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Investments | 12 Months Ended
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Dec. 31, 2015
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 and are reported within Other investments on the Consolidated Balance Sheets. Other investments also includes Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on August 28, 2014. The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015 and 2014 were as follows:
|  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Non-credit other- than-temporary Impairments (1)
December 31, 2015 |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 424,048 |  |  | $ | 4,910 |  |  | $ | 8,188 |  |  | $ | 420,770 |  |  | $ | — |
Corporate obligations |  | 1,610,912 |  |  | 7,089 |  |  | 24,332 |  |  | 1,593,669 |  |  | — |
Foreign obligations |  | 96,638 |  |  | 1,491 |  |  | 1,823 |  |  | 96,306 |  |  | — |
U.S. government obligations |  | 26,086 |  |  | 789 |  |  | 188 |  |  | 26,687 |  |  | — |
U.S. agency obligations |  | 4,239 |  |  | — |  |  | 27 |  |  | 4,212 |  |  | — |
Residential mortgage-backed securities |  | 1,942,285 |  |  | 99,670 |  |  | 64,617 |  |  | 1,977,338 |  |  | 41,673 |
Collateralized debt obligations |  | 85,706 |  |  | 42 |  |  | 1,481 |  |  | 84,267 |  |  | — |
Other asset-backed securities |  | 802,842 |  |  | 41,177 |  |  | 3,492 |  |  | 840,527 |  |  | — |
|  | 4,992,756 |  |  | 155,168 |  |  | 104,148 |  |  | 5,043,776 |  |  | 41,673 |
Short-term |  | 225,789 |  |  | 1 |  |  | 1 |  |  | 225,789 |  |  | — |
|  | 5,218,545 |  |  | 155,169 |  |  | 104,149 |  |  | 5,269,565 |  |  | 41,673 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 64,612 |  |  | — |  |  | 57 |  |  | 64,555 |  |  | — |
Total collateralized investments |  | 64,612 |  |  | — |  |  | 57 |  |  | 64,555 |  |  | — |
Total available-for-sale investments |  | $ | 5,283,157 |  |  | $ | 155,169 |  |  | $ | 104,206 |  |  | $ | 5,334,120 |  |  | $ | 41,673 |
December 31, 2014 |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 523,019 |  |  | $ | 9,769 |  |  | $ | 6,996 |  |  | $ | 525,792 |  |  | $ | — |
Corporate obligations |  | 1,382,195 |  |  | 12,815 |  |  | 9,416 |  |  | 1,385,594 |  |  | — |
Foreign obligations |  | 126,041 |  |  | 3,060 |  |  | 1,344 |  |  | 127,757 |  |  | — |
U.S. government obligations |  | 42,328 |  |  | 1,078 |  |  | 427 |  |  | 42,979 |  |  | — |
U.S. agency obligations |  | 29,524 |  |  | — |  |  | 38 |  |  | 29,486 |  |  | — |
Residential mortgage-backed securities |  | 1,557,059 |  |  | 167,396 |  |  | 13,500 |  |  | 1,710,955 |  |  | 7,773 |
Collateralized debt obligations |  | 21,346 |  |  | 50 |  |  | 274 |  |  | 21,122 |  |  | — |
Other asset-backed securities |  | 833,366 |  |  | 48,794 |  |  | 159 |  |  | 882,001 |  |  | — |
|  | 4,514,878 |  |  | 242,962 |  |  | 32,154 |  |  | 4,725,686 |  |  | 7,773 |
Short-term |  | 360,069 |  |  | — |  |  | 4 |  |  | 360,065 |  |  | — |
|  | 4,874,947 |  |  | 242,962 |  |  | 32,158 |  |  | 5,085,751 |  |  | 7,773 |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 64,378 |  |  | — |  |  | 111 |  |  | 64,267 |  |  | — |
Total collateralized investments |  | 64,378 |  |  | — |  |  | 111 |  |  | 64,267 |  |  | — |
Total available-for-sale investments |  | $ | 4,939,325 |  |  | $ | 242,962 |  |  | $ | 32,269 |  |  | $ | 5,150,018 |  |  | $ | 7,773 |
(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, 2015 and 2014.
The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015, by contractual maturity, were as follows:
|  | Amortized Cost |  | Estimated Fair Value
Due in one year or less |  | $ | 347,240 |  |  | $ | 347,359 |
Due after one year through five years |  | 1,020,940 |  |  | 1,014,416 |
Due after five years through ten years |  | 914,404 |  |  | 901,252 |
Due after ten years |  | 169,740 |  |  | 168,961 |
|  | 2,452,324 |  |  | 2,431,988 |
Residential mortgage-backed securities |  | 1,942,285 |  |  | 1,977,338 |
Collateralized debt obligations |  | 85,706 |  |  | 84,267 |
Other asset-backed securities |  | 802,842 |  |  | 840,527 |
Total |  | $ | 5,283,157 |  |  | $ | 5,334,120 |
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, 2015 and 2014:
|  | 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, 2015 |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 117,008 |  |  | $ | 2,070 |  |  | $ | 114,708 |  |  | $ | 6,118 |  |  | $ | 231,716 |  |  | $ | 8,188 |
Corporate obligations |  | 938,916 |  |  | 21,331 |  |  | 92,581 |  |  | 3,001 |  |  | 1,031,497 |  |  | 24,332 |
Foreign government obligations |  | 34,904 |  |  | 1,018 |  |  | 8,584 |  |  | 805 |  |  | 43,488 |  |  | 1,823 |
U.S. government obligations |  | 2,938 |  |  | 18 |  |  | 10,658 |  |  | 170 |  |  | 13,596 |  |  | 188 |
U.S. agency obligations |  | — |  |  | — |  |  | 4,212 |  |  | 27 |  |  | 4,212 |  |  | 27 |
Residential mortgage-backed securities |  | 584,699 |  |  | 53,367 |  |  | 213,303 |  |  | 11,250 |  |  | 798,002 |  |  | 64,617 |
Collateralized debt obligations |  | 77,538 |  |  | 1,481 |  |  | — |  |  | — |  |  | 77,538 |  |  | 1,481 |
Other asset-backed securities |  | 450,690 |  |  | 3,456 |  |  | 19,274 |  |  | 36 |  |  | 469,964 |  |  | 3,492 |
|  | 2,206,693 |  |  | 82,741 |  |  | 463,320 |  |  | 21,407 |  |  | 2,670,013 |  |  | 104,148 |
Short-term |  | 9,982 |  |  | 1 |  |  | — |  |  | — |  |  | 9,982 |  |  | 1 |
|  | $ | 2,216,675 |  |  | $ | 82,742 |  |  | $ | 463,320 |  |  | $ | 21,407 |  |  | $ | 2,679,995 |  |  | $ | 104,149 |
Fixed Income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 64,555 |  |  | 57 |  |  | — |  |  | — |  |  | 64,555 |  |  | 57 |
Total collateralized investments |  | 64,555 |  |  | 57 |  |  | — |  |  | — |  |  | 64,555 |  |  | 57 |
Total temporarily impaired securities |  | 2,281,230 |  |  | 82,799 |  |  | 463,320 |  |  | 21,407 |  |  | 2,744,550 |  |  | 104,206 |
|  | 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, 2014 |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 77,788 |  |  | $ | 1,244 |  |  | $ | 135,076 |  |  | $ | 5,752 |  |  | $ | 212,864 |  |  | $ | 6,996 |
Corporate obligations |  | 453,504 |  |  | 4,998 |  |  | 172,045 |  |  | 4,418 |  |  | 625,549 |  |  | 9,416 |
Foreign government obligations |  | 20,827 |  |  | 748 |  |  | 14,277 |  |  | 596 |  |  | 35,104 |  |  | 1,344 |
U.S. government obligations |  | 7,223 |  |  | 154 |  |  | 14,735 |  |  | 273 |  |  | 21,958 |  |  | 427 |
U.S. agency obligations |  | 25,039 |  |  | 2 |  |  | 4,378 |  |  | 36 |  |  | 29,417 |  |  | 38 |
Residential mortgage-backed securities |  | 413,203 |  |  | 12,391 |  |  | 10,076 |  |  | 1,109 |  |  | 423,279 |  |  | 13,500 |
Collateralized debt obligations |  | 5,012 |  |  | 274 |  |  | — |  |  | — |  |  | 5,012 |  |  | 274 |
Other asset-backed securities |  | 248,823 |  |  | 155 |  |  | 68 |  |  | 4 |  |  | 248,891 |  |  | 159 |
|  | 1,251,419 |  |  | 19,966 |  |  | 350,655 |  |  | 12,188 |  |  | 1,602,074 |  |  | 32,154 |
Short-term |  | 8,803 |  |  | 4 |  |  | — |  |  | — |  |  | 8,803 |  |  | 4 |
|  | $ | 1,260,222 |  |  | $ | 19,970 |  |  | $ | 350,655 |  |  | $ | 12,188 |  |  | $ | 1,610,877 |  |  | $ | 32,158 |
Fixed Income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 64,267 |  |  | 111 |  |  | — |  |  | — |  |  | 64,267 |  |  | 111 |
Total collateralized investments |  | 64,267 |  |  | 111 |  |  | — |  |  | — |  |  | 64,267 |  |  | 111 |
Total temporarily impaired securities |  | 1,324,489 |  |  | 20,081 |  |  | 350,655 |  |  | 12,188 |  |  | 1,675,144 |  |  | 32,269 |
Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of December 31, 2015 and 2014 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 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, the fair value of other securities that are available for sale and in an unrealized gain position, trading securities 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. 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 in an unrealized loss position 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, 2015, 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, 2015, $953,000 of the total fair value and $69,214 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, 2014, $473,656 of the total fair value and $16,001 of the unrealized loss related to below investment grade securities and non-rated securities. With respect to all Ambac insured securities owned, future cash flows used to measure credit impairment represents the sum of (i) the bond’s intrinsic cash flows and (ii) the estimated Ambac Assurance claim payments. For Ambac-insured securities owned guaranteed under policies allocated to the Segregated Account, the estimate of Ambac Assurance claim payments includes interest on Deferred Amounts. Ambac estimates the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities are at the sole discretion of the Rehabilitator. Further modifications to the Segregated Account Rehabilitation Plan or to the rules and guidelines promulgated thereunder, orders from the Rehabilitation Court or actions by the Rehabilitator with respect to the form, amount and timing of satisfying permitted policy claims, or making payments on Deferred Amounts or surplus notes, may have a material effect on the fair value of Ambac insured securities and future recognition of other-than-temporary impairments. Refer to Note 1. Background and Business Description for information relating to the amended Segregated Account Rehabilitation Plan. Ambac’s assessment about whether a decline in value is other-than-temporary reflects management’s current judgment regarding facts and circumstances specific to a security and the factors noted above, including Ambac's intention to sell securities and ability to hold temporarily impaired securities until recovery. If that judgment changes, Ambac may ultimately record a charge for other-than-temporary impairment in future periods. Municipal and corporate obligations The gross unrealized losses on municipal and corporate obligations as of December 31, 2015 are primarily the result of the increase in interest rates since the Fresh Start Reporting Date of 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 $64,617 of unrealized losses on residential mortgage-backed securities, $63,127 is attributable to Ambac insured securities. The unrealized loss on these securities is primarily the result of discount accretion, which has exceeded the increase in fair value since the Fresh Start Reporting Date of 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. Additionally, for Ambac insured securities that are allocated to the Segregated Account, expected future cash flows include assumptions about the timing of Ambac Assurance claim payments, including interest on Deferred Amounts, although the actual timing of such payments are at the sole discretion of the Rehabilitator. These assumptions are used to project future cash flows for each security. Management considered this analysis in making our determination that a credit loss has not occurred at December 31, 2015 on these transactions. Realized Gains and Losses and Other-Than-Temporary Impairments: The following table details amounts included in net realized gains and other-than-temporary impairments included in earnings for the affected periods:
|  | Successor Ambac |  |  | Predecessor Ambac
|  |  |  |  |  | Period from May 1 |  |  | Period from Jan 1
|  | Year Ended December 31, |  | through |  |  | through
|  | 2015 |  | 2014 |  | December 31, 2013 |  |  | April 30, 2013
Gross realized gains on securities |  | $ | 58,218 |  |  | $ | 63,366 |  |  | $ | 22,983 |  |  |  | $ | 47,448 |
Gross realized losses on securities |  | (10,558 | ) |  | (9,824 | ) |  | (10,347 | ) |  |  | (320 | )
Foreign exchange (losses) gains |  | 5,816 |  |  | 5,235 |  |  | (8,169 | ) |  |  | 6,177 |
Net realized gains |  | $ | 53,476 |  |  | $ | 58,777 |  |  | $ | 4,467 |  |  |  | $ | 53,305 |
Net other-than-temporary impairments (1) |  | $ | (25,659 | ) |  | $ | (25,794 | ) |  | $ | (46,764 | ) |  |  | $ | (467 | )
(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.
During 2002 and 2003 Ambac recognized investment realized losses relating to its investment in asset-backed notes issued by National Century Financial Enterprises, Inc. (“NCFE”). These notes 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 period from January 1 through April 30, 2013. Additionally, $96, $35 and $1,441, of other recoveries were received from NCFE for the years ended December 31, 2015 and 2014 and the eight months ended December31, 2013, respectively. 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 impaired Ambac insured securities. Such changes in estimated claim payments on Ambac insured securities contributed to net other-than-temporary impairments for the periods presented in the table above. Further changes to the timing of estimated claim payments could result in additional other-than-temporary impairment charges in the future. Successor Ambac’s other-than-temporary impairments also relate to the company’s intent to sell certain securities that were in an unrealized loss position as of the impairment evaluation dates. Future changes in our estimated liquidity needs could result in a determination that Ambac no longer has the ability to hold additional securities that are in an unrealized loss position, 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, 2015 and 2014 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:
|  | Successor Ambac |  |  | Predecessor Ambac
|  |  |  |  |  | Period from May 1 |  |  | Period from Jan 1
|  | Year Ended December 31, |  | through |  |  | through
|  | 2015 |  | 2014 |  | December 31, 2013 |  |  | April 30, 2013
Successor Ambac: |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 14,062 |  |  | $ | 1,182 |  |  | $ | — |  |  |  | $ | 183,300 |
Additions for credit impairments recognized on: |  |  |  |  |  |  |  |  |
Securities not previously impaired |  | 10,900 |  |  | 12,873 |  |  | 1,185 |  |  |  | — |
Securities previously impaired |  | 6,214 |  |  | 7 |  |  | — |  |  |  | — |
Reductions for credit impairments previously recognized on: |  |  |  |  |  |  |  |  |
Securities that matured or were sold during the period(1) |  | — |  |  | — |  |  | (3 | ) |  |  | (183,300 | )
Balance, end of period |  | $ | 31,176 |  |  | $ | 14,062 |  |  | $ | 1,182 |  |  |  | $ | — |
(1) | Includes reductions made in connection with Fresh Start, under which the cost basis of all invested assets were set to fair value as of the Fresh Start Reporting Date. As described in Note 3. Special Purpose Entities, including Variable Interest Entities, 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. 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, these pledged securities are separately classified on the Consolidated Balance Sheets as “Fixed income securities pledged as collateral, at fair value”. 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, 2015 and 2014:
|  | Fair Value of Cash and Underlying Securities |  | Fair Value of Cash and Securities Pledged to Investment Agreement Counterparties |  | Fair Value of Cash and Securities Pledged to Derivative Counterparties
December 31, 2015: |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 338,007 |  |  | $ | 108,379 |  |  | $ | 229,628 |
December 31, 2014: |  |  |  |  |  |
Sources of Collateral: |  |  |  |  |  |
Cash and securities pledged directly from the investment portfolio |  | $ | 379,423 |  |  | $ | 156,916 |  |  | $ | 222,507 |
Securities carried at $6,762 and $6,790 at December 31, 2015 and 2014, 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 $396,100 and $0 at December 31, 2015 and 2014, respectively, were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a secured borrowing transaction. The securities may not be sold or repledged by the trust. These assets are held and the secured debt issued by entities that qualified as VIEs and were consolidated in Ambac’s 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, 2015 and 2014, respectively:
|  | Municipal obligations |  | Corporate obligations |  | Mortgage and asset- backed securities |  | Short-term |  | Total |  | Weighted Average Underlying Rating (1)
December 31, 2015: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation (2) |  | $ | 60,836 |  |  | $ | — |  |  | $ | 2,216,317 |  |  | $ | — |  |  | $ | 2,277,153 |  |  | CC
Assured Guaranty Municipal Corporation |  | 57,715 |  |  | — |  |  | — |  |  | — |  |  | 57,715 |  |  | A+
National Public Finance Guarantee Corporation |  | 47,846 |  |  | — |  |  | — |  |  | — |  |  | 47,846 |  |  | A-
MBIA Insurance Corporation |  | — |  |  | 25,645 |  |  | — |  |  | — |  |  | 25,645 |  |  | A+
Total |  | $ | 166,397 |  |  | $ | 25,645 |  |  | $ | 2,216,317 |  |  | $ | — |  |  | $ | 2,408,359 |  |  | CCC-
December 31, 2014: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation (2) |  | $ | 53,164 |  |  | $ | — |  |  | $ | 2,146,555 |  |  | $ | — |  |  | $ | 2,199,719 |  |  | CCC-
Assured Guaranty Municipal Corporation |  | 119,492 |  |  | — |  |  | — |  |  | — |  |  | 119,492 |  |  | A
National Public Finance Guarantee Corporation |  | 67,895 |  |  | — |  |  | — |  |  | — |  |  | 67,895 |  |  | A-
MBIA Insurance Corporation |  | — |  |  | 32,460 |  |  | — |  |  | — |  |  | 32,460 |  |  | A+
Total |  | $ | 240,551 |  |  | $ | 32,460 |  |  | $ | 2,146,555 |  |  | $ | — |  |  | $ | 2,419,566 |  |  | CCC
(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 $119,802 and $51,395 at December 31, 2015 and 2014, respectively, insured by Ambac UK.
Investment Income: Net investment income was comprised of the following for the affected periods:
|  | Successor Ambac |  |  | Predecessor Ambac
|  |  |  |  |  | Period from May 1 |  |  | Period from Jan 1
|  | Year Ended December 31, |  | through |  |  | through
|  | 2015 |  | 2014 |  | December 31, 2013 |  |  | April 30, 2013
Fixed income securities |  | $ | 257,404 |  |  | $ | 299,694 |  |  | $ | 147,014 |  |  |  | $ | 118,097 |
Short-term investments |  | 299 |  |  | 3,092 |  |  | 1,528 |  |  |  | 677 |
Loans |  | 420 |  |  | 529 |  |  | 306 |  |  |  | 146 |
Investment expense |  | (8,786 | ) |  | (10,477 | ) |  | (5,982 | ) |  |  | (2,549 | )
Securities available-for-sale and short-term |  | 249,337 |  |  | 292,838 |  |  | 142,866 |  |  |  | 116,371 |
Other investments |  | 16,952 |  |  | 8,108 |  |  | 3,580 |  |  |  | 369 |
Total net investment income |  | $ | 266,289 |  |  | $ | 300,946 |  |  | $ | 146,446 |  |  |  | $ | 116,740 |
Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, for periods after August 28, 2014, income from Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on that date. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:
|  | Successor Ambac |  |  | Predecessor Ambac
|  |  |  |  |  | Period from May 1 |  |  | Period from Jan 1
|  | Year Ended December 31, |  | through |  |  | through
|  | 2015 |  | 2014 |  | December 31, 2013 |  |  | April 30, 2013
Net gains recognized during the period on trading securities |  | $ | 12,615 |  |  | $ | 6,713 |  |  | $ | 3,580 |  |  |  | $ | 369 |
Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period |  | 4,966 |  |  | (487 | ) |  | 1,702 |  |  |  | — |
Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date |  | $ | 7,649 |  |  | $ | 7,200 |  |  | $ | 1,878 |  |  |  | $ | 369 |

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