Investments (Tables)

12 Months Ended

Dec. 31, 2013

Investments Debt And Equity Securities [Abstract]

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

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 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.

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

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments 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

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

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

Summary of Amounts Included in Net Realized (Losses) Gains 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.

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

The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities held as of December 31, 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.

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

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

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

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

Summary of Net 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

- Definition

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

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- Definition

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

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- Definition

Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments.

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- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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