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Financial Guarantee Insurance Contracts (Tables)
 12 Months Ended
Dec. 31, 2015
Insurance [Line Items]  
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block]
Below are the components of the Loss and loss expense reserves liability and the Subrogation recoverable asset at December 31, 2015 and 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
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,138,952

 
$
349,668

 
$
3,265,349

 
$
(1,476,276
)
 
$
(189,587
)
 
$
4,088,106

Subrogation recoverable
828,802

 
141,349

 
207,674

 
(2,407,118
)
 
—

 
(1,229,293
)
Totals
$
2,967,754

 
$
491,017

 
$
3,473,023

 
$
(3,883,394
)
 
$
(189,587
)
 
$
2,858,813

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,172,041

 
$
234,802

 
$
3,792,133

 
$
(1,205,621
)
 
$
(241,348
)
 
$
4,752,007

Subrogation recoverable
772,948

 
94,425

 
197,751

 
(2,018,398
)
 
—

 
(953,274
)
Totals
$
2,944,989

 
$
329,227

 
$
3,989,884

 
$
(3,224,019
)
 
$
(241,348
)
 
$
3,798,733
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts)
Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods:
 
Successor Ambac
 
 
Predecessor Ambac
 
 
 
 
 
Period from May 1
 
 
Period from Jan 1
 
Year Ended December 31,
 
through
 
 
through
 
2015
 
2014
 
December 31, 2014
 
 
April 30, 2013
Beginning premium receivable
$
1,000,607

 
$
1,453,021

 
$
1,531,631

 
 
$
1,620,621

Premium receipts
(108,029
)
 
(126,497
)
 
(82,071
)
 
 
(48,296
)
Adjustments for changes in expected and contractual cash flows
(64,740
)
 
(322,443
)
 
(91,241
)
 
 
(28,237
)
Accretion of premium receivable discount
24,628

 
36,651

 
26,184

 
 
14,740

Deconsolidation of certain VIEs
—

 
—

 
45,883

 
 
—

Uncollectable premiums
2,540

 
(2,518
)
 
(15,262
)
 
 
(634
)
Other adjustments (including foreign exchange)
(23,431
)
 
(37,607
)
 
37,897

 
 
(26,563
)
Ending premium receivable
$
831,575

 
$
1,000,607

 
$
1,453,021

 
 
$
1,531,631
Effect of Reinsurance on Premiums Written and Earned
The effect of reinsurance on premiums written and earned was as follows:
 
Successor Ambac
 
 
Predecessor Ambac
 
Year Ended December 31,
 
Period from May 1 through
 
 
Period from Jan 1 through
 
2015
 
2014
 
December 31, 2013
 
 
April 30, 2013
 
Written
 
Earned
 
Written
 
Earned
 
Written
 
Earned
 
 
Written
 
Earned
Direct
$
(37,572
)
 
$
336,025

 
$
(288,310
)
 
$
261,634

 
$
(80,309
)
 
$
226,326

 
 
$
(14,125
)
 
$
138,468

Assumed
—

 
87

 
—

 
137

 
—

 
65

 
 
—

 
32

Ceded
(3,001
)
 
23,517

 
(6,842
)
 
15,411

 
(7,810
)
 
12,873

 
 
(1,098
)
 
8,500

Net premiums
$
(34,571
)
 
$
312,595

 
$
(281,468
)
 
$
246,360

 
$
(72,499
)
 
$
213,518

 
 
$
(13,027
)
 
$
130,000
Summarized Future Gross Undiscounted Premiums Expected to be Collected and Future Expected Premiums Earned, Net of Reinsurance
The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at December 31, 2015:
 
Future premiums
to be collected (1)
 
Future
premiums to
be earned net of
reinsurance (1)
Three months ended:
 
 
 
March 31, 2016
$
21,499

 
$
32,590

June 30, 2016
19,890

 
30,882

September 30, 2016
19,839

 
28,815

December 31, 2016
20,005

 
27,487

Twelve months ended:
 
 
 
December 31, 2017
75,224

 
99,097

December 31, 2018
70,587

 
87,270

December 31, 2019
66,891

 
80,947

December 31, 2020
63,783

 
76,310

Five years ended:
 
 
 
December 31, 2025
264,200

 
307,812

December 31, 2030
217,422

 
214,920

December 31, 2035
138,592

 
126,716

December 31, 2040
43,887

 
44,078

December 31, 2045
18,989

 
17,498

December 31, 2050
7,143

 
7,804

December 31, 2055
601

 
1,298

Total
$
1,048,552

 
$
1,183,524

(1)
Future premiums to be collected is undiscounted and relates 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 Note 2. Basis of Presentation and Significant Accounting Policies, results in a different 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.
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance
Below is the loss and loss expense reserve roll-forward, net of subrogation recoverable and reinsurance, for the affected periods:
 
Successor Ambac
 
 
Predecessor Ambac
 
 
 
 
 
Period from May 1
 
 
Period from Jan 1
 
Year Ended December 31,
 
through
 
 
through
 
2015
 
2014
 
December 31, 2013
 
 
April 30, 2013
Beginning gross loss and loss expense reserves
$
3,798,733

 
$
5,470,234

 
$
5,572,672

 
 
$
6,122,140

Less reinsurance on loss and loss expense reserves
100,355

 
122,357

 
138,155

 
 
147,409

Beginning balance of net loss and loss expense reserves
$
3,698,378

 
$
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
1,183

 
309

 
97,342

 
 
2,748

Claim and loss expense payments, net of subrogation and reinsurance
—

 
(17
)
 
(442
)
 
 
(58
)
Establishment of RMBS subrogation recoveries, net of reinsurance
—

 
—

 
(315
)
 
 
(159
)
Total current year
1,183

 
292

 
96,585

 
 
2,531

Prior years:
 
 
 
 
 
 
 
 
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
(491,088
)
 
(269,606
)
 
(514,728
)
 
 
(52,642
)
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
(90,086
)
 
(1,067,321
)
 
59,184

 
 
20,902

(Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance
(303,633
)
 
(312,864
)
 
272,319

 
 
(12,596
)
Total prior years
(884,807
)
 
(1,649,791
)
 
(183,225
)
 
 
(44,336
)
Net change in net loss and loss expense reserves
(883,624
)
 
(1,649,499
)
 
(86,640
)
 
 
(41,805
)
Net consolidation of certain VIEs
—

 
—

 
—

 
 
(498,409
)
Ending net loss and loss expense reserves
$
2,814,754

 
$
3,698,378

 
$
5,347,877

 
 
$
5,434,517

Add reinsurance on loss and loss expense reserves (1)
44,059

 
100,355

 
122,357

 
 
138,155

Ending gross loss and loss expense reserves
$
2,858,813

 
$
3,798,733

 
$
5,470,234

 
 
$
5,572,672


(1)
Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables of previously presented loss and loss expenses of $(60), $(517), $(1,108), and, $1,879 as of December 31, 2015, 2014, 2013 and April 30, 2013, respectively.
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable
The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at December 31, 2015 and 2014. Net par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy. The weighted average risk-free rate used to discount loss reserves at December 31, 2015 and 2014 was 2.4% and 2.3%, respectively.
 
Surveillance Categories as of December 31, 2015
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
33

 
14

 
23

 
63

 
157

 
3

 
293

Remaining weighted-average contract period (in years)
9

 
17

 
26

 
19

 
13

 
6

 
15

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
1,830,549

 
$
263,288

 
$
1,912,237

 
$
2,972,615

 
$
8,942,730

 
$
54,590

 
$
15,976,009

Interest
724,940

 
107,624

 
6,834,538

 
1,792,525

 
2,391,523

 
16,791

 
11,867,941

Total
$
2,555,489

 
$
370,912

 
$
8,746,775

 
$
4,765,140

 
$
11,334,253

 
$
71,381

 
$
27,843,950

Gross undiscounted claim liability (1)
$
6,188

 
$
5,632

 
$
173,930

 
$
1,595,525

 
$
6,339,537

 
$
71,381

 
$
8,192,193

Discount, gross claim liability
(515
)
 
(652
)
 
(96,218
)
 
(458,805
)
 
(770,694
)
 
(6,779
)
 
(1,333,663
)
Gross claim liability before all subrogation and before reinsurance
$
5,673

 
$
4,980

 
$
77,712

 
$
1,136,720

 
$
5,568,843

 
$
64,602

 
$
6,858,530

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(2,841,291
)
 
—

 
(2,841,291
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
11,716

 
—

 
11,716

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(2,829,575
)
 
—

 
(2,829,575
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(12,937
)
 
(526,957
)
 
(835,078
)
 
(13,098
)
 
(1,388,070
)
Discount, other subrogation
—

 
—

 
3,961

 
198,643

 
127,669

 
3,978

 
334,251

Discounted other subrogation, before reinsurance
—

 
—

 
(8,976
)
 
(328,314
)
 
(707,409
)
 
(9,120
)
 
(1,053,819
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
5,673

 
$
4,980

 
$
68,736

 
$
808,406

 
$
2,031,859

 
$
55,482

 
$
2,975,136

Less: Unearned premium revenue
(3,360
)
 
(1,796
)
 
(48,871
)
 
(63,257
)
 
(71,848
)
 
(455
)
 
(189,587
)
Plus: Loss expense reserves
—

 
66

 
629

 
15,090

 
57,479

 
—

 
73,264

Gross loss and loss expense reserves
$
2,313

 
$
3,250

 
$
20,494

 
$
760,239

 
$
2,017,490

 
$
55,027

 
$
2,858,813

Reinsurance recoverable reported on Balance Sheet (4)
$
642

 
$
880

 
$
85

 
$
59,503

 
$
(17,111
)
 
$
—

 
$
43,999

 
(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 ("R&W") breaches.
(3)
Other subrogation primarily represents subrogation-related to excess spread or other contractual cash flows on public finance and structured finance transactions including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $44,059 related to future loss and loss expenses and $(60) related to presented loss and loss expenses.
 
Surveillance Categories as of December 31, 2014
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
36

 
26

 
33

 
69

 
160

 
1

 
325

Remaining weighted-average contract period (in years)
8

 
12

 
15

 
21

 
12

 
6

 
16

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
1,026,513

 
$
519,291

 
$
3,091,744

 
$
3,792,559

 
$
9,892,760

 
$
47

 
$
18,322,914

Interest
418,746

 
212,296

 
1,878,770

 
2,765,537

 
1,979,627

 
19

 
7,254,995

Total
$
1,445,259

 
$
731,587

 
$
4,970,514

 
$
6,558,096

 
$
11,872,387

 
$
66

 
$
25,577,909

Gross undiscounted claim liability (1)
$
16,360

 
$
11,525

 
$
155,488

 
$
2,040,402

 
$
6,456,139

 
$
60

 
$
8,679,974

Discount, gross claim liability
(1,147
)
 
(937
)
 
(16,438
)
 
(716,812
)
 
(774,611
)
 
(3
)
 
(1,509,948
)
Gross claim liability before all subrogation and before reinsurance
$
15,213

 
$
10,588

 
$
139,050

 
$
1,323,590

 
$
5,681,528

 
$
57

 
$
7,170,026

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(2,541,219
)
 
—

 
(2,541,219
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
17,679

 
—

 
17,679

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(2,523,540
)
 
—

 
(2,523,540
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(18,034
)
 
(127,143
)
 
(647,110
)
 
—

 
(792,287
)
Discount, other subrogation
—

 
—

 
6,069

 
36,779

 
48,960

 
—

 
91,808

Discounted other subrogation, before reinsurance
—

 
—

 
(11,965
)
 
(90,364
)
 
(598,150
)
 
—

 
(700,479
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
15,213

 
$
10,588

 
$
127,085

 
$
1,233,226

 
$
2,559,838

 
$
57

 
$
3,946,007

Less: Unearned premium revenue
(10,945
)
 
(3,432
)
 
(73,749
)
 
(88,332
)
 
(64,890
)
 
—

 
(241,348
)
Plus: Loss expense reserves
3

 
1,303

 
1,968

 
6,470

 
84,330

 
—

 
94,074

Gross loss and loss expense reserves
$
4,271

 
$
8,459

 
$
55,304

 
$
1,151,364

 
$
2,579,278

 
$
57

 
$
3,798,733

Reinsurance recoverable reported on Balance Sheet (4)
$
73

 
$
890

 
$
1,355

 
$
110,957

 
$
(13,437
)
 
$
—

 
$
99,838

(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 R&W breaches.
(3)
Other subrogation primarily represents subrogation related to excess spread or other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $100,355 related to future loss and loss expenses and $(517) related to presented loss and loss expenses.
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach
The balance of RMBS subrogation recoveries and the related loss reserves, using Random Samples as the estimation approach, at December 31, 2015 and 2014, are as follows:
Random Samples Approach
Gross loss
reserves before
subrogation
recoveries (1)
 
Subrogation
recoveries (2)(3)
 
Gross loss
reserves after
subrogation
recoveries
At December 31, 2015
$
1,850,804

 
$
(2,829,575
)
 
$
(978,771
)
 
 
 
 
 
 
At December 31, 2014
$
1,897,426

 
$
(2,523,540
)
 
$
(626,114
)
(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.
Summary of Rollforward of RMBS Subrogation, by Estimation Approach
Below is the rollforward of RMBS subrogation, by estimation approach, for the affected periods:
 
Random
sample
 
Adverse
sample
 
Total
Successor Ambac:
 
 
 
 
 
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2015
$
2,523,540

 
$
—

 
$
2,523,540

Changes recognized in 2015:
 
 
 
 
 
Additional transactions reviewed
—

 
—

 
—

Changes in estimation approach
—

 
—

 
—

Impact of sponsor actions (2)
—

 
—

 
—

All other changes (3)
306,035

 
—

 
306,035

Discounted RMBS subrogation (gross of reinsurance) at December 31, 2015
$
2,829,575

 
$
—

 
$
2,829,575

 
 
 
 
 
 
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)
1,417,556

 
(1,218,681
)
 
198,875

Impact of sponsor actions (2)
(146,270
)
 
—

 
(146,270
)
All other changes (3)
273,864

 
(34,092
)
 
239,772

Discounted RMBS subrogation (gross of reinsurance) at December 31, 2014
$
2,523,540

 
$
—

 
$
2,523,540

 
 
 
 
 
 
Successor Ambac:
 
 
 
 
 
Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013
$
1,004,252

 
$
1,478,666

 
$
2,482,918

Changes recognized through December 31, 2013:
 
 
 
 
 
Additional transactions reviewed
2,451

 
—

 
2,451

Changes in estimation approach
—

 
—

 
—

Impact of sponsor actions (2)
—

 
98

 
98

All other changes (3)
(52,878
)
 
(225,991
)
 
(278,869
)
Discounted RMBS subrogation (gross of reinsurance) at December 31, 2013
$
953,825

 
$
1,252,773

 
$
2,206,598

 
 
 
 
 
 
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
—

 
—

 
—

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 may not have been subject to a sampling approach, are currently in negotiation or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table.
Schedule Of Reinsurance Recoverable And Provision By Category Of Reinsurer [Table Text Block]
The following table represents the percentage ceded to reinsurers and reinsurance recoverable at December 31, 2015 and its rating levels obtained from each reinsurers website as of February 25, 2016:
Reinsurers
Moody’s
Rating
 
Percentage
ceded Par
 
Net unsecured
reinsurance
recoverable(1)
Assured Guaranty Re Ltd
NR
 
88.8%
 
$
15,347

Sompo Japan Nipponkoa Insurance, Inc.
A1
 
6.2
 
—

Assured Guaranty Corporation
A3
 
5.0
 
6,934

Total
 
 
100%
 
$
22,281

(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.
Insurance Intangible Asset [Member]  
Insurance [Line Items]  
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block]
The estimated future amortization expense for the net insurance intangible asset is as follows:
2016
 
2017
 
2018
 
2019
 
2020
 
Thereafter
$
111,857

 
$
98,570

 
$
88,388

 
$
81,370

 
$
75,743

 
$
756,184