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Financial Guarantee Insurance Contracts (Tables)
 9 Months Ended
Sep. 30, 2016
Insurance [Line Items]  
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block]
Below are the components of the Loss and loss expense reserves liability and the Subrogation recoverable asset at September 30, 2016 and December 31, 2015:
 
Unpaid Claims
 
Present Value of Expected
Net Cash Flows
 
 
 
 
Balance Sheet Line Item
Claims
 
Accrued
Interest
 
Claims and
Loss Expenses
 
Recoveries
 
Unearned
Premium
Revenue
 
Gross Loss and
Loss Expense
Reserves
September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,392,674

 
$
490,099

 
$
2,772,357

 
$
(1,290,553
)
 
$
(157,042
)
 
$
4,207,535

Subrogation recoverable
616,987

 
127,810

 
96,406

 
(1,544,824
)
 
—

 
(703,621
)
Totals
$
3,009,661

 
$
617,909

 
$
2,868,763

 
$
(2,835,377
)
 
$
(157,042
)
 
$
3,503,914

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,138,952

 
$
349,668

 
$
3,265,349

 
$
(1,476,276
)
 
$
(189,587
)
 
$
4,088,106

Subrogation recoverable
828,802

 
141,349

 
207,674

 
(2,407,118
)
 
—

 
(1,229,293
)
Totals
$
2,967,754

 
$
491,017

 
$
3,473,023

 
$
(3,883,394
)
 
$
(189,587
)
 
$
2,858,813
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts)
Below is the gross premium receivable roll-forward for the affected periods:
 
 
Nine Months Ended September 30,
 
 
2016
 
2015
Beginning premium receivable
 
$
831,575

 
$
1,000,607

Premium receipts
 
(60,609
)
 
(70,940
)
Adjustments for changes in expected and contractual cash flows
 
(57,932
)
 
(39,613
)
Accretion of premium receivable discount
 
14,304

 
18,795

Changes to uncollectable premiums
 
4,264

 
1,978

Other adjustments (including foreign exchange)
 
(25,374
)
 
(15,381
)
Ending premium receivable (1)
 
$
706,228

 
$
895,446
Effect of Reinsurance on Premiums Written and Earned
The effect of reinsurance on premiums written and earned for the respective periods was as follows:
 
Three Months Ended September 30,
 
2016
 
2015
 
Written
 
Earned
 
Written
 
Earned
Direct
$
(10,543
)
 
$
59,096

 
$
(8,710
)
 
$
77,982

Assumed
—

 
21

 
—

 
22

Ceded
(1,526
)
 
5,899

 
(105
)
 
6,469

Net premiums
$
(9,017
)
 
$
53,218

 
$
(8,605
)
 
$
71,535


 
Nine Months Ended September 30,
 
2016
 
2015
 
Written
 
Earned
 
Written
 
Earned
Direct
$
(39,364
)
 
$
161,058

 
$
(18,840
)
 
$
214,787

Assumed
—

 
64

 
—

 
66

Ceded
(8,425
)
 
13,702

 
(882
)
 
16,721

Net premiums
$
(30,939
)
 
$
147,420

 
$
(17,958
)
 
$
198,132
Summarized Future Gross Undiscounted Premiums Expected to be Collected and Future Expected Premiums Earned, Net of Reinsurance
The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at September 30, 2016:
 
Future premiums
to be collected (1)
 
Future
premiums to
be earned net of
reinsurance (1)
Three months ended:
 
 
 
December 31, 2016
$
17,213

 
$
29,942

Twelve months ended:
 
 
 
December 31, 2017
67,650

 
96,399

December 31, 2018
63,131

 
77,484

December 31, 2019
59,548

 
71,357

December 31, 2020
56,542

 
67,017

Five years ended:
 
 
 
December 31, 2025
231,529

 
269,853

December 31, 2030
186,809

 
186,311

December 31, 2035
121,623

 
109,372

December 31, 2040
41,618

 
40,087

December 31, 2045
18,852

 
17,219

December 31, 2050
7,151

 
7,785

December 31, 2055
601

 
1,298

Total
$
872,267

 
$
974,124

(1)
Future premiums to be collected are undiscounted and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable, as further described in Note 2. Basis of Presentation and Significant Accounting Principles in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K/A for the year ended December 31, 2015. This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing.
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance
Below is the loss and loss expense reserve roll-forward, net of subrogation recoverable and reinsurance, for the affected periods:
 
Nine Months Ended September 30,
 
2016
 
2015
Beginning gross loss and loss expense reserves
$
2,858,813

 
$
3,798,733

Less reinsurance on loss and loss expense reserves
44,059

 
100,355

Beginning balance of net loss and loss expense reserves
$
2,814,754

 
$
3,698,378

Changes in the loss and loss expense reserves due to:
 
 
 
Current year:
 
 
 
Establishment of new loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
11,033

 
1,404

Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
(2,056
)
 
—

Total current year
8,977

 
1,404

Prior years:
 
 
 
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
(207,615
)
 
(414,642
)
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
950,810

 
(61,740
)
(Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance
(87,310
)
 
(31,744
)
Total prior years
655,885

 
(508,126
)
Net change in net loss and loss expense reserves
664,862

 
(506,722
)
Ending net loss and loss expense reserves
3,479,616

 
3,191,656

Add reinsurance on loss and loss expense reserves (1)
24,298

 
63,657

Ending gross loss and loss expense reserves (2)
$
3,503,914

 
$
3,255,313


(1)
Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables (payables) of previously presented loss and loss expenses of $143 and $4,662 as of September 30, 2016 and 2015, respectively.
(2)
Includes Euro denominated gross loss and loss expense reserves of $17,029 (€15,153) and $16,094 (€14,415) at September 30, 2016 and 2015, respectively.
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable
The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at September 30, 2016 and December 31, 2015. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy. The weighted average risk-free rate used to discount loss reserves at September 30, 2016 and December 31, 2015 was 1.8% and 2.4%, respectively.
Surveillance Categories as of September 30, 2016
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
32

 
25

 
21

 
47

 
168

 
3

 
296

Remaining weighted-average contract period (in years)
9

 
14

 
28

 
18

 
15

 
6

 
16

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
1,780,294

 
$
541,278

 
$
1,743,119

 
$
1,992,587

 
$
8,197,140

 
$
49,247

 
$
14,303,665

Interest
733,068

 
152,233

 
6,804,123

 
1,389,838

 
2,354,765

 
15,422

 
11,449,449

Total
$
2,513,362

 
$
693,511

 
$
8,547,242

 
$
3,382,425

 
$
10,551,905

 
$
64,669

 
$
25,753,114

Gross undiscounted claim liability (1)
$
6,798

 
$
6,349

 
$
183,255

 
$
847,307

 
$
6,134,180

 
$
64,669

 
$
7,242,558

Discount, gross claim liability
(387
)
 
(475
)
 
(88,544
)
 
(186,037
)
 
(550,510
)
 
(4,028
)
 
(829,981
)
Gross claim liability before all subrogation and before reinsurance
$
6,411

 
$
5,874

 
$
94,711

 
$
661,270

 
$
5,583,670

 
$
60,641

 
$
6,412,577

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(1,936,829
)
 
—

 
(1,936,829
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
13,573

 
—

 
13,573

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(1,923,256
)
 
—

 
(1,923,256
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(8,968
)
 
(226,073
)
 
(836,767
)
 
(12,938
)
 
(1,084,746
)
Discount, other subrogation
—

 
—

 
2,198

 
59,125

 
108,342

 
2,960

 
172,625

Discounted other subrogation, before reinsurance
—

 
—

 
(6,770
)
 
(166,948
)
 
(728,425
)
 
(9,978
)
 
(912,121
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
6,411

 
$
5,874

 
$
87,941

 
$
494,322

 
$
2,931,989

 
$
50,663

 
$
3,577,200

Less: Unearned premium revenue
(3,774
)
 
(2,255
)
 
(46,411
)
 
(38,390
)
 
(65,811
)
 
(401
)
 
(157,042
)
Plus: Loss expense reserves
8,977

 
160

 
572

 
15,761

 
58,286

 
—

 
83,756

Gross loss and loss expense reserves
$
11,614

 
$
3,779

 
$
42,102

 
$
471,693

 
$
2,924,464

 
$
50,262

 
$
3,503,914

Reinsurance recoverable reported on Balance Sheet (4)
$
699

 
$
946

 
$
177

 
$
39,241

 
$
(16,622
)
 
$
—

 
$
24,441

 
(1)
Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims.
(2)
RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches.
(3)
Other subrogation primarily represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $24,298 related to future loss and loss expenses and $143 related to presented loss and loss expenses.
Surveillance Categories as of December 31, 2015
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
33

 
14

 
23

 
63

 
157

 
3

 
293

Remaining weighted-average contract period (in years)
9

 
17

 
26

 
19

 
13

 
6

 
15

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
1,830,549

 
$
263,288

 
$
1,912,237

 
$
2,972,615

 
$
8,942,730

 
$
54,590

 
$
15,976,009

Interest
724,940

 
107,624

 
6,834,538

 
1,792,525

 
2,391,523

 
16,791

 
11,867,941

Total
$
2,555,489

 
$
370,912

 
$
8,746,775

 
$
4,765,140

 
$
11,334,253

 
$
71,381

 
$
27,843,950

Gross undiscounted claim liability (1)
$
6,188

 
$
5,632

 
$
173,930

 
$
1,595,525

 
$
6,339,537

 
$
71,381

 
$
8,192,193

Discount, gross claim liability
(515
)
 
(652
)
 
(96,218
)
 
(458,805
)
 
(770,694
)
 
(6,779
)
 
(1,333,663
)
Gross claim liability before all subrogation and before reinsurance
$
5,673

 
$
4,980

 
$
77,712

 
$
1,136,720

 
$
5,568,843

 
$
64,602

 
$
6,858,530

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(2,841,291
)
 
—

 
(2,841,291
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
11,716

 
—

 
11,716

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(2,829,575
)
 
—

 
(2,829,575
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(12,937
)
 
(526,957
)
 
(835,078
)
 
(13,098
)
 
(1,388,070
)
Discount, other subrogation
—

 
—

 
3,961

 
198,643

 
127,669

 
3,978

 
334,251

Discounted other subrogation, before reinsurance
—

 
—

 
(8,976
)
 
(328,314
)
 
(707,409
)
 
(9,120
)
 
(1,053,819
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
5,673

 
$
4,980

 
$
68,736

 
$
808,406

 
$
2,031,859

 
$
55,482

 
$
2,975,136

Less: Unearned premium revenue
(3,360
)
 
(1,796
)
 
(48,871
)
 
(63,257
)
 
(71,848
)
 
(455
)
 
(189,587
)
Plus: Loss expense reserves
—

 
66

 
629

 
15,090

 
57,479

 
—

 
73,264

Gross loss and loss expense reserves
$
2,313

 
$
3,250

 
$
20,494

 
$
760,239

 
$
2,017,490

 
$
55,027

 
$
2,858,813

Reinsurance recoverable reported on Balance Sheet (4)
$
642

 
$
880

 
$
85

 
$
59,503

 
$
(17,111
)
 
$
—

 
$
43,999

(1)
Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims.
(2)
RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches.
(3)
Other subrogation primarily represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $44,059 related to future loss and loss expenses and $(60) related to presented loss and loss expenses.
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach
The balance of R&W subrogation recoveries and the related loss reserves, using the Random Sample estimation approach, at September 30, 2016 and December 31, 2015, are as follows:
Random Sample Approach
Gross loss
reserves before
subrogation
recoveries (1)
 
Subrogation
recoveries (2)(3)
 
Gross loss
reserves after
subrogation
recoveries
At September 30, 2016
$
1,364,835

 
$
(1,923,256
)
 
$
(558,421
)
 
 
 
 
 
 
At December 31, 2015
$
1,850,804

 
$
(2,829,575
)
 
$
(978,771
)
(1)
Includes unpaid RMBS claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account.
(2)
The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid and unpaid losses plus the present value of expected cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of R&W subrogation recoveries may exceed the sum of the unpaid claims and the present value of expected cash flows 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 the sum of unpaid claims and the present value of expected cash flows, the net cash outflow for these policies is recorded as a “Loss and loss expense reserves” liability.
(3)
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 R&W subrogation, by random sample estimation approach, for the affected periods:
 
Nine Months Ended September 30,
 
2016
 
2015
Discounted R&W subrogation (gross of reinsurance) at beginning of period
$
2,829,575

 
$
2,523,540

Changes recognized during the period:
 
 
 
Impact of sponsor actions (1)
(995,000
)
 
—

All other changes (2)
88,681

 
31,921

Discounted R&W subrogation (gross of reinsurance) at end of period
$
1,923,256

 
$
2,555,461

(1)
Sponsor actions include loan repurchases, direct payments to Ambac and other contributions.
(2)
All other changes which may impact R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries. All other changes may also include estimates of potential sponsor settlements that may not have been subject to a sampling approach or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table.
Insurance Intangible Asset [Member]  
Insurance [Line Items]  
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block]
The estimated future amortization expense for the net insurance intangible asset is as follows:
 
 
2016
 
2017
 
2018
 
2019
 
2020
 
Thereafter
Amortization expense (1)
 
$
26,750

 
$
96,523

 
$
83,807

 
$
75,292

 
$
69,421

 
$
671,072