Financial Guarantee Insurance Contracts (Tables)
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9 Months Ended |
Sep. 30, 2019 |
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| Insurance [Line Items] |
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| 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 September 30, 2019 and December 31, 2018: | | | | | | | | | | | | | | | | | | | | Present Value of Expected
Net Cash Flows | | Unearned
Premium
Revenue | | Gross Loss and
Loss Expense
Reserves | Balance Sheet Line Item | | Claims and
Loss Expenses | | Recoveries | | | September 30, 2019: | | | | | | | | | Loss and loss expense reserves | | $ | 1,803,743 |
| | $ | (225,967 | ) | | $ | (55,472 | ) | | $ | 1,522,304 |
| Subrogation recoverable | | 135,599 |
| | (2,217,867 | ) | | — |
| | (2,082,268 | ) | Totals | | $ | 1,939,342 |
| | $ | (2,443,834 | ) | | $ | (55,472 | ) | | $ | (559,964 | ) | | | | | | | | | | December 31, 2018: | | | | | | | | | Loss and loss expense reserves | | $ | 2,246,335 |
| | $ | (313,595 | ) | | $ | (106,662 | ) | | $ | 1,826,078 |
| Subrogation recoverable | | 175,694 |
| | (2,108,654 | ) | | — |
| | (1,932,960 | ) | Totals | | $ | 2,422,029 |
| | $ | (2,422,249 | ) | | $ | (106,662 | ) | | $ | (106,882 | ) |
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| Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) |
Below is the gross premium receivable roll-forward for the affected periods: | | | | | | | | | | | | Nine Months Ended September 30, | | | 2019 | | 2018 | Beginning premium receivable | | $ | 495,391 |
| | $ | 586,312 |
| Premium receipts | | (36,778 | ) | | (42,660 | ) | Adjustments for changes in expected and contractual cash flows (1) | | (32,593 | ) | | (34,088 | ) | Accretion of premium receivable discount | | 8,775 |
| | 11,211 |
| Deconsolidation of certain VIEs |
| 3,239 |
| | — |
| Changes to uncollectable premiums | | (6,921 | ) | | 2,473 |
| Other adjustments (including foreign exchange) | | (16,369 | ) | | (6,051 | ) | Ending premium receivable (2) | | $ | 414,744 |
| | $ | 517,197 |
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| | (1) | Adjustments for changes in expected and contractual cash flows primarily due to reductions in insured exposure as a result of early policy terminations and unscheduled principal paydowns. |
(2) Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At September 30, 2019 and 2018, premium receivables include British Pounds of $124,406 (£101,168) and $136,925 (£104,988), respectively, and Euros of $22,091 (€20,264) and $32,613 (€28,085), respectively.
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| Effect of Reinsurance on Premiums Written and Earned |
The effect of reinsurance on premiums written and earned for the respective periods was as follows: | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | 2019 | | 2018 | | Written | | Earned | | Written | | Earned | Direct | $ | (13,480 | ) | | $ | 13,097 |
| | $ | (22,954 | ) | | $ | 27,559 |
| Assumed | — |
| | 19 |
| | — |
| | 20 |
| Ceded (1) | 22,873 |
| | 2,650 |
| | (789 | ) | | 1,939 |
| Net premiums | $ | (36,353 | ) | | $ | 10,466 |
| | $ | (22,165 | ) | | $ | 25,640 |
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| | | | | | | | | | | | | | | | | | Nine Months Ended September 30, | | 2019 | | 2018 | | Written | | Earned | | Written | | Earned | Direct | $ | (30,739 | ) | | $ | 52,596 |
| | $ | (19,304 | ) | | $ | 87,506 |
| Assumed | — |
| | 59 |
| | — |
| | 59 |
| Ceded (1) | 22,030 |
| | 6,598 |
| | (1,832 | ) | | 5,206 |
| Net premiums | $ | (52,769 | ) | | $ | 46,057 |
| | $ | (17,472 | ) | | $ | 82,359 |
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| Schedule of Revenue from External Customers Attributed to Foreign Countries by Geographic Area [Table Text Block] |
The following table summarizes net premiums earned by location of risk for the respective periods: | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2019 | | 2018 | | 2019 | | 2018 | United States | $ | 10,588 |
| | $ | 19,539 |
| | $ | 44,457 |
| | $ | 64,009 |
| United Kingdom | 4,354 |
| | 4,523 |
| | 12,769 |
| | 14,337 |
| Other international | (4,476 | ) | | 1,578 |
| | (11,169 | ) | | 4,013 |
| Total | $ | 10,466 |
| | $ | 25,640 |
| | $ | 46,057 |
| | $ | 82,359 |
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| 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 September 30, 2019: | | | | | | | | | | Future Premiums
to be Collected (1) | | Future
Premiums to
be Earned Net of
Reinsurance (1) | Three months ended: | | | | December 31, 2019 | $ | 11,888 |
| | $ | 10,507 |
| Twelve months ended: | | | | December 31, 2020 | 41,442 |
| | 40,407 |
| December 31, 2021 | 35,601 |
| | 36,938 |
| December 31, 2022 | 35,292 |
| | 34,531 |
| December 31, 2023 | 33,792 |
| | 32,345 |
| Five years ended: | | | | December 31, 2028 | 147,828 |
| | 135,566 |
| December 31, 2033 | 108,291 |
| | 90,347 |
| December 31, 2038 | 57,282 |
| | 46,459 |
| December 31, 2043 | 24,772 |
| | 16,205 |
| December 31, 2048 | 11,298 |
| | 6,637 |
| December 31, 2053 | 2,251 |
| | 1,314 |
| December 31, 2058 | 31 |
| | 20 |
| Total | $ | 509,768 |
| | $ | 451,276 |
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(1) Future premiums to be collected are undiscounted and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premiums 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 further described in Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2018. This 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. 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 may result in different 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.
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| 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: | | | | | | | | | | Nine Months Ended September 30, | | 2019 | | 2018 | Beginning gross loss and loss expense reserves | $ | (106,882 | ) | | $ | 4,113,802 |
| Reinsurance recoverable | 22,623 |
| | 40,658 |
| Beginning balance of net loss and loss expense reserves | (129,505 | ) | | 4,073,144 |
| Losses and loss expenses (benefit): | | | | Current year | 659 |
| | 976 |
| Prior years | (84,593 | ) | | (182,291 | ) | Total (1) (2) (3) | (83,934 | ) | | (181,315 | ) | Loss and loss expenses paid (recovered): | | | | Current year | 32 |
| | 143 |
| Prior years (3) | 298,909 |
| | 3,937,561 |
| Total | 298,941 |
| | 3,937,704 |
| Foreign exchange effect | (1,174 | ) | | (9,578 | ) | Ending net loss and loss expense reserves | (513,554 | ) | | (55,453 | ) | Impact of VIE consolidation | (72,159 | ) | | — |
| Reinsurance recoverable (4) | 25,749 |
| | 25,326 |
| Ending gross loss and loss expense reserves | $ | (559,964 | ) | | $ | (30,127 | ) |
| | (1) | Total losses and loss expenses (benefit) includes $(5,999) and $(123) for the nine months ended September 30, 2019 and 2018, respectively, related to ceded reinsurance. |
| | (2) | Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties ("R&W"s) by transaction sponsors within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated R&Ws for the nine months ended September 30, 2019 and 2018 was $15,365 and $56,928, respectively. |
| | (3) | On February 12, 2018, Deferred Amounts and Interest Accrued on Deferred Amounts in the amount of $3,000,158 and $856,834, respectively were settled in connection with the Rehabilitation Exit Transactions. 2018 includes a $288,204 loss and loss expense benefit on these settled Deferred Amounts. |
(4) Represents reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line "Reinsurance recoverable on paid and unpaid losses" includes reinsurance recoverables (payables) of $287 and $185 as of September 30, 2019 and 2018, respectively, related to previously presented loss and loss expenses and subrogation.
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| 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 September 30, 2019 and December 31, 2018. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at September 30, 2019 and December 31, 2018 was 1.8% and 2.8%, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Surveillance Categories as of September 30, 2019 | | I | | IA | | II | | III | | IV | | V | | Total | Number of policies | 34 |
| | 20 |
| | 11 |
| | 17 |
| | 136 |
| | 3 |
| | 221 |
| Remaining weighted-average contract period (in years) (1) | 8 |
| | 18 |
| | 10 |
| | 17 |
| | 15 |
| | 3 |
| | 15 |
| Gross insured contractual payments outstanding: | | | | | | | | | | | | | | Principal | $ | 748,982 |
| | $ | 649,596 |
| | $ | 137,345 |
| | $ | 900,525 |
| | $ | 3,890,338 |
| | $ | 37,962 |
| | $ | 6,364,748 |
| Interest | 371,462 |
| | 582,864 |
| | 74,611 |
| | 398,722 |
| | 1,692,337 |
| | 12,413 |
| | 3,132,409 |
| Total | $ | 1,120,444 |
| | $ | 1,232,460 |
| | $ | 211,956 |
| | $ | 1,299,247 |
| | $ | 5,582,675 |
| | $ | 50,375 |
| | $ | 9,497,157 |
| Gross undiscounted claim liability | $ | 2,037 |
| | $ | 53,685 |
| | $ | 12,569 |
| | $ | 523,533 |
| | $ | 1,710,357 |
| | $ | 50,343 |
| | $ | 2,352,524 |
| Discount, gross claim liability | (144 | ) | | (5,129 | ) | | (894 | ) | | (134,783 | ) | | (343,293 | ) | | (2,090 | ) | | (486,333 | ) | Gross claim liability before all subrogation and before reinsurance | 1,893 |
| | 48,556 |
| | 11,675 |
| | 388,750 |
| | 1,367,064 |
| | 48,253 |
| | 1,866,191 |
| Less: | | | | | | | | | | | | | | Gross RMBS subrogation (2) | — |
| | — |
| | — |
| | — |
| | (1,784,421 | ) | | — |
| | (1,784,421 | ) | Discount, RMBS subrogation | — |
| | — |
| | — |
| | — |
| | 29,477 |
| | — |
| | 29,477 |
| Discounted RMBS subrogation, before reinsurance | — |
| | — |
| | — |
| | — |
| | (1,754,944 | ) | | — |
| | (1,754,944 | ) | Less: | | | | | | | | | | | | | | Gross other subrogation (3) | (21 | ) | | — |
| | — |
| | (41,723 | ) | | (682,464 | ) | | (12,758 | ) | | (736,966 | ) | Discount, other subrogation | 2 |
| | — |
| | — |
| | 3,812 |
| | 41,743 |
| | 2,519 |
| | 48,076 |
| Discounted other subrogation, before reinsurance | (19 | ) | | — |
| | — |
| | (37,911 | ) | | (640,721 | ) | | (10,239 | ) | | (688,890 | ) | Gross claim liability, net of all subrogation and discounts, before reinsurance | 1,874 |
| | 48,556 |
| | 11,675 |
| | 350,839 |
| | (1,028,601 | ) | | 38,014 |
| | (577,643 | ) | Less: Unearned premium revenue | (1,405 | ) | | (9,307 | ) | | (840 | ) | | (7,902 | ) | | (35,854 | ) | | (164 | ) | | (55,472 | ) | Plus: Loss expense reserves | 837 |
| | 341 |
| | 975 |
| | 5,236 |
| | 65,762 |
| | — |
| | 73,151 |
| Gross loss and loss expense reserves | $ | 1,306 |
| | $ | 39,590 |
| | $ | 11,810 |
| | $ | 348,173 |
| | $ | (998,693 | ) | | $ | 37,850 |
| | $ | (559,964 | ) | Reinsurance recoverable reported on Balance Sheet (4) | $ | 140 |
| | $ | 9,417 |
| | $ | 3,962 |
| | $ | 23,604 |
| | $ | (11,087 | ) | | $ | — |
| | $ | 26,036 |
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| | (1) | Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. |
| | (2) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. |
| | (3) | Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS. |
| | (4) | Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $25,749 related to future loss and loss expenses and $287 related to presented loss and loss expenses and subrogation. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Surveillance Categories as of December 31, 2018 | | I | | IA | | II | | III | | IV | | V | | Total | Number of policies | 21 |
| | 28 |
| | 18 |
| | 16 |
| | 145 |
| | 3 |
| | 231 |
| Remaining weighted-average contract period (in years) (1) | 9 |
| | 19 |
| | 9 |
| | 22 |
| | 14 |
| | 3 |
| | 16 |
| Gross insured contractual payments outstanding: | | | | | | | | | | | | | | Principal | $ | 916,530 |
| | $ | 708,249 |
| | $ | 622,820 |
| | $ | 1,705,464 |
| | $ | 5,407,202 |
| | $ | 43,140 |
| | $ | 9,403,405 |
| Interest | 487,702 |
| | 631,708 |
| | 293,293 |
| | 6,979,130 |
| | 2,177,539 |
| | 13,401 |
| | 10,582,773 |
| Total | $ | 1,404,232 |
| | $ | 1,339,957 |
| | $ | 916,113 |
| | $ | 8,684,594 |
| | $ | 7,584,741 |
| | $ | 56,541 |
| | $ | 19,986,178 |
| Gross undiscounted claim liability | $ | 4,019 |
| | $ | 63,712 |
| | $ | 36,000 |
| | $ | 992,019 |
| | $ | 2,295,968 |
| | $ | 56,510 |
| | $ | 3,448,228 |
| Discount, gross claim liability | (481 | ) | | (13,008 | ) | | (3,069 | ) | | (433,709 | ) | | (637,548 | ) | | (4,143 | ) | | (1,091,958 | ) | Gross claim liability before all subrogation and before reinsurance | 3,538 |
| | 50,704 |
| | 32,931 |
| | 558,310 |
| | 1,658,420 |
| | 52,367 |
| | 2,356,270 |
| Less: | | | | | | | | | | | | | | Gross RMBS subrogation (2) | — |
| | — |
| | — |
| | — |
| | (1,809,937 | ) | | — |
| | (1,809,937 | ) | Discount, RMBS subrogation | — |
| | — |
| | — |
| | — |
| | 39,391 |
| | — |
| | 39,391 |
| Discounted RMBS subrogation, before reinsurance | — |
| | — |
| | — |
| | — |
| | (1,770,546 | ) | | — |
| | (1,770,546 | ) | Less: | | | | | | | | | | | | | | Gross other subrogation (3) | — |
| | (10,816 | ) | | — |
| | (136,541 | ) | | (624,654 | ) | | (12,880 | ) | | (784,891 | ) | Discount, other subrogation | — |
| | 7,318 |
| | — |
| | 67,008 |
| | 55,088 |
| | 3,774 |
| | 133,188 |
| Discounted other subrogation, before reinsurance | — |
| | (3,498 | ) | | — |
| | (69,533 | ) | | (569,566 | ) | | (9,106 | ) | | (651,703 | ) | Gross claim liability, net of all subrogation and discounts, before reinsurance | 3,538 |
| | 47,206 |
| | 32,931 |
| | 488,777 |
| | (681,692 | ) | | 43,261 |
| | (65,979 | ) | Less: Unearned premium revenue | (943 | ) | | (10,073 | ) | | (5,085 | ) | | (36,365 | ) | | (53,987 | ) | | (209 | ) | | (106,662 | ) | Plus: Loss expense reserves | 1,369 |
| | 4,253 |
| | 2,564 |
| | (5,926 | ) | | 63,499 |
| | — |
| | 65,759 |
| Gross loss and loss expense reserves | $ | 3,964 |
| | $ | 41,386 |
| | $ | 30,410 |
| | $ | 446,486 |
| | $ | (672,180 | ) | | $ | 43,052 |
| | $ | (106,882 | ) | Reinsurance recoverable reported on Balance Sheet (4) | $ | 367 |
| | $ | 7,285 |
| | $ | 4,223 |
| | $ | 26,096 |
| | $ | (14,838 | ) | | $ | — |
| | $ | 23,133 |
|
| | (1) | Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. |
| | (2) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. |
| | (3) | Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS. |
| | (4) | Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $22,623 related to future loss and loss expenses and $510 related |
to presented loss and loss expenses and subrogation.
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| Summary of Rollforward of RMBS Subrogation, by Estimation Approach |
Below is the rollforward of R&W subrogation for the affected periods: | | | | | | | | | | Nine Months Ended September 30, | | 2019 | | 2018 | Discounted R&W subrogation (gross of reinsurance) at beginning of period | $ | 1,770,546 |
| | $ | 1,834,387 |
| Changes recognized during the period: | | | | Impact of sponsor actions (1) | — |
| | — |
| All other changes (2) | (15,602 | ) | | (58,139 | ) | Discounted R&W subrogation (gross of reinsurance) at end of period | $ | 1,754,944 |
| | $ | 1,776,248 |
|
| | (1) | Sponsor actions include loan repurchases, direct payments to Ambac and other contributions from sponsors. |
(2) All other changes which may impact RMBS R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries.
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| Insurance Intangible Asset [Member] |
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| Insurance [Line Items] |
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| 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: | | | | | | Amortization expense (1) | | | 2019 (three months) | | $ | 11,918 |
| 2020 | | 44,390 |
| 2021 | | 39,019 |
| 2022 | | 35,425 |
| 2023 | | 32,266 |
| Thereafter | | 270,506 |
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(1) Future amortization considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations. If those bonds types are retired early, amortization expense may differ in the period of call or refinancing.
|