Investments (Tables)

12 Months Ended

Dec. 31, 2015

Investments, Debt and Equity Securities [Abstract]

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015 and 2014 were as follows:



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Non-credit other- than-temporary Impairments ⁽¹⁾
December 31, 2015
Fixed income securities:
Municipal obligations	$	424,048	$	4,910	$	8,188	$	420,770	$	—
Corporate obligations	1,610,912		7,089		24,332		1,593,669		—
Foreign obligations	96,638		1,491		1,823		96,306		—
U.S. government obligations	26,086		789		188		26,687		—
U.S. agency obligations	4,239		—		27		4,212		—
Residential mortgage-backed securities	1,942,285		99,670		64,617		1,977,338		41,673
Collateralized debt obligations	85,706		42		1,481		84,267		—
Other asset-backed securities	802,842		41,177		3,492		840,527		—
	4,992,756		155,168		104,148		5,043,776		41,673
Short-term	225,789		1		1		225,789		—
	5,218,545		155,169		104,149		5,269,565		41,673
Fixed income securities pledged as collateral:
U.S. government obligations	64,612		—		57		64,555		—
Total collateralized investments	64,612		—		57		64,555		—
Total available-for-sale investments	$	5,283,157	$	155,169	$	104,206	$	5,334,120	$	41,673

December 31, 2014
Fixed income securities:
Municipal obligations	$	523,019	$	9,769	$	6,996	$	525,792	$	—
Corporate obligations	1,382,195		12,815		9,416		1,385,594		—
Foreign obligations	126,041		3,060		1,344		127,757		—
U.S. government obligations	42,328		1,078		427		42,979		—
U.S. agency obligations	29,524		—		38		29,486		—
Residential mortgage-backed securities	1,557,059		167,396		13,500		1,710,955		7,773
Collateralized debt obligations	21,346		50		274		21,122		—
Other asset-backed securities	833,366		48,794		159		882,001		—
	4,514,878		242,962		32,154		4,725,686		7,773
Short-term	360,069		—		4		360,065		—
	4,874,947		242,962		32,158		5,085,751		7,773
Fixed income securities pledged as collateral:
U.S. government obligations	64,378		—		111		64,267		—
Total collateralized investments	64,378		—		111		64,267		—
Total available-for-sale investments	$	4,939,325	$	242,962	$	32,269	$	5,150,018	$	7,773


(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 December 31, 2015 and 2014.

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015, by contractual maturity, were as follows:



	Amortized Cost		Estimated Fair Value
Due in one year or less	$	347,240	$	347,359
Due after one year through five years	1,020,940		1,014,416
Due after five years through ten years	914,404		901,252
Due after ten years	169,740		168,961
	2,452,324		2,431,988
Residential mortgage-backed securities	1,942,285		1,977,338
Collateralized debt obligations	85,706		84,267
Other asset-backed securities	802,842		840,527
Total	$	5,283,157	$	5,334,120

Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments

The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at December 31, 2015 and 2014:



	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
December 31, 2015
Fixed income securities:
Municipal obligations	$	117,008	$	2,070	$	114,708	$	6,118	$	231,716	$	8,188
Corporate obligations	938,916		21,331		92,581		3,001		1,031,497		24,332
Foreign government obligations	34,904		1,018		8,584		805		43,488		1,823
U.S. government obligations	2,938		18		10,658		170		13,596		188
U.S. agency obligations	—		—		4,212		27		4,212		27
Residential mortgage-backed securities	584,699		53,367		213,303		11,250		798,002		64,617
Collateralized debt obligations	77,538		1,481		—		—		77,538		1,481
Other asset-backed securities	450,690		3,456		19,274		36		469,964		3,492
	2,206,693		82,741		463,320		21,407		2,670,013		104,148
Short-term	9,982		1		—		—		9,982		1
	$	2,216,675	$	82,742	$	463,320	$	21,407	$	2,679,995	$	104,149
Fixed Income securities, pledged as collateral:
U.S. government obligations	64,555		57		—		—		64,555		57
Total collateralized investments	64,555		57		—		—		64,555		57
Total temporarily impaired securities	2,281,230		82,799		463,320		21,407		2,744,550		104,206



	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
December 31, 2014
Fixed income securities:
Municipal obligations	$	77,788	$	1,244	$	135,076	$	5,752	$	212,864	$	6,996
Corporate obligations	453,504		4,998		172,045		4,418		625,549		9,416
Foreign government obligations	20,827		748		14,277		596		35,104		1,344
U.S. government obligations	7,223		154		14,735		273		21,958		427
U.S. agency obligations	25,039		2		4,378		36		29,417		38
Residential mortgage-backed securities	413,203		12,391		10,076		1,109		423,279		13,500
Collateralized debt obligations	5,012		274		—		—		5,012		274
Other asset-backed securities	248,823		155		68		4		248,891		159
	1,251,419		19,966		350,655		12,188		1,602,074		32,154
Short-term	8,803		4		—		—		8,803		4
	$	1,260,222	$	19,970	$	350,655	$	12,188	$	1,610,877	$	32,158
Fixed Income securities, pledged as collateral:
U.S. government obligations	64,267		111		—		—		64,267		111
Total collateralized investments	64,267		111		—		—		64,267		111
Total temporarily impaired securities	1,324,489		20,081		350,655		12,188		1,675,144		32,269

Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments

The following table details amounts included in net realized gains and other-than-temporary impairments included in earnings 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
Gross realized gains on securities	$	58,218		$	63,366		$	22,983		$	47,448
Gross realized losses on securities	(10,558		)	(9,824		)	(10,347		)	(320		)
Foreign exchange (losses) gains	5,816			5,235			(8,169		)	6,177
Net realized gains	$	53,476		$	58,777		$	4,467		$	53,305
Net other-than-temporary impairments ⁽¹⁾	$	(25,659	)	$	(25,794	)	$	(46,764	)	$	(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.

Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income

The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities held as of December 31, 2015 and 2014 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:



	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
Successor Ambac:
Balance, beginning of period	$	14,062	$	1,182	$	—		$	183,300
Additions for credit impairments recognized on:
Securities not previously impaired	10,900		12,873		1,185			—
Securities previously impaired	6,214		7		—			—
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period⁽¹⁾	—		—		(3		)	(183,300		)
Balance, end of period	$	31,176	$	14,062	$	1,182		$	—

(1)

Includes reductions made in connection with Fresh Start, under which the cost basis of all invested assets were set to fair value as of the Fresh Start Reporting Date. As described in Note 3. Special Purpose Entities, including Variable Interest Entities, adopting Fresh Start results in a new reporting entity with no beginning retained earnings or accumulated deficit. Therefore cumulative credit impairments for Successor Ambac on May 1, 2013 are $0.

Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged

The following table presents (i) the sources of collateral either received from various counterparties where Ambac is permitted to sell or re-pledge the collateral or collateral held directly in the investment portfolio and (ii) how that collateral was pledged to various investment agreement, derivative and repurchase agreement counterparties at December 31, 2015 and 2014:



	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
December 31, 2015:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	338,007	$	108,379	$	229,628

December 31, 2014:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	379,423	$	156,916	$	222,507

Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities

The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at December 31, 2015 and 2014, respectively:



	Municipal obligations		Corporate obligations		Mortgage and asset- backed securities		Short-term		Total		Weighted Average Underlying Rating ⁽¹⁾
December 31, 2015:
Ambac Assurance Corporation ⁽²⁾	$	60,836	$	—	$	2,216,317	$	—	$	2,277,153	CC
Assured Guaranty Municipal Corporation	57,715		—		—		—		57,715		A+
National Public Finance Guarantee Corporation	47,846		—		—		—		47,846		A-
MBIA Insurance Corporation	—		25,645		—		—		25,645		A+
Total	$	166,397	$	25,645	$	2,216,317	$	—	$	2,408,359	CCC-

December 31, 2014:
Ambac Assurance Corporation ⁽²⁾	$	53,164	$	—	$	2,146,555	$	—	$	2,199,719	CCC-
Assured Guaranty Municipal Corporation	119,492		—		—		—		119,492		A
National Public Finance Guarantee Corporation	67,895		—		—		—		67,895		A-
MBIA Insurance Corporation	—		32,460		—		—		32,460		A+
Total	$	240,551	$	32,460	$	2,146,555	$	—	$	2,419,566	CCC


(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 $119,802 and $51,395 at December 31, 2015 and 2014, respectively, insured by Ambac UK.

Summary of Net Investment Income

Net investment income was comprised of the following 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
Fixed income securities	$	257,404		$	299,694		$	147,014		$	118,097
Short-term investments	299			3,092			1,528			677
Loans	420			529			306			146
Investment expense	(8,786		)	(10,477		)	(5,982		)	(2,549		)
Securities available-for-sale and short-term	249,337			292,838			142,866			116,371
Other investments	16,952			8,108			3,580			369
Total net investment income	$	266,289		$	300,946		$	146,446		$	116,740

Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, for periods after August 28, 2014, income from Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on that date. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:



	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
Net gains recognized during the period on trading securities	$	12,615	$	6,713		$	3,580	$	369
Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period	4,966		(487		)	1,702		—
Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date	$	7,649	$	7,200		$	1,878	$	369

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

+ References + Details

- Definition

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

+ References + Details