XML 37 R17.htm IDEA: XBRL DOCUMENT
v2.4.0.6

Investments | 12 Months Ended
--- | ---
Dec. 31, 2011
Investments [Abstract] |
Investments | 9 INVESTMENTS The amortized cost and estimated fair value of investments, excluding VIE investments, at December 31, 2011 and December 31, 2010 were as follows:
|  | Amortized Cost |  |  | Gross Unrealized Gains |  |  | Gross Unrealized Losses |  |  | Estimated Fair Value |  |  | Non-credit other- than-temporary Impairments(1) |
December 31, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,858,493 |  |  | $ | 144,989 |  |  | $ | 483 |  |  | $ | 2,002,999 |  |  | $ | — |
Corporate obligations |  |  | 1,087,629 |  |  |  | 63,074 |  |  |  | 23,203 |  |  |  | 1,127,500 |  |  |  | — |
Foreign obligations |  |  | 89,951 |  |  |  | 4,844 |  |  |  | — |  |  |  | 94,795 |  |  |  | — |
U.S. government obligations |  |  | 107,717 |  |  |  | 3,847 |  |  |  | 2 |  |  |  | 111,562 |  |  |  | — |
U.S. agency obligations |  |  | 80,960 |  |  |  | 5,911 |  |  |  | — |  |  |  | 86,871 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,119,517 |  |  |  | 350,816 |  |  |  | 57,816 |  |  |  | 1,412,517 |  |  |  | 20,907 |
Collateralized debt obligations |  |  | 48,686 |  |  |  | 142 |  |  |  | 2,591 |  |  |  | 46,237 |  |  |  | — |
Other asset-backed securities |  |  | 953,944 |  |  |  | 53,965 |  |  |  | 60,101 |  |  |  | 947,808 |  |  |  | — |
|  |  | 5,346,897 |  |  |  | 627,588 |  |  |  | 144,196 |  |  |  | 5,830,289 |  |  |  | 20,907 |
Short-term |  |  | 783,015 |  |  |  | 57 |  |  |  | 1 |  |  |  | 783,071 |  |  |  | — |
Other |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | 100 |  |  |  | — |
|  |  | 6,130,012 |  |  |  | 627,645 |  |  |  | 144,197 |  |  |  | 6,613,460 |  |  |  | 20,907 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 259,401 |  |  |  | 1,525 |  |  |  | 124 |  |  |  | 260,802 |  |  |  | — |
Residential mortgage-backed securities |  |  | 2,557 |  |  |  | 171 |  |  |  | — |  |  |  | 2,728 |  |  |  | — |
Total collateralized investments |  |  | 261,958 |  |  |  | 1,696 |  |  |  | 124 |  |  |  | 263,530 |  |  |  | — |
Total investments |  | $ | 6,391,970 |  |  | $ | 629,341 |  |  | $ | 144,321 |  |  | $ | 6,876,990 |  |  | $ | 20,907 |
December 31, 2010 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,878,857 |  |  | $ | 54,093 |  |  | $ | 11,614 |  |  | $ | 1,921,336 |  |  | $ | — |
Corporate obligations |  |  | 897,670 |  |  |  | 44,015 |  |  |  | 23,777 |  |  |  | 917,908 |  |  |  | — |
Foreign obligations |  |  | 113,127 |  |  |  | 5,328 |  |  |  | — |  |  |  | 118,455 |  |  |  | — |
U.S. government obligations |  |  | 153,609 |  |  |  | 3,299 |  |  |  | 35 |  |  |  | 156,873 |  |  |  | — |
U.S. agency obligations |  |  | 81,696 |  |  |  | 6,598 |  |  |  | — |  |  |  | 88,294 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,239,107 |  |  |  | 300,302 |  |  |  | 40,717 |  |  |  | 1,498,692 |  |  |  | 1,111 |
Collateralized debt obligations |  |  | 40,997 |  |  |  | 391 |  |  |  | 9,132 |  |  |  | 32,256 |  |  |  | — |
Other asset-backed securities |  |  | 1,019,894 |  |  |  | 28,274 |  |  |  | 43,857 |  |  |  | 1,004,311 |  |  |  | — |
|  |  | 5,424,957 |  |  |  | 442,300 |  |  |  | 129,132 |  |  |  | 5,738,125 |  |  |  | 1,111 |
Short-term |  |  | 991,567 |  |  |  | — |  |  |  | — |  |  |  | 991,567 |  |  |  | — |
Other |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | 100 |  |  |  | — |
|  |  | 6,416,624 |  |  |  | 442,300 |  |  |  | 129,132 |  |  |  | 6,729,792 |  |  |  | 1,111 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 113,232 |  |  |  | 2,170 |  |  |  | — |  |  |  | 115,402 |  |  |  | — |
Residential mortgage-backed securities |  |  | 7,686 |  |  |  | 431 |  |  |  | — |  |  |  | 8,117 |  |  |  | — |
Total collateralized investments |  |  | 120,918 |  |  |  | 2,601 |  |  |  | — |  |  |  | 123,519 |  |  |  | — |
Total investments |  | $ | 6,537,542 |  |  | $ | 444,901 |  |  | $ | 129,132 |  |  | $ | 6,853,311 |  |  | $ | 1,111 |
(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, 2011 and December 31, 2010.
Foreign obligations at December 31, 2011 and 2010 consist primarily of government issued securities which are denominated in Pounds Sterling and held by Ambac UK. The amortized cost and estimated fair value of investments, excluding VIE investments, at December 31, 2011, by contractual maturity, were as follows:
|  | Amortized Cost |  |  | Estimated Fair Value |
Due in one year or less |  | $ | 558,644 |  |  | $ | 560,337 |
Due after one year through five years |  |  | 922,516 |  |  |  | 957,806 |
Due after five years through ten years |  |  | 1,129,842 |  |  |  | 1,200,935 |
Due after ten years |  |  | 1,656,264 |  |  |  | 1,748,622 |
|  |  | 4,267,266 |  |  |  | 4,467,700 |
Residential mortgage-backed securities |  |  | 1,122,074 |  |  |  | 1,415,245 |
Collateralized debt obligations |  |  | 48,686 |  |  |  | 46,237 |
Other asset-backed securities |  |  | 953,944 |  |  |  | 947,808 |
|  | $ | 6,391,970 |  |  | $ | 6,876,990 |
Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Unrealized Losses: The following table shows gross unrealized losses and fair values of Ambac's investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at December 31, 2011 and 2010:
|  | 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, 2011: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations. |  | $ | 9,359 |  |  | $ | 309 |  |  | $ | 14,635 |  |  | $ | 174 |  |  | $ | 23,994 |  |  | $ | 483 |
Corporate obligations |  |  | 155,528 |  |  |  | 6,220 |  |  |  | 178,861 |  |  |  | 16,983 |  |  |  | 334,389 |  |  |  | 23,203 |
U.S. government obligations |  |  | 130,422 |  |  |  | 126 |  |  |  | — |  |  |  | — |  |  |  | 130,422 |  |  |  | 126 |
Residential mortgage-backed securities |  |  | 125,826 |  |  |  | 14,495 |  |  |  | 105,705 |  |  |  | 43,321 |  |  |  | 231,531 |  |  |  | 57,816 |
Collateralized debt obligations |  |  | 33,037 |  |  |  | 840 |  |  |  | 12,482 |  |  |  | 1,751 |  |  |  | 45,519 |  |  |  | 2,591 |
Other asset-backed securities |  |  | 181,792 |  |  |  | 8,319 |  |  |  | 204,855 |  |  |  | 51,782 |  |  |  | 386,647 |  |  |  | 60,101 |
|  |  | 635,964 |  |  |  | 30,309 |  |  |  | 516,538 |  |  |  | 114,011 |  |  |  | 1,152,502 |  |  |  | 114,320 |
Short-term |  |  | 5,773 |  |  |  | 1 |  |  |  | — |  |  |  | — |  |  |  | 5,773 |  |  |  | 1 |
Total temporarily impaired securities |  | $ | 641,737 |  |  | $ | 30,310 |  |  | $ | 516,538 |  |  | $ | 114,011 |  |  | $ | 1,158,275 |  |  | $ | 144,321 |
December 31, 2010: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 281,760 |  |  | $ | 7,633 |  |  | $ | 33,946 |  |  | $ | 3,981 |  |  | $ | 315,706 |  |  | $ | 11,614 |
Corporate obligations |  |  | 51,806 |  |  |  | 1,691 |  |  |  | 212,417 |  |  |  | 22,086 |  |  |  | 264,223 |  |  |  | 23,777 |
U.S. government obligations |  |  | 4,981 |  |  |  | 35 |  |  |  | — |  |  |  | — |  |  |  | 4,981 |  |  |  | 35 |
Residential mortgage-backed securities |  |  | 22,180 |  |  |  | 537 |  |  |  | 127,782 |  |  |  | 40,180 |  |  |  | 149,962 |  |  |  | 40,717 |
Collateralized debt obligations |  |  | — |  |  |  | — |  |  |  | 30,433 |  |  |  | 9,132 |  |  |  | 30,433 |  |  |  | 9,132 |
Other asset-backed securities |  |  | 101,950 |  |  |  | 1,515 |  |  |  | 440,731 |  |  |  | 42,342 |  |  |  | 542,681 |  |  |  | 43,857 |
Total temporarily impaired securities |  | $ | 462,677 |  |  | $ | 11,411 |  |  | $ | 845,309 |  |  | $ | 117,721 |  |  | $ | 1,307,986 |  |  | $ | 129,132 |
Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of December 31, 2011 and 2010 based upon (i) no unexpected principal and interest payment defaults on these securities; (ii) analysis of the creditworthiness of the issuer and financial guarantor, as applicable, and analysis of projected defaults on the underlying collateral; (iii) management has no intent to sell these investments in debt securities; and (iv) it is not more likely than not that Ambac will be required to sell these debt securities before the anticipated recovery of its amortized cost basis. The assessment under (iv) is based on a comparison of future available liquidity from the fixed income investment portfolio against the projected net cash outflow from operating activities and debt service. For purposes of this assessment, available liquidity from the fixed income investment portfolio is comprised of the fair value of securities for which management has asserted its intent to sell plus the scheduled maturities and interest payments from the remaining securities in the portfolio. To the extent that securities that management intends to sell are in an unrealized loss position, they would have already been considered other-than-temporarily impaired with the amortized cost written down to fair value. As of December 31, 2011 and 2010, management has not asserted an intent to sell any securities in an unrealized loss position from its portfolio. Because the above-described assessment indicates that future available liquidity exceeds projected net cash outflow, it is not more likely than not that we would be required to sell securities before the recovery of their amortized cost basis. In the liquidity assessment described above, principal payments on securities pledged as collateral are not considered to be available for other liquidity needs until the collateralized positions are projected to be settled. Projected interest receipts on securities pledged as collateral generally belong to Ambac and are considered to be sources of available liquidity from the investment portfolio. As of December 31, 2011, for securities that have indications of possible other-than-temporary impairment but which management does not intend to sell and will not more likely than not be required to sell, management compared the present value of cash flows expected to be collected to the amortized cost basis of the securities to assess whether the amortized cost will be recovered. Cash flows were discounted at the effective interest rate implicit in the security at the date of acquisition or for debt securities that are beneficial interests in securitized financial assets, at a rate equal to the current yield used to accrete the beneficial interest. For floating rate securities, future cash flows and the discount rate used were both adjusted to reflect changes in the index rate applicable to each security as of the evaluation date. Of the securities that were in a gross unrealized loss position at December 31, 2011, $268,633 of the total fair value and $77,947 of the unrealized loss related to below investment grade securities and non-rated securities. Of the securities that were in a gross unrealized loss position at December 31, 2010, $110,120 of the total fair value and $31,521 of the unrealized loss related to below investment grade securities and non-rated securities. Corporate Obligations Gross unrealized losses on corporate obligations during the year ended December 31, 2011 is primarily the result of an increase in credit spreads on life insurers. Of the $16,983 of unrealized losses on corporate obligations greater than 12 months, one security comprises $7,014 of the total. This security, which was purchased in multiple lots, is a closed-block life insurance issuance that is insured by Assured Guaranty Municipal Corporation, has been in an unrealized loss position for 30-48 months. Another security comprises $6,494 of the total. This security, which is an issuance by a large diversified financial services company that has a credit support agreement from its AA-rated parent, has been in an unrealized loss position for 54 months. The unrealized losses on these securities are the result of general credit spread widening since the date of purchase. Given the investment grade ratings, management believes that timely receipt of all principal and interest is probable. Residential mortgage-backed securities The gross unrealized loss on mortgage-backed securities as of December 31, 2011 is primarily related to Alt-A residential mortgage-backed securities. Of the $43,321 of unrealized losses on mortgage-backed securities for greater than 12 months, $42,984, or 99.2%, is attributable to 16 individual Alt-A securities. These individual securities have been in an unrealized loss position for 48 months. Each of these Alt-A securities have very similar characteristics such as vintage of the underlying collateral (2004-2007) and placement in the structure (generally class-A tranche rated triple-A at issuance). The significant declines in fair value relate to the actual and potential effects of declining U.S. housing prices, the recession and weak economic conditions in general on the performance of collateral underlying residential mortgage backed securities. This has been reflected in decreased liquidity for RMBS securities and increased risk premiums demanded by investors resulting in a required return on investment that is significantly higher than at the time the securities were purchased. As part of the quarterly impairment review process, management estimates expected future cash flows from residential mortgage backed securities, considering the likelihood of a wide dispersion of possible outcomes to develop cash flow scenarios. Management has contracted consultants to model each of the securities in our portfolio. This approach includes the utilization of market accepted software tools in conjunction with detailed data of the historical performance of the collateral pools, which assists in the determination of assumptions such as defaults, severity and voluntary prepayment rates that are largely driven by home price forecasts as well as other macro-economic factors. These assumptions are used to project various future cash flow scenarios for each security. The expected future cash flows used to assess impairment are derived by probability-weighting the various cash flow scenarios. Management considered this analysis in making our determination that non-receipt of contractual cash flows is not probable on these transactions. Other asset-backed securities The increase in gross unrealized losses on other asset-backed securities during the year ended December 31, 2011 is the result of overall risk aversion in the market due to economic uncertainty in the United States and abroad, as well as a flight to higher quality, more liquid investments. Of the $51,782 of unrealized losses on other asset-backed securities greater than 12 months, one security comprises $31,836 of the total. This security, which is secured by lease payments on an IRS facility and is insured by Ambac Assurance, has been in an unrealized loss position for 48 months. The unrealized loss on this security is largely due to the illiquid nature of this structured transaction which does not trade in the broad secondary market. Management believes that the timely receipt of all principal and interest on this position as well as on other asset-backed securities is probable. Realized Gains and Losses and Other-Than-Temporary Impairments: The following table details amounts included in net realized gains (losses) and other-than-temporary impairments included in earnings for the years ended December 31, 2011 and 2010:
|  | 2011 |  |  | 2010 |
Gross realized gains on securities |  | $ | 21,590 |  |  | $ | 159,201 |
Gross realized losses on securities |  |  | (5,679 | ) |  |  | (86,588 | )
Gains on investment agreement terminations |  |  | 3,119 |  |  |  | 74,551 |
Loss on sale of subsidiary |  |  | — |  |  |  | (521 | )
Gain on extinguishment of corporate debentures |  |  | — |  |  |  | 10,693 |
Foreign exchange gains |  |  | 1,436 |  |  |  | 2,115 |
Net realized gains |  | $ | 20,466 |  |  | $ | 159,451 |
Net other–than-temporary impairments(1) |  | $ | (63,843 | ) |  | $ | (59,803 | )
(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.
Other-than-temporary impairment charges to earnings were $63,843 for the year ended December 31, 2011. These losses primarily resulted from adverse changes to projected cash flows on securities guaranteed by Ambac Assurance and on certain Alt-A residential mortgage-backed securities. As further described in Note 1, on March 24, 2010, the OCI commenced Segregated Account Rehabilitation Proceedings in order to permit the OCI to facilitate an orderly run-off and/or settlement of the liabilities allocated to the Segregated Account. As a result of actions taken by OCI, financial guarantee payments on securities guaranteed by Ambac Assurance which have been allocated to the Segregated Account were suspended in March 2010 and are no longer under the control of Ambac management. Claim payments under Segregated Account policies have remained suspended throughout the year ended December 31, 2011. Further, delays in the estimated effective date of the Segregated Account Rehabilitation Plan and resumption of claim payments thereunder have resulted in adverse changes in projected cash flows on certain impaired Ambac-wrapped securities during year ended December 31, 2011. Other-than-temporary impairment charges were $59,803 for the year ended December 31, 2010. Charges in 2010 included $42,656 related to credit losses on securities guaranteed by Ambac Assurance arising from the impact of the Segregated Account Rehabilitation Plan on projected cash flows. Additionally, other-than-temporary impairment charges of $17,147 for the year ended December 31, 2010, related to securities that management intended to sell primarily to meet liquidity needs at that time. As of December 31, 2011, management has not asserted an intent to sell any securities in an unrealized loss position from its portfolio. Future changes in our estimated liquidity needs could result in a determination that Ambac no longer has the ability to hold such securities, which could result in additional other-than-temporary impairment charges. Management's cash flow projections used in the impairment evaluation of Ambac-wrapped securities as of December 31, 2011 include an assumption that claim payments under the Segregated Account Rehabilitation Plan resume in June 2012. Delays in the effective date of the Segregated Account Rehabilitation Plan beyond this date could result in additional other-than-temporary impairment charges. The following table presents a roll-forward of Ambac's cumulative credit impairments that were recognized in earnings on securities held as of December 31, 2011 and December 31, 2010:
|  | Credit Impairment |
|  | 2011 |  |  | 2010 |
Balance as of January 1 |  | $ | 139,766 |  |  | $ | 98,654 |
Additions for credit impairments recognized on: |  |  |  |  |  |  |  |
Securities not previously impaired |  |  | 57,446 |  |  |  | 27,057 |
Securities previously impaired |  |  | 6,397 |  |  |  | 15,599 |
Reductions for credit impairments previously recognized on: |  |  |  |  |  |  |  |
Securities that matured or were sold during the period |  |  | (2,292 | ) |  |  | (1,544 | )
Balance as of December 31 |  | $ | 201,317 |  |  | $ | 139,766 |
Counterparty Collateral, Deposits with Regulators and Other Restrictions: Ambac routinely pledges and receives collateral related to certain business lines and/or transactions. The following is a description of those arrangements by collateral source:
(1) | Cash and securities held in Ambac's investment portfolio—Ambac pledges assets it holds in its investment portfolio to investment and repurchase 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, 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.
The following table presents (i) the sources of collateral either received from various counterparties where Ambac is permitted to sell or re-pledge or directly held in the investment portfolio and (ii) how that collateral was pledged to various investment agreement, derivative and repurchase agreement counterparties at December 31, 2011 and December 31, 2010:
|  | Fair Value of Cash and Underlying Securities |  |  | Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties |  |  | Fair Value of Cash and Securities Pledged to Derivative Counterparties |
December 31, 2011: |  |  |  |  |  |  |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |  |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 874,987 |  |  | $ | 564,036 |  |  | $ | 310,951 |
Cash and securities pledged from its derivative counterparties |  |  | — |  |  |  | — |  |  |  | — |
December 31, 2010: |  |  |  |  |  |  |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |  |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 962,919 |  |  | $ | 846,124 |  |  | $ | 116,795 |
Cash and securities pledged from its derivative counterparties |  |  | 7,005 |  |  |  | — |  |  |  | 7,005 |
Securities carried at $7,132 and $6,947 at December 31, 2011 and December 31, 2010, respectively, were deposited by Ambac Assurance and Everspan with governmental authorities or designated custodian banks as required by laws affecting insurance companies. At December 31, 2011, securities with a fair value of $172,880 were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a resecuritization transaction. The securities may not be sold or repledged by the trust. These assets are held and the secured debt is issued by entities that qualify as VIEs and are consolidated in Ambac's consolidated financial statements. Refer to Note 3, Special Purpose Entities, Including Variable Interest Entities and Note 12, Long-term Debt for a further description of this transaction. Guaranteed Securities: Ambac's fixed income portfolio includes securities covered by guarantees issued by Ambac Assurance and other financial guarantors ("insured securities"). The published rating agency ratings on these securities reflect the higher of the financial strength rating of the financial guarantor or the rating of the underlying issuer. Rating agencies do not always publish separate underlying ratings (those ratings excluding the insurance by the financial guarantor) because the insurance cannot be legally separated from the underlying security by the insurer. Ambac obtains underlying ratings through ongoing dialogue with rating agencies and other sources. In the event these underlying ratings are not available from the rating agencies, Ambac will assign an internal rating. 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, 2011 and 2010, respectively:
|  | Municipal obligations |  |  | Corporate obligations |  |  | Mortgage and asset- backed securities |  |  | Short-term |  |  | Total |  |  | Weighted Average Underlying Rating(1) |
2011: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 59,881 |  |  | $ | 4,624 |  |  | $ | 1,123,858 |  |  | $ | — |  |  | $ | 1,188,363 |  |  |  | B+ |
National Public Finance Guarantee Corporation |  |  | 816,683 |  |  |  | 82,392 |  |  |  | — |  |  |  | — |  |  |  | 899,075 |  |  |  | A+ |
Assured Guaranty Municipal Corporation |  |  | 446,978 |  |  |  | 160,204 |  |  |  | 9,263 |  |  |  | 24,000 |  |  |  | 640,445 |  |  |  | A |
Assured Guaranty Corporation |  |  | — |  |  |  | — |  |  |  | 38,424 |  |  |  | — |  |  |  | 38,424 |  |  |  | CCC+ |
Financial Guarantee Insurance Corporation |  |  | 17,350 |  |  |  | — |  |  |  | 7,724 |  |  |  | — |  |  |  | 25,074 |  |  |  | BBB+ |
MBIA Insurance Corporation |  |  | — |  |  |  | 19,082 |  |  |  | 3,769 |  |  |  | — |  |  |  | 22,851 |  |  |  | BBB- |
Total |  | $ | 1,340,892 |  |  | $ | 266,302 |  |  | $ | 1,183,038 |  |  | $ | 24,000 |  |  | $ | 2,814,232 |  |  |  | BBB |
2010: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 55,786 |  |  | $ | 4,547 |  |  | $ | 840,228 |  |  | $ | — |  |  | $ | 900,561 |  |  |  | BB |
National Public Finance Guarantee Corporation |  |  | 815,824 |  |  |  | 80,942 |  |  |  | — |  |  |  | — |  |  |  | 896,766 |  |  |  | AA- |
Assured Guaranty Municipal Corporation |  |  | 399,408 |  |  |  | 151,094 |  |  |  | 25,805 |  |  |  | 22,500 |  |  |  | 598,807 |  |  |  | A |
Assured Guaranty Corporation |  |  | — |  |  |  | — |  |  |  | 45,047 |  |  |  | — |  |  |  | 45,047 |  |  |  | CCC+ |
Financial Guarantee Insurance Corporation |  |  | 16,428 |  |  |  | — |  |  |  | 11,800 |  |  |  | — |  |  |  | 28,228 |  |  |  | BBB+ |
MBIA Insurance Corporation |  |  | — |  |  |  | 19,547 |  |  |  | 5,630 |  |  |  | — |  |  |  | 25,177 |  |  |  | BBB- |
Total |  | $ | 1,287,446 |  |  | $ | 256,130 |  |  | $ | 928,510 |  |  | $ | 22,500 |  |  | $ | 2,494,586 |  |  |  | BBB+ |
(1) | Ratings are based on the lower of Standard & Poor's or Moody's rating. If unavailable, Ambac's internal rating is used.
Investment Income: Net investment income was comprised of the following:
|  | 2011 |  |  | 2010 |
Fixed income securities |  | $ | 355,522 |  |  | $ | 357,151 |
Short-term investments |  |  | 1,789 |  |  |  | 1,625 |
Other investments |  |  | — |  |  |  | 2,205 |
Hedge amortization |  |  | — |  |  |  | 7 |
Loans |  |  | 890 |  |  |  | 920 |
Total investment income |  |  | 358,201 |  |  |  | 361,908 |
Investment expense |  |  | (3,411 | ) |  |  | (3,345 | )
Net investment income |  | $ | 354,790 |  |  | $ | 358,563 |

X
- Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investments in certain debt and equity securities (and certain other trading assets) which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. Other trading assets include assets that are carried on the balance sheet at fair value and held for trading purposes. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. An entity may opt to provide the reader with additional narrative text to better understand the nature of investments in debt and equity securities (and other trading assets). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27405-111563 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 -Topic 320 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27161-111563 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 -Topic 320 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 115 -Paragraph 3, 19, 20, 21, 22, 137 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27232-111563 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27357-111563 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27290-111563 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration