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Losses and Loss Expense Reserve (Tables) | 6 Months Ended
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Jun. 30, 2012
Losses and Loss Expense Reserve [Abstract] |
Summary of loss reserve roll-forward, net of subrogation recoverable and reinsurance |
|  | Six months Ended June 30, 2012 |  |  | Year Ended December 31, 2011 |
Beginning balance of net loss reserves, net of subrogation recoverable and reinsurance |  |  | 6,230,780 |  |  |  | 4,424,450 |
Changes in the loss reserves due to: |  |  |  |  |  |  |  |
Current year: |  |  |  |  |  |  |  |
Establishment of new loss reserves, gross of subrogation and net of reinsurance |  |  | 147,712 |  |  |  | 503,697 |
Claim payments, net of subrogation and reinsurance |  |  | (2,968 | ) |  |  | (2,442 | )
Establishment of subrogation recoveries, net of reinsurance |  |  | — |  |  |  | (9,761 | )
Total current year |  |  | 144,744 |  |  |  | 491,494 |
Prior year: |  |  |  |  |  |  |  |
Change in previously established loss reserves, gross of subrogation and net of reinsurance |  |  | 662,809 |  |  |  | 1,683,831 |
Change in previously established subrogation recoveries, net of reinsurance |  |  | (64,420 | ) |  |  | (324,151 | )
Claim recoveries (payments), net of subrogation recoverable and reinsurance |  |  | 28,705 |  |  |  | (179,440 | )
Total prior year |  |  | 627,094 |  |  |  | 1,180,240 |
Changes in loss reserves |  |  | 771,838 |  |  |  | 1,671,734 |
Net deconsolidation of certain VIEs |  |  | — |  |  |  | 134,596 |
Ending loss reserves, net of subrogation recoverable and reinsurance |  | $ | 7,002,618 |  |  | $ | 6,230,780 |
Summary of information related to policies currently included in Ambac's loss reserves | Surveillance Categories (at June 30, 2012)
|  | I/SL |  |  | IA |  |  | II |  |  | III |  |  | IV |  |  | V |  |  | Total |
Number of policies |  |  | 29 |  |  |  | 9 |  |  |  | 39 |  |  |  | 122 |  |  |  | 153 |  |  |  | 1 |  |  |  | 353 |
Remaining weighted-average contract period (in years) |  |  | 21 |  |  |  | 10 |  |  |  | 18 |  |  |  | 18 |  |  |  | 10 |  |  |  | 6 |  |  |  | 14 |
Gross insured contractual payments outstanding: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal |  |  | 1,471,818 |  |  |  | 149,122 |  |  |  | 2,025,972 |  |  |  | 10,755,291 |  |  |  | 13,190,115 |  |  |  | 47 |  |  |  | 27,592,365 |
Interest |  |  | 904,999 |  |  |  | 72,942 |  |  |  | 1,136,858 |  |  |  | 6,355,180 |  |  |  | 3,459,207 |  |  |  | 22 |  |  |  | 11,929,208 |
Total |  |  | 2,376,817 |  |  |  | 222,064 |  |  |  | 3,162,830 |  |  |  | 17,110,471 |  |  |  | 16,649,322 |  |  |  | 69 |  |  |  | 39,521,573 |
Gross undiscounted claim liability |  |  | 43,445 |  |  |  | 34,536 |  |  |  | 55,755 |  |  |  | 4,261,839 |  |  |  | 8,837,054 |  |  |  | 69 |  |  |  | 13,232,698 |
Discount, gross claim liability |  |  | (3,686 | ) |  |  | (3,690 | ) |  |  | (3,740 | ) |  |  | (1,227,473 | ) |  |  | (807,445 | ) |  |  | (16 | ) |  |  | (2,046,050 | )
Gross claim liability before all subrogation and before reinsurance |  |  | 39,759 |  |  |  | 30,846 |  |  |  | 52,015 |  |  |  | 3,034,366 |  |  |  | 8,029,609 |  |  |  | 53 |  |  |  | 11,186,648 |
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross RMBS subrogation (1) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (203,515 | ) |  |  | (2,610,036 | ) |  |  | — |  |  |  | (2,813,551 | )
Discount, RMBS subrogation |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,995 |  |  |  | 40,365 |  |  |  | — |  |  |  | 43,360 |
Discounted RMBS subrogation, before reinsurance |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (200,520 | ) |  |  | (2,569,671 | ) |  |  | — |  |  |  | (2,770,191 | )
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross other subrogation (2) |  |  | — |  |  |  | (83 | ) |  |  | (0 | ) |  |  | (51,912 | ) |  |  | (813,462 | ) |  |  | — |  |  |  | (865,457 | )
Discount, other subrogation |  |  | — |  |  |  | 22 |  |  |  | 0 |  |  |  | 7,001 |  |  |  | 26,373 |  |  |  | — |  |  |  | 33,396 |
Discounted other subrogation, before reinsurance |  |  | — |  |  |  | (61 | ) |  |  | (0 | ) |  |  | (44,911 | ) |  |  | (787,089 | ) |  |  | — |  |  |  | (832,060 | )
Gross claim liability, net of all subrogation and discounts, before reinsurance |  |  | 39,759 |  |  |  | 30,785 |  |  |  | 52,015 |  |  |  | 2,788,935 |  |  |  | 4,672,849 |  |  |  | 53 |  |  |  | 7,584,396 |
Less: Unearned premium reserves |  |  | (21,956 | ) |  |  | (1,987 | ) |  |  | (23,501 | ) |  |  | (364,919 | ) |  |  | (146,339 | ) |  |  | — |  |  |  | (558,702 | )
Plus: Loss adjustment expenses reserves |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 139,872 |  |  |  | — |  |  |  | 139,872 |
Claim liability reported on Balance Sheet, before reinsurance (3) |  |  | 17,803 |  |  |  | 28,798 |  |  |  | 28,514 |  |  |  | 2,424,016 |  |  |  | 4,666,382 |  |  |  | 53 |  |  |  | 7,165,566 |
Reinsurance recoverable reported on Balance Sheet |  |  | 2,124 |  |  |  | — |  |  |  | 6,240 |  |  |  | 143,202 |  |  |  | 18,395 |  |  |  | — |  |  |  | 169,961 |
(1) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representations and warranty breaches.
(2) | Other subrogation represents subrogation other than subrogation as defined in (1) above.
Surveillance Categories (at December 31, 2011)
|  | I/SL |  |  | IA |  |  | II |  |  | III |  |  | IV |  |  | V |  |  | Total |
Number of policies |  |  | 27 |  |  |  | 10 |  |  |  | 38 |  |  |  | 125 |  |  |  | 129 |  |  |  | 1 |  |  |  | 330 |
Remaining weighted-average contract period (in years) |  |  | 18 |  |  |  | 10 |  |  |  | 17 |  |  |  | 19 |  |  |  | 9 |  |  |  | 6 |  |  |  | 13 |
Gross insured contractual payments outstanding: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal |  | $ | 2,222,493 |  |  | $ | 354,713 |  |  | $ | 2,060,102 |  |  | $ | 13,342,814 |  |  | $ | 13,092,057 |  |  | $ | 47 |  |  | $ | 31,072,226 |
Interest |  |  | 1,069,538 |  |  |  | 100,448 |  |  |  | 1,088,036 |  |  |  | 8,117,496 |  |  |  | 3,587,812 |  |  |  | 29 |  |  |  | 13,963,359 |
Total |  | $ | 3,292,031 |  |  | $ | 455,161 |  |  | $ | 3,148,138 |  |  | $ | 21,460,310 |  |  | $ | 16,679,869 |  |  | $ | 76 |  |  | $ | 45,035,585 |
Gross undiscounted claim liability |  | $ | 48,573 |  |  | $ | 10,667 |  |  | $ | 52,355 |  |  | $ | 4,766,815 |  |  | $ | 7,632,709 |  |  | $ | 75 |  |  | $ | 12,511,194 |
Discount, gross claim liability |  |  | (4,208 | ) |  |  | (2,316 | ) |  |  | (3,800 | ) |  |  | (1,440,704 | ) |  |  | (828,061 | ) |  |  | (20 | ) |  |  | (2,279,109 | )
Gross claim liability before all subrogation and before reinsurance |  | $ | 44,365 |  |  | $ | 8,351 |  |  | $ | 48,555 |  |  | $ | 3,326,111 |  |  | $ | 6,804,648 |  |  | $ | 55 |  |  | $ | 10,232,085 |
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross RMBS subrogation (1) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (461,725 | ) |  |  | (2,316,920 | ) |  |  | — |  |  |  | (2,778,645 | )
Discount, RMBS subrogation |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 12,278 |  |  |  | 46,101 |  |  |  | — |  |  |  | 58,379 |
Discounted RMBS subrogation, before reinsurance |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (449,447 | ) |  |  | (2,270,819 | ) |  |  | — |  |  |  | (2,720,266 | )
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross other subrogation (2) |  |  | — |  |  |  | (256 | ) |  |  | — |  |  |  | (52,871 | ) |  |  | (667,744 | ) |  |  | — |  |  |  | (720,871 | )
Discount, other subrogation |  |  | — |  |  |  | 77 |  |  |  | — |  |  |  | 6,550 |  |  |  | 45,912 |  |  |  | — |  |  |  | 52,539 |
Discounted other subrogation, before reinsurance |  |  | — |  |  |  | (179 | ) |  |  | — |  |  |  | (46,321 | ) |  |  | (621,832 | ) |  |  | — |  |  |  | (668,332 | )
Gross claim liability, net of all subrogation and discounts, before reinsurance |  |  | 44,365 |  |  |  | 8,172 |  |  |  | 48,555 |  |  |  | 2,830,343 |  |  |  | 3,911,997 |  |  |  | 55 |  |  |  | 6,843,487 |
Less: Unearned premium reserves |  |  | (25,264 | ) |  |  | (5,126 | ) |  |  | (22,111 | ) |  |  | (335,332 | ) |  |  | (158,687 | ) |  |  | — |  |  |  | (546,520 | )
Plus: Loss adjustment expenses reserves |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 87,294 |  |  |  | — |  |  |  | 87,294 |
Claim liability reported on Balance Sheet, before reinsurance (3) |  |  | 19,101 |  |  |  | 3,046 |  |  |  | 26,444 |  |  |  | 2,495,011 |  |  |  | 3,840,603 |  |  |  | 55 |  |  |  | 6,384,261 |
Reinsurance recoverable reported on Balance Sheet |  |  | 1,117 |  |  |  | 9 |  |  |  | 5,714 |  |  |  | 139,499 |  |  |  | 13,563 |  |  |  | — |  |  |  | 159,902 |
(1) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representations and warranty breaches.
(2) | Other subrogation represents subrogation other than subrogation as defined in (1) above.
Summary of claim liability reported is included in the Consolidated Balance Sheets |
(3) | Claim liability reported is included in the Consolidated Balance Sheets as follows:
Loss and loss expense reserve (net of potential remediation subrogation of $1,965,070) |  | $ | 7,607,663 |
Subrogation recoverable (includes gross potential remediation of $805,121) |  |  | (442,097 | )
|  | $ | 7,165,566 |
(3) | Claim liability reported is included in the Consolidated Balance Sheets as follows:
Loss and loss expense reserve (net of potential remediation subrogation of $1,890,797) |  | $ | 7,044,070 |
Subrogation recoverable (includes gross potential remediation of $829,469) |  |  | (659,810 | )
|  | $ | 6,384,260 |
Summary of balance of subrogation recoveries and the related claim liabilities, by estimation approach | The balance of subrogation recoveries and the related claim liabilities, by estimation approach, at June 30, 2012 and December 31, 2011, are as follows:
|  | June 30, 2012 |
Approach |  | Count |  |  | Gross claim liability before subrogation recoveries |  |  | Subrogation recoveries(1) |  |  | Gross claim liability after subrogation recoveries |
Adverse samples |  |  | 29 | (2) |  | $ | 2,853,854 |  |  | $ | (1,553,195 | ) |  | $ | 1,300,659 |
Random samples |  |  | 16 | (2 ) |  |  | 1,318,084 |  |  |  | (1,216,996 | ) |  |  | 101,088 |
Totals |  |  | 45 |  |  | $ | 4,171,938 |  |  | $ | (2,770,191 | ) |  | $ | 1,401,747 |
|  | December 31, 2011 |
Approach |  | Count |  |  | Gross claim liability before subrogation recoveries |  |  | Subrogation recoveries(1) |  |  | Gross claim liability after subrogation recoveries |
Adverse samples |  |  | 30 | (2) |  | $ | 2,637,479 |  |  | $ | (1,457,472 | ) |  | $ | 1,180,006 |
Random samples |  |  | 16 | (2) |  |  | 1,140,102 |  |  |  | (1,262,794 | ) |  |  | (122,691 | )
Totals |  |  | 46 |  |  | $ | 3,777,581 |  |  | $ | (2,720,266 | ) |  | $ | 1,057,315 |
(1) | The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid losses plus the present value of projected future paid losses for each policy. To the extent significant losses have been paid but not yet recovered, the recorded amount of subrogation recoveries may exceed the expected future claims 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 expected future claims, the net cash outflow for these policies is recorded as a “Loss and loss expense reserve” liability. Of the $2,770,191 of subrogation recoveries recorded at June 30, 2012, $805,121 was included in “Subrogation recoverable” and $1,965,070 was included in “Loss and loss expense reserves.” Of the $2,720,266 of subrogation recoveries recorded at December 31, 2011, $829,469 was included in “Subrogation recoverable” and $1,890,797 was included in “Loss and loss expense reserves.”
(2) | 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 period December 31, 2011 through June 30, 2012:
|  | Random sample |  |  | Number of transactions |  |  | Adverse sample |  |  | Number of transactions |  |  | Total |
Rollforward: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Discounted RMBS subrogation (gross of reinsurance) at December 31, 2011 |  | $ | 1,262,794 |  |  |  | 16 |  |  | $ | 1,457,472 |  |  |  | 30 |  |  |  | 2,720,266 |
Additional transactions reviewed |  |  | — |  |  |  | n/a |  |  |  | — |  |  |  | n/a |  |  |  | — |
Additional adverse sample loans reviewed |  |  | — |  |  |  | n/a |  |  |  | — |  |  |  | n/a |  |  |  | — |
Adverse loans repurchased by the sponsor |  |  | — |  |  |  | n/a |  |  |  | 36 |  |  |  | n/a |  |  |  | 36 |
All other changes (1) |  |  | (45,798 | ) |  |  | n/a |  |  |  | 95,687 |  |  |  | (1 | ) |  |  | 49,889 |
Discounted RMBS subrogation (gross of reinsurance) at June 30, 2012 |  | $ | 1,216,996 |  |  |  | 16 |  |  | $ | 1,553,195 |  |  |  | 29 |  |  |  | 2,770,191 |
(1) | Other changes which may impact subrogation recoveries include changes in actual or projected collateral performance and/or the projected timing of recoveries. For the six months ended June 30, 2012, one transaction was removed from the Adverse Sample subrogation population; however, the impacts on RMBS subrogation disclosed in the Adverse Sample column relate to multiple transactions.

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- Definition Tabular disclosure of insured financial obligations with credit deterioration related to the claim liability on financial guarantee insurance contracts as of the end of each annual and interim reporting period detailing, at a minimum, the following for each surveillance category or grouping used to track and monitor the entity's insured financial obligations: (1) number of issued and outstanding financial guarantee insurance contracts; (2) remaining weighted average contract period; (3) insured contractual payments outstanding, segregating principal and interest; (4) gross claim liability; (5) gross potential recoveries; (6) net discount of both the claim liability and potential recoveries; (7) net claim liability; (8) reinsurance recoverable; and (9) unearned premium revenue. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 163 -Paragraph 31 -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 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 163 -Section Appendix A -Paragraph A13 -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 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 40 -Section 55 -Paragraph 34 -URI http://asc.fasb.org/extlink&oid=6933462&loc=SL5751140-161288 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 40 -Section 50 -Paragraph 9 -Subparagraph (a)(5), (b)(1) -URI http://asc.fasb.org/extlink&oid=6933314&loc=SL5749324-161292 + Details
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- Definition Tabular disclosure of the activity in the reserve for settling insured claims and expenses incurred in the claims settlement process for the period. The estimated liability includes the amount of money that will be required for future payments of (a) claims that have been reported to the insurer, (b) claims related to insured events that have occurred but that have not been reported to the insurer as of the date the liability is estimated, and (c) claim adjustment expenses. Claim adjustment expenses include costs incurred in the claim settlement process such as legal fees; outside adjuster fees; and costs to record, process, and adjust claims. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher AICPA -Name Statement of Position (SOP) -Number 94-5 -Paragraph 11 -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 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 40 -Section 50 -Paragraph 3 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=6482485&loc=d3e14764-158437 + Details
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