XML 54 R34.htm IDEA: XBRL DOCUMENT v3.10.0.1

Investments (Tables)

12 Months Ended

Dec. 31, 2018

Investments, Debt and Equity Securities [Abstract]

Equity Method Investments [Table Text Block]

There are no unfunded commitments applicable to any of these investments for the periods disclosed.

Class of Funds		December 31, 2018				December 31, 2017				Redemption frequency		Redemption notice period
Real estate properties (1)		$	16,123			$	33,154			quarterly		10 business days
Diversified hedge fund strategies (2)		—				53,054				semi-monthly		15 - 30 days
Interest rate products (3) (7)		177,357				136,603				daily, weekly or monthly		0 - 30 days
Illiquid investments (4)		84,297				67,787				quarterly		180 days
Insurance-linked investments (5)		29,318				22,666				quarterly		90-120 days
Equity market investments (6) (7)		43,954				53,675				daily		0 days
Total equity investments in pooled funds		$	351,049			$	366,939

(1) Investments consist of UK property to generate income and capital growth.

(2) Investments seek diversified exposure to hedge fund core strategies to produce high risk-adjusted returns, with low long-term correlation to traditional markets and with targeted volatility levels. Funds may have the right to defer redemptions under certain circumstances. Ambac sold its position in this fund in 2018.

(3) This class of funds includes investments in a range of instruments including leveraged loans, CLOs, asset-backed securities and floating rate notes to generate income and capital appreciation. Funds with less frequent redemption periods limit redemptions to as little as 15% per period. Funds with a same day redemption notice period are redeemable only weekly, while funds that may be redeemed any business day have notice periods of 15-30 days.

(4) This class seeks to obtain high long-term total return through investments with low liquidity and defined term, resulting in expected capital distributions to subscribers between 2020 and 2023. Redemptions were not able to occur prior to the expiration of the investment lock-up period in May 2018.

(5) This class aims to provide returns from the insurance and reinsurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. Redemption periods are quarterly, subject to 90-day notice for January/July redemption dates and 120-day notice for April/October redemption dates with redemptions greater than 3.5% during the first five years following share issuance subject to redemption fees.

(6) Investments represent a diversified exposure to global equity market returns through holdings of various regional market index funds.

(7) Interest rate products include $27,154 at December 31, 2018 and $2,823 at December 31, 2017 and equity market investments include $43,954 at December 31, 2018 and $53,675 at December 31, 2017 that have readily determinable fair values priced through pricing vendors.

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, 2018 and 2017 were as follows:

		Amortized Cost				Gross Unrealized Gains				Gross Unrealized Losses				Estimated Fair Value				Non-Credit  Other- than-temporary Impairments (1)
December 31, 2018
Fixed income securities:
Municipal obligations		$	882,631			$	14,364			$	17,076			$	879,919			$	5
Corporate obligations (2)		1,288,882				6,444				17,204				1,278,122				—
Foreign obligations		30,496				399				61				30,834				—
U.S. government obligations		93,636				1,371				613				94,394
Residential mortgage-backed securities		221,825				37,575				793				258,607				27
Collateralized debt obligations		133,075				8				1,727				131,356				—
Other asset-backed securities		370,199				72,868				624				442,443				—
		3,020,744				133,029				38,098				3,115,675				32
Short-term		430,405				23				97				430,331				—
Total available-for-sale investments		$	3,451,149			$	133,052			$	38,195			$	3,546,006			$	32
December 31, 2017
Fixed income securities:
Municipal obligations		$	845,778			$	3,456			$	69,400			$	779,834			$	—
Corporate obligations		858,774				6,772				5,471				860,075				—
Foreign obligations		26,245				409				111				26,543				—
U.S. government obligations		86,900				261				1,753				85,408				—
Residential mortgage-backed securities		2,214,512				67,303				30,482				2,251,333				23,832
Collateralized debt obligations		50,754				283				—				51,037				—
Other asset-backed securities		531,660				66,899				617				597,942				—
		4,614,623				145,383				107,834				4,652,172				23,832
Short-term		557,476				3				209				557,270				—
		5,172,099				145,386				108,043				5,209,442				23,832
Fixed income securities pledged as collateral:
U.S. government obligations		99,719				—				—				99,719				—
Total collateralized investments		99,719				—				—				99,719				—
Total available-for-sale investments		$	5,271,818			$	145,386			$	108,043			$	5,309,161			$	23,832

(1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2018 and 2017.

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, at December 31, 2018, by contractual maturity, were as follows:

		Amortized Cost				Estimated Fair Value
Due in one year or less		$	508,478			$	508,138
Due after one year through five years		1,094,712				1,093,945
Due after five years through ten years		301,303				296,305
Due after ten years		821,557				815,212
		2,726,050				2,713,600
Residential mortgage-backed securities		221,825				258,607
Collateralized debt obligations		133,075				131,356
Other asset-backed securities		370,199				442,443
Total		$	3,451,149			$	3,546,006

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, 2018 and 2017:

		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, 2018
Fixed income securities:
Municipal obligations		$	537,904			$	15,878			$	28,533			$	1,198			$	566,437			$	17,076
Corporate obligations		306,506				8,634				190,273				8,570				496,779				17,204
Foreign obligations		1,161				1				5,163				60				6,324				61
U.S. government obligations		5,643				135				58,495				478				64,138				613
Residential mortgage-backed securities		34,852				793				—				—				34,852				793
Collateralized debt obligations		123,848				1,727				—				—				123,848				1,727
Other asset-backed securities		13,813				33				77,479				591				91,292				624
		1,023,727				27,201				359,943				10,897				1,383,670				38,098
Short-term		115,374				97				—				—				115,374				97
Total		$	1,139,101			$	27,298			$	359,943			$	10,897			$	1,499,044			$	38,195

		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, 2017
Fixed income securities:
Municipal obligations		$	667,335			$	68,578			$	32,525			$	822			$	699,860			$	69,400
Corporate obligations		292,028				3,377				87,272				2,094				379,300				5,471
Foreign obligations		8,122				81				1,700				30				9,822				111
U.S. government obligations		74,188				1,653				5,525				100				79,713				1,753
Residential mortgage-backed securities		668,524				12,524				418,617				17,958				1,087,141				30,482
Other asset-backed securities		26,655				58				88,023				559				114,678				617
		1,736,852				86,271				633,662				21,563				2,370,514				107,834
Short-term		251,926				209				—				—				251,926				209
Total		$	1,988,778			$	86,480			$	633,662			$	21,563			$	2,622,440			$	108,043

Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments

The following table details amounts included in net realized gains (losses) and other-than-temporary impairments included in earnings for the affected periods:

Year Ended December 31,		2018				2017				2016
Gross realized gains on securities		$	111,417			$	29,080			$	17,344
Gross realized losses on securities		(6,511		)		(18,945		)		(8,239		)
Foreign exchange (losses) gains		6,718				(4,769		)		30,179
Net realized gains		$	111,624			$	5,366			$	39,284
Net other-than-temporary impairments (1)		$	(3,238	)		$	(20,171	)		$	(21,819	)

(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.

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, 2018 and 2017 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:

Year Ended December 31,		2018				2017				2016
Balance, beginning of period		$	67,085			$	52,070			$	31,176
Additions for credit impairments recognized on:
Securities not previously impaired		1,210				3,310				3,572
Securities previously impaired		226				11,705				17,322
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period		(56,067		)		—				—
Balance, end of period		$	12,454			$	67,085			$	52,070

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, 2018 and 2017, respectively: 

		Municipal obligations				Corporate obligations  (3)				Mortgage and asset- backed securities				Total				Weighted Average Underlying Rating (1)
December 31, 2018:
Ambac Assurance Corporation (2)		$	833,241			$	656,473			$	599,185			$	2,088,899			CC
National Public Finance Guarantee Corporation		15,600				—				—				15,600				BBB-
Total		$	848,841			$	656,473			$	599,185			$	2,104,499			CC
December 31, 2017:
Ambac Assurance Corporation (2)		$	706,715			$	32,660			$	2,702,887			$	3,442,262			CC
National Public Finance Guarantee Corporation		20,733				—				—				20,733				BBB-
Assured Guaranty Municipal Corporation		5,998				—				—				5,998				BBB+
Total		$	733,446			$	32,660			$	2,702,887			$	3,468,993			CC

(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 corporate obligations and asset-backed securities with a fair value of $144,672 and $170,280 at December 31, 2018 and 2017, respectively, insured by Ambac UK.

(3) 2018 includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. These secured notes are insured by Ambac Assurance.

Summary of Net Investment Income

Net investment income was comprised of the following for the affected periods:

Year Ended December 31,		2018				2017				2016
Fixed income securities		$	265,380			$	337,454			$	288,554
Short-term investments		11,014				7,898				1,505
Loans		730				520				337
Investment expense		(6,599		)		(8,098		)		(9,347		)
Securities available-for-sale and short-term		270,525				337,774				281,049
Other investments		2,192				23,179				32,318
Total net investment income		$	272,717			$	360,953			$	313,367

Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus income from Ambac's interests in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:

Year Ended December 31,		2018				2017				2016
Net gains (losses) recognized during the period on trading securities		$	(3,035	)		$	18,242			$	27,654
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period		615				4,854				7,474
Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date		$	(3,650	)		$	13,388			$	20,180

X

- Definition

Fair Value And Weighted Average Underlying Rating Of Securities Covered by Guarantees [Table Text Block]

+ References

No definition available.

+ Details

Name:	ambc_FairValueAndWeightedAverageUnderlyingRatingOfSecuritiesCoveredByGuaranteesTableTextBlock
Namespace Prefix:	ambc_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-URI http://asc.fasb.org/topic&trid=2196928

+ Details

Name:	us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of equity method investments including, but not limited to, name of each investee or group of investments, percentage ownership, difference between recorded amount of an investment and the value of the underlying equity in the net assets, and summarized financial information.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 323
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=114001798&loc=d3e33918-111571

+ Details

Name:	us-gaap_EquityMethodInvestmentsTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of realized and unrealized gain (loss) on investment in security.

+ References

No definition available.

+ Details

Name:	us-gaap_GainLossOnInvestmentsTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03.9)
-URI http://asc.fasb.org/extlink&oid=115205541&loc=SL114868664-224227

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 944
-SubTopic 220
-Section S99
-Paragraph 1
-Subparagraph (SX 210.7-04.2)
-URI http://asc.fasb.org/extlink&oid=114873790&loc=SL114874131-224263

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03.7(a),(b))
-URI http://asc.fasb.org/extlink&oid=115205541&loc=SL114868664-224227

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03.8)
-URI http://asc.fasb.org/extlink&oid=115205541&loc=SL114868664-224227

+ Details

Name:	us-gaap_InvestmentIncomeTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of maturities of an entity's investments as well as any other information pertinent to the investments.

+ References

No definition available.

+ Details

Name:	us-gaap_InvestmentsClassifiedByContractualMaturityDateTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- 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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=82897076&loc=d3e27340-111563

+ Details

Name:	us-gaap_OtherThanTemporaryImpairmentCreditLossesRecognizedInEarningsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=82897076&loc=d3e27290-111563

+ Details

Name:	us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration