XML 63 R51.htm IDEA: XBRL DOCUMENT v3.4.0.3
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Mar. 31, 2016
Dec. 31, 2015
Financial assets:    
Other investments $ 294,376 $ 285,261
Other assets 8,411 8,696
Financial liabilities:    
Derivative liabilities 21,929 34,543
Successor [Member]    
Financial assets:    
Fixed income securities 6,151,939 5,334,120
Short term investments 436,760 225,789
Successor [Member] | Total Fair Value [Member]    
Financial assets:    
Other investments 304,180 298,095
Cash 29,142 35,744
Loans 5,082 5,128
Total financial assets 20,740,921 20,051,480
Financial liabilities:    
Obligations under investment and repurchase agreements 101,335 101,400
Liabilities for net financial guarantees written 3,925,664 2,325,859
Long-term debt 1,350,614 1,235,721
Total financial liabilities 19,859,312 18,272,701
Successor [Member] | Total Fair Value [Member] | Variable Interest Entity [Member]    
Financial assets:    
Restricted cash 5,642 5,822
Loans 11,516,242 11,690,324
Financial liabilities:    
Long-term debt 11,998,561 12,327,960
Successor [Member] | Carrying Amount [Member]    
Financial assets:    
Other investments 320,847 310,600
Cash 29,142 35,744
Loans 5,109 5,206
Total financial assets 20,757,615 20,064,063
Financial liabilities:    
Obligations under investment and repurchase agreements 100,358 100,358
Liabilities for net financial guarantees written 2,857,709 2,033,484
Long-term debt 1,486,956 1,481,045
Total financial liabilities 18,926,722 18,224,608
Successor [Member] | Carrying Amount [Member] | Variable Interest Entity [Member]    
Financial assets:    
Restricted cash 5,642 5,822
Loans 11,516,242 11,690,324
Financial liabilities:    
Long-term debt 11,998,561 12,327,960
Successor [Member] | Total Pooled Investment [Member]    
Financial assets:    
Other investments 246,703 239,516
Successor [Member] | Level 1 [Member]    
Financial assets:    
Other investments 47,673 45,745
Cash 29,142 35,744
Loans 0 0
Total financial assets 694,391 463,868
Financial liabilities:    
Obligations under investment and repurchase agreements 0 0
Liabilities for net financial guarantees written 0 0
Long-term debt 0 0
Total financial liabilities 117 0
Successor [Member] | Level 1 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Restricted cash 5,642 5,822
Loans 0 0
Financial liabilities:    
Long-term debt 0 0
Successor [Member] | Level 2 [Member]    
Financial assets:    
Other investments 0 0
Cash 0 0
Loans 0 0
Total financial assets 4,851,527 4,490,636
Financial liabilities:    
Obligations under investment and repurchase agreements 0 0
Liabilities for net financial guarantees written 0 0
Long-term debt 123,519 132,837
Total financial liabilities 11,632,244 11,400,158
Successor [Member] | Level 2 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Restricted cash 0 0
Loans 0 0
Financial liabilities:    
Long-term debt 9,210,145 9,147,790
Successor [Member] | Level 3 [Member]    
Financial assets:    
Other investments 9,804 12,834
Cash 0 0
Loans 5,082 5,128
Total financial assets 14,948,300 14,857,460
Financial liabilities:    
Obligations under investment and repurchase agreements 101,335 101,400
Liabilities for net financial guarantees written 3,925,664 2,325,859
Long-term debt 1,227,095 1,102,884
Total financial liabilities 8,226,951 6,872,543
Successor [Member] | Level 3 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Restricted cash 0 0
Loans 11,516,242 11,690,324
Financial liabilities:    
Long-term debt 2,788,416 3,180,170
Successor [Member] | Level 3 [Member] | Currency Swaps [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 0  
Successor [Member] | Interest Rate Swaps [Member] | Total Fair Value [Member]    
Financial assets:    
Derivative assets 97,559 84,886
Derivative assets - interest rate swaps - liability position 0  
Successor [Member] | Interest Rate Swaps [Member] | Carrying Amount [Member]    
Financial assets:    
Derivative assets 97,559 84,886
Derivative assets - interest rate swaps - liability position 0  
Successor [Member] | Interest Rate Swaps [Member] | Level 1 [Member]    
Financial assets:    
Derivative assets 0 0
Derivative assets - interest rate swaps - liability position 0 0
Successor [Member] | Interest Rate Swaps [Member] | Level 2 [Member]    
Financial assets:    
Derivative assets 23,012 21,848
Derivative assets - interest rate swaps - liability position 0 0
Successor [Member] | Interest Rate Swaps [Member] | Level 3 [Member]    
Financial assets:    
Derivative assets 74,547 63,038
Derivative assets - interest rate swaps - liability position 0 0
Successor [Member] | Municipal Bonds [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 385,830 420,770
Successor [Member] | Municipal Bonds [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 385,830 420,770
Successor [Member] | Municipal Bonds [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Municipal Bonds [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 385,830 420,770
Successor [Member] | Municipal Bonds [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Corporate Obligations [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 1,646,304 1,593,669
Successor [Member] | Corporate Obligations [Member] | Total Fair Value [Member] | Variable Interest Entity [Member]    
Financial assets:    
Fixed income securities 2,622,724 2,588,556
Successor [Member] | Corporate Obligations [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 1,646,304 1,593,669
Successor [Member] | Corporate Obligations [Member] | Carrying Amount [Member] | Variable Interest Entity [Member]    
Financial assets:    
Fixed income securities 2,622,724 2,588,556
Successor [Member] | Corporate Obligations [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Corporate Obligations [Member] | Level 1 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Corporate Obligations [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 1,646,304 1,593,669
Successor [Member] | Corporate Obligations [Member] | Level 2 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Corporate Obligations [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Corporate Obligations [Member] | Level 3 [Member] | Variable Interest Entity [Member]    
Financial assets:    
Fixed income securities 2,622,724 2,588,556
Successor [Member] | Foreign Obligations [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 96,641 96,306
Successor [Member] | Foreign Obligations [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 96,641 96,306
Successor [Member] | Foreign Obligations [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 82,490 87,808
Successor [Member] | Foreign Obligations [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 14,151 8,498
Successor [Member] | Foreign Obligations [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | US Government Debt Securities [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 33,449 26,687
Fixed income securities, pledged as collateral 64,918 64,555
Successor [Member] | US Government Debt Securities [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 33,449 26,687
Fixed income securities, pledged as collateral 64,918 64,555
Successor [Member] | US Government Debt Securities [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 33,449 26,687
Fixed income securities, pledged as collateral 64,918 64,555
Successor [Member] | US Government Debt Securities [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 0 0
Fixed income securities, pledged as collateral 0 0
Successor [Member] | US Government Debt Securities [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Fixed income securities, pledged as collateral 0 0
Successor [Member] | U.S. Agency Obligations [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 4,186 4,212
Successor [Member] | U.S. Agency Obligations [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 4,186 4,212
Successor [Member] | U.S. Agency Obligations [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | U.S. Agency Obligations [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 4,186 4,212
Successor [Member] | U.S. Agency Obligations [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 2,274,055 1,977,338
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 2,274,055 1,977,338
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 1,634,351 1,488,454
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 639,704 488,884
Successor [Member] | Collateralized Debt Obligations [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 99,341 84,267
Successor [Member] | Collateralized Debt Obligations [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 99,341 84,267
Successor [Member] | Collateralized Debt Obligations [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Collateralized Debt Obligations [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 99,341 84,267
Successor [Member] | Collateralized Debt Obligations [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Asset-backed Securities [Member] | Total Fair Value [Member]    
Financial assets:    
Fixed income securities 1,110,455 840,527
Successor [Member] | Asset-backed Securities [Member] | Carrying Amount [Member]    
Financial assets:    
Fixed income securities 1,110,455 840,527
Successor [Member] | Asset-backed Securities [Member] | Level 1 [Member]    
Financial assets:    
Fixed income securities 0 0
Successor [Member] | Asset-backed Securities [Member] | Level 2 [Member]    
Financial assets:    
Fixed income securities 1,038,669 840,527
Successor [Member] | Asset-backed Securities [Member] | Level 3 [Member]    
Financial assets:    
Fixed income securities 71,786 0
Successor [Member] | Short-Term [Member] | Total Fair Value [Member]    
Financial assets:    
Short term investments 436,760 225,789
Successor [Member] | Short-Term [Member] | Carrying Amount [Member]    
Financial assets:    
Short term investments 436,760 225,789
Successor [Member] | Short-Term [Member] | Level 1 [Member]    
Financial assets:    
Short term investments 431,077 197,398
Successor [Member] | Short-Term [Member] | Level 2 [Member]    
Financial assets:    
Short term investments 5,683 28,391
Successor [Member] | Short-Term [Member] | Level 3 [Member]    
Financial assets:    
Short term investments 0 0
Successor [Member] | Credit Derivatives [Member] | Total Fair Value [Member]    
Financial assets:    
Derivative assets 0 0
Successor [Member] | Credit Derivatives [Member] | Carrying Amount [Member]    
Financial assets:    
Derivative assets 0 0
Successor [Member] | Credit Derivatives [Member] | Level 1 [Member]    
Financial assets:    
Derivative assets 0 0
Successor [Member] | Credit Derivatives [Member] | Level 2 [Member]    
Financial assets:    
Derivative assets 0 0
Successor [Member] | Credit Derivatives [Member] | Level 3 [Member]    
Financial assets:    
Derivative assets 0 0
Successor [Member] | Other Assets [Member] | Total Fair Value [Member]    
Financial assets:    
Other assets 8,411 8,696
Successor [Member] | Other Assets [Member] | Carrying Amount [Member]    
Financial assets:    
Other assets 8,411 8,696
Successor [Member] | Other Assets [Member] | Level 1 [Member]    
Financial assets:    
Other assets 0 0
Successor [Member] | Other Assets [Member] | Level 2 [Member]    
Financial assets:    
Other assets 0 0
Successor [Member] | Other Assets [Member] | Level 3 [Member]    
Financial assets:    
Other assets 8,411 8,696
Successor [Member] | Futures Contracts [Member] | Total Fair Value [Member]    
Financial assets:    
Derivative assets   109
Successor [Member] | Futures Contracts [Member] | Carrying Amount [Member]    
Financial assets:    
Derivative assets   109
Successor [Member] | Futures Contracts [Member] | Level 1 [Member]    
Financial assets:    
Derivative assets   109
Successor [Member] | Futures Contracts [Member] | Level 2 [Member]    
Financial assets:    
Derivative assets   0
Successor [Member] | Futures Contracts [Member] | Level 3 [Member]    
Financial assets:    
Derivative assets   0
Other Contracts [Member] | Successor [Member] | Total Fair Value [Member]    
Financial liabilities:    
Derivative liabilities   0
Other Contracts [Member] | Successor [Member] | Carrying Amount [Member]    
Financial liabilities:    
Derivative liabilities   0
Other Contracts [Member] | Successor [Member] | Level 1 [Member]    
Financial liabilities:    
Derivative liabilities   0
Other Contracts [Member] | Successor [Member] | Level 2 [Member]    
Financial liabilities:    
Derivative liabilities   0
Other Contracts [Member] | Successor [Member] | Level 3 [Member]    
Financial liabilities:    
Derivative liabilities   0
Futures Contracts [Member] | Successor [Member] | Total Fair Value [Member]    
Financial liabilities:    
Derivative liabilities 117 0
Futures Contracts [Member] | Successor [Member] | Carrying Amount [Member]    
Financial liabilities:    
Derivative liabilities 117 0
Futures Contracts [Member] | Successor [Member] | Level 1 [Member]    
Financial liabilities:    
Derivative liabilities 117 0
Futures Contracts [Member] | Successor [Member] | Level 2 [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Futures Contracts [Member] | Successor [Member] | Level 3 [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Interest Rate Swaps [Member] | Successor [Member] | Total Fair Value [Member]    
Financial liabilities:    
Derivative liabilities - interest rate swaps - asset position (79,168) (52,128)
Derivative liabilities 465,453 370,943
Interest Rate Swaps [Member] | Successor [Member] | Total Fair Value [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 2,123,608 1,965,265
Interest Rate Swaps [Member] | Successor [Member] | Carrying Amount [Member]    
Financial liabilities:    
Derivative liabilities - interest rate swaps - asset position (79,168) (52,128)
Derivative liabilities 465,453 370,943
Interest Rate Swaps [Member] | Successor [Member] | Carrying Amount [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 2,123,608 1,965,265
Interest Rate Swaps [Member] | Successor [Member] | Level 1 [Member]    
Financial liabilities:    
Derivative liabilities - interest rate swaps - asset position 0 0
Derivative liabilities 0 0
Interest Rate Swaps [Member] | Successor [Member] | Level 1 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Interest Rate Swaps [Member] | Successor [Member] | Level 2 [Member]    
Financial liabilities:    
Derivative liabilities - interest rate swaps - asset position (79,168) (52,128)
Derivative liabilities 302,941 243,256
Interest Rate Swaps [Member] | Successor [Member] | Level 2 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 2,123,608 1,965,265
Interest Rate Swaps [Member] | Successor [Member] | Level 3 [Member]    
Financial liabilities:    
Derivative liabilities - interest rate swaps - asset position 0 0
Derivative liabilities 162,512 127,687
Interest Rate Swaps [Member] | Successor [Member] | Level 3 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Credit Derivatives [Member] | Successor [Member] | Total Fair Value [Member]    
Financial liabilities:    
Derivative liabilities 21,929 34,543
Credit Derivatives [Member] | Successor [Member] | Carrying Amount [Member]    
Financial liabilities:    
Derivative liabilities 21,929 34,543
Credit Derivatives [Member] | Successor [Member] | Level 1 [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Credit Derivatives [Member] | Successor [Member] | Level 2 [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Credit Derivatives [Member] | Successor [Member] | Level 3 [Member]    
Financial liabilities:    
Derivative liabilities 21,929 34,543
Currency Swaps [Member] | Successor [Member] | Total Fair Value [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities (48,801) (36,862)
Currency Swaps [Member] | Successor [Member] | Carrying Amount [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities (48,801) (36,862)
Currency Swaps [Member] | Successor [Member] | Level 1 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities 0 0
Currency Swaps [Member] | Successor [Member] | Level 2 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities $ (48,801) (36,862)
Currency Swaps [Member] | Successor [Member] | Level 3 [Member] | Variable Interest Entity [Member]    
Financial liabilities:    
Derivative liabilities   $ 0