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Investments | 12 Months Ended
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Dec. 31, 2013
Investments Debt And Equity Securities [Abstract] |
Investments | 11. INVESTMENTS Ambac’s invested assets are primarily comprised of fixed income securities classified as available-for-sale and equity interests in pooled investment funds. Such equity interests in the form of common stock or in-substance common stock are classified as trading securities. The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2013 and December 31, 2012 were as follows:
|  | Amortized Cost |  |  | Gross Unrealized Gains |  |  | Gross Unrealized Losses |  |  | Estimated Fair Value |  |  | Non-credit other- than-temporary Impairments (1) |
Successor Ambac–December 31, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,405,293 |  |  | $ | 857 |  |  | $ | 28,427 |  |  | $ | 1,377,723 |  |  | $ | — |
Corporate obligations |  |  | 1,508,377 |  |  |  | 4,886 |  |  |  | 23,894 |  |  |  | 1,489,369 |  |  |  | — |
Foreign obligations |  |  | 131,709 |  |  |  | 69 |  |  |  | 6,901 |  |  |  | 124,877 |  |  |  | — |
U.S. government obligations |  |  | 128,415 |  |  |  | 9 |  |  |  | 2,176 |  |  |  | 126,248 |  |  |  | — |
U.S. agency obligations |  |  | 32,214 |  |  |  | 10 |  |  |  | 70 |  |  |  | 32,154 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,516,877 |  |  |  | 59,853 |  |  |  | 18,105 |  |  |  | 1,558,625 |  |  |  | 852 |
Collateralized debt obligations |  |  | 184,118 |  |  |  | 217 |  |  |  | 463 |  |  |  | 183,872 |  |  |  | — |
Other asset-backed securities |  |  | 1,020,251 |  |  |  | 8,795 |  |  |  | 36,598 |  |  |  | 992,448 |  |  |  | — |
|  |  | 5,927,254 |  |  |  | 74,696 |  |  |  | 116,634 |  |  |  | 5,885,316 |  |  |  | 852 |
Short-term |  |  | 271,118 |  |  |  | 1 |  |  |  | — |  |  |  | 271,119 |  |  |  | — |
|  |  | 6,198,372 |  |  |  | 74,697 |  |  |  | 116,634 |  |  |  | 6,156,435 |  |  |  | 852 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 126,196 |  |  |  | 27 |  |  |  | — |  |  |  | 126,223 |  |  |  | — |
Total collateralized investments |  |  | 126,196 |  |  |  | 27 |  |  |  | — |  |  |  | 126,223 |  |  |  | — |
Total available-for-sale investments |  | $ | 6,324,568 |  |  | $ | 74,724 |  |  | $ | 116,634 |  |  | $ | 6,282,658 |  |  | $ | 852 |
Predecessor Ambac–December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,662,124 |  |  | $ | 187,191 |  |  | $ | 383 |  |  | $ | 1,848,932 |  |  | $ | — |
Corporate obligations |  |  | 999,554 |  |  |  | 87,535 |  |  |  | 9,117 |  |  |  | 1,077,972 |  |  |  | — |
Foreign obligations |  |  | 67,347 |  |  |  | 2,765 |  |  |  | — |  |  |  | 70,112 |  |  |  | — |
U.S. government obligations |  |  | 127,037 |  |  |  | 872 |  |  |  | 626 |  |  |  | 127,283 |  |  |  | — |
U.S. agency obligations |  |  | 79,295 |  |  |  | 3,240 |  |  |  | — |  |  |  | 82,535 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,096,202 |  |  |  | 379,935 |  |  |  | 20,555 |  |  |  | 1,455,582 |  |  |  | 6,892 |
Collateralized debt obligations |  |  | 32,855 |  |  |  | 1,015 |  |  |  | 528 |  |  |  | 33,342 |  |  |  | — |
Other asset-backed securities |  |  | 687,410 |  |  |  | 65,733 |  |  |  | 46,506 |  |  |  | 706,637 |  |  |  | — |
|  |  | 4,751,824 |  |  |  | 728,286 |  |  |  | 77,715 |  |  |  | 5,402,395 |  |  |  | 6,892 |
Short-term |  |  | 661,219 |  |  |  | 439 |  |  |  | — |  |  |  | 661,658 |  |  |  | — |
|  |  | 5,413,043 |  |  |  | 728,725 |  |  |  | 77,715 |  |  |  | 6,064,053 |  |  |  | 6,892 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 265,517 |  |  |  | 262 |  |  |  | — |  |  |  | 265,779 |  |  |  | — |
Total collateralized investments |  |  | 265,517 |  |  |  | 262 |  |  |  | — |  |  |  | 265,779 |  |  |  | — |
Total available-for-sale investments |  | $ | 5,678,560 |  |  | $ | 728,987 |  |  | $ | 77,715 |  |  | $ | 6,329,832 |  |  | $ | 6,892 |
(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, 2013 and December 31, 2012.
The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments held by Successor Ambac, at December 31, 2013, by contractual maturity, were as follows:
|  | Amortized Cost |  |  | Estimated Fair Value |
Due in one year or less |  | $ | 552,974 |  |  | $ | 553,048 |
Due after one year through five years |  |  | 1,079,855 |  |  |  | 1,075,612 |
Due after five years through ten years |  |  | 1,385,296 |  |  |  | 1,343,119 |
Due after ten years |  |  | 585,197 |  |  |  | 575,934 |
|  |  | 3,603,322 |  |  |  | 3,547,713 |
Residential mortgage-backed securities |  |  | 1,516,877 |  |  |  | 1,558,625 |
Collateralized debt obligations |  |  | 184,118 |  |  |  | 183,872 |
Other asset-backed securities |  |  | 1,020,251 |  |  |  | 992,448 |
|  | $ | 6,324,568 |  |  | $ | 6,282,658 |
Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties. Unrealized Losses: 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, 2013 and December 31, 2012:
|  | Less Than 12 Months(1) |
|  | Fair Value |  |  | Gross Unrealized Loss |
Successor Ambac – December 31, 2013: |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 437,683 |  |  | $ | 28,427 |
Corporate obligations |  |  | 877,356 |  |  |  | 23,894 |
Foreign government obligations |  |  | 117,905 |  |  |  | 6,901 |
U.S. government obligations |  |  | 70,044 |  |  |  | 2,176 |
U.S. agency obligations |  |  | 5,834 |  |  |  | 70 |
Residential mortgage-backed securities |  |  | 644,502 |  |  |  | 18,105 |
Collateralized debt obligations |  |  | 137,685 |  |  |  | 463 |
Other asset-backed securities |  |  | 629,957 |  |  |  | 36,598 |
|  |  | 2,920,966 |  |  |  | 116,634 |
Short-term |  |  | — |  |  |  | — |
Total temporarily impaired securities |  | $ | 2,920,966 |  |  | $ | 116,634 |
(1) | As a result of the implementation of Fresh Start, amortized cost for available for sale securities were set to equal fair value on April 30, 2013. Accordingly, Successor Ambac does not have any gross unrealized losses that have been in a continuous unrealized loss position for greater than 12 months.
|  | Less Than 12 Months |  |  | 12 Months or More |  |  | Total |
|  | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |
Predecessor Ambac –December 31, 2012: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 42,503 |  |  | $ | 354 |  |  | $ | 4,303 |  |  | $ | 29 |  |  | $ | 46,806 |  |  | $ | 383 |
Corporate obligations |  |  | 69,727 |  |  |  | 1,081 |  |  |  | 132,916 |  |  |  | 8,036 |  |  |  | 202,643 |  |  |  | 9,117 |
U.S. government obligations |  |  | 26,081 |  |  |  | 626 |  |  |  | — |  |  |  | — |  |  |  | 26,081 |  |  |  | 626 |
Residential mortgage-backed securities |  |  | 88,504 |  |  |  | 5,319 |  |  |  | 116,146 |  |  |  | 15,236 |  |  |  | 204,650 |  |  |  | 20,555 |
Collateralized debt obligations |  |  | 253 |  |  |  | 168 |  |  |  | 13,429 |  |  |  | 360 |  |  |  | 13,682 |  |  |  | 528 |
Other asset-backed securities |  |  | 180 |  |  |  | 3 |  |  |  | 188,832 |  |  |  | 46,503 |  |  |  | 189,012 |  |  |  | 46,506 |
|  |  | 227,248 |  |  |  | 7,551 |  |  |  | 455,626 |  |  |  | 70,164 |  |  |  | 682,874 |  |  |  | 77,715 |
Short-term |  |  | 1,194 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,194 |  |  |  | — |
Total temporarily impaired securities |  | $ | 228,442 |  |  | $ | 7,551 |  |  | $ | 455,626 |  |  | $ | 70,164 |  |  | $ | 684,068 |  |  | $ | 77,715 |
Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of December 31, 2013 and December 31, 2012 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; and (iv) it is not more likely than not that Ambac will be required to sell these 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 investment portfolio against the projected net cash outflow from operating activities and debt service. For purposes of this assessment, available liquidity from the 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. 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. 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. As of December 31, 2013, 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 Fresh Start Reporting Date of April 30, 2013 for securities purchased prior to that date) 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, 2013, $826,969 of the total fair value and $36,946 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, 2012, $192,190 of the total fair value and $43,934 of the unrealized loss related to below investment grade securities and non-rated securities. With respect to Ambac-wrapped securities guaranteed under policies that have been allocated to the Segregated Account, future cash flows used to measure credit impairment represents the sum of (i) the bond’s intrinsic cash flows and (ii) the estimated fair value of Ambac claim payments. The Segregated Account has been making interim cash payments in amounts equal to 25% of permitted Segregated Account policy claims since September 2012 (plus, in certain cases, Supplemental Payments as described in Note 1). No final decision has been announced by the Rehabilitator with respect to effectuating or amending the Segregated Account Rehabilitation Plan. Possible modifications to the Segregated Account Rehabilitation Plan, or additional orders from the Rehabilitation Court, with respect to the form, amount and timing of satisfying permitted policy claims could have a material effect on the recognition of other-than-temporary impairment for, and the fair value of, Ambac-wrapped securities. See Note 1 for additional information about the Segregated Account Rehabilitation Plan. Municipal and corporate obligations The gross unrealized losses on municipal and corporate obligations as of December 31, 2013 are primarily the result of the increase in interest rates since April 30, 2013. These securities are primarily fixed-rate securities with an investment grade credit rating. Management believes that the timely receipt of all principal and interest on these positions is probable. Residential mortgage-backed securities Of the $18,105 of unrealized losses on residential mortgage-backed securities, $12,169 is attributable to Ambac-wrapped securities. The unrealized loss on these securities is primarily the result of discount accretion, which has exceeded the increase in fair value since April 30, 2013. As part of the quarterly impairment review process, management estimates expected future cash flows from residential mortgage-backed securities. This approach includes the utilization of market accepted software models 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 future cash flows for each security. 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 Of the $36,598 of unrealized losses on other asset-backed securities as of December 31, 2013, $36,281 is attributable to 6 military housing, fixed-rate securities. The unrealized loss on these securities is largely due to the increase in interest rates since April 30, 2013. Management believes that the timely receipt of all principal and interest on these positions 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 (losses) gains and other-than-temporary impairments included in earnings for the affected periods:
|  | Successor Ambac – Eight Months Ended December 31, 2013 |  |  | Predecessor Ambac – Four Months Ended April 30, 2013 |  |  | Predecessor Ambac – Year Ended December 31, 2012 |
Gross realized gains on securities |  | $ | 22,983 |  |  | $ | 47,448 |  |  | $ | 73,404 |
Gross realized losses on securities |  |  | (10,347 | ) |  |  | (320 | ) |  |  | (1,128 | )
Foreign exchange (losses) gains |  |  | (8,169 | ) |  |  | 6,177 |  |  |  | (175 | )
Net realized gains |  | $ | 4,467 |  |  | $ | 53,305 |  |  | $ | 72,101 |
Net other-than-temporary impairments(1) |  | $ | (46,764 | ) |  | $ | (467 | ) |  | $ | (5,990 | )
(1) | Other-than-temporary impairments exclude impairment amounts recorded in other comprehensive income, 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.
During 2002 and 2003 Ambac recognized investment realized losses of $150,201 relating to its $174,500 investment in asset-backed notes issued by National Century Financial Enterprises, Inc. (“NCFE”). These notes, which were backed by health care receivables and rated triple-A until October 25, 2002, defaulted and NCFE filed for protection under Chapter 11 of the U.S. Bankruptcy Code in November 2002. In connection with a full and final settlement of a lawsuit brought by NCFE bondholders against Credit Suisse Securities LLC, a subsidiary of Ambac Assurance received cash recoveries of $39,978 in the four months ended April 30, 2013. Additionally, $1,441 of other recoveries were received from NCFE in the eight months ended December 31, 2013. These amounts were recorded within gross realized gains on securities. Since commencement of the Segregated Account Rehabilitation Proceedings, changes in the estimated timing of claim payments have resulted in adverse changes in projected cash flows on certain Ambac-wrapped securities. Such changes in estimated claim payments on Ambac-wrapped securities contributed to net other-than-temporary impairments for the periods presented in the table above. Further changes to estimated claim payments could result in additional other-than-temporary impairment charges in the future. Successor Ambac’s net other-than-temporary impairments relate to the company’s intent to sell certain securities that were in an unrealized loss position as of December 31, 2013. The year ended December 31, 2012 included credit impairments on certain other non-agency RMBS securities. 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. The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities held as of December 31, 2013 and 2012 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:
|  | Credit Impairment |
Successor Ambac: |  |  |  |
Balance as of May 1, 2013 |  | $ | — |
Additions for credit impairments recognized on: |  |  |  |
Securities not previously impaired |  |  | 1,185 |
Securities previously impaired |  |  | — |
Reductions for credit impairments previously recognized on: |  |  |  |
Securities that matured or were sold during the period |  |  | (3 | )
Securities that no longer have a portion of other-than-temporary impairment in other comprehensive income because of the company’s intent to sell such securities |  |  | — |
Balance as of December 31, 2013 |  | $ | 1,182 |
Predecessor Ambac: |  |  |  |
Balance as of January 1, 2013 |  | $ | 183,300 |
Additions for credit impairments recognized on: |  |  |  |
Securities not previously impaired |  |  | — |
Securities previously impaired |  |  | — |
Reductions for credit impairments previously recognized on: |  |  |  |
Securities that matured or were sold during the period(1) |  | $ | (183,300 | )
Balance as of April 30, 2013 |  | $ | — |
|  | Credit Impairment |
Predecessor Ambac: |  |  |  |
Balance as of January 1, 2012 |  | $ | 201,317 |
Additions for credit impairments recognized on: |  |  |  |
Securities not previously impaired |  |  | 824 |
Securities previously impaired |  |  | 5,166 |
Reductions for credit impairments previously recognized on: |  |  |  |
Securities that matured or were sold during the period |  |  | (24,007 | )
Balance as of December 31, 2012 |  | $ | 183,300 |
(1) | Includes reduction made in connection with Fresh Start, under which the cost basis of all invested assets have been set to fair value as of the Fresh Start Reporting Date. As described in Note 3, 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.
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 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 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, 2013 and December 31, 2012:
|  | 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 |
Successor Ambac – December 31, 2013: |  |  |  |  |  |  |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |  |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 497,949 |  |  | $ | 371,723 |  |  | $ | 126,223 |
Cash and securities pledged from derivative counterparties |  |  | 690 |  |  |  | — |  |  |  | — |
Predecessor Ambac – December 31, 2012: |  |  |  |  |  |  |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |  |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 646,663 |  |  | $ | 375,412 |  |  | $ | 271,251 |
Cash and securities pledged from derivative counterparties |  |  | — |  |  |  | — |  |  |  | — |
Securities carried at $6,799 and $6,945 at December 31, 2013 and December 31, 2012, respectively, were deposited by Ambac Assurance and Everspan with governmental authorities or designated custodian banks as required by laws affecting insurance companies. Securities with fair value of $240,150 and $201,329 at December 31, 2013 and December 31, 2012, respectively, were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a re-securitization 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 unaudited consolidated financial statements. Refer to Note 4, Special Purpose Entities, Including Variable Interest Entities 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. 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, 2013 and December 31, 2012, respectively:
|  | Municipal obligations |  |  | Corporate obligations |  |  | Mortgage and asset- backed securities |  |  | Short-term |  |  | Total |  |  | Weighted Average Underlying Rating(1) |
Successor Ambac – December 31, 2013: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation(2) |  | $ | 64,596 |  |  | $ | — |  |  | $ | 1,747,283 |  |  | $ | — |  |  | $ | 1,811,879 |  |  |  | CCC+ |
National Public Finance Guarantee Corporation |  |  | 532,752 |  |  |  | 37,642 |  |  |  | — |  |  |  | — |  |  |  | 570,394 |  |  |  | A+ |
Assured Guaranty Municipal Corporation |  |  | 372,392 |  |  |  | 77,163 |  |  |  | — |  |  |  | — |  |  |  | 449,555 |  |  |  | A+ |
MBIA Insurance Corporation |  |  | — |  |  |  | 17,444 |  |  |  | — |  |  |  | — |  |  |  | 17,444 |  |  |  | BBB- |
Assured Guaranty Corporation |  |  | — |  |  |  | — |  |  |  | 2,917 |  |  |  | — |  |  |  | 2,917 |  |  |  | D |
Financial Guarantee Insurance Corporation |  |  | — |  |  |  | — |  |  |  | 2,869 |  |  |  | — |  |  |  | 2,869 |  |  |  | D |
Total |  | $ | 969,740 |  |  | $ | 132,249 |  |  | $ | 1,753,069 |  |  | $ | — |  |  | $ | 2,855,058 |  |  |  | BB- |
Predecessor Ambac – December 31, 2012: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation(2) |  | $ | 66,270 |  |  | $ | 4,717 |  |  | $ | 1,344,289 |  |  | $ | — |  |  | $ | 1,415,276 |  |  |  | B |
National Public Finance Guarantee Corporation |  |  | 720,904 |  |  |  | 43,010 |  |  |  | — |  |  |  | — |  |  |  | 763,914 |  |  |  | AA- |
Assured Guaranty Municipal Corporation |  |  | 448,241 |  |  |  | 169,245 |  |  |  | 4,923 |  |  |  | — |  |  |  | 622,409 |  |  |  | A |
MBIA Insurance Corporation |  |  | — |  |  |  | 19,733 |  |  |  | 2,143 |  |  |  | — |  |  |  | 21,876 |  |  |  | BBB- |
Assured Guaranty Corporation |  |  | — |  |  |  | — |  |  |  | 14,743 |  |  |  | — |  |  |  | 14,743 |  |  |  | D |
Financial Guarantee Insurance Corporation |  |  | 17,599 |  |  |  | — |  |  |  | 4,182 |  |  |  | — |  |  |  | 21,781 |  |  |  | A- |
Total |  | $ | 1,253,014 |  |  | $ | 236,705 |  |  | $ | 1,370,280 |  |  | $ | — |  |  | $ | 2,859,999 |  |  |  | BBB- |
(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 $50,953 and $45,630 at December 31, 2013 and December 31, 2012, respectively, insured by Ambac UK.
Investment Income: Net investment income was comprised of the following for the affected periods:
|  | Successor Ambac – Eight Months Ended December 31, 2013 |  |  | Predecessor Ambac – Four Months Ended April 30, 2013 |  |  | Predecessor Ambac – Year Ended December 31, 2012 |
Fixed income securities |  | $ | 147,014 |  |  | $ | 118,097 |  |  | $ | 386,385 |
Short-term investments |  |  | 1,528 |  |  |  | 677 |  |  |  | 1,405 |
Loans |  |  | 306 |  |  |  | 146 |  |  |  | 714 |
Investment expense |  |  | (5,982 | ) |  |  | (2,549 | ) |  |  | (5,602 | )
Securities available-for-sale and short-term |  |  | 142,866 |  |  |  | 116,371 |  |  |  | 382,902 |
Other investments |  |  | 3,580 |  |  |  | 369 |  |  |  | — |
Total net investment income |  | $ | 146,446 |  |  | $ | 116,740 |  |  | $ | 382,902 |
Net investment income from Other investments represents changes in fair value on securities classified as trading or under the fair value option. Successor Ambac gains and (losses) for the eight months ended December 31, 2013 on securities still held at the reporting date was $1,878. Predecessor Ambac gains for the four months ended April 30, 2013 on securities still held at December 31, 2013 were ($131). There were no such investments held during 2012.

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