | 3,850 | 2,670 | (2,214 | ) | 456 | ||||||||||
Total | $ | 10,437 | $ | 5,696 | $ | (2,214 | ) | $ | 3,482 |
December 31, 2013 | |||||||||||||||
($ in millions) | Gross par outstanding | Gross loss and loss expense reserves before representation and warranty subrogation recoveries | Representation and warranty subrogation recoveries | Gross loss and loss expense reserves net of representation and warranty subrogation recoveries | |||||||||||
Second-lien | $ | 2,127 | $ | 502 | $ | — | $ | 502 | |||||||
First-lien-Mid-prime | 2,590 | 1,523 | — | 1,523 | |||||||||||
First-lien-Sub-prime | 1,386 | 181 | — | 181 | |||||||||||
Other | 262 | 149 | — | 149 | |||||||||||
Total Credits Without Subrogation | 6,365 | 2,355 | — | 2,355 | |||||||||||
Second-lien | 2,408 | 1,291 | (1,411 | ) | (120 | ) | |||||||||
First-lien Mid-prime | 1,139 | 1,026 | (430 | ) | 596 | ||||||||||
First-lien Sub-prime | 1,771 | 847 | (366 | ) | 481 | ||||||||||
Total Credits With Subrogation | 5,318 | 3,164 | (2,207 | ) | 957 | ||||||||||
Total | $ | 11,683 | $ | 5,519 | $ | (2,207 | ) | $ | 3,312 |
September 30, 2014 | December 31, 2013 | ||||||||||||||
Issuer Type ($ in millions) | Gross Par Outstanding | Gross Loss and Loss Expense Reserves | Gross Par Outstanding | Gross Loss and Loss Expense Reserves | |||||||||||
For-Profit Issuers | $ | 1,682 | $ | 838 | $ | 1,951 | $ | 921 | |||||||
Not-For-Profit Issuers | 324 | 67 | 401 | 61 | |||||||||||
Total | $ | 2,006 | $ | 905 | $ | 2,352 | $ | 982 |
• | Elimination of the non-credit impairment fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated credit losses. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market factors such as interest rates and credit spreads, including the market’s perception of Ambac’s CVA, and are not expected to result in an economic gain or loss. These adjustments allow for all financial guarantee segment contracts to be accounted for consistent with the Financial Services – Insurance Topic of ASC, whether or not they are subject to derivative accounting rules. |
• | Elimination of the effects of VIEs that were consolidated as a result of being insured by Ambac. These adjustments eliminate the VIE consolidation and ensure that all financial guarantee segment contracts are accounted for consistent with the provisions of the Financial Services – Insurance Topic of the ASC, whether or not they are subject to consolidation accounting rules. |
• | Elimination of the amortization of the financial guarantee insurance intangible asset and impairment of goodwill that arose as a result of Ambac’s emergence from bankruptcy and the implementation of Fresh Start reporting. The amount reported in net income attributable to common shareholders represents the amortization of Fresh Start adjustments relating to financial guarantee contracts. These adjustments ensure that all financial guarantee segment contracts are accounted for consistent with the provisions of the Financial Services – Insurance Topic of the ASC. |
• | Elimination of the foreign exchange gains (losses) on re-measurement of net premium receivables and loss and loss expense reserves. Long-duration receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange re-measurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that Ambac will ultimately recognize. |
• | Elimination of the gains (losses) relating to Ambac’s CVA on derivative contracts other than credit derivatives. Similar to credit derivatives, fair values include the market’s perception of Ambac’s credit risk and this adjustment only allows for such gain or loss when realized. |
• | Elimination of non-recurring GAAP Fresh Start reporting adjustments. |
Period from July 1 | Period from July 1 | |||||||
through | through | |||||||
($ in Millions) | September 30, 2014 | September 30, 2013 | ||||||
Net (loss) income attributable to common shareholders | $ | 82.5 | $ | 231.0 | ||||
Adjustments: | ||||||||
Non-credit impairment fair value (gain) loss on credit derivatives | (5.4 | ) | (8.5 | ) | ||||
Effect of consolidating financial guarantee VIEs | 2.8 | (48.7 | ) | |||||
Insurance intangible amortization | 41.9 | 37.5 | ||||||
Foreign exchange (gain) loss from re-measurement of premium receivables and loss and loss expense reserves | 25.5 | (19.0 | ) | |||||
Fair value (gain) loss on derivatives from Ambac CVA | (4.6 | ) | 1.1 | |||||
Operating Earnings (Losses) | $ | 142.7 | $ | 193.4 |
Successor Ambac – | Predecessor Ambac – | |||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||
through | through | through | ||||||||||
($ in Millions) | September 30, 2014 | September 30, 2013 | April 30, 2013 | |||||||||
Net (loss) income attributable to common shareholders | $ | 30.5 | $ | 436.7 | $ | 3,349.0 | ||||||
Adjustments: | ||||||||||||
Non-credit impairment fair value (gain) loss on credit derivatives | (7.3 | ) | (58.6 | ) | 71.6 | |||||||
Effect of consolidating financial guarantee VIEs | 55.9 | (64.0 | ) | (413.7 | ) | |||||||
Insurance intangible amortization | 109.9 | 62.4 | — | |||||||||
Foreign exchange (gain) loss from re-measurement of premium receivables and loss and loss expense reserves | 17.0 | (11.6 | ) | 11.3 | ||||||||
Fair value (gain) loss on derivative products from Ambac CVA | — | 31.6 | 26.7 | |||||||||
Fresh Start accounting adjustments | — | — | (2,749.7 | ) | ||||||||
Operating Earnings (Losses) | $ | 206.0 | $ | 396.5 | $ | 295.2 |
• | Elimination of the non-credit impairment fair value loss on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit loss. GAAP Fair values are heavily affected by, and in part fluctuate with, changes in market factors such as interest rates, credit spreads, including Ambac’s CVA that are not expected to result in an economic gain or loss. These adjustments allow for all financial guarantee segment contracts to be accounted for within Adjusted Book Value consistent with the provisions of the Financial Services—Insurance Topic of the ASC, whether or not they are subject to derivative accounting rules. |
• | Elimination of the effects of VIEs that were consolidated as a result of being insured by Ambac. These adjustments eliminate VIE consolidation and ensure that all financial guarantee segment contracts are accounted for within Adjusted Book Value consistent with the provisions of the Financial Services—Insurance Topic of the ASC, whether or not they are subject to consolidation accounting rules. |
• | Elimination of the financial guarantee insurance intangible asset and goodwill that arose as a result of Ambac’s emergence from bankruptcy and the implementation of Fresh Start reporting. These adjustments ensure that all financial guarantee segment contracts are accounted for within Adjusted Book Value consistent with the provisions of the Financial Services—Insurance Topic of the ASC. |
• | Elimination of the gain relating to Ambac’s CVA embedded in the fair value of derivative contracts other than credit derivatives. Similar to credit derivatives, fair values include the market’s perception of Ambac’s credit risk and this adjustment only allows for such gain when realized. |
• | Addition of the value of the unearned premium reserve on financial guarantee contracts and fees on credit derivative contracts, adjusted for management's expected future net premiums and credit derivative receipts, in excess of expected losses, net of reinsurance. |
• | Elimination of the unrealized gains and losses on the Company’s investments that are recorded as a component of accumulated other comprehensive income (“AOCI”). The AOCI component of the fair value adjustment on the investment portfolio will differ materially from realized gains and losses ultimately recognized by the Company based on the Company’s investment strategy. This adjustment only allows for such gains and losses in Adjusted Book Value when realized. |
($ in Millions) | September 30, 2014 | December 31, 2013 | December 31, 2013 | ||||||||
Revised | Reported | ||||||||||
Total Ambac Financial Group, Inc. stockholders’ equity | $ | 975.7 | $ | 703.0 | $ | 703.0 | |||||
Adjustments: | |||||||||||
Non-credit impairment fair value losses on credit derivatives | 65.5 | 72.8 | 72.8 | ||||||||
Effect of consolidating financial guarantee variable interest entities | (313.7 | ) | (372.7 | ) | (372.7 | ) | |||||
Insurance intangible asset and goodwill | (1,989.5 | ) | (2,112.5 | ) | (2,112.5 | ) | |||||
Ambac CVA on derivative product liabilities (excluding credit derivatives) | (48.5 | ) | (48.4 | ) | (48.4 | ) | |||||
Net unearned premiums and fees in excess of expected losses | 1,460.7 | 1,666.0 | 1,435.2 | ||||||||
Net unrealized investment (gains) losses in Accumulated Other Comprehensive Income | (214.8 | ) | 41.9 | 41.9 | |||||||
Adjusted Book Value | $ | (64.6 | ) | $ | (49.9 | ) | $ | (280.7 | ) |
Change in Interest Rates ($ in millions) | Estimated Change in Net Fair Value | Estimated Net Fair Value | |||||
300 basis point rise | $ | 132 | $ | 3,226 | |||
200 basis point rise | 109 | 3,203 | |||||
100 basis point rise | 66 | 3,160 | |||||
Base scenario | — | 3,094 | |||||
100 basis point decline (1) | (110 | ) | 2,984 | ||||
200 basis point decline (1) | (276 | ) | 2,818 |
(1) | Incorporates an interest rate floor of 0% |
Change in Reference Obligation Spreads ($ in millions) | Estimated Change in Fair Value | Estimated Fair Value | |||||
250 basis point widening | $ | (26 | ) | $ | (109 | ) | |
50 basis point widening | (5 | ) | (88 | ) | |||
Base scenario | — | (83 | ) | ||||
50 basis point narrowing | 5 | (78 | ) | ||||
250 basis point narrowing | 19 | (64 | ) |
Change in Ambac Credit Spreads ($ in millions) | Estimated Change in Fair Value | Estimated Fair Value | |||||
250 basis point widening | $ | 24 | $ | (234 | ) | ||
50 basis point widening | 5 | (253 | ) | ||||
Base scenario | — | (258 | ) | ||||
50 basis point narrowing | (6 | ) | (264 | ) | |||
250 basis point narrowing | (32 | ) | (290 | ) |
Change in Spreads ($ in millions) | Estimated Change in Fair Value | Estimated Fair Value | ||||
250 basis point widening | (379 | ) | $ | 4,524 | ||
50 basis point widening | (76 | ) | 4,827 | |||
Base scenario | — | 4,903 | ||||
50 basis point narrowing | 76 | 4,979 | ||||
250 basis point narrowing | 378 | 5,281 |
Change in Foreign Exchange Rates Against U.S. Dollar | |||||||||||||||
($ in millions) | 20% Decrease | 10% Decrease | 10% Increase | 20% Increase | |||||||||||
Estimated change in fair value | $ | (46.4 | ) | $ | (23.2 | ) | $ | 23.2 | $ | 46.4 |
Exhibit Number | Description | |
10.1 | Amended and Restated Trust Agreement dated as of August 28, 2014, among Ambac Financial Group, Inc., The Bank of New York Mellon, and Wilmington Trust, National Association (filed as exhibit 99.1 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed August 28, 2014 and incorporated herein by reference). | |
31.1+ | Certification of Chief Executive Officer Pursuant to Rules 13a-14(a) and 15d-14(a) Promulgated under the Securities Exchange Act of 1934, as amended. | |
31.2+ | Certification of Chief Financial Officer Pursuant to Rules 13a-14(a) and 15d-14(a) Promulgated under the Securities Exchange Act of 1934, as amended. | |
32.1++ | Certification of Chief Executive Officer Pursuant to 18 U.S.C. Section 1350 as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
32.2++ | Certification of Chief Financial Officer Pursuant to 18 U.S.C. Section 1350 as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
99.1+ | Amendment dated as June 12, 2014 to the Plan of Rehabilitation of the Segregated Account of Ambac Assurance Corporation. | |
101.INS | XBRL Instance Document. | |
101.SCH | XBRL Taxonomy Extension Schema Document. | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document. | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. |
+ | Filed herewith. |
++ | Furnished herewith. |
AMBAC FINANCIAL GROUP, INC. | |||
Dated: | November 10, 2014 | By: | /S/ DAVID TRICK |
Name: | David Trick | ||
Title: | Chief Financial Officer and Treasurer (Duly Authorized Officer and Principal Financial Officer) |
1. | I have reviewed this Quarterly Report on Form 10-Q of Ambac Financial Group, Inc; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a—15(e) and 15d—15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors: |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Dated: | November 10, 2014 | By: | /s/ Diana N. Adams |
Diana N. Adams | |||
President and Chief Executive Officer |
1. | I have reviewed this Quarterly Report on Form 10-Q of Ambac Financial Group, Inc; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a—15(e) and 15d—15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors: |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Dated: | November 10, 2014 | By: | /s/ David Trick |
David Trick | |||
Chief Financial Officer and Treasurer |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
Dated: | November 10, 2014 | By: | /s/ Diana N. Adams |
Name: | Diana N. Adams | ||
Title: | President and Chief Executive Officer |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
Dated: | November 10, 2014 | By: | /s/ David Trick |
Name: | David Trick | ||
Title: | Chief Financial Officer and Treasurer |
In the Matter of the Rehabilitation of: Segregated Account of Ambac Assurance Corporation | Case No. 10 CV 1576 |
June 12, 2014 Kevin G. Fitzgerald, SBN 1007444 Frank W. DiCastri, SBN 1030386 FOLEY & LARDNER LLP 777 E. Wisconsin Avenue Milwaukee, Wisconsin 53202 Telephone: (414) 271-2400 Facsimile: (414) 297-4900 | FOLEY & LARDNER LLP Michael B. Van Sicklen, SBN 1017827 Jeffrey A. Simmons, SBN 1031984 Matthew R. Lynch, SBN 1066370 150 East Gilman Street Post Office Box 1497 Madison, Wisconsin 53701 Telephone: (608) 257-5035 Facsimile: (608) 258-4258 Attorneys for the Wisconsin Office of the Commissioner of Insurance and the Commissioner of Insurance of the State of Wisconsin, as the Court-Appointed Rehabilitator of the Segregated Account of Ambac Assurance Corporation |
INTRODUCTION TO PLAN | |||
Article 1 DEFINITIONS | |||
1.01 | AAC. | ||
1.015 | Accretion Amounts. | ||
1.017 | Accretion Rate. | ||
1.02 | ACP. | ||
1.03 | Act. | ||
1.04 | Administrative Claims. | ||
1.05 | Alternative Resolution. | ||
1.053 | Amendments. | ||
1.055 | Beneficial Holder. | ||
1.057 | Bond Interest Rate. | ||
1.06 | Business Day. | ||
1.07 | Cash. | ||
1.08 | [DELETED] | ||
1.09 | Claim. | ||
1.10 | Commissioner. | ||
1.11 | [DELETED] | ||
1.12 | [DELETED] | ||
1.13 | Confirmation Order. | ||
1.14 | Cooperation Agreement. | ||
1.15 | Court. | ||
1.153 | CUSIP. | ||
1.155 | Deferred Amount. | ||
1.156 | Deferred Loss Amount. | ||
1.157 | Deferred Payment. | ||
1.16 | Determination Date. | ||
1.17 | Disallowed Claim. | ||
1.18 | Disclosure Statement. | ||
1.19 | Disputed Claim. | ||
1.20 | [DELETED] | ||
1.21 | Duplicate Claim. | ||
1.22 | Effective Date. | ||
1.23 | Exhibit. | ||
1.24 | Final Order. | ||
1.25 | [DELETED] | ||
1.26 | [DELETED] | ||
1.27 | General Account. | ||
1.28 | General Claims. | ||
1.29 | Holder. |
1.30 | Injunction. | ||
1.301 | Insured Obligation. | ||
1.302 | Interim Cash Payment Rules. | ||
1.303 | Interim Payment. | ||
1.304 | Interim Payment Percentage. | ||
1.305 | Junior Deferred Amount. | ||
1.31 | Junior Surplus Notes. | ||
1.315 | Junior Deferred Payment. | ||
1.32 | Late Claim. | ||
1.33 | Lien. | ||
1.335 | LVM Payment Guidelines. | ||
1.34 | Management Services Agreement. | ||
1.35 | Management Services Provider. | ||
1.36 | [DELETED] | ||
1.37 | [DELETED] | ||
1.38 | Objection. | ||
1.39 | OCI. | ||
1.393 | Paying Agent. | ||
1.395 | Payment. | ||
1.40 | Payment Date. | ||
1.405 | Payment Guidelines. | ||
1.41 | Pending / Pending Claim. | ||
1.42 | Permitted / Permitted Claim. | ||
1.43 | Person. | ||
1.44 | Petition Date. | ||
1.45 | Plan. | ||
1.46 | [DELETED] | ||
1.47 | Plan of Operation. | ||
1.48 | Policy. | ||
1.49 | Policy Claim. | ||
1.50 | Proceeding. | ||
1.51 | Proof of Policy Claim Form. | ||
1.52 | Rehabilitation Order. | ||
1.53 | Rehabilitator. | ||
1.54 | Reinsurance Agreement. | ||
1.55 | [DELETED] | ||
1.56 | Secured Note. | ||
1.57 | [DELETED] | ||
1.58 | Segregated Account. | ||
1.59 | Segregated Account Operational Documents. | ||
1.60 | Special Deputy Commissioner. | ||
1.61 | Special Policy Payment. |
1.62 | Supplemental Payment. | ||
1.621 | Surplus Notes. | ||
1.623 | Transaction Documents. | ||
1.625 | Trustee. | ||
1.627 | Undercollateralization/Undercollateralized. | ||
1.63 | Website. | ||
1.64 | Wis. Stat. § ___. | ||
1.65 | Write Down Transaction. | ||
Article 2 TREATMENT OF CLAIMS GENERALLY | |||
2.01 | Administrative Claims. | ||
2.02 | Policy Claims. | ||
2.03 | General Claims. | ||
2.04 | Reconciliation of Deferred Loss Amounts. | ||
2.05 | Surplus Notes and Junior Surplus Notes. | ||
Article 3 MEANS FOR IMPLEMENTATION OF PLAN | |||
3.01 | Continued Existence of the Segregated Account. | ||
3.02 | Rehabilitator. | ||
3.03 | Special Deputy Commissioner. | ||
3.04 | Management Services Provider. | ||
3.05 | Administration of this Plan. | ||
3.06 | Alternative Resolutions of Claims. | ||
3.07 | Paying Agent. | ||
Article 4 PROCEDURES GOVERNING SUBMISSION OF CLAIMS AND PAYMENTS | |||
4.01 | Claims Administration. | ||
4.02 | Payments in Respect of Permitted Claims and Surplus Notes. | ||
4.03 | Administrative Claims. | ||
4.04 | Policy Claims. | ||
4.05 | General Claims. | ||
4.06 | Disputed Claims. | ||
4.07 | Setoffs. | ||
4.08 | Recoveries on Policy Claims. | ||
4.09 | Reimbursements on Policy Claims. | ||
4.10 | Subsequent Adjustments. | ||
4.11 | Terminated Trusts. | ||
Article 5 EFFECTIVENESS | |||
5.01 | Effective Date. | ||
5.02 | Notification of Effective Date. | ||
Article 6 RETENTION OF JURISDICTION | |||
6.01 | Retention of Jurisdiction. | ||
Article 7 ANNUAL REPORTS TO COURT | |||
7.01 | Annual Reports. | ||
Article 8 INJUNCTION | |||
8.01 | Injunction. | ||
8.02 | Indemnification and Injunction With Regard to Holders and Sub-Trustee/Agents. | ||
Article 9 IMMUNITY AND INDEMNIFICATION OF THE REHABILITATOR, | |||
EMPLOYEES, AND CONSULTANTS | |||
9.01 | Beneficiaries of Immunity and Indemnification. | ||
9.02 | Immunity and Indemnification. | ||
Article 10 GENERAL PROVISIONS | |||
10.01 | Governing Law. | ||
10.02 | Prior Orders and Agreements. | ||
10.03 | Revocation or Withdrawal of this Plan. | ||
10.04 | Amendment and Modification of this Plan. | ||
10.05 | Termination of Rehabilitation. | ||
10.055 | Limitation of Recovery. | ||
10.06 | Successors and Assigns. | ||
10.07 | Rules of Interpretation. | ||
10.08 | Implementation. | ||
10.09 | Inconsistency. | ||
10.10 | No Admissions. | ||
10.11 | Filing of Additional Documents. | ||
10.12 | Returned Payments. | ||
10.13 | Recognition of Statutory Accounting. | ||
SIGNATURE |
(i) | such Holder of a Permitted Policy Claim relating to such Insured Obligation, Beneficial Holder, or Holder of a General Claim has received, collected or recovered from a Person that is not AAC or the Segregated Account (other than scheduled principal and/or interest on the collateral for such Insured Obligation); |
(ii) | reduce, or are permitted to reduce, any amount of overdue and unpaid interest and/or principal that is insured under the relevant Policy; |
(iii) | such Holder of a Permitted Policy Claim relating to such Insured Obligation or Beneficial Holder has received, collected or recovered in respect of such Insured Obligation that AAC, the Segregated Account or ACP would have been entitled to receive, collect, recover, or receive the benefit of, had it paid 100% of the Permitted Policy Claim relating to such Insured Obligation in Cash (rather than as contemplated herein); |
(iv) | reduce the principal or interest on any such Insured Obligation after the final scheduled distribution date or maturity date of such Insured Obligation; |
(v) | in the case of a Write Down Transaction, constitute amounts recovered in respect of allocated losses and that write the bond principal balance up; |
(vi) | such Holder of a Permitted Policy Claim relating to such Insured Obligation or Beneficial Holder has received, collected or recovered pursuant to or in connection with any settlement of RMBS Remediation Claims, Alternative Resolution or pursuant to any judgment rendered by a court of competent jurisdiction in respect of such Claims; and/or |
(vii) | reduce the Undercollateralization if such Insured Obligation relates to a transaction other than a Write Down Transaction and such transaction is subject to Undercollateralization. |
1. | The undersigned is a Holder under the Policy and is entitled, pursuant to the provisions of the Policy, to submit a Claim for the “Total Claim Amount” set forth on the Claim Schedule with respect to the Insured Obligations (the “Total Claim Amount”). |
2. | The information set forth on the Claim Schedule and the Allocation Schedule is true, correct and complete. |
3. | The Total Claim Amount is due for Payment pursuant to the terms of the Policy and the Transaction Documents relating to or governing the Insured Obligation. |
4. | The undersigned has not previously made a Claim or demand for Payment under the Policy in respect of amounts due on the Insured Obligations on the “Distribution Date” indicated on the Claim Schedule, except as otherwise specified in an addendum to this Proof of Policy Claim Form submitted by the Holder herewith and[/or] as specified in the Claims or demands for Payment submitted to Ambac in the form specified by the Policy, copies of which are attached hereto pursuant to paragraph 7. |
5. | [Complete for the first Policy Claim made after the Effective Date in respect of the Policy or if the Holder wishes to alter the payment instructions previously provided to the Management Services Provider: The undersigned hereby requests that any portion of the Total Claim Amount to be paid by the Segregated Account in Cash be made to the following account by bank wire transfer of federal or other immediately available funds: |
6. | [Complete the following if the Holder is a Trustee and/or agent for the Beneficial Holder of the Insured Obligation:] The undersigned hereby agrees and confirms that, following receipt of any Cash Payment by the Segregated Account in respect of the Total Claim Amount, (A) it shall (i) cause such funds to be distributed in accordance with the provisions of the Transaction Documents relating to the Insured Obligations, and (ii) maintain an accurate record of such distributions with respect to the Insured Obligations and the corresponding Claim on the Policy and proceeds thereof, and (B) the Cash paid by the Segregated Account in respect of the preceding Policy Claim (if any) submitted by the Holder in respect of the Policy was applied as set forth in the Allocation Schedule. |
7. | [If the Policy requires the Holder to submit a claim or demand for payment in a specified form or to have satisfied certain conditions, include the following: ] [The undersigned has duly completed and submitted to Ambac a claim or demand for Payment in the form specified by the Policy, a copy of which is attached hereto, and all other conditions to the receipt of the Total Claim Amount have been satisfied, and the amount claimed therein is equal to the Total Claim Amount.] |
CLAIM SCHEDULE | |||||||
Holder: | |||||||
Deal name: | |||||||
Policy #: | |||||||
Payment Date:* | |||||||
Claim Period:** | |||||||
Total Claim Amount: | |||||||
Principal Claim Amount | Interest Claim Amount | Total Claim Amount | |||||
Insured Obligations | |||||||
(including CUSIP, if any) | |||||||
Total | |||||||
*Payment Date is the date on which principal and/or interest is due for payment with respect to the Insured Obligation. | |||||||
**Claim Period is the period in respect of which Payments are due on the Payment Date. | |||||||
Please use a different Proof of Policy Claim Form and Claim Schedule for each Payment Date. |
POLICY CLAIM PAYMENT - ALLOCATION SCHEDULE | ||||||||
Holder: | ||||||||
Deal name: | ||||||||
Policy #: | ||||||||
Total Claim Amount for Policy Claim: | ||||||||
Cash received in respect of Policy Claim: | ||||||||
Claim Period*: | ||||||||
Payment application date**: | ||||||||
Insured Obligations by CUSIP (if applicable): | Payment applied against Principal: | Payment applied against Interest: | Total Claim Payment applied: | |||||
XXXXX | ||||||||
XXXXX | ||||||||
Total | ||||||||
* Claim Period is the period in respect of which the Policy Claim was submitted pursuant to the Claim Schedule. | ||||||||
For a Deferred Payment, the Claim Period can be identified as "Deferred Payment." | ||||||||
** Payment application date is the date the Policy Claim Payment was paid by the Holder to the Beneficial Holders. | ||||||||
The Holder hereby certifies that the information contained in this Allocation Schedule to be true, correct and up-to-date. | ||||||||
_______________________________ | ||||||||
For and on behalf of | ||||||||
[INSERT NAME OF HOLDER] | ||||||||
Name: | ||||||||
Title: | ||||||||
Date: |
WRITE DOWN TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 880 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - D1 | B1 - C1 - D1 |
WRITE DOWN TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 880 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - D1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
2 | $35 intrinsic principal payment; $80 claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 880 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 765 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calcula-tions | H1 | I1 | D1 | E2 x 25% | A2 - C2 - D2 + F2 - F2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 |
WRITE DOWN TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 880 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - D1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
2 | $35 intrinsic principal payment; $80 claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 880 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 765 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calcula-tions | H1 | I1 | D1 | E2 x 25% | A2 - C2 - D2 + F2 - F2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 | ||||||||||||||||||||||||||||||||
A3 | B3 | C3 | D3 | E3 | F3 | G3 | H3 | I3 | J3 | K3 | L3 | M3 | |||||||||||||||||||||||||||||
3 | $25 intrinsic principal payment; $100 claim amount; 25% month 2 Interim Payment; ending Deferred Amount of $135.32 (including $.32 accretion amount) | $ | 765 | $ | 765 | $ | 25 | $ | 100 | $ | 80 | $ | 20 | $ | — | $ | 640 | $ | 640 | $ | 75 | $ | 0.31 | $ | 60 | $ | 135.31 | ||||||||||||||
Calculations | H2 | I2 | D2 | E3 x 25% | A3 - C3 - D3 + F3 - F3 | B3 - C3 - D3 | M2 | J3 x (4.98%/ 12) | E3 - F3 | J3 + K3 + L3 - G3 |
WRITE DOWN TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 880 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - D1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
2 | $35 intrinsic principal payment; $80 claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 880 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 765 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calcula-tions | H1 | I1 | D1 | E2 x 25% | A2 - C2 - D2 + F2 - F2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 | ||||||||||||||||||||||||||||||||
A3 | B3 | C3 | D3 | E3 | F3 | G3 | H3 | I3 | J3 | K3 | L3 | M3 | |||||||||||||||||||||||||||||
3 | $25 intrinsic principal payment; $100 claim amount; 25% month 2 Interim Payment; ending Deferred Amount of $135.32 (including $.32 accretion amount) | $ | 765 | $ | 765 | $ | 25 | $ | 100 | $ | 80 | $ | 20 | $ | — | $ | 640 | $ | 640 | $ | 75 | $ | 0.31 | $ | 60 | $ | 135.31 | ||||||||||||||
Calcula-tions | H2 | I2 | D2 | E3 x 25% | A3 - C3 - D3 + F3 - F3 | B3 - C3 - D3 | M2 | J3 x (4.98%/ 12) | E3 - F3 | J3 + K3 + L3 - G3 | |||||||||||||||||||||||||||||||
\ | |||||||||||||||||||||||||||||||||||||||||
A4 | B4 | C4 | D4 | E4 | F4 | G4 | H4 | I4 | J4 | K4 | L4 | M4 | |||||||||||||||||||||||||||||
4 | $30 intrinsic principal payment; $80 claim amount; 25% month 3 Interim Payment; $60 Recovery; ending Deferred Amount of $150.90 | $ | 640 | $ | 640 | $ | 30 | $ | 80 | $ | 100 | $ | 25 | $ | 60 | $ | 530 | $ | 530 | $ | 135.31 | $ | 0.56 | $ | 75 | $ | 150.87 | ||||||||||||||
Calcula-tions | H3 | I3 | D3 | E4 x 25% | A4-C4-D4+F4-F4+G4-G4 | B4 - C4 - D4 | M3 | J4 x (4.98%/ 12) | E4 - F4 | J4 + K4 + L4 - G4 |
UNDERCOLLATERALIZED TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | ||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Defered Loss Amount | Ending Deferred Amount | ||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | ||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 principal loss claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 980 | $ | 880 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Calcula-tions | A1 - C1 - F1 - G1 | B1 - C1 - D1 |
UNDERCOLLATERALIZED TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 principal loss claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 980 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calculations | A1 - C1 - F1 - G1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
2 | $35 intrinsic principal payment; $80 principal loss claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 980 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 920 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calculations | H1 | I1 | D1 | E2 x 25% | A2 - C2 - F2 -G2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 |
UNDERCOLLATERALIZED TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 principal loss claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 980 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - F1 - G1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
2 | $35 intrinsic principal payment; $80 principal loss claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 980 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 920 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calcula-tions | H1 | I1 | D1 | E2 x 25% | A2 - C2 - F2 -G2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 | ||||||||||||||||||||||||||||||||
A3 | B3 | C3 | D3 | E3 | F3 | G3 | H3 | I3 | J3 | K3 | L3 | M3 | |||||||||||||||||||||||||||||
3 | $25 intrinsic principal payment; $100 principal loss claim amount; 25% month 2 Interim Payment; ending Deferred Amount of $135.32 (including $.32 Accretion Amount) | $ | 920 | $ | 765 | $ | 25 | $ | 100 | $ | 80 | $ | 20 | $ | — | $ | 875 | $ | 640 | $ | 75 | $ | 0.31 | $ | 60 | $ | 135.31 | ||||||||||||||
Calcula-tions | H2 | I2 | D2 | E3 x 25% | A3 - C3 - F3 - G3 | B3 - C3 - D3 | M2 | J3 x (4.98%/ 12) | E3 - F3 | J3 + K3 + L3 - G3 |
UNDERCOLLATERALIZED TRANSACTION (Deferred Amount; Accretion; and Recovery Example) | |||||||||||||||||||||||||||||||||||||||||
Month | Description | Beginning Bond Balance | Beginning Collateral Balance | Intrinsic Principal | Collateral Realized Loss | Permitted Policy Claim Amount | Interim Payment Amount | Recovery Amount | Ending Bond Balance | Ending Collateral Balance | Beginning Deferred Amount | Accretion Amount | Deferred Loss Amount | Ending Deferred Amount | |||||||||||||||||||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | M1 | |||||||||||||||||||||||||||||
1 | $20 intrinsic principal payment; $100 principal loss claim amount | $ | 1,000 | $ | 1,000 | $ | 20 | $ | 100 | $ | — | $ | — | $ | — | $ | 980 | $ | 880 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Calcula-tions | A1 - C1 - F1 - G1 | B1 - C1 - D1 | |||||||||||||||||||||||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | M2 | |||||||||||||||||||||||||||||
1 | $35 intrinsic principal payment; $80 principal loss claim amount; 25% month 1 Interim Payment; 75% Deferred Amount created | $ | 980 | $ | 880 | $ | 35 | $ | 80 | $ | 100 | $ | 25 | $ | — | $ | 920 | $ | 765 | $ | — | $ | — | $ | 75 | $ | 75 | ||||||||||||||
Calcula-tions | H1 | I1 | D1 | E2 x 25% | A2 - C2 - F2 -G2 | B2 - C2 - D2 | M1 | E2 - F2 | J2 + K2 + L2 - G2 | ||||||||||||||||||||||||||||||||
A3 | B3 | C3 | D3 | E3 | F3 | G3 | H3 | I3 | J3 | K3 | L3 | M3 | |||||||||||||||||||||||||||||
1 | $25 intrinsic principal payment; $100 principal loss claim amount; 25% month 2 Interim Payment; ending Deferred Amount of $135.32 (including $.32 Accretion Amount) | $ | 920 | $ | 765 | $ | 25 | $ | 100 | $ | 80 | $ | 20 | $ | — | $ | 875 | $ | 640 | $ | 75 | $ | 0.31 | $ | 60 | $ | 135.31 | ||||||||||||||
Calcula-tions | H2 | I2 | D2 | E3 x 25% | A3 - C3 - F3 - G3 | B3 - C3 - D3 | M2 | J3 x (4.98%/ 12) | E3 - F3 | J3 + K3 + L3 - G3 | |||||||||||||||||||||||||||||||
A4 | B4 | C4 | D4 | E4 | F4 | G4 | H4 | I4 | J4 | K4 | L4 | M4 | |||||||||||||||||||||||||||||
4 | $30 intrinsic principal payment; $80 claim amount; 25% month 3 Interim Payment; $60 Recovery; ending Deferred Amount of $150.90 | $ | 875 | $ | 640 | $ | 30 | $ | 80 | $ | 100 | $ | 25 | $ | 60 | $ | 760 | $ | 530 | $ | 135.31 | $ | 0.56 | $ | 75 | $ | 150.87 | ||||||||||||||
Calcula-tions | H3 | I3 | D3 | E4 x 25% | A4 - C4 -F4 - G4 | B4 - C4 - D4 | M3 | J4 x (4.98%/ 12) | E4 - F4 | J4 + K4 + L4 - G4 |
UNDERCOLLATERALIZED TRANSACTION (Reallocation of Deferred Amounts Example) | ||||||||||||||||||||
Description | Beginning Bond Balance | Beginning Collateral Balance | Undercollater-ization Allocation | Beginning Deferred Amounts | Intrinsic Principal | Intrinsic Principal Allocation | Collateral Realized Loss | Permitted Policy Claim Amount | Ending Bond Balance | Ending Collateral Balance | Accretion Amounts | Ending Deferred Amounts | ||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | |||||||||
$60 Intrinsic Principal payment; $0 Collateral Realized Loss | $90 Class A1 $120 Class A2 | $130 | $80 Class A1 $0 Class A2 | $80 Class A1 $0 Class A2 | $ | 60 | $60 Class A1 $0 Class A2 | $ | — | $ | — | $30 Class A1 $120 Class A2 | $ | 70 | $.33 Class A1 $0 Class A2 | $30.33 Class A1 $50 Class A2 | ||||
Calculations | A1 - E1 | B1 - E1 | D1 x (4.98%/12) |
UNDERCOLLATERALIZED TRANSACTION (Reallocation of Deferred Amounts Example) | ||||||||||||||||||||||
Description | Beginning Bond Balance | Beginning Collateral Balance | Undercollater-ization Allocation | Beginning Deferred Amounts | Intrinsic Principal | Intrinsic Principal Allocation | Collateral Realized Loss | Permitted Policy Claim Amount | Ending Bond Balance | Ending Collateral Balance | Accretion Amounts | Ending Deferred Amounts | ||||||||||
A1 | B1 | C1 | D1 | E1 | F1 | G1 | H1 | I1 | J1 | K1 | L1 | |||||||||||
$60 Intrinsic Principal payment; $0 Collateral Realized Loss | $90 Class A1 $120 Class A2 | $130 | $80 Class A1 $0 Class A2 | $80 Class A1 $0 Class A2 | $ | 60 | $60 Class A1 $0 Class A2 | $ | — | $ | — | $30 Class A1 $120 Class A2 | $ | 70 | $.33 Class A1 $0 Class A2 | $30.33 Class A1 $50 Class A2 | ||||||
Calculations | A1 - E1 | B1 - E1 | D1 x (4.98%/12) | |||||||||||||||||||
A2 | B2 | C2 | D2 | E2 | F2 | G2 | H2 | I2 | J2 | K2 | L2 | |||||||||||
$50 Intrinsic Principal payment; $0 Collateral Realized Loss | $30 Class A1 $120 Class A2 | $ | 70 | $30 Class A1 $50 Class A2 | $30.33 Class A1 $50 Class A2 | $ | 50 | $30 Class A1 $20 Class A2 | $ | — | $ | — | $0 Class A1 $100 Class A2 | $ | 20 | $.13 Class A1 $.21 Class A2 | $.46 Class A1 $80.21 Class A2 | |||||
Calculations | I1 | J1 | L1 | A2 - E2 | B2 - E2 | D2 x (4.98%/12) |
(i) | are attributable to, or paid in respect of or pursuant to, the Chapter 11 Bonds; |
(ii) | such LVM Holder of a Permitted LVM Policy Claim relating to such Insured Obligation has received, collected or recovered from a Person that is not AAC or the Segregated Account (other than scheduled principal and/or interest on the collateral for such Insured Obligation); |
(iii) | reduce, or are permitted to reduce, any amount of overdue and unpaid interest and/or principal that is insured under the LVM Policy; |
(iv) | such Holder of a Permitted LVM Policy Claim relating to such Insured Obligation has received, collected or recovered in respect of such Insured Obligation that AAC, the Segregated Account would have been entitled to receive, collect, recover, or receive the benefit of, had it paid 100% of the Permitted LVM Policy Claim relating to such Insured Obligation in Cash (rather than as contemplated herein); |
(v) | reduce the principal or interest on any such Insured Obligation after the final scheduled distribution date or maturity date of such Insured Obligation; and/or |
(vii) | such LVM Holder of a Permitted LVM Policy Claim relating to such Insured Obligation has received, collected or recovered pursuant to or in connection with any Alternative Resolution or pursuant to any judgment rendered by a court of competent jurisdiction in respect of such Claims. |
1. | The undersigned is the trustee (the “LVM Trustee”) under the Senior Indenture dated as of September 1, 2000 by and between the Director of the State of Nevada Department of Business and Industry and Wells Fargo Bank, N.A., as trustee (as amended, modified and supplemented from time to time, the “Indenture”) and, pursuant to the LVM Payment Guidelines, is entitled to submit a Claim for the “Total Claim Amount” set forth on the Claim Schedule with respect to the Insured Obligation (the “Total Claim Amount”). |
2. | The information set forth on the Claim Schedule is true, correct and complete. |
3. | The Total Claim Amount is due for Payment pursuant to the terms of the LVM Policy and the Transaction Documents relating to or governing the Insured Obligation(s). |
4. | The undersigned has not previously made a Claim or demand for Payment under the LVM Policy in respect of amounts due on the Insured Obligation(s) on the “Payment Date” indicated on the Claim Schedule. |
5. | [Complete for the first LVM Policy Claim made after the Effective Date in respect of the LVM Policy or if the LVM Trustee wishes to alter the payment instructions previously provided to the Management Services Provider: The undersigned hereby requests that any portion of the Total Claim Amount to be paid by the Segregated Account in Cash be made to the following account by bank wire transfer of federal or other immediately available funds: |
6. | The undersigned hereby agrees that, following receipt of any Cash Payment by the Segregated Account in respect of the Total Claim Amount, it shall (i) cause such funds to be distributed to the LVM Holders who, but for the LVM Payment Guidelines, would have been entitled to submit LVM Policy Claims to the Segregated Account in respect of the Total Claim Amount, (ii) maintain an accurate record of such distributions with respect to the Insured Obligation and the corresponding Claim on the Policy and proceeds thereof, and (iii) comply with the terms of the Indenture insofar as they relate to such funds following Payment by the Segregated Account, including, without limitation, noting the rights of the Segregated Account and/or Ambac Assurance Corporation (“Ambac”) in the bond register. |
LVM CLAIM SCHEDULE | |||||||
LVM Trustee: | |||||||
Policy #: | 17548BE | ||||||
Payment Date:* | |||||||
Claim Period:** | |||||||
Total Claim Amount: | |||||||
Principal Claim Amount | Interest Claim Amount | Total Claim Amount | |||||
Insured Obligations | |||||||
(including CUSIP, if any) | |||||||
Total | |||||||
*Payment Date is the date on which principal and/or interest is due for payment with respect to the Insured Obligation. | |||||||
**Claim Period is the period in respect of which Payments are due on the Payment Date. | |||||||
Please use a different Proof of LVM Policy Claim Form and LVM Claim Schedule for each Payment Date. |
LVM POLICY CLAIM PAYMENT - ALLOCATION SCHEDULE | ||||||||
LVM Trustee: | ||||||||
Policy #: | 17548BE | |||||||
Total Claim Amount for LVM Claim: | ||||||||
Cash received in respect of LVM Policy Claim: | ||||||||
Claim Period*: | ||||||||
Payment application date**: | ||||||||
Insured Obligations by CUSIP (if applicable): | Payment applied against Principal: | Payment applied against Interest: | Total Claim Payment applied: | |||||
XXXXX | ||||||||
XXXXX | ||||||||
Total | ||||||||
* Claim Period is the period in respect of which the LVM Policy Claim was submitted pursuant to the LVM Claim Schedule. | ||||||||
For a Deferred Payment, the Claim Period can be identified as "Deferred Payment." | ||||||||
** Payment application date is the date the Policy Claim Payment was paid by the Holder to the Beneficial Holders. | ||||||||
The LVM Trustee hereby certifies that the information contained in this Allocation Schedule to be true, correct and up-to-date. | ||||||||
_______________________________ | ||||||||
For and on behalf of | ||||||||
____________________________, LVM Trustee | ||||||||
Name: | ||||||||
Title: | ||||||||
Date: |
1 | Capitalized terms used but not defined herein shall have the meanings ascribed to them in the Payment Guidelines. |
Special Purpose Entities, Including Variable Interest Entities - Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Detail) (Successor Ambac [Member], USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2014
|
Dec. 31, 2013
|
---|---|---|
Investments: | ||
Fixed income securities | $ 6,771,159 | $ 6,282,658 |
Variable Interest Entities [Member]
|
||
Investments: | ||
Fixed income securities | 2,651,683 | 2,475,182 |
Corporate Debt Securities [Member]
|
||
Investments: | ||
Fixed income securities | $ 2,651,683 | $ 2,475,182 |
Financial Guarantee Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 5 Months Ended | 9 Months Ended | 4 Months Ended | |
---|---|---|---|---|---|
Sep. 30, 2014
Successor Ambac [Member]
|
Sep. 30, 2013
Successor Ambac [Member]
|
Sep. 30, 2013
Successor Ambac [Member]
|
Sep. 30, 2014
Successor Ambac [Member]
|
Apr. 30, 2013
Predecessor Ambac [Member]
|
|
Reinsurance Premiums for Insurance Companies, by Product Segment [Line Items] | |||||
Direct Premiums Written | $ (13,700) | $ (34,380) | $ (68,461) | $ (64,952) | $ (14,125) |
Assumed Reinsurance Premiums Written | 0 | 0 | 0 | 0 | 0 |
Ceded Reinsurance Premiums Written | (2,805) | (4,017) | (7,055) | (7,316) | (1,098) |
Premiums written, net of reinsurance | (10,895) | (30,363) | (61,406) | (57,636) | (13,027) |
Direct Premiums Earned | 68,685 | 73,997 | 136,029 | 222,894 | 138,468 |
Assumed Reinsurance Premiums Earned | 23 | 24 | 40 | 114 | 32 |
Ceded Reinsurance Premiums Earned | 3,877 | 3,072 | 7,081 | 10,617 | 8,500 |
Reinsurance on premiums earned, Net | $ 64,831 | $ 70,949 | $ 128,988 | $ 212,391 | $ 130,000 |