Document_and_Entity_Informatio
Document and Entity Information | 6 Months Ended |
Jun. 30, 2014 | |
Document And Entity Information [Abstract] | ' |
Document Type | '10-Q |
Amendment Flag | 'false |
Document Period End Date | 30-Jun-14 |
Document Fiscal Year Focus | '2014 |
Document Fiscal Period Focus | 'Q2 |
Trading Symbol | 'AMBC |
Entity Registrant Name | 'AMBAC FINANCIAL GROUP INC |
Entity Central Index Key | '0000874501 |
Current Fiscal Year End Date | '--12-31 |
Entity Filer Category | 'Large Accelerated Filer |
Entity Common Stock, Shares Outstanding | 45,002,575 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | |||
Assets: | ' | ' | ' |
Fixed income securities, at fair value (amortized cost of $5,868,458 in 2014 and $5,927,254 in 2013) | $6,100,431 | ' | $5,885,316 |
Fixed income securities pledged as collateral, at fair value (amortized cost of $65,027 in 2014 and $126,196 in 2013) | 65,029 | ' | 126,223 |
Short-term investments, at fair value (amortized cost of $344,187 in 2014 and $271,118 in 2013) | 344,187 | ' | 271,119 |
Other investments, at fair value | 256,455 | ' | 241,069 |
Total investments | 6,766,102 | ' | 6,523,727 |
Cash and Cash Equivalents, at Carrying Value | 74,461 | ' | 77,370 |
Receivable for securities | 31,107 | ' | 14,450 |
Investment income due and accrued | 34,518 | ' | 37,663 |
Premium receivables | 1,356,362 | ' | 1,453,021 |
Reinsurance recoverable on paid and unpaid losses | 109,255 | ' | 121,249 |
Deferred ceded premium | 134,278 | ' | 145,529 |
Subrogation recoverable | 484,152 | ' | 498,478 |
Loans | 6,349 | ' | 6,179 |
Derivative assets | 89,680 | ' | 77,711 |
Insurance intangible asset | 1,549,384 | ' | 1,597,965 |
Goodwill | 514,511 | ' | 514,511 |
Other assets | 127,898 | ' | 35,927 |
Variable interest entity assets: | ' | ' | ' |
Fixed income securities, at fair value | 6,100,431 | ' | 5,885,316 |
Investment income due and accrued | 34,518 | ' | 37,663 |
Other assets | 127,898 | ' | 35,927 |
Total assets | 27,723,353 | ' | 27,092,477 |
Liabilities: | ' | ' | ' |
Unearned premiums | 2,070,312 | ' | 2,255,680 |
Loss and loss expense reserves | 6,072,323 | ' | 5,968,712 |
Ceded premiums payable | 64,740 | ' | 70,962 |
Obligations under investment agreements | 169,582 | ' | 359,070 |
Deferred taxes | 2,314 | ' | 2,199 |
Current taxes | 0 | ' | 738 |
Long-term debt | 981,424 | ' | 963,178 |
Accrued interest payable | 339,975 | ' | 294,817 |
Derivative liabilities | 342,273 | ' | 253,898 |
Other liabilities | 60,086 | ' | 67,377 |
Payable for securities purchased | 15,358 | ' | 4,654 |
Variable interest entity liabilities: | ' | ' | ' |
Accrued interest payable | 339,975 | ' | 294,817 |
Long-term debt, at fair value | 981,424 | ' | 963,178 |
Derivative liabilities | 342,273 | ' | 253,898 |
Other liabilities | 60,086 | ' | 67,377 |
Total liabilities | 26,499,822 | ' | 26,114,055 |
Stockholders’ equity: | ' | ' | ' |
Preferred stock, par value $0.01 per share; authorized shares—20,000,000; issued and outstanding shares—none | 0 | ' | 0 |
Common stock, par value $0.01 per share; authorized shares—130,000,000; issued and outstanding shares—45,003,512 at June 30, 2014 and 45,003,461 at December 31, 2013 | 450 | ' | 450 |
Additional paid-in capital | 188,060 | ' | 185,672 |
Accumulated other comprehensive income | 306,328 | ' | 11,661 |
Accumulated earnings | 453,256 | ' | 505,219 |
Common stock held in treasury at cost, 937 shares at June 30, 2014 and December 31, 2013 | -19 | ' | -19 |
Total Ambac Financial Group, Inc. stockholders’ equity | 948,075 | ' | 702,983 |
Noncontrolling interest | 275,456 | ' | 275,439 |
Total stockholders’ equity | 1,223,531 | ' | 978,422 |
Total liabilities and stockholders’ equity | 27,723,353 | ' | 27,092,477 |
Variable Interest Entity [Member] | ' | ' | ' |
Assets: | ' | ' | ' |
Fixed income securities, at fair value (amortized cost of $5,868,458 in 2014 and $5,927,254 in 2013) | 2,688,388 | ' | 2,475,182 |
Investment income due and accrued | 1,409 | ' | 1,365 |
Other assets | 3,068 | ' | 19,617 |
Variable interest entity assets: | ' | ' | ' |
Fixed income securities, at fair value | 2,688,388 | ' | 2,475,182 |
Restricted cash | 7,712 | ' | 17,498 |
Investment income due and accrued | 1,409 | ' | 1,365 |
Loans, at fair value | 13,743,231 | ' | 13,398,895 |
Intangible assets | 0 | ' | 76,140 |
Other assets | 3,068 | ' | 19,617 |
Liabilities: | ' | ' | ' |
Long-term debt | 14,450,434 | ' | 14,091,753 |
Accrued interest payable | 3,353 | ' | 722 |
Derivative liabilities | 1,927,460 | ' | 1,772,306 |
Other liabilities | 188 | ' | 7,989 |
Variable interest entity liabilities: | ' | ' | ' |
Accrued interest payable | 3,353 | ' | 722 |
Long-term debt, at fair value | 14,450,434 | ' | 14,091,753 |
Derivative liabilities | 1,927,460 | ' | 1,772,306 |
Other liabilities | 188 | ' | 7,989 |
Successor [Member] | ' | ' | ' |
Assets: | ' | ' | ' |
Cash and Cash Equivalents, at Carrying Value | 74,461 | ' | 77,370 |
Income Taxes Receivable, Current | ' | 1,488 | ' |
Derivative assets | 89,680 | ' | 77,711 |
Variable interest entity assets: | ' | ' | ' |
Total assets | 27,723,353 | ' | ' |
Liabilities: | ' | ' | ' |
Derivative liabilities | 342,273 | ' | 253,898 |
Variable interest entity liabilities: | ' | ' | ' |
Derivative liabilities | 342,273 | ' | 253,898 |
Stockholders’ equity: | ' | ' | ' |
Accumulated other comprehensive income | 306,328 | 104,417 | 11,661 |
Total stockholders’ equity | $1,223,531 | ' | $978,422 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Statement of Financial Position [Abstract] | ' | ' |
Fixed income securities, amortized cost | $5,868,458 | $5,927,254 |
Fixed income securities pledged as collateral, amortized cost | 65,027 | 126,196 |
Short-term investments, amortized cost | $344,187 | $271,118 |
Preferred stock, par value | $0.01 | $0.01 |
Preferred stock, shares authorized | 20,000,000 | 20,000,000 |
Preferred stock, shares issued | 0 | 0 |
Preferred stock, shares outstanding | 0 | 0 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 130,000,000 | 130,000,000 |
Common stock, shares issued | 45,003,512 | 45,003,461 |
Common stock, shares outstanding | 45,003,512 | 45,003,461 |
Treasury stock, shares | 937 | 937 |
Consolidated_Statements_of_Tot
Consolidated Statements of Total Comprehensive Income (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Revenues: | ' | ' | ' | ' | ' |
Net premiums earned | $58,039 | $65,013 | $147,560 | $29,744 | $130,000 |
Net investment income: | ' | ' | ' | ' | ' |
Securities available-for-sale and short-term | 29,211 | 76,882 | 145,689 | 31,314 | 116,371 |
Other investments | -3,015 | 3,211 | 5,205 | 912 | 369 |
Total net investment income | 26,196 | 80,093 | 150,894 | 32,226 | 116,740 |
Other-than-temporary impairment losses: | ' | ' | ' | ' | ' |
Total other-than-temporary impairment losses | -2,004 | -9,051 | -19,443 | -467 | -467 |
Portion of loss recognized in other comprehensive income | 2 | 297 | 297 | 0 | 0 |
Net other-than-temporary impairment losses recognized in earnings | -2,002 | -8,754 | -19,146 | -467 | -467 |
Net realized investment gains (losses) | 18,472 | 3,067 | 19,356 | 7,245 | 53,305 |
Change in fair value of credit derivatives: | ' | ' | ' | ' | ' |
Realized gains (losses) and other settlements | 6,074 | 717 | 1,492 | 935 | 3,444 |
Unrealized (losses) gains | 45,146 | -1,936 | 4,671 | -74,106 | -63,828 |
Net change in fair value of credit derivatives | 51,220 | -1,219 | 6,163 | -73,171 | -60,384 |
Derivative products | 83,713 | -47,985 | -101,826 | -33,166 | -33,735 |
Other income | 2,179 | 5,266 | 7,160 | -1,135 | 8,363 |
Income (loss) on variable interest entities | 4,598 | -38,148 | -43,690 | 388,240 | 426,566 |
Total revenues before expenses and reorganization items | 242,415 | 57,333 | 166,471 | 349,516 | 640,388 |
Expenses: | ' | ' | ' | ' | ' |
Losses and loss expenses (benefit) | -26,117 | 175,317 | 35,306 | 13,079 | -38,056 |
Insurance intangible amortization | 24,952 | 36,256 | 67,970 | 0 | 0 |
Underwriting and operating expenses | 16,217 | 24,033 | 49,819 | 10,692 | 44,566 |
Interest expense | 21,144 | 31,953 | 64,281 | 7,860 | 31,025 |
Total expenses before reorganization items | 36,196 | 267,559 | 217,376 | 31,631 | 37,535 |
Pre-tax (loss) income from continuing operations before reorganization items | 206,219 | -210,226 | -50,905 | 317,885 | 602,853 |
Reorganization items | 424 | 186 | 209 | -2,747,239 | -2,745,180 |
Pre-tax (loss) income from continuing operations | 205,795 | -210,412 | -51,114 | 3,065,124 | 3,348,033 |
(Benefit) provision for income taxes | 513 | -2,179 | 1,070 | 98 | 755 |
Net income (loss) | 205,282 | -208,233 | -52,184 | 3,065,026 | 3,347,278 |
Less: net (loss) gain attributable to noncontrolling interest | -399 | -328 | -221 | -1,724 | -1,771 |
Net (loss) income attributable to common shareholders | 205,681 | -207,905 | -51,963 | 3,066,750 | 3,349,049 |
Other comprehensive (loss) income, after tax: | ' | ' | ' | ' | ' |
Net income (loss) | 205,282 | -208,233 | -52,184 | 3,065,026 | 3,347,278 |
Unrealized gain (loss) on securities, net of deferred income taxes of $0 | -90,983 | 185,163 | 273,885 | 81,249 | 175,347 |
Gain (loss) on foreign currency translation, net of deferred income taxes of $0 | -12,662 | 17,144 | 21,428 | -167 | -428 |
Changes to postretirement benefit, net of tax of $0 | 0 | -204 | -408 | -623 | 185 |
Total other comprehensive income, net of tax | -103,645 | 202,103 | 294,905 | 80,459 | 175,104 |
Total comprehensive income (loss) | 101,637 | -6,130 | 242,721 | 3,145,485 | 3,522,382 |
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | ' | ' | ' | ' | ' |
Noncontrolling interest in subsidiaries’ earnings | -399 | -328 | -221 | -1,724 | -1,771 |
Currency translation adjustments | -138 | 192 | 238 | 270 | 229 |
Total comprehensive income (loss) attributable to Ambac Financial Group, Inc. | $102,174 | ($5,994) | $242,704 | $3,146,939 | $3,523,924 |
Net income (loss) per share attributable to Ambac Financial Group, Inc. common shareholders (in dollars per share) | $4.57 | ($4.61) | ($1.15) | $10.14 | $11.07 |
Net income (loss) per diluted share attributable to Ambac Financial Group, Inc. common shareholders (in dollars per share) | $4.42 | ($4.61) | ($1.15) | $10.14 | $11.07 |
Consolidated_Statements_of_Tot1
Consolidated Statements of Total Comprehensive Income (Parenthetical) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | |
Unrealized (loss) gain on securities, taxes | $0 | $0 | $0 | $0 | $0 |
Gain (loss) on foreign currency translation, taxes | 0 | 0 | 0 | 0 | 0 |
Amortization of postretirement benefit, taxes | $0 | $0 | $0 | $0 | $0 |
Consolidated_Statements_of_Sto
Consolidated Statements of Stockholders' Equity (USD $) | Total | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] |
In Thousands, unless otherwise specified | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Treasury Stock [Member] | Noncontrolling Interest [Member] | Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Treasury Stock [Member] | Noncontrolling Interest [Member] | |||
Beginning balance at Apr. 30, 2013 | ' | $460,415 | $0 | $0 | $0 | $450 | $184,550 | $0 | $275,415 | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total comprehensive income | ' | 101,637 | 205,681 | -103,507 | 0 | 0 | 0 | 0 | -537 | ' | ' | ' | ' | ' | ' | ' | ' |
Warrants exercised | ' | 15 | 0 | 0 | 0 | 0 | 15 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Ending balance at Jun. 30, 2013 | ' | 562,067 | 205,681 | -103,507 | 0 | 450 | 184,565 | 0 | 274,878 | ' | ' | ' | ' | ' | ' | ' | ' |
Beginning balance at Dec. 31, 2012 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -3,246,967 | -6,297,264 | 625,385 | 0 | 3,080 | 2,172,027 | -410,755 | 660,560 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total comprehensive income | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,522,382 | 3,349,049 | 174,875 | 0 | 0 | 0 | 0 | -1,542 |
Stock-based compensation | ' | ' | ' | ' | ' | ' | ' | ' | ' | -60 | -60 | 0 | 0 | 0 | 0 | 0 | 0 |
Shares issued under equity plans | ' | ' | ' | ' | ' | ' | ' | ' | ' | 60 | 0 | 0 | 0 | 0 | 0 | 60 | 0 |
Temporary Equity, Elimination as Part of Reorganization | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 2,948,275 | -800,260 | 0 | -3,080 | -2,172,027 | 410,695 | -383,603 |
Ending balance at Apr. 30, 2013 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 275,415 | 0 | 0 | 0 | 0 | 0 | 0 | 275,415 |
Beginning balance at Mar. 31, 2013 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total comprehensive income | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,145,485 | ' | ' | ' | ' | ' | ' | ' |
Ending balance at Apr. 30, 2013 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 275,415 | ' | ' | ' | ' | ' | ' | ' |
Beginning balance at Dec. 31, 2013 | 978,422 | 978,422 | 505,219 | 11,661 | 0 | 450 | 185,672 | -19 | 275,439 | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total comprehensive income | ' | 242,721 | -51,963 | 294,667 | 0 | 0 | 0 | 0 | 17 | ' | ' | ' | ' | ' | ' | ' | ' |
Stock-based compensation | ' | 2,387 | 0 | 0 | 0 | 0 | 2,387 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Shares issued under equity plans | ' | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Warrants exercised | ' | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Ending balance at Jun. 30, 2014 | 1,223,531 | 1,223,531 | 453,256 | 306,328 | 0 | 450 | 188,060 | -19 | 275,456 | ' | ' | ' | ' | ' | ' | ' | ' |
Beginning balance at Mar. 31, 2014 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total comprehensive income | ' | -6,130 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Ending balance at Jun. 30, 2014 | $1,223,531 | $1,223,531 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 2 Months Ended | 6 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | |
Cash flows from operating activities: | ' | ' | ' |
Net (loss) income attributable to common shareholders | $205,681 | ($51,963) | $3,349,049 |
Noncontrolling interest in subsidiaries’ earnings | -399 | -221 | -1,771 |
Net income (loss) | 205,282 | -52,184 | 3,347,278 |
Adjustments to reconcile net income to net cash used in operating activities: | ' | ' | ' |
Depreciation and amortization | 501 | 1,481 | 974 |
Amortization of bond premium and discount | -3,240 | -64,392 | -60,146 |
Reorganization items | 424 | 209 | -2,745,180 |
Share-based compensation | 0 | 2,387 | 0 |
Deferred income taxes | -16 | 115 | -6 |
Current income taxes | 186 | -2,226 | -101,188 |
Deferred acquisition costs | 0 | 0 | 14,207 |
Unearned premiums, net | -102,460 | -174,117 | -172,549 |
Losses and loss expenses, net | -34,763 | 129,931 | -43,284 |
Ceded premiums payable | -3,033 | -6,222 | -2,059 |
Investment income due and accrued | 2,243 | 3,145 | 1,781 |
Premium receivables | 66,733 | 96,659 | 88,990 |
Accrued interest payable | 15,511 | 45,158 | 23,953 |
Amortization of insurance intangible assets | 24,952 | 67,970 | 0 |
Net mark-to-market (gains) losses | -45,146 | -4,671 | 63,828 |
Net realized investment gains | -18,472 | -19,356 | -53,305 |
Other-than-temporary impairment charges | 2,002 | 19,146 | 467 |
Variable interest entity activities | -4,598 | 43,690 | -426,566 |
Other, net | -66,543 | 85,546 | 62,122 |
Net cash provided by (used in) operating activities | 39,563 | 172,269 | -683 |
Cash flows from investing activities: | ' | ' | ' |
Proceeds from sales of bonds | 343,040 | 993,721 | 310,916 |
Proceeds from matured bonds | 182,304 | 496,099 | 307,472 |
Purchases of bonds | -746,914 | -1,323,098 | -286,633 |
Proceeds from sales of other invested assets | 1,228 | 40,173 | -164,368 |
Purchases of other invested assets | -79,596 | -33,528 | 0 |
Change in short-term investments | 115,437 | -73,068 | -64,956 |
Loans, net | 230 | -170 | 1,920 |
Change in swap collateral receivable | 10,889 | -90,616 | -8,863 |
Other, net | 4,678 | 5,308 | 19,828 |
Net cash (used in) provided by investing activities | -168,704 | 14,821 | 115,316 |
Cash flows from financing activities: | ' | ' | ' |
Paydowns of variable interest entity secured borrowing | -3,310 | 0 | -5,519 |
Proceeds from warrant exercise | 15 | 1 | 0 |
Payments From Drawdowns Of Borrowings Under Guaranteed Investment Agreements | ' | -190,000 | ' |
Net cash provided by (used in) financing activities | -3,295 | -189,999 | -5,519 |
Net cash flow | -132,436 | -2,909 | 109,114 |
Cash and cash equivalents at beginning of period | 152,951 | 77,370 | 43,837 |
Cash and cash equivalents end of period | 20,515 | 74,461 | 152,951 |
Supplemental disclosure of cash flow information: | ' | ' | ' |
Income taxes | 336 | 3,167 | 102,129 |
Interest on variable interest entity secured borrowing | 90 | 0 | 276 |
Interest on investment agreements | 203 | 366 | 444 |
Cash payments related to reorganization items: | ' | ' | ' |
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | $795 | $267 | $3,860 |
Background_and_Business_Descri
Background and Business Description | 6 Months Ended | |
Jun. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Background and Business Description | ' | |
BACKGROUND AND BUSINESS DESCRIPTION | ||
These unaudited consolidated financial statements and notes thereto should be read in conjunction with the consolidated financial statements and notes thereto included in Ambac’s 2013 Annual Report on Form 10-K. Certain reclassifications may have been made to prior periods’ amounts to conform to the current period’s presentation. | ||
Ambac Financial Group, Inc. | ||
Ambac Financial Group, Inc. (“Ambac” or the “Company”), headquartered in New York City, is a financial services holding company incorporated in the state of Delaware. On May 1, 2013 (the “Effective Date”), the Second Modified Fifth Amended Plan of Reorganization of Ambac Financial Group, Inc. (the “Reorganization Plan”) became effective and Ambac emerged from bankruptcy. Pursuant to the Reorganization Plan, Ambac issued to certain holders of claims common stock and warrants that are listed on NASDAQ and trade under the symbols “AMBC” and “AMBCW,” respectively. | ||
Ambac’s primary goal is to maximize shareholder value through executing the following key strategies: | ||
• | Increasing the value of its investment in Ambac Assurance Corporation ("Ambac Assurance") by actively managing its assets and liabilities with a focus on maximizing risk-adjusted investment portfolio returns and mitigating or remediating losses on poorly performing insured transactions through executing policy commutations, repurchasing liabilities at a discount, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions, and other means; and | |
• | Pursuing new businesses, which may include financial services businesses such as advisory, asset servicing, asset management, and/or insurance. | |
The execution of Ambac’s strategy with respect to increasing the value of its investment in Ambac Assurance is subject to the authority of the Rehabilitator (as defined below) to control the management of the Segregated Account (as defined below). In exercising such authority, the Rehabilitator will act for the benefit of policyholders, and will not take into account the interests of Ambac. Similarly, by operation of the contracts executed in connection with the establishment, and subsequent rehabilitation, of the Segregated Account, the Rehabilitator retains rights to oversee and approve certain actions taken in respect of Ambac Assurance. Ambac Assurance's ability to commute policies or purchase liabilities may be limited by available liquidity. | ||
Although we are exploring new business opportunities for Ambac, no assurance can be given that we will be able to identify or execute the acquisition or development of any new business. In addition, there can be no assurance that we will be able to generate or obtain the financial and other resources that may be required to finance the acquisition or development of any new business. Moreover, it is not possible at this time to predict the operating results or prospects of any future business. Due to these factors, as well as uncertainties relating to the ability of Ambac Assurance to deliver value to Ambac, the value of our securities is speculative. | ||
As a result of uncertainties associated with the aforementioned oversight by the Rehabilitator of the Segregated Account, management has concluded that there is substantial doubt about Ambac's ability to continue as a going concern. Ambac’s financial statements as of and for the six and twelve month periods ending June 30, 2014 and December 31, 2013, respectively, are prepared assuming Ambac continues as a going concern and do not include any adjustment that might result from its inability to continue as a going concern. | ||
Segregated Account of Ambac Assurance Corporation | ||
In March 2010, Ambac Assurance established a Segregated Account pursuant to Wisc. Stat. §611.24 (2) (the “Segregated Account”) to segregate certain segments of Ambac Assurance’s liabilities, and the Office of the Commissioner of Insurance for the State of Wisconsin (“OCI” (which term shall be understood to refer to such office as regulator of Ambac Assurance and to refer to the Commissioner of Insurance for the State of Wisconsin as rehabilitator of the Segregated Account (the “Rehabilitator”), as the context requires)) commenced rehabilitation proceedings in the Dane County, Wisconsin Circuit Court (the “Rehabilitation Court”) with respect to the Segregated Account (the “Segregated Account Rehabilitation Proceedings”) in order to permit OCI to facilitate an orderly run-off and/or settlement of the liabilities allocated to the Segregated Account pursuant to the provisions of the Wisconsin Insurers Rehabilitation and Liquidation Act. Net par exposure as of June 30, 2014 for policies allocated to the Segregated Account was $20,898,745. | ||
In 2010, Ambac Assurance issued a $2,000,000 secured note due in 2050 (the “Secured Note”) to the Segregated Account. Interest on the Secured Note accrued at the rate of 4.5% per annum, and accrued interest was capitalized and added to outstanding principal quarterly. The Segregated Account had the ability to demand payment under the Secured Note from time to time to pay claims and other liabilities. By June 30, 2014, the Secured Note, including capitalized interest since the date of issuance, was fully drawn, resulting in a balance of $0. Following the exhaustion of the Secured Note, the Segregated Account now has the ability to demand payment from time to time under an aggregate excess of loss reinsurance agreement provided by Ambac Assurance (the “Reinsurance Agreement”) to pay claims and other liabilities. In addition, certain operating and administrative costs and expenses of the Segregated Account are now reimbursable by Ambac Assurance pursuant to the cooperation agreement between the Segregated Account and Ambac Assurance dated as of March 24, 2010, as amended and/or supplemented from time to time (the “Cooperation Agreement”). | ||
Ambac Assurance is not obligated to make payments under the Reinsurance Agreement or Cooperation Agreement if its surplus as regards to policyholders is less than $100,000 (the “Minimum Surplus Amount”). As long as the surplus as regards to policyholders is not less than the Minimum Surplus Amount, payments by Ambac Assurance to the Segregated Account under the Reinsurance Agreement and Cooperation Agreement are not capped. At June 30, 2014, Ambac Assurance’s surplus as regards to policyholders of $945,661 exceeded the Minimum Surplus Amount. In the event that Ambac Assurance does not maintain surplus in excess of the Minimum Surplus Amount, the Segregated Account would experience a shortfall in funds available to pay its liabilities to the extent that such liabilities exceed amounts available under the Reinsurance Agreement and Cooperation Agreement. Any such shortfall would be a consideration for the Rehabilitator in the determination of whether any changes to the Segregated Account Rehabilitation Plan (as defined below) and/or the amount of partial policy claim payments are necessary or appropriate or whether to institute general rehabilitation proceedings against Ambac Assurance. | ||
On October 8, 2010, OCI filed a plan of rehabilitation for the Segregated Account (the “Segregated Account Rehabilitation Plan”) in the Rehabilitation Court. The Rehabilitation Court confirmed the Segregated Account Rehabilitation Plan on January 24, 2011. The confirmed Segregated Account Rehabilitation Plan also made permanent the injunctions issued by the Rehabilitation Court on March 24, 2010. | ||
On April 21, 2014, the Rehabilitator filed a motion with the Rehabilitation Court seeking approval to amend the Segregated Account Rehabilitation Plan (the “Amendment Motion”). On May 20, 2014, the Rehabilitator filed a supplement to his Amendment Motion, further supplementing and amending his amendments to the Segregated Account Rehabilitation Plan. The Rehabilitation Court approved the Rehabilitator's proposed amendments to the Segregated Account Rehabilitation Plan on June 11, 2014, and the Segregated Account Rehabilitation Plan, as amended, became effective on June 12, 2014. | ||
The amendments to the Segregated Account Rehabilitation Plan primarily modified the mechanism for handling claims. Instead of the combination of cash payments and interest-bearing surplus notes originally contemplated by the Segregated Account Rehabilitation Plan, holders of permitted policy claims will, under the amended Segregated Account Rehabilitation Plan, receive an initial interim cash payment for a portion of such policy claim (“Interim Payment”), together with the right to receive a deferred payment equal to the balance of the unpaid policy claim, as may be adjusted from time to time pursuant to the terms of the amended Segregated Account Rehabilitation Plan (“Deferred Amount”). Payments of Deferred Amounts will be made at such times as the Rehabilitator deems appropriate in his sole discretion. | ||
The Segregated Account will also establish junior deferred amounts (“Junior Deferred Amounts”) with respect to permitted general claims instead of issuing junior surplus notes to the holders of such claims as contemplated under the original Segregated Account Rehabilitation Plan. | ||
The amendments require that Deferred Amounts and Junior Deferred Amounts will generally accrue and compound interest at an annual effective rate of 5.1%. However, in the case of insured bonds whose outstanding principal balance is not reduced by the unpaid portion of permitted policy claims (such bonds, “Undercollateralized Bonds”), the 5.1% effective annual interest rate on the Deferred Amount will be reduced by the bond interest rate applicable to such Undercollateralized Bonds. In the case of permitted policy claims relating to transactions that pay monthly, interest will begin to accrue on Deferred Amounts from the first distribution date (under the transaction documents for the relevant bond) after the date on which the Interim Payment in respect of such permitted policy claim was made. For permitted policy claims relating to transactions that do not pay monthly, interest will begin to accrue on Deferred Amounts from the first Payment Date (as defined in the Segregated Account Rehabilitation Plan, as amended) to occur after the date on which the Interim Payment in respect of such permitted policy claim was made. | ||
Following the effective date of the Segregated Account Rehabilitation Plan, as amended, the percentage of the initial cash Interim Payment for permitted policy claims increased from 25% to 45% with effect from July 21, 2014. As with previously permitted policy claims, the remaining portion of the unpaid permitted policy claims (in this case, 55%) will remain outstanding as Deferred Amounts and, subject to the exception for Undercollateralized Bonds, will accrue interest at 5.1% per annum. These Deferred Amounts, together with interest thereon, may be paid from time to time in the future at the sole discretion of the Rehabilitator. | ||
The Rehabilitator has also confirmed that a portion of Deferred Amounts outstanding as of July 20, 2014 (the “Reconciliation Date”) (together with interest thereon) will be paid on December 22, 2014 (the "Deferred Payment Date") in accordance with the Segregated Account Rehabilitation Plan, as amended, so that those policyholders that received 25% (and not 45%) cash Interim Payments in respect of their permitted policy claims will be entitled to receive equalizing payments in cash of 26.67% of their Deferred Amounts (including accrued interest thereon) outstanding in respect of such permitted policy claims as of the Reconciliation Date. Policyholders that received both a 25% (and not a 45%) cash Interim Payment and a Supplemental Payment (as defined in Note 1 to the Consolidated Financial Statements located in Part II, Item 8 of Ambac's 2013 Form 10-K) and/or Special Policy Payment (as defined in Note 12) will also be entitled to receive such equalizing payment. Using the balance of Deferred Amounts at June 30, 2014, the aggregate amount of equalizing payments for Deferred Amounts is estimated to be approximately $1,138,500. | ||
In addition, the Segregated Account will be required, pursuant to the terms of the amended Segregated Account Rehabilitation Plan, to early redeem a portion of its surplus notes (excluding junior surplus notes) on the Deferred Payment Date. The cash amount available for redemption of the Segregated Account surplus notes will be equal to 26.67% of the sum of par and accrued interest on such Segregated Account surplus notes, in each case, outstanding as at the Reconciliation Date. Pursuant to the terms of the Settlement Agreement, dated as of June 7, 2010 (the “Settlement Agreement”), by and among Ambac Assurance, Ambac Credit Products LLC (“ACP”), Ambac and counterparties to credit default swaps with ACP that were guaranteed by Ambac Assurance, Ambac Assurance will be required to make a proportionate redemption of its surplus notes when the Segregated Account redeems Segregated Account surplus notes (excluding junior surplus notes). Therefore, if the equalizing 26.67% payment of the Deferred Amounts specified above is made on the Deferred Payment Date, the Segregated Account and Ambac Assurance will be required to make redemptions of surplus notes (excluding any junior surplus notes) on the Deferred Payment Date in an amount equal to 26.67% of the sum of par and accrued interest outstanding on such surplus notes as at the Reconciliation Date, which is estimated to be approximately $413,587 in respect of those surplus notes owned by third parties. |
Reorganization_Under_Chapter_1
Reorganization Under Chapter 11 | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
Reorganizations [Abstract] | ' | |||||||||||
Reorganization Under Chapter 11 | ' | |||||||||||
REORGANIZATION UNDER CHAPTER 11 | ||||||||||||
We followed the accounting prescribed by the Reorganizations Topic of the Accounting Standards Codification (the “ASC”) while Ambac was in reorganization proceedings under Chapter 11 of the U.S. Bankruptcy Code. On April 30, 2013, Ambac executed a closing agreement with the United States Internal Revenue Service (the "IRS") to conclude the settlement of a dispute (“IRS Settlement). On May 1, 2013 (the “Effective Date”), the Reorganization Plan became effective and Ambac emerged from bankruptcy. | ||||||||||||
This IRS Settlement represented the final material contingency under the Reorganization Plan required for the adoption of fresh start financial statement reporting under the Reorganizations Topic of the ASC. As such, fresh start financial statement reporting ("Fresh Start") was adopted by the Company on April 30, 2013 (“Fresh Start Reporting Date”), incorporating, among other things, the discharge of debt obligations, issuance of new common stock, and fair value adjustments. Adopting Fresh Start results in a new reporting entity with no beginning retained earnings or accumulated deficit. For periods after the Fresh Start Reporting Date, the Company will be referred to as Successor Ambac, whereas for all periods as of and preceding the Fresh Start Reporting Date, the Company will be referred to as Predecessor Ambac. Presentation of information for Successor Ambac represents the financial position and results of operations of Successor Ambac and is not comparable to our previously issued financial statements. | ||||||||||||
Reorganization items: | ||||||||||||
Professional advisory fees and other costs directly associated with our reorganization are reported separately as reorganization items pursuant to the Reorganizations Topic of the ASC. Reorganization items also include adjustments to reflect the carrying value of certain pre-petition liabilities at their allowable claim amounts, gain on the settlement of liabilities subject to compromise and fresh start reporting adjustments. The reorganization items in the Consolidated Statements of Total Comprehensive Income consisted of the following items: | ||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||
U.S. Trustee fees | $ | — | $ | — | $ | 13 | ||||||
Professional fees | 186 | 424 | 2,434 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521,435 | ) | ||||||||
Fresh start reporting adjustments | — | — | (1,228,251 | ) | ||||||||
Total reorganization items | $ | 186 | $ | 424 | $ | (2,747,239 | ) | |||||
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||
U.S. Trustee fees | $ | — | $ | — | $ | 23 | ||||||
Professional fees | 209 | 424 | 4,483 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521,435 | ) | ||||||||
Fresh start reporting adjustments | — | — | (1,228,251 | ) | ||||||||
Total reorganization items | $ | 209 | $ | 424 | $ | (2,745,180 | ) | |||||
Special_Purpose_Entities_Inclu
Special Purpose Entities, Including Variable Interest Entities | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Accounting Policies [Abstract] | ' | |||||||||||||||
Special Purpose Entities, Including Variable Interest Entities | ' | |||||||||||||||
SPECIAL PURPOSE ENTITIES, INCLUDING VARIABLE INTEREST ENTITIES | ||||||||||||||||
Ambac, through its subsidiaries, has engaged in transactions with special purpose entities, including VIEs, in various capacities. Ambac most commonly provides financial guarantees, including credit derivative contracts, for various debt obligations issued by special purpose entities, including VIEs. Ambac has also sponsored two special purpose entities that issued medium-term notes to fund the purchase of certain financial assets. Ambac is also an investor in collateralized debt obligations, mortgage-backed and other asset-backed securities issued by VIEs and its ownership interest is generally insignificant to the VIE and/or Ambac does not have rights that direct the activities that are most significant to such VIE. In 2011, Ambac Assurance entered into a secured borrowing transaction under which VIEs were created for the purpose of re-securitizing certain invested assets and collateralizing the borrowing. These VIEs are consolidated because Ambac Assurance was involved in their design and holds a significant amount of the beneficial interests issued by the VIEs or guarantees the assets held by the VIEs. There was no VIE debt outstanding to third parties under this secured borrowing transaction as of June 30, 2014 and December 31, 2013. The debt represented the senior-most tranche of the securitization structure and was repaid from the non-insurance proceeds of certain RMBS securities which are guaranteed by Ambac Assurance. Such securities had a fair value of $278,317 and $240,150 as of June 30, 2014 and December 31, 2013, respectively. Refer to Note 8 - Investments for further discussion of the restrictions on these securities. | ||||||||||||||||
Financial Guarantees: | ||||||||||||||||
Ambac’s subsidiaries provide financial guarantees in respect of assets held or debt obligations of special purpose entities, including VIEs. Ambac’s primary variable interest exists through this financial guarantee insurance or credit derivative contract. The transaction structures provide certain financial protection to Ambac. This financial protection can take several forms; however, the most common are over-collateralization, first loss and excess spread. In the case of over-collateralization (i.e., the principal amount of the securitized assets exceeds the principal amount of the debt obligations guaranteed), the structure allows the transaction to experience defaults among the securitized assets before a default is experienced on the debt obligations that have been guaranteed by Ambac’s subsidiaries. In the case of first loss, the financial guarantee insurance policy or credit derivative contract only covers a senior layer of losses on assets held or debt issued by special purpose entities, including VIEs. The first loss with respect to the assets is either retained by the asset seller or sold off in the form of equity or mezzanine debt to other investors. In the case of excess spread, the securitized assets contributed to special purpose entities, including VIEs, generate interest cash flows that are in excess of the interest payments on the related debt; such excess cash flow is applied to redeem debt, thus creating over-collateralization. Generally, upon deterioration in the performance of a transaction or upon an event of default as specified in the transaction legal documents, Ambac will obtain certain loss remediation rights. These rights may enable Ambac to direct the activities of the entity that most significantly impact the entity’s economic performance. | ||||||||||||||||
We determined that Ambac’s subsidiaries generally have the obligation to absorb a VIE's expected losses given that they have issued financial guarantees supporting the liabilities (and in certain cases assets). As further described below, we consolidated certain VIEs because: (i) we determined for certain transactions that experienced the aforementioned performance deterioration, that Ambac’s subsidiaries had the power, through voting rights or similar rights, to direct the activities of certain VIEs that most significantly impact the VIE’s economic performance because certain triggers had been breached in these transactions resulting in their ability to exercise certain loss remediation activities, or (ii) due to the passive nature of the VIEs’ activities, Ambac’s subsidiaries’ contingent loss remediation rights upon a breach of certain triggers in the future is considered to be the power to direct the activities that most significantly impact the VIEs’ economic performance. With respect to existing VIEs involving Ambac financial guarantees, Ambac is generally required to consolidate a VIE in the period that applicable triggers result in Ambac having control over the VIE’s most significant economic activities. A VIE is deconsolidated in the period that Ambac no longer has such control, which occurred in connection with insurance policies that were allocated to the Segregated Account, execution of remediation activities on the transaction or amortization of insured exposure, any of which may reduce the degree of Ambac’s control over a VIE. | ||||||||||||||||
Ambac Sponsored VIEs: | ||||||||||||||||
A subsidiary of Ambac transferred financial assets to two special purpose entities. The business purpose of these entities was to provide certain financial guarantee clients with funding for their debt obligations. These special purpose entities are legal entities that are demonstrably distinct from Ambac. Ambac, its affiliates or its agents cannot unilaterally dissolve these entities. The permitted activities of these entities are limited to those outlined below. Ambac does not consolidate these entities because Ambac Assurance’s policies issued to these entities have been allocated to the Segregated Account, thereby limiting Ambac’s control over the entities’ most significant economic activities. Ambac has elected to account for its equity interest in these entities at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC. We believe that the fair value of the investments in these entities provides for greater transparency for recording profit or loss as compared to the equity method under the Investments – Equity Method and Joint Ventures Topic of the ASC. Refer to Note 7 for further information on the valuation technique and inputs used to measure the fair value of Ambac’s equity interest in these entities. At June 30, 2014 and December 31, 2013 the fair value of these entities is $12,782 and $13,384, respectively, and is reported within Other assets on the Consolidated Balance Sheets. | ||||||||||||||||
Since their inception, there have been 15 individual transactions with these entities, of which 3 transactions remain outstanding as of June 30, 2014. Total principal amount of debt outstanding was $461,355 and $461,355 at June 30, 2014 and December 31, 2013, respectively. In each case, Ambac sold assets to these entities. The assets are composed of utility obligations with a weighted average rating of BBB at June 30, 2014 and weighted average life of 7.8 years. The purchase by these entities of financial assets was financed through the issuance of medium-term notes (“MTNs”), which are cross-collateralized by the purchased assets. The MTNs have the same expected weighted average life as the purchased assets. Derivative contracts (interest rate swaps) are used within the entities for economic hedging purposes only. Derivative positions were established at the time MTNs were issued to purchase financial assets. The activities of these entities are contractually limited to purchasing assets from Ambac, issuing MTNs to fund such purchase, executing derivative hedges and obtaining financial guarantee policies with respect to indebtedness incurred. As of June 30, 2014 Ambac Assurance had financial guarantee insurance policies issued for all assets, MTNs and derivative contracts owned and outstanding by the entities. | ||||||||||||||||
Insurance premiums paid to Ambac Assurance by these entities are earned in a manner consistent with other insurance policies, over the risk period. Additionally, any losses incurred on such insurance policies are included in Ambac’s Consolidated Statements of Total Comprehensive Income. Under the terms of an Administrative Agency Agreement, Ambac provides certain administrative duties, primarily collecting amounts due on the obligations and making interest payments on the MTNs. | ||||||||||||||||
Ambac was not presented with claims on insurance policies issued to these entities during the six months ended June 30, 2014, the four months ended April 30, 2013 or the two months ended June 30, 2013. Successor Ambac received no recoveries for the three and six months ended June 30, 2014, and the two months ended June 30, 2013, in respect of previously paid claims. Predecessor Ambac received recoveries of $0 and $1,455 for the one month and four months ended April 30, 2013, respectively, in respect of previously paid claims. | ||||||||||||||||
Consolidation of VIEs: | ||||||||||||||||
Upon initial consolidation of a VIE, we recognize a gain or loss in earnings for the difference between: (i) the fair value of the consideration paid, the fair value of any non-controlling interests and the reported amount of any previously held interests and (ii) the net amount, as measured on a fair value basis, of the assets and liabilities consolidated. Upon deconsolidation of a VIE, we recognize a gain or loss for the difference between: (i) the fair value of any consideration received, the fair value of any retained non-controlling investment in the VIE and the carrying amount of any non-controlling interest in the VIE and (ii) the carrying amount of the VIE’s assets and liabilities. Gains or losses from consolidation and deconsolidation that are reported in earnings are reported within (Loss) income on variable interest entities. | ||||||||||||||||
The variable interest in a VIE generally involves one or more of the following: a financial guarantee policy issued to the VIE, a written credit derivative contract that references liabilities of the VIE or an investment in securities issued by the VIE. The impact of consolidating such VIEs on Ambac’s balance sheet is the elimination of transactions between the consolidated VIEs and Ambac’s operating subsidiaries and the inclusion of the VIE’s third party assets and liabilities. For a financial guarantee policy issued to a consolidated VIE, Ambac does not reflect the financial guarantee insurance policy in accordance with the related insurance accounting rules under the Financial Services – Insurance Topic of the ASC. Consequently, upon consolidation, Ambac eliminates the insurance assets and liabilities associated with the policy from the Consolidated Balance Sheets. Such insurance assets and liabilities may include premium receivables, reinsurance recoverable, deferred ceded premium, subrogation recoverable, unearned premiums, loss and loss expense reserves, ceded premiums payable and insurance intangible assets. For investment securities owned by Ambac that are debt instruments issued by the VIE, the investment securities balance is eliminated upon consolidation. Ambac did not consolidate any VIEs solely as a result of purchases of the VIE’s debt instruments. | ||||||||||||||||
As of June 30, 2014 consolidated VIE assets and liabilities relating to 18 consolidated entities were $16,443,808 and $16,381,435, respectively. As of December 31, 2013, consolidated VIE assets and liabilities relating to 18 consolidated entities were $15,988,697 and $15,872,770, respectively. Ambac is not primarily liable for, and does not guarantee all of the debt obligations issued by the VIEs. Ambac would only be required to make payments on the guaranteed debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due. Additionally, Ambac’s creditors do not have rights with regard to the assets of the VIEs. Ambac evaluates the net income statement effects and earnings per share effects to determine attributions between Ambac and non-controlling interests as a result of consolidating a VIE. Ambac has determined that the net changes in fair value of most consolidated VIE assets and liabilities are attributable to Ambac due to Ambac’s interest through financial guarantee premium and loss payments with the VIE. | ||||||||||||||||
The financial reports of certain VIEs are prepared by outside trustees and are not available within the time constraints Ambac requires to ensure the financial accuracy of the operating results. As such, the financial results of certain VIEs are consolidated on a time lag that is no longer than 90 days. | ||||||||||||||||
The table below provides the fair value of fixed income securities, by asset-type, held by consolidated VIEs as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
June 30, 2014 | December 31, 2013 | |||||||||||||||
Investments: | ||||||||||||||||
Corporate obligations | $ | 2,688,388 | $ | 2,475,182 | ||||||||||||
Total variable interest entity assets: Fixed income securities | $ | 2,688,388 | $ | 2,475,182 | ||||||||||||
The following table provides supplemental information about the loans held as assets and long-term debt associated with the VIEs for which the fair value option has been elected as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
Estimated fair value | Unpaid principal balance | |||||||||||||||
30-Jun-14 | ||||||||||||||||
Loans | $ | 13,743,231 | $ | 12,011,423 | ||||||||||||
Long-term debt | $ | 14,450,434 | $ | 14,096,929 | ||||||||||||
December 31, 2013 | ||||||||||||||||
Loans | $ | 13,398,895 | $ | 12,226,481 | ||||||||||||
Long-term debt | $ | 14,091,753 | $ | 14,251,771 | ||||||||||||
Effective April 30, 2013, Ambac was required to consolidate an additional VIE which resulted in a gain of $385,291 reported in Predecessor Ambac earnings. The assets of this VIE consisted primarily of identified intangible assets associated with its subsidiaries’ operations. The intangible assets recorded at fair value upon consolidation on April 30, 2013 were $164,520 and were considered held for use. The intangible assets were being amortized over their estimated useful lives resulting in a weighted-average amortization period at the consolidation date of 16 years. Amortization expense for intangible assets for the two months ended June 30, 2013 was $2,508, and is included in (Loss) income on variable interest entities on the Consolidated Statements of Total Comprehensive Income. During 2013, management approved plans to sell the VIE intangible assets. Such assets were reclassified as held for sale and their carrying value was reduced to fair value less costs to sell of $76,140 as of December 31, 2013. In 2014, such intangible assets were sold. | ||||||||||||||||
Variable Interests in Non-Consolidated VIEs | ||||||||||||||||
The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and credit derivative contracts by major underlying asset classes, as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
Carrying Value of Assets and Liabilities | ||||||||||||||||
Maximum | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | |||||||||||||
Exposure To Loss (1) | ||||||||||||||||
June 30, 2014 | ||||||||||||||||
Global Structured Finance: | ||||||||||||||||
Collateralized debt obligations | $ | 1,503,895 | $ | 1,710 | $ | 5,111 | $ | 5,758 | ||||||||
Mortgage-backed—residential | 17,825,150 | 553,022 | 3,958,533 | — | ||||||||||||
Other consumer asset-backed | 5,256,079 | 67,384 | 913,978 | — | ||||||||||||
Other commercial asset-backed | 5,339,867 | 400,644 | 524,978 | 35,891 | ||||||||||||
Other | 4,257,221 | 102,010 | 625,997 | 3,516 | ||||||||||||
Total Global Structured Finance | 34,182,212 | 1,124,770 | 6,028,597 | 45,165 | ||||||||||||
Global Public Finance | 33,707,874 | 498,695 | 571,734 | 30,695 | ||||||||||||
Total | $ | 67,890,086 | $ | 1,623,465 | $ | 6,600,331 | $ | 75,860 | ||||||||
Carrying Value of Assets and Liabilities | ||||||||||||||||
Maximum | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | |||||||||||||
Exposure To Loss (1) | ||||||||||||||||
December 31, 2013 | ||||||||||||||||
Global Structured Finance: | ||||||||||||||||
Collateralized debt obligations | $ | 2,092,072 | $ | 3,867 | $ | 7,119 | $ | 10,092 | ||||||||
Mortgage-backed—residential | 19,231,335 | 581,498 | 3,890,937 | — | ||||||||||||
Other consumer asset-backed | 5,425,583 | 68,511 | 992,177 | — | ||||||||||||
Other commercial asset-backed | 7,237,953 | 429,559 | 559,600 | 39,916 | ||||||||||||
Other | 4,347,287 | 113,468 | 608,213 | 4,312 | ||||||||||||
Total Global Structured Finance | 38,334,230 | 1,196,903 | 6,058,046 | 54,320 | ||||||||||||
Global Public Finance | 35,732,858 | 531,519 | 604,339 | 27,112 | ||||||||||||
Total | $ | 74,067,088 | $ | 1,728,422 | $ | 6,662,385 | $ | 81,432 | ||||||||
-1 | Maximum exposure to loss represents the gross maximum future payments of principal and interest on insured obligations and credit derivative contracts. Ambac’s maximum exposure to loss does not include unpaid interest on Deferred Amounts nor the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests. | |||||||||||||||
-2 | Insurance assets represent the amount recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. | |||||||||||||||
-3 | Insurance liabilities represent the amount recorded in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. | |||||||||||||||
-4 | Derivative liabilities represent the fair value recognized on credit derivative contracts on Ambac’s Consolidated Balance Sheets. |
Comprehensive_Income
Comprehensive Income | 6 Months Ended | |||||||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||||||
Equity [Abstract] | ' | |||||||||||||||||||||||||||||||
Comprehensive Income | ' | |||||||||||||||||||||||||||||||
COMPREHENSIVE INCOME | ||||||||||||||||||||||||||||||||
The following tables detail the changes in the balances of each component of accumulated other comprehensive income for the affected periods: | ||||||||||||||||||||||||||||||||
Unrealized Gains (Losses) | Amortization of | Gain (Loss) on | Total | |||||||||||||||||||||||||||||
on Available- | Postretirement | Foreign Currency | ||||||||||||||||||||||||||||||
for-Sale Securities (1) | Benefit (1) | Translation (1) | ||||||||||||||||||||||||||||||
Successor Ambac | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | ||||||||||||||||||||||||
Beginning Balance | $ | 46,812 | $ | — | $ | 10,643 | $ | — | $ | 46,962 | $ | — | $ | 104,417 | $ | — | ||||||||||||||||
Other comprehensive income before reclassifications | 179,479 | (72,511 | ) | — | — | 16,952 | (12,524 | ) | 196,431 | (85,035 | ) | |||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | 5,684 | (18,472 | ) | (204 | ) | — | — | — | 5,480 | (18,472 | ) | |||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net current period other comprehensive income | 185,163 | (90,983 | ) | (204 | ) | — | 16,952 | (12,524 | ) | 201,911 | (103,507 | ) | ||||||||||||||||||||
Balance at June 30 | $ | 231,975 | $ | (90,983 | ) | $ | 10,439 | $ | — | $ | 63,914 | $ | (12,524 | ) | $ | 306,328 | $ | (103,507 | ) | |||||||||||||
Unrealized Gains (Losses) | Gain (Loss) on | |||||||||||||||||||||||||||||||
on Available-for-Sale Securities (1) | Changes to Postretirement Benefit (1) | Foreign Currency Translation (1) | Total | |||||||||||||||||||||||||||||
Predecessor Ambac | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | ||||||||||||||||||||||||||||
Beginning Balance | $ | 745,370 | $ | (5,052 | ) | $ | (20,247 | ) | $ | 720,071 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | 88,516 | — | (437 | ) | 88,079 | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (7,267 | ) | (623 | ) | — | (7,890 | ) | |||||||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | (826,619 | ) | 5,675 | 20,684 | (800,260 | ) | ||||||||||||||||||||||||||
Net current period other comprehensive income | (745,370 | ) | 5,052 | 20,247 | (720,071 | ) | ||||||||||||||||||||||||||
Balance at April 30, 2013 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Unrealized Gains (Losses) | Amortization of | Gain (Loss) on | Total | |||||||||||||||||||||||||||||
on Available- | Postretirement | Foreign Currency | ||||||||||||||||||||||||||||||
for-Sale Securities (1) | ||||||||||||||||||||||||||||||||
Benefit (1) | Translation (1) | |||||||||||||||||||||||||||||||
Successor Ambac | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | ||||||||||||||||||||||||
Beginning Balance | $ | (41,910 | ) | $ | — | $ | 10,847 | $ | — | $ | 42,724 | $ | — | $ | 11,661 | $ | — | |||||||||||||||
Other comprehensive income before reclassifications | 274,101 | (72,511 | ) | — | 21,190 | (12,524 | ) | 295,291 | (85,035 | ) | ||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (216 | ) | (18,472 | ) | (408 | ) | — | — | — | (624 | ) | (18,472 | ) | |||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net current period other comprehensive income | 273,885 | (90,983 | ) | (408 | ) | — | 21,190 | (12,524 | ) | 294,667 | (103,507 | ) | ||||||||||||||||||||
Balance at June 30, 2013 | $ | 231,975 | $ | (90,983 | ) | $ | 10,439 | $ | — | $ | 63,914 | $ | (12,524 | ) | $ | 306,328 | $ | (103,507 | ) | |||||||||||||
Unrealized Gains (Losses) | Changes to Postretirement Benefit (1) | Gain (Loss) on | ||||||||||||||||||||||||||||||
on Available-for-Sale Securities (1) | Foreign Currency Translation (1) | Total | ||||||||||||||||||||||||||||||
Predecessor Ambac | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | ||||||||||||||||||||||||||||
Beginning Balance | $ | 651,272 | $ | (5,860 | ) | $ | (20,027 | ) | $ | 625,385 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | 188,696 | — | (657 | ) | 188,039 | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (13,349 | ) | 185 | — | (13,164 | ) | ||||||||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | (826,619 | ) | 5,675 | 20,684 | (800,260 | ) | ||||||||||||||||||||||||||
Net current period other comprehensive income | (651,272 | ) | 5,860 | 20,027 | (625,385 | ) | ||||||||||||||||||||||||||
Balance at April 30, 2013 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
(1) All amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate debits. | ||||||||||||||||||||||||||||||||
The following table details the significant amounts reclassified from each component of accumulated other comprehensive income for the affected periods: | ||||||||||||||||||||||||||||||||
Amount Reclassified from Accumulated | ||||||||||||||||||||||||||||||||
Other Comprehensive Income (1) | ||||||||||||||||||||||||||||||||
Details about Accumulated Other Comprehensive | Successor Ambac – | Predecessor Ambac – | Affected Line Item in the | |||||||||||||||||||||||||||||
Income Components | Consolidated | |||||||||||||||||||||||||||||||
Statement of Total | ||||||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | Comprehensive Income | |||||||||||||||||||||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
$ | 5,684 | $ | (18,472 | ) | $ | (7,267 | ) | Net realized investment gains | ||||||||||||||||||||||||
— | — | — | Tax (expense) benefit | |||||||||||||||||||||||||||||
$ | 5,684 | $ | (18,472 | ) | $ | (7,267 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Amortization of Postretirement Benefit | ||||||||||||||||||||||||||||||||
Prior service cost | $ | (166 | ) | $ | — | $ | (92 | ) | Underwriting and operating expenses (2) | |||||||||||||||||||||||
Actuarial gains (losses) | (38 | ) | — | 173 | Underwriting and operating expenses (2) | |||||||||||||||||||||||||||
(204 | ) | — | 81 | Total before tax | ||||||||||||||||||||||||||||
— | — | (704 | ) | Tax (expense) benefit | ||||||||||||||||||||||||||||
$ | (204 | ) | $ | — | $ | (623 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Total reclassifications for the period | $ | 5,480 | $ | (18,472 | ) | $ | (7,890 | ) | Net of tax and noncontrolling interest | |||||||||||||||||||||||
Amount Reclassified from Accumulated | ||||||||||||||||||||||||||||||||
Other Comprehensive Income (1) | ||||||||||||||||||||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||||||||||
Details about Accumulated Other Comprehensive | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | Affected Line Item in the | ||||||||||||||||||||||||||||
Income Components | Consolidated | |||||||||||||||||||||||||||||||
Statement of Total | ||||||||||||||||||||||||||||||||
Comprehensive Income | ||||||||||||||||||||||||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
$ | (216 | ) | $ | (18,472 | ) | $ | (13,349 | ) | Net realized investment gains | |||||||||||||||||||||||
— | — | — | Tax (expense) benefit | |||||||||||||||||||||||||||||
$ | (216 | ) | $ | (18,472 | ) | $ | (13,349 | ) | Net of tax and noncontrolling interest | |||||||||||||||||||||||
Amortization of Postretirement Benefit | ||||||||||||||||||||||||||||||||
Prior service cost | $ | (332 | ) | $ | — | $ | 1,616 | Underwriting and operating expenses (2) | ||||||||||||||||||||||||
Actuarial gains (losses) | (76 | ) | — | (727 | ) | Underwriting and operating expenses (2) | ||||||||||||||||||||||||||
(408 | ) | — | 889 | Total before tax | ||||||||||||||||||||||||||||
— | — | (704 | ) | Tax (expense) benefit | ||||||||||||||||||||||||||||
$ | (408 | ) | $ | — | $ | 185 | Net of tax and noncontrolling interest | |||||||||||||||||||||||||
Total reclassifications for the period | $ | (624 | ) | $ | (18,472 | ) | $ | (13,164 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||
-1 | Amounts in parentheses indicate debits to the Consolidated Statement of Comprehensive Income. | |||||||||||||||||||||||||||||||
-2 | These accumulated other comprehensive income components are included in the computation of net periodic benefit cost. |
Net_Income_Per_Share
Net Income Per Share | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Earnings Per Share [Abstract] | ' | ||||||||
Net Income Per Share | ' | ||||||||
NET INCOME PER SHARE | |||||||||
Predecessor Ambac common stock (and related stock options and restricted stock units) was canceled upon emergence from bankruptcy on the Effective Date. Pursuant to the Reorganization Plan, 45,000,000 shares of new common stock at par value of $0.01 per share and 5,047,138 warrants were issued. Warrants entitle such holders to acquire up to 5,047,138 shares of new common stock at an exercise price of $16.67 per share at any time on or prior to April 30, 2023. For the three and six months ended June 30, 2014, 0 and 51 warrants, respectively, were exercised, resulting in an issuance of 51 shares of common stock. As of June 30, 2014, Successor Ambac had 5,040,775 warrants outstanding. The earnings per share information for Predecessor Ambac is not meaningful to investors in Successor Ambac’s common stock and warrants. | |||||||||
Basic net income per share is computed by dividing net income available to common stockholders by the weighted-average number of common shares outstanding and vested restricted stock units. Diluted net income per share is computed by dividing net income attributable to common stockholders by the weighted-average number of common shares outstanding plus all potential dilutive common shares outstanding during the period. All potential dilutive common shares outstanding consider common stock deliverable pursuant to warrants issued under the Reorganization Plan. The following table provides a reconciliation of the common shares used for basic earnings per share to the diluted shares used for diluted earnings per share: | |||||||||
Successor Ambac | Predecessor Ambac | ||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | |||||||
Weighted average number of common shares used for basic earnings per share | 45,091,983 | 45,000,653 | 302,469,626 | ||||||
Effect of potential dilutive shares: | |||||||||
Warrants | — | 1,575,064 | — | ||||||
Stock options | — | — | — | ||||||
Restricted stock units | — | — | 109,593 | ||||||
Performance stock units | — | — | — | ||||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 45,091,983 | 46,575,717 | 302,579,219 | ||||||
Anti-dilutive shares excluded from the above reconciliation: | |||||||||
Warrants | 5,040,775 | — | — | ||||||
Stock options | 66,668 | — | 461,150 | ||||||
Restricted stock units | 74,341 | — | — | ||||||
Performance stock units | — | — | — | ||||||
Successor Ambac | Predecessor Ambac | ||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | |||||||
Weighted average number of common shares used for basic earnings per share | 45,067,539 | 45,000,653 | 302,469,544 | ||||||
Effect of potential dilutive shares: | |||||||||
Warrants | — | 1,575,064 | — | ||||||
Stock options | — | — | — | ||||||
Restricted stock units | — | — | 109,701 | ||||||
Performance stock units | — | — | — | ||||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 45,067,539 | 46,575,717 | 302,579,245 | ||||||
Anti-dilutive shares excluded from the above reconciliation: | |||||||||
Warrants | 5,040,784 | — | — | ||||||
Stock options | 66,668 | — | 475,550 | ||||||
Restricted stock units | 94,131 | — | — | ||||||
Performance stock units | — | — | — | ||||||
Financial_Guarantee_Insurance_
Financial Guarantee Insurance Contracts | 6 Months Ended | |||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||
Insurance [Abstract] | ' | |||||||||||||||||||||||||||
Financial Guarantee Insurance Contracts | ' | |||||||||||||||||||||||||||
FINANCIAL GUARANTEE INSURANCE CONTRACTS | ||||||||||||||||||||||||||||
Amounts presented in this Note relate only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including VIEs, for which we do not consolidate the VIE. | ||||||||||||||||||||||||||||
Net Premiums Earned: | ||||||||||||||||||||||||||||
Gross premiums are received either upfront (typical of public finance obligations) or in installments (typical of structured finance obligations). For premiums received upfront, an unearned premium revenue (“UPR”) liability is established, which is initially recorded as the cash amount received. For installment premium transactions, a premium receivable asset and offsetting UPR liability is initially established in an amount equal to: (i) the present value of future contractual premiums due (the “contractual” method) or (ii) if the underlying insured obligation is a homogenous pool of assets which are contractually prepayable, the present value of premiums to be collected over the expected life of the transaction (the “expected” method). An appropriate risk-free rate corresponding to the weighted average life of each policy and currency is used to discount the future premiums contractually due or expected to be collected. For example, U.S. dollar exposures are discounted using U.S. Treasury rates while exposures denominated in a foreign currency are discounted using the appropriate risk-free rate for the respective currency. The weighted average risk-free rate at June 30, 2014 and December 31, 2013, was 2.9% and 3.0%, respectively, and the weighted average period of future premiums used to estimate the premium receivable at June 30, 2014 and December 31, 2013, was 9.4 years and 9.6 years, respectively. | ||||||||||||||||||||||||||||
Insured obligations consisting of homogeneous pools for which Ambac uses expected future premiums to estimate the premium receivable and UPR include residential mortgage-backed securities. As prepayment assumptions change for homogenous pool transactions, or if there is an actual prepayment for a “contractual” method installment transaction, the related premium receivable and UPR are adjusted in equal and offsetting amounts with no immediate effect on earnings using new premium cash flows and the then current risk-free rate. | ||||||||||||||||||||||||||||
Generally, the priority for the payment of financial guarantee premiums to Ambac, as required by the bond indentures of the insured obligations, is very senior in the waterfall. Additionally, in connection with the allocation of certain liabilities to the Segregated Account, trustees are required under the Segregated Account Rehabilitation Plan and related court orders to continue to pay installment premiums, notwithstanding the Segregated Account Rehabilitation Proceedings. In evaluating the credit quality of the premium receivables, management evaluates the transaction waterfall structures and the internal ratings of the transactions underlying the premium receivables. As of June 30, 2014 and December 31, 2013, approximately 47% and 44% of the premium receivables related to transactions with non-investment grade internal ratings, comprised mainly of non-investment grade RMBS, student loan transactions and a certain asset-backed transaction, which comprised 6%, 7%, and 18% of the total premium receivables at June 30, 2014 and 7%, 7% and 17% of the total premium receivables at December 31, 2013, respectively. At June 30, 2014 and December 31, 2013, $16,297 and $15,262, respectively, of premium receivables were deemed uncollectable. Past due premiums on policies insuring non-investment grade obligations amounted to less than $500 at June 30, 2014. | ||||||||||||||||||||||||||||
Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||||||||||||||||||
through June 30, 2014 | through June 30, 2013 | through April 30, 2013 | ||||||||||||||||||||||||||
Beginning premium receivable | $ | 1,453,021 | $ | 1,531,631 | $ | 1,620,621 | ||||||||||||||||||||||
Premium receipts | (61,876 | ) | (19,352 | ) | (48,296 | ) | ||||||||||||||||||||||
Adjustments for changes in expected and contractual cash flows | (70,464 | ) | (40,898 | ) | (28,237 | ) | ||||||||||||||||||||||
Accretion of premium receivable discount | 20,247 | 7,359 | 14,740 | |||||||||||||||||||||||||
Uncollectable premiums | (1,035 | ) | (543 | ) | (634 | ) | ||||||||||||||||||||||
Other adjustments (including foreign exchange) | 16,469 | (13,299 | ) | (26,563 | ) | |||||||||||||||||||||||
Ending premium receivable | $ | 1,356,362 | $ | 1,464,898 | $ | 1,531,631 | ||||||||||||||||||||||
Similar to gross premiums, premiums ceded to reinsurers are paid either upfront or in installments. Premiums ceded to reinsurers reduce the amount of premiums earned by Ambac from its financial guarantee insurance policies. | ||||||||||||||||||||||||||||
When a bond issue insured by Ambac Assurance has been retired, including those retirements due to refundings or calls, any remaining UPR is recognized at that time to the extent the financial guarantee contract is legally extinguished, causing accelerated premium revenue. For installment premium paying transactions, the recognition of any remaining UPR is offset by the reduction of the related premium receivable to zero (as it will not be collected as a result of the retirement), which may cause negative accelerated premium revenue. Successor Ambac’s accelerated premium revenue for retired obligations for the three and six months ended June 30, 2014 was $7,990 and $33,104. Successor Ambac’s accelerated premium revenue for retired obligations for the two months ended June 30, 2013 was $13,049. Predecessor Ambac’s accelerated premium revenue for retired obligations for the one and four months ended April 30, 2013 were $7,073 and $36,433, respectively. Certain obligations insured by Ambac have been legally defeased whereby government securities are purchased by the issuer with the proceeds of a new bond issuance, or less frequently with other funds of the issuer, and held in escrow (a pre-refunding). The principal and interest received from the escrowed securities are then used to retire the Ambac-insured obligations at a future date either to their maturity date or a specified call date. Ambac has evaluated the provisions in certain financial guarantee insurance policies issued on legally defeased obligations and determined those insurance policies have not been legally extinguished and, therefore, premium revenue recognition has not been accelerated. | ||||||||||||||||||||||||||||
The effect of reinsurance on premiums written and earned was as follows: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||||||
Written | Earned | Written | Earned | Written | Earned | |||||||||||||||||||||||
Direct | $ | (45,486 | ) | $ | 68,025 | $ | (34,081 | ) | $ | 62,033 | $ | (10,595 | ) | $ | 31,388 | |||||||||||||
Assumed | — | 23 | — | 16 | — | 8 | ||||||||||||||||||||||
Ceded | (4,967 | ) | 3,035 | (3,038 | ) | 4,010 | (84 | ) | 1,652 | |||||||||||||||||||
Net premiums | $ | (40,519 | ) | $ | 65,013 | $ | (31,043 | ) | $ | 58,039 | $ | (10,511 | ) | $ | 29,744 | |||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||||||
Written | Earned | Written | Earned | Written | Earned | |||||||||||||||||||||||
Direct | (51,252 | ) | $ | 154,209 | $ | (34,081 | ) | $ | 62,033 | $ | (14,125 | ) | $ | 138,468 | ||||||||||||||
Assumed | — | 91 | — | 16 | — | 32 | ||||||||||||||||||||||
Ceded | (4,511 | ) | 6,740 | (3,038 | ) | 4,010 | (1,098 | ) | 8,500 | |||||||||||||||||||
Net premiums | $ | (46,741 | ) | $ | 147,560 | $ | (31,043 | ) | $ | 58,039 | $ | (13,027 | ) | $ | 130,000 | |||||||||||||
The table below summarizes the future gross undiscounted premiums to be collected, and future premiums earned, net of reinsurance at June 30, 2014: | ||||||||||||||||||||||||||||
Future premiums | Future expected | |||||||||||||||||||||||||||
to be collected (1) | premiums to | |||||||||||||||||||||||||||
be earned, net of reinsurance (1) | ||||||||||||||||||||||||||||
Three months ended: | ||||||||||||||||||||||||||||
September 30, 2014 | 39,988 | 45,841 | ||||||||||||||||||||||||||
December 31, 2014 | 31,037 | 44,006 | ||||||||||||||||||||||||||
Twelve months ended: | ||||||||||||||||||||||||||||
December 31, 2015 | 123,705 | 163,207 | ||||||||||||||||||||||||||
December 31, 2016 | 116,974 | 148,927 | ||||||||||||||||||||||||||
December 31, 2017 | 110,511 | 137,708 | ||||||||||||||||||||||||||
December 31, 2018 | 105,182 | 128,484 | ||||||||||||||||||||||||||
Five years ended: | ||||||||||||||||||||||||||||
December 31, 2023 | 466,339 | 532,361 | ||||||||||||||||||||||||||
December 31, 2028 | 370,487 | 373,862 | ||||||||||||||||||||||||||
December 31, 2033 | 237,081 | 218,488 | ||||||||||||||||||||||||||
December 31, 2038 | 92,686 | 95,496 | ||||||||||||||||||||||||||
December 31, 2043 | 30,826 | 32,182 | ||||||||||||||||||||||||||
December 31, 2048 | 12,538 | 12,064 | ||||||||||||||||||||||||||
December 31, 2053 | 2,252 | 3,324 | ||||||||||||||||||||||||||
December 31, 2058 | 31 | 84 | ||||||||||||||||||||||||||
Total | $ | 1,739,637 | $ | 1,936,034 | ||||||||||||||||||||||||
-1 | Future premiums to be collected relates to the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premium 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 described above, which results in a higher premium receivable balance than if expected lives were considered. If installment paying policies are retired early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected in the future. | |||||||||||||||||||||||||||
Loss and Loss Expense Reserves: | ||||||||||||||||||||||||||||
A loss reserve is recorded on the balance sheet on a policy-by-policy basis for: (a) unpaid claims and (b) the excess of the present value of expected net cash flows required to be paid under an insurance contract, over the unearned premium revenue for that contract. Unpaid Claims are defined as the sum of (i) claims presented and not yet paid for policies allocated to the Segregated Account, including Deferred Amounts (as defined in Note 1) and (ii) accrued interest on Deferred Amounts (generally at an effective rate of 5.1%) as required by the amended Segregated Account Rehabilitation Plan that became effective on June 12, 2014. Refer to Note 1 for further discussion of the amended Segregated Account Rehabilitation Plan. In accordance ASC Topic 944, unpaid claims are measured based on the estimated cost of settling the claims, which is principal plus accrued interest. The present value of expected net cash flows is defined as the present value of expected future claims to be paid under an insurance contract (including the impact of potential settlement outcomes upon future installment premiums) less the present value of potential future recoveries. In accordance with the financial guarantee insurance accounting guidance of ASC Topic 944, the approaches used to estimate expected future claims and expected future recoveries considers the likelihood of all possible outcomes. These estimation approaches are further described in Note 2, Basis Of Presentation And Significant Accounting Policies, in Part II, Item 8 “Financial Statements and Supplementary Data” included in Ambac’s Annual Report on Form 10-K for the year ended December 31, 2013. | ||||||||||||||||||||||||||||
For those policies where the potential recovery is less than the sum of unpaid claims and expected future claims, the resulting net cash outflow is recorded as a "Loss and loss expense reserves" liability. For those policies where losses have been paid, but not yet fully recovered, the potential recovery may be greater than the unpaid claims and expected future claims, and the resulting net cash inflow is recorded as a "Subrogation recoverable" asset. Below are the components of the Loss and loss expense reserves liability and the Subrogation recoverable asset at June 30, 2014 and December 31, 2013: | ||||||||||||||||||||||||||||
30-Jun-14 | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||
Loss and loss expense reserves | $ | 3,183,938 | $ | 237,955 | $ | 4,542,406 | $ | (1,415,979 | ) | $ | (475,997 | ) | $ | 6,072,323 | ||||||||||||||
Subrogation recoverable | 815,164 | 70,135 | 234,998 | (1,604,449 | ) | — | (484,152 | ) | ||||||||||||||||||||
Totals | $ | 3,999,102 | $ | 308,090 | $ | 4,777,404 | $ | (3,020,428 | ) | $ | (475,997 | ) | $ | 5,588,171 | ||||||||||||||
31-Dec-13 | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||
Loss and loss expense reserves | $ | 3,374,224 | $ | — | $ | 4,895,277 | $ | (1,797,805 | ) | $ | (502,984 | ) | $ | 5,968,712 | ||||||||||||||
Subrogation recoverable | 530,091 | — | 135,610 | (1,164,179 | ) | — | (498,478 | ) | ||||||||||||||||||||
Totals | $ | 3,904,315 | $ | — | $ | 5,030,887 | $ | (2,961,984 | ) | $ | (502,984 | ) | $ | 5,470,234 | ||||||||||||||
Below is the loss and loss expense reserve roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 | Period from May 1 | Period from | ||||||||||||||||||||||||||
through June 30, 2014 | through June 30, 2013 | January 1 through | ||||||||||||||||||||||||||
April 30, 2013 | ||||||||||||||||||||||||||||
Beginning gross loss and loss expense reserves | $ | 5,470,234 | $ | 5,572,672 | $ | 6,122,140 | ||||||||||||||||||||||
Less reinsurance on loss and loss expense reserves | 122,357 | 138,155 | $ | 147,409 | ||||||||||||||||||||||||
Beginning balance of net loss and loss expense reserves | $ | 5,347,877 | $ | 5,434,517 | $ | 5,974,731 | ||||||||||||||||||||||
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 | 209 | 2,416 | 2,748 | |||||||||||||||||||||||||
Claim and loss expense payments, net of subrogation and reinsurance | (3 | ) | (37 | ) | (58 | ) | ||||||||||||||||||||||
Establishment of RMBS subrogation recoveries, net of reinsurance | — | (320 | ) | (159 | ) | |||||||||||||||||||||||
Total current year | 206 | 2,059 | 2,531 | |||||||||||||||||||||||||
Prior years: | ||||||||||||||||||||||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | 131,124 | (128,680 | ) | (52,642 | ) | |||||||||||||||||||||||
Claim and loss expense recoveries, net of subrogation and reinsurance | 73,347 | 3,793 | 20,902 | |||||||||||||||||||||||||
Change in previously established RMBS subrogation recoveries, net of reinsurance | (74,398 | ) | 87,361 | (12,596 | ) | |||||||||||||||||||||||
Total prior years | 130,073 | (37,526 | ) | (44,336 | ) | |||||||||||||||||||||||
Net change in loss and loss expense reserves | 130,279 | (35,467 | ) | (41,805 | ) | |||||||||||||||||||||||
Net consolidation of certain VIEs | — | — | (498,409 | ) | ||||||||||||||||||||||||
Ending net loss and loss expense reserves | $ | 5,478,156 | $ | 5,399,050 | $ | 5,434,517 | ||||||||||||||||||||||
Add reinsurance on loss and loss expense reserves | 110,015 | 142,512 | 138,155 | |||||||||||||||||||||||||
Ending gross loss and loss expense reserves | $ | 5,588,171 | $ | 5,541,562 | $ | 5,572,672 | ||||||||||||||||||||||
The negative development in loss and loss expense reserves for Successor Ambac established in prior years for the six months ended June 30, 2014 was primarily due to the addition of accrued interest on Deferred Amounts pursuant to the amended Segregated Account Rehabilitation Plan offset by improved performance of the RMBS portfolio. The positive development in loss and loss expense reserves for Successor Ambac established in prior years for the two months ended June 30, 2013 was primarily due to improved performance of the Student Loan and Ambac UK portfolios offset by a decline in the performance of the RMBS portfolio. The positive development in loss and loss expense reserves for Predecessor Ambac established in prior years for the four months ended April 30, 2013 was primarily due to improved performance of the RMBS portfolio offset by deterioration in certain Public Finance and Ambac UK credits. | ||||||||||||||||||||||||||||
The net change in net loss and loss expense reserves are included in losses and loss expenses in the Consolidated Statement of Total Comprehensive Income. For Successor Ambac, reinsurance recoveries of losses included in losses and loss expenses in the Consolidated Statements of Total Comprehensive Income were an expense of $1,602 and $12,160 for the three and six months ended June 30, 2014, respectively. Reinsurance recoveries of losses included in losses and loss expenses in the Consolidated Statements of Total Comprehensive Income were a benefit of $5,062 for the two months ended June 30, 2013. For Predecessor Ambac, reinsurance recoveries of losses included in losses and loss expenses in the Consolidated Statements of Total Comprehensive Income were a benefit of $7 and $3,889 for the one month and four months ended April 30, 2013, respectively. | ||||||||||||||||||||||||||||
The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at June 30, 2014 and December 31, 2013. Net 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 June 30, 2014 and December 31, 2013 was 2.7% and 3.2%, respectively. | ||||||||||||||||||||||||||||
Surveillance Categories (at June 30, 2014) | ||||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number of policies | 29 | 24 | 49 | 88 | 172 | 1 | 363 | |||||||||||||||||||||
Remaining weighted-average contract period (in years) | 12 | 13 | 16 | 19 | 12 | 6 | 15 | |||||||||||||||||||||
Gross insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | 815,549 | $ | 479,218 | $ | 3,517,374 | $ | 5,849,928 | $ | 10,818,754 | $ | 47 | $ | 21,480,870 | ||||||||||||||
Interest | 428,964 | 222,412 | 2,298,152 | 2,873,112 | 2,427,376 | 19 | 8,250,035 | |||||||||||||||||||||
Total | $ | 1,244,513 | $ | 701,630 | $ | 5,815,526 | $ | 8,723,040 | $ | 13,246,130 | $ | 66 | $ | 29,730,905 | ||||||||||||||
Gross undiscounted claim liability (1) | $ | 5,477 | $ | 12,134 | $ | 189,385 | $ | 2,752,311 | $ | 7,958,481 | $ | 62 | $ | 10,917,850 | ||||||||||||||
Discount, gross claim liability | (700 | ) | (1,091 | ) | (20,747 | ) | (964,005 | ) | (943,887 | ) | (3 | ) | (1,930,433 | ) | ||||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 4,777 | $ | 11,043 | $ | 168,638 | $ | 1,788,306 | $ | 7,014,594 | $ | 59 | $ | 8,987,417 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (2,154 | ) | (2,298,331 | ) | — | (2,300,485 | ) | ||||||||||||||||||
Discount, RMBS subrogation | — | — | — | 14 | 16,047 | — | 16,061 | |||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (2,140 | ) | (2,282,284 | ) | — | (2,284,424 | ) | ||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (17,558 | ) | (110,818 | ) | (698,439 | ) | — | (826,815 | ) | |||||||||||||||||
Discount, other subrogation | — | — | 7,045 | 29,735 | 54,031 | — | 90,811 | |||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,513 | ) | (81,083 | ) | (644,408 | ) | — | (736,004 | ) | |||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 4,777 | $ | 11,043 | $ | 158,125 | $ | 1,705,083 | $ | 4,087,902 | $ | 59 | $ | 5,966,989 | ||||||||||||||
Less: Unearned premium reserves | (3,198 | ) | (3,925 | ) | (90,254 | ) | (297,274 | ) | (81,346 | ) | — | (475,997 | ) | |||||||||||||||
Plus: Loss expense reserves | — | 1,824 | (799 | ) | 4,488 | 91,666 | — | 97,179 | ||||||||||||||||||||
Gross loss and loss expense reserves | $ | 1,579 | $ | 8,942 | $ | 67,072 | $ | 1,412,297 | $ | 4,098,222 | $ | 59 | $ | 5,588,171 | ||||||||||||||
Reinsurance recoverable reported on Balance Sheet | $ | 55 | $ | 895 | $ | 1,956 | $ | 115,403 | $ | (9,054 | ) | $ | — | $ | 109,255 | |||||||||||||
-1 | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, 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 breaches. | |||||||||||||||||||||||||||
-3 | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. | |||||||||||||||||||||||||||
Surveillance Categories (at December 31, 2013) | ||||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number of policies | 18 | 23 | 52 | 76 | 169 | 1 | 339 | |||||||||||||||||||||
Remaining weighted-average contract period (in years) | 13 | 19 | 17 | 19 | 11 | 6 | 14 | |||||||||||||||||||||
Gross insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | 834,708 | $ | 1,125,284 | $ | 3,464,420 | $ | 5,597,387 | $ | 11,184,943 | $ | 47 | $ | 22,206,789 | ||||||||||||||
Interest | 506,903 | 871,751 | 2,130,271 | 2,331,222 | 2,556,968 | 18 | 8,397,133 | |||||||||||||||||||||
Total | $ | 1,341,611 | $ | 1,997,035 | $ | 5,594,691 | $ | 7,928,609 | $ | 13,741,911 | $ | 65 | $ | 30,603,922 | ||||||||||||||
Gross undiscounted claim liability (1) | $ | 7,447 | $ | 54,398 | $ | 221,321 | $ | 3,029,891 | $ | 7,963,137 | $ | 65 | $ | 11,276,259 | ||||||||||||||
Discount, gross claim liability | (1,225 | ) | (6,726 | ) | (32,630 | ) | (1,299,032 | ) | (1,112,829 | ) | (6 | ) | (2,452,448 | ) | ||||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 6,222 | $ | 47,672 | $ | 188,691 | $ | 1,730,859 | $ | 6,850,308 | $ | 59 | $ | 8,823,811 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (4,516 | ) | (2,211,333 | ) | — | (2,215,849 | ) | ||||||||||||||||||
Discount, RMBS subrogation | — | — | — | 15 | 9,236 | — | 9,251 | |||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (4,501 | ) | (2,202,097 | ) | — | (2,206,598 | ) | ||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (20,367 | ) | (116,145 | ) | (710,187 | ) | — | (846,699 | ) | |||||||||||||||||
Discount, other subrogation | — | — | 9,522 | 36,125 | 45,666 | — | 91,313 | |||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,845 | ) | (80,020 | ) | (664,521 | ) | — | (755,386 | ) | |||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 6,222 | $ | 47,672 | $ | 177,846 | $ | 1,646,338 | $ | 3,983,690 | $ | 59 | $ | 5,861,827 | ||||||||||||||
Less: Unearned premium reserves | (4,060 | ) | (22,901 | ) | (95,550 | ) | (280,245 | ) | (100,228 | ) | — | (502,984 | ) | |||||||||||||||
Plus: Loss expense reserves | — | 11 | 2,257 | 1,658 | 107,465 | — | 111,391 | |||||||||||||||||||||
Gross loss and loss expense reserves | $ | 2,162 | $ | 24,782 | $ | 84,553 | $ | 1,367,751 | $ | 3,990,927 | $ | 59 | $ | 5,470,234 | ||||||||||||||
Reinsurance recoverable reported on Balance Sheet | $ | 146 | $ | 2,271 | $ | 2,273 | $ | 119,795 | $ | (3,236 | ) | $ | — | $ | 121,249 | |||||||||||||
-1 | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, 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 breaches. | |||||||||||||||||||||||||||
-3 | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. | |||||||||||||||||||||||||||
Ambac records estimated subrogation recoveries for breaches of representations and warranties (R&W) by sponsors of certain RMBS transactions. Prior to the June 30, 2014 reporting period, Ambac utilized the Adverse and Random Sample approaches to estimate R&W subrogation recoveries for certain RMBS transactions. For a discussion of these subrogation recovery approaches, see Note 2, Basis Of Presentation And Significant Accounting Policies, in Part II, Item 8 “Financial Statements and Supplementary Data” included in Ambac’s Annual Report on Form 10-K for the year ended December 31, 2013. Beginning with the June 30, 2014 reporting period, as a result of gaining further access to loan files, we utilized the Random Sample approach for all transactions which were previously evaluated using the Adverse Sample approach. | ||||||||||||||||||||||||||||
Ambac has recorded RMBS subrogation recoveries of $2,284,424 ($2,258,051 net of reinsurance) and $2,206,598 ($2,183,652 net of reinsurance) at June 30, 2014 and December 31, 2013, respectively. The balance of RMBS subrogation recoveries and the related claim liabilities, by estimation approach, at June 30, 2014 and December 31, 2013, are as follows: | ||||||||||||||||||||||||||||
June 30, 2014 | ||||||||||||||||||||||||||||
Gross loss reserves | Subrogation recoveries (2) (3) | Gross loss reserves | ||||||||||||||||||||||||||
Approach | before subrogation recoveries (1) | after subrogation recoveries | ||||||||||||||||||||||||||
Random samples (4) | $ | 2,736,871 | $ | (2,284,424 | ) | $ | 452,447 | |||||||||||||||||||||
Totals | $ | 2,736,871 | $ | (2,284,424 | ) | $ | 452,447 | |||||||||||||||||||||
31-Dec-13 | ||||||||||||||||||||||||||||
Gross loss reserves | Subrogation recoveries (2) (3) | Gross loss reserves | ||||||||||||||||||||||||||
Approach | before subrogation recoveries (1) | after subrogation recoveries | ||||||||||||||||||||||||||
Adverse samples | $ | 2,084,911 | $ | (1,252,773 | ) | $ | 832,138 | |||||||||||||||||||||
Random samples (4) | 1,078,861 | (953,825 | ) | 125,036 | ||||||||||||||||||||||||
Totals | $ | 3,163,772 | $ | (2,206,598 | ) | $ | 957,174 | |||||||||||||||||||||
-1 | Includes unpaid 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 RMBS 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. | |||||||||||||||||||||||||||
-4 | From time to time R&W subrogation may include estimates of potential sponsor settlements that are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample section of this table. | |||||||||||||||||||||||||||
Below is the rollforward of RMBS subrogation, by estimation approach, for the affected periods: | ||||||||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||||||
Rollforward: | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2014 | $ | 953,825 | $ | 1,252,773 | $ | 2,206,598 | ||||||||||||||||||||||
Changes recognized in 2014: | ||||||||||||||||||||||||||||
Additional transactions reviewed | 24,510 | — | 24,510 | |||||||||||||||||||||||||
Changes in estimation approach (1) | 1,341,917 | (1,218,681 | ) | 123,236 | ||||||||||||||||||||||||
Impact of Sponsor Actions (2) | (90,000 | ) | — | (90,000 | ) | |||||||||||||||||||||||
All other changes (3) | 54,172 | (34,092 | ) | 20,080 | ||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at June 30, 2014 | $ | 2,284,424 | $ | — | $ | 2,284,424 | ||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||||||
Rollforward: | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 | ||||||||||||||||||||||
Changes recognized through June 30, 2013: | ||||||||||||||||||||||||||||
Additional transactions reviewed | — | — | — | |||||||||||||||||||||||||
Changes in estimation approach (1) | — | — | — | |||||||||||||||||||||||||
Impact of Sponsor Actions (2) | (2,489 | ) | — | (2,489 | ) | |||||||||||||||||||||||
All other changes (3) | (43,158 | ) | (42,338 | ) | (85,496 | ) | ||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at June 30, 2013 | $ | 958,605 | $ | 1,436,328 | $ | 2,394,933 | ||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Predecessor Ambac | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2013 | $ | 1,080,408 | $ | 1,442,817 | $ | 2,523,225 | ||||||||||||||||||||||
Changes recognized through April 30, 2013: | ||||||||||||||||||||||||||||
Additional transactions reviewed | — | — | — | |||||||||||||||||||||||||
Changes in estimation approach (1) | — | — | — | |||||||||||||||||||||||||
Impact of sponsor actions (2) | (54,195 | ) | — | (54,195 | ) | |||||||||||||||||||||||
All other changes (3) | (21,961 | ) | 35,849 | 13,888 | ||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at April 30, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 | ||||||||||||||||||||||
-1 | Represents estimated subrogation for those transactions previously evaluated using the Adverse Sample approach, which are evaluated using a Random Sample approach beginning June 30, 2014. The amounts shown in the Random and Adverse Sample columns are different as a result of the differences in estimation approaches. | |||||||||||||||||||||||||||
-2 | Sponsor actions include loan repurchases, direct payments to Ambac, and other contributions from sponsors. | |||||||||||||||||||||||||||
-3 | All other changes which may impact RMBS 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 are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table. | |||||||||||||||||||||||||||
Insurance intangible asset: | ||||||||||||||||||||||||||||
The insurance intangible amortization expense is included in insurance intangible amortization on the Consolidated Statements of Total Comprehensive Income for Successor Ambac. For the three months and six months ended June 30, 2014 the insurance intangible amortization expense was $36,256 and $67,970, respectively. For the two months ending June 30, 2013 the insurance intangible amortization expense was $24,952. As of June 30, 2014 and December 31, 2013, the insurance intangible asset was $1,549,384 and $1,597,965, respectively. The June 30, 2014 and December 31, 2013 insurance intangible asset is net of accumulated amortization of $169,372 and $100,767, respectively. | ||||||||||||||||||||||||||||
The estimated future amortization expense for the insurance intangible asset is as follows: | ||||||||||||||||||||||||||||
2014 | $ | 66,545 | ||||||||||||||||||||||||||
2015 | 121,914 | |||||||||||||||||||||||||||
2016 | 110,968 | |||||||||||||||||||||||||||
2017 | 102,293 | |||||||||||||||||||||||||||
2018 | 95,522 | |||||||||||||||||||||||||||
Thereafter | 1,052,142 | |||||||||||||||||||||||||||
Fair_Value_Measurements
Fair Value Measurements | 6 Months Ended | ||||||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||||||
Fair Value Measurements | ' | ||||||||||||||||||||||||||||
FAIR VALUE MEASUREMENTS | |||||||||||||||||||||||||||||
The Fair Value Measurement Topic of the ASC establishes a framework for measuring fair value and disclosures about fair value measurements. | |||||||||||||||||||||||||||||
Fair Value Hierarchy: | |||||||||||||||||||||||||||||
The Fair Value Measurement Topic of the ASC specifies a fair value hierarchy based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company-based assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows: | |||||||||||||||||||||||||||||
Ÿ Level 1 | Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury securities, exchange traded futures contracts, variable rate demand obligations, money market funds and mutual funds. | ||||||||||||||||||||||||||||
Ÿ Level 2 | Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Assets and liabilities classified as Level 2 generally include direct investments in fixed income securities representing municipal, asset-backed and corporate obligations, most financial services derivatives, and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. Also included are equity interests in pooled investment funds measured at fair value where the investment can be redeemed in the near term at a value based on the net asset value. | ||||||||||||||||||||||||||||
Ÿ Level 3 | Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the use of observable market data when available. Assets and liabilities classified as Level 3 include credit derivative contracts written as part of the financial guarantee business, certain financial services interest rate swap contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include fixed income securities, loan receivables, and certain long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. | ||||||||||||||||||||||||||||
The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of June 30, 2014 and December 31, 2013, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. | |||||||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||
Carrying | Total Fair | Fair Value Measurements Categorized as: | |||||||||||||||||||||||||||
Amount | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||||||
Financial assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Municipal obligations | $ | 981,082 | $ | 981,082 | $ | — | $ | 981,082 | $ | — | |||||||||||||||||||
Corporate obligations | 1,891,834 | 1,891,834 | — | 1,888,083 | 3,751 | ||||||||||||||||||||||||
Foreign obligations | 144,125 | 144,125 | — | 144,125 | — | ||||||||||||||||||||||||
U.S. government obligations | 77,584 | 77,584 | 77,584 | — | — | ||||||||||||||||||||||||
U.S. agency obligations | 30,191 | 30,191 | — | 30,191 | — | ||||||||||||||||||||||||
Residential mortgage-backed securities | 1,853,409 | 1,853,409 | — | 1,853,409 | — | ||||||||||||||||||||||||
Collateralized debt obligations | 144,376 | 144,376 | — | 144,376 | — | ||||||||||||||||||||||||
Other asset-backed securities | 977,830 | 977,830 | — | 915,229 | 62,601 | ||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||||||||||||
U.S. government obligations | 65,029 | 65,029 | 65,029 | — | — | ||||||||||||||||||||||||
Short term investments | 344,187 | 344,187 | 341,647 | 2,540 | — | ||||||||||||||||||||||||
Other investments | 256,455 | 256,455 | — | 256,355 | 100 | ||||||||||||||||||||||||
Cash and cash equivalents | 74,461 | 74,461 | 73,204 | 1,257 | — | ||||||||||||||||||||||||
Loans | 6,349 | 6,349 | — | — | 6,349 | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Credit derivatives | 319 | 319 | — | — | 319 | ||||||||||||||||||||||||
Interest rate swaps—asset position | 89,361 | 89,361 | — | 89,361 | — | ||||||||||||||||||||||||
Interest rate swaps—liability position | — | — | — | — | — | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||||||||
Other assets | 12,782 | 12,782 | — | — | 12,782 | ||||||||||||||||||||||||
Variable interest entity assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Corporate obligations | 2,688,388 | 2,688,388 | — | — | 2,688,388 | ||||||||||||||||||||||||
Restricted cash | 7,712 | 7,712 | 7,712 | — | — | ||||||||||||||||||||||||
Loans | 13,743,231 | 13,743,231 | — | — | 13,743,231 | ||||||||||||||||||||||||
Total financial assets | $ | 23,388,705 | $ | 23,388,705 | $ | 565,176 | $ | 6,306,008 | $ | 16,517,521 | |||||||||||||||||||
Financial liabilities: | |||||||||||||||||||||||||||||
Obligations under investment agreements | $ | 169,582 | $ | 171,999 | $ | — | $ | — | $ | 171,999 | |||||||||||||||||||
Long term debt, including accrued interest | 1,319,997 | 1,506,391 | — | — | 1,506,391 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | 89,970 | 89,970 | — | — | 89,970 | ||||||||||||||||||||||||
Interest rate swaps—asset position | (51,322 | ) | (51,322 | ) | — | (51,322 | ) | — | |||||||||||||||||||||
Interest rate swaps—liability position | 303,317 | 303,317 | — | 174,307 | 129,010 | ||||||||||||||||||||||||
Futures contracts | 180 | 180 | 180 | — | — | ||||||||||||||||||||||||
Other contracts | 128 | 128 | — | 128 | — | ||||||||||||||||||||||||
Liabilities for net financial guarantees written (1) | 4,600,794 | 7,078,178 | — | — | 7,078,178 | ||||||||||||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||||||||||||
Long-term debt | 14,450,434 | 14,450,434 | — | 13,075,385 | 1,375,049 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps—liability position | 1,840,399 | 1,840,399 | — | 1,840,399 | — | ||||||||||||||||||||||||
Currency swaps—liability position | 87,061 | 87,061 | — | 87,061 | — | ||||||||||||||||||||||||
Total financial liabilities | $ | 22,810,540 | $ | 25,476,735 | $ | 180 | $ | 15,125,958 | $ | 10,350,597 | |||||||||||||||||||
-1 | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. | ||||||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||
Carrying | Total Fair | Fair Value Measurements Categorized as: | |||||||||||||||||||||||||||
Amount | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Financial assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Municipal obligations | $ | 1,377,723 | $ | 1,377,723 | $ | — | $ | 1,377,723 | $ | — | |||||||||||||||||||
Corporate obligations | 1,489,369 | 1,489,369 | — | 1,485,867 | 3,502 | ||||||||||||||||||||||||
Foreign obligations | 124,877 | 124,877 | — | 124,877 | — | ||||||||||||||||||||||||
U.S. government obligations | 126,248 | 126,248 | 126,248 | — | — | ||||||||||||||||||||||||
U.S. agency obligations | 32,154 | 32,154 | — | 31,946 | 208 | ||||||||||||||||||||||||
Residential mortgage-backed securities | 1,558,625 | 1,558,625 | — | 1,558,625 | — | ||||||||||||||||||||||||
Collateralized debt obligations | 183,872 | 183,872 | — | 183,872 | — | ||||||||||||||||||||||||
Other asset-backed securities | 992,448 | 992,448 | — | 928,375 | 64,073 | ||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||||||||||||
U.S. government obligations | 126,223 | 126,223 | 126,223 | — | — | ||||||||||||||||||||||||
Short term investments | 271,119 | 271,119 | 267,612 | 3,507 | — | ||||||||||||||||||||||||
Other investments | 241,069 | 241,069 | — | 240,969 | 100 | ||||||||||||||||||||||||
Cash and cash equivalents | 77,370 | 77,370 | 74,425 | 2,945 | — | ||||||||||||||||||||||||
Loans | 6,179 | 6,238 | — | — | 6,238 | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Interest rate swaps—asset position | 76,631 | 76,631 | — | 76,631 | — | ||||||||||||||||||||||||
Interest rate swaps—liability position | (1,257 | ) | (1,257 | ) | — | (1,257 | ) | — | |||||||||||||||||||||
Futures contracts | 2,337 | 2,337 | 2,337 | — | — | ||||||||||||||||||||||||
Other assets | 13,384 | 13,384 | — | — | 13,384 | ||||||||||||||||||||||||
Variable interest entity assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Corporate obligations | 2,475,182 | 2,475,182 | — | — | 2,475,182 | ||||||||||||||||||||||||
Restricted cash | 17,498 | 17,498 | 17,498 | — | — | ||||||||||||||||||||||||
Loans | 13,398,895 | 13,398,895 | — | — | 13,398,895 | ||||||||||||||||||||||||
Total financial assets | $ | 22,589,946 | $ | 22,590,005 | $ | 614,343 | $ | 6,014,080 | $ | 15,961,582 | |||||||||||||||||||
Financial liabilities: | |||||||||||||||||||||||||||||
Obligations under investment agreements | $ | 359,070 | $ | 360,506 | $ | — | $ | — | $ | 360,506 | |||||||||||||||||||
Long term debt, including accrued interest | 1,256,602 | 1,215,029 | — | — | 1,215,029 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | 94,322 | 94,322 | — | — | 94,322 | ||||||||||||||||||||||||
Interest rate swaps—asset position | (55,619 | ) | (55,619 | ) | — | (55,619 | ) | — | |||||||||||||||||||||
Interest rate swaps—liability position | 215,030 | 215,030 | — | 122,418 | 92,612 | ||||||||||||||||||||||||
Other contracts | 165 | 165 | — | 165 | — | ||||||||||||||||||||||||
Liabilities for net financial guarantees written (1) | 4,509,539 | 4,876,617 | — | — | 4,876,617 | ||||||||||||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||||||||||||
Long-term debt | 14,091,753 | 14,091,753 | — | 12,577,148 | 1,514,605 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps—liability position | 1,680,834 | 1,680,834 | — | 1,680,834 | — | ||||||||||||||||||||||||
Currency swaps—liability position | 91,472 | 91,472 | — | 91,472 | — | ||||||||||||||||||||||||
Total financial liabilities | $ | 22,243,168 | $ | 22,570,109 | $ | — | $ | 14,416,418 | $ | 8,153,691 | |||||||||||||||||||
-1 | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. | ||||||||||||||||||||||||||||
Determination of Fair Value: | |||||||||||||||||||||||||||||
When available, Ambac uses quoted active market prices specific to the financial instrument to determine fair value, and classifies such items within Level 1. Because many fixed income securities do not trade on a daily basis, pricing sources apply available information through processes such as matrix pricing to calculate fair value. In those cases, the items are classified within Level 2. If quoted market prices are not available, fair value is based upon models that use, where possible, current market-based or independently-sourced market parameters. Items valued using valuation models are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified in Level 3 even though there may be significant inputs that are readily observable. | |||||||||||||||||||||||||||||
The determination of fair value for financial instruments categorized in Level 2 or 3 involves significant judgment due to the complexity of factors contributing to the valuation. Third-party sources from which we obtain independent market quotes also use assumptions, judgments and estimates in determining financial instrument values and different third parties may use different methodologies or provide different prices for securities. We believe the potential for differences in third-party pricing levels is particularly significant with respect to residential mortgage-backed and certain other asset-backed securities held in our investment portfolio and referenced in our credit derivative portfolio, due to the low levels of trading activity for such securities. In addition, the use of internal valuation models may require assumptions about hypothetical or inactive markets. As a result of these factors, the actual trade value of a financial instrument in the market, or exit value of a financial instrument position by Ambac, may be significantly different from its recorded fair value. | |||||||||||||||||||||||||||||
Ambac’s financial instruments carried at fair value are mainly comprised of investments in fixed income securities, equity interests in pooled investment funds, derivative instruments, most variable interest entity assets and liabilities and equity interests in Ambac sponsored special purpose entities. Valuation of financial instruments is performed by Ambac’s finance group using methods approved by senior financial management with consultation from risk management and portfolio managers as appropriate. Preliminary valuation results are discussed with portfolio managers quarterly to assess consistency with market transactions and trends as applicable. Market transactions such as trades or negotiated settlements of similar positions, if any, are reviewed quarterly to validate fair value model results. However many of the financial instruments valued using significant unobservable inputs have very little or no observable market activity. Methods and significant inputs and assumptions used to determine fair values across portfolios are reviewed quarterly by senior financial management. Additionally, changes to fair value methods and assumptions are reviewed with the Chief Executive Officer and the Audit Committee when such changes may be material to the company’s financial position or results. Other valuation control procedures specific to particular portfolios are described further below. | |||||||||||||||||||||||||||||
We reflect Ambac’s own creditworthiness in the fair value of financial liabilities by including a credit valuation adjustment (“CVA”) in the determination of fair value. A decline (increase) in Ambac’s creditworthiness as perceived by market participants will generally result in a higher (lower) CVA, thereby lowering (increasing) the fair value of Ambac’s financial liabilities as reported. | |||||||||||||||||||||||||||||
Fixed Income Securities: | |||||||||||||||||||||||||||||
The fair values of fixed income investment securities held by Ambac and its operating subsidiaries are based primarily on market prices received from dealer quotes or alternative pricing sources with reasonable levels of price transparency. Such quotes generally consider a variety of factors, including recent trades of the same and similar securities. For those fixed income investments where quotes were not available, fair values are based on internal valuation models. Key inputs to the internal valuation models include maturity date, coupon and yield curves for asset-type and credit rating characteristics that closely match those characteristics of the specific investment securities being valued. Longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value. Generally, lower credit ratings or longer expected maturities will be accompanied by higher yields used to value a security. At June 30, 2014, approximately 9%, 90%, and 1% of the investment portfolio (excluding variable interest entity investments) was valued using dealer quotes, alternative pricing sources with reasonable levels of price transparency and internal valuation models, respectively. At December 31, 2013, approximately 11%, 88%, and 1% of the investment portfolio (excluding variable interest entity investments) was valued using dealer quotes, alternative pricing sources with reasonable levels of price transparency and internal valuation models, respectively. | |||||||||||||||||||||||||||||
Ambac performs various review and validation procedures to quoted and modeled prices for fixed income securities, including price variance analysis, missing and static price reviews, overall valuation analysis by senior traders and finance managers and reviews associated with our ongoing impairment analysis. Unusual prices identified through these procedures will be evaluated further against separate broker quotes (if available) or internally modeled prices, and the pricing source values will be challenged as necessary. Price challenges generally result in the use of the pricing source’s quote as originally provided or as revised by the source following their internal diligence process. A price challenge may result in a determination that the pricing source cannot provide a reasonable value for a security or cannot adequately support a quote, in which case Ambac would resort to using either other quotes or internal models. Results of price challenges are reviewed and approved by senior traders and finance managers. | |||||||||||||||||||||||||||||
The reported fair values of Level 2 fixed income securities are obtained from third party quotes. Information about the valuation inputs for fixed income securities classified as Level 3 is included below: | |||||||||||||||||||||||||||||
Corporate obligations: These securities represent interest only strips of investment grade corporate obligations. The fair value of such securities classified as Level 3 was $3,751 and $3,502 at June 30, 2014 and December 31, 2013, respectively. Fair value was calculated using a discounted cash flow approach with the discount rate determined from the yields of corporate bonds from the same issuers. Significant inputs for the interest only strips valuation at June 30, 2014 and December 31, 2013 include the following weighted averages: | |||||||||||||||||||||||||||||
30-Jun-14 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.345% | |||||||||||||||||||||||||||||
b.Maturity: 19.64 years | |||||||||||||||||||||||||||||
c.Yield: 5.30% | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.345% | |||||||||||||||||||||||||||||
b.Maturity: 20.14 years | |||||||||||||||||||||||||||||
c.Yield: 6.30% | |||||||||||||||||||||||||||||
U.S. agency obligations: These notes are secured by separate lease rental agreements with the U.S. Government acting through the General Services Administration. The fair value of such securities classified as Level 3 was $0 and $208 at June 30, 2014 and December 31, 2013, respectively. Valuation of these assets was classified as Level 2 as of June 30, 2014. At December 31, 2013, fair value of these assets was calculated using a discounted cash flow approach with the yield based on comparable U.S. agency securities. Significant inputs for the valuation at December 31, 2013 include the following weighted averages: | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
a.Coupon rate: 6.98% | |||||||||||||||||||||||||||||
b.Maturity: 1.37 years | |||||||||||||||||||||||||||||
c.Yield: 0.39% | |||||||||||||||||||||||||||||
Other asset-backed securities: These securities are floating rate investment grade notes collateralized by various asset types. The fair value of such securities classified as Level 3 was $62,601 and $64,073 at June 30, 2014 and December 31, 2013, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at June 30, 2014 and December 31, 2013 include the following weighted averages: | |||||||||||||||||||||||||||||
30-Jun-14 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.63% | |||||||||||||||||||||||||||||
b.Maturity: 6.84 years | |||||||||||||||||||||||||||||
c.Yield: 4.72% | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.64% | |||||||||||||||||||||||||||||
b.Maturity: 7.15 years | |||||||||||||||||||||||||||||
c.Yield: 5.17% | |||||||||||||||||||||||||||||
Other Investments: | |||||||||||||||||||||||||||||
Other investments primarily relate to investments in pooled investment funds, which are valued using the net asset value (“NAV”) per share, calculated on at least a monthly basis where NAV is the basis for determining the redemption value of the investment. These investments are classified as Level 2 as redemptions may be made in the near term (within 90 days) without significant impediments or restrictions. Ambac assesses impediments to redemption and other factors that may restrict the ability to redeem investments in the near term or at values approximating the NAV and may classify the investments as Level 3 if such factors exist. | |||||||||||||||||||||||||||||
Derivative Instruments: | |||||||||||||||||||||||||||||
Ambac’s derivative instruments primarily comprise interest rate and credit default swaps, and exchange traded futures contracts. Fair value is determined based upon market quotes from independent sources, when available. When independent quotes are not available, fair value is determined using valuation models. These valuation models require market-driven inputs, including contractual terms, credit spreads and ratings on underlying referenced obligations, yield curves and tax-exempt interest ratios. The valuation of certain interest rate as well as all credit derivative contracts also require the use of data inputs and assumptions that are determined by management and are not readily observable in the market. Under the Fair Value Measurement Topic of the ASC, Ambac is required to consider its own credit risk when measuring the fair value of derivative and other liabilities. The fair value of credit derivative liabilities was reduced by $16,141 and $38,966 at June 30, 2014 and December 31, 2013, as a result of incorporating a CVA into the valuation model for these transactions. Interest rate swaps and other derivative liabilities may also require an adjustment to fair value to reflect Ambac’s credit risk. Derivative liabilities were reduced by $43,915 and $48,425 at June 30, 2014 and December 31, 2013, as a result of Ambac CVA adjustments to derivative contracts other than credit derivatives. Additional factors considered in estimating the amount of any Ambac CVA on such contracts include collateral posting provisions, right of set-off with the counterparty, the period of time remaining on the derivatives and the pricing of recent terminations. | |||||||||||||||||||||||||||||
As described further below, certain valuation models require other inputs that are not readily observable in the market. The selection of a model to value a derivative depends on the contractual terms of, and specific risks inherent in the instrument as well as the availability of pricing information in the market. | |||||||||||||||||||||||||||||
For derivatives that are less complex and trade in liquid markets or may be valued primarily by reference to interest rates and yield curves that are observable and regularly quoted, such as interest rate swaps, we utilize vendor-developed models. These models provide the net present value of the derivatives based on contractual terms and observable market data. Downgrades of Ambac Assurance, as guarantor of the financial services derivatives, have increased collateral requirements and triggered termination provisions in certain interest rate swaps. Termination activity since the initial rating downgrades of Ambac Assurance provided additional information about the replacement and/or exit value of certain financial services derivatives, which has been incorporated into the fair value of these derivatives as appropriate. Generally, the need for counterparty (or Ambac) CVAs is mitigated by the existence of collateral posting agreements under which adequate collateral has been posted. Derivative contracts entered into with financial guarantee customers are not typically subject to collateral posting agreements. Counterparty credit risk related to such customer derivative assets is included in our fair value adjustments. | |||||||||||||||||||||||||||||
For derivatives that do not trade, or trade in less liquid markets such as credit derivatives, a proprietary model is used because such instruments tend to be unique, contain complex or heavily modified and negotiated terms, and pricing information is not readily available in the market. Derivative fair value models and the related assumptions are continuously re-evaluated by management and enhanced, as appropriate, based on improvements in modeling techniques. Ambac has not made any significant changes to its modeling techniques or related model inputs for the periods presented. | |||||||||||||||||||||||||||||
Credit Derivatives (“CDS”): | |||||||||||||||||||||||||||||
Fair value of Ambac’s CDS is determined using internal valuation models and represents the net present value of the difference between the fees Ambac originally charged for the credit protection and our estimate of what a financial guarantor of comparable credit quality would hypothetically charge to provide the same protection at the balance sheet date. Ambac competed in the financial guarantee market, which differs from the credit markets where Ambac-insured obligations may trade. As a financial guarantor, Ambac assumes only credit risk; we do not assume other risks and costs inherent in direct ownership of the underlying reference securities. Additionally, as a result of having the ability to influence our CDS counterparty in certain investor decisions, financial guarantors generally have the ability to actively remediate the credit, potentially reducing the loss given a default. Financial guarantee contracts, including CDS, issued by Ambac and its competitors are typically priced to capture some portion of the spread that would be observed in the capital markets for the underlying (insured) obligation. Such pricing was well established by historical financial guarantee fees relative to capital market spreads as observed and executed in competitive markets, including in financial guarantee reinsurance and secondary market transactions. Because of this relationship and in the absence of severe credit deterioration, changes in the fair value of our credit default swaps will generally be less than changes in the fair value of the underlying reference obligations. | |||||||||||||||||||||||||||||
Key variables used in our valuation of substantially all of our credit derivatives include the balance of unpaid notional, expected term, fair values of the underlying reference obligations, reference obligation credit ratings, assumptions about current financial guarantee CDS fee levels relative to reference obligation spreads and the CVA applied against Ambac Assurance liabilities by market participants. Notional balances, expected remaining term and reference obligation credit ratings are monitored and determined by Ambac’s risk group. Fair values of the underlying reference obligations are obtained from broker quotes when available, or are derived from other market indications such as new issuance spreads and quoted values for similar transactions. Implicit in the fair values we obtain on the underlying reference obligations are the market’s assumptions about default probabilities, default timing, correlation, recovery rates and collateral values. | |||||||||||||||||||||||||||||
Broker quotes on the reference obligations named in our CDS contracts represent an input to determine the estimated fair value of the CDS contract. Broker quotes are indicative values for the reference obligation and generally do not represent a bid for the reference instrument. Such quotes follow methodologies that are generally consistent with those used to value similar assets on the quote providers’ own books. Methodologies may differ among brokers but are understood to reflect observable trading activity (when available) and modeling that relies on empirical data and reasonable assumptions. For certain CDS contracts referencing unsecuritized pools of assets, we will obtain counterparty quotes on the credit derivative itself. Such quotes are adjusted to reflect Ambac’s own credit risk when determining the fair value of credit derivative liabilities. Third party reference obligation values or specific credit derivative quotes were used in the determination of CDS fair values related to transactions representing 74% of CDS gross par outstanding and 63% of the CDS derivative liability as of June 30, 2014. | |||||||||||||||||||||||||||||
When broker quotes for reference obligations are not available, reference obligation prices used in the valuation model are estimated internally based on averages of the quoted prices for other transactions of the same bond type and Ambac rating as well as changes in published credit spreads for securities with similar collateral and ratings characteristics. When price quotes of a similar bond type vary significantly or the number of similar transactions is small, management will consider additional factors, such as specific collateral composition and performance and contractual subordination, to identify similar transactions. Reference obligation prices derived internally as described above were used in the determination of CDS fair values related to transactions representing 26% of CDS gross par outstanding and 37% of the CDS derivative liability as of June 30, 2014. | |||||||||||||||||||||||||||||
Ambac’s CDS fair value calculations are adjusted for changes in our estimates of expected loss on the reference obligations and observable changes in financial guarantee market pricing. If no adjustment is considered necessary, Ambac maintains the same percentage of the credit spread (over LIBOR) demanded in the market for the reference obligation as existed at the inception of the CDS. Therefore, absent changes in expected loss on the reference obligations or financial guarantee CDS market pricing, the financial guarantee CDS fee used for a particular contract in Ambac’s fair value calculations represent a consistent percentage, period to period, of the credit spread determinable from the reference obligation value at the balance sheet date. This results in a CDS fair value balance that fluctuates in proportion with the reference obligation value. | |||||||||||||||||||||||||||||
The amount of expected loss on a reference obligation is a function of the probability that the obligation will default and severity of loss in the event of default. Ambac’s CDS transactions were all originally underwritten with extremely low expected losses. Both the reference obligation spreads and Ambac’s CDS fees at the inception of these transactions reflect these low expected losses. When reference obligations experience credit deterioration, there is an increase in the probability of default on the obligation and, therefore, an increase in expected loss. Ambac reflects the effects of changes in expected loss on the fair value of its CDS contracts by increasing the percentage of the reference obligation spread (over LIBOR) which would be captured as a CDS fee (“relative change ratio”) at the valuation date, resulting in a higher mark-to-market loss on our CDS relative to any price decline on the reference obligation. The fundamental assumption is that financial guarantee CDS fees will increase relative to reference obligation spreads as the underlying credit quality of the reference obligation deteriorates and approaches payment default. For example, if the credit spread of an underlying reference obligation was 80 basis points at the inception of a transaction and Ambac received a 20 basis point fee for issuing a CDS on that obligation, the relative change ratio, which represents the CDS fee to cash market spread Ambac would utilize in its valuation calculation, would be 25%. If the reference obligation spread increased to 100 basis points in the current reporting period, absent any observable changes in financial guarantee CDS market pricing or credit deterioration, Ambac’s current period CDS fee would be computed by multiplying the current reference obligation spread of 100 basis points by the relative change ratio of 25%, resulting in a 25 basis point fee. Thus, the model indicates we would need to receive an additional 5 basis points (25 basis points currently less the 20 basis points contractually received) for issuing a CDS in the current reporting period for this reference obligation. We would then discount the product of the notional amount of the CDS and the 5 basis point hypothetical CDS fee increase, over the weighted average life of the reference obligation to compute the current period mark-to-market loss. Using the same example, if the reference obligation spread increased to 100 basis points and there was credit deterioration as evidenced by an internal rating downgrade which increased the relative change ratio from 25% to 35%, we would estimate a 15 basis point CDS fee increase in our model (35% of 100 basis points reference obligation spread, or 35 basis points currently, less the 20 basis points contractually received). Therefore, we would record a higher mark-to-market loss based on the computations described above absent any observable changes in financial guarantee CDS market pricing. | |||||||||||||||||||||||||||||
We do not adjust the relative change ratio until an actual internal rating downgrade has occurred unless we observe new pricing on financial guarantee CDS contracts. However, because we have active surveillance procedures in place for our entire CDS portfolio, particularly for transactions at or near a below investment grade threshold, we believe it is unlikely that an internal downgrade would lag the actual credit deterioration of a transaction for any meaningful time period. The factors used to increase the relative change ratio are based on rating agency probability of default percentages determined by management to be appropriate for the relevant bond type. That is, the probability of default associated with the respective tenor and internal rating of each CDS transaction is utilized in the computation of the relative change ratio in our CDS valuation model. The new relative change ratio in the event of an internal downgrade of the reference obligation is calculated as the weighted average of: (i) a given transaction’s inception relative change ratio and (ii) a ratio of 100%. The weight given to the inception relative change ratio is 100% minus the current probability of default (the probability of non-default) and the weight given to using a 100% relative change ratio is the probability of default. For example, assume a transaction having an inception relative change ratio of 33% is downgraded to B-during the period, at which time it has an estimated remaining life of 8 years. If the estimated probability of default for an 8 year, B-rated credit of this type is 60% then the revised relative change ratio will be 73.2%. The revised relative change ratio can be calculated as 33% x (100%-60%) +100% x 60% =3.2%. | |||||||||||||||||||||||||||||
As noted above, reference obligation spreads incorporate market perceptions of default probability and loss severity, as well as liquidity risk and other factors. By increasing the relative change ratio in our calculations proportionally to default probabilities, Ambac incorporates into its CDS fair value the higher expected loss on the reference obligation (probability of default x loss severity), by increasing the portion of reference obligation spread that should be paid to the CDS provider. | |||||||||||||||||||||||||||||
Ambac incorporates its own credit risk into the valuation of its CDS liabilities by applying a CVA to the calculations described above. Under our methodology, determination of the CDS fair value requires estimating hypothetical financial guarantee CDS fees for a given credit at the valuation date and estimating the present value of those fees. Our approach begins with pricing in the risk of default of the reference obligation using that obligation’s credit spread. The widening of the reference obligation spread results in a mark-to-market loss to Ambac, as the credit protection seller, and a gain to the credit protection buyer because the current cost of credit protection on the reference obligation (ignoring CDS counterparty credit risk) will be greater than the amount of the actual contractual CDS fees. The Ambac CVA represents the difference between the present value of the hypothetical fees discounted at Libor compared to rates that incorporate Ambac credit risk. The discount rates used to determine the Ambac CVA are estimated using relevant data points, including quoted prices of securities guaranteed by Ambac Assurance which indicate the value placed by market participants on Ambac Assurance’s insurance obligations and the fair value of Ambac Assurance surplus notes. The resulting Ambac CVA, as a percentage of the CDS mark-to-market liability determined by discounting at Libor, was 15.3% and 29.2% as of June 30, 2014 and December 31, 2013, respectively. In instances where narrower reference obligation spreads result in a CDS asset to Ambac, those hypothetical future CDS fees are discounted at a rate which incorporates our counterparty’s credit spread (i.e. the discount rate used is LIBOR plus the current credit spread of the counterparty). | |||||||||||||||||||||||||||||
In addition, when there are sufficient numbers of new observable transactions, negotiated settlements or other market indications of a general change in market pricing trends for CDS on a given bond type, management will adjust its assumptions about the percentage of reference obligation spreads captured as CDS fees to match the current market. No such adjustments were made during the periods presented. Ambac is not transacting CDS business currently and other guarantors have stated they have exited this product. Additionally, there have been no negotiated settlements of CDS contracts during the periods presented. | |||||||||||||||||||||||||||||
Key variables which impact the “Realized gains and losses and other settlements” component of “Net change in fair value of credit derivatives” in the Consolidated Statements of Total Comprehensive Income are the most readily observable variables since they are based solely on the CDS contractual terms and cash settlements. Those variables include premiums received and accrued and losses paid and payable on written credit derivative contracts for the appropriate accounting period. Losses paid and payable reported in “Realized gains and losses and other settlements” include those arising after a credit event that requires a payment under the contract terms has occurred or in connection with a negotiated termination of a contract. The remaining key variables described above impact the “Unrealized gains (losses)” component of “Net change in fair value of credit derivatives.” | |||||||||||||||||||||||||||||
The net notional outstanding of Ambac’s CDS contracts were $2,202,760 and $2,776,103 at June 30, 2014 and December 31, 2013, respectively. Credit derivative liabilities at June 30, 2014 and December 31, 2013 had a combined net fair value of $89,651 and $94,322, respectively, and related to underlying reference obligations that are classified as either collateralized loan obligations (“CLOs”) or Other. Information about the above described model inputs used to determine the fair value of each class of credit derivatives, including the CVA as a percentage of the gross mark-to-market liability before considering Ambac credit risk (“CVA percentage”), as of June 30, 2014 and December 31, 2013 is summarized below: | |||||||||||||||||||||||||||||
Successor Ambac - As of June 30, 2014 | CLOs | Other (1) | |||||||||||||||||||||||||||
Notional outstanding | $ | 841,744 | $ | 1,273,684 | |||||||||||||||||||||||||
Weighted average reference obligation price | 98.7 | 87.9 | |||||||||||||||||||||||||||
Weighted average life (WAL) in years | 1.9 | 5 | |||||||||||||||||||||||||||
Weighted average credit rating | AA | BBB- | |||||||||||||||||||||||||||
Weighted average relative change ratio | 35.6 | % | 43.5 | % | |||||||||||||||||||||||||
CVA percentage | 6.05 | % | 15.8 | % | |||||||||||||||||||||||||
Fair value of derivative liabilities | $ | 3,811 | $ | 84,359 | |||||||||||||||||||||||||
Successor Ambac - As of December 31, 2013 | CLOs | Other (1) | |||||||||||||||||||||||||||
Notional outstanding | $ | 1,337,737 | $ | 1,291,371 | |||||||||||||||||||||||||
Weighted average reference obligation price | 98 | 85.7 | |||||||||||||||||||||||||||
Weighted average life (WAL) in years | 2.1 | 5.4 | |||||||||||||||||||||||||||
Weighted average credit rating | AA | BBB- | |||||||||||||||||||||||||||
Weighted average relative change ratio | 35.3 | % | 43.1 | % | |||||||||||||||||||||||||
CVA percentage | 13.67 | % | 30.7 | % | |||||||||||||||||||||||||
Fair value of derivative liabilities | $ | 7,993 | $ | 84,780 | |||||||||||||||||||||||||
-1 | Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of $58,801, WAL of 1.7 years and liability fair value of $1,800 as of June 30, 2014. Other inputs to the valuation of these transactions at June 30, 2014 include weighted average quotes of 4% of notional, weighted average rating of A and Ambac CVA percentage of 3.58%. As of December 31, 2013, these contracts had a combined notional outstanding of $146,995, WAL of 1.0 years and liability fair value of $1,549. Other inputs to the valuation of these transactions at December 31, 2013 include weighted average quotes of 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 8.7%. | ||||||||||||||||||||||||||||
Significant unobservable inputs for credit derivatives include WAL, internal credit rating, relative change ratio and CVA percentage. A longer (shorter) WAL, lower (higher) reference obligation credit rating, higher (lower) relative change ratio or lower (higher) CVA, in isolation, would result in an increase (decrease) in the fair value liability measurement. A change in an internal credit rating of a reference obligation in our model will generally result in a directionally opposite change in the relative change ratio. Also, a shorter (longer) WAL will generally correspond with a lower (higher) CVA percentage. | |||||||||||||||||||||||||||||
Financial Guarantees: | |||||||||||||||||||||||||||||
Fair value of net financial guarantees written represents our estimate of the cost to Ambac to completely transfer its insurance obligation to another market participant of comparable credit worthiness. In theory, this amount should be the same amount that another market participant of comparable credit worthiness would hypothetically charge in the market place, on a present value basis, to provide the same protection as of the balance sheet date. This fair value estimate of financial guarantees is presented on a net basis and includes direct and assumed contracts written, net of ceded reinsurance contracts. | |||||||||||||||||||||||||||||
The fair value estimate of financial guarantees is computed by utilizing cash flows calculated at the policy level. For direct and assumed contracts, net cash flows for each policy included: (i) installment premium receipts, (ii) estimated future gross claims, (iii) subrogation receipts, and (iv) unpaid claims on claims presented and not yet paid for policies allocated to the Segregated Account, including Deferred Amounts. For ceded reinsurance contracts, net cash flows for each policy included: (i) installment ceded premium payments, (ii) ceding commission receipts, (iii) ceded claim receipts, and (iv) ceded subrogation payments. For each individual direct, assumed, and ceded reinsurance contract, the respective undiscounted cash flow components are aggregated to determine if we are in a net asset or net liability position. U.S. GAAP requires that the nonperformance risk of a financial liability be included in the estimation of fair value, which includes considering Ambac Assurance’s own credit risk. Accordingly, for each contract in a net liability position, we estimate the fair value using internally developed discount rates and market pricing that incorporate Ambac’s own credit risk and subsequently apply a profit margin. This profit margin represents what another market participant would require to assume the financial guarantee contracts. Given the unique nature of financial guarantees and current inactive state of the industry there is a lack of observable market information to make this estimate. A profit margin was developed based on discussions with the third-party institutions with valuation expertise, discussions with industry participants and yields on Ambac Assurance surplus notes. The profit margin was 17% and 17% as of June 30, 2014 and December 31, 2013, respectively. The discount rates used for contracts in a net liability position are derived from the rates implicit in the fair value of surplus notes and guaranteed securities with future cash flows that are highly dependent upon Ambac financial guarantee payments. For each contract in a net asset position, we estimate the fair value using a discount rate that is commensurate with a hypothetical buyer’s cost of capital. | |||||||||||||||||||||||||||||
This methodology is based on management’s expectations of how a market participant would estimate net cash flows. We are aware of a number of factors that may cause such fair or exit value to differ, perhaps materially. For example, (i) since no financial guarantor with Ambac’s credit quality is writing new financial guarantee business we do not have access to observable pricing data points; (ii) although the fair value accounting guidance for liabilities requires a company to consider the cost to completely transfer its obligation to another party of comparable credit worthiness, our primary insurance obligation is irrevocable and thus there is no established active market for transferring such obligations; and (iii) certain segments of Ambac's financial guarantees have been allocated to the Segregated Account and timing of the payments of such liabilities are at the sole discretion of the Rehabilitator. | |||||||||||||||||||||||||||||
Long-term Debt: | |||||||||||||||||||||||||||||
The fair value of surplus notes issued by Ambac Assurance and the Segregated Account and classified as long-term debt is internally estimated considering market transactions when available and internally developed discounted cash flow models. | |||||||||||||||||||||||||||||
Other Financial Assets and Liabilities: | |||||||||||||||||||||||||||||
The fair values of Ambac’s equity interest in Ambac sponsored special purpose entities (included in Other assets), Loans, and Obligations under investment agreements are estimated based upon internal valuation models that discount expected cash flows using discount rates consistent with the credit quality of the obligor after considering collateralization. | |||||||||||||||||||||||||||||
Variable Interest Entity Assets and Liabilities: | |||||||||||||||||||||||||||||
The financial assets and liabilities of VIEs consolidated under the Consolidation Topic of the ASC consist primarily of fixed income securities, loans, derivative and debt instruments and are generally carried at fair value. These consolidated VIEs are securitization entities which have liabilities and/or assets guaranteed by Ambac Assurance. The fair values of VIE debt instruments are determined using the same methodologies used to value Ambac’s fixed income securities in its investment portfolio as described above. VIE debt fair value is based on market prices received from dealer quotes or alternative pricing sources with reasonable levels of price transparency. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. For those VIE debt instruments where quotes were not available, the debt instrument fair values are considered Level 3 and are based on internal discounted cash flow models. Comparable to the sensitivities of investments in fixed income securities described above, longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value liability measurement for VIE debt. VIE debt instruments considered Level 3 include fixed rate, floating rate and zero coupon notes secured by various asset types, primarily European ABS. Information about the valuation inputs for the various VIE debt categories classified as Level 3 is as follows: | |||||||||||||||||||||||||||||
European ABS transactions: The fair value of such obligations classified as Level 3 was $1,174,756 and $1,329,985 at June 30, 2014 and December 31, 2013, respectively. Fair values were calculated by using a discounted cash flow approach. The discount rates used were based on the rates implied from the third party quoted values (Level 2) for comparable notes from the same securitization entity. Significant inputs for the valuation at June 30, 2014 and December 31, 2013 include the following weighted averages: | |||||||||||||||||||||||||||||
30-Jun-14 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.56% | |||||||||||||||||||||||||||||
b.Maturity: 20.92 years | |||||||||||||||||||||||||||||
c.Yield: 9.31% | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
a.Coupon rate: 0.72% | |||||||||||||||||||||||||||||
b.Maturity: 17.86 years | |||||||||||||||||||||||||||||
c.Yield: 8.02% | |||||||||||||||||||||||||||||
US Commercial ABS transaction: The fair value of such obligations classified as Level 3 was $200,293 and $184,620 at June 30, 2014 and December 31, 2013, respectively. Fair values were calculated as the sum of the present value of expected future cash flows from the underlying VIE assets plus the present value of the related Ambac financial guarantee cash flows. The discount rates applied to cash flows sourced from VIE assets were based on interest rates for similar obligations. The fair value of financial guarantee cash flows include internal estimates of future loss payments by Ambac discounted at a rate that incorporates Ambac’s own credit risk. Significant inputs for the valuation at June 30, 2014 and December 31, 2013 include the following weighted averages: | |||||||||||||||||||||||||||||
30-Jun-14 | |||||||||||||||||||||||||||||
a.Coupon rate: 5.88% | |||||||||||||||||||||||||||||
b.Maturity: 15.96 years | |||||||||||||||||||||||||||||
c.Yield: 7.26% | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
a.Coupon rate: 6.11% | |||||||||||||||||||||||||||||
b.Maturity: 6.83 years | |||||||||||||||||||||||||||||
c.Yield: 11.95% | |||||||||||||||||||||||||||||
VIE derivative asset and liability fair values are determined using valuation models. When specific derivative contractual terms are available and may be valued primarily by reference to interest rates, foreign exchange rates and yield curves that are observable and regularly quoted, the derivatives are valued using vendor-developed models. Other derivatives within the VIEs that include significant unobservable valuation inputs are valued using internally developed models. VIE derivative fair value balances at June 30, 2014 and December 31, 2013 were developed using vendor-developed models and do not use significant unobservable inputs. | |||||||||||||||||||||||||||||
The fair value of VIE assets are obtained from market quotes when available. Typically the asset fair values are not readily available from market quotes and are estimated internally. The consolidated VIEs are securitization entities in which net cash flows from assets and derivatives (after adjusting for financial guarantor cash flows and other expenses) will be paid out to note holders or equity interests. Our valuation of VIE assets (fixed income securities or loans), therefore, are derived from the fair value of notes and derivatives, as described above, adjusted for the fair value of cash flows from Ambac’s financial guarantee. The fair value of financial guarantee cash flows include: (i) estimated future premiums discounted at a rate consistent with that implicit in the fair value of the VIE’s liabilities and (ii) internal estimates of future loss payments by Ambac discounted at a rate that includes Ambac’s own credit risk. Estimated future premium payments to be paid by the VIEs were discounted at a weighted average rate of 4.6% and 5.1% at June 30, 2014 and December 31, 2013, respectively. The value of future loss payments to be paid by Ambac to the VIEs was adjusted to include an Ambac CVA appropriate for the term of expected Ambac claim payments. | |||||||||||||||||||||||||||||
Additional Fair Value Information: | |||||||||||||||||||||||||||||
The following tables present the changes in the Level 3 fair value category for the periods presented in 2014 and 2013. Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. | |||||||||||||||||||||||||||||
Level-3 financial assets and liabilities accounted for at fair value | |||||||||||||||||||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 66,923 | $ | 13,122 | $ | (202,482 | ) | $ | 2,546,762 | $ | 13,269,452 | $ | (1,284,394 | ) | $ | 14,409,383 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 422 | (340 | ) | (25,959 | ) | 74,317 | 204,722 | (61,028 | ) | 192,134 | |||||||||||||||||||
Included in other comprehensive income | (124 | ) | — | — | 67,309 | 328,415 | (29,627 | ) | 365,973 | ||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (869 | ) | — | 9,780 | — | (59,358 | ) | — | (50,447 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Balance, end of period | $ | 66,352 | $ | 12,782 | $ | (218,661 | ) | $ | 2,688,388 | $ | 13,743,231 | $ | (1,375,049 | ) | $ | 14,917,043 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (340 | ) | $ | (27,284 | ) | $ | 74,317 | $ | 204,722 | $ | (61,028 | ) | $ | 190,387 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 67,783 | $ | 13,384 | $ | (186,934 | ) | $ | 2,475,182 | $ | 13,398,895 | $ | (1,514,605 | ) | $ | 14,253,705 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 841 | (602 | ) | (40,208 | ) | 130,062 | 526,569 | (251,990 | ) | 364,672 | |||||||||||||||||||
Included in other comprehensive income | (341 | ) | — | — | 83,144 | 408,217 | (38,248 | ) | 452,772 | ||||||||||||||||||||
Purchases | — | — | — | — | 70,000 | — | 70,000 | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (1,723 | ) | — | 8,481 | — | (660,450 | ) | 429,794 | (223,898 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | (208 | ) | — | — | — | — | — | (208 | ) | ||||||||||||||||||||
Balance, end of period | $ | 66,352 | $ | 12,782 | $ | (218,661 | ) | $ | 2,688,388 | $ | 13,743,231 | $ | (1,375,049 | ) | $ | 14,917,043 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (602 | ) | $ | (42,315 | ) | $ | 130,062 | $ | 521,436 | $ | (248,852 | ) | $ | 359,729 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 395 | (177 | ) | 70,127 | (208,998 | ) | (586,641 | ) | 4,347 | (720,947 | ) | ||||||||||||||||||
Included in other comprehensive income | 63 | — | — | (48,578 | ) | (282,421 | ) | 28,214 | (302,722 | ) | |||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (1,298 | ) | — | 4,570 | — | (62,113 | ) | — | (58,841 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | (220,922 | ) | (220,922 | ) | ||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 365,046 | 365,046 | ||||||||||||||||||||||
Balance, end of period | $ | 68,572 | $ | 13,884 | $ | (340,663 | ) | $ | 2,242,989 | $ | 13,820,878 | $ | (1,573,687 | ) | $ | 14,231,973 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (177 | ) | $ | 32,525 | $ | (208,998 | ) | $ | (586,641 | ) | $ | 4,347 | $ | (758,944 | ) | |||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 57,791 | $ | 14,230 | $ | (328,689 | ) | $ | 2,414,607 | $ | 14,116,811 | $ | (1,910,589 | ) | $ | 14,364,161 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | (409,300 | ) | (409,300 | ) | ||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (10 | ) | (169 | ) | (85,384 | ) | 31,474 | 555,946 | (11,521 | ) | 490,336 | ||||||||||||||||||
Included in other comprehensive income | 11,631 | — | — | 54,484 | 105,622 | (42,918 | ) | 128,819 | |||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | — | — | (1,287 | ) | — | (26,326 | ) | — | (27,613 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 623,956 | 623,956 | ||||||||||||||||||||||
Balance, end of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (169 | ) | $ | (86,320 | ) | $ | 31,474 | $ | 555,946 | $ | (11,521 | ) | $ | 489,410 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 60,402 | $ | 14,557 | $ | (322,337 | ) | $ | 2,261,294 | $ | 15,359,073 | $ | (2,956,501 | ) | $ | 14,416,488 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | (409,300 | ) | (409,300 | ) | ||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (33 | ) | (496 | ) | (88,546 | ) | 328,768 | 956,402 | (138,914 | ) | 1,057,181 | ||||||||||||||||||
Included in other comprehensive income | 12,329 | — | — | (89,497 | ) | (849,833 | ) | 150,987 | (776,014 | ) | |||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (3,286 | ) | — | (4,477 | ) | — | (713,589 | ) | 4,864 | (716,488 | ) | ||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 1,598,492 | 1,598,492 | ||||||||||||||||||||||
Balance, end of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (496 | ) | $ | (92,002 | ) | $ | 328,768 | $ | 956,402 | $ | (138,914 | ) | $ | 1,053,758 | ||||||||||||
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. | |||||||||||||||||||||||||||||
Level-3 Investments by class | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | — | $ | 63,367 | $ | 3,556 | $ | — | $ | 66,923 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | — | 446 | (24 | ) | — | 422 | |||||||||||||||||||||||
Included in other comprehensive income | — | (343 | ) | 219 | — | (124 | ) | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | (869 | ) | — | — | (869 | ) | ||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | — | $ | 62,601 | $ | 3,751 | $ | — | $ | 66,352 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | — | $ | 64,073 | $ | 3,502 | $ | 208 | $ | 67,783 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | — | 889 | (48 | ) | — | 841 | |||||||||||||||||||||||
Included in other comprehensive income | — | (638 | ) | 297 | — | (341 | ) | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | (1,723 | ) | — | — | (1,723 | ) | ||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | (208 | ) | (208 | ) | |||||||||||||||||||||||
Balance, end of period | $ | — | $ | 62,601 | $ | 3,751 | $ | — | $ | 66,352 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 18 | 392 | (15 | ) | — | 395 | |||||||||||||||||||||||
Included in other comprehensive income | (11 | ) | 319 | (245 | ) | — | 63 | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | (541 | ) | (757 | ) | — | — | (1,298 | ) | |||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,415 | $ | 61,736 | $ | 3,421 | $ | — | $ | 68,572 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 3,905 | $ | 50,234 | $ | 3,652 | $ | — | $ | 57,791 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (3 | ) | — | (7 | ) | — | (10 | ) | |||||||||||||||||||||
Included in other comprehensive income | 47 | 11,548 | 36 | — | 11,631 | ||||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | — | — | — | — | ||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Predecessor Ambac - Period from January 1 through April 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 6,482 | $ | 50,264 | $ | 3,656 | $ | — | $ | 60,402 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (6 | ) | — | (27 | ) | — | (33 | ) | |||||||||||||||||||||
Included in other comprehensive income | 160 | 12,117 | 52 | — | 12,329 | ||||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | (2,687 | ) | (599 | ) | — | — | (3,286 | ) | |||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Level-3 Derivatives by class | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (114,767 | ) | $ | (87,715 | ) | $ | (202,482 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (24,740 | ) | (1,219 | ) | (25,959 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,497 | (717 | ) | 9,780 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (24,740 | ) | $ | (2,544 | ) | $ | (27,284 | ) | ||||||||||||||||||||
Successor Ambac - Period ended January 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (92,612 | ) | $ | (94,322 | ) | $ | (186,934 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (46,371 | ) | 6,163 | (40,208 | ) | ||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 9,973 | (1,492 | ) | 8,481 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (46,371 | ) | $ | 4,056 | $ | (42,315 | ) | |||||||||||||||||||||
Successor Ambac – Period from May 1 through June 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 18,907 | 51,220 | 70,127 | ||||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,644 | (6,074 | ) | 4,570 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (108,396 | ) | $ | (232,267 | ) | $ | (340,663 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | 18,907 | $ | 13,618 | $ | 32,525 | |||||||||||||||||||||||
Predecessor Ambac – Period from April 1 through April 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (125,382 | ) | $ | (203,307 | ) | $ | (328,689 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (12,213 | ) | (73,171 | ) | (85,384 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | (352 | ) | (935 | ) | (1,287 | ) | |||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (12,213 | ) | $ | (74,107 | ) | $ | (86,320 | ) | ||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (108,752 | ) | $ | (213,585 | ) | $ | (322,337 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (28,162 | ) | (60,384 | ) | (88,546 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | (1,033 | ) | (3,444 | ) | (4,477 | ) | |||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (28,162 | ) | $ | (63,840 | ) | $ | (92,002 | ) | ||||||||||||||||||||
Invested assets and VIE long-term debt are transferred into Level 3 when internal valuation models that include significant unobservable inputs are used to estimate fair value. All such securities that have internally modeled fair values have been classified as Level 3. Derivative instruments are transferred into Level 3 when the use of unobservable inputs becomes significant to the overall valuation. All transfers into and out of Level 3 represent transfers between Level 3 and Level 2. There were no transfers between Level 1 and Level 2 for the periods presented. All transfers between fair value hierarchy Levels 1, 2, and 3 are recognized at the beginning of each accounting period. | |||||||||||||||||||||||||||||
Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows: | |||||||||||||||||||||||||||||
Net | Realized | Unrealized | Derivative | (Loss) income on | Other | ||||||||||||||||||||||||
investment | gains or | gains or | products | variable | income | ||||||||||||||||||||||||
income | (losses) and | (losses) on | revenues | interest | or (loss) | ||||||||||||||||||||||||
other | credit | (interest rate | entities | ||||||||||||||||||||||||||
settlements | derivative | swaps) | |||||||||||||||||||||||||||
on credit | contracts | ||||||||||||||||||||||||||||
derivative | |||||||||||||||||||||||||||||
contracts | |||||||||||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 422 | $ | 717 | $ | (1,936 | ) | $ | (24,740 | ) | $ | 218,011 | $ | (340 | ) | ||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (2,544 | ) | (24,740 | ) | 218,011 | (340 | ) | ||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 841 | $ | 1,492 | $ | 4,671 | $ | (46,371 | ) | $ | 404,641 | $ | (602 | ) | |||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 4,056 | (46,371 | ) | 402,646 | (602 | ) | |||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from May 1 through June 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 395 | $ | 6,074 | $ | 45,146 | $ | 18,907 | $ | (791,292 | ) | $ | (177 | ) | |||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 13,618 | 18,907 | (791,292 | ) | (177 | ) | |||||||||||||||||||||
Predecessor Ambac: | |||||||||||||||||||||||||||||
Period from April 1 through April 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | (10 | ) | $ | 935 | $ | (74,106 | ) | $ | (12,213 | ) | $ | 575,899 | $ | (169 | ) | |||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (74,107 | ) | (12,213 | ) | 575,899 | (169 | ) | ||||||||||||||||||||
Predecessor Ambac: | |||||||||||||||||||||||||||||
Period from January 1 through April 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | (33 | ) | $ | 3,444 | $ | (63,828 | ) | $ | (28,162 | ) | $ | 1,146,256 | $ | (496 | ) | |||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (63,840 | ) | (28,162 | ) | 1,146,256 | (496 | ) | ||||||||||||||||||||
Investments
Investments | 6 Months Ended | |||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||
Investments | ' | |||||||||||||||||||||||
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. | ||||||||||||||||||||||||
The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at June 30, 2014 and December 31, 2013 were as follows: | ||||||||||||||||||||||||
Amortized | Gross | Gross | Estimated | Non-credit other- | ||||||||||||||||||||
Cost | Unrealized | Unrealized | Fair Value | than-temporary | ||||||||||||||||||||
Gains | Losses | Impairments (1) | ||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | 969,764 | $ | 19,268 | $ | 7,950 | $ | 981,082 | $ | — | ||||||||||||||
Corporate obligations | 1,879,233 | 20,139 | 7,538 | 1,891,834 | — | |||||||||||||||||||
Foreign obligations | 148,791 | 532 | 5,198 | 144,125 | — | |||||||||||||||||||
U.S. government obligations | 79,402 | 59 | 1,877 | 77,584 | — | |||||||||||||||||||
U.S. agency obligations | 30,210 | 22 | 41 | 30,191 | — | |||||||||||||||||||
Residential mortgage-backed securities | 1,686,675 | 174,110 | 7,376 | 1,853,409 | 1,931 | |||||||||||||||||||
Collateralized debt obligations | 144,386 | 319 | 329 | 144,376 | — | |||||||||||||||||||
Other asset-backed securities | 929,997 | 47,865 | 32 | 977,830 | — | |||||||||||||||||||
5,868,458 | 262,314 | 30,341 | 6,100,431 | 1,931 | ||||||||||||||||||||
Short-term | 344,187 | 1 | 1 | 344,187 | — | |||||||||||||||||||
6,212,645 | 262,315 | 30,342 | 6,444,618 | 1,931 | ||||||||||||||||||||
Fixed income securities pledged as collateral: | ||||||||||||||||||||||||
U.S. government obligations | 65,027 | 2 | — | 65,029 | — | |||||||||||||||||||
Total collateralized investments | 65,027 | 2 | — | 65,029 | — | |||||||||||||||||||
Total available-for-sale investments | $ | 6,277,672 | $ | 262,317 | $ | 30,342 | $ | 6,509,647 | $ | 1,931 | ||||||||||||||
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 | ||||||||||||||
-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 June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at June 30, 2014, by contractual maturity, were as follows: | ||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||
Due in one year or less | $ | 572,605 | $ | 572,407 | ||||||||||||||||||||
Due after one year through five years | 1,181,838 | 1,185,501 | ||||||||||||||||||||||
Due after five years through ten years | 1,322,550 | 1,327,073 | ||||||||||||||||||||||
Due after ten years | 439,621 | 449,051 | ||||||||||||||||||||||
3,516,614 | 3,534,032 | |||||||||||||||||||||||
Residential mortgage-backed securities | 1,686,675 | 1,853,409 | ||||||||||||||||||||||
Collateralized debt obligations | 144,386 | 144,376 | ||||||||||||||||||||||
Other asset-backed securities | 929,997 | 977,830 | ||||||||||||||||||||||
$ | 6,277,672 | $ | 6,509,647 | |||||||||||||||||||||
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 June 30, 2014 and December 31, 2013: | ||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair Value | Gross | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Loss | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | 49,581 | $ | 200 | $ | 205,645 | $ | 7,750 | $ | 255,226 | $ | 7,950 | ||||||||||||
Corporate obligations | 213,064 | 1,655 | 243,059 | 5,883 | 456,123 | 7,538 | ||||||||||||||||||
Foreign government obligations | 50,394 | 1,284 | 61,621 | 3,914 | 112,015 | 5,198 | ||||||||||||||||||
U.S. government obligations | 15,325 | 824 | 15,737 | 1,053 | 31,062 | 1,877 | ||||||||||||||||||
U.S. agency obligations | — | — | 4,460 | 41 | 4,460 | 41 | ||||||||||||||||||
Residential mortgage-backed securities | 167,511 | 7,186 | 10,130 | 190 | 177,641 | 7,376 | ||||||||||||||||||
Collateralized debt obligations | 10,055 | 329 | — | — | 10,055 | 329 | ||||||||||||||||||
Other asset-backed securities | 32,969 | 32 | — | — | 32,969 | 32 | ||||||||||||||||||
538,899 | 11,510 | 540,652 | 18,831 | 1,079,551 | 30,341 | |||||||||||||||||||
Short-term | 4,009 | 1 | — | — | 4,009 | 1 | ||||||||||||||||||
Total temporarily impaired securities | $ | 542,908 | $ | 11,511 | $ | 540,652 | $ | 18,831 | $ | 1,083,560 | $ | 30,342 | ||||||||||||
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, as of December 31, 2013 Successor Ambac did not have any gross unrealized losses that were in a continuous unrealized loss position for greater than 12 months. | |||||||||||||||||||||||
Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of June 30, 2014 and December 31, 2013 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, 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 June 30, 2014, 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 June 30, 2014, $279,145 of the total fair value and $9,109 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, 2013, $826,969 of the total fair value and $36,946 of the unrealized loss related to below investment grade securities and non-rated securities. With respect to Ambac-wrapped securities guaranteed under policies that have been allocated to the Segregated Account, 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. Ambac estimates the timing of such claim payment receipts but the actual timing of such amounts are at the sole discretion of the Rehabilitator. Refer to Note 1 to the Unaudited Consolidated Financial Statements in Part I, Item 1 of this Form 10-Q for information relating to the amended Segregated Account Rehabilitation Plan, increases to the percentage of permitted policy claims to be paid from 25% to 45%, and the making of certain payments on Deferred Amounts, together with interest thereon, as well as early redemptions of a portion of outstanding surplus notes (including accrued and unpaid interest thereon). Our evaluation of other-than-temporary impairments as of June 30, 2014, particularly with respect to Ambac's ability to hold securities that are in an unrealized loss position, considered the impact of increased cash outflow that would result in 2014 from the increased claim payment percentage, payment on Deferred Amounts and surplus note redemptions. Declines in the fair value of investment securities or changes in management's intent to sell securities to fund these increased cash payments could result in future recognition of other-than-temporary impairments. Additionally, 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-wrapped securities and future recognition of other-than-temporary impairments. | ||||||||||||||||||||||||
Municipal and corporate obligations | ||||||||||||||||||||||||
The gross unrealized losses on municipal and corporate obligations as of June 30, 2014 are primarily the result of the increase in interest rates since 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 $7,376 of unrealized losses on residential mortgage-backed securities, $5,521 is attributable to Ambac-wrapped securities. The unrealized loss on these securities is primarily the result of discount accretion, which has exceeded the increase in fair value since 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. 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 June 30, 2014 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 April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||
Gross realized gains on securities | $ | 10,120 | $ | 16,612 | $ | 5,870 | ||||||||||||||||||
Gross realized losses on securities | (2,742 | ) | (1,592 | ) | (2 | ) | ||||||||||||||||||
Foreign exchange losses | (4,311 | ) | 3,452 | 1,377 | ||||||||||||||||||||
Net realized gains | $ | 3,067 | $ | 18,472 | $ | 7,245 | ||||||||||||||||||
Net other-than-temporary impairments (1) | $ | (8,754 | ) | $ | (2,002 | ) | $ | (467 | ) | |||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||
Gross realized gains on securities | $ | 29,697 | $ | 16,612 | $ | 47,448 | ||||||||||||||||||
Gross realized losses on securities | (3,871 | ) | (1,592 | ) | (320 | ) | ||||||||||||||||||
Foreign exchange (losses) gains | (6,470 | ) | 3,452 | 6,177 | ||||||||||||||||||||
Net realized gains | $ | 19,356 | $ | 18,472 | $ | 53,305 | ||||||||||||||||||
Net other-than-temporary impairments (1) | $ | (19,146 | ) | $ | (2,002 | ) | $ | (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 three months ended March 31, 2013. 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-wrapped securities. Such changes in estimated claim payments on Ambac-wrapped 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 net other-than-temporary impairments relate to adverse changes in projected cash flows on certain Ambac-wrapped securities as well as the company’s intent to sell certain securities that were in an unrealized loss position as of June 30, 2014. Future changes in our estimated liquidity needs could result in a determination that Ambac no longer has the ability to hold additional securities, 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 June 30, 2014 and 2013 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: | ||||||||||||||||||||||||
Credit | ||||||||||||||||||||||||
Impairment | ||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Balance as of January 1, 2014 | $ | 1,182 | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 9,696 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | — | |||||||||||||||||||||||
Securities that no longer have a portion of other-than-temporary impairment in other comprehensive income because of Ambac's intent to sell such securities | — | |||||||||||||||||||||||
Balance as of June 30, 2014 | $ | 10,878 | ||||||||||||||||||||||
Predecessor Ambac: | ||||||||||||||||||||||||
Balance as of January 1, 2013 | $ | 183,300 | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 467 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | (183,767 | ) | ||||||||||||||||||||||
Balance as of April 30, 2013 | $ | — | ||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Balance as of May 1, 2013 | $ | — | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 2,002 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | — | |||||||||||||||||||||||
Balance as of June 30, 2013 | $ | 2,002 | ||||||||||||||||||||||
Counterparty Collateral, Deposits with Regulators and Other Restrictions: | ||||||||||||||||||||||||
Ambac routinely pledges and receives collateral related to certain business lines and/or transactions. The following is a description of those arrangements by collateral source: | ||||||||||||||||||||||||
-1 | Cash and securities held in Ambac’s investment portfolio—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”. | |||||||||||||||||||||||
-2 | Cash and securities pledged to Ambac under derivative agreements—Ambac may re-pledge securities it holds from certain derivative counterparties to other derivative counterparties in accordance with its rights and obligations under those agreements. | |||||||||||||||||||||||
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 June 30, 2014 and December 31, 2013: | ||||||||||||||||||||||||
Fair Value of | Fair Value of Cash | Fair Value of | ||||||||||||||||||||||
Cash and | and Securities | Cash and | ||||||||||||||||||||||
Underlying | Pledged to | Securities | ||||||||||||||||||||||
Securities | Investment Agreement | Pledged to | ||||||||||||||||||||||
Counterparties | Derivative | |||||||||||||||||||||||
Counterparties | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Sources of Collateral: | ||||||||||||||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 328,258 | $ | 168,171 | $ | 160,087 | ||||||||||||||||||
Cash and securities pledged from derivative counterparties | $ | — | $ | — | $ | — | ||||||||||||||||||
Successor Ambac - December 31, 2013 | ||||||||||||||||||||||||
Sources of Collateral: | ||||||||||||||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 500,986 | $ | 371,723 | $ | 129,263 | ||||||||||||||||||
Cash and securities pledged from derivative counterparties | $ | 690 | $ | — | $ | — | ||||||||||||||||||
Securities carried at $6,800 and $6,799 at June 30, 2014 and December 31, 2013, 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 $278,317 and $240,150 at June 30, 2014 and December 31, 2013, respectively, were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a re-securitization transaction. The securities may not be sold or repledged by the trust. These assets are held and the secured debt is issued by entities that qualify as VIEs and are consolidated in Ambac’s unaudited consolidated financial statements. Refer to Note 3, 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 June 30, 2014 and December 31, 2013, respectively: | ||||||||||||||||||||||||
Municipal | Corporate | Mortgage | Short-term | Total | Weighted | |||||||||||||||||||
obligations | obligations | and asset- | Average | |||||||||||||||||||||
backed | Underlying Rating (1) | |||||||||||||||||||||||
securities | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014: | ||||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 68,194 | $ | — | $ | 2,173,188 | $ | — | $ | 2,241,382 | CCC- | |||||||||||||
Assured Guaranty Municipal Corporation | 291,532 | 78,492 | — | — | 370,024 | A+ | ||||||||||||||||||
National Public Finance Guarantee Corporation | 255,505 | 37,801 | — | — | 293,306 | A+ | ||||||||||||||||||
MBIA Insurance Corporation | — | — | — | — | — | |||||||||||||||||||
Assured Guaranty Corporation | — | — | 2,686 | — | 2,686 | D | ||||||||||||||||||
Financial Guarantee Insurance Corporation | — | — | 2,334 | — | 2,334 | D | ||||||||||||||||||
Total | $ | 615,231 | $ | 116,293 | $ | 2,178,208 | $ | — | $ | 2,909,732 | B | |||||||||||||
Successor Ambac - December 31, 2013: | ||||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 64,596 | $ | — | $ | 1,747,283 | $ | — | $ | 1,811,879 | CCC+ | |||||||||||||
Assured Guaranty Municipal Corporation | 372,392 | 77,163 | — | — | 449,555 | A+ | ||||||||||||||||||
National Public Finance Guarantee Corporation | 532,752 | 37,642 | — | — | 570,394 | 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- | |||||||||||||
-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 $51,395 and $50,953 at June 30, 2014 and December 31, 2013, 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 April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||
Fixed income securities | $ | 78,554 | $ | 30,431 | $ | 31,766 | ||||||||||||||||||
Short-term investments | 865 | 162 | 82 | |||||||||||||||||||||
Loans | 175 | 84 | 38 | |||||||||||||||||||||
Investment expense | (2,712 | ) | (1,466 | ) | (572 | ) | ||||||||||||||||||
Securities available-for-sale and short-term | 76,882 | 29,211 | 31,314 | |||||||||||||||||||||
Other investments | 3,211 | (3,015 | ) | 912 | ||||||||||||||||||||
Total net investment income | $ | 80,093 | $ | 26,196 | $ | 32,226 | ||||||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||
Fixed income securities | $ | 149,539 | $ | 30,431 | $ | 118,097 | ||||||||||||||||||
Short-term investments | 1,168 | 162 | 677 | |||||||||||||||||||||
Loans | 292 | 84 | 146 | |||||||||||||||||||||
Investment expense | (5,310 | ) | (1,466 | ) | (2,549 | ) | ||||||||||||||||||
Securities available-for-sale and short-term | 145,689 | 29,211 | 116,371 | |||||||||||||||||||||
Other investments | 5,205 | (3,015 | ) | 369 | ||||||||||||||||||||
Total net investment income | $ | 150,894 | $ | 26,196 | $ | 116,740 | ||||||||||||||||||
Net investment income from Other investments represents changes in fair value on securities classified as trading or under the fair value option. Successor Ambac gains for the three and six months ended June 30, 2014 on securities still held at June 30, 2014 was $3,211 and $5,636, respectively. |
Derivative_Instruments
Derivative Instruments | 6 Months Ended | |||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||
Derivative Instruments | ' | |||||||||||||||||||
DERIVATIVE INSTRUMENTS | ||||||||||||||||||||
The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of June 30, 2014 and December 31, 2013. | ||||||||||||||||||||
Gross | Gross | Net | Gross | Net Amount | ||||||||||||||||
Amounts of | Amounts | Amounts of | Amount of | |||||||||||||||||
Recognized | Offset in the | Assets / | Collateral | |||||||||||||||||
Assets / | Consolidated | Liabilities | Received / | |||||||||||||||||
Liabilities | Balance | Presented in | Pledged Not | |||||||||||||||||
Sheet | the | Offset in the | ||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||
Balance | Balance Sheet | |||||||||||||||||||
Sheet | ||||||||||||||||||||
Successor Ambac—June 30, 2014: | ||||||||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Credit derivatives | $ | 319 | $ | — | $ | 319 | $ | — | $ | 319 | ||||||||||
Interest rate swaps | $ | 140,683 | $ | 51,322 | $ | 89,361 | $ | — | $ | 89,361 | ||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Total non-VIE derivative assets | $ | 141,002 | $ | 51,322 | $ | 89,680 | $ | — | $ | 89,680 | ||||||||||
Derivative Liabilities: | ||||||||||||||||||||
Credit derivatives | $ | 89,970 | $ | — | $ | 89,970 | $ | — | $ | 89,970 | ||||||||||
Interest rate swaps | 303,317 | 51,322 | 251,995 | 102,977 | 149,018 | |||||||||||||||
Futures contracts | 180 | — | 180 | 180 | — | |||||||||||||||
Other contracts | 128 | — | 128 | — | 128 | |||||||||||||||
Total non-VIE derivative liabilities | $ | 393,595 | $ | 51,322 | $ | 342,273 | $ | 103,157 | $ | 239,116 | ||||||||||
Variable Interest Entities | ||||||||||||||||||||
Interest rate swaps | $ | 1,840,399 | $ | — | $ | 1,840,399 | $ | — | $ | 1,840,399 | ||||||||||
Currency swaps | 87,061 | — | 87,061 | — | 87,061 | |||||||||||||||
Total VIE derivative liabilities | $ | 1,927,460 | $ | — | $ | 1,927,460 | $ | — | $ | 1,927,460 | ||||||||||
Gross | Gross | Net Amounts | Gross | Net Amount | ||||||||||||||||
Amounts of | Amounts | of Assets / | Amount of | |||||||||||||||||
Recognized | Offset in the | Liabilities | Collateral | |||||||||||||||||
Assets / | Consolidated | Presented in | Received / | |||||||||||||||||
Liabilities | Balance | the | Pledged Not | |||||||||||||||||
Sheet | Consolidated | Offset in the | ||||||||||||||||||
Balance | Consolidated | |||||||||||||||||||
Sheet | Balance Sheet | |||||||||||||||||||
Successor Ambac—December 31, 2013: | ||||||||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest rate swaps | $ | 132,250 | $ | 56,876 | $ | 75,374 | $ | — | $ | 75,374 | ||||||||||
Futures contracts | 2,337 | — | 2,337 | 690 | 1,647 | |||||||||||||||
Total non-VIE derivative assets | $ | 134,587 | $ | 56,876 | $ | 77,711 | $ | 690 | $ | 77,021 | ||||||||||
Derivative Liabilities: | ||||||||||||||||||||
Credit derivatives | $ | 94,322 | $ | — | $ | 94,322 | $ | — | $ | 94,322 | ||||||||||
Interest rate swaps | 216,287 | 56,876 | 159,411 | 42,555 | 116,856 | |||||||||||||||
Other contracts | 165 | — | 165 | — | 165 | |||||||||||||||
Total non-VIE derivative liabilities | $ | 310,774 | $ | 56,876 | $ | 253,898 | $ | 42,555 | $ | 211,343 | ||||||||||
Variable Interest Entities | ||||||||||||||||||||
Interest rate swaps | $ | 1,680,834 | $ | — | $ | 1,680,834 | $ | — | $ | 1,680,834 | ||||||||||
Currency swaps | 91,472 | — | 91,472 | — | 91,472 | |||||||||||||||
Total VIE derivative liabilities | $ | 1,772,306 | $ | — | $ | 1,772,306 | $ | — | $ | 1,772,306 | ||||||||||
Amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral are not offset against fair value amounts recognized for derivative instruments on the Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $95,058 and $3,040 as of June 30, 2014 and December 31, 2013, respectively. The amounts representing the obligation to return cash collateral recorded in “Other liabilities” were $0 and $690 as of June 30, 2014 and December 31, 2013. | ||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||
Location of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | |||||||||||||||||
Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | |||||||||||||||||
Statement of | Statement of | Statement of | Statement of | |||||||||||||||||
Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | |||||||||||||||||
– Period from April 1 through June 30, 2014 | – Period from May 1 through June 30, 2013 | – Period from April 1 through April 30, 2013 | ||||||||||||||||||
Financial Guarantee: | ||||||||||||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | (1,219 | ) | $ | 51,220 | $ | (73,171 | ) | |||||||||||
Financial Services derivatives products: | ||||||||||||||||||||
Interest rate swaps | Derivative products | (45,534 | ) | 74,169 | (29,600 | ) | ||||||||||||||
Futures contracts | Derivative products | (2,477 | ) | 9,831 | (3,588 | ) | ||||||||||||||
Other derivatives | Derivative products | 26 | (287 | ) | 22 | |||||||||||||||
Total Financial Services derivative products | (47,985 | ) | 83,713 | (33,166 | ) | |||||||||||||||
Variable Interest Entities: | ||||||||||||||||||||
Currency swaps | (Loss) income on variable interest entities | (997 | ) | (1,890 | ) | (4,820 | ) | |||||||||||||
Interest rate swaps | (Loss) income on variable interest entities | (81,773 | ) | 437,624 | (103,072 | ) | ||||||||||||||
Total Variable Interest Entities | (82,770 | ) | 435,734 | (107,892 | ) | |||||||||||||||
Total derivative contracts | $ | (131,974 | ) | $ | 570,667 | $ | (214,229 | ) | ||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||
Location of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | |||||||||||||||||
Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | |||||||||||||||||
Statement of | Statement of | Statement of | Statement of | |||||||||||||||||
Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | |||||||||||||||||
– Period from January 1 through June 30, 2014 | – Period from May 1 through June 30, 2013 | – Period from January 1 through April 30, 2013 | ||||||||||||||||||
Financial Guarantee: | ||||||||||||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | 6,163 | $ | 51,220 | $ | (60,384 | ) | ||||||||||||
Financial Services derivatives products: | ||||||||||||||||||||
Interest rate swaps | Derivative products | (97,394 | ) | 74,169 | (30,622 | ) | ||||||||||||||
Futures contracts | Derivative products | (4,469 | ) | 9,831 | (3,133 | ) | ||||||||||||||
Other derivatives | Derivative products | 37 | (287 | ) | 20 | |||||||||||||||
Total Financial Services derivative products | (101,826 | ) | 83,713 | (33,735 | ) | |||||||||||||||
Variable Interest Entities: | ||||||||||||||||||||
Currency swaps | (Loss) income on variable interest entities | 4,411 | (1,890 | ) | (116 | ) | ||||||||||||||
Interest rate swaps | (Loss) income on variable interest entities | (159,565 | ) | 437,624 | (203,620 | ) | ||||||||||||||
Total Variable Interest Entities | (155,154 | ) | 435,734 | (203,736 | ) | |||||||||||||||
Total derivative contracts | $ | (250,817 | ) | $ | 570,667 | $ | (297,855 | ) | ||||||||||||
Financial Guarantee Credit Derivatives: | ||||||||||||||||||||
Credit derivatives, which are privately negotiated contracts, provide the counterparty with credit protection against the occurrence of a specific event such as a payment default or bankruptcy relating to an underlying obligation. Upon a credit event, Ambac is generally required to make payments equal to the difference between the scheduled debt service payment and the actual payment made by the issuer. Substantially all of Ambac’s credit derivative contracts relate to structured finance transactions. Credit derivatives issued are insured by Ambac Assurance. None of our outstanding credit derivative transactions at June 30, 2014 include ratings based collateral-posting triggers or otherwise require Ambac to post collateral regardless of Ambac’s ratings or the size of the mark to market exposure to Ambac. | ||||||||||||||||||||
The majority of our credit derivatives were written on a “pay-as-you-go” basis. Similar to an insurance policy execution, pay-as-you-go provides that Ambac pays interest shortfalls on the referenced transaction as they are incurred on each scheduled payment date, but only pays principal shortfalls upon the earlier of (i) the date on which the assets designated to fund the referenced obligation have been disposed of and (ii) the legal final maturity date of the referenced obligation. The last transaction that was not “pay-as-you-go” terminated in July 2013. | ||||||||||||||||||||
Ambac maintains internal credit ratings on its guaranteed obligations, including credit derivative contracts, solely to indicate management’s view of the underlying credit quality of the guaranteed obligations. Independent rating agencies may have assigned different ratings on the credits in Ambac’s portfolio than Ambac’s internal ratings. The following tables summarize the gross principal notional outstanding for CDS contracts, by Ambac rating, for each major category as of June 30, 2014 and December 31, 2013: | ||||||||||||||||||||
Successor Ambac—June 30, 2014 | ||||||||||||||||||||
Ambac Rating | CLO | Other | Total | |||||||||||||||||
AAA | $ | — | $ | — | $ | — | ||||||||||||||
AA | 841,744 | 207,872 | 1,049,616 | |||||||||||||||||
A | — | 43,160 | 43,160 | |||||||||||||||||
BBB (1) | — | 827,450 | 827,450 | |||||||||||||||||
Below investment grade (2) | — | 282,534 | 282,534 | |||||||||||||||||
$ | 841,744 | $ | 1,361,016 | $ | 2,202,760 | |||||||||||||||
Successor Ambac—December 31, 2013 | ||||||||||||||||||||
Ambac Rating | CLO | Other | Total | |||||||||||||||||
AAA | $ | — | $ | 24,034 | $ | 24,034 | ||||||||||||||
AA | 1,209,071 | 203,025 | 1,412,096 | |||||||||||||||||
A | 128,666 | 107,251 | 235,917 | |||||||||||||||||
BBB (1) | — | 826,175 | 826,175 | |||||||||||||||||
Below investment grade (2) | — | 277,881 | 277,881 | |||||||||||||||||
$ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 | |||||||||||||||
-1 | BBB internal rating reflects bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles. | |||||||||||||||||||
-2 | Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions. | |||||||||||||||||||
The tables below summarize information by major category as of June 30, 2014 and December 31, 2013: | ||||||||||||||||||||
Successor Ambac—June 30, 2014 | ||||||||||||||||||||
CLO | Other | Total | ||||||||||||||||||
Number of CDS transactions | 7 | 12 | 19 | |||||||||||||||||
Remaining expected weighted-average life of obligations (in years) | 1.9 | 4.9 | 3.7 | |||||||||||||||||
Gross principal notional outstanding | $ | 841,744 | $ | 1,361,016 | $ | 2,202,760 | ||||||||||||||
Net derivative liabilities at fair value | $ | 3,811 | $ | 85,840 | $ | 89,651 | ||||||||||||||
Successor Ambac—December 31, 2013 | ||||||||||||||||||||
CLO | Other | Total | ||||||||||||||||||
Number of CDS transactions | 7 | 13 | 20 | |||||||||||||||||
Remaining expected weighted-average life of obligations (in years) | 2.1 | 5 | 3.6 | |||||||||||||||||
Gross principal notional outstanding | $ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 | ||||||||||||||
Net derivative liabilities at fair value | $ | 7,993 | $ | 86,329 | $ | 94,322 | ||||||||||||||
The maximum potential amount of future payments under Ambac’s credit derivative contracts written on a “pay-as-you-go” basis is generally the gross principal notional outstanding amount included in the above table plus future interest payments payable by the derivative reference obligations. Since Ambac’s credit derivatives typically reference obligations of or assets held by special purpose entities that meet the definition of a VIE, the amount of maximum potential future payments for credit derivatives is included in the table in Note 3, Special Purpose Entities, Including Variable Interest Entities. | ||||||||||||||||||||
Changes in fair value of Ambac’s credit derivative contracts are accounted for at fair value since they do not qualify for the financial guarantee scope exception under the Derivatives and Hedging Topic of the ASC. Changes in fair value are recorded in “Net change in fair value of credit derivatives” on the Consolidated Statements of Total Comprehensive Income. Although CDS contracts are accounted for at fair value, they are surveilled similar to non-derivative financial guarantee contracts. As with financial guarantee insurance policies, Ambac’s surveillance group tracks credit migration of CDS contracts’ reference obligations from period to period. | ||||||||||||||||||||
Adversely classified credits are assigned risk classifications by the surveillance group. As of June 30, 2014, there are four CDS contracts on Ambac’s adversely classified credit listing, with a net derivative liability fair value of $64,701 and gross notional principal outstanding of $282,534. As of December 31, 2013, there were four CDS contracts on Ambac’s adversely classified credit listing, with a net derivative liability fair value of $62,296 and total notional principal outstanding of $277,881. | ||||||||||||||||||||
Financial Services Derivative Products: | ||||||||||||||||||||
Ambac, through its subsidiary Ambac Financial Services (“AFS”), provides interest rate and currency swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. AFS manages its interest rate swaps business with the goal of retaining some basis risk and excess interest rate sensitivity as an economic hedge against the effects of rising interest rates elsewhere in the Company, including on Ambac’s financial guarantee exposures. As of June 30, 2014 and December 31, 2013 the notional amounts of AFS’s trading derivative products are as follows: | ||||||||||||||||||||
Notional | ||||||||||||||||||||
Type of derivative | June 30, 2014 | December 31, 2013 | ||||||||||||||||||
Interest rate swaps—receive-fixed/pay-variable | $ | 688,900 | $ | 697,837 | ||||||||||||||||
Interest rate swaps—pay-fixed/receive-variable | 1,504,626 | 1,540,976 | ||||||||||||||||||
Interest rate swaps—basis swaps | 71,705 | 146,705 | ||||||||||||||||||
Futures contracts | 100,000 | 100,000 | ||||||||||||||||||
Other contracts | 75,650 | 75,650 | ||||||||||||||||||
Derivatives of Consolidated Variable Interest Entities | ||||||||||||||||||||
Certain VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts to meet specified purposes within the securitization structure. The notional for VIE derivatives outstanding as of June 30, 2014 and December 31, 2013 are as follows: | ||||||||||||||||||||
Notional | ||||||||||||||||||||
Type of VIE derivative | June 30, 2014 | December 31, 2013 | ||||||||||||||||||
Interest rate swaps—receive-fixed/pay-variable | $ | 1,877,383 | $ | 1,818,118 | ||||||||||||||||
Interest rate swaps—pay-fixed/receive-variable | 3,459,937 | 3,350,714 | ||||||||||||||||||
Currency swaps | 795,429 | 770,319 | ||||||||||||||||||
Credit derivatives | 20,063 | 20,130 | ||||||||||||||||||
Contingent Features in Derivatives Related to Ambac Credit Risk | ||||||||||||||||||||
Ambac’s interest rate swaps with professional swap-dealer counterparties and certain front-end counterparties are generally executed under standardized derivative documents including collateral support and master netting agreements. Under these agreements, Ambac is required to post collateral in the event net unrealized losses exceed predetermined threshold levels. Additionally, given that Ambac Assurance is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions. | ||||||||||||||||||||
As of June 30, 2014 and December 31, 2013, the net liability fair value of all derivative instruments with contingent features linked to Ambac’s own credit risk was $66,214 and $42,555, respectively, related to which Ambac had posted assets as collateral with a fair value of $91,761 and $126,223, respectively. All such ratings-based contingent features have been triggered as requiring maximum collateral levels to be posted by Ambac while preserving counterparties’ rights to terminate the contracts. Assuming all contracts terminated on June 30, 2014, settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac’s financial statements. |
LongTerm_Incentive_Compensatio
Long-Term Incentive Compensation | 6 Months Ended |
Jun. 30, 2014 | |
Long-Term Incentive Compensation [Abstract] | ' |
Long-Term Incentive Compensation | ' |
10. LONG-TERM INCENTIVE COMPENSATION | |
Employees, directors and consultants of Ambac may be eligible to participate in Ambac’s 2013 Incentive Compensation Plan (“2013 Plan”) subject to the discretion of the compensation committee of Ambac’s Board of Directors. The 2013 Plan provides for incentives and rewards that are valued or determined by reference to Ambac common stock as traded on the NASDAQ exchange. There are 4,000,000 shares of Ambac’s common stock authorized for awards under the 2013 Plan of which 3,649,958 shares are available for future grant as of June 30, 2014. | |
In May 2014, Ambac developed a long term incentive compensation plan (“LTIP”) as a sub-plan of the 2013 Plan. The LTIP, approved by the Compensation Committee of the Board of Directors, is a significant component of management’s compensation program that is intended to strike an appropriate balance between short-term compensation and longer-term incentives aimed at fostering retention and aligning management's interest with those of Ambac's stakeholders. Awards granted under the LTIP are designed to further the financial and operational objectives of both Ambac and Ambac Assurance. The LTIP is intended to be an annual program. | |
In May 2014, performance awards were granted under the LTIP to certain members of management. These grants vest in 3 years and are evenly split between restricted stock units (RSUs) and cash. Actual awards will be based on performance at both Ambac and Ambac Assurance, but generally no awards will be granted unless a minimum performance threshold is met by Ambac Assurance. Actual awards can payout 0% to 200% of the initial target grant amount of $2,920, inclusive of 49,041 performance based RSUs. Ambac performance will be evaluated relative to cumulative earnings before interest, taxes, depreciation and amortization over the vesting period (exclusive of Ambac Assurance earnings), which is intended to reward participants on generating taxable income from new business development. Over the same period, Ambac Assurance performance will be evaluated according to changes in a ratio of Ambac Assurance's assets to its insurance and financial obligations, which is intended to reward participants for increases in the relative value of Ambac Assurance. |
Income_Taxes
Income Taxes | 6 Months Ended | |||||||
Jun. 30, 2014 | ||||||||
Income Tax Disclosure [Abstract] | ' | |||||||
Income Taxes | ' | |||||||
INCOME TAXES | ||||||||
Ambac files a consolidated Federal income tax return with its subsidiaries. Ambac and its subsidiaries also file separate or combined income tax returns in various states, local and foreign jurisdictions. The following are the major jurisdictions in which Ambac and its affiliates operate and the earliest tax years subject to examination: | ||||||||
Jurisdiction | Tax Year | |||||||
United States | 2010 | |||||||
New York State | 2010 | |||||||
New York City | 2011 | |||||||
United Kingdom | 2009 | |||||||
Italy | 2009 | |||||||
As of June 30, 2014 Ambac had loss carryforwards totaling $6,194,192. This includes carryforwards of $542,707 relating to U.S. capital losses, $266,502 of Ambac UK loss carryforwards, and an ordinary U. S. federal net operating tax carryforward of approximately $5,384,983, which, if not utilized, will begin expiring in 2029, and will fully expire in 2034. | ||||||||
The tax effects of temporary differences that give rise to significant portions of the deferred tax liabilities and deferred tax assets at June 30, 2014 and December 31, 2013 are presented below: | ||||||||
30-Jun-14 | 31-Dec-13 | |||||||
Deferred tax liabilities: | ||||||||
Insurance intangible | $ | 542,284 | $ | 559,288 | ||||
Variable interest entities | 107,537 | 131,137 | ||||||
Investments | 243,489 | 168,653 | ||||||
Unearned premiums and credit fees | 41,149 | 38,826 | ||||||
Other | 2,336 | 2,221 | ||||||
Total deferred tax liabilities | 936,795 | 900,125 | ||||||
Deferred tax assets: | ||||||||
Unrealized losses & impairments on investments | — | — | ||||||
Net operating loss and capital carryforward | 2,167,967 | 2,177,029 | ||||||
Loss reserves | 570,006 | 634,692 | ||||||
Compensation | 9,187 | 8,724 | ||||||
AMT Credits | 4,269 | 4,269 | ||||||
Other | 57,749 | 58,581 | ||||||
Sub-total deferred tax assets | 2,809,178 | 2,883,295 | ||||||
Valuation allowance | 1,874,697 | 1,985,369 | ||||||
Total deferred tax assets | 934,481 | 897,926 | ||||||
Net deferred tax liability | $ | (2,314 | ) | $ | (2,199 | ) | ||
In accordance with the Income Tax Topic of the ASC, a valuation allowance is recognized if, based on the weight of available evidence, it is more-likely-than-not that some, or all, of the deferred tax asset will not be realized. Recent cumulative losses are a significant piece of negative evidence in assessing whether a valuation allowance is required. As a result of Ambac’s history of operating losses as well as the risks and uncertainties associated with future operating results, management believes it is more likely than not that the Company will not generate sufficient taxable income to recover the deferred tax operating asset and therefore has a full valuation allowance. |
Commitments_and_Contingencies
Commitments and Contingencies | 6 Months Ended | |
Jun. 30, 2014 | ||
Commitments and Contingencies Disclosure [Abstract] | ' | |
Commitments and Contingencies | ' | |
COMMITMENTS AND CONTINGENCIES | ||
The following commitments and contingencies provide an update of those discussed in “Note 18: Commitments and Contingencies” in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2013, and should be read in conjunction with the complete descriptions provided in the aforementioned Form 10-K. | ||
The Segregated Account and Wisconsin Rehabilitation Proceeding | ||
Various third parties filed motions or objections in the Rehabilitation Court and/or moved to intervene in the Segregated Account Rehabilitation Proceeding. On January 24, 2011, the Rehabilitation Court issued its Decision and Final Order Confirming the Rehabilitator’s Plan of Rehabilitation, with Findings of Fact and Conclusions of Law (the “Confirmation Order”). Notices of appeal from the Confirmation Order were filed by various parties, including policyholders. On October 24, 2013, the Wisconsin Court of Appeals affirmed the Confirmation Order and the Rehabilitation Court’s rejection of the objections filed by various third parties before entry of the Confirmation Order. On November 22, 2013, petitions seeking discretionary review of this ruling by the Wisconsin Supreme Court were filed by (1) Wells Fargo Bank, National Association, as trustee for certain insured bonds issued by the Las Vegas Monorail Co., and four Eaton Vance entities claiming to own some number of these bonds; and (2) Deutsche Bank National Trust Company, Deutsche Bank Trust Company Americas, and U.S. Bank National Association, all as trustees for certain insured bonds or obligations. Additionally, on December 6, 2013, the Customer Asset Protection Company (“CAPCO”) filed a Response to these two petitions for review in which CAPCO took no position on whether the Wisconsin Supreme Court should grant the petitions, but asked the court to allow further consideration of Wis. Stat. § 645.68 if it does grant the petitions for review. The Rehabilitator responded by opposing further review by the Wisconsin Supreme Court. On March 17, 2014, the Supreme Court of Wisconsin denied the petitions for review making the decision by the Wisconsin Court of Appeals final and controlling law. | ||
On February 13, 2014, the Rehabilitation Court approved a motion seeking approval for the Rehabilitator and the Segregated Account to disburse settlement proceeds from RMBS remediation claims as permitted policy claim payments, with such distributions to include (i) paying claims payments in excess of the then applicable claims cash payment percentage, and/or (ii) paying all or portions of unpaid permitted policy claims (such policy claim payments, “Special Policy Payments”). | ||
On April 21, 2014, the Rehabilitator filed a motion with the Rehabilitation Court seeking approval to amend the Segregated Account Rehabilitation Plan (the “Amendment Motion”). On May 20, 2014, the Rehabilitator filed a supplement to his Amendment Motion, further supplementing and amending his amendments to the Segregated Account Rehabilitation Plan. The Rehabilitation Court heard and granted the Amendment Motion on June 11, 2014. The amendments modify the treatment of claims under the Segregated Account Rehabilitation Plan, as more fully described in Note 1. Moreover, the Rehabilitator will increase the percentage of the initial cash Interim Payment for permitted policy claims, pay certain Deferred Amounts, together with interest thereon, and make corresponding payments on surplus notes (other than junior surplus notes), as more fully described in Note 1. | ||
On June 9, 2014, the Rehabilitator filed in the Rehabilitation Court a motion to confirm and declare the reimbursement amounts due with respect to cash claim payments made by Ambac Assurance and the Segregated Account on two policies. Certain investors filed objections to the motion on July 2, 2014. On July 7, 2014, after a hearing on the motion, the Rehabilitation Court granted the Rehabilitator’s motion. | ||
Litigation Against Ambac | ||
County of Alameda et al. v. Ambac Assurance Corporation et al. (Superior Court of the State of California, County of San Francisco, second amended complaint filed on or about August 23, 2011); Contra Costa County et al. v. Ambac Assurance Corporation et al. (Superior Court of the State of California, County of San Francisco, third amended complaint filed on or about October 21, 2011); The Olympic Club v. Ambac Assurance Corporation et al. (Superior Court of the State of California, County of San Francisco, fourth amended complaint filed on or about October 21, 2011). Ambac Assurance and the other Bond Insurer Defendants filed a demurrer seeking dismissal of the current amended complaints on September 21, 2011, which was denied on October 20, 2011. On December 2, 2011, Ambac Assurance and the other Bond Insurer Defendants filed a special motion to strike the current amended complaints under California’s Anti-SLAPP statute (Calif. Code of Civ. Proc. Section 425.16). On May 1, 2012, the Court ruled that the complaints were governed by the Anti-SLAPP statute to the extent they alleged conspiracy to influence the rating agencies’ rating methodologies, but not to the extent that the complaints alleged false or misleading statements or nondisclosures. After oral argument on March 21, 2013, the court dismissed claims related to the conspiracy branch of the complaint under the California Antitrust Law (the Cartwright Act) and after oral argument on April 22, 2013 denied defendants’ motion to dismiss claims under the California Unfair Competition Law. The court entered an order to this effect on July 9, 2013. On September 9, 2013, plaintiffs filed a notice of appeal of the July 9th Order and on September 30, 2013, Ambac Assurance filed a notice of cross-appeal. On September 9, 2013, the parties filed motions for attorneys’ fees in connection with the portions of the Anti-SLAPP motions on which they were successful. The court denied plaintiffs’ motion for fees from the bench on November 8, 2013. On March 26, 2014, the court granted the defendants’ motions for attorneys’ fees awarding Ambac Assurance approximately $207. On July 7, 2014, plaintiffs filed a notice of appeal from the court’s decision awarding attorneys’ fees to Ambac Assurance and the other defendants. Also on July 7, 2014, the Bond Insurer Defendants filed their appellate brief appealing the July 9th Order. Plaintiffs’ opposition to the Bond Insurer Defendants’ appellate brief and plaintiffs’ affirmative brief on their cross-motion are due in October 2014. | ||
Broadbill Partners LP et al. v. Ambac Assurance Corporation (Supreme Court of the State of New York, County of New York, filed November 8, 2012). Ambac Assurance filed a motion to dismiss on January 15, 2013, which the plaintiffs opposed. The Court held oral argument on September 11, 2013. On March 12, 2014, the court granted Ambac Assurance’s motion dismissing the plaintiffs’ claims in their entirety. Plaintiffs filed a notice of appeal on March 31, 2014. | ||
Ambac Assurance’s estimates of projected losses for RMBS transactions consider, among other things, the RMBS transactions’ payment waterfall structure, including the application of interest and principal payments and recoveries, and depend in part on our interpretations of contracts and other bases of our legal rights. From time to time, bond trustees and other transaction participants have employed different contractual interpretations. Ambac Assurance has been made aware that a transaction participant has directed a bond trustee to employ a different waterfall interpretation in a RMBS transaction, which may lead to the commencement of legal action. It is not possible to predict whether additional disputes will arise, nor the outcomes of any potential litigation. It is possible that there could be unfavorable outcomes in this or other disputes or proceedings and that our interpretations may prove to be incorrect, which could lead to changes to our estimate of loss reserves. | ||
It is not reasonably possible to predict whether additional suits will be filed or whether additional inquiries or requests for information will be made, and it is also not possible to predict the outcome of litigation, inquiries or requests for information. It is possible that there could be unfavorable outcomes in these or other proceedings. Legal accruals for certain litigation against Ambac which are probable and reasonably estimable, and management’s estimated range of loss for such matters, are not material to the operating results or financial position of the Company. For the remaining litigation matters Ambac is defending that do not meet the “probable and reasonably estimable” accrual threshold and where no loss estimates have been provided above, management is unable to make a meaningful estimate of the amount or range of loss that could result from unfavorable outcomes but, under some circumstances, adverse results in any such proceedings could be material to our business, operations, financial position, profitability or cash flows. The Company believes that it has substantial defenses to the claims above and, to the extent that these actions proceed, the Company intends to defend itself vigorously; however, the Company is not able to predict the outcomes of these actions. | ||
Litigation Filed by Ambac | ||
In the ordinary course of their businesses, certain of Ambac’s subsidiaries assert claims in legal proceedings against third parties to recover losses already paid and/or mitigate future losses. The amounts recovered and/or losses avoided which may result from these proceedings is uncertain, although recoveries and/or losses avoided in any one or more of these proceedings during any quarter or fiscal year could be material to Ambac’s results of operations in that quarter or fiscal year. | ||
Ambac Assurance Corporation v. Adelanto Public Utility Authority (United States District Court, Southern District of New York, filed on June 1, 2009). On January 11, 2013 the court granted Ambac Assurance’s motion for summary judgment on all claims except Ambac Assurance’s claim for specific performance (as to which no summary judgment motion was made) and denied defendant’s motion for summary judgment. Following a hearing on August 23, 2013, the court issued an order on August 29, 2013, awarding Ambac interest on the termination payment as well as legal fees and expenses as of March 31, 2013. In order to expedite the disposition of any appeals, Ambac Assurance filed a motion for the entry of final judgment for the claims upon which summary judgment was awarded and the defendant moved for the entry of final judgment on the dismissal in 2011 of all its counterclaims against Ambac Assurance. On March 6, 2014, the court granted both motions and entered final judgment on March 8, 2014 on the dismissal of defendant’s counterclaims and on the claims for which Ambac Assurance was granted summary judgment awarding Ambac Assurance approximately $7,760 as of March 11, 2014. Defendant filed a notice of appeal to the United States Court of Appeals for the Second Circuit on April 9, 2014. On June 26, 2014, the District Court granted Ambac Assurance’s motion for permission to register the judgment in its favor with the U.S. District Court for the Central District of California notwithstanding the pendency of Defendant’s Second Circuit appeal and denied Defendant’s cross-motion for a stay of enforcement pending appeal with a partial supersedeas bond, and the judgment has been transmitted for registration. | ||
Ambac Assurance Corporation v. City of Detroit, Michigan, Kevyn D. Orr, John Naglick, Michael Jamison and Cheryl Johnson (United States Bankruptcy Court, Eastern District of Michigan Southern Division, filed on November 8, 2013). In July, 2014, the parties finalized settlement agreements pursuant to which, among other things, the litigation will be stayed pending the issuance of either an approval order concerning the settlement agreements or a confirmation order concerning the City of Detroit’s plan of adjustment and the occurrence of the effective date in the City’s bankruptcy proceedings. Following such occurrence, the City and Ambac Assurance are required to seek dismissal of the litigation without prejudice, until the approval order or confirmation order, as applicable, becomes final, whereupon such dismissal shall be deemed to be with prejudice. | ||
In connection with Ambac Assurance’s efforts to seek redress for breaches of representations and warranties and fraud related to the information provided by both the underwriters and the sponsors of various transactions and for failure to comply with the obligation by the sponsors to repurchase ineligible loans, Ambac Assurance has filed various lawsuits, which are listed and described in the Company’s Annual Report on Form 10-K for the year ended December 31, 2013, as supplemented and updated below: | ||
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. EMC Mortgage LLC (formerly known as EMC Mortgage Corporation), J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc.), and JP Morgan Chase Bank, N.A. (Supreme Court of the State of New York, County of New York, filed March 30, 2012 and amended on August 14, 2012). On June 13, 2013, the court dismissed Ambac Assurance’s contractual claims but not its claims for fraudulent inducement or successor liability. On March 17, 2014 Ambac Assurance filed its appeal brief. The appeal is fully briefed and the appellate court heard oral argument on May 14, 2014. The appellate court has not yet ruled on the appeal. Discovery is ongoing. | |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. First Franklin Financial Corporation, Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch Mortgage Investors, Inc. (Supreme Court of the State of New York, County of New York, filed April 16, 2012). Defendants filed a motion to dismiss on July 13, 2012, which Ambac opposed on September 21, 2012. Oral argument was held on May 6, 2013. On July 18, 2013 the court dismissed Ambac Assurance’s claims for indemnification and limited Ambac Assurance’s claim for breach of loan-level warranties to the repurchase protocol, but did not dismiss Ambac Assurance’s other contractual claims or fraudulent inducement claim. On August 21, 2013, defendants filed a notice of appeal, and on August 30, 2013, Ambac Assurance filed a notice of cross-appeal. On April 22, 2014, the parties filed a stipulation withdrawing defendants’ appeal and Ambac Assurance’s cross-appeal of the court’s July 18, 2013 decision. Discovery is ongoing. No trial date has been set. | |
• | Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Capital One, N.A., as successor by merger to Chevy Chase Bank, F.S.B. (United States District Court for the Southern District of New York, filed on October 24, 2012). Defendants filed a motion to dismiss on February 6, 2013, which Ambac Assurance opposed. The court held oral argument on March 7, 2013 and on March 27, 2014, the court ordered the motion withdrawn. Defendant filed its answer on April 11, 2014. On June 16, 2014, the court entered an order discontinuing the litigation with prejudice pursuant to stipulation signed by the parties. |
Segment_Information
Segment Information | 6 Months Ended | |||||||||||||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | ' | |||||||||||||||||||||||||||||||||||||
Segment Information | ' | |||||||||||||||||||||||||||||||||||||
SEGMENT INFORMATION | ||||||||||||||||||||||||||||||||||||||
Ambac has two reportable segments, as follows: (i) Financial Guarantee, which provides financial guarantees (including credit derivatives) for public finance, structured finance and other obligations; and (ii) Financial Services, which provides investment agreements, funding conduits, interest rate and currency swaps, principally to clients of the financial guarantee business. Ambac’s reportable segments were strategic business units that offer different products and services. They are managed separately because each business required different marketing strategies, personnel skill sets and technology. | ||||||||||||||||||||||||||||||||||||||
Ambac Assurance guarantees the swap and investment agreement obligations of its Financial Services affiliates. Additionally, Ambac Assurance provides loans to the Financial Services businesses. Inter-segment revenues include the premiums and investment income earned under those agreements. Such premiums are determined as if they were premiums paid by third parties, that is, at current market prices. | ||||||||||||||||||||||||||||||||||||||
Information provided below for “Corporate and Other” primarily relates to (i) amounts received by Ambac under the Mediation Agreement dated September 21, 2011 (as more fully described in Note 1 to the Consolidated Financial Statements in Part II, Item 8 of Ambac’s 2013 Form 10-K); and (ii) other corporate activities, including interest income on the investment portfolio, including accrual of interest on the junior surplus notes issued by the Segregated Account. Corporate and Other intersegment revenue relates to receipts under the Mediation Agreement. The following table is a summary of financial information by reportable segment for the affected periods: | ||||||||||||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 104,703 | $ | (47,411 | ) | $ | 41 | $ | — | $ | 57,333 | |||||||||||||||||||||||||||
Inter-segment | 325 | (607 | ) | 8,836 | (8,554 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 105,028 | $ | (48,018 | ) | $ | 8,877 | $ | (8,554 | ) | $ | 57,333 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) (3) | $ | (160,685 | ) | $ | (48,454 | ) | $ | (1,273 | ) | $ | — | $ | (210,412 | ) | ||||||||||||||||||||||||
Inter-segment | (9,397 | ) | (415 | ) | 9,812 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | (170,082 | ) | $ | (48,869 | ) | $ | 8,539 | $ | — | $ | (210,412 | ) | |||||||||||||||||||||||||
Total assets as of June 30, 2014 | $ | 27,319,461 | $ | 365,874 | $ | 38,018 | $ | — | $ | 27,723,353 | ||||||||||||||||||||||||||||
Net investment income | $ | 79,633 | $ | 419 | $ | 41 | $ | — | $ | 80,093 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 36,256 | $ | — | $ | — | $ | — | $ | 36,256 | ||||||||||||||||||||||||||||
Interest expense | $ | 31,514 | $ | 439 | $ | — | $ | — | $ | 31,953 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 186 | $ | — | $ | 186 | ||||||||||||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 159,905 | $ | 82,490 | $ | 20 | $ | — | $ | 242,415 | ||||||||||||||||||||||||||||
Inter-segment | 399 | (374 | ) | 5,425 | (5,450 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 160,304 | $ | 82,116 | $ | 5,445 | $ | (5,450 | ) | $ | 242,415 | |||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 124,890 | $ | 81,692 | $ | (787 | ) | $ | — | $ | 205,795 | |||||||||||||||||||||||||||
Inter-segment | (5,497 | ) | (523 | ) | 6,020 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 119,393 | $ | 81,169 | $ | 5,233 | $ | — | $ | 205,795 | ||||||||||||||||||||||||||||
Total assets as of June 30, 2013 | $ | 26,934,044 | $ | 486,346 | $ | 54,977 | $ | — | $ | 27,475,367 | ||||||||||||||||||||||||||||
Net investment income | $ | 26,015 | $ | 158 | $ | 23 | $ | — | $ | 26,196 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 24,952 | $ | — | $ | — | $ | — | $ | 24,952 | ||||||||||||||||||||||||||||
Interest expense | $ | 20,776 | $ | 368 | $ | — | $ | — | $ | 21,144 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 424 | $ | — | $ | 424 | ||||||||||||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 382,772 | $ | (33,266 | ) | $ | 10 | $ | — | $ | 349,516 | |||||||||||||||||||||||||||
Inter-segment | 214 | (198 | ) | 197,055 | (197,071 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 382,986 | $ | (33,464 | ) | $ | 197,065 | $ | (197,071 | ) | $ | 349,516 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 1,583,465 | $ | (35,614 | ) | $ | 1,517,273 | $ | — | $ | 3,065,124 | |||||||||||||||||||||||||||
Inter-segment | (197,115 | ) | (252 | ) | 197,367 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 1,386,350 | $ | (35,866 | ) | $ | 1,714,640 | $ | — | $ | 3,065,124 | |||||||||||||||||||||||||||
Total assets as of April 30, 2013 | $ | 28,287,321 | $ | 536,711 | $ | 29,403 | $ | — | $ | 28,853,435 | ||||||||||||||||||||||||||||
Net investment income | $ | 31,855 | $ | 361 | $ | 10 | $ | — | $ | 32,226 | ||||||||||||||||||||||||||||
Interest expense | $ | 7,542 | $ | 318 | $ | — | $ | — | $ | 7,860 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | (1,231,550 | ) | $ | 1,505 | $ | (1,517,194 | ) | $ | — | $ | (2,747,239 | ) | |||||||||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 267,256 | $ | (100,849 | ) | $ | 64 | $ | — | $ | 166,471 | |||||||||||||||||||||||||||
Inter-segment | 700 | (682 | ) | 17,471 | (17,489 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 267,956 | $ | (101,531 | ) | $ | 17,535 | $ | (17,489 | ) | $ | 166,471 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 55,576 | $ | (102,983 | ) | $ | (3,707 | ) | $ | — | $ | (51,114 | ) | |||||||||||||||||||||||||
Inter-segment | (18,554 | ) | (869 | ) | 19,423 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 37,022 | $ | (103,852 | ) | $ | 15,716 | $ | — | $ | (51,114 | ) | ||||||||||||||||||||||||||
Total assets as of June 30, 2014 | $ | 27,319,461 | $ | 365,874 | $ | 38,018 | $ | — | $ | 27,723,353 | ||||||||||||||||||||||||||||
Net investment income | $ | 150,017 | $ | 813 | $ | 64 | $ | — | $ | 150,894 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 67,970 | $ | — | $ | — | $ | — | $ | 67,970 | ||||||||||||||||||||||||||||
Interest expense | $ | 63,395 | $ | 886 | $ | — | $ | — | $ | 64,281 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 209 | $ | — | $ | 209 | ||||||||||||||||||||||||||||
Predecessor Ambac - Period from January 1 through April 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 633,010 | $ | 7,339 | $ | 39 | $ | — | $ | 640,388 | ||||||||||||||||||||||||||||
Inter-segment | 940 | (882 | ) | 197,055 | (197,113 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 633,950 | $ | 6,457 | $ | 197,094 | $ | (197,113 | ) | $ | 640,388 | |||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 1,830,165 | $ | 3,233 | $ | 1,514,635 | $ | — | $ | 3,348,033 | ||||||||||||||||||||||||||||
Inter-segment | (197,187 | ) | (1,101 | ) | 198,288 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 1,632,978 | $ | 2,132 | $ | 1,712,923 | $ | — | $ | 3,348,033 | ||||||||||||||||||||||||||||
Total assets as of April 30, 2013 | $ | 28,287,321 | $ | 536,711 | $ | 29,403 | $ | — | $ | 28,853,435 | ||||||||||||||||||||||||||||
Net investment income | $ | 115,129 | $ | 1,572 | $ | 39 | $ | — | $ | 116,740 | ||||||||||||||||||||||||||||
Interest expense | $ | 29,718 | $ | 1,307 | $ | — | $ | — | $ | 31,025 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | (1,231,550 | ) | $ | 1,505 | $ | (1,515,135 | ) | $ | — | $ | (2,745,180 | ) | |||||||||||||||||||||||||
-1 | Included in both revenues from unaffiliated customers and in pre-tax income (loss) from continuing operations from unaffiliated customers is net investment income. | |||||||||||||||||||||||||||||||||||||
-2 | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is interest expense. | |||||||||||||||||||||||||||||||||||||
-3 | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is amortization of intangible asset arising from financial guarantee contracts that were set to fair value upon adoption of Fresh Start. | |||||||||||||||||||||||||||||||||||||
-4 | Refer to "Note 2: Reorganization Under Chapter 11," for a further discussion of Reorganization items. | |||||||||||||||||||||||||||||||||||||
The following table summarizes gross premiums written, net premiums earned and the net change in fair value of credit derivatives included in the Financial Guarantee segment by location of risk for the affected periods: | ||||||||||||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||||||||||||||||
Gross | Net | Net Change | Gross | Net | Net Change | Gross | Net | Net Change | ||||||||||||||||||||||||||||||
Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | ||||||||||||||||||||||||||||||
Written | Earned | Of Credit | Written | Earned | Of Credit | Written | Earned | Of Credit | ||||||||||||||||||||||||||||||
Derivatives | Derivatives | Derivatives | ||||||||||||||||||||||||||||||||||||
United States | $ | (28,211 | ) | $ | 39,833 | $ | (559 | ) | $ | (24,493 | ) | $ | 46,340 | $ | 14,948 | $ | (7,386 | ) | $ | 23,537 | $ | (47,664 | ) | |||||||||||||||
United Kingdom | 3,003 | 20,808 | — | (1,917 | ) | 8,840 | 2,113 | 2,167 | 4,317 | (3,686 | ) | |||||||||||||||||||||||||||
Other international | (20,278 | ) | 4,372 | (660 | ) | (7,671 | ) | 2,859 | 34,159 | (5,376 | ) | 1,890 | (21,821 | ) | ||||||||||||||||||||||||
Total | $ | (45,486 | ) | $ | 65,013 | $ | (1,219 | ) | $ | (34,081 | ) | $ | 58,039 | $ | 51,220 | $ | (10,595 | ) | $ | 29,744 | $ | (73,171 | ) | |||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||||||||||||||||
Gross | Net | Net Change | Gross | Net | Net Change | Gross | Net | Net Change in | ||||||||||||||||||||||||||||||
Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | Premiums | Premiums | Fair Value of | ||||||||||||||||||||||||||||||
Written | Earned | Of Credit | Written | Earned | Of Credit | Written | Earned | Credit | ||||||||||||||||||||||||||||||
Derivatives | Derivatives | Derivatives | ||||||||||||||||||||||||||||||||||||
United States | $ | (28,909 | ) | $ | 96,591 | $ | 6,022 | $ | (24,493 | ) | $ | 46,340 | $ | 14,948 | $ | (16,102 | ) | $ | 104,594 | $ | (31,134 | ) | ||||||||||||||||
United Kingdom | (3,163 | ) | 41,443 | — | (1,917 | ) | 8,840 | 2,113 | 10,673 | 18,071 | (5,861 | ) | ||||||||||||||||||||||||||
Other international | (19,180 | ) | 9,526 | 141 | (7,671 | ) | 2,859 | 34,159 | (8,696 | ) | 7,335 | (23,389 | ) | |||||||||||||||||||||||||
Total | $ | (51,252 | ) | $ | 147,560 | $ | 6,163 | $ | (34,081 | ) | $ | 58,039 | $ | 51,220 | $ | (14,125 | ) | $ | 130,000 | $ | (60,384 | ) | ||||||||||||||||
Recently_Adopted_and_Recently_
Recently Adopted and Recently Issued Accounting Standards | 6 Months Ended |
Jun. 30, 2014 | |
Accounting Policies [Abstract] | ' |
Recently Adopted and Recently Issued Accounting Standards | ' |
RECENTLY ADOPTED AND RECENTLY ISSUED ACCOUNTING STANDARDS | |
Adopted: | |
Effective January 1, 2014, Ambac adopted ASU No. 20131-11, Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists. The ASU requires an entity to present an unrecognized tax benefit in the financial statements as a reduction to a deferred tax asset for an NOL carryforward, a similar tax loss, or a tax credit carryforward except when: i) an NOL carryforward, a similar tax loss, or a tax credit carryforward is not available as of the reporting date under the governing tax law to settle taxes that would result from the disallowance of the tax position and ii) the entity does not intend to use the deferred tax asset for this purpose. If either of these conditions exists, an entity should present an unrecognized tax benefit in the financial statements as a liability and should not net the unrecognized tax benefit with a deferred tax asset. The adoption of this ASU did not have a material effect on Ambac’s financial statements. | |
Issued: | |
In April 2014, the FASB issued ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant, and Equipment (Topic 360) - Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity. The objective of this ASU is to limit discontinued operations reporting to disposals of components of an entity that represent strategic shifts that have (or will have) a major effect on an entity's operations and financial results. Under current U.S. GAAP, many disposals, some of which may be routine in nature and not a change in an entity's strategy, are reported in discontinued operations. The ASU also requires certain expanded disclosures for discontinued operations and disclosure of the pre-tax profit or loss of an individually significant component of an entity that does not qualify for discontinued operations reporting. The ASU is effective prospectively for all disposals (or classifications of held for sale) components that occur within annual periods beginning on or after December 15, 2014. Ambac will adopt the ASU on January 1, 2015. The adoption of this ASU is not expected to have a material effect on Ambac's financial statements. | |
In June 2014, the FASB issued ASU 2014-12, Compensation - Stock Compensation (Topics 718) - Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. Generally, share-based payment awards that require a specific performance target to be met also require an employee to render service until the performance target is achieved. However, in some cases, the terms of an award may provide that the performance target could be achieved after the employee completes the requisite service period. Under current U.S. GAAP, there is no explicit guidance on how to account for share-based payment awards with performance targets that could be achieved after the requisite service period. This ASU is intended to resolve diversity in practice with respect to how the performance target is considered in the grant-date fair value of the award, which impacts the amount of compensation cost recognized over time. The ASU requires that a performance target that affects vesting and that could be achieved after the requisite service period be treated as a performance condition. As a result, the performance target would not be reflected in estimating the fair value of the award at the grant date. The ASU is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. Earlier adoption is permitted. Entities may apply this ASU either (a) prospectively to all awards granted or modified after the effective date or (b) retrospectively to all awards with performance targets that are outstanding as of the beginning of the earliest annual period presented in the financial statements and to all new or modified awards thereafter. Ambac presently follows the guidance in this ASU for its share-based awards which have performance targets, thus there will be no material impact on Ambac's financial statements. | |
In August 2014, the FASB issued ASU 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. A collateralized financing entity ("CFE") is a variable interest entity with nominal or no equity that holds financial assets and issues beneficial interests in those financial assets. The beneficial interests, which are financial liabilities of the CFE, have contractual recourse only to the related assets of the CFE. Currently, a reporting entity that is required to consolidate a CFE may elect to measure the financial assets and financial liabilities of the CFE at fair value. Under the ASU, a reporting entity may elect to measure such assets and liabilities using either: i) the measurement principles in the Fair Value Measurement Topic of the ASC or ii) an alternative measurement approach specified in the ASU. The alternative measurement approach uses the more observable of either the fair value of the financial assets or financial liabilities to measure both. The ASU is intended to address diversity in practice in accounting for the measurement difference between financial assets and financial liabilities of CFEs. The ASU is effective for annual periods and interim periods with those annual periods beginning after December 15, 2015. A reporting entity may apply the ASU using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the annual period of adoption. A reporting entity may also apply the ASU retrospectively to all relevant prior periods beginning with the annual period in which ASU 2009-17, Consolidation (Topic 810): Improvements to Financial Reporting by Enterprises Involved with Variable Interest Entities, was adopted. Ambac will adopt ASU 2014-13 on January 1, 2016 and is currently evaluating the implications of the ASU on its financial statements. |
Recently_Adopted_and_Recently_1
Recently Adopted and Recently Issued Accounting Standards (Policies) | 6 Months Ended |
Jun. 30, 2014 | |
Accounting Policies [Abstract] | ' |
Recently Adopted and Recently Issued Accounting Standards | ' |
Adopted: | |
Effective January 1, 2014, Ambac adopted ASU No. 20131-11, Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists. The ASU requires an entity to present an unrecognized tax benefit in the financial statements as a reduction to a deferred tax asset for an NOL carryforward, a similar tax loss, or a tax credit carryforward except when: i) an NOL carryforward, a similar tax loss, or a tax credit carryforward is not available as of the reporting date under the governing tax law to settle taxes that would result from the disallowance of the tax position and ii) the entity does not intend to use the deferred tax asset for this purpose. If either of these conditions exists, an entity should present an unrecognized tax benefit in the financial statements as a liability and should not net the unrecognized tax benefit with a deferred tax asset. The adoption of this ASU did not have a material effect on Ambac’s financial statements. | |
Issued: | |
In April 2014, the FASB issued ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant, and Equipment (Topic 360) - Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity. The objective of this ASU is to limit discontinued operations reporting to disposals of components of an entity that represent strategic shifts that have (or will have) a major effect on an entity's operations and financial results. Under current U.S. GAAP, many disposals, some of which may be routine in nature and not a change in an entity's strategy, are reported in discontinued operations. The ASU also requires certain expanded disclosures for discontinued operations and disclosure of the pre-tax profit or loss of an individually significant component of an entity that does not qualify for discontinued operations reporting. The ASU is effective prospectively for all disposals (or classifications of held for sale) components that occur within annual periods beginning on or after December 15, 2014. Ambac will adopt the ASU on January 1, 2015. The adoption of this ASU is not expected to have a material effect on Ambac's financial statements. |
Reorganization_Under_Chapter_11
Reorganization Under Chapter 11 (Tables) | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
Reorganizations [Abstract] | ' | |||||||||||
Summary of Reorganization Items in Consolidated Statements of Total Comprehensive Income | ' | |||||||||||
The reorganization items in the Consolidated Statements of Total Comprehensive Income consisted of the following items: | ||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||
U.S. Trustee fees | $ | — | $ | — | $ | 13 | ||||||
Professional fees | 186 | 424 | 2,434 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521,435 | ) | ||||||||
Fresh start reporting adjustments | — | — | (1,228,251 | ) | ||||||||
Total reorganization items | $ | 186 | $ | 424 | $ | (2,747,239 | ) | |||||
Successor Ambac | Predecessor Ambac | |||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||
U.S. Trustee fees | $ | — | $ | — | $ | 23 | ||||||
Professional fees | 209 | 424 | 4,483 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | — | — | (1,521,435 | ) | ||||||||
Fresh start reporting adjustments | — | — | (1,228,251 | ) | ||||||||
Total reorganization items | $ | 209 | $ | 424 | $ | (2,745,180 | ) | |||||
Special_Purpose_Entities_Inclu1
Special Purpose Entities, Including Variable Interest Entities (Tables) | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Accounting Policies [Abstract] | ' | |||||||||||||||
Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities | ' | |||||||||||||||
The table below provides the fair value of fixed income securities, by asset-type, held by consolidated VIEs as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
June 30, 2014 | December 31, 2013 | |||||||||||||||
Investments: | ||||||||||||||||
Corporate obligations | $ | 2,688,388 | $ | 2,475,182 | ||||||||||||
Total variable interest entity assets: Fixed income securities | $ | 2,688,388 | $ | 2,475,182 | ||||||||||||
Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities | ' | |||||||||||||||
The following table provides supplemental information about the loans held as assets and long-term debt associated with the VIEs for which the fair value option has been elected as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
Estimated fair value | Unpaid principal balance | |||||||||||||||
30-Jun-14 | ||||||||||||||||
Loans | $ | 13,743,231 | $ | 12,011,423 | ||||||||||||
Long-term debt | $ | 14,450,434 | $ | 14,096,929 | ||||||||||||
December 31, 2013 | ||||||||||||||||
Loans | $ | 13,398,895 | $ | 12,226,481 | ||||||||||||
Long-term debt | $ | 14,091,753 | $ | 14,251,771 | ||||||||||||
Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities | ' | |||||||||||||||
The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and credit derivative contracts by major underlying asset classes, as of June 30, 2014 and December 31, 2013: | ||||||||||||||||
Carrying Value of Assets and Liabilities | ||||||||||||||||
Maximum | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | |||||||||||||
Exposure To Loss (1) | ||||||||||||||||
June 30, 2014 | ||||||||||||||||
Global Structured Finance: | ||||||||||||||||
Collateralized debt obligations | $ | 1,503,895 | $ | 1,710 | $ | 5,111 | $ | 5,758 | ||||||||
Mortgage-backed—residential | 17,825,150 | 553,022 | 3,958,533 | — | ||||||||||||
Other consumer asset-backed | 5,256,079 | 67,384 | 913,978 | — | ||||||||||||
Other commercial asset-backed | 5,339,867 | 400,644 | 524,978 | 35,891 | ||||||||||||
Other | 4,257,221 | 102,010 | 625,997 | 3,516 | ||||||||||||
Total Global Structured Finance | 34,182,212 | 1,124,770 | 6,028,597 | 45,165 | ||||||||||||
Global Public Finance | 33,707,874 | 498,695 | 571,734 | 30,695 | ||||||||||||
Total | $ | 67,890,086 | $ | 1,623,465 | $ | 6,600,331 | $ | 75,860 | ||||||||
Carrying Value of Assets and Liabilities | ||||||||||||||||
Maximum | Insurance Assets (2) | Insurance Liabilities (3) | Derivative Liabilities (4) | |||||||||||||
Exposure To Loss (1) | ||||||||||||||||
December 31, 2013 | ||||||||||||||||
Global Structured Finance: | ||||||||||||||||
Collateralized debt obligations | $ | 2,092,072 | $ | 3,867 | $ | 7,119 | $ | 10,092 | ||||||||
Mortgage-backed—residential | 19,231,335 | 581,498 | 3,890,937 | — | ||||||||||||
Other consumer asset-backed | 5,425,583 | 68,511 | 992,177 | — | ||||||||||||
Other commercial asset-backed | 7,237,953 | 429,559 | 559,600 | 39,916 | ||||||||||||
Other | 4,347,287 | 113,468 | 608,213 | 4,312 | ||||||||||||
Total Global Structured Finance | 38,334,230 | 1,196,903 | 6,058,046 | 54,320 | ||||||||||||
Global Public Finance | 35,732,858 | 531,519 | 604,339 | 27,112 | ||||||||||||
Total | $ | 74,067,088 | $ | 1,728,422 | $ | 6,662,385 | $ | 81,432 | ||||||||
-1 | Maximum exposure to loss represents the gross maximum future payments of principal and interest on insured obligations and credit derivative contracts. Ambac’s maximum exposure to loss does not include unpaid interest on Deferred Amounts nor the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests. | |||||||||||||||
-2 | Insurance assets represent the amount recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. | |||||||||||||||
-3 | Insurance liabilities represent the amount recorded in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets. | |||||||||||||||
-4 | Derivative liabilities represent the fair value recognized on credit derivative contracts on Ambac’s Consolidated Balance Sheets. |
Comprehensive_Income_Tables
Comprehensive Income (Tables) | 6 Months Ended | |||||||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||||||
Equity [Abstract] | ' | |||||||||||||||||||||||||||||||
Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income | ' | |||||||||||||||||||||||||||||||
The following tables detail the changes in the balances of each component of accumulated other comprehensive income for the affected periods: | ||||||||||||||||||||||||||||||||
Unrealized Gains (Losses) | Amortization of | Gain (Loss) on | Total | |||||||||||||||||||||||||||||
on Available- | Postretirement | Foreign Currency | ||||||||||||||||||||||||||||||
for-Sale Securities (1) | Benefit (1) | Translation (1) | ||||||||||||||||||||||||||||||
Successor Ambac | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | ||||||||||||||||||||||||
Beginning Balance | $ | 46,812 | $ | — | $ | 10,643 | $ | — | $ | 46,962 | $ | — | $ | 104,417 | $ | — | ||||||||||||||||
Other comprehensive income before reclassifications | 179,479 | (72,511 | ) | — | — | 16,952 | (12,524 | ) | 196,431 | (85,035 | ) | |||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | 5,684 | (18,472 | ) | (204 | ) | — | — | — | 5,480 | (18,472 | ) | |||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net current period other comprehensive income | 185,163 | (90,983 | ) | (204 | ) | — | 16,952 | (12,524 | ) | 201,911 | (103,507 | ) | ||||||||||||||||||||
Balance at June 30 | $ | 231,975 | $ | (90,983 | ) | $ | 10,439 | $ | — | $ | 63,914 | $ | (12,524 | ) | $ | 306,328 | $ | (103,507 | ) | |||||||||||||
Unrealized Gains (Losses) | Gain (Loss) on | |||||||||||||||||||||||||||||||
on Available-for-Sale Securities (1) | Changes to Postretirement Benefit (1) | Foreign Currency Translation (1) | Total | |||||||||||||||||||||||||||||
Predecessor Ambac | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | Period April 1 through April 30, 2013 | ||||||||||||||||||||||||||||
Beginning Balance | $ | 745,370 | $ | (5,052 | ) | $ | (20,247 | ) | $ | 720,071 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | 88,516 | — | (437 | ) | 88,079 | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (7,267 | ) | (623 | ) | — | (7,890 | ) | |||||||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | (826,619 | ) | 5,675 | 20,684 | (800,260 | ) | ||||||||||||||||||||||||||
Net current period other comprehensive income | (745,370 | ) | 5,052 | 20,247 | (720,071 | ) | ||||||||||||||||||||||||||
Balance at April 30, 2013 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Unrealized Gains (Losses) | Amortization of | Gain (Loss) on | Total | |||||||||||||||||||||||||||||
on Available- | Postretirement | Foreign Currency | ||||||||||||||||||||||||||||||
for-Sale Securities (1) | ||||||||||||||||||||||||||||||||
Benefit (1) | Translation (1) | |||||||||||||||||||||||||||||||
Successor Ambac | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | ||||||||||||||||||||||||
Beginning Balance | $ | (41,910 | ) | $ | — | $ | 10,847 | $ | — | $ | 42,724 | $ | — | $ | 11,661 | $ | — | |||||||||||||||
Other comprehensive income before reclassifications | 274,101 | (72,511 | ) | — | 21,190 | (12,524 | ) | 295,291 | (85,035 | ) | ||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (216 | ) | (18,472 | ) | (408 | ) | — | — | — | (624 | ) | (18,472 | ) | |||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net current period other comprehensive income | 273,885 | (90,983 | ) | (408 | ) | — | 21,190 | (12,524 | ) | 294,667 | (103,507 | ) | ||||||||||||||||||||
Balance at June 30, 2013 | $ | 231,975 | $ | (90,983 | ) | $ | 10,439 | $ | — | $ | 63,914 | $ | (12,524 | ) | $ | 306,328 | $ | (103,507 | ) | |||||||||||||
Unrealized Gains (Losses) | Changes to Postretirement Benefit (1) | Gain (Loss) on | ||||||||||||||||||||||||||||||
on Available-for-Sale Securities (1) | Foreign Currency Translation (1) | Total | ||||||||||||||||||||||||||||||
Predecessor Ambac | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | Period January 1 through April 30, 2013 | ||||||||||||||||||||||||||||
Beginning Balance | $ | 651,272 | $ | (5,860 | ) | $ | (20,027 | ) | $ | 625,385 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | 188,696 | — | (657 | ) | 188,039 | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | (13,349 | ) | 185 | — | (13,164 | ) | ||||||||||||||||||||||||||
Elimination of Predecessor Ambac Shareholder Equity Accounts | (826,619 | ) | 5,675 | 20,684 | (800,260 | ) | ||||||||||||||||||||||||||
Net current period other comprehensive income | (651,272 | ) | 5,860 | 20,027 | (625,385 | ) | ||||||||||||||||||||||||||
Balance at April 30, 2013 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
(1) All amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate debits. | ||||||||||||||||||||||||||||||||
Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income | ' | |||||||||||||||||||||||||||||||
The following table details the significant amounts reclassified from each component of accumulated other comprehensive income for the affected periods: | ||||||||||||||||||||||||||||||||
Amount Reclassified from Accumulated | ||||||||||||||||||||||||||||||||
Other Comprehensive Income (1) | ||||||||||||||||||||||||||||||||
Details about Accumulated Other Comprehensive | Successor Ambac – | Predecessor Ambac – | Affected Line Item in the | |||||||||||||||||||||||||||||
Income Components | Consolidated | |||||||||||||||||||||||||||||||
Statement of Total | ||||||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | Comprehensive Income | |||||||||||||||||||||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
$ | 5,684 | $ | (18,472 | ) | $ | (7,267 | ) | Net realized investment gains | ||||||||||||||||||||||||
— | — | — | Tax (expense) benefit | |||||||||||||||||||||||||||||
$ | 5,684 | $ | (18,472 | ) | $ | (7,267 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Amortization of Postretirement Benefit | ||||||||||||||||||||||||||||||||
Prior service cost | $ | (166 | ) | $ | — | $ | (92 | ) | Underwriting and operating expenses (2) | |||||||||||||||||||||||
Actuarial gains (losses) | (38 | ) | — | 173 | Underwriting and operating expenses (2) | |||||||||||||||||||||||||||
(204 | ) | — | 81 | Total before tax | ||||||||||||||||||||||||||||
— | — | (704 | ) | Tax (expense) benefit | ||||||||||||||||||||||||||||
$ | (204 | ) | $ | — | $ | (623 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Total reclassifications for the period | $ | 5,480 | $ | (18,472 | ) | $ | (7,890 | ) | Net of tax and noncontrolling interest | |||||||||||||||||||||||
Amount Reclassified from Accumulated | ||||||||||||||||||||||||||||||||
Other Comprehensive Income (1) | ||||||||||||||||||||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||||||||||
Details about Accumulated Other Comprehensive | Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | Affected Line Item in the | ||||||||||||||||||||||||||||
Income Components | Consolidated | |||||||||||||||||||||||||||||||
Statement of Total | ||||||||||||||||||||||||||||||||
Comprehensive Income | ||||||||||||||||||||||||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
$ | (216 | ) | $ | (18,472 | ) | $ | (13,349 | ) | Net realized investment gains | |||||||||||||||||||||||
— | — | — | Tax (expense) benefit | |||||||||||||||||||||||||||||
$ | (216 | ) | $ | (18,472 | ) | $ | (13,349 | ) | Net of tax and noncontrolling interest | |||||||||||||||||||||||
Amortization of Postretirement Benefit | ||||||||||||||||||||||||||||||||
Prior service cost | $ | (332 | ) | $ | — | $ | 1,616 | Underwriting and operating expenses (2) | ||||||||||||||||||||||||
Actuarial gains (losses) | (76 | ) | — | (727 | ) | Underwriting and operating expenses (2) | ||||||||||||||||||||||||||
(408 | ) | — | 889 | Total before tax | ||||||||||||||||||||||||||||
— | — | (704 | ) | Tax (expense) benefit | ||||||||||||||||||||||||||||
$ | (408 | ) | $ | — | $ | 185 | Net of tax and noncontrolling interest | |||||||||||||||||||||||||
Total reclassifications for the period | $ | (624 | ) | $ | (18,472 | ) | $ | (13,164 | ) | Net of tax and noncontrolling interest | ||||||||||||||||||||||
-1 | Amounts in parentheses indicate debits to the Consolidated Statement of Comprehensive Income. | |||||||||||||||||||||||||||||||
-2 | These accumulated other comprehensive income components are included in the computation of net periodic benefit cost. |
Net_Income_Per_Share_Tables
Net Income Per Share (Tables) | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Earnings Per Share [Abstract] | ' | ||||||||
Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share | ' | ||||||||
The following table provides a reconciliation of the common shares used for basic earnings per share to the diluted shares used for diluted earnings per share: | |||||||||
Successor Ambac | Predecessor Ambac | ||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | |||||||
Weighted average number of common shares used for basic earnings per share | 45,091,983 | 45,000,653 | 302,469,626 | ||||||
Effect of potential dilutive shares: | |||||||||
Warrants | — | 1,575,064 | — | ||||||
Stock options | — | — | — | ||||||
Restricted stock units | — | — | 109,593 | ||||||
Performance stock units | — | — | — | ||||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 45,091,983 | 46,575,717 | 302,579,219 | ||||||
Anti-dilutive shares excluded from the above reconciliation: | |||||||||
Warrants | 5,040,775 | — | — | ||||||
Stock options | 66,668 | — | 461,150 | ||||||
Restricted stock units | 74,341 | — | — | ||||||
Performance stock units | — | — | — | ||||||
Successor Ambac | Predecessor Ambac | ||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | |||||||
Weighted average number of common shares used for basic earnings per share | 45,067,539 | 45,000,653 | 302,469,544 | ||||||
Effect of potential dilutive shares: | |||||||||
Warrants | — | 1,575,064 | — | ||||||
Stock options | — | — | — | ||||||
Restricted stock units | — | — | 109,701 | ||||||
Performance stock units | — | — | — | ||||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 45,067,539 | 46,575,717 | 302,579,245 | ||||||
Anti-dilutive shares excluded from the above reconciliation: | |||||||||
Warrants | 5,040,784 | — | — | ||||||
Stock options | 66,668 | — | 475,550 | ||||||
Restricted stock units | 94,131 | — | — | ||||||
Performance stock units | — | — | — | ||||||
Financial_Guarantee_Insurance_1
Financial Guarantee Insurance Contracts (Tables) | 6 Months Ended | |||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||
Insurance [Line Items] | ' | |||||||||||||||||||||||||||
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) | ' | |||||||||||||||||||||||||||
Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 | Period from May 1 | Period from January 1 | ||||||||||||||||||||||||||
through June 30, 2014 | through June 30, 2013 | through April 30, 2013 | ||||||||||||||||||||||||||
Beginning premium receivable | $ | 1,453,021 | $ | 1,531,631 | $ | 1,620,621 | ||||||||||||||||||||||
Premium receipts | (61,876 | ) | (19,352 | ) | (48,296 | ) | ||||||||||||||||||||||
Adjustments for changes in expected and contractual cash flows | (70,464 | ) | (40,898 | ) | (28,237 | ) | ||||||||||||||||||||||
Accretion of premium receivable discount | 20,247 | 7,359 | 14,740 | |||||||||||||||||||||||||
Uncollectable premiums | (1,035 | ) | (543 | ) | (634 | ) | ||||||||||||||||||||||
Other adjustments (including foreign exchange) | 16,469 | (13,299 | ) | (26,563 | ) | |||||||||||||||||||||||
Ending premium receivable | $ | 1,356,362 | $ | 1,464,898 | $ | 1,531,631 | ||||||||||||||||||||||
Effect of Reinsurance on Premiums Written and Earned | ' | |||||||||||||||||||||||||||
The effect of reinsurance on premiums written and earned was as follows: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||||||
Written | Earned | Written | Earned | Written | Earned | |||||||||||||||||||||||
Direct | $ | (45,486 | ) | $ | 68,025 | $ | (34,081 | ) | $ | 62,033 | $ | (10,595 | ) | $ | 31,388 | |||||||||||||
Assumed | — | 23 | — | 16 | — | 8 | ||||||||||||||||||||||
Ceded | (4,967 | ) | 3,035 | (3,038 | ) | 4,010 | (84 | ) | 1,652 | |||||||||||||||||||
Net premiums | $ | (40,519 | ) | $ | 65,013 | $ | (31,043 | ) | $ | 58,039 | $ | (10,511 | ) | $ | 29,744 | |||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||||||
Written | Earned | Written | Earned | Written | Earned | |||||||||||||||||||||||
Direct | (51,252 | ) | $ | 154,209 | $ | (34,081 | ) | $ | 62,033 | $ | (14,125 | ) | $ | 138,468 | ||||||||||||||
Assumed | — | 91 | — | 16 | — | 32 | ||||||||||||||||||||||
Ceded | (4,511 | ) | 6,740 | (3,038 | ) | 4,010 | (1,098 | ) | 8,500 | |||||||||||||||||||
Net premiums | $ | (46,741 | ) | $ | 147,560 | $ | (31,043 | ) | $ | 58,039 | $ | (13,027 | ) | $ | 130,000 | |||||||||||||
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 June 30, 2014: | ||||||||||||||||||||||||||||
Future premiums | Future expected | |||||||||||||||||||||||||||
to be collected (1) | premiums to | |||||||||||||||||||||||||||
be earned, net of reinsurance (1) | ||||||||||||||||||||||||||||
Three months ended: | ||||||||||||||||||||||||||||
September 30, 2014 | 39,988 | 45,841 | ||||||||||||||||||||||||||
December 31, 2014 | 31,037 | 44,006 | ||||||||||||||||||||||||||
Twelve months ended: | ||||||||||||||||||||||||||||
December 31, 2015 | 123,705 | 163,207 | ||||||||||||||||||||||||||
December 31, 2016 | 116,974 | 148,927 | ||||||||||||||||||||||||||
December 31, 2017 | 110,511 | 137,708 | ||||||||||||||||||||||||||
December 31, 2018 | 105,182 | 128,484 | ||||||||||||||||||||||||||
Five years ended: | ||||||||||||||||||||||||||||
December 31, 2023 | 466,339 | 532,361 | ||||||||||||||||||||||||||
December 31, 2028 | 370,487 | 373,862 | ||||||||||||||||||||||||||
December 31, 2033 | 237,081 | 218,488 | ||||||||||||||||||||||||||
December 31, 2038 | 92,686 | 95,496 | ||||||||||||||||||||||||||
December 31, 2043 | 30,826 | 32,182 | ||||||||||||||||||||||||||
December 31, 2048 | 12,538 | 12,064 | ||||||||||||||||||||||||||
December 31, 2053 | 2,252 | 3,324 | ||||||||||||||||||||||||||
December 31, 2058 | 31 | 84 | ||||||||||||||||||||||||||
Total | $ | 1,739,637 | $ | 1,936,034 | ||||||||||||||||||||||||
-1 | Future premiums to be collected relates to the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premium 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 described above, which results in a higher premium receivable balance than if expected lives were considered. If installment paying policies are retired early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected in the future. | |||||||||||||||||||||||||||
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: | ||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||
Period from January 1 | Period from May 1 | Period from | ||||||||||||||||||||||||||
through June 30, 2014 | through June 30, 2013 | January 1 through | ||||||||||||||||||||||||||
April 30, 2013 | ||||||||||||||||||||||||||||
Beginning gross loss and loss expense reserves | $ | 5,470,234 | $ | 5,572,672 | $ | 6,122,140 | ||||||||||||||||||||||
Less reinsurance on loss and loss expense reserves | 122,357 | 138,155 | $ | 147,409 | ||||||||||||||||||||||||
Beginning balance of net loss and loss expense reserves | $ | 5,347,877 | $ | 5,434,517 | $ | 5,974,731 | ||||||||||||||||||||||
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 | 209 | 2,416 | 2,748 | |||||||||||||||||||||||||
Claim and loss expense payments, net of subrogation and reinsurance | (3 | ) | (37 | ) | (58 | ) | ||||||||||||||||||||||
Establishment of RMBS subrogation recoveries, net of reinsurance | — | (320 | ) | (159 | ) | |||||||||||||||||||||||
Total current year | 206 | 2,059 | 2,531 | |||||||||||||||||||||||||
Prior years: | ||||||||||||||||||||||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | 131,124 | (128,680 | ) | (52,642 | ) | |||||||||||||||||||||||
Claim and loss expense recoveries, net of subrogation and reinsurance | 73,347 | 3,793 | 20,902 | |||||||||||||||||||||||||
Change in previously established RMBS subrogation recoveries, net of reinsurance | (74,398 | ) | 87,361 | (12,596 | ) | |||||||||||||||||||||||
Total prior years | 130,073 | (37,526 | ) | (44,336 | ) | |||||||||||||||||||||||
Net change in loss and loss expense reserves | 130,279 | (35,467 | ) | (41,805 | ) | |||||||||||||||||||||||
Net consolidation of certain VIEs | — | — | (498,409 | ) | ||||||||||||||||||||||||
Ending net loss and loss expense reserves | $ | 5,478,156 | $ | 5,399,050 | $ | 5,434,517 | ||||||||||||||||||||||
Add reinsurance on loss and loss expense reserves | 110,015 | 142,512 | 138,155 | |||||||||||||||||||||||||
Ending gross loss and loss expense reserves | $ | 5,588,171 | $ | 5,541,562 | $ | 5,572,672 | ||||||||||||||||||||||
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 June 30, 2014 and December 31, 2013. Net 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 June 30, 2014 and December 31, 2013 was 2.7% and 3.2%, respectively. | ||||||||||||||||||||||||||||
Surveillance Categories (at June 30, 2014) | ||||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number of policies | 29 | 24 | 49 | 88 | 172 | 1 | 363 | |||||||||||||||||||||
Remaining weighted-average contract period (in years) | 12 | 13 | 16 | 19 | 12 | 6 | 15 | |||||||||||||||||||||
Gross insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | 815,549 | $ | 479,218 | $ | 3,517,374 | $ | 5,849,928 | $ | 10,818,754 | $ | 47 | $ | 21,480,870 | ||||||||||||||
Interest | 428,964 | 222,412 | 2,298,152 | 2,873,112 | 2,427,376 | 19 | 8,250,035 | |||||||||||||||||||||
Total | $ | 1,244,513 | $ | 701,630 | $ | 5,815,526 | $ | 8,723,040 | $ | 13,246,130 | $ | 66 | $ | 29,730,905 | ||||||||||||||
Gross undiscounted claim liability (1) | $ | 5,477 | $ | 12,134 | $ | 189,385 | $ | 2,752,311 | $ | 7,958,481 | $ | 62 | $ | 10,917,850 | ||||||||||||||
Discount, gross claim liability | (700 | ) | (1,091 | ) | (20,747 | ) | (964,005 | ) | (943,887 | ) | (3 | ) | (1,930,433 | ) | ||||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 4,777 | $ | 11,043 | $ | 168,638 | $ | 1,788,306 | $ | 7,014,594 | $ | 59 | $ | 8,987,417 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (2,154 | ) | (2,298,331 | ) | — | (2,300,485 | ) | ||||||||||||||||||
Discount, RMBS subrogation | — | — | — | 14 | 16,047 | — | 16,061 | |||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (2,140 | ) | (2,282,284 | ) | — | (2,284,424 | ) | ||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (17,558 | ) | (110,818 | ) | (698,439 | ) | — | (826,815 | ) | |||||||||||||||||
Discount, other subrogation | — | — | 7,045 | 29,735 | 54,031 | — | 90,811 | |||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,513 | ) | (81,083 | ) | (644,408 | ) | — | (736,004 | ) | |||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 4,777 | $ | 11,043 | $ | 158,125 | $ | 1,705,083 | $ | 4,087,902 | $ | 59 | $ | 5,966,989 | ||||||||||||||
Less: Unearned premium reserves | (3,198 | ) | (3,925 | ) | (90,254 | ) | (297,274 | ) | (81,346 | ) | — | (475,997 | ) | |||||||||||||||
Plus: Loss expense reserves | — | 1,824 | (799 | ) | 4,488 | 91,666 | — | 97,179 | ||||||||||||||||||||
Gross loss and loss expense reserves | $ | 1,579 | $ | 8,942 | $ | 67,072 | $ | 1,412,297 | $ | 4,098,222 | $ | 59 | $ | 5,588,171 | ||||||||||||||
Reinsurance recoverable reported on Balance Sheet | $ | 55 | $ | 895 | $ | 1,956 | $ | 115,403 | $ | (9,054 | ) | $ | — | $ | 109,255 | |||||||||||||
-1 | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, 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 breaches. | |||||||||||||||||||||||||||
-3 | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. | |||||||||||||||||||||||||||
Surveillance Categories (at December 31, 2013) | ||||||||||||||||||||||||||||
I/SL | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number of policies | 18 | 23 | 52 | 76 | 169 | 1 | 339 | |||||||||||||||||||||
Remaining weighted-average contract period (in years) | 13 | 19 | 17 | 19 | 11 | 6 | 14 | |||||||||||||||||||||
Gross insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | 834,708 | $ | 1,125,284 | $ | 3,464,420 | $ | 5,597,387 | $ | 11,184,943 | $ | 47 | $ | 22,206,789 | ||||||||||||||
Interest | 506,903 | 871,751 | 2,130,271 | 2,331,222 | 2,556,968 | 18 | 8,397,133 | |||||||||||||||||||||
Total | $ | 1,341,611 | $ | 1,997,035 | $ | 5,594,691 | $ | 7,928,609 | $ | 13,741,911 | $ | 65 | $ | 30,603,922 | ||||||||||||||
Gross undiscounted claim liability (1) | $ | 7,447 | $ | 54,398 | $ | 221,321 | $ | 3,029,891 | $ | 7,963,137 | $ | 65 | $ | 11,276,259 | ||||||||||||||
Discount, gross claim liability | (1,225 | ) | (6,726 | ) | (32,630 | ) | (1,299,032 | ) | (1,112,829 | ) | (6 | ) | (2,452,448 | ) | ||||||||||||||
Gross claim liability before all subrogation and before reinsurance | $ | 6,222 | $ | 47,672 | $ | 188,691 | $ | 1,730,859 | $ | 6,850,308 | $ | 59 | $ | 8,823,811 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross RMBS subrogation (2) | — | — | — | (4,516 | ) | (2,211,333 | ) | — | (2,215,849 | ) | ||||||||||||||||||
Discount, RMBS subrogation | — | — | — | 15 | 9,236 | — | 9,251 | |||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | — | — | — | (4,501 | ) | (2,202,097 | ) | — | (2,206,598 | ) | ||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross other subrogation (3) | — | — | (20,367 | ) | (116,145 | ) | (710,187 | ) | — | (846,699 | ) | |||||||||||||||||
Discount, other subrogation | — | — | 9,522 | 36,125 | 45,666 | — | 91,313 | |||||||||||||||||||||
Discounted other subrogation, before reinsurance | — | — | (10,845 | ) | (80,020 | ) | (664,521 | ) | — | (755,386 | ) | |||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | $ | 6,222 | $ | 47,672 | $ | 177,846 | $ | 1,646,338 | $ | 3,983,690 | $ | 59 | $ | 5,861,827 | ||||||||||||||
Less: Unearned premium reserves | (4,060 | ) | (22,901 | ) | (95,550 | ) | (280,245 | ) | (100,228 | ) | — | (502,984 | ) | |||||||||||||||
Plus: Loss expense reserves | — | 11 | 2,257 | 1,658 | 107,465 | — | 111,391 | |||||||||||||||||||||
Gross loss and loss expense reserves | $ | 2,162 | $ | 24,782 | $ | 84,553 | $ | 1,367,751 | $ | 3,990,927 | $ | 59 | $ | 5,470,234 | ||||||||||||||
Reinsurance recoverable reported on Balance Sheet | $ | 146 | $ | 2,271 | $ | 2,273 | $ | 119,795 | $ | (3,236 | ) | $ | — | $ | 121,249 | |||||||||||||
-1 | Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, 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 breaches. | |||||||||||||||||||||||||||
-3 | Other subrogation represents subrogation, including subrogation from RMBS transactions, other than subrogation as defined in (2) above. | |||||||||||||||||||||||||||
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach | ' | |||||||||||||||||||||||||||
The balance of RMBS subrogation recoveries and the related claim liabilities, by estimation approach, at June 30, 2014 and December 31, 2013, are as follows: | ||||||||||||||||||||||||||||
June 30, 2014 | ||||||||||||||||||||||||||||
Gross loss reserves | Subrogation recoveries (2) (3) | Gross loss reserves | ||||||||||||||||||||||||||
Approach | before subrogation recoveries (1) | after subrogation recoveries | ||||||||||||||||||||||||||
Random samples (4) | $ | 2,736,871 | $ | (2,284,424 | ) | $ | 452,447 | |||||||||||||||||||||
Totals | $ | 2,736,871 | $ | (2,284,424 | ) | $ | 452,447 | |||||||||||||||||||||
31-Dec-13 | ||||||||||||||||||||||||||||
Gross loss reserves | Subrogation recoveries (2) (3) | Gross loss reserves | ||||||||||||||||||||||||||
Approach | before subrogation recoveries (1) | after subrogation recoveries | ||||||||||||||||||||||||||
Adverse samples | $ | 2,084,911 | $ | (1,252,773 | ) | $ | 832,138 | |||||||||||||||||||||
Random samples (4) | 1,078,861 | (953,825 | ) | 125,036 | ||||||||||||||||||||||||
Totals | $ | 3,163,772 | $ | (2,206,598 | ) | $ | 957,174 | |||||||||||||||||||||
-1 | Includes unpaid 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 RMBS 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. | |||||||||||||||||||||||||||
-4 | From time to time R&W subrogation may include estimates of potential sponsor settlements that are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample section of this table. | |||||||||||||||||||||||||||
Summary of Rollforward of RMBS Subrogation, by Estimation Approach | ' | |||||||||||||||||||||||||||
Below is the rollforward of RMBS subrogation, by estimation approach, for the affected periods: | ||||||||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||||||
Rollforward: | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2014 | $ | 953,825 | $ | 1,252,773 | $ | 2,206,598 | ||||||||||||||||||||||
Changes recognized in 2014: | ||||||||||||||||||||||||||||
Additional transactions reviewed | 24,510 | — | 24,510 | |||||||||||||||||||||||||
Changes in estimation approach (1) | 1,341,917 | (1,218,681 | ) | 123,236 | ||||||||||||||||||||||||
Impact of Sponsor Actions (2) | (90,000 | ) | — | (90,000 | ) | |||||||||||||||||||||||
All other changes (3) | 54,172 | (34,092 | ) | 20,080 | ||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at June 30, 2014 | $ | 2,284,424 | $ | — | $ | 2,284,424 | ||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||||||
Rollforward: | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 | ||||||||||||||||||||||
Changes recognized through June 30, 2013: | ||||||||||||||||||||||||||||
Additional transactions reviewed | — | — | — | |||||||||||||||||||||||||
Changes in estimation approach (1) | — | — | — | |||||||||||||||||||||||||
Impact of Sponsor Actions (2) | (2,489 | ) | — | (2,489 | ) | |||||||||||||||||||||||
All other changes (3) | (43,158 | ) | (42,338 | ) | (85,496 | ) | ||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at June 30, 2013 | $ | 958,605 | $ | 1,436,328 | $ | 2,394,933 | ||||||||||||||||||||||
Random | Adverse | Total | ||||||||||||||||||||||||||
sample | sample | |||||||||||||||||||||||||||
Predecessor Ambac | ||||||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2013 | $ | 1,080,408 | $ | 1,442,817 | $ | 2,523,225 | ||||||||||||||||||||||
Changes recognized through April 30, 2013: | ||||||||||||||||||||||||||||
Additional transactions reviewed | — | — | — | |||||||||||||||||||||||||
Changes in estimation approach (1) | — | — | — | |||||||||||||||||||||||||
Impact of sponsor actions (2) | (54,195 | ) | — | (54,195 | ) | |||||||||||||||||||||||
All other changes (3) | (21,961 | ) | 35,849 | 13,888 | ||||||||||||||||||||||||
Discounted RMBS subrogation (gross of reinsurance) at April 30, 2013 | $ | 1,004,252 | $ | 1,478,666 | $ | 2,482,918 | ||||||||||||||||||||||
-1 | Represents estimated subrogation for those transactions previously evaluated using the Adverse Sample approach, which are evaluated using a Random Sample approach beginning June 30, 2014. The amounts shown in the Random and Adverse Sample columns are different as a result of the differences in estimation approaches. | |||||||||||||||||||||||||||
-2 | Sponsor actions include loan repurchases, direct payments to Ambac, and other contributions from sponsors. | |||||||||||||||||||||||||||
-3 | All other changes which may impact RMBS 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 are currently in negotiation but have not been subject to a sampling approach. However, such estimates 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 insurance intangible asset is as follows: | ||||||||||||||||||||||||||||
2014 | $ | 66,545 | ||||||||||||||||||||||||||
2015 | 121,914 | |||||||||||||||||||||||||||
2016 | 110,968 | |||||||||||||||||||||||||||
2017 | 102,293 | |||||||||||||||||||||||||||
2018 | 95,522 | |||||||||||||||||||||||||||
Thereafter | 1,052,142 | |||||||||||||||||||||||||||
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 6 Months Ended | ||||||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||||||||||
Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities | ' | ||||||||||||||||||||||||||||
The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of June 30, 2014 and December 31, 2013, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. | |||||||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||
Carrying | Total Fair | Fair Value Measurements Categorized as: | |||||||||||||||||||||||||||
Amount | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||||||
Financial assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Municipal obligations | $ | 981,082 | $ | 981,082 | $ | — | $ | 981,082 | $ | — | |||||||||||||||||||
Corporate obligations | 1,891,834 | 1,891,834 | — | 1,888,083 | 3,751 | ||||||||||||||||||||||||
Foreign obligations | 144,125 | 144,125 | — | 144,125 | — | ||||||||||||||||||||||||
U.S. government obligations | 77,584 | 77,584 | 77,584 | — | — | ||||||||||||||||||||||||
U.S. agency obligations | 30,191 | 30,191 | — | 30,191 | — | ||||||||||||||||||||||||
Residential mortgage-backed securities | 1,853,409 | 1,853,409 | — | 1,853,409 | — | ||||||||||||||||||||||||
Collateralized debt obligations | 144,376 | 144,376 | — | 144,376 | — | ||||||||||||||||||||||||
Other asset-backed securities | 977,830 | 977,830 | — | 915,229 | 62,601 | ||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||||||||||||
U.S. government obligations | 65,029 | 65,029 | 65,029 | — | — | ||||||||||||||||||||||||
Short term investments | 344,187 | 344,187 | 341,647 | 2,540 | — | ||||||||||||||||||||||||
Other investments | 256,455 | 256,455 | — | 256,355 | 100 | ||||||||||||||||||||||||
Cash and cash equivalents | 74,461 | 74,461 | 73,204 | 1,257 | — | ||||||||||||||||||||||||
Loans | 6,349 | 6,349 | — | — | 6,349 | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Credit derivatives | 319 | 319 | — | — | 319 | ||||||||||||||||||||||||
Interest rate swaps—asset position | 89,361 | 89,361 | — | 89,361 | — | ||||||||||||||||||||||||
Interest rate swaps—liability position | — | — | — | — | — | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||||||||
Other assets | 12,782 | 12,782 | — | — | 12,782 | ||||||||||||||||||||||||
Variable interest entity assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Corporate obligations | 2,688,388 | 2,688,388 | — | — | 2,688,388 | ||||||||||||||||||||||||
Restricted cash | 7,712 | 7,712 | 7,712 | — | — | ||||||||||||||||||||||||
Loans | 13,743,231 | 13,743,231 | — | — | 13,743,231 | ||||||||||||||||||||||||
Total financial assets | $ | 23,388,705 | $ | 23,388,705 | $ | 565,176 | $ | 6,306,008 | $ | 16,517,521 | |||||||||||||||||||
Financial liabilities: | |||||||||||||||||||||||||||||
Obligations under investment agreements | $ | 169,582 | $ | 171,999 | $ | — | $ | — | $ | 171,999 | |||||||||||||||||||
Long term debt, including accrued interest | 1,319,997 | 1,506,391 | — | — | 1,506,391 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | 89,970 | 89,970 | — | — | 89,970 | ||||||||||||||||||||||||
Interest rate swaps—asset position | (51,322 | ) | (51,322 | ) | — | (51,322 | ) | — | |||||||||||||||||||||
Interest rate swaps—liability position | 303,317 | 303,317 | — | 174,307 | 129,010 | ||||||||||||||||||||||||
Futures contracts | 180 | 180 | 180 | — | — | ||||||||||||||||||||||||
Other contracts | 128 | 128 | — | 128 | — | ||||||||||||||||||||||||
Liabilities for net financial guarantees written (1) | 4,600,794 | 7,078,178 | — | — | 7,078,178 | ||||||||||||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||||||||||||
Long-term debt | 14,450,434 | 14,450,434 | — | 13,075,385 | 1,375,049 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps—liability position | 1,840,399 | 1,840,399 | — | 1,840,399 | — | ||||||||||||||||||||||||
Currency swaps—liability position | 87,061 | 87,061 | — | 87,061 | — | ||||||||||||||||||||||||
Total financial liabilities | $ | 22,810,540 | $ | 25,476,735 | $ | 180 | $ | 15,125,958 | $ | 10,350,597 | |||||||||||||||||||
-1 | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. | ||||||||||||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||
Carrying | Total Fair | Fair Value Measurements Categorized as: | |||||||||||||||||||||||||||
Amount | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Financial assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Municipal obligations | $ | 1,377,723 | $ | 1,377,723 | $ | — | $ | 1,377,723 | $ | — | |||||||||||||||||||
Corporate obligations | 1,489,369 | 1,489,369 | — | 1,485,867 | 3,502 | ||||||||||||||||||||||||
Foreign obligations | 124,877 | 124,877 | — | 124,877 | — | ||||||||||||||||||||||||
U.S. government obligations | 126,248 | 126,248 | 126,248 | — | — | ||||||||||||||||||||||||
U.S. agency obligations | 32,154 | 32,154 | — | 31,946 | 208 | ||||||||||||||||||||||||
Residential mortgage-backed securities | 1,558,625 | 1,558,625 | — | 1,558,625 | — | ||||||||||||||||||||||||
Collateralized debt obligations | 183,872 | 183,872 | — | 183,872 | — | ||||||||||||||||||||||||
Other asset-backed securities | 992,448 | 992,448 | — | 928,375 | 64,073 | ||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||||||||||||
U.S. government obligations | 126,223 | 126,223 | 126,223 | — | — | ||||||||||||||||||||||||
Short term investments | 271,119 | 271,119 | 267,612 | 3,507 | — | ||||||||||||||||||||||||
Other investments | 241,069 | 241,069 | — | 240,969 | 100 | ||||||||||||||||||||||||
Cash and cash equivalents | 77,370 | 77,370 | 74,425 | 2,945 | — | ||||||||||||||||||||||||
Loans | 6,179 | 6,238 | — | — | 6,238 | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Interest rate swaps—asset position | 76,631 | 76,631 | — | 76,631 | — | ||||||||||||||||||||||||
Interest rate swaps—liability position | (1,257 | ) | (1,257 | ) | — | (1,257 | ) | — | |||||||||||||||||||||
Futures contracts | 2,337 | 2,337 | 2,337 | — | — | ||||||||||||||||||||||||
Other assets | 13,384 | 13,384 | — | — | 13,384 | ||||||||||||||||||||||||
Variable interest entity assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Corporate obligations | 2,475,182 | 2,475,182 | — | — | 2,475,182 | ||||||||||||||||||||||||
Restricted cash | 17,498 | 17,498 | 17,498 | — | — | ||||||||||||||||||||||||
Loans | 13,398,895 | 13,398,895 | — | — | 13,398,895 | ||||||||||||||||||||||||
Total financial assets | $ | 22,589,946 | $ | 22,590,005 | $ | 614,343 | $ | 6,014,080 | $ | 15,961,582 | |||||||||||||||||||
Financial liabilities: | |||||||||||||||||||||||||||||
Obligations under investment agreements | $ | 359,070 | $ | 360,506 | $ | — | $ | — | $ | 360,506 | |||||||||||||||||||
Long term debt, including accrued interest | 1,256,602 | 1,215,029 | — | — | 1,215,029 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | 94,322 | 94,322 | — | — | 94,322 | ||||||||||||||||||||||||
Interest rate swaps—asset position | (55,619 | ) | (55,619 | ) | — | (55,619 | ) | — | |||||||||||||||||||||
Interest rate swaps—liability position | 215,030 | 215,030 | — | 122,418 | 92,612 | ||||||||||||||||||||||||
Other contracts | 165 | 165 | — | 165 | — | ||||||||||||||||||||||||
Liabilities for net financial guarantees written (1) | 4,509,539 | 4,876,617 | — | — | 4,876,617 | ||||||||||||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||||||||||||
Long-term debt | 14,091,753 | 14,091,753 | — | 12,577,148 | 1,514,605 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps—liability position | 1,680,834 | 1,680,834 | — | 1,680,834 | — | ||||||||||||||||||||||||
Currency swaps—liability position | 91,472 | 91,472 | — | 91,472 | — | ||||||||||||||||||||||||
Total financial liabilities | $ | 22,243,168 | $ | 22,570,109 | $ | — | $ | 14,416,418 | $ | 8,153,691 | |||||||||||||||||||
Successor Ambac | |||||||||||||||||||||||||||||
Carrying | Total Fair | Fair Value Measurements Categorized as: | |||||||||||||||||||||||||||
Amount | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||||||
Financial assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Municipal obligations | $ | 981,082 | $ | 981,082 | $ | — | $ | 981,082 | $ | — | |||||||||||||||||||
Corporate obligations | 1,891,834 | 1,891,834 | — | 1,888,083 | 3,751 | ||||||||||||||||||||||||
Foreign obligations | 144,125 | 144,125 | — | 144,125 | — | ||||||||||||||||||||||||
U.S. government obligations | 77,584 | 77,584 | 77,584 | — | — | ||||||||||||||||||||||||
U.S. agency obligations | 30,191 | 30,191 | — | 30,191 | — | ||||||||||||||||||||||||
Residential mortgage-backed securities | 1,853,409 | 1,853,409 | — | 1,853,409 | — | ||||||||||||||||||||||||
Collateralized debt obligations | 144,376 | 144,376 | — | 144,376 | — | ||||||||||||||||||||||||
Other asset-backed securities | 977,830 | 977,830 | — | 915,229 | 62,601 | ||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | |||||||||||||||||||||||||||||
U.S. government obligations | 65,029 | 65,029 | 65,029 | — | — | ||||||||||||||||||||||||
Short term investments | 344,187 | 344,187 | 341,647 | 2,540 | — | ||||||||||||||||||||||||
Other investments | 256,455 | 256,455 | — | 256,355 | 100 | ||||||||||||||||||||||||
Cash and cash equivalents | 74,461 | 74,461 | 73,204 | 1,257 | — | ||||||||||||||||||||||||
Loans | 6,349 | 6,349 | — | — | 6,349 | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Credit derivatives | 319 | 319 | — | — | 319 | ||||||||||||||||||||||||
Interest rate swaps—asset position | 89,361 | 89,361 | — | 89,361 | — | ||||||||||||||||||||||||
Interest rate swaps—liability position | — | — | — | — | — | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||||||||
Other assets | 12,782 | 12,782 | — | — | 12,782 | ||||||||||||||||||||||||
Variable interest entity assets: | |||||||||||||||||||||||||||||
Fixed income securities: | |||||||||||||||||||||||||||||
Corporate obligations | 2,688,388 | 2,688,388 | — | — | 2,688,388 | ||||||||||||||||||||||||
Restricted cash | 7,712 | 7,712 | 7,712 | — | — | ||||||||||||||||||||||||
Loans | 13,743,231 | 13,743,231 | — | — | 13,743,231 | ||||||||||||||||||||||||
Total financial assets | $ | 23,388,705 | $ | 23,388,705 | $ | 565,176 | $ | 6,306,008 | $ | 16,517,521 | |||||||||||||||||||
Financial liabilities: | |||||||||||||||||||||||||||||
Obligations under investment agreements | $ | 169,582 | $ | 171,999 | $ | — | $ | — | $ | 171,999 | |||||||||||||||||||
Long term debt, including accrued interest | 1,319,997 | 1,506,391 | — | — | 1,506,391 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | 89,970 | 89,970 | — | — | 89,970 | ||||||||||||||||||||||||
Interest rate swaps—asset position | (51,322 | ) | (51,322 | ) | — | (51,322 | ) | — | |||||||||||||||||||||
Interest rate swaps—liability position | 303,317 | 303,317 | — | 174,307 | 129,010 | ||||||||||||||||||||||||
Futures contracts | 180 | 180 | 180 | — | — | ||||||||||||||||||||||||
Other contracts | 128 | 128 | — | 128 | — | ||||||||||||||||||||||||
Liabilities for net financial guarantees written (1) | 4,600,794 | 7,078,178 | — | — | 7,078,178 | ||||||||||||||||||||||||
Variable interest entity liabilities: | |||||||||||||||||||||||||||||
Long-term debt | 14,450,434 | 14,450,434 | — | 13,075,385 | 1,375,049 | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps—liability position | 1,840,399 | 1,840,399 | — | 1,840,399 | — | ||||||||||||||||||||||||
Currency swaps—liability position | 87,061 | 87,061 | — | 87,061 | — | ||||||||||||||||||||||||
Total financial liabilities | $ | 22,810,540 | $ | 25,476,735 | $ | 180 | $ | 15,125,958 | $ | 10,350,597 | |||||||||||||||||||
Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 | ' | ||||||||||||||||||||||||||||
Information about the above described model inputs used to determine the fair value of each class of credit derivatives, including the CVA as a percentage of the gross mark-to-market liability before considering Ambac credit risk (“CVA percentage”), as of June 30, 2014 and December 31, 2013 is summarized below: | |||||||||||||||||||||||||||||
Successor Ambac - As of June 30, 2014 | CLOs | Other (1) | |||||||||||||||||||||||||||
Notional outstanding | $ | 841,744 | $ | 1,273,684 | |||||||||||||||||||||||||
Weighted average reference obligation price | 98.7 | 87.9 | |||||||||||||||||||||||||||
Weighted average life (WAL) in years | 1.9 | 5 | |||||||||||||||||||||||||||
Weighted average credit rating | AA | BBB- | |||||||||||||||||||||||||||
Weighted average relative change ratio | 35.6 | % | 43.5 | % | |||||||||||||||||||||||||
CVA percentage | 6.05 | % | 15.8 | % | |||||||||||||||||||||||||
Fair value of derivative liabilities | $ | 3,811 | $ | 84,359 | |||||||||||||||||||||||||
Successor Ambac - As of December 31, 2013 | CLOs | Other (1) | |||||||||||||||||||||||||||
Notional outstanding | $ | 1,337,737 | $ | 1,291,371 | |||||||||||||||||||||||||
Weighted average reference obligation price | 98 | 85.7 | |||||||||||||||||||||||||||
Weighted average life (WAL) in years | 2.1 | 5.4 | |||||||||||||||||||||||||||
Weighted average credit rating | AA | BBB- | |||||||||||||||||||||||||||
Weighted average relative change ratio | 35.3 | % | 43.1 | % | |||||||||||||||||||||||||
CVA percentage | 13.67 | % | 30.7 | % | |||||||||||||||||||||||||
Fair value of derivative liabilities | $ | 7,993 | $ | 84,780 | |||||||||||||||||||||||||
-1 | Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of $58,801, WAL of 1.7 years and liability fair value of $1,800 as of June 30, 2014. Other inputs to the valuation of these transactions at June 30, 2014 include weighted average quotes of 4% of notional, weighted average rating of A and Ambac CVA percentage of 3.58%. As of December 31, 2013, these contracts had a combined notional outstanding of $146,995, WAL of 1.0 years and liability fair value of $1,549. Other inputs to the valuation of these transactions at December 31, 2013 include weighted average quotes of 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 8.7%. | ||||||||||||||||||||||||||||
Summary of Changes in Level 3 Fair Value Category | ' | ||||||||||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (108,752 | ) | $ | (213,585 | ) | $ | (322,337 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (28,162 | ) | (60,384 | ) | (88,546 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | (1,033 | ) | (3,444 | ) | (4,477 | ) | |||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (28,162 | ) | $ | (63,840 | ) | $ | (92,002 | ) | ||||||||||||||||||||
The following tables present the changes in the Level 3 fair value category for the periods presented in 2014 and 2013. Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. | |||||||||||||||||||||||||||||
Level-3 financial assets and liabilities accounted for at fair value | |||||||||||||||||||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 66,923 | $ | 13,122 | $ | (202,482 | ) | $ | 2,546,762 | $ | 13,269,452 | $ | (1,284,394 | ) | $ | 14,409,383 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 422 | (340 | ) | (25,959 | ) | 74,317 | 204,722 | (61,028 | ) | 192,134 | |||||||||||||||||||
Included in other comprehensive income | (124 | ) | — | — | 67,309 | 328,415 | (29,627 | ) | 365,973 | ||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (869 | ) | — | 9,780 | — | (59,358 | ) | — | (50,447 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Balance, end of period | $ | 66,352 | $ | 12,782 | $ | (218,661 | ) | $ | 2,688,388 | $ | 13,743,231 | $ | (1,375,049 | ) | $ | 14,917,043 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (340 | ) | $ | (27,284 | ) | $ | 74,317 | $ | 204,722 | $ | (61,028 | ) | $ | 190,387 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 67,783 | $ | 13,384 | $ | (186,934 | ) | $ | 2,475,182 | $ | 13,398,895 | $ | (1,514,605 | ) | $ | 14,253,705 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 841 | (602 | ) | (40,208 | ) | 130,062 | 526,569 | (251,990 | ) | 364,672 | |||||||||||||||||||
Included in other comprehensive income | (341 | ) | — | — | 83,144 | 408,217 | (38,248 | ) | 452,772 | ||||||||||||||||||||
Purchases | — | — | — | — | 70,000 | — | 70,000 | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (1,723 | ) | — | 8,481 | — | (660,450 | ) | 429,794 | (223,898 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | (208 | ) | — | — | — | — | — | (208 | ) | ||||||||||||||||||||
Balance, end of period | $ | 66,352 | $ | 12,782 | $ | (218,661 | ) | $ | 2,688,388 | $ | 13,743,231 | $ | (1,375,049 | ) | $ | 14,917,043 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (602 | ) | $ | (42,315 | ) | $ | 130,062 | $ | 521,436 | $ | (248,852 | ) | $ | 359,729 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | — | — | ||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 395 | (177 | ) | 70,127 | (208,998 | ) | (586,641 | ) | 4,347 | (720,947 | ) | ||||||||||||||||||
Included in other comprehensive income | 63 | — | — | (48,578 | ) | (282,421 | ) | 28,214 | (302,722 | ) | |||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (1,298 | ) | — | 4,570 | — | (62,113 | ) | — | (58,841 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | (220,922 | ) | (220,922 | ) | ||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 365,046 | 365,046 | ||||||||||||||||||||||
Balance, end of period | $ | 68,572 | $ | 13,884 | $ | (340,663 | ) | $ | 2,242,989 | $ | 13,820,878 | $ | (1,573,687 | ) | $ | 14,231,973 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (177 | ) | $ | 32,525 | $ | (208,998 | ) | $ | (586,641 | ) | $ | 4,347 | $ | (758,944 | ) | |||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 57,791 | $ | 14,230 | $ | (328,689 | ) | $ | 2,414,607 | $ | 14,116,811 | $ | (1,910,589 | ) | $ | 14,364,161 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | (409,300 | ) | (409,300 | ) | ||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (10 | ) | (169 | ) | (85,384 | ) | 31,474 | 555,946 | (11,521 | ) | 490,336 | ||||||||||||||||||
Included in other comprehensive income | 11,631 | — | — | 54,484 | 105,622 | (42,918 | ) | 128,819 | |||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | — | — | (1,287 | ) | — | (26,326 | ) | — | (27,613 | ) | |||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 623,956 | 623,956 | ||||||||||||||||||||||
Balance, end of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (169 | ) | $ | (86,320 | ) | $ | 31,474 | $ | 555,946 | $ | (11,521 | ) | $ | 489,410 | ||||||||||||
VIE Assets and Liabilities | |||||||||||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Investments | Other | Derivatives | Investments | Loans | Long-term | Total | ||||||||||||||||||||||
assets | debt | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 60,402 | $ | 14,557 | $ | (322,337 | ) | $ | 2,261,294 | $ | 15,359,073 | $ | (2,956,501 | ) | $ | 14,416,488 | |||||||||||||
Additions of VIEs consolidated | — | — | — | — | — | (409,300 | ) | (409,300 | ) | ||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (33 | ) | (496 | ) | (88,546 | ) | 328,768 | 956,402 | (138,914 | ) | 1,057,181 | ||||||||||||||||||
Included in other comprehensive income | 12,329 | — | — | (89,497 | ) | (849,833 | ) | 150,987 | (776,014 | ) | |||||||||||||||||||
Purchases | — | — | — | — | — | — | — | ||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | ||||||||||||||||||||||
Sales | — | — | — | — | — | — | — | ||||||||||||||||||||||
Settlements | (3,286 | ) | — | (4,477 | ) | — | (713,589 | ) | 4,864 | (716,488 | ) | ||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | 1,598,492 | 1,598,492 | ||||||||||||||||||||||
Balance, end of period | $ | 69,412 | $ | 14,061 | $ | (415,360 | ) | $ | 2,500,565 | $ | 14,752,053 | $ | (1,750,372 | ) | $ | 15,170,359 | |||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | (496 | ) | $ | (92,002 | ) | $ | 328,768 | $ | 956,402 | $ | (138,914 | ) | $ | 1,053,758 | ||||||||||||
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. | |||||||||||||||||||||||||||||
Level-3 Investments by class | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | — | $ | 63,367 | $ | 3,556 | $ | — | $ | 66,923 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | — | 446 | (24 | ) | — | 422 | |||||||||||||||||||||||
Included in other comprehensive income | — | (343 | ) | 219 | — | (124 | ) | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | (869 | ) | — | — | (869 | ) | ||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | — | $ | 62,601 | $ | 3,751 | $ | — | $ | 66,352 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | — | $ | 64,073 | $ | 3,502 | $ | 208 | $ | 67,783 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | — | 889 | (48 | ) | — | 841 | |||||||||||||||||||||||
Included in other comprehensive income | — | (638 | ) | 297 | — | (341 | ) | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | (1,723 | ) | — | — | (1,723 | ) | ||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | (208 | ) | (208 | ) | |||||||||||||||||||||||
Balance, end of period | $ | — | $ | 62,601 | $ | 3,751 | $ | — | $ | 66,352 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 18 | 392 | (15 | ) | — | 395 | |||||||||||||||||||||||
Included in other comprehensive income | (11 | ) | 319 | (245 | ) | — | 63 | ||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | (541 | ) | (757 | ) | — | — | (1,298 | ) | |||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,415 | $ | 61,736 | $ | 3,421 | $ | — | $ | 68,572 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 3,905 | $ | 50,234 | $ | 3,652 | $ | — | $ | 57,791 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (3 | ) | — | (7 | ) | — | (10 | ) | |||||||||||||||||||||
Included in other comprehensive income | 47 | 11,548 | 36 | — | 11,631 | ||||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | — | — | — | — | — | ||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Predecessor Ambac - Period from January 1 through April 30, 2013 | Collateralized | Other Asset | Corporate | U.S. Agency | Total | ||||||||||||||||||||||||
Debt | Backed | Obligations | Obligations | Investments | |||||||||||||||||||||||||
Obligations | Securities | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | 6,482 | $ | 50,264 | $ | 3,656 | $ | — | $ | 60,402 | |||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (6 | ) | — | (27 | ) | — | (33 | ) | |||||||||||||||||||||
Included in other comprehensive income | 160 | 12,117 | 52 | — | 12,329 | ||||||||||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | ||||||||||||||||||||||||
Sales | — | — | — | — | — | ||||||||||||||||||||||||
Settlements | (2,687 | ) | (599 | ) | — | — | (3,286 | ) | |||||||||||||||||||||
Transfers in Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | ||||||||||||||||||||||||
Balance, end of period | $ | 3,949 | $ | 61,782 | $ | 3,681 | $ | — | $ | 69,412 | |||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Level-3 Derivatives by class | |||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (114,767 | ) | $ | (87,715 | ) | $ | (202,482 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (24,740 | ) | (1,219 | ) | (25,959 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,497 | (717 | ) | 9,780 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (24,740 | ) | $ | (2,544 | ) | $ | (27,284 | ) | ||||||||||||||||||||
Successor Ambac - Period ended January 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (92,612 | ) | $ | (94,322 | ) | $ | (186,934 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (46,371 | ) | 6,163 | (40,208 | ) | ||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 9,973 | (1,492 | ) | 8,481 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (46,371 | ) | $ | 4,056 | $ | (42,315 | ) | |||||||||||||||||||||
Successor Ambac – Period from May 1 through June 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 18,907 | 51,220 | 70,127 | ||||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,644 | (6,074 | ) | 4,570 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (108,396 | ) | $ | (232,267 | ) | $ | (340,663 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | 18,907 | $ | 13,618 | $ | 32,525 | |||||||||||||||||||||||
Predecessor Ambac – Period from April 1 through April 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (125,382 | ) | $ | (203,307 | ) | $ | (328,689 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (12,213 | ) | (73,171 | ) | (85,384 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | (352 | ) | (935 | ) | (1,287 | ) | |||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (12,213 | ) | $ | (74,107 | ) | $ | (86,320 | ) | ||||||||||||||||||||
Predecessor Ambac – Period from January 1 through April 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (108,752 | ) | $ | (213,585 | ) | $ | (322,337 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (28,162 | ) | (60,384 | ) | (88,546 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | (1,033 | ) | (3,444 | ) | (4,477 | ) | |||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (28,162 | ) | $ | (63,840 | ) | $ | (92,002 | ) | ||||||||||||||||||||
Successor Ambac – Period from May 1 through June 30, 2013 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (137,947 | ) | $ | (277,413 | ) | $ | (415,360 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | 18,907 | 51,220 | 70,127 | ||||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,644 | (6,074 | ) | 4,570 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (108,396 | ) | $ | (232,267 | ) | $ | (340,663 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | 18,907 | $ | 13,618 | $ | 32,525 | |||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (114,767 | ) | $ | (87,715 | ) | $ | (202,482 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (24,740 | ) | (1,219 | ) | (25,959 | ) | |||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 10,497 | (717 | ) | 9,780 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (24,740 | ) | $ | (2,544 | ) | $ | (27,284 | ) | ||||||||||||||||||||
Successor Ambac - Period ended January 1 through June 30, 2014 | Interest Rate | Credit | Total | ||||||||||||||||||||||||||
Swaps | Derivatives | Derivatives | |||||||||||||||||||||||||||
Balance, beginning of period | $ | (92,612 | ) | $ | (94,322 | ) | $ | (186,934 | ) | ||||||||||||||||||||
Additions of VIEs consolidated | — | — | — | ||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | |||||||||||||||||||||||||||||
Included in earnings | (46,371 | ) | 6,163 | (40,208 | ) | ||||||||||||||||||||||||
Included in other comprehensive income | — | — | — | ||||||||||||||||||||||||||
Purchases | — | — | — | ||||||||||||||||||||||||||
Issuances | — | — | — | ||||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Settlements | 9,973 | (1,492 | ) | 8,481 | |||||||||||||||||||||||||
Transfers in Level 3 | — | — | — | ||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | ||||||||||||||||||||||||||
Deconsolidation of VIEs | — | — | — | ||||||||||||||||||||||||||
Balance, end of period | $ | (129,010 | ) | $ | (89,651 | ) | $ | (218,661 | ) | ||||||||||||||||||||
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | $ | (46,371 | ) | $ | 4,056 | $ | (42,315 | ) | |||||||||||||||||||||
Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings | ' | ||||||||||||||||||||||||||||
Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows: | |||||||||||||||||||||||||||||
Net | Realized | Unrealized | Derivative | (Loss) income on | Other | ||||||||||||||||||||||||
investment | gains or | gains or | products | variable | income | ||||||||||||||||||||||||
income | (losses) and | (losses) on | revenues | interest | or (loss) | ||||||||||||||||||||||||
other | credit | (interest rate | entities | ||||||||||||||||||||||||||
settlements | derivative | swaps) | |||||||||||||||||||||||||||
on credit | contracts | ||||||||||||||||||||||||||||
derivative | |||||||||||||||||||||||||||||
contracts | |||||||||||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 422 | $ | 717 | $ | (1,936 | ) | $ | (24,740 | ) | $ | 218,011 | $ | (340 | ) | ||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (2,544 | ) | (24,740 | ) | 218,011 | (340 | ) | ||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 841 | $ | 1,492 | $ | 4,671 | $ | (46,371 | ) | $ | 404,641 | $ | (602 | ) | |||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 4,056 | (46,371 | ) | 402,646 | (602 | ) | |||||||||||||||||||||
Successor Ambac: | |||||||||||||||||||||||||||||
Period from May 1 through June 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | 395 | $ | 6,074 | $ | 45,146 | $ | 18,907 | $ | (791,292 | ) | $ | (177 | ) | |||||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | 13,618 | 18,907 | (791,292 | ) | (177 | ) | |||||||||||||||||||||
Predecessor Ambac: | |||||||||||||||||||||||||||||
Period from April 1 through April 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | (10 | ) | $ | 935 | $ | (74,106 | ) | $ | (12,213 | ) | $ | 575,899 | $ | (169 | ) | |||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (74,107 | ) | (12,213 | ) | 575,899 | (169 | ) | ||||||||||||||||||||
Predecessor Ambac: | |||||||||||||||||||||||||||||
Period from January 1 through April 30, 2013 | |||||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | (33 | ) | $ | 3,444 | $ | (63,828 | ) | $ | (28,162 | ) | $ | 1,146,256 | $ | (496 | ) | |||||||||||||
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | — | — | (63,840 | ) | (28,162 | ) | 1,146,256 | (496 | ) | ||||||||||||||||||||
Investments_Tables
Investments (Tables) | 6 Months Ended | |||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||
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 June 30, 2014 and December 31, 2013 were as follows: | ||||||||||||||||||||||||
Amortized | Gross | Gross | Estimated | Non-credit other- | ||||||||||||||||||||
Cost | Unrealized | Unrealized | Fair Value | than-temporary | ||||||||||||||||||||
Gains | Losses | Impairments (1) | ||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | 969,764 | $ | 19,268 | $ | 7,950 | $ | 981,082 | $ | — | ||||||||||||||
Corporate obligations | 1,879,233 | 20,139 | 7,538 | 1,891,834 | — | |||||||||||||||||||
Foreign obligations | 148,791 | 532 | 5,198 | 144,125 | — | |||||||||||||||||||
U.S. government obligations | 79,402 | 59 | 1,877 | 77,584 | — | |||||||||||||||||||
U.S. agency obligations | 30,210 | 22 | 41 | 30,191 | — | |||||||||||||||||||
Residential mortgage-backed securities | 1,686,675 | 174,110 | 7,376 | 1,853,409 | 1,931 | |||||||||||||||||||
Collateralized debt obligations | 144,386 | 319 | 329 | 144,376 | — | |||||||||||||||||||
Other asset-backed securities | 929,997 | 47,865 | 32 | 977,830 | — | |||||||||||||||||||
5,868,458 | 262,314 | 30,341 | 6,100,431 | 1,931 | ||||||||||||||||||||
Short-term | 344,187 | 1 | 1 | 344,187 | — | |||||||||||||||||||
6,212,645 | 262,315 | 30,342 | 6,444,618 | 1,931 | ||||||||||||||||||||
Fixed income securities pledged as collateral: | ||||||||||||||||||||||||
U.S. government obligations | 65,027 | 2 | — | 65,029 | — | |||||||||||||||||||
Total collateralized investments | 65,027 | 2 | — | 65,029 | — | |||||||||||||||||||
Total available-for-sale investments | $ | 6,277,672 | $ | 262,317 | $ | 30,342 | $ | 6,509,647 | $ | 1,931 | ||||||||||||||
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 | ||||||||||||||
-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 June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
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 June 30, 2014, by contractual maturity, were as follows: | ||||||||||||||||||||||||
Amortized | Estimated | |||||||||||||||||||||||
Cost | Fair Value | |||||||||||||||||||||||
Due in one year or less | $ | 572,605 | $ | 572,407 | ||||||||||||||||||||
Due after one year through five years | 1,181,838 | 1,185,501 | ||||||||||||||||||||||
Due after five years through ten years | 1,322,550 | 1,327,073 | ||||||||||||||||||||||
Due after ten years | 439,621 | 449,051 | ||||||||||||||||||||||
3,516,614 | 3,534,032 | |||||||||||||||||||||||
Residential mortgage-backed securities | 1,686,675 | 1,853,409 | ||||||||||||||||||||||
Collateralized debt obligations | 144,386 | 144,376 | ||||||||||||||||||||||
Other asset-backed securities | 929,997 | 977,830 | ||||||||||||||||||||||
$ | 6,277,672 | $ | 6,509,647 | |||||||||||||||||||||
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 June 30, 2014 and December 31, 2013: | ||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair Value | Gross | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Loss | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | 49,581 | $ | 200 | $ | 205,645 | $ | 7,750 | $ | 255,226 | $ | 7,950 | ||||||||||||
Corporate obligations | 213,064 | 1,655 | 243,059 | 5,883 | 456,123 | 7,538 | ||||||||||||||||||
Foreign government obligations | 50,394 | 1,284 | 61,621 | 3,914 | 112,015 | 5,198 | ||||||||||||||||||
U.S. government obligations | 15,325 | 824 | 15,737 | 1,053 | 31,062 | 1,877 | ||||||||||||||||||
U.S. agency obligations | — | — | 4,460 | 41 | 4,460 | 41 | ||||||||||||||||||
Residential mortgage-backed securities | 167,511 | 7,186 | 10,130 | 190 | 177,641 | 7,376 | ||||||||||||||||||
Collateralized debt obligations | 10,055 | 329 | — | — | 10,055 | 329 | ||||||||||||||||||
Other asset-backed securities | 32,969 | 32 | — | — | 32,969 | 32 | ||||||||||||||||||
538,899 | 11,510 | 540,652 | 18,831 | 1,079,551 | 30,341 | |||||||||||||||||||
Short-term | 4,009 | 1 | — | — | 4,009 | 1 | ||||||||||||||||||
Total temporarily impaired securities | $ | 542,908 | $ | 11,511 | $ | 540,652 | $ | 18,831 | $ | 1,083,560 | $ | 30,342 | ||||||||||||
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, as of December 31, 2013 Successor Ambac did not have any gross unrealized losses that were in a continuous unrealized loss position for greater than 12 months. | |||||||||||||||||||||||
Summary of Amounts Included in Net Realized (Losses) Gains 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 April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||
Gross realized gains on securities | $ | 10,120 | $ | 16,612 | $ | 5,870 | ||||||||||||||||||
Gross realized losses on securities | (2,742 | ) | (1,592 | ) | (2 | ) | ||||||||||||||||||
Foreign exchange losses | (4,311 | ) | 3,452 | 1,377 | ||||||||||||||||||||
Net realized gains | $ | 3,067 | $ | 18,472 | $ | 7,245 | ||||||||||||||||||
Net other-than-temporary impairments (1) | $ | (8,754 | ) | $ | (2,002 | ) | $ | (467 | ) | |||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||
Gross realized gains on securities | $ | 29,697 | $ | 16,612 | $ | 47,448 | ||||||||||||||||||
Gross realized losses on securities | (3,871 | ) | (1,592 | ) | (320 | ) | ||||||||||||||||||
Foreign exchange (losses) gains | (6,470 | ) | 3,452 | 6,177 | ||||||||||||||||||||
Net realized gains | $ | 19,356 | $ | 18,472 | $ | 53,305 | ||||||||||||||||||
Net other-than-temporary impairments (1) | $ | (19,146 | ) | $ | (2,002 | ) | $ | (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. | |||||||||||||||||||||||
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 June 30, 2014 and 2013 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: | ||||||||||||||||||||||||
Credit | ||||||||||||||||||||||||
Impairment | ||||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Balance as of January 1, 2014 | $ | 1,182 | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 9,696 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | — | |||||||||||||||||||||||
Securities that no longer have a portion of other-than-temporary impairment in other comprehensive income because of Ambac's intent to sell such securities | — | |||||||||||||||||||||||
Balance as of June 30, 2014 | $ | 10,878 | ||||||||||||||||||||||
Predecessor Ambac: | ||||||||||||||||||||||||
Balance as of January 1, 2013 | $ | 183,300 | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 467 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | (183,767 | ) | ||||||||||||||||||||||
Balance as of April 30, 2013 | $ | — | ||||||||||||||||||||||
Successor Ambac: | ||||||||||||||||||||||||
Balance as of May 1, 2013 | $ | — | ||||||||||||||||||||||
Additions for credit impairments recognized on: | ||||||||||||||||||||||||
Securities not previously impaired | 2,002 | |||||||||||||||||||||||
Securities previously impaired | — | |||||||||||||||||||||||
Reductions for credit impairments previously recognized on: | ||||||||||||||||||||||||
Securities that matured or were sold during the period | — | |||||||||||||||||||||||
Balance as of June 30, 2013 | $ | 2,002 | ||||||||||||||||||||||
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 June 30, 2014 and December 31, 2013: | ||||||||||||||||||||||||
Fair Value of | Fair Value of Cash | Fair Value of | ||||||||||||||||||||||
Cash and | and Securities | Cash and | ||||||||||||||||||||||
Underlying | Pledged to | Securities | ||||||||||||||||||||||
Securities | Investment Agreement | Pledged to | ||||||||||||||||||||||
Counterparties | Derivative | |||||||||||||||||||||||
Counterparties | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014 | ||||||||||||||||||||||||
Sources of Collateral: | ||||||||||||||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 328,258 | $ | 168,171 | $ | 160,087 | ||||||||||||||||||
Cash and securities pledged from derivative counterparties | $ | — | $ | — | $ | — | ||||||||||||||||||
Successor Ambac - December 31, 2013 | ||||||||||||||||||||||||
Sources of Collateral: | ||||||||||||||||||||||||
Cash and securities pledged directly from the investment portfolio | $ | 500,986 | $ | 371,723 | $ | 129,263 | ||||||||||||||||||
Cash and securities pledged from derivative counterparties | $ | 690 | $ | — | $ | — | ||||||||||||||||||
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 June 30, 2014 and December 31, 2013, respectively: | ||||||||||||||||||||||||
Municipal | Corporate | Mortgage | Short-term | Total | Weighted | |||||||||||||||||||
obligations | obligations | and asset- | Average | |||||||||||||||||||||
backed | Underlying Rating (1) | |||||||||||||||||||||||
securities | ||||||||||||||||||||||||
Successor Ambac - June 30, 2014: | ||||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 68,194 | $ | — | $ | 2,173,188 | $ | — | $ | 2,241,382 | CCC- | |||||||||||||
Assured Guaranty Municipal Corporation | 291,532 | 78,492 | — | — | 370,024 | A+ | ||||||||||||||||||
National Public Finance Guarantee Corporation | 255,505 | 37,801 | — | — | 293,306 | A+ | ||||||||||||||||||
MBIA Insurance Corporation | — | — | — | — | — | |||||||||||||||||||
Assured Guaranty Corporation | — | — | 2,686 | — | 2,686 | D | ||||||||||||||||||
Financial Guarantee Insurance Corporation | — | — | 2,334 | — | 2,334 | D | ||||||||||||||||||
Total | $ | 615,231 | $ | 116,293 | $ | 2,178,208 | $ | — | $ | 2,909,732 | B | |||||||||||||
Successor Ambac - December 31, 2013: | ||||||||||||||||||||||||
Ambac Assurance Corporation (2) | $ | 64,596 | $ | — | $ | 1,747,283 | $ | — | $ | 1,811,879 | CCC+ | |||||||||||||
Assured Guaranty Municipal Corporation | 372,392 | 77,163 | — | — | 449,555 | A+ | ||||||||||||||||||
National Public Finance Guarantee Corporation | 532,752 | 37,642 | — | — | 570,394 | 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- | |||||||||||||
-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 $51,395 and $50,953 at June 30, 2014 and December 31, 2013, respectively, insured by Ambac UK. | |||||||||||||||||||||||
Summary of Net Investment Income | ' | |||||||||||||||||||||||
Net investment income was comprised of the following for the affected periods: | ||||||||||||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||
Fixed income securities | $ | 78,554 | $ | 30,431 | $ | 31,766 | ||||||||||||||||||
Short-term investments | 865 | 162 | 82 | |||||||||||||||||||||
Loans | 175 | 84 | 38 | |||||||||||||||||||||
Investment expense | (2,712 | ) | (1,466 | ) | (572 | ) | ||||||||||||||||||
Securities available-for-sale and short-term | 76,882 | 29,211 | 31,314 | |||||||||||||||||||||
Other investments | 3,211 | (3,015 | ) | 912 | ||||||||||||||||||||
Total net investment income | $ | 80,093 | $ | 26,196 | $ | 32,226 | ||||||||||||||||||
Successor Ambac – | Predecessor Ambac – | |||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||
Fixed income securities | $ | 149,539 | $ | 30,431 | $ | 118,097 | ||||||||||||||||||
Short-term investments | 1,168 | 162 | 677 | |||||||||||||||||||||
Loans | 292 | 84 | 146 | |||||||||||||||||||||
Investment expense | (5,310 | ) | (1,466 | ) | (2,549 | ) | ||||||||||||||||||
Securities available-for-sale and short-term | 145,689 | 29,211 | 116,371 | |||||||||||||||||||||
Other investments | 5,205 | (3,015 | ) | 369 | ||||||||||||||||||||
Total net investment income | $ | 150,894 | $ | 26,196 | $ | 116,740 | ||||||||||||||||||
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 6 Months Ended | |||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||
Summary of Gross Fair Values of Individual Derivative Instruments | ' | |||||||||||||||||||
The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of June 30, 2014 and December 31, 2013. | ||||||||||||||||||||
Gross | Gross | Net | Gross | Net Amount | ||||||||||||||||
Amounts of | Amounts | Amounts of | Amount of | |||||||||||||||||
Recognized | Offset in the | Assets / | Collateral | |||||||||||||||||
Assets / | Consolidated | Liabilities | Received / | |||||||||||||||||
Liabilities | Balance | Presented in | Pledged Not | |||||||||||||||||
Sheet | the | Offset in the | ||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||
Balance | Balance Sheet | |||||||||||||||||||
Sheet | ||||||||||||||||||||
Successor Ambac—June 30, 2014: | ||||||||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Credit derivatives | $ | 319 | $ | — | $ | 319 | $ | — | $ | 319 | ||||||||||
Interest rate swaps | $ | 140,683 | $ | 51,322 | $ | 89,361 | $ | — | $ | 89,361 | ||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Total non-VIE derivative assets | $ | 141,002 | $ | 51,322 | $ | 89,680 | $ | — | $ | 89,680 | ||||||||||
Derivative Liabilities: | ||||||||||||||||||||
Credit derivatives | $ | 89,970 | $ | — | $ | 89,970 | $ | — | $ | 89,970 | ||||||||||
Interest rate swaps | 303,317 | 51,322 | 251,995 | 102,977 | 149,018 | |||||||||||||||
Futures contracts | 180 | — | 180 | 180 | — | |||||||||||||||
Other contracts | 128 | — | 128 | — | 128 | |||||||||||||||
Total non-VIE derivative liabilities | $ | 393,595 | $ | 51,322 | $ | 342,273 | $ | 103,157 | $ | 239,116 | ||||||||||
Variable Interest Entities | ||||||||||||||||||||
Interest rate swaps | $ | 1,840,399 | $ | — | $ | 1,840,399 | $ | — | $ | 1,840,399 | ||||||||||
Currency swaps | 87,061 | — | 87,061 | — | 87,061 | |||||||||||||||
Total VIE derivative liabilities | $ | 1,927,460 | $ | — | $ | 1,927,460 | $ | — | $ | 1,927,460 | ||||||||||
Gross | Gross | Net Amounts | Gross | Net Amount | ||||||||||||||||
Amounts of | Amounts | of Assets / | Amount of | |||||||||||||||||
Recognized | Offset in the | Liabilities | Collateral | |||||||||||||||||
Assets / | Consolidated | Presented in | Received / | |||||||||||||||||
Liabilities | Balance | the | Pledged Not | |||||||||||||||||
Sheet | Consolidated | Offset in the | ||||||||||||||||||
Balance | Consolidated | |||||||||||||||||||
Sheet | Balance Sheet | |||||||||||||||||||
Successor Ambac—December 31, 2013: | ||||||||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest rate swaps | $ | 132,250 | $ | 56,876 | $ | 75,374 | $ | — | $ | 75,374 | ||||||||||
Futures contracts | 2,337 | — | 2,337 | 690 | 1,647 | |||||||||||||||
Total non-VIE derivative assets | $ | 134,587 | $ | 56,876 | $ | 77,711 | $ | 690 | $ | 77,021 | ||||||||||
Derivative Liabilities: | ||||||||||||||||||||
Credit derivatives | $ | 94,322 | $ | — | $ | 94,322 | $ | — | $ | 94,322 | ||||||||||
Interest rate swaps | 216,287 | 56,876 | 159,411 | 42,555 | 116,856 | |||||||||||||||
Other contracts | 165 | — | 165 | — | 165 | |||||||||||||||
Total non-VIE derivative liabilities | $ | 310,774 | $ | 56,876 | $ | 253,898 | $ | 42,555 | $ | 211,343 | ||||||||||
Variable Interest Entities | ||||||||||||||||||||
Interest rate swaps | $ | 1,680,834 | $ | — | $ | 1,680,834 | $ | — | $ | 1,680,834 | ||||||||||
Currency swaps | 91,472 | — | 91,472 | — | 91,472 | |||||||||||||||
Total VIE derivative liabilities | $ | 1,772,306 | $ | — | $ | 1,772,306 | $ | — | $ | 1,772,306 | ||||||||||
Gross | Gross | Net | Gross | Net Amount | ||||||||||||||||
Amounts of | Amounts | Amounts of | Amount of | |||||||||||||||||
Recognized | Offset in the | Assets / | Collateral | |||||||||||||||||
Assets / | Consolidated | Liabilities | Received / | |||||||||||||||||
Liabilities | Balance | Presented in | Pledged Not | |||||||||||||||||
Sheet | the | Offset in the | ||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||
Balance | Balance Sheet | |||||||||||||||||||
Sheet | ||||||||||||||||||||
Successor Ambac—June 30, 2014: | ||||||||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Credit derivatives | $ | 319 | $ | — | $ | 319 | $ | — | $ | 319 | ||||||||||
Interest rate swaps | $ | 140,683 | $ | 51,322 | $ | 89,361 | $ | — | $ | 89,361 | ||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Total non-VIE derivative assets | $ | 141,002 | $ | 51,322 | $ | 89,680 | $ | — | $ | 89,680 | ||||||||||
Derivative Liabilities: | ||||||||||||||||||||
Credit derivatives | $ | 89,970 | $ | — | $ | 89,970 | $ | — | $ | 89,970 | ||||||||||
Interest rate swaps | 303,317 | 51,322 | 251,995 | 102,977 | 149,018 | |||||||||||||||
Futures contracts | 180 | — | 180 | 180 | — | |||||||||||||||
Other contracts | 128 | — | 128 | — | 128 | |||||||||||||||
Total non-VIE derivative liabilities | $ | 393,595 | $ | 51,322 | $ | 342,273 | $ | 103,157 | $ | 239,116 | ||||||||||
Variable Interest Entities | ||||||||||||||||||||
Interest rate swaps | $ | 1,840,399 | $ | — | $ | 1,840,399 | $ | — | $ | 1,840,399 | ||||||||||
Currency swaps | 87,061 | — | 87,061 | — | 87,061 | |||||||||||||||
Total VIE derivative liabilities | $ | 1,927,460 | $ | — | $ | 1,927,460 | $ | — | $ | 1,927,460 | ||||||||||
Summary of Location and Amount of Gains and Losses of Derivative Contracts | ' | |||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||
Location of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | |||||||||||||||||
Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | |||||||||||||||||
Statement of | Statement of | Statement of | Statement of | |||||||||||||||||
Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | |||||||||||||||||
– Period from April 1 through June 30, 2014 | – Period from May 1 through June 30, 2013 | – Period from April 1 through April 30, 2013 | ||||||||||||||||||
Financial Guarantee: | ||||||||||||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | (1,219 | ) | $ | 51,220 | $ | (73,171 | ) | |||||||||||
Financial Services derivatives products: | ||||||||||||||||||||
Interest rate swaps | Derivative products | (45,534 | ) | 74,169 | (29,600 | ) | ||||||||||||||
Futures contracts | Derivative products | (2,477 | ) | 9,831 | (3,588 | ) | ||||||||||||||
Other derivatives | Derivative products | 26 | (287 | ) | 22 | |||||||||||||||
Total Financial Services derivative products | (47,985 | ) | 83,713 | (33,166 | ) | |||||||||||||||
Variable Interest Entities: | ||||||||||||||||||||
Currency swaps | (Loss) income on variable interest entities | (997 | ) | (1,890 | ) | (4,820 | ) | |||||||||||||
Interest rate swaps | (Loss) income on variable interest entities | (81,773 | ) | 437,624 | (103,072 | ) | ||||||||||||||
Total Variable Interest Entities | (82,770 | ) | 435,734 | (107,892 | ) | |||||||||||||||
Total derivative contracts | $ | (131,974 | ) | $ | 570,667 | $ | (214,229 | ) | ||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||
Location of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | Amount of Gain or (Loss) | |||||||||||||||||
Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | Recognized in Consolidated | |||||||||||||||||
Statement of | Statement of | Statement of | Statement of | |||||||||||||||||
Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | Total Comprehensive Income | |||||||||||||||||
– Period from January 1 through June 30, 2014 | – Period from May 1 through June 30, 2013 | – Period from January 1 through April 30, 2013 | ||||||||||||||||||
Financial Guarantee: | ||||||||||||||||||||
Credit derivatives | Net change in fair value of credit derivatives | $ | 6,163 | $ | 51,220 | $ | (60,384 | ) | ||||||||||||
Financial Services derivatives products: | ||||||||||||||||||||
Interest rate swaps | Derivative products | (97,394 | ) | 74,169 | (30,622 | ) | ||||||||||||||
Futures contracts | Derivative products | (4,469 | ) | 9,831 | (3,133 | ) | ||||||||||||||
Other derivatives | Derivative products | 37 | (287 | ) | 20 | |||||||||||||||
Total Financial Services derivative products | (101,826 | ) | 83,713 | (33,735 | ) | |||||||||||||||
Variable Interest Entities: | ||||||||||||||||||||
Currency swaps | (Loss) income on variable interest entities | 4,411 | (1,890 | ) | (116 | ) | ||||||||||||||
Interest rate swaps | (Loss) income on variable interest entities | (159,565 | ) | 437,624 | (203,620 | ) | ||||||||||||||
Total Variable Interest Entities | (155,154 | ) | 435,734 | (203,736 | ) | |||||||||||||||
Total derivative contracts | $ | (250,817 | ) | $ | 570,667 | $ | (297,855 | ) | ||||||||||||
Summary of Gross Principal Notional Outstanding for CDS Contracts | ' | |||||||||||||||||||
The following tables summarize the gross principal notional outstanding for CDS contracts, by Ambac rating, for each major category as of June 30, 2014 and December 31, 2013: | ||||||||||||||||||||
Successor Ambac—June 30, 2014 | ||||||||||||||||||||
Ambac Rating | CLO | Other | Total | |||||||||||||||||
AAA | $ | — | $ | — | $ | — | ||||||||||||||
AA | 841,744 | 207,872 | 1,049,616 | |||||||||||||||||
A | — | 43,160 | 43,160 | |||||||||||||||||
BBB (1) | — | 827,450 | 827,450 | |||||||||||||||||
Below investment grade (2) | — | 282,534 | 282,534 | |||||||||||||||||
$ | 841,744 | $ | 1,361,016 | $ | 2,202,760 | |||||||||||||||
Successor Ambac—December 31, 2013 | ||||||||||||||||||||
Ambac Rating | CLO | Other | Total | |||||||||||||||||
AAA | $ | — | $ | 24,034 | $ | 24,034 | ||||||||||||||
AA | 1,209,071 | 203,025 | 1,412,096 | |||||||||||||||||
A | 128,666 | 107,251 | 235,917 | |||||||||||||||||
BBB (1) | — | 826,175 | 826,175 | |||||||||||||||||
Below investment grade (2) | — | 277,881 | 277,881 | |||||||||||||||||
$ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 | |||||||||||||||
-1 | BBB internal rating reflects bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles. | |||||||||||||||||||
-2 | Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions. | |||||||||||||||||||
Summarize Information by Major Category of CDS Contracts | ' | |||||||||||||||||||
The tables below summarize information by major category as of June 30, 2014 and December 31, 2013: | ||||||||||||||||||||
Successor Ambac—June 30, 2014 | ||||||||||||||||||||
CLO | Other | Total | ||||||||||||||||||
Number of CDS transactions | 7 | 12 | 19 | |||||||||||||||||
Remaining expected weighted-average life of obligations (in years) | 1.9 | 4.9 | 3.7 | |||||||||||||||||
Gross principal notional outstanding | $ | 841,744 | $ | 1,361,016 | $ | 2,202,760 | ||||||||||||||
Net derivative liabilities at fair value | $ | 3,811 | $ | 85,840 | $ | 89,651 | ||||||||||||||
Successor Ambac—December 31, 2013 | ||||||||||||||||||||
CLO | Other | Total | ||||||||||||||||||
Number of CDS transactions | 7 | 13 | 20 | |||||||||||||||||
Remaining expected weighted-average life of obligations (in years) | 2.1 | 5 | 3.6 | |||||||||||||||||
Gross principal notional outstanding | $ | 1,337,737 | $ | 1,438,366 | $ | 2,776,103 | ||||||||||||||
Net derivative liabilities at fair value | $ | 7,993 | $ | 86,329 | $ | 94,322 | ||||||||||||||
Summary of Notional Amounts of AFS's Trading Derivative Products | ' | |||||||||||||||||||
As of June 30, 2014 and December 31, 2013 the notional amounts of AFS’s trading derivative products are as follows: | ||||||||||||||||||||
Notional | ||||||||||||||||||||
Type of derivative | June 30, 2014 | December 31, 2013 | ||||||||||||||||||
Interest rate swaps—receive-fixed/pay-variable | $ | 688,900 | $ | 697,837 | ||||||||||||||||
Interest rate swaps—pay-fixed/receive-variable | 1,504,626 | 1,540,976 | ||||||||||||||||||
Interest rate swaps—basis swaps | 71,705 | 146,705 | ||||||||||||||||||
Futures contracts | 100,000 | 100,000 | ||||||||||||||||||
Other contracts | 75,650 | 75,650 | ||||||||||||||||||
Variable Interest Entities [Member] | ' | |||||||||||||||||||
Summary of Notional Amounts of AFS's Trading Derivative Products | ' | |||||||||||||||||||
The notional for VIE derivatives outstanding as of June 30, 2014 and December 31, 2013 are as follows: | ||||||||||||||||||||
Notional | ||||||||||||||||||||
Type of VIE derivative | June 30, 2014 | December 31, 2013 | ||||||||||||||||||
Interest rate swaps—receive-fixed/pay-variable | $ | 1,877,383 | $ | 1,818,118 | ||||||||||||||||
Interest rate swaps—pay-fixed/receive-variable | 3,459,937 | 3,350,714 | ||||||||||||||||||
Currency swaps | 795,429 | 770,319 | ||||||||||||||||||
Credit derivatives | 20,063 | 20,130 | ||||||||||||||||||
Income_Taxes_Tables
Income Taxes (Tables) | 6 Months Ended | |||||||
Jun. 30, 2014 | ||||||||
Income Tax Disclosure [Abstract] | ' | |||||||
Major Jurisdictions | ' | |||||||
The following are the major jurisdictions in which Ambac and its affiliates operate and the earliest tax years subject to examination: | ||||||||
Jurisdiction | Tax Year | |||||||
United States | 2010 | |||||||
New York State | 2010 | |||||||
New York City | 2011 | |||||||
United Kingdom | 2009 | |||||||
Italy | 2009 | |||||||
Significant Portions of Deferred Tax Liabilities and Deferred Tax Assets | ' | |||||||
The tax effects of temporary differences that give rise to significant portions of the deferred tax liabilities and deferred tax assets at June 30, 2014 and December 31, 2013 are presented below: | ||||||||
30-Jun-14 | 31-Dec-13 | |||||||
Deferred tax liabilities: | ||||||||
Insurance intangible | $ | 542,284 | $ | 559,288 | ||||
Variable interest entities | 107,537 | 131,137 | ||||||
Investments | 243,489 | 168,653 | ||||||
Unearned premiums and credit fees | 41,149 | 38,826 | ||||||
Other | 2,336 | 2,221 | ||||||
Total deferred tax liabilities | 936,795 | 900,125 | ||||||
Deferred tax assets: | ||||||||
Unrealized losses & impairments on investments | — | — | ||||||
Net operating loss and capital carryforward | 2,167,967 | 2,177,029 | ||||||
Loss reserves | 570,006 | 634,692 | ||||||
Compensation | 9,187 | 8,724 | ||||||
AMT Credits | 4,269 | 4,269 | ||||||
Other | 57,749 | 58,581 | ||||||
Sub-total deferred tax assets | 2,809,178 | 2,883,295 | ||||||
Valuation allowance | 1,874,697 | 1,985,369 | ||||||
Total deferred tax assets | 934,481 | 897,926 | ||||||
Net deferred tax liability | $ | (2,314 | ) | $ | (2,199 | ) |
Segment_Information_Tables
Segment Information (Tables) | 6 Months Ended | |||||||||||||||||||||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | ' | |||||||||||||||||||||||||||||||||||||
Summary of Financial Information by Reportable Segment | ' | |||||||||||||||||||||||||||||||||||||
The following table is a summary of financial information by reportable segment for the affected periods: | ||||||||||||||||||||||||||||||||||||||
Successor Ambac - Period from April 1 through June 30, 2014 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 104,703 | $ | (47,411 | ) | $ | 41 | $ | — | $ | 57,333 | |||||||||||||||||||||||||||
Inter-segment | 325 | (607 | ) | 8,836 | (8,554 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 105,028 | $ | (48,018 | ) | $ | 8,877 | $ | (8,554 | ) | $ | 57,333 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) (3) | $ | (160,685 | ) | $ | (48,454 | ) | $ | (1,273 | ) | $ | — | $ | (210,412 | ) | ||||||||||||||||||||||||
Inter-segment | (9,397 | ) | (415 | ) | 9,812 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | (170,082 | ) | $ | (48,869 | ) | $ | 8,539 | $ | — | $ | (210,412 | ) | |||||||||||||||||||||||||
Total assets as of June 30, 2014 | $ | 27,319,461 | $ | 365,874 | $ | 38,018 | $ | — | $ | 27,723,353 | ||||||||||||||||||||||||||||
Net investment income | $ | 79,633 | $ | 419 | $ | 41 | $ | — | $ | 80,093 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 36,256 | $ | — | $ | — | $ | — | $ | 36,256 | ||||||||||||||||||||||||||||
Interest expense | $ | 31,514 | $ | 439 | $ | — | $ | — | $ | 31,953 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 186 | $ | — | $ | 186 | ||||||||||||||||||||||||||||
Successor Ambac - Period from May 1 through June 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 159,905 | $ | 82,490 | $ | 20 | $ | — | $ | 242,415 | ||||||||||||||||||||||||||||
Inter-segment | 399 | (374 | ) | 5,425 | (5,450 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 160,304 | $ | 82,116 | $ | 5,445 | $ | (5,450 | ) | $ | 242,415 | |||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 124,890 | $ | 81,692 | $ | (787 | ) | $ | — | $ | 205,795 | |||||||||||||||||||||||||||
Inter-segment | (5,497 | ) | (523 | ) | 6,020 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 119,393 | $ | 81,169 | $ | 5,233 | $ | — | $ | 205,795 | ||||||||||||||||||||||||||||
Total assets as of June 30, 2013 | $ | 26,934,044 | $ | 486,346 | $ | 54,977 | $ | — | $ | 27,475,367 | ||||||||||||||||||||||||||||
Net investment income | $ | 26,015 | $ | 158 | $ | 23 | $ | — | $ | 26,196 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 24,952 | $ | — | $ | — | $ | — | $ | 24,952 | ||||||||||||||||||||||||||||
Interest expense | $ | 20,776 | $ | 368 | $ | — | $ | — | $ | 21,144 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 424 | $ | — | $ | 424 | ||||||||||||||||||||||||||||
Predecessor Ambac - Period from April 1 through April 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 382,772 | $ | (33,266 | ) | $ | 10 | $ | — | $ | 349,516 | |||||||||||||||||||||||||||
Inter-segment | 214 | (198 | ) | 197,055 | (197,071 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 382,986 | $ | (33,464 | ) | $ | 197,065 | $ | (197,071 | ) | $ | 349,516 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 1,583,465 | $ | (35,614 | ) | $ | 1,517,273 | $ | — | $ | 3,065,124 | |||||||||||||||||||||||||||
Inter-segment | (197,115 | ) | (252 | ) | 197,367 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 1,386,350 | $ | (35,866 | ) | $ | 1,714,640 | $ | — | $ | 3,065,124 | |||||||||||||||||||||||||||
Total assets as of April 30, 2013 | $ | 28,287,321 | $ | 536,711 | $ | 29,403 | $ | — | $ | 28,853,435 | ||||||||||||||||||||||||||||
Net investment income | $ | 31,855 | $ | 361 | $ | 10 | $ | — | $ | 32,226 | ||||||||||||||||||||||||||||
Interest expense | $ | 7,542 | $ | 318 | $ | — | $ | — | $ | 7,860 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | (1,231,550 | ) | $ | 1,505 | $ | (1,517,194 | ) | $ | — | $ | (2,747,239 | ) | |||||||||||||||||||||||||
Successor Ambac - Period from January 1 through June 30, 2014 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 267,256 | $ | (100,849 | ) | $ | 64 | $ | — | $ | 166,471 | |||||||||||||||||||||||||||
Inter-segment | 700 | (682 | ) | 17,471 | (17,489 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 267,956 | $ | (101,531 | ) | $ | 17,535 | $ | (17,489 | ) | $ | 166,471 | ||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 55,576 | $ | (102,983 | ) | $ | (3,707 | ) | $ | — | $ | (51,114 | ) | |||||||||||||||||||||||||
Inter-segment | (18,554 | ) | (869 | ) | 19,423 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 37,022 | $ | (103,852 | ) | $ | 15,716 | $ | — | $ | (51,114 | ) | ||||||||||||||||||||||||||
Total assets as of June 30, 2014 | $ | 27,319,461 | $ | 365,874 | $ | 38,018 | $ | — | $ | 27,723,353 | ||||||||||||||||||||||||||||
Net investment income | $ | 150,017 | $ | 813 | $ | 64 | $ | — | $ | 150,894 | ||||||||||||||||||||||||||||
Insurance intangible amortization | $ | 67,970 | $ | — | $ | — | $ | — | $ | 67,970 | ||||||||||||||||||||||||||||
Interest expense | $ | 63,395 | $ | 886 | $ | — | $ | — | $ | 64,281 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | — | $ | — | $ | 209 | $ | — | $ | 209 | ||||||||||||||||||||||||||||
Predecessor Ambac - Period from January 1 through April 30, 2013 | Financial | Financial | Corporate | Inter-segment | Consolidated | |||||||||||||||||||||||||||||||||
Guarantee | Services | and Other | Eliminations | |||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) | $ | 633,010 | $ | 7,339 | $ | 39 | $ | — | $ | 640,388 | ||||||||||||||||||||||||||||
Inter-segment | 940 | (882 | ) | 197,055 | (197,113 | ) | — | |||||||||||||||||||||||||||||||
Total revenues | $ | 633,950 | $ | 6,457 | $ | 197,094 | $ | (197,113 | ) | $ | 640,388 | |||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||||||||||||||||||||||||||||
Unaffiliated customers (1) (2) | $ | 1,830,165 | $ | 3,233 | $ | 1,514,635 | $ | — | $ | 3,348,033 | ||||||||||||||||||||||||||||
Inter-segment | (197,187 | ) | (1,101 | ) | 198,288 | — | — | |||||||||||||||||||||||||||||||
Pre-tax income (loss) from continuing operations | $ | 1,632,978 | $ | 2,132 | $ | 1,712,923 | $ | — | $ | 3,348,033 | ||||||||||||||||||||||||||||
Total assets as of April 30, 2013 | $ | 28,287,321 | $ | 536,711 | $ | 29,403 | $ | — | $ | 28,853,435 | ||||||||||||||||||||||||||||
Net investment income | $ | 115,129 | $ | 1,572 | $ | 39 | $ | — | $ | 116,740 | ||||||||||||||||||||||||||||
Interest expense | $ | 29,718 | $ | 1,307 | $ | — | $ | — | $ | 31,025 | ||||||||||||||||||||||||||||
Reorganization items (4) | $ | (1,231,550 | ) | $ | 1,505 | $ | (1,515,135 | ) | $ | — | $ | (2,745,180 | ) | |||||||||||||||||||||||||
-1 | Included in both revenues from unaffiliated customers and in pre-tax income (loss) from continuing operations from unaffiliated customers is net investment income. | |||||||||||||||||||||||||||||||||||||
-2 | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is interest expense. | |||||||||||||||||||||||||||||||||||||
-3 | Included in pre-tax income (loss) from continuing operations from unaffiliated customers is amortization of intangible asset arising from financial guarantee contracts that were set to fair value upon adoption of Fresh Start. | |||||||||||||||||||||||||||||||||||||
-4 | Refer to "Note 2: Reorganization Under Chapter 11," for a further discussion of Reorganization items. | |||||||||||||||||||||||||||||||||||||
Schedule of Gross Premiums Written, Net Premiums Earned and Net Change in Fair Value of Credit Derivatives | ' | |||||||||||||||||||||||||||||||||||||
The following table summarizes gross premiums written, net premiums earned and the net change in fair value of credit derivatives included in the Financial Guarantee segment by location of risk for the affected periods: | ||||||||||||||||||||||||||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||||||||||||
Period from April 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from April 1 through April 30, 2013 | ||||||||||||||||||||||||||||||||||||
Gross | Net | Net Change | Gross | Net | Net Change | Gross | Net | Net Change | ||||||||||||||||||||||||||||||
Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | ||||||||||||||||||||||||||||||
Written | Earned | Of Credit | Written | Earned | Of Credit | Written | Earned | Of Credit | ||||||||||||||||||||||||||||||
Derivatives | Derivatives | Derivatives | ||||||||||||||||||||||||||||||||||||
United States | $ | (28,211 | ) | $ | 39,833 | $ | (559 | ) | $ | (24,493 | ) | $ | 46,340 | $ | 14,948 | $ | (7,386 | ) | $ | 23,537 | $ | (47,664 | ) | |||||||||||||||
United Kingdom | 3,003 | 20,808 | — | (1,917 | ) | 8,840 | 2,113 | 2,167 | 4,317 | (3,686 | ) | |||||||||||||||||||||||||||
Other international | (20,278 | ) | 4,372 | (660 | ) | (7,671 | ) | 2,859 | 34,159 | (5,376 | ) | 1,890 | (21,821 | ) | ||||||||||||||||||||||||
Total | $ | (45,486 | ) | $ | 65,013 | $ | (1,219 | ) | $ | (34,081 | ) | $ | 58,039 | $ | 51,220 | $ | (10,595 | ) | $ | 29,744 | $ | (73,171 | ) | |||||||||||||||
Successor Ambac | Predecessor Ambac | |||||||||||||||||||||||||||||||||||||
Period from January 1 through June 30, 2014 | Period from May 1 through June 30, 2013 | Period from January 1 through April 30, 2013 | ||||||||||||||||||||||||||||||||||||
Gross | Net | Net Change | Gross | Net | Net Change | Gross | Net | Net Change in | ||||||||||||||||||||||||||||||
Premiums | Premiums | In Fair Value | Premiums | Premiums | In Fair Value | Premiums | Premiums | Fair Value of | ||||||||||||||||||||||||||||||
Written | Earned | Of Credit | Written | Earned | Of Credit | Written | Earned | Credit | ||||||||||||||||||||||||||||||
Derivatives | Derivatives | Derivatives | ||||||||||||||||||||||||||||||||||||
United States | $ | (28,909 | ) | $ | 96,591 | $ | 6,022 | $ | (24,493 | ) | $ | 46,340 | $ | 14,948 | $ | (16,102 | ) | $ | 104,594 | $ | (31,134 | ) | ||||||||||||||||
United Kingdom | (3,163 | ) | 41,443 | — | (1,917 | ) | 8,840 | 2,113 | 10,673 | 18,071 | (5,861 | ) | ||||||||||||||||||||||||||
Other international | (19,180 | ) | 9,526 | 141 | (7,671 | ) | 2,859 | 34,159 | (8,696 | ) | 7,335 | (23,389 | ) | |||||||||||||||||||||||||
Total | $ | (51,252 | ) | $ | 147,560 | $ | 6,163 | $ | (34,081 | ) | $ | 58,039 | $ | 51,220 | $ | (14,125 | ) | $ | 130,000 | $ | (60,384 | ) | ||||||||||||||||
Background_and_Business_Descri1
Background and Business Description - Additional Information (Detail) (USD $) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2014 | Dec. 31, 2010 | Jun. 30, 2014 | Jun. 30, 2014 | |
Rate | Ambac Assurance [Member] | Ambac Assurance [Member] | Ambac Assurance [Member] | |
Minimum [Member] | ||||
Background And Basis Of Presentation [Line Items] | ' | ' | ' | ' |
Net par exposure for policies allocated to the Segregated Account | ' | ' | $20,898,745,000 | ' |
Issuance of secured note to segregated account | ' | 2,000,000,000 | ' | ' |
Secured note maturity year | ' | '2050 | ' | ' |
Interest on the secured note accrues | ' | 4.50% | ' | ' |
Available secured notes including capitalized interest | ' | ' | 0 | ' |
Minimum surplus amount | ' | ' | ' | 100,000,000 |
Policyholders surplus | ' | ' | $945,661,000 | ' |
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | ' | ' | ' |
Payment of permitted policy claim (percent) | 25.00% | ' | ' | ' |
Future payment of permitted policy claim (percent) | 45.00% | ' | ' | ' |
Future unpaid permitted policy claims (percent) | 55.00% | ' | ' | ' |
Equalizing payment on unpaid permitted policy claim (percent) | 26.67% | ' | ' | ' |
Background_and_Business_Descri2
Background and Business Description Background and Business Description - Additional Information (Details) (USD $) | Jun. 30, 2014 |
In Thousands, unless otherwise specified | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
December 2014 Payment of Deferred Amounts | $1,138,500 |
December 2014 Redemption of Surplus Notes | $413,587 |
Reorganization_Under_Chapter_12
Reorganization Under Chapter 11 - Additional Information (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor [Member] | Successor [Member] | Successor [Member] | Predecessor [Member] | Predecessor [Member] | |
Fresh-Start Adjustment [Line Items] | ' | ' | ' | ' | ' |
Debtor Reorganization Items, Debtor-in-Possession Facility Financing Costs | $0 | $0 | $0 | $13 | $23 |
Debtor Reorganization Items, Legal and Advisory Professional Fees | 424 | 186 | 209 | 2,434 | 4,483 |
Debtor Reorganization Items, Gain (Loss) on Settlement of Other Claims, Net | 0 | 0 | 0 | -1,521,435 | -1,521,435 |
Debtor Reorganization Items Fresh Start Adjustments | 0 | 0 | 0 | -1,228,251 | -1,228,251 |
Reorganization items | $424 | $186 | $209 | ($2,747,239) | ($2,745,180) |
Reorganization_Under_Chapter_13
Reorganization Under Chapter 11 - Summary of Reorganization Items in Consolidated Statements of Total Comprehensive Income (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Fresh-Start Adjustment [Line Items] | ' | ' | ' | ' | ' |
U.S. Trustee fees | $0 | $0 | $0 | $13 | $23 |
Professional fees | 424 | 186 | 209 | 2,434 | 4,483 |
Debtor Reorganization Items, Gain (Loss) on Settlement of Other Claims, Net | 0 | 0 | 0 | -1,521,435 | -1,521,435 |
Fresh Start Adjustments | 0 | 0 | 0 | -1,228,251 | -1,228,251 |
Total reorganization items | $424 | $186 | $209 | ($2,747,239) | ($2,745,180) |
Special_Purpose_Entities_Inclu2
Special Purpose Entities, Including Variable Interest Entities - Additional Information (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Dec. 31, 2013 | Apr. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 |
Successor [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Asset-Backed Securities and Utility Obligations [Member] | Sponsored Variable Interest Entities [Member] | Sponsored Variable Interest Entities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Variable Interest Entities [Member] | Variable Interest Entities [Member] | Variable Interest Entities [Member] | Variable Interest Entities [Member] | Variable Interest Entities [Member] | Consolidated Entities [Member] | Consolidated Entities [Member] | |||
Transactions | Successor [Member] | Successor [Member] | Predecessor Ambac [Member] | Entity | Entity | |||||||||||
Variable Interest Entities [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Variable Interest Entity, Initial Consolidation, Gain (Loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $385,291,000 | ' | ' |
Secured Debt | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' |
Securities fair value | 278,317,000 | 240,150,000 | ' | ' | ' | ' | ' | ' | ' | 278,317,000 | 240,150,000 | ' | ' | ' | ' | ' |
Fair value of special purpose entities | 12,782,000 | 13,384,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of individual transactions with special purpose entities | ' | ' | ' | ' | ' | ' | 15 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of transactions outstanding with special purpose entities | ' | ' | ' | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total principal amount of debt outstanding | ' | ' | ' | ' | ' | ' | 461,355,000 | 461,355,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted average life | ' | ' | ' | ' | ' | '7 years 9 months 12 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Average rating of assets held by sponsored special purpose entities | ' | ' | ' | ' | ' | 'BBB | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Claims on insurance policies issued to these entities | ' | ' | 0 | 0 | 1,455 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of consolidated Variable Interest Entities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 18 | 18 |
Consolidated VIE assets | 16,443,808,000 | 15,988,697,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated VIE liabilities | 16,381,435,000 | 15,872,770,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Intangible Assets Initially Recorded Upon Consolidation Of Variable Interest Entity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 164,520,000 | ' | ' |
Acquired Finite-lived Intangible Assets, Weighted Average Useful Life | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '16 years 0 months 0 days | ' | ' |
Amortization Of Variable Interest Entity Intangible Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,508,000 | ' | ' | ' | ' |
Asset Impairment Charges | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $76,140 | ' | ' | ' |
Special_Purpose_Entities_Inclu3
Special Purpose Entities, Including Variable Interest Entities - Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Investments: | ' | ' |
Fixed income securities | $6,509,647 | $6,282,658 |
Variable Interest Entities [Member] | ' | ' |
Investments: | ' | ' |
Fixed income securities | 2,688,388 | 2,475,182 |
Corporate Obligations [Member] | ' | ' |
Investments: | ' | ' |
Fixed income securities | $2,688,388 | $2,475,182 |
Special_Purpose_Entities_Inclu4
Special Purpose Entities, Including Variable Interest Entities - Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities (Detail) (Variable Interest Entities [Member], Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Variable Interest Entities [Member] | Successor Ambac [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Loans, Estimated fair value | $13,743,231 | $13,398,895 |
Long-term debt, Estimated fair value | 14,450,434 | 14,091,753 |
Loans, Unpaid principal balance | 12,011,423 | 12,226,481 |
Long-term debt, Unpaid principal balance | $14,096,929 | $14,251,771 |
Special_Purpose_Entities_Inclu5
Special Purpose Entities, Including Variable Interest Entities - Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities (Detail) (Variable Interest Entity [Member], Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | $67,890,086 | $74,067,088 |
Insurance Assets | 1,623,465 | 1,728,422 |
Insurance Liabilities | 6,600,331 | 6,662,385 |
Derivative Liabilities | 75,860 | 81,432 |
Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 34,182,212 | 38,334,230 |
Insurance Assets | 1,124,770 | 1,196,903 |
Insurance Liabilities | 6,028,597 | 6,058,046 |
Derivative Liabilities | 45,165 | 54,320 |
Global Public Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 33,707,874 | 35,732,858 |
Insurance Assets | 498,695 | 531,519 |
Insurance Liabilities | 571,734 | 604,339 |
Derivative Liabilities | 30,695 | 27,112 |
Collateralized Debt Obligations [Member] | Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 1,503,895 | 2,092,072 |
Insurance Assets | 1,710 | 3,867 |
Insurance Liabilities | 5,111 | 7,119 |
Derivative Liabilities | 5,758 | 10,092 |
Residential Mortgage-Backed Securities [Member] | Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 17,825,150 | 19,231,335 |
Insurance Assets | 553,022 | 581,498 |
Insurance Liabilities | 3,958,533 | 3,890,937 |
Derivative Liabilities | ' | ' |
Other Consumer Asset-Backed [Member] | Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 5,256,079 | 5,425,583 |
Insurance Assets | 67,384 | 68,511 |
Insurance Liabilities | 913,978 | 992,177 |
Derivative Liabilities | 0 | 0 |
Other Commercial Asset-Backed [Member] | Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 5,339,867 | 7,237,953 |
Insurance Assets | 400,644 | 429,559 |
Insurance Liabilities | 524,978 | 559,600 |
Derivative Liabilities | 35,891 | 39,916 |
Other [Member] | Global Structured Finance [Member] | ' | ' |
Variable Interest Entities [Line Items] | ' | ' |
Maximum Exposure To Loss | 4,257,221 | 4,347,287 |
Insurance Assets | 102,010 | 113,468 |
Insurance Liabilities | 625,997 | 608,213 |
Derivative Liabilities | $3,516 | $4,312 |
Comprehensive_Income_Schedule_
Comprehensive Income - Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 |
In Thousands, unless otherwise specified | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Accumulated Translation Adjustment [Member] | Accumulated Translation Adjustment [Member] | Accumulated Translation Adjustment [Member] | Accumulated Translation Adjustment [Member] | Accumulated Translation Adjustment [Member] | ||
Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor [Member] | Successor [Member] | Successor [Member] | ||||||||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Beginning Balance | $306,328 | $11,661 | $720,071 | $625,385 | $0 | $104,417 | $11,661 | $745,370 | $651,272 | $0 | $46,812 | ($41,910) | ($5,052) | ($5,860) | ' | $10,643 | $10,847 | ($20,247) | ($20,027) | $0 | $46,962 | $42,724 |
Other comprehensive income before reclassifications | ' | ' | 88,079 | 188,039 | -85,035 | 196,431 | 295,291 | 88,516 | 188,696 | -72,511 | 179,479 | 274,101 | 0 | 0 | 0 | 0 | ' | -437 | -657 | -12,524 | 16,952 | 21,190 |
Amounts reclassified from accumulated other comprehensive income | ' | ' | -7,890 | -13,164 | -18,472 | 5,480 | -624 | -7,267 | -13,349 | -18,472 | 5,684 | -216 | -623 | 185 | 0 | -204 | -408 | 0 | ' | ' | ' | ' |
Elimination Of Predecessor Shareholder Equity And Noncontrolling Interest | ' | ' | -800,260 | -800,260 | ' | ' | ' | -826,619 | -826,619 | 0 | 0 | 0 | 5,675 | 5,675 | ' | ' | ' | 20,684 | 20,684 | ' | ' | ' |
Net current period other comprehensive income | ' | ' | -720,071 | -625,385 | -103,507 | 201,911 | 294,667 | -745,370 | -651,272 | -90,983 | 185,163 | 273,885 | 5,052 | 5,860 | 0 | -204 | -408 | 20,247 | 20,027 | -12,524 | 16,952 | 21,190 |
Ending Balance | $306,328 | $11,661 | $0 | $0 | ($103,507) | $306,328 | $306,328 | $0 | $0 | ($90,983) | $231,975 | $231,975 | ' | ' | ' | $10,439 | $10,439 | $0 | $0 | ($12,524) | $63,914 | $63,914 |
Comprehensive_Income_Schedule_1
Comprehensive Income - Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Detail) (USD $) | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended |
In Thousands, unless otherwise specified | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 |
Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | |||||||||||||||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net realized investment gains | ' | ' | ($7,267) | ($13,349) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($18,472) | $5,684 | ($216) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Tax (expense) benefit | 98 | 755 | ' | ' | ' | ' | ' | ' | 0 | 0 | -704 | -704 | 513 | -2,179 | 1,070 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net of tax and noncontrolling interest | ' | ' | -7,267 | -13,349 | ' | ' | -7,890 | -13,164 | ' | ' | ' | ' | ' | ' | ' | -18,472 | 5,684 | -216 | ' | ' | ' | -18,472 | 5,480 | -624 | ' | ' | ' | ' | ' | ' |
Prior service cost | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -92 | 1,616 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -166 | -332 |
Actuarial gains (losses) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 173 | -727 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -38 | -76 |
Total before tax | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 81 | 889 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -204 | -408 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | ($7,890) | ($13,164) | ($7,267) | ($13,349) | ($623) | $185 | ' | ' | ' | ' | $623 | ($185) | ($18,472) | $5,480 | ($624) | ($18,472) | $5,684 | ($216) | $0 | ($204) | ($408) | ' | ' | ' | ' | ' | ' | $0 | $204 | $408 |
Net_Income_Per_Share_Additiona
Net Income Per Share - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | |
Schedule Of Earnings Per Share [Line Items] | ' | ' | ' | ' |
Number of new common stock issued | 45,003,512 | 45,003,512 | 45,003,461 | ' |
Par value of common stock issued | $0.01 | $0.01 | $0.01 | $0.01 |
Number of shares exercisable for warrants | ' | ' | ' | 5,047,138 |
Exercise price of common stock | 16.67 | 16.67 | ' | ' |
Expiry date of warrants | ' | 30-Apr-23 | ' | ' |
Warrant exercised | 0 | 51 | ' | ' |
Common stock shares issued | ' | 51 | ' | ' |
Successor Ambac [Member] | ' | ' | ' | ' |
Schedule Of Earnings Per Share [Line Items] | ' | ' | ' | ' |
Number of new common stock issued | ' | ' | ' | 45,000,000 |
Number of warrants issued | ' | ' | ' | 5,047,138 |
Warrants outstanding | 5,040,775 | 5,040,775 | ' | ' |
Net_Income_Per_Share_Reconcili
Net Income Per Share - Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share (Detail) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended |
Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Employee Stock Option [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | Restricted Stock Units [Member] | Restricted Stock Units [Member] | Restricted Stock Units [Member] | Performance Shares [Member] | Performance Shares [Member] | Performance Shares [Member] | Warrants [Member] | Warrants [Member] | Warrants [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | Restricted Stock Units [Member] | Restricted Stock Units [Member] | Performance Shares [Member] | Performance Shares [Member] | Warrants [Member] | Warrants [Member] | Employee Stock Option [Member] | Employee Stock Option [Member] | ||||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted average number of common shares used for basic earnings per share | 45,000,653 | 45,091,983 | 45,067,539 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 302,469,626 | 302,469,544 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Effect of potential dilutive shares: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Effect of potential dilutive shares | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | 0 | 0 | 1,575,064 | 0 | 0 | 0 | 0 | 0 | ' | ' | ' | ' | 109,593 | 109,701 | 0 | 0 | 0 | 0 | 0 | 0 |
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 46,575,717 | 45,091,983 | 45,067,539 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 302,579,219 | 302,579,245 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Anti-dilutive shares excluded from reconciliation | ' | ' | ' | ' | 66,668 | 66,668 | ' | 74,341 | 94,131 | ' | ' | ' | ' | 5,040,775 | 5,040,784 | ' | ' | ' | ' | ' | 461,150 | 475,550 | 0 | ' | 0 | ' | 0 | ' | ' | ' |
Financial_Guarantee_Insurance_2
Financial Guarantee Insurance Contracts - Additional Information (Detail) (USD $) | 6 Months Ended | 12 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 6 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Dec. 31, 2012 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Maximum [Member] | Loss Reserves [Member] | Loss Reserves [Member] | |||
Insurance Intangible Asset [Member] | Insurance Intangible Asset [Member] | Insurance Intangible Asset [Member] | |||||||||||||||
Insurance [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted average risk-free interest rate | 2.90% | 3.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted average period of future premiums | '9 years 5 months 6 days | '9 years 7 months 6 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Transactions with non-investment grade internal ratings | 47.00% | 44.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Non-investment grade RMBS on total premiums receivable | 6.00% | 7.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Percentage of student loan transactions on total premium receivables | 7.00% | 7.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Percentage related to asset-backed transaction | 18.00% | 17.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Uncollectable premium receivables | $16,297 | $15,262 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Past due premiums on policies insuring non-investment grade obligations amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 500 | ' | ' |
Accelerated premium revenue for retired obligations | ' | ' | 13,049 | 7,990 | ' | 33,104 | ' | ' | ' | ' | ' | 7,073 | 36,433 | ' | ' | ' | ' |
Reinsurance recoveries of losses included in losses and loss expenses | ' | ' | ' | -1,602 | 5,062 | -12,160 | ' | ' | ' | ' | ' | 7 | 3,889 | ' | ' | ' | ' |
Weighted average risk-free rate used to discount loss reserves | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2.70% | 3.20% |
Losses and loss expense reserves ceded to reinsurers | ' | ' | 142,512 | 110,015 | 142,512 | 110,015 | 122,357 | 138,155 | ' | ' | ' | 138,155 | 138,155 | 147,409 | ' | ' | ' |
Subrogation recoveries | 2,284,424 | 2,206,598 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Subrogation recoveries, net of reinsurance | 2,258,051 | 2,183,652 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Intangible amortization expense | ' | ' | 24,952 | 36,256 | ' | 67,970 | ' | ' | 24,952 | 36,256 | 67,970 | 0 | 0 | ' | ' | ' | ' |
Insurance intangible asset | 1,549,384 | 1,597,965 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Accumulated amortization on insurance intangible asset | $169,372 | $100,767 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Financial_Guarantee_Insurance_3
Financial Guarantee Insurance Contracts - Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Detail) (USD $) | 2 Months Ended | 6 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | |
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ' | ' | ' |
Beginning premium receivable | $1,531,631 | $1,453,021 | $1,620,621 |
Premium receipts | -19,352 | -61,876 | -48,296 |
Adjustments for changes in expected and contractual cash flows | -40,898 | -70,464 | -28,237 |
Accretion of premium receivable discount | 7,359 | 20,247 | 14,740 |
Uncollectable premiums | -543 | -1,035 | -634 |
Other adjustments (including foreign exchange) | -13,299 | 16,469 | -26,563 |
Ending premium receivable | $1,464,898 | $1,356,362 | $1,531,631 |
Financial_Guarantee_Insurance_4
Financial Guarantee Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Reinsurance Premiums for Insurance Companies, by Product Segment [Line Items] | ' | ' | ' | ' | ' |
Direct Premiums Written | ($34,081) | ($45,486) | ($51,252) | ($10,595) | ($14,125) |
Assumed Reinsurance Premiums Written | 0 | 0 | 0 | 0 | 0 |
Ceded Reinsurance Premiums Written | -3,038 | -4,967 | -4,511 | -84 | -1,098 |
Premiums written, net of reinsurance | -31,043 | -40,519 | -46,741 | -10,511 | -13,027 |
Direct Premiums Earned | 62,033 | 68,025 | 154,209 | 31,388 | 138,468 |
Assumed Reinsurance Premiums Earned | 16 | 23 | 91 | 8 | 32 |
Ceded Reinsurance Premiums Earned | 4,010 | 3,035 | 6,740 | 1,652 | 8,500 |
Reinsurance on premiums earned, Net | $58,039 | $65,013 | $147,560 | $29,744 | $130,000 |
Financial_Guarantee_Insurance_5
Financial Guarantee Insurance Contracts - Summarized Future Gross Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Detail) (USD $) | Jun. 30, 2014 |
In Thousands, unless otherwise specified | |
Insurance [Abstract] | ' |
Future premiums expected to be collected, September 30, 2014 | $39,988 |
Future premiums expected to be collected, December 31, 2014 | 31,037 |
Future premiums expected to be collected, December 31, 2015 | 123,705 |
Future premiums expected to be collected, December 31, 2016 | 116,974 |
Future premiums expected to be collected, December 31, 2017 | 110,511 |
Future premiums expected to be collected, December 31, 2018 | 105,182 |
Future premiums expected to be collected, December 31, 2023 | 466,339 |
Future premiums expected to be collected, December 31, 2028 | 370,487 |
Future premiums expected to be collected, December 31, 2033 | 237,081 |
Future premiums expected to be collected, December 31, 2038 | 92,686 |
Future premiums expected to be collected, December 31, 2043 | 30,826 |
Future premiums expected to be collected, December 31, 2048 | 12,538 |
Future premiums expected to be collected, December 31, 2053 | 2,252 |
Future premiums expected to be collected, December 31, 2058 | 31 |
Future premiums expected to be collected, Total | 1,739,637 |
Future expected premiums to be earned, net of reinsurance, September 30, 2014 | 45,841 |
Future expected premiums to be earned, net of reinsurance, December 31, 2014 | 44,006 |
Future expected premiums to be earned, net of reinsurance, December 31, 2015 | 163,207 |
Future expected premiums to be earned, net of reinsurance, December 31, 2016 | 148,927 |
Future expected premiums to be earned, net of reinsurance, December 31, 2017 | 137,708 |
Future expected premiums to be earned, net of reinsurance, December 31, 2018 | 128,484 |
Future expected premiums to be earned, net of reinsurance, December 31, 2023 | 532,361 |
Future expected premiums to be earned, net of reinsurance, December 31, 2028 | 373,862 |
Future expected premiums to be earned, net of reinsurance, December 31, 2033 | 218,488 |
Future expected premiums to be earned, net of reinsurance, December 31, 2038 | 95,496 |
Future expected premiums to be earned, net of reinsurance, December 31, 2043 | 32,182 |
Future expected premiums to be earned, net of reinsurance, December 31, 2048 | 12,064 |
Future expected premiums to be earned, net of reinsurance, December 31, 2053 | 3,324 |
Future expected premiums to be earned, net of reinsurance, December 31, 2058 | 84 |
Future expected premiums to be earned, net of reinsurance, Total | $1,936,034 |
Financial_Guarantee_Insurance_6
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | $6,072,323,000 | $5,968,712,000 |
Subrogation recoverable | -484,152,000 | -498,478,000 |
Claim liability reported on Balance Sheet, before reinsurance | 5,588,171,000 | 5,470,234,000 |
Claims [Member] | ' | ' |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | 3,183,938,000 | 3,374,224,000 |
Subrogation recoverable | 815,164,000 | 530,091,000 |
Claim liability reported on Balance Sheet, before reinsurance | 3,999,102,000 | 3,904,315,000 |
Accrued Interest [Member] | ' | ' |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | 237,955,000 | 0 |
Subrogation recoverable | 70,135,000 | 0 |
Claim liability reported on Balance Sheet, before reinsurance | 308,090,000 | 0 |
Claims and Loss Expenses [Member] | ' | ' |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | 4,542,406,000 | 4,895,277,000 |
Subrogation recoverable | 234,998,000 | 135,610,000 |
Claim liability reported on Balance Sheet, before reinsurance | 4,777,404,000 | 5,030,887,000 |
Recoveries [Member] | ' | ' |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | -1,415,979,000 | -1,797,805,000 |
Subrogation recoverable | -1,604,449,000 | -1,164,179,000 |
Claim liability reported on Balance Sheet, before reinsurance | -3,020,428,000 | -2,961,984,000 |
Unearned Premium Reserve [Member] | ' | ' |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ' | ' |
Loss and loss expense reserves | -475,997,000 | -502,984,000 |
Subrogation recoverable | 0 | 0 |
Claim liability reported on Balance Sheet, before reinsurance | ($475,997,000) | ($502,984,000) |
Financial_Guarantee_Insurance_7
Financial Guarantee Insurance Contracts - Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Detail) (USD $) | 2 Months Ended | 6 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ' | ' | ' |
Beginning gross loss and loss expense reserves | $5,572,672 | $5,470,234 | $6,122,140 |
Less reinsurance on loss and loss expense reserves | 138,155 | 122,357 | 147,409 |
Beginning balance of net loss and loss expense reserves | 5,434,517 | 5,347,877 | 5,974,731 |
Current year: | ' | ' | ' |
Establishment of new loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | 2,416 | 209 | 2,748 |
Claim and loss expense payments, net of subrogation and reinsurance | -37 | -3 | -58 |
Establishment of RMBS subrogation recoveries, net of reinsurance | -320 | 0 | -159 |
Total current year | 2,059 | 206 | 2,531 |
Prior years: | ' | ' | ' |
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | -128,680 | 131,124 | -52,642 |
Claim and loss expense recoveries, net of subrogation and reinsurance | 3,793 | 73,347 | 20,902 |
Change in previously established RMBS subrogation recoveries, net of reinsurance | 87,361 | -74,398 | -12,596 |
Total prior years | -37,526 | 130,073 | -44,336 |
Net change in loss and loss expense reserves | -35,467 | 130,279 | -41,805 |
Ending net loss and loss expense reserves | 5,399,050 | 5,478,156 | 5,434,517 |
Add reinsurance on loss and loss expense reserves | 142,512 | 110,015 | 138,155 |
Ending gross loss and loss expense reserves | 5,541,562 | 5,588,171 | 5,572,672 |
Consolidation Of Variable Interest Entities On Loss And Loss Adjustment Expense Reserves | $0 | $0 | ($498,409) |
Financial_Guarantee_Insurance_8
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Detail) (USD $) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Apr. 30, 2013 | |
Policies | Policies | |||
Less: | ' | ' | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | $5,588,171,000 | $5,470,234,000 | ' | ' |
Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 363 | 339 | ' | ' |
Remaining weighted-average contract period (in years) | '15 years | '14 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 21,480,870,000 | 22,206,789,000 | ' | ' |
Interest | 8,250,035,000 | 8,397,133,000 | ' | ' |
Total | 29,730,905,000 | 30,603,922,000 | ' | ' |
Gross undiscounted claim liability | 10,917,850,000 | 11,276,259,000 | ' | ' |
Discount, gross claim liability | -1,930,433,000 | -2,452,448,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 8,987,417,000 | 8,823,811,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross RMBS subrogation | -2,300,485,000 | -2,215,849,000 | ' | ' |
Discount, RMBS subrogation | 16,061,000 | 9,251,000 | ' | ' |
Discounted RMBS subrogation, before reinsurance | -2,284,424,000 | -2,206,598,000 | -2,394,933,000 | -2,482,918,000 |
Less: | ' | ' | ' | ' |
Gross other subrogation | -826,815,000 | -846,699,000 | ' | ' |
Discount, other subrogation | 90,811,000 | 91,313,000 | ' | ' |
Discounted other subrogation, before reinsurance | -736,004,000 | -755,386,000 | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 5,966,989,000 | 5,861,827,000 | ' | ' |
Less: Unearned premium reserves | -475,997,000 | -502,984,000 | ' | ' |
Plus: Loss adjustment expenses reserves | 97,179,000 | 111,391,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 5,588,171,000 | 5,470,234,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | 109,255,000 | 121,249,000 | ' | ' |
I/SL [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 29 | 18 | ' | ' |
Remaining weighted-average contract period (in years) | '12 years | '13 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 815,549,000 | 834,708,000 | ' | ' |
Interest | 428,964,000 | 506,903,000 | ' | ' |
Total | 1,244,513,000 | 1,341,611,000 | ' | ' |
Gross undiscounted claim liability | 5,477,000 | 7,447,000 | ' | ' |
Discount, gross claim liability | -700,000 | -1,225,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 4,777,000 | 6,222,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 4,777,000 | 6,222,000 | ' | ' |
Less: Unearned premium reserves | -3,198,000 | -4,060,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 1,579,000 | 2,162,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | 55,000 | 146,000 | ' | ' |
IA [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 24 | 23 | ' | ' |
Remaining weighted-average contract period (in years) | '13 years | '19 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 479,218,000 | 1,125,284,000 | ' | ' |
Interest | 222,412,000 | 871,751,000 | ' | ' |
Total | 701,630,000 | 1,997,035,000 | ' | ' |
Gross undiscounted claim liability | 12,134,000 | 54,398,000 | ' | ' |
Discount, gross claim liability | -1,091,000 | -6,726,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 11,043,000 | 47,672,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 11,043,000 | 47,672,000 | ' | ' |
Less: Unearned premium reserves | -3,925,000 | -22,901,000 | ' | ' |
Plus: Loss adjustment expenses reserves | 1,824,000 | 11,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 8,942,000 | 24,782,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | 895,000 | 2,271,000 | ' | ' |
II [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 49 | 52 | ' | ' |
Remaining weighted-average contract period (in years) | '16 years | '17 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 3,517,374,000 | 3,464,420,000 | ' | ' |
Interest | 2,298,152,000 | 2,130,271,000 | ' | ' |
Total | 5,815,526,000 | 5,594,691,000 | ' | ' |
Gross undiscounted claim liability | 189,385,000 | 221,321,000 | ' | ' |
Discount, gross claim liability | -20,747,000 | -32,630,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 168,638,000 | 188,691,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross other subrogation | -17,558,000 | -20,367,000 | ' | ' |
Discount, other subrogation | 7,045,000 | 9,522,000 | ' | ' |
Discounted other subrogation, before reinsurance | -10,513,000 | -10,845,000 | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 158,125,000 | 177,846,000 | ' | ' |
Less: Unearned premium reserves | -90,254,000 | -95,550,000 | ' | ' |
Plus: Loss adjustment expenses reserves | -799,000 | 2,257,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 67,072,000 | 84,553,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | 1,956,000 | 2,273,000 | ' | ' |
III [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 88 | 76 | ' | ' |
Remaining weighted-average contract period (in years) | '19 years | '19 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 5,849,928,000 | 5,597,387,000 | ' | ' |
Interest | 2,873,112,000 | 2,331,222,000 | ' | ' |
Total | 8,723,040,000 | 7,928,609,000 | ' | ' |
Gross undiscounted claim liability | 2,752,311,000 | 3,029,891,000 | ' | ' |
Discount, gross claim liability | -964,005,000 | -1,299,032,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 1,788,306,000 | 1,730,859,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross RMBS subrogation | -2,154,000 | -4,516,000 | ' | ' |
Discount, RMBS subrogation | 14,000 | 15,000 | ' | ' |
Discounted RMBS subrogation, before reinsurance | -2,140,000 | -4,501,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross other subrogation | -110,818,000 | -116,145,000 | ' | ' |
Discount, other subrogation | 29,735,000 | 36,125,000 | ' | ' |
Discounted other subrogation, before reinsurance | -81,083,000 | -80,020,000 | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 1,705,083,000 | 1,646,338,000 | ' | ' |
Less: Unearned premium reserves | -297,274,000 | -280,245,000 | ' | ' |
Plus: Loss adjustment expenses reserves | 4,488,000 | 1,658,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 1,412,297,000 | 1,367,751,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | 115,403,000 | 119,795,000 | ' | ' |
IV [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 172 | 169 | ' | ' |
Remaining weighted-average contract period (in years) | '12 years | '11 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 10,818,754,000 | 11,184,943,000 | ' | ' |
Interest | 2,427,376,000 | 2,556,968,000 | ' | ' |
Total | 13,246,130,000 | 13,741,911,000 | ' | ' |
Gross undiscounted claim liability | 7,958,481,000 | 7,963,137,000 | ' | ' |
Discount, gross claim liability | -943,887,000 | -1,112,829,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 7,014,594,000 | 6,850,308,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross RMBS subrogation | -2,298,331,000 | -2,211,333,000 | ' | ' |
Discount, RMBS subrogation | 16,047,000 | 9,236,000 | ' | ' |
Discounted RMBS subrogation, before reinsurance | -2,282,284,000 | -2,202,097,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross other subrogation | -698,439,000 | -710,187,000 | ' | ' |
Discount, other subrogation | 54,031,000 | 45,666,000 | ' | ' |
Discounted other subrogation, before reinsurance | -644,408,000 | -664,521,000 | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 4,087,902,000 | 3,983,690,000 | ' | ' |
Less: Unearned premium reserves | -81,346,000 | -100,228,000 | ' | ' |
Plus: Loss adjustment expenses reserves | 91,666,000 | 107,465,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | 4,098,222,000 | 3,990,927,000 | ' | ' |
Reinsurance recoverable reported on Balance Sheet | -9,054,000 | -3,236,000 | ' | ' |
V [Member] | Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Number of policies | 1 | 1 | ' | ' |
Remaining weighted-average contract period (in years) | '6 years | '6 years | ' | ' |
Gross insured contractual payments outstanding: | ' | ' | ' | ' |
Principal | 47,000 | 47,000 | ' | ' |
Interest | 19,000 | 18,000 | ' | ' |
Total | 66,000 | 65,000 | ' | ' |
Gross undiscounted claim liability | 62,000 | 65,000 | ' | ' |
Discount, gross claim liability | -3,000 | -6,000 | ' | ' |
Gross claim liability before all subrogation and before reinsurance | 59,000 | 59,000 | ' | ' |
Less: | ' | ' | ' | ' |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 59,000 | 59,000 | ' | ' |
Claim liability reported on Balance Sheet, before reinsurance | $59,000 | $59,000 | ' | ' |
Financial_Guarantee_Insurance_9
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Parenthetical) (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Apr. 30, 2013 |
In Thousands, unless otherwise specified | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Loss and loss expense reserves | $6,072,323 | $5,968,712 | ' | ' |
Subrogation recoverable | -484,152 | -498,478 | ' | ' |
Successor Ambac [Member] | ' | ' | ' | ' |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ' | ' | ' | ' |
Liability for Claims | $5,588,171 | $5,470,234 | $5,541,562 | $5,572,672 |
Recovered_Sheet1
Financial Guarantee Insurance Contracts - Summary of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Apr. 30, 2013 |
In Thousands, unless otherwise specified | ||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ' | ' | ' | ' |
Gross loss reserve before subrogation recoveries | $2,736,871 | $3,163,772 | ' | ' |
Subrogation recoveries | -2,284,424 | -2,206,598 | -2,394,933 | -2,482,918 |
Gross loss reserve after subrogation recoveries | 452,447 | 957,174 | ' | ' |
Adverse Samples [Member] | ' | ' | ' | ' |
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ' | ' | ' | ' |
Gross loss reserve before subrogation recoveries | ' | 2,084,911 | ' | ' |
Subrogation recoveries | ' | -1,252,773 | ' | ' |
Gross loss reserve after subrogation recoveries | ' | 832,138 | ' | ' |
Random Samples [Member] | ' | ' | ' | ' |
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ' | ' | ' | ' |
Gross loss reserve before subrogation recoveries | 2,736,871 | 1,078,861 | ' | ' |
Subrogation recoveries | -2,284,424 | -953,825 | ' | ' |
Gross loss reserve after subrogation recoveries | $452,447 | $125,036 | ' | ' |
Recovered_Sheet2
Financial Guarantee Insurance Contracts - Summary of Rollforward of RMBS Subrogation, by Estimation Approach (Detail) (USD $) | 2 Months Ended | 6 Months Ended | 4 Months Ended | 2 Months Ended | 6 Months Ended | 4 Months Ended | 2 Months Ended | 6 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Random Samples [Member] | Random Samples [Member] | Random Samples [Member] | Adverse Samples [Member] | Adverse Samples [Member] | Adverse Samples [Member] | |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Discounted RMBS subrogation (gross of reinsurance), beginning balance | $2,482,918 | $2,206,598 | $2,523,225 | $1,004,252 | $953,825 | $1,080,408 | $1,478,666 | $1,252,773 | $1,442,817 |
Changes recognized | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Additional Transactions Reviewed Changes in RMBS Subrogation | ' | 24,510 | ' | ' | 24,510 | ' | ' | ' | ' |
Changes in Estimation Approach In Rmbs Subrogation | 0 | 123,236 | 0 | 0 | 1,341,917 | 0 | 0 | -1,218,681 | 0 |
Impact of sponsor actions | -2,489 | -90,000 | -54,195 | -2,489 | -90,000 | -54,195 | 0 | 0 | 0 |
All other changes | -85,496 | 20,080 | 13,888 | -43,158 | 54,172 | -21,961 | -42,338 | -34,092 | 35,849 |
Discounted RMBS subrogation (gross of reinsurance), ending balance | $2,394,933 | $2,284,424 | $2,482,918 | $958,605 | $2,284,424 | $1,004,252 | $1,436,328 | $0 | $1,478,666 |
Recovered_Sheet3
Financial Guarantee Insurance Contracts - Estimated Future Amortization Expense for Insurance Intangible Asset (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 |
Insurance Intangible Asset [Member] | ' | ' | ' |
Amortization Of Intangible Assets [Line Items] | ' | ' | ' |
2014 | ' | $66,545 | $66,545 |
2015 | ' | 121,914 | 121,914 |
2016 | ' | 110,968 | 110,968 |
2017 | ' | 102,293 | 102,293 |
2018 | ' | 95,522 | 95,522 |
Thereafter | ' | 1,052,142 | 1,052,142 |
Successor [Member] | ' | ' | ' |
Amortization Of Intangible Assets [Line Items] | ' | ' | ' |
Amortization of insurance intangible assets | 24,952 | 36,256 | 67,970 |
Successor [Member] | Insurance Asset [Member] | ' | ' | ' |
Amortization Of Intangible Assets [Line Items] | ' | ' | ' |
Amortization of insurance intangible assets | $24,952 | $36,256 | $67,970 |
Fair_Value_Measurements_Summar
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financial assets: | ' | ' |
Short term investments | $344,187 | $271,119 |
Other investments | 256,455 | 241,069 |
Other assets | 12,782 | 13,384 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 169,582 | 359,070 |
Long term debt, including accrued interest | 981,424 | 963,178 |
Derivative liabilities | 89,651 | 94,322 |
Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Loans at Carrying Amount | 13,743,231 | 13,398,895 |
Financial liabilities: | ' | ' |
Long term debt, including accrued interest | 14,450,434 | 14,091,753 |
Successor Ambac [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 6,509,647 | 6,282,658 |
Successor Ambac [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Cash | 74,461 | 77,370 |
Loans | 6,349 | 6,238 |
Other assets | 12,782 | 13,384 |
Total financial assets | 23,388,705 | 22,590,005 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 171,999 | 360,506 |
Long term debt, including accrued interest | 1,506,391 | 1,215,029 |
Liabilities for net financial guarantees written | 7,078,178 | 4,876,617 |
Total financial liabilities | 25,476,735 | 22,570,109 |
Successor Ambac [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Restricted cash | 7,712 | 17,498 |
Loans | 13,743,231 | 13,398,895 |
Financial liabilities: | ' | ' |
Long-term debt | 14,450,434 | 14,091,753 |
Successor Ambac [Member] | Total Fair Value [Member] | Futures Contracts [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 2,337 |
Financial liabilities: | ' | ' |
Derivative liabilities | 180 | ' |
Successor Ambac [Member] | Total Fair Value [Member] | Credit Derivatives [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 319 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 89,970 | 94,322 |
Successor Ambac [Member] | Total Fair Value [Member] | Other Contracts [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 128 | 165 |
Successor Ambac [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Cash | 74,461 | 77,370 |
Loans at Carrying Amount | 6,349 | 6,179 |
Other assets | 12,782 | 13,384 |
Total financial assets | 23,388,705 | 22,589,946 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 169,582 | 359,070 |
Long term debt, including accrued interest | 1,319,997 | 1,256,602 |
Liabilities for net financial guarantees written | 4,600,794 | 4,509,539 |
Total financial liabilities | 22,810,540 | 22,243,168 |
Successor Ambac [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Restricted cash | 7,712 | 17,498 |
Loans at Carrying Amount | 13,743,231 | 13,398,895 |
Financial liabilities: | ' | ' |
Long-term debt | 14,450,434 | 14,091,753 |
Successor Ambac [Member] | Carrying Amount [Member] | Futures Contracts [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 2,337 |
Financial liabilities: | ' | ' |
Derivative liabilities | 180 | ' |
Successor Ambac [Member] | Carrying Amount [Member] | Credit Derivatives [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 319 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 89,970 | 94,322 |
Successor Ambac [Member] | Carrying Amount [Member] | Other Contracts [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 128 | 165 |
Successor Ambac [Member] | Other Assets [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 89,361 | 76,631 |
Financial liabilities: | ' | ' |
Derivative liabilities - interest rate swaps - asset position | -51,322 | -55,619 |
Successor Ambac [Member] | Other Assets [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 89,361 | 76,631 |
Financial liabilities: | ' | ' |
Derivative liabilities - interest rate swaps - asset position | -51,322 | -55,619 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets - interest rate swaps - liability position | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 303,317 | 215,030 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 1,840,399 | 1,680,834 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 87,061 | 91,472 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets - interest rate swaps - liability position | 0 | -1,257 |
Financial liabilities: | ' | ' |
Derivative liabilities | 303,317 | 215,030 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 1,840,399 | 1,680,834 |
Successor Ambac [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 87,061 | 91,472 |
Successor Ambac [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Cash | 73,204 | 74,425 |
Loans | 0 | 0 |
Other assets | 0 | 0 |
Total financial assets | 565,176 | 614,343 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 0 | 0 |
Long term debt, including accrued interest | 0 | 0 |
Liabilities for net financial guarantees written | 0 | 0 |
Total financial liabilities | 180 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Restricted cash | 7,712 | 17,498 |
Loans | 0 | 0 |
Financial liabilities: | ' | ' |
Long-term debt | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Futures Contracts [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 2,337 |
Financial liabilities: | ' | ' |
Derivative liabilities | 180 | ' |
Successor Ambac [Member] | Level 1 [Member] | Credit Derivatives [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Other Contracts [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 0 |
Derivative assets - interest rate swaps - liability position | ' | 0 |
Financial liabilities: | ' | ' |
Derivative liabilities - interest rate swaps - asset position | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets - interest rate swaps - liability position | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Cash | 1,257 | 2,945 |
Loans | 0 | 0 |
Other assets | 0 | 0 |
Total financial assets | 6,306,008 | 6,014,080 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 0 | 0 |
Long term debt, including accrued interest | 0 | 0 |
Liabilities for net financial guarantees written | 0 | 0 |
Total financial liabilities | 15,125,958 | 14,416,418 |
Successor Ambac [Member] | Level 2 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Restricted cash | 0 | 0 |
Loans | 0 | 0 |
Financial liabilities: | ' | ' |
Long-term debt | 13,075,385 | 12,577,148 |
Successor Ambac [Member] | Level 2 [Member] | Futures Contracts [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 0 |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | ' |
Successor Ambac [Member] | Level 2 [Member] | Credit Derivatives [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 2 [Member] | Other Contracts [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 128 | 165 |
Successor Ambac [Member] | Level 2 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 89,361 | 76,631 |
Derivative assets - interest rate swaps - liability position | ' | -1,257 |
Financial liabilities: | ' | ' |
Derivative liabilities - interest rate swaps - asset position | -51,322 | -55,619 |
Successor Ambac [Member] | Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets - interest rate swaps - liability position | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 174,307 | 122,418 |
Successor Ambac [Member] | Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 1,840,399 | 1,680,834 |
Successor Ambac [Member] | Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 87,061 | 91,472 |
Successor Ambac [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Cash | 0 | 0 |
Loans | 6,349 | 6,238 |
Other assets | 12,782 | 13,384 |
Total financial assets | 16,517,521 | 15,961,582 |
Financial liabilities: | ' | ' |
Obligations under investment and repurchase agreements | 171,999 | 360,506 |
Long term debt, including accrued interest | 1,506,391 | 1,215,029 |
Liabilities for net financial guarantees written | 7,078,178 | 4,876,617 |
Total financial liabilities | 10,350,597 | 8,153,691 |
Successor Ambac [Member] | Level 3 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Restricted cash | 0 | 0 |
Loans | 13,743,231 | 13,398,895 |
Financial liabilities: | ' | ' |
Long-term debt | 1,375,049 | 1,514,605 |
Successor Ambac [Member] | Level 3 [Member] | Futures Contracts [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 0 |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | ' |
Successor Ambac [Member] | Level 3 [Member] | Credit Derivatives [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 319 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 89,970 | 94,322 |
Successor Ambac [Member] | Level 3 [Member] | Other Contracts [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 3 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets | 0 | 0 |
Derivative assets - interest rate swaps - liability position | ' | 0 |
Financial liabilities: | ' | ' |
Derivative liabilities - interest rate swaps - asset position | 0 | 0 |
Successor Ambac [Member] | Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | ' | ' |
Financial assets: | ' | ' |
Derivative assets - interest rate swaps - liability position | 0 | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 129,010 | 92,612 |
Successor Ambac [Member] | Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ' | ' |
Financial liabilities: | ' | ' |
Derivative liabilities | 0 | 0 |
Successor Ambac [Member] | Municipal Bonds [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 981,082 | 1,377,723 |
Successor Ambac [Member] | Municipal Bonds [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 981,082 | 1,377,723 |
Successor Ambac [Member] | Municipal Bonds [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Municipal Bonds [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 981,082 | 1,377,723 |
Successor Ambac [Member] | Municipal Bonds [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Corporate Obligations [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,891,834 | 1,489,369 |
Successor Ambac [Member] | Corporate Obligations [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 2,688,388 | 2,475,182 |
Successor Ambac [Member] | Corporate Obligations [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,891,834 | 1,489,369 |
Successor Ambac [Member] | Corporate Obligations [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 2,688,388 | 2,475,182 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 1 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,888,083 | 1,485,867 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 2 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 3,751 | 3,502 |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 3 [Member] | Variable Interest Entity [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 2,688,388 | 2,475,182 |
Successor Ambac [Member] | Foreign Obligations [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,125 | 124,877 |
Successor Ambac [Member] | Foreign Obligations [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,125 | 124,877 |
Successor Ambac [Member] | Foreign Obligations [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Foreign Obligations [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,125 | 124,877 |
Successor Ambac [Member] | Foreign Obligations [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | US Government Debt Securities [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 77,584 | 126,248 |
Fixed income securities, pledged as collateral | 65,029 | 126,223 |
Successor Ambac [Member] | US Government Debt Securities [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 77,584 | 126,248 |
Fixed income securities, pledged as collateral | 65,029 | 126,223 |
Successor Ambac [Member] | US Government Debt Securities [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 77,584 | 126,248 |
Fixed income securities, pledged as collateral | 65,029 | 126,223 |
Successor Ambac [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 Ambac [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 Ambac [Member] | U.S. Agency Obligations [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 30,191 | 32,154 |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 30,191 | 32,154 |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 30,191 | 31,946 |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 208 |
Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,853,409 | 1,558,625 |
Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,853,409 | 1,558,625 |
Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 1,853,409 | 1,558,625 |
Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Collateralized Debt Obligations [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,376 | 183,872 |
Successor Ambac [Member] | Collateralized Debt Obligations [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,376 | 183,872 |
Successor Ambac [Member] | Collateralized Debt Obligations [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Collateralized Debt Obligations [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 144,376 | 183,872 |
Successor Ambac [Member] | Collateralized Debt Obligations [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Asset-backed Securities [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 977,830 | 992,448 |
Successor Ambac [Member] | Asset-backed Securities [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 977,830 | 992,448 |
Successor Ambac [Member] | Asset-backed Securities [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 0 | 0 |
Successor Ambac [Member] | Asset-backed Securities [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 915,229 | 928,375 |
Successor Ambac [Member] | Asset-backed Securities [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Fixed income securities | 62,601 | 64,073 |
Successor Ambac [Member] | Short-Term [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Short term investments | 344,187 | 271,119 |
Successor Ambac [Member] | Short-Term [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Short term investments | 344,187 | 271,119 |
Successor Ambac [Member] | Short-Term [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Short term investments | 341,647 | 267,612 |
Successor Ambac [Member] | Short-Term [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Short term investments | 2,540 | 3,507 |
Successor Ambac [Member] | Short-Term [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Short term investments | 0 | 0 |
Successor Ambac [Member] | Other [Member] | Total Fair Value [Member] | ' | ' |
Financial assets: | ' | ' |
Other investments | 256,455 | 241,069 |
Successor Ambac [Member] | Other [Member] | Carrying Amount [Member] | ' | ' |
Financial assets: | ' | ' |
Other investments | 256,455 | 241,069 |
Successor Ambac [Member] | Other [Member] | Level 1 [Member] | ' | ' |
Financial assets: | ' | ' |
Other investments | 0 | 0 |
Successor Ambac [Member] | Other [Member] | Level 2 [Member] | ' | ' |
Financial assets: | ' | ' |
Other investments | 256,355 | 240,969 |
Successor Ambac [Member] | Other [Member] | Level 3 [Member] | ' | ' |
Financial assets: | ' | ' |
Other investments | $100 | $100 |
Fair_Value_Measurements_Additi
Fair Value Measurements - Additional Information (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Credit valuation adjustment included in fair value of credit derivative liabilities | $16,141 | $38,966 |
Credit valuation adjustment included in fair value of derivative liabilities other than credit derivatives | 43,915 | 48,425 |
Percentage of CDS gross par outstanding used in the determination of CDS fair values | 74.00% | ' |
Percentage of CDS derivative liability used in the determination of CDS fair values | 63.00% | ' |
Percentage of CDS gross par outstanding using internally estimated reference obligation prices in determination of fair value | 26.00% | ' |
Percentage of CDS liability using internally estimated reference obligation prices in determination of fair value | 37.00% | ' |
Additional basis point fee need to receive for issuing a CDS on obligation | 0.05% | ' |
Additional basis points fee increase on change of reference obligation spread | 0.15% | ' |
Revised relative change ratio of CDS fee to cash market spread | 73.20% | ' |
Estimated remaining life | '8 years | ' |
Notional outstanding | 2,202,760 | 2,776,103 |
Derivative liabilities | 89,651 | 94,322 |
Percentage of profit margin | 17.00% | 17.00% |
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 4.60% | 5.10% |
Credit Derivatives [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
CVA percentage | 15.30% | 29.20% |
European ABS Transactions [Member] | Level 3 [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Fair value of consolidated VIE debt obligations valued using unobservable inputs by asset class | 1,174,756 | 1,329,985 |
US Commercial ABS Transaction [Member] | Level 3 [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Fair value of consolidated VIE debt obligations valued using unobservable inputs by asset class | 200,293 | 184,620 |
Minimum [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Basis point fee received for issuing a CDS on reference obligation base fee | 0.20% | ' |
Credit spread of reference obligation of a base transaction | 0.80% | ' |
Relative change ratio of CDS fee to cash market spread | 25.00% | ' |
Maximum [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Basis point fee received for issuing a CDS on reference obligation hypothetical fee | 0.25% | ' |
Relative change ratio of CDS fee to cash market spread | 35.00% | ' |
Credit spread of reference obligation of revised transaction | 1.00% | ' |
Internal Credit Rating [Member] | Minimum [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Revised relative change ratio of CDS fee to cash market spread | 33.00% | ' |
Internal Credit Rating [Member] | Maximum [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Full relative change ratio of CDS fee to cash market spread | 100.00% | ' |
Successor Ambac [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Notional outstanding | 2,202,760 | 2,776,103 |
Successor Ambac [Member] | Fixed Income Securities [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Percentage of investment portfolio valued using dealer quotes | 9.00% | 11.00% |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Coupon rate | ' | 6.98% |
Fair Value Inputs Maturity | ' | '1 year 4 months 13 days |
Fair Value Inputs Yield | ' | 0.39% |
Successor Ambac [Member] | U.S. Agency Obligations [Member] | Level 3 [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Fair value of investments in corporate obligation securities classified as Level 3 in the fair value hierarchy | 0 | 208 |
Successor Ambac [Member] | Asset-backed Securities [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Coupon rate | 0.63% | 0.64% |
Fair Value Inputs Maturity | '6 years 8 months 64 days | '7 years 1 month 25 days |
Fair Value Inputs Yield | 4.72% | 5.17% |
Successor Ambac [Member] | Asset-backed Securities [Member] | Level 3 [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Fair value of investments in corporate obligation securities classified as Level 3 in the fair value hierarchy | 62,601 | 64,073 |
Successor Ambac [Member] | Corporate Obligations [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Coupon rate | 0.35% | 0.35% |
Fair Value Inputs Maturity | '19 years 6 months 50 days | '20 years 1 month 19 days |
Fair Value Inputs Yield | 5.30% | 6.30% |
Successor Ambac [Member] | Corporate Obligations [Member] | Level 3 [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Fair value of investments in corporate obligation securities classified as Level 3 in the fair value hierarchy | $3,751 | $3,502 |
Successor Ambac [Member] | European ABS Transactions [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Coupon rate | 0.56% | 0.72% |
Fair Value Inputs Maturity | '20 years 11 months 1 day | '17 years 9 months 40 days |
Fair Value Inputs Yield | 9.31% | 8.02% |
Successor Ambac [Member] | US Commercial ABS Transaction [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Coupon rate | 5.88% | 6.11% |
Fair Value Inputs Maturity | '15 years 11 months 15 days | '6 years 9 months 28 days |
Fair Value Inputs Yield | 7.26% | 11.95% |
Successor Ambac [Member] | Minimum [Member] | Fixed Income Securities [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Percentage of investment portfolio valued using internal valuation models | 1.00% | 1.00% |
Successor Ambac [Member] | Maximum [Member] | Fixed Income Securities [Member] | ' | ' |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ' | ' |
Percentage of investment portfolio valued using external pricing services | 90.00% | 88.00% |
Fair_Value_Measurements_Inform
Fair Value Measurements - Information about Valuation Inputs for Fixed Income Securities Classified as Level 3 (Detail) (Successor Ambac [Member]) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2014 | Dec. 31, 2013 | |
Corporate Obligations [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Coupon rate | 0.35% | 0.35% |
Maturity | '19 years 6 months 50 days | '20 years 1 month 19 days |
Yield | 5.30% | 6.30% |
U.S. Agency Obligations [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Coupon rate | ' | 6.98% |
Maturity | ' | '1 year 4 months 13 days |
Yield | ' | 0.39% |
Asset-backed Securities [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Coupon rate | 0.63% | 0.64% |
Maturity | '6 years 8 months 64 days | '7 years 1 month 25 days |
Yield | 4.72% | 5.17% |
Fair_Value_Measurements_Summar1
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Notional outstanding | $2,202,760 | $2,776,103 |
Successor Ambac [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Notional outstanding | 2,202,760 | 2,776,103 |
Successor Ambac [Member] | CLO [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Notional outstanding | 841,744 | 1,337,737 |
Weighted average reference obligation price | $98.70 | $98 |
Weighted average life (WAL) in years | '1 year 10 months 31 days | '2 years 1 month 6 days |
Weighted average credit rating | 'AA | 'AA |
Weighted average relative change ratio | 35.60% | 35.30% |
CVA percentage | 6.05% | 13.67% |
Fair value of derivative liabilities | 3,811 | 7,993 |
Successor Ambac [Member] | Other [Member] | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' |
Notional outstanding | 1,273,684 | 1,291,371 |
Weighted average reference obligation price | $87.90 | $85.70 |
Weighted average life (WAL) in years | '5 years 0 months 0 days | '5 years 4 months 24 days |
Weighted average credit rating | 'BBB- | 'BBB- |
Weighted average relative change ratio | 43.50% | 43.10% |
CVA percentage | 15.80% | 30.70% |
Fair value of derivative liabilities | $84,359 | $84,780 |
Fair_Value_Measurements_Summar2
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Parenthetical) (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 |
In Thousands, unless otherwise specified | Other Contracts [Member] | Other Contracts [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | ||
Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | |||||
Collateralized Debt Obligations [Member] | Collateralized Debt Obligations [Member] | |||||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | ' | ' | ' | ' | $0 | $0 | $0 | $0 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Notional outstanding | 2,202,760 | 2,776,103 | 58,801 | 146,995 | ' | ' | ' | ' |
Weighted average life (WAL) in years | ' | ' | '1 year 8 months 24 days | '1 year | ' | ' | ' | ' |
Weighted average quotes | ' | ' | 4.00% | 1.00% | ' | ' | ' | ' |
CVA percentage | ' | ' | 3.58% | 8.70% | ' | ' | ' | ' |
Weighted average credit rating | ' | ' | 'A | 'A+ | ' | ' | ' | ' |
Fair value of derivative liabilities | ' | ' | $1,800 | $1,549 | ' | ' | ' | ' |
Fair_Value_Measurements_Inform1
Fair Value Measurements - Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Detail) (USD $) | 6 Months Ended | 12 Months Ended | 6 Months Ended | 12 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | |||||||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Loan Origination Commitments [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Long-term Debt [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | Investment Contracts [Member] | |
European ABS Transactions [Member] | European ABS Transactions [Member] | US Commercial ABS Transaction [Member] | US Commercial ABS Transaction [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | |
Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | |||||||||||||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | ' | ' | ' | ' | $15,170,359 | $15,170,359 | $14,364,161 | $14,416,488 | $69,412 | $69,412 | $57,791 | $60,402 | $14,061 | $14,061 | $14,230 | $14,557 | ($415,360) | ($415,360) | ($328,689) | ($322,337) | $14,231,973 | $14,917,043 | $14,917,043 | $14,409,383 | $14,253,705 | $15,170,359 | $68,572 | $66,352 | $66,352 | $66,923 | $67,783 | $69,412 | $13,884 | $12,782 | $12,782 | $13,122 | $13,384 | $14,061 | ($340,663) | ($218,661) | ($218,661) | ($202,482) | ($186,934) | ($415,360) | $14,752,053 | $14,752,053 | $14,116,811 | $15,359,073 | $13,820,878 | $13,743,231 | $13,743,231 | $13,269,452 | $13,398,895 | $14,752,053 | ($1,750,372) | ($1,750,372) | ($1,910,589) | ($2,956,501) | ($1,573,687) | ($1,375,049) | ($1,375,049) | ($1,284,394) | ($1,514,605) | ($1,750,372) | $2,500,565 | $2,500,565 | $2,414,607 | $2,261,294 | $2,242,989 | $2,688,388 | $2,688,388 | $2,546,762 | $2,475,182 | $2,500,565 |
Coupon rate | 0.56% | 0.72% | 5.88% | 6.11% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Maturity | '20 years 11 months 1 day | '17 years 9 months 40 days | '15 years 11 months 15 days | '6 years 9 months 28 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Yield | 9.31% | 8.02% | 7.26% | 11.95% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Additions Of Consolidated Vies | ' | ' | ' | ' | -409,300 | -409,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -409,300 | -409,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | ' | ' | ' | ' | -490,336 | -1,057,181 | ' | ' | 10 | 33 | ' | ' | 169 | 496 | ' | ' | 85,384 | 88,546 | ' | ' | 720,947 | -192,134 | -364,672 | ' | ' | ' | -395 | -422 | -841 | ' | ' | ' | 177 | 340 | 602 | ' | ' | ' | -70,127 | 25,959 | 40,208 | ' | ' | ' | -555,946 | -956,402 | ' | ' | 586,641 | -204,722 | -526,569 | ' | ' | ' | 11,521 | 138,914 | ' | ' | -4,347 | 61,028 | 251,990 | ' | ' | ' | -31,474 | -328,768 | ' | ' | 208,998 | -74,317 | -130,062 | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | ' | ' | ' | ' | -128,819 | 776,014 | ' | ' | -11,631 | -12,329 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 302,722 | -365,973 | -452,772 | ' | ' | ' | -63 | 124 | 341 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -105,622 | 849,833 | ' | ' | 282,421 | -328,415 | -408,217 | ' | ' | ' | 42,918 | -150,987 | ' | ' | -28,214 | 29,627 | 38,248 | ' | ' | ' | -54,484 | 89,497 | ' | ' | 48,578 | -67,309 | -83,144 | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -70,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -70,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | ' | ' | ' | ' | -27,613 | -716,488 | ' | ' | 0 | -3,286 | ' | ' | ' | ' | ' | ' | -1,287 | -4,477 | ' | ' | -58,841 | -50,447 | -223,898 | ' | ' | ' | -1,298 | -869 | -1,723 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,570 | 9,780 | 8,481 | ' | ' | ' | -26,326 | -713,589 | ' | ' | -62,113 | -59,358 | -660,450 | ' | ' | ' | 0 | 4,864 | ' | ' | 0 | 0 | 429,794 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -220,922 | 0 | 0 | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | -220,922 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | ' | ' | ' | ' | 623,956 | 1,598,492 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 365,046 | ' | -208 | ' | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 623,956 | 1,598,492 | ' | ' | 365,046 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | ' | ' | ' | ' | $489,410 | $1,053,758 | ' | ' | ' | ' | ' | ' | ($169) | ($496) | ' | ' | ($86,320) | ($92,002) | ' | ' | ($758,944) | $190,387 | $359,729 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($177) | ($340) | ($602) | ' | ' | ' | $32,525 | ($27,284) | ($42,315) | ' | ' | ' | $555,946 | $956,402 | ' | ' | ($586,641) | $204,722 | $521,436 | ' | ' | ' | ($11,521) | ($138,914) | ' | ' | $4,347 | ($61,028) | ($248,852) | ' | ' | ' | $31,474 | $328,768 | ' | ' | ($208,998) | $74,317 | $130,062 | ' | ' | ' |
Fair_Value_Measurements_Summar3
Fair Value Measurements - Summary of Changes in Level 3 Fair Value Category (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | |||
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | Level 3 [Member] | |
Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Asset-backed Securities [Member] | Asset-backed Securities [Member] | Asset-backed Securities [Member] | U.S. Agency Obligations [Member] | U.S. Agency Obligations [Member] | U.S. Agency Obligations [Member] | Collateralized Debt Obligations [Member] | Collateralized Debt Obligations [Member] | Collateralized Debt Obligations [Member] | Corporate Obligations [Member] | Corporate Obligations [Member] | Corporate Obligations [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Investment by Class [Member] | Investment by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Asset-backed Securities [Member] | Asset-backed Securities [Member] | U.S. Agency Obligations [Member] | U.S. Agency Obligations [Member] | Collateralized Debt Obligations [Member] | Collateralized Debt Obligations [Member] | Corporate Obligations [Member] | Corporate Obligations [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | |
Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Investment by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Derivatives by Class [Member] | Investments Contract [Member] | Investments Contract [Member] | Investments Contract [Member] | Loans [Member] | Loans [Member] | Loans [Member] | Long-Term Debt [Member] | Long-Term Debt [Member] | Long-Term Debt [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Investments Contract [Member] | Investments Contract [Member] | Loans [Member] | Loans [Member] | Long-Term Debt [Member] | Long-Term Debt [Member] | Investments [Member] | Investments [Member] | Other Assets [Member] | Other Assets [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | |||||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, beginning of period | $69,412 | $66,923 | $67,783 | $415,360 | ' | $186,934 | $202,482 | $61,782 | $63,367 | $64,073 | ' | ' | $208 | $3,949 | ' | $0 | $3,681 | $3,556 | $3,502 | $137,947 | ' | $92,612 | $114,767 | $277,413 | ' | $94,322 | $87,715 | $57,791 | $60,402 | $328,689 | $322,337 | $50,234 | $50,264 | ' | ' | $3,905 | $6,482 | $3,652 | $3,656 | $125,382 | $108,752 | $203,307 | $213,585 | $15,170,359 | $14,409,383 | $14,253,705 | $2,500,565 | $2,546,762 | $2,475,182 | $14,752,053 | $13,269,452 | $13,398,895 | ($1,750,372) | ($1,284,394) | ($1,514,605) | $69,412 | $66,923 | $67,783 | $14,061 | $13,122 | $13,384 | ($415,360) | ($202,482) | ($186,934) | $14,364,161 | $14,416,488 | $2,414,607 | $2,261,294 | $14,116,811 | $15,359,073 | ($1,910,589) | ($2,956,501) | $57,791 | $60,402 | $14,230 | $14,557 | ($328,689) | ($322,337) |
Additions of VIEs consolidated | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -409,300 | -409,300 | ' | ' | ' | ' | -409,300 | -409,300 | ' | ' | ' | ' | ' | ' |
Included in earnings | 395 | 422 | 841 | -70,127 | 25,959 | 40,208 | ' | 392 | 446 | 889 | ' | ' | ' | 18 | ' | 0 | -15 | -24 | -48 | -18,907 | 24,740 | 46,371 | ' | -51,220 | 1,219 | -6,163 | ' | -10 | ' | 85,384 | 88,546 | ' | ' | ' | ' | -3 | ' | -7 | ' | 12,213 | 28,162 | 73,171 | 60,384 | -720,947 | 192,134 | 364,672 | -208,998 | 74,317 | 130,062 | -586,641 | 204,722 | 526,569 | 4,347 | -61,028 | -251,990 | 395 | 422 | 841 | -177 | -340 | -602 | 70,127 | -25,959 | -40,208 | 490,336 | 1,057,181 | 31,474 | 328,768 | 555,946 | 956,402 | -11,521 | -138,914 | -10 | -33 | -169 | -496 | -85,384 | -88,546 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 63 | -124 | -341 | 0 | ' | 0 | ' | 319 | -343 | -638 | ' | ' | ' | -11 | ' | 0 | -245 | 219 | 297 | 0 | ' | 0 | ' | 0 | ' | 0 | ' | 11,631 | -33 | 0 | 0 | 11,548 | 0 | ' | ' | 47 | -6 | 36 | -27 | 0 | 0 | 0 | 0 | -302,722 | 365,973 | 452,772 | -48,578 | 67,309 | 83,144 | -282,421 | 328,415 | 408,217 | 28,214 | -29,627 | -38,248 | 63 | -124 | -341 | ' | ' | ' | ' | ' | ' | 128,819 | -776,014 | 54,484 | -89,497 | 105,622 | -849,833 | -42,918 | 150,987 | 11,631 | 12,329 | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | 12,329 | 0 | 0 | ' | 12,117 | ' | ' | ' | 160 | ' | 52 | 0 | 0 | 0 | 0 | ' | ' | 70,000 | ' | ' | ' | ' | ' | 70,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | -1,298 | -869 | -1,723 | 4,570 | 9,780 | 8,481 | ' | -757 | -869 | -1,723 | ' | ' | ' | -541 | ' | 0 | ' | ' | ' | 10,644 | 10,497 | 9,973 | ' | -6,074 | -717 | -1,492 | ' | 0 | 0 | -1,287 | -4,477 | 0 | 0 | ' | ' | 0 | 0 | ' | ' | -352 | -1,033 | -935 | -3,444 | -58,841 | -50,447 | -223,898 | ' | ' | ' | -62,113 | -59,358 | -660,450 | 0 | 0 | 429,794 | -1,298 | -869 | -1,723 | ' | ' | ' | 4,570 | 9,780 | 8,481 | -27,613 | -716,488 | ' | ' | -26,326 | -713,589 | 0 | 4,864 | 0 | -3,286 | ' | ' | -1,287 | -4,477 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | -3,286 | 0 | 0 | ' | -599 | ' | ' | ' | -2,687 | ' | ' | 0 | 0 | 0 | 0 | -220,922 | 0 | 0 | ' | ' | ' | ' | ' | ' | -220,922 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | ' | ' | -208 | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | 365,046 | ' | -208 | ' | ' | ' | ' | ' | ' | 365,046 | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | 623,956 | 1,598,492 | ' | ' | ' | ' | 623,956 | 1,598,492 | ' | ' | ' | ' | ' | ' |
Deconsolidation of VIEs | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, end of period | 68,572 | 66,352 | 66,352 | 340,663 | 218,661 | 218,661 | 202,482 | 61,736 | 62,601 | 62,601 | 0 | ' | ' | 3,415 | ' | ' | 3,421 | 3,751 | 3,751 | 108,396 | 129,010 | 129,010 | 114,767 | 232,267 | 89,651 | 89,651 | 87,715 | 69,412 | 69,412 | 415,360 | 415,360 | 61,782 | 61,782 | 0 | 0 | 3,949 | 3,949 | 3,681 | 3,681 | 137,947 | 137,947 | 277,413 | 277,413 | 14,231,973 | 14,917,043 | 14,917,043 | 2,242,989 | 2,688,388 | 2,688,388 | 13,820,878 | 13,743,231 | 13,743,231 | -1,573,687 | -1,375,049 | -1,375,049 | 68,572 | 66,352 | 66,352 | 13,884 | 12,782 | 12,782 | -340,663 | -218,661 | -218,661 | 15,170,359 | 15,170,359 | 2,500,565 | 2,500,565 | 14,752,053 | 14,752,053 | -1,750,372 | -1,750,372 | 69,412 | 69,412 | 14,061 | 14,061 | -415,360 | -415,360 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date | ' | ' | ' | ($32,525) | $27,284 | $42,315 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($18,907) | $24,740 | $46,371 | ' | ($13,618) | $2,544 | ($4,056) | ' | ' | ' | $86,320 | $92,002 | ' | ' | ' | ' | ' | ' | ' | ' | $12,213 | $28,162 | $74,107 | $63,840 | $758,944 | ($190,387) | ($359,729) | $208,998 | ($74,317) | ($130,062) | $586,641 | ($204,722) | ($521,436) | ($4,347) | $61,028 | $248,852 | ' | ' | ' | $177 | $340 | $602 | ($32,525) | $27,284 | $42,315 | ($489,410) | ($1,053,758) | ($31,474) | ($328,768) | ($555,946) | ($956,402) | $11,521 | $138,914 | ' | ' | $169 | $496 | $86,320 | $92,002 |
Fair_Value_Measurements_Summar4
Fair Value Measurements - Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Net Investment Income [Member] | Net Investment Income [Member] | Net Investment Income [Member] | Net Investment Income [Member] | Net Investment Income [Member] | Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Interest Rate Swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap [Member] | Interest Rate Swap [Member] | Other Income or (Loss) [Member] | Other Income or (Loss) [Member] | Other Income or (Loss) [Member] | Other Income or (Loss) [Member] | Other Income or (Loss) [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 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Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Other Assets [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Investments [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Inputs, Level 3 [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Derivative [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | Investment Type [Member] | |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $14,231,973 | $14,917,043 | $14,917,043 | $14,409,383 | $14,253,705 | $15,170,359 | $15,170,359 | $15,170,359 | $14,364,161 | $14,416,488 | $13,884 | $12,782 | $12,782 | $13,122 | $13,384 | $14,061 | $14,061 | $14,061 | $14,230 | $14,557 | ($340,663) | ($218,661) | ($218,661) | ($202,482) | ($186,934) | ($415,360) | ($415,360) | ($415,360) | ($328,689) | ($322,337) | $68,572 | $66,352 | $66,352 | $66,923 | $67,783 | $69,412 | $69,412 | $69,412 | $57,791 | $60,402 | $13,820,878 | $13,743,231 | $13,743,231 | $13,269,452 | $13,398,895 | $14,752,053 | $14,752,053 | $14,752,053 | $14,116,811 | $15,359,073 | $2,242,989 | $2,688,388 | $2,688,388 | $2,546,762 | $2,475,182 | $2,500,565 | $2,500,565 | $2,500,565 | $2,414,607 | $2,261,294 | $340,663 | $218,661 | $218,661 | $186,934 | $415,360 | $202,482 | $415,360 | $415,360 | $328,689 | $322,337 | $68,572 | $66,352 | $66,352 | $66,923 | $67,783 | $69,412 | $69,412 | $69,412 | $57,791 | $60,402 | $232,267 | $89,651 | $89,651 | $94,322 | $277,413 | $87,715 | $277,413 | $277,413 | $203,307 | $213,585 | $108,396 | $129,010 | $129,010 | $92,612 | $137,947 | $114,767 | $137,947 | $137,947 | $125,382 | $108,752 | $3,421 | $3,751 | $3,751 | $3,556 | $3,502 | $3,681 | $3,681 | $3,681 | $3,652 | $3,656 | $3,415 | ' | ' | ' | $0 | $3,949 | $3,949 | $3,949 | $3,905 | $6,482 | $0 | ' | ' | ' | $208 | ' | $0 | $0 | ' | ' | $61,736 | $62,601 | $62,601 | $63,367 | $64,073 | $61,782 | $61,782 | $61,782 | $50,234 | $50,264 |
Total gains or losses included in earnings for the period | ' | ' | ' | ' | ' | 395 | 422 | 841 | -10 | -33 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total gains or losses included in earnings for the period | -791,292 | 218,011 | 404,641 | 575,899 | 1,146,256 | ' | ' | ' | ' | ' | 6,074 | 717 | 1,492 | 935 | 3,444 | 45,146 | -1,936 | 4,671 | -74,106 | -63,828 | 18,907 | -24,740 | -46,371 | -12,213 | -28,162 | -177 | -340 | -602 | -169 | -496 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date | -791,292 | 218,011 | 402,646 | 575,899 | 1,146,256 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 13,618 | -2,544 | 4,056 | -74,107 | -63,840 | 18,907 | -24,740 | -46,371 | -12,213 | -28,162 | -177 | -340 | -602 | -169 | -496 | -758,944 | 190,387 | 359,729 | ' | ' | ' | 489,410 | 1,053,758 | ' | ' | -177 | -340 | -602 | ' | ' | ' | -169 | -496 | ' | ' | 32,525 | -27,284 | -42,315 | ' | ' | ' | -86,320 | -92,002 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -586,641 | 204,722 | 521,436 | ' | ' | ' | 555,946 | 956,402 | ' | ' | -208,998 | 74,317 | 130,062 | ' | ' | ' | 31,474 | 328,768 | ' | ' | 32,525 | -27,284 | -42,315 | ' | ' | ' | -86,320 | -92,002 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 13,618 | -2,544 | 4,056 | ' | ' | ' | -74,107 | -63,840 | ' | ' | 18,907 | -24,740 | -46,371 | ' | ' | ' | -12,213 | -28,162 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Additions Of Consolidated Vies | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -409,300 | -409,300 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 720,947 | -192,134 | -364,672 | ' | ' | ' | -490,336 | -1,057,181 | ' | ' | 177 | 340 | 602 | ' | ' | ' | 169 | 496 | ' | ' | -70,127 | 25,959 | 40,208 | ' | ' | ' | 85,384 | 88,546 | ' | ' | -395 | -422 | -841 | ' | ' | ' | 10 | 33 | ' | ' | 586,641 | -204,722 | -526,569 | ' | ' | ' | -555,946 | -956,402 | ' | ' | 208,998 | -74,317 | -130,062 | ' | ' | ' | -31,474 | -328,768 | ' | ' | 70,127 | -25,959 | -40,208 | ' | ' | ' | -85,384 | -88,546 | ' | ' | -395 | -422 | -841 | ' | ' | ' | 10 | ' | ' | ' | 51,220 | -1,219 | 6,163 | ' | ' | ' | -73,171 | -60,384 | ' | ' | 18,907 | -24,740 | -46,371 | ' | ' | ' | -12,213 | -28,162 | ' | ' | 15 | 24 | 48 | ' | ' | ' | 7 | ' | ' | ' | -18 | ' | 0 | ' | ' | ' | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -392 | -446 | -889 | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 302,722 | -365,973 | -452,772 | ' | ' | ' | -128,819 | 776,014 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -63 | 124 | 341 | ' | ' | ' | -11,631 | -12,329 | ' | ' | 282,421 | -328,415 | -408,217 | ' | ' | ' | -105,622 | 849,833 | ' | ' | 48,578 | -67,309 | -83,144 | ' | ' | ' | -54,484 | 89,497 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | -63 | 124 | 341 | ' | ' | ' | -11,631 | 33 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 245 | -219 | -297 | ' | ' | ' | -36 | 27 | ' | ' | 11 | ' | 0 | ' | ' | ' | -47 | 6 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -319 | 343 | 638 | ' | ' | ' | -11,548 | 0 | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -70,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -70,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -12,329 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -52 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -160 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -12,117 | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -58,841 | -50,447 | -223,898 | ' | ' | ' | -27,613 | -716,488 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,570 | 9,780 | 8,481 | ' | ' | ' | -1,287 | -4,477 | ' | ' | -1,298 | -869 | -1,723 | ' | ' | ' | 0 | -3,286 | ' | ' | -62,113 | -59,358 | -660,450 | ' | ' | ' | -26,326 | -713,589 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,570 | 9,780 | 8,481 | ' | ' | ' | -1,287 | -4,477 | ' | ' | -1,298 | -869 | -1,723 | ' | ' | ' | 0 | 0 | ' | ' | -6,074 | -717 | -1,492 | ' | ' | ' | -935 | -3,444 | ' | ' | 10,644 | 10,497 | 9,973 | ' | ' | ' | -352 | -1,033 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -541 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -757 | -869 | -1,723 | ' | ' | ' | 0 | 0 | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -220,922 | 0 | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -3,286 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2,687 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -599 | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 365,046 | ' | -208 | ' | ' | ' | 623,956 | 1,598,492 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | 0 | ' | 0 | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -208 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ' | $0 | ' | ' | ' | $0 | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ' | $0 | ' | ' | ' | $0 | $0 | ' | ' | $0 | ' | $0 | ' | ' | ' | $0 | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investments_Summary_of_Amortiz
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | $6,277,672 | $6,324,568 |
Gross Unrealized Gains | 262,317 | 74,724 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,342 | 116,634 |
Estimated Fair Value | 6,509,647 | 6,282,658 |
Non - credit other - than - temporary Impairments | 1,931 | 852 |
Corporate Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Estimated Fair Value | 2,688,388 | 2,475,182 |
Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,686,675 | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,376 | ' |
Estimated Fair Value | 1,853,409 | ' |
Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 144,386 | ' |
Estimated Fair Value | 144,376 | ' |
Asset-backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 929,997 | ' |
Estimated Fair Value | 977,830 | ' |
Short-Term [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 344,187 | 271,118 |
Gross Unrealized Gains | 1 | 1 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1 | 0 |
Estimated Fair Value | 344,187 | 271,119 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 5,868,458 | 5,927,254 |
Gross Unrealized Gains | 262,314 | 74,696 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,341 | 116,634 |
Estimated Fair Value | 6,100,431 | 5,885,316 |
Non - credit other - than - temporary Impairments | 1,931 | 852 |
Fixed Income Securities [Member] | Securities Pledged as Collateral [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 65,027 | 126,196 |
Gross Unrealized Gains | 2 | 27 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 0 |
Estimated Fair Value | 65,029 | 126,223 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 969,764 | 1,405,293 |
Gross Unrealized Gains | 19,268 | 857 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,950 | 28,427 |
Estimated Fair Value | 981,082 | 1,377,723 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | Corporate Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,879,233 | 1,508,377 |
Gross Unrealized Gains | 20,139 | 4,886 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,538 | 23,894 |
Estimated Fair Value | 1,891,834 | 1,489,369 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | Foreign Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 148,791 | 131,709 |
Gross Unrealized Gains | 532 | 69 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 5,198 | 6,901 |
Estimated Fair Value | 144,125 | 124,877 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 79,402 | 128,415 |
Gross Unrealized Gains | 59 | 9 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,877 | 2,176 |
Estimated Fair Value | 77,584 | 126,248 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | Securities Pledged as Collateral [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 65,027 | 126,196 |
Gross Unrealized Gains | 2 | 27 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 0 |
Estimated Fair Value | 65,029 | 126,223 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 30,210 | 32,214 |
Gross Unrealized Gains | 22 | 10 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 41 | 70 |
Estimated Fair Value | 30,191 | 32,154 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,686,675 | 1,516,877 |
Gross Unrealized Gains | 174,110 | 59,853 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,376 | 18,105 |
Estimated Fair Value | 1,853,409 | 1,558,625 |
Non - credit other - than - temporary Impairments | 1,931 | 852 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 144,386 | 184,118 |
Gross Unrealized Gains | 319 | 217 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 329 | 463 |
Estimated Fair Value | 144,376 | 183,872 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 929,997 | 1,020,251 |
Gross Unrealized Gains | 47,865 | 8,795 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 32 | 36,598 |
Estimated Fair Value | 977,830 | 992,448 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Investments And Other Investments [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 6,212,645 | 6,198,372 |
Gross Unrealized Gains | 262,315 | 74,697 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,342 | 116,634 |
Estimated Fair Value | 6,444,618 | 6,156,435 |
Non - credit other - than - temporary Impairments | $1,931 | $852 |
Investments_Summary_of_Amortiz1
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost, Due in one year or less | $572,605 | ' |
Amortized Cost, Due after one year through five years | 1,181,838 | ' |
Amortized Cost, Due after five years through ten years | 1,322,550 | ' |
Amortized Cost, Due after ten years | 439,621 | ' |
Amortized Cost, Total | 3,516,614 | ' |
Amortized Cost | 6,277,672 | 6,324,568 |
Estimated Fair Value, Due in one year or less | 572,407 | ' |
Estimated Fair Value, Due after one year through five years | 1,185,501 | ' |
Estimated Fair Value, Due after five years through ten years | 1,327,073 | ' |
Estimated Fair Value, Due after ten years | 449,051 | ' |
Estimated Fair Value due, Total | 3,534,032 | ' |
Estimated Fair Value | 6,509,647 | 6,282,658 |
Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,686,675 | ' |
Estimated Fair Value | 1,853,409 | ' |
Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 144,386 | ' |
Estimated Fair Value | 144,376 | ' |
Asset-backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 929,997 | ' |
Estimated Fair Value | $977,830 | ' |
Investments_Summary_of_Gross_U
Investments - Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | $542,908 | $2,920,966 |
Less than 12 Months, Gross Unrealized Loss | 11,511 | 116,634 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 540,652 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 18,831 | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,083,560 | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,342 | 116,634 |
Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,376 | ' |
Short-Term [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 4,009 | 0 |
Less than 12 Months, Gross Unrealized Loss | 1 | 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 4,009 | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1 | ' |
Fixed Income Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 538,899 | 2,920,966 |
Less than 12 Months, Gross Unrealized Loss | 11,510 | 116,634 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 540,652 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 18,831 | ' |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 49,581 | 437,683 |
Less than 12 Months, Gross Unrealized Loss | 200 | 28,427 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 205,645 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 7,750 | ' |
Fixed Income Securities [Member] | Corporate Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 213,064 | 877,356 |
Less than 12 Months, Gross Unrealized Loss | 1,655 | 23,894 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 243,059 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 5,883 | ' |
Fixed Income Securities [Member] | Foreign Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 50,394 | 117,905 |
Less than 12 Months, Gross Unrealized Loss | 1,284 | 6,901 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 61,621 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 3,914 | ' |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 15,325 | 70,044 |
Less than 12 Months, Gross Unrealized Loss | 824 | 2,176 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 15,737 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 1,053 | ' |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 0 | 5,834 |
Less than 12 Months, Gross Unrealized Loss | 0 | 70 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 4,460 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 41 | ' |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 167,511 | 644,502 |
Less than 12 Months, Gross Unrealized Loss | 7,186 | 18,105 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 10,130 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 190 | ' |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 10,055 | 137,685 |
Less than 12 Months, Gross Unrealized Loss | 329 | 463 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | ' |
Fixed Income Securities [Member] | Other Asset-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less than 12 Months, Fair Value | 32,969 | 629,957 |
Less than 12 Months, Gross Unrealized Loss | 32 | 36,598 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | ' |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | ' |
Fixed Income Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,341 | 116,634 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,950 | 28,427 |
Fixed Income Securities [Member] | Corporate Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,538 | 23,894 |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,877 | 2,176 |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 41 | 70 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 7,376 | 18,105 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 329 | 463 |
Fixed Income Securities [Member] | Other Asset-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 32 | 36,598 |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,079,551 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Municipal Bonds [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 255,226 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Corporate Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 456,123 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Foreign Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 112,015 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 31,062 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 4,460 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 177,641 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 10,055 | ' |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Other Asset-Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $32,969 | ' |
Investments_Additional_Informa
Investments - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 0 Months Ended | 4 Months Ended | 6 Months Ended | |||||||||||||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Dec. 06, 2013 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Below Investment Grade Securities and Non-Rated Securities [Member] | Below Investment Grade Securities and Non-Rated Securities [Member] | Residential Mortgage-Backed Securities [Member] | Ambac Wrapped Securities [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | National Century Financial Enterprises, Inc. [Member] | National Century Financial Enterprises, Inc. [Member] | National Century Financial Enterprises, Inc. [Member] | National Century Financial Enterprises, Inc. [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | ||||
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Residential Mortgage-Backed Securities [Member] | Residential Mortgage-Backed Securities [Member] | Asset-backed Securities [Member] | Asset-backed Securities [Member] | ||||||||||||||
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | |||||||||||||||||||||||||
Investment [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair value of below investment grade securities and non-rated securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | $279,145 | $826,969 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross unrealized loss | ' | ' | ' | ' | ' | ' | ' | ' | ' | 9,109 | 36,946 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Payment of permitted policy claim (percent) | ' | 25.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Future payment of permitted policy claim (percent) | ' | 45.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unrealized losses on securities | ' | ' | ' | ' | 11,511 | 11,511 | 116,634 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 11,510 | 116,634 | 7,186 | 18,105 | 32 | 36,598 |
Investment realized losses | ' | ' | ' | 18,472 | ' | 19,356 | ' | ' | 53,305 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash recoveries | 7,760 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,441 | 39,978 | 0 | 39,978 | ' | ' | ' | ' | ' | ' |
Securities fair value | ' | 6,800 | 6,799 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair value of securities held by bankruptcy remote trust | ' | 278,317 | 240,150 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other investments | ' | ' | ' | -3,015 | 3,211 | 5,205 | ' | 912 | 369 | ' | ' | ' | ' | -3,015 | 3,211 | 5,636 | 912 | 369 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | ' | ' | ' | ' | $30,342 | $30,342 | $116,634 | ' | ' | ' | ' | $7,376 | $5,521 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investments_Summary_of_Amounts
Investments - Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Investment [Line Items] | ' | ' | ' | ' | ' |
Gross realized gains on securities | $16,612 | $10,120 | $29,697 | $5,870 | $47,448 |
Gross realized losses on securities | -1,592 | -2,742 | -3,871 | -2 | -320 |
Foreign exchange (losses) gains | 3,452 | -4,311 | -6,470 | 1,377 | 6,177 |
Net realized (losses) gains | 18,472 | 3,067 | 19,356 | 7,245 | 53,305 |
Net other-than-temporary impairments | ($2,002) | ($8,754) | ($19,146) | ($467) | ($467) |
Investments_Summary_of_RollFor
Investments - 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 (Detail) (USD $) | 2 Months Ended | 6 Months Ended | 3 Months Ended | |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Mar. 31, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ' | ' | ' | ' |
Balance at beginning | $0 | $1,182 | $183,300 | ' |
Additions for credit impairments recognized on: | ' | ' | ' | ' |
Securities not previously impaired | 2,002 | 9,696 | 467 | ' |
Securities previously impaired | ' | ' | ' | ' |
Reductions for credit impairments previously recognized on: | ' | ' | ' | ' |
Securities that matured or were sold during the period | 0 | 0 | -183,767 | ' |
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 at end | $2,002 | $10,878 | ' | ' |
Investments_Summary_of_Sources
Investments - Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Cash and Securities Pledged Directly from Investment Portfolio [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair Value of Cash and Underlying Securities | $328,258 | $500,986 |
Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties | 168,171 | 371,723 |
Fair Value of Cash and Securities Pledged to Derivative Counterparties | 160,087 | 129,263 |
Cash and Securities Pledged from Its Derivative Counterparties [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair Value of Cash and Underlying Securities | ' | 690 |
Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties | ' | ' |
Fair Value of Cash and Securities Pledged to Derivative Counterparties | ' | ' |
Investments_Summary_of_Fair_Va
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Detail) (Successor Ambac [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Standard & Poor's, CCC- Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | $2,241,382 | ' |
Standard & Poor's, CCC+ Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 1,811,879 |
Standard & Poor's, A+ Rating [Member] | National Public Finance Guarantee Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 293,306 | 570,394 |
Standard & Poor's, A+ Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 370,024 | 449,555 |
Weighted Average Underlying Rating, BBB- Rating [Member] | MBIA Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 0 | 17,444 |
Weighted Average Underlying Rating, D Rating [Member] | Assured Guaranty Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,686 | 2,917 |
Weighted Average Underlying Rating, D Rating [Member] | Financial Guarantee Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,334 | 2,869 |
Standard & Poor's, B Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,909,732 | ' |
Standard & Poor's, BB- Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 2,855,058 |
Municipal Bonds [Member] | Standard & Poor's, CCC- Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 68,194 | ' |
Municipal Bonds [Member] | Standard & Poor's, CCC+ Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 64,596 |
Municipal Bonds [Member] | Standard & Poor's, A+ Rating [Member] | National Public Finance Guarantee Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 255,505 | 532,752 |
Municipal Bonds [Member] | Standard & Poor's, A+ Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 291,532 | 372,392 |
Municipal Bonds [Member] | Weighted Average Underlying Rating, BBB- Rating [Member] | MBIA Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Municipal Bonds [Member] | Weighted Average Underlying Rating, D Rating [Member] | Assured Guaranty Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Municipal Bonds [Member] | Weighted Average Underlying Rating, D Rating [Member] | Financial Guarantee Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Municipal Bonds [Member] | Standard & Poor's, B Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 615,231 | ' |
Municipal Bonds [Member] | Standard & Poor's, BB- Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 969,740 |
Corporate Debt Securities [Member] | Standard & Poor's, CCC- Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Corporate Debt Securities [Member] | Standard & Poor's, CCC+ Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Corporate Debt Securities [Member] | Standard & Poor's, A+ Rating [Member] | National Public Finance Guarantee Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 37,801 | 37,642 |
Corporate Debt Securities [Member] | Standard & Poor's, A+ Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 78,492 | 77,163 |
Corporate Debt Securities [Member] | Weighted Average Underlying Rating, BBB- Rating [Member] | MBIA Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 0 | 17,444 |
Corporate Debt Securities [Member] | Weighted Average Underlying Rating, D Rating [Member] | Assured Guaranty Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Corporate Debt Securities [Member] | Weighted Average Underlying Rating, D Rating [Member] | Financial Guarantee Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Corporate Debt Securities [Member] | Standard & Poor's, B Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 116,293 | ' |
Corporate Debt Securities [Member] | Standard & Poor's, BB- Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 132,249 |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CCC- Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,173,188 | ' |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CCC+ Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 1,747,283 |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, A+ Rating [Member] | National Public Finance Guarantee Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, A+ Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Mortgage and Asset-Backed Securities [Member] | Weighted Average Underlying Rating, BBB- Rating [Member] | MBIA Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Mortgage and Asset-Backed Securities [Member] | Weighted Average Underlying Rating, D Rating [Member] | Assured Guaranty Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,686 | 2,917 |
Mortgage and Asset-Backed Securities [Member] | Weighted Average Underlying Rating, D Rating [Member] | Financial Guarantee Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,334 | 2,869 |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, B Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,178,208 | ' |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, BB- Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | 1,753,069 |
Short-Term [Member] | Standard & Poor's, CCC- Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Standard & Poor's, CCC+ Rating [Member] | Ambac Assurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Standard & Poor's, A+ Rating [Member] | National Public Finance Guarantee Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Standard & Poor's, A+ Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Weighted Average Underlying Rating, BBB- Rating [Member] | MBIA Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Weighted Average Underlying Rating, D Rating [Member] | Assured Guaranty Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Weighted Average Underlying Rating, D Rating [Member] | Financial Guarantee Insurance Corporation [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Standard & Poor's, B Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Short-Term [Member] | Standard & Poor's, BB- Rating [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Fair value of securities that include benefit of guarantees provided by financial guarantors | ' | ' |
Investments_Summary_of_Fair_Va1
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Parenthetical) (Detail) (Ambac UK [Member], USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Ambac UK [Member] | ' | ' |
Investment [Line Items] | ' | ' |
Asset-backed securities fair value | $51,395 | $50,953 |
Investments_Summary_of_Net_Inv
Investments - Summary of Net Investment Income (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | Gains (losses) on securities held as of reporting date [Member] | |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | ||||||
Investment [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fixed income securities | $30,431 | $78,554 | $149,539 | $31,766 | $118,097 | ' | ' | ' | ' | ' |
Short-term investments | 162 | 865 | 1,168 | 82 | 677 | ' | ' | ' | ' | ' |
Loans | 84 | 175 | 292 | 38 | 146 | ' | ' | ' | ' | ' |
Investment expense | -1,466 | -2,712 | -5,310 | -572 | -2,549 | ' | ' | ' | ' | ' |
Securities available-for-sale and short-term | 29,211 | 76,882 | 145,689 | 31,314 | 116,371 | ' | ' | ' | ' | ' |
Other investments | -3,015 | 3,211 | 5,205 | 912 | 369 | -3,015 | 3,211 | 5,636 | 912 | 369 |
Total net investment income | $26,196 | $80,093 | $150,894 | $32,226 | $116,740 | ' | ' | ' | ' | ' |
Derivative_Instruments_Summary
Derivative Instruments - Summary of Gross Fair Values of Individual Derivative Instruments (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | $89,680 | $77,711 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 342,273 | 253,898 |
Successor Ambac [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Assets, Derivative Assets | 141,002 | 134,587 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 393,595 | 310,774 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 51,322 | 56,876 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 51,322 | 56,876 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 89,680 | 77,711 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 342,273 | 253,898 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | ' | 690 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 103,157 | 42,555 |
Net Amount, Derivative Assets | 89,680 | 77,021 |
Net Amount, Derivative Liabilities | 239,116 | 211,343 |
Successor Ambac [Member] | Variable Interest Entities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 1,927,460 | 1,772,306 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,927,460 | 1,772,306 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | ' | ' |
Net Amount, Derivative Liabilities | 1,927,460 | 1,772,306 |
Successor Ambac [Member] | Interest Rate Swaps [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Assets, Derivative Assets | 140,683 | 132,250 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 303,317 | 216,287 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 51,322 | 56,876 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 51,322 | 56,876 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 89,361 | 75,374 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 251,995 | 159,411 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | ' | ' |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 102,977 | 42,555 |
Net Amount, Derivative Assets | 89,361 | 75,374 |
Net Amount, Derivative Liabilities | 149,018 | 116,856 |
Successor Ambac [Member] | Interest Rate Swaps [Member] | Variable Interest Entities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 1,840,399 | 1,680,834 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,840,399 | 1,680,834 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | ' | ' |
Net Amount, Derivative Liabilities | 1,840,399 | 1,680,834 |
Successor Ambac [Member] | Futures Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Assets, Derivative Assets | ' | 2,337 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 180 | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | ' |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | ' | 2,337 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 180 | ' |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | ' | 690 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 180 | ' |
Net Amount, Derivative Assets | ' | 1,647 |
Net Amount, Derivative Liabilities | 0 | ' |
Successor Ambac [Member] | Credit Derivatives [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Assets, Derivative Assets | 319 | ' |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 89,970 | 94,322 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | ' |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 319 | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 89,970 | 94,322 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | ' | ' |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | ' | ' |
Net Amount, Derivative Assets | 319 | ' |
Net Amount, Derivative Liabilities | 89,970 | 94,322 |
Successor Ambac [Member] | Other Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 128 | 165 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 128 | 165 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | ' | ' |
Net Amount, Derivative Liabilities | 128 | 165 |
Successor Ambac [Member] | Currency Swaps [Member] | Variable Interest Entities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 87,061 | 91,472 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | ' | ' |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 87,061 | 91,472 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | ' | ' |
Net Amount, Derivative Liabilities | $87,061 | $91,472 |
Derivative_Instruments_Additio
Derivative Instruments - Additional Information (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Contract | Contract | |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Value of right to reclaim cash collateral and posted margin, recorded in "Other assets" | $95,058 | $3,040 |
Value of obligation to return cash collateral, recorded in "Other liabilities" | 0 | 690 |
Net liability fair value of all derivative instruments linked to Ambac's own credit risk | 66,214 | 42,555 |
Fair value of posted assets as collateral | 91,761 | 126,223 |
Credit Derivatives [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Number of outstanding credit derivative transactions include ratings based collateral-posting triggers | 'None of our outstanding credit derivative transactions | 'None of our outstanding credit derivative transactions |
Number of credit derivative contracts | 4 | 4 |
Net liability fair value of credit derivative contracts | 64,701 | 62,296 |
Notional value of credit derivative contracts | $282,534 | $277,881 |
Derivative_Instruments_Summary1
Derivative Instruments - Summary of Location and Amount of Gains and Losses of Derivative Contracts (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | 1 Months Ended | ||||||||
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | |
Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Credit Derivatives [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Currency Swaps [Member] | Currency Swaps [Member] | Currency Swaps [Member] | Currency Swaps [Member] | Futures Contracts [Member] | Futures Contracts [Member] | Futures Contracts [Member] | Futures Contracts [Member] | Other Contracts [Member] | Other Contracts [Member] | Other Contracts [Member] | Other Contracts [Member] | Variable Interest Entity [Member] | Financial Services Derivatives Products [Member] | Credit Derivatives [Member] | Interest Rate Swaps [Member] | Interest Rate Swaps [Member] | Currency Swaps [Member] | Futures Contracts [Member] | Other Contracts [Member] | ||||||
Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Income on Variable Interest Entities [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | Financial Guarantee [Member] | Income on Variable Interest Entities [Member] | Financial Services Derivatives Products [Member] | Income on Variable Interest Entities [Member] | Financial Services Derivatives Products [Member] | Financial Services Derivatives Products [Member] | ||||||||||||||||
Net Change in Fair Value of Credit Derivatives [Member] | Net Change in Fair Value of Credit Derivatives [Member] | Net Change in Fair Value of Credit Derivatives [Member] | Net Change in Fair Value of Credit Derivatives [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Variable Interest Entity [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Derivative Products [Member] | Net Change in Fair Value of Credit Derivatives [Member] | Variable Interest Entity [Member] | Derivative Products [Member] | Variable Interest Entity [Member] | Derivative Products [Member] | Derivative Products [Member] | ||||||||||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative instruments, gain (loss) recognized in income, net, Total | $570,667 | ($131,974) | ($297,855) | ($250,817) | $435,734 | ($82,770) | ($203,736) | ($155,154) | $83,713 | ($47,985) | ($33,735) | ($101,826) | $51,220 | ($1,219) | ($60,384) | $6,163 | $437,624 | ($81,773) | ($203,620) | ($159,565) | $74,169 | ($45,534) | ($30,622) | ($97,394) | ($1,890) | ($997) | ($116) | $4,411 | $9,831 | ($2,477) | ($3,133) | ($4,469) | ($287) | $26 | $20 | $37 | ($214,229) | ($107,892) | ($33,166) | ($73,171) | ($103,072) | ($29,600) | ($4,820) | ($3,588) | $22 |
Derivative_Instruments_Summary2
Derivative Instruments - Summary of Gross Principal Notional Outstanding for CDS Contracts (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Ambac Rating | ' | ' |
Notional outstanding | $2,202,760 | $2,776,103 |
Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 2,202,760 | 2,776,103 |
Other Derivatives [Member] | Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 2,202,760 | 2,776,103 |
Other Derivatives [Member] | Successor Ambac [Member] | AAA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 0 | 24,034 |
Other Derivatives [Member] | Successor Ambac [Member] | AA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 1,049,616 | 1,412,096 |
Other Derivatives [Member] | Successor Ambac [Member] | A Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 43,160 | 235,917 |
Other Derivatives [Member] | Successor Ambac [Member] | BBB Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 827,450 | 826,175 |
Other Derivatives [Member] | Successor Ambac [Member] | Below Investment Grade Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 282,534 | 277,881 |
CLO [Member] | Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 841,744 | 1,337,737 |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 841,744 | 1,337,737 |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | AAA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 0 | 0 |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | AA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 841,744 | 1,209,071 |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | A Rating [Member] [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 0 | 128,666 |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | BBB Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | ' | ' |
CLO [Member] | Other Derivatives [Member] | Successor Ambac [Member] | Below Investment Grade Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | ' | ' |
Other [Member] | Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 1,361,016 | 1,438,366 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 1,361,016 | 1,438,366 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | AAA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 0 | 24,034 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | AA Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 207,872 | 203,025 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | A Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 43,160 | 107,251 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | BBB Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | 827,450 | 826,175 |
Other [Member] | Other Derivatives [Member] | Successor Ambac [Member] | Below Investment Grade Rating [Member] | ' | ' |
Ambac Rating | ' | ' |
Notional outstanding | $282,534 | $277,881 |
Derivative_Instruments_Summari
Derivative Instruments - Summarize Information by Major Category of CDS Contracts (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Transactions | Transactions | |
Summary of information by major category of CDS contracts | ' | ' |
Gross principal notional outstanding | $2,202,760 | $2,776,103 |
Successor Ambac [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Number of CDS transactions | 19 | 20 |
Remaining expected weighted-average life of obligations (in years) | '3 years 8 months 15 days | '3 years 7 months 6 days |
Gross principal notional outstanding | 2,202,760 | 2,776,103 |
Successor Ambac [Member] | Credit Derivatives [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Net derivative liabilities at fair value | 89,651 | 94,322 |
CLO [Member] | Successor Ambac [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Number of CDS transactions | 7 | 7 |
Remaining expected weighted-average life of obligations (in years) | '1 year 10 months 15 days | '2 years 1 month 15 days |
Gross principal notional outstanding | 841,744 | 1,337,737 |
CLO [Member] | Successor Ambac [Member] | Credit Derivatives [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Net derivative liabilities at fair value | 3,811 | 7,993 |
Other [Member] | Successor Ambac [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Number of CDS transactions | 12 | 13 |
Remaining expected weighted-average life of obligations (in years) | '4 years 320 days | '5 years 0 months 15 days |
Gross principal notional outstanding | 1,361,016 | 1,438,366 |
Other [Member] | Successor Ambac [Member] | Credit Derivatives [Member] | ' | ' |
Summary of information by major category of CDS contracts | ' | ' |
Net derivative liabilities at fair value | $85,840 | $86,329 |
Derivative_Instruments_Summary3
Derivative Instruments - Summary of Notional Amounts of AFS's Trading Derivative Products (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | $2,202,760 | $2,776,103 |
Successor Ambac [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 2,202,760 | 2,776,103 |
AFS [Member] | Successor Ambac [Member] | Interest Rate Swaps [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 688,900 | 697,837 |
AFS [Member] | Successor Ambac [Member] | Interest Rate Swaps-Pay-Fixed/Receive-Variable [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 1,504,626 | 1,540,976 |
AFS [Member] | Successor Ambac [Member] | Interest Rate Swaps-Basis Swaps [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 71,705 | 146,705 |
AFS [Member] | Successor Ambac [Member] | Futures Contracts [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 100,000 | 100,000 |
AFS [Member] | Successor Ambac [Member] | Other Contracts [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | $75,650 | $75,650 |
Derivative_Instruments_Summary4
Derivative Instruments - Summary of Notional for VIE Derivatives Outstanding (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | $2,202,760 | $2,776,103 |
Derivative products, Notional Amount | 89,651 | 94,322 |
Successor Ambac [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 2,202,760 | 2,776,103 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor Ambac [Member] | Interest Rate Swaps [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 1,877,383 | 1,818,118 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor Ambac [Member] | Interest Rate Swaps-Pay-Fixed/Receive-Variable [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 3,459,937 | 3,350,714 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor Ambac [Member] | Currency Swaps [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | 795,429 | 770,319 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor Ambac [Member] | Credit Derivatives [Member] | ' | ' |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ' | ' |
Derivative products, Notional Amount | $20,063 | $20,130 |
LongTerm_Incentive_Compensatio1
Long-Term Incentive Compensation (Details) (USD $) | 6 Months Ended |
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2014 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 4,000,000 |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 3,649,958 |
Performance Shares [Member] | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' |
Performance Award Scheduled Vesting Period | '3 years |
Stock Granted, Value, Share-based Compensation, Gross | $2,920 |
Share Based Compensation Grant | 49,041 |
Minimum [Member] | Performance Shares [Member] | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' |
Performance Award Payout | 0.00% |
Maximum [Member] | Performance Shares [Member] | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' |
Performance Award Payout | 20000.00% |
Income_Taxes_Major_Jurisdictio
Income Taxes - Major Jurisdictions (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
United States [Member] | ' |
Income Tax Contingency [Line Items] | ' |
Tax Year | '2010 |
New York State [Member] | ' |
Income Tax Contingency [Line Items] | ' |
Tax Year | '2010 |
New York City [Member] | ' |
Income Tax Contingency [Line Items] | ' |
Tax Year | '2011 |
United Kingdom [Member] | ' |
Income Tax Contingency [Line Items] | ' |
Tax Year | '2009 |
Italy [Member] | ' |
Income Tax Contingency [Line Items] | ' |
Tax Year | '2009 |
Income_Taxes_Additional_Inform
Income Taxes - Additional Information (Detail) (USD $) | 6 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 |
Tax Credit Carryforward [Line Items] | ' |
Operating loss carryforward | $6,194,192 |
Operating tax carryforward expiration year start | '2029 |
Operating tax carryforward expiration year end | '2034 |
U. S. Federal Net Operating Tax [Member] | ' |
Tax Credit Carryforward [Line Items] | ' |
Net operating tax carryforward | 5,384,983 |
United States [Member] | ' |
Tax Credit Carryforward [Line Items] | ' |
Operating loss carryforward | 542,707 |
United Kingdom [Member] | ' |
Tax Credit Carryforward [Line Items] | ' |
Operating loss carryforward | $266,502 |
Income_Taxes_Significant_Porti
Income Taxes - Significant Portions of Deferred Tax Liabilities and Deferred Tax Assets (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Deferred tax liabilities: | ' | ' |
Insurance intangible | $542,284 | $559,288 |
Variable interest entities | 107,537 | 131,137 |
Investments | 243,489 | 168,653 |
Unearned premiums and credit fees | 41,149 | 38,826 |
Other | 2,336 | 2,221 |
Total deferred tax liabilities | 936,795 | 900,125 |
Deferred tax assets: | ' | ' |
Unrealized losses & impairments on investments | 0 | 0 |
Net operating loss and capital carryforward | 2,167,967 | 2,177,029 |
Loss reserves | 570,006 | 634,692 |
Compensation | 9,187 | 8,724 |
AMT Credits | 4,269 | 4,269 |
Other | 57,749 | 58,581 |
Sub-total deferred tax assets | 2,809,178 | 2,883,295 |
Valuation allowance | 1,874,697 | 1,985,369 |
Total deferred tax assets | 934,481 | 897,926 |
Net deferred tax liability | ($2,314) | ($2,199) |
Commitments_and_Contingencies_
Commitments and Contingencies - Additional Information (Detail) (USD $) | 0 Months Ended | 3 Months Ended |
In Thousands, unless otherwise specified | Dec. 06, 2013 | Mar. 31, 2014 |
petition | ||
Loss Contingencies [Line Items] | ' | ' |
Number of petitions filed | 2 | ' |
Litigation Settlement, Amount | ' | $7,760 |
Ambac Assurance [Member] | ' | ' |
Loss Contingencies [Line Items] | ' | ' |
Litigation Settlement, Expense | ' | $207 |
Segment_Information_Additional
Segment Information - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
Segment | |
Segment Reporting [Abstract] | ' |
Number of reportable segments | 2 |
Segment_Information_Summary_of
Segment Information - Summary of Financial Information by Reportable Segment (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Jun. 30, 2013 | Apr. 30, 2013 |
In Thousands, unless otherwise specified | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Operating Segments [Member] | Corporate and Other [Member] | Corporate and Other [Member] | ||
Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Successor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Predecessor [Member] | Successor [Member] | Predecessor [Member] | ||||||||
Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Inter-segment Eliminations [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Guarantee [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Financial Services [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | Corporate and Other [Member] | ||||||||||||||||||||
Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | Unaffiliated Customers [Member] | Unaffiliated Customers [Member] | Intersegment [Member] | Intersegment [Member] | ||||||||||||||||||||||||||||||||||||||||
Revenues: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total revenues before expenses and reorganization items | ' | ' | $242,415 | $57,333 | $166,471 | $242,415 | $57,333 | $166,471 | $0 | $0 | $0 | $349,516 | $640,388 | $349,516 | $640,388 | $0 | $0 | ($5,450) | ($8,554) | ($17,489) | $0 | $0 | $0 | ($5,450) | ($8,554) | ($17,489) | $160,304 | $105,028 | $267,956 | $159,905 | $104,703 | $267,256 | $399 | $325 | $700 | $82,116 | ($48,018) | ($101,531) | $82,490 | ($47,411) | ($100,849) | ($374) | ($607) | ($682) | $5,445 | $8,877 | $17,535 | $20 | $41 | $64 | $5,425 | $8,836 | $17,471 | ($197,071) | ($197,113) | $0 | $0 | ($197,071) | ($197,113) | $382,986 | $633,950 | $382,772 | $633,010 | $214 | $940 | ($33,464) | $6,457 | ($33,266) | $7,339 | ($198) | ($882) | $197,065 | $197,094 | $10 | $39 | $197,055 | $197,055 | ' | ' |
Pre-tax income (loss) from continuing operations: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Pre-tax income (loss) from continuing operations | ' | ' | 205,795 | -210,412 | -51,114 | 205,795 | -210,412 | -51,114 | 0 | 0 | 0 | 3,065,124 | 3,348,033 | 3,065,124 | 3,348,033 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 119,393 | -170,082 | 37,022 | 124,890 | -160,685 | 55,576 | -5,497 | -9,397 | -18,554 | 81,169 | -48,869 | -103,852 | 81,692 | -48,454 | -102,983 | -523 | -415 | -869 | 5,233 | 8,539 | 15,716 | -787 | -1,273 | -3,707 | 6,020 | 9,812 | 19,423 | 0 | 0 | 0 | 0 | 0 | 0 | 1,386,350 | 1,632,978 | 1,583,465 | 1,830,165 | -197,115 | -197,187 | -35,866 | 2,132 | -35,614 | 3,233 | -252 | -1,101 | 1,714,640 | 1,712,923 | 1,517,273 | 1,514,635 | 197,367 | 198,288 | ' | ' |
Total assets | 27,723,353 | 27,092,477 | 27,475,367 | 27,723,353 | 27,723,353 | ' | ' | ' | ' | ' | ' | 28,853,435 | 28,853,435 | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 26,934,044 | 27,319,461 | 27,319,461 | ' | ' | ' | ' | ' | ' | 486,346 | 365,874 | 365,874 | ' | ' | ' | ' | ' | ' | ' | 38,018 | 38,018 | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | 28,287,321 | 28,287,321 | ' | ' | ' | ' | 536,711 | 536,711 | ' | ' | ' | ' | 29,403 | 29,403 | ' | ' | ' | ' | 54,977 | 29,403 |
Net investment income | ' | ' | 26,196 | 80,093 | 150,894 | ' | ' | ' | ' | ' | ' | 32,226 | 116,740 | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 26,015 | 79,633 | 150,017 | ' | ' | ' | ' | ' | ' | 158 | 419 | 813 | ' | ' | ' | ' | ' | ' | 23 | 41 | 64 | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | 31,855 | 115,129 | ' | ' | ' | ' | 361 | 1,572 | ' | ' | ' | ' | 10 | 39 | ' | ' | ' | ' | ' | ' |
Amortization of insurance intangible assets | ' | ' | 24,952 | 36,256 | 67,970 | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 24,952 | 36,256 | 67,970 | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense | ' | ' | 21,144 | 31,953 | 64,281 | ' | ' | ' | ' | ' | ' | 7,860 | 31,025 | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 20,776 | 31,514 | 63,395 | ' | ' | ' | ' | ' | ' | 368 | 439 | 886 | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | ' | ' | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | 7,542 | 29,718 | ' | ' | ' | ' | 318 | 1,307 | ' | ' | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' |
Reorganization items | ' | ' | $424 | $186 | $209 | ' | ' | ' | ' | ' | ' | ($2,747,239) | ($2,745,180) | ' | ' | ' | ' | $0 | $0 | $0 | ' | ' | ' | ' | ' | ' | $0 | $0 | $0 | ' | ' | ' | ' | ' | ' | $0 | $0 | $0 | ' | ' | ' | ' | ' | ' | $424 | $186 | $209 | ' | ' | ' | ' | ' | ' | $0 | $0 | ' | ' | ' | ' | ($1,231,550) | ($1,231,550) | ' | ' | ' | ' | $1,505 | $1,505 | ' | ' | ' | ' | ($1,517,194) | ($1,515,135) | ' | ' | ' | ' | ' | ' |
Segment_Information_Schedule_o
Segment Information - Schedule of Gross Premiums Written, Net Premiums Earned and Net Change in Fair Value of Credit Derivatives (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended | 1 Months Ended | 4 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 | Apr. 30, 2013 |
Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Successor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | Predecessor Ambac [Member] | |
Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | Reportable Geographical Components [Member] | ||||||
United States [Member] | United States [Member] | United States [Member] | United Kingdom [Member] | United Kingdom [Member] | United Kingdom [Member] | Other International [Member] | Other International [Member] | Other International [Member] | United States [Member] | United States [Member] | United Kingdom [Member] | United Kingdom [Member] | Other International [Member] | Other International [Member] | ||||||
Segment Reporting Information [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gross Premiums Written | ($34,081) | ($45,486) | ($51,252) | ($24,493) | ($28,211) | ($28,909) | ($1,917) | $3,003 | ($3,163) | ($7,671) | ($20,278) | ($19,180) | ($10,595) | ($14,125) | ($7,386) | ($16,102) | $2,167 | $10,673 | ($5,376) | ($8,696) |
Net premiums earned | 58,039 | 65,013 | 147,560 | 46,340 | 39,833 | 96,591 | 8,840 | 20,808 | 41,443 | 2,859 | 4,372 | 9,526 | 29,744 | 130,000 | 23,537 | 104,594 | 4,317 | 18,071 | 1,890 | 7,335 |
Net Change In Fair Value Of Credit Derivatives | $51,220 | ($1,219) | $6,163 | $14,948 | ($559) | $6,022 | $2,113 | $0 | $0 | $34,159 | ($660) | $141 | ($73,171) | ($60,384) | ($47,664) | ($31,134) | ($3,686) | ($5,861) | ($21,821) | ($23,389) |