Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Feb. 25, 2016 | Jun. 30, 2015 | |
Document And Entity Information [Abstract] | ||||
Document Type | 10-K | |||
Amendment Flag | false | |||
Document Period End Date | Dec. 31, 2015 | |||
Entity Well-known Seasoned Issuer | Yes | |||
Entity Current Reporting Status | Yes | |||
Entity Voluntary Filers | No | |||
Document Fiscal Year Focus | 2,015 | |||
Document Fiscal Period Focus | FY | |||
Trading Symbol | AMBC | |||
Entity Registrant Name | AMBAC FINANCIAL GROUP INC | |||
Entity Central Index Key | 874,501 | |||
Current Fiscal Year End Date | --12-31 | |||
Entity Filer Category | Large Accelerated Filer | |||
Entity Common Stock, Shares Outstanding | 45,046,996 | |||
Entity Public Float | $ 746,545,180 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Successor [Member] | ||
Assets: | ||
Fixed income securities, at fair value | $ 5,043,776 | $ 4,725,686 |
Fixed income securities pledged as collateral, at fair value | 64,555 | 64,267 |
Short-term investments, at fair value | 225,789 | 360,065 |
Other investments | 310,600 | 357,016 |
Total investments | 5,644,720 | 5,507,034 |
Cash and cash equivalents | 35,744 | 73,903 |
Receivable for securities | 44,030 | 23,660 |
Investment income due and accrued | 25,264 | 25,015 |
Premium receivables | 831,575 | 1,000,607 |
Reinsurance recoverable on paid and unpaid losses | 43,999 | 99,838 |
Deferred ceded premium | 96,758 | 123,276 |
Subrogation recoverable | 1,229,293 | 953,274 |
Loans | 5,206 | 5,714 |
Derivative assets | 84,995 | 109,017 |
Insurance intangible asset | 1,212,112 | 1,410,920 |
Goodwill | 0 | 514,511 |
Other assets | 185,877 | 186,985 |
Total assets | 23,728,070 | 25,159,864 |
Liabilities: | ||
Unearned premiums | 1,280,282 | 1,673,785 |
Loss and loss expense reserves | 4,088,106 | 4,752,007 |
Ceded premiums payable | 53,494 | 60,436 |
Obligations under investment agreements | 100,358 | 160,079 |
Deferred Income Tax Liabilities, Net | 2,205 | 2,079 |
Current taxes | 5,835 | 5,701 |
Long-term debt | 1,124,950 | 971,116 |
Accrued interest payable | 355,536 | 304,139 |
Derivative liabilities | 353,358 | 406,944 |
Other liabilities | 61,134 | 63,396 |
Payable for securities purchased | 84,690 | 762 |
Total liabilities | 21,769,724 | 23,486,129 |
Stockholders’ equity: | ||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none | 0 | 0 |
Common stock, par value $0.01 per share; 130,000,000 shares authorized, issued and outstanding shares; 45,044,222 and 45,005,932 | 450 | 450 |
Additional paid-in capital | 190,813 | 189,138 |
Accumulated other comprehensive income | 15,215 | 220,283 |
Retained earnings | 1,478,439 | 989,290 |
Treasury stock, shares at cost: 8,202 and 2,459 | (118) | (56) |
Total Ambac Financial Group, Inc. stockholders’ equity | 1,684,799 | 1,399,105 |
Noncontrolling interest | 273,547 | 274,630 |
Total stockholders’ equity | 1,958,346 | 1,673,735 |
Total liabilities and stockholders’ equity | 23,728,070 | 25,159,864 |
Successor [Member] | Variable Interest Entity [Member] | ||
Assets: | ||
Fixed income securities, at fair value | 2,588,556 | 2,743,050 |
Investment income due and accrued | 1,213 | 1,284 |
Other assets | 2,582 | 2,891 |
Variable interest entity assets: | ||
Restricted cash | 5,822 | 7,708 |
Loans, at fair value | 11,690,324 | 12,371,177 |
Liabilities: | ||
Long-term debt | 12,327,960 | 12,882,076 |
Accrued interest payable | 3,230 | 3,268 |
Derivative liabilities | 1,928,403 | 2,200,163 |
Other liabilities | $ 183 | $ 178 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Successor [Member] | ||
Fixed income securities, amortized cost | $ 4,992,756 | $ 4,514,878 |
Fixed income securities pledged as collateral, amortized cost | 64,612 | 64,378 |
Short-term investments, amortized cost | 225,789 | 360,069 |
Other Investments at Fair Value | $ 285,261 | $ 240,969 |
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 | 45,044,222 | 45,005,932 |
Common stock, shares outstanding | 45,044,222 | 45,005,932 |
Treasury stock, shares | 8,202 | 2,459 |
Consolidated Statements of Tota
Consolidated Statements of Total Comprehensive Income - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Revenues: | ||||
Net premiums earned | $ 213,518 | $ 312,595 | $ 246,360 | |
Net investment income: | ||||
Securities available-for-sale and short-term | 142,866 | 249,337 | 292,838 | |
Other investments | 3,580 | 16,952 | 8,108 | |
Total net investment income | 146,446 | 266,289 | 300,946 | |
Other-than-temporary impairment losses: | ||||
Total other-than-temporary impairment losses | (47,418) | (66,692) | (26,632) | |
Portion of other -than-temporary impairment recognized in other comprehensive income | 654 | 41,033 | 838 | |
Net other-than-temporary impairments | (46,764) | (25,659) | (25,794) | |
Net realized investment gains | 4,467 | 53,476 | 58,777 | |
Change in fair value of credit derivatives: | ||||
Realized gains and other settlements | 9,778 | 2,785 | 3,043 | |
Unrealized gains (losses) | 183,091 | 38,916 | 20,863 | |
Net change in fair value of credit derivatives | 192,869 | 41,701 | 23,906 | |
Derivative products | 114,771 | (42,544) | (181,087) | |
Net realized gains (losses) on extinguishment of debt | 0 | 81 | (74,724) | |
Other income | 4,364 | 7,150 | 12,498 | |
Income (loss) on variable interest entities | (48,623) | 31,569 | (32,212) | |
Total revenues before expenses and reorganization items | 581,048 | 644,658 | 328,670 | |
Expenses: | ||||
Losses and loss expenses (benefit) | (185,138) | (768,707) | (545,574) | |
Insurance intangible amortization | 99,658 | 169,557 | 151,830 | |
Underwriting and operating expenses | 68,769 | 102,702 | 101,474 | |
Interest expense | 84,950 | 116,537 | 127,476 | |
Goodwill, Impairment Loss | 514,511 | 0 | ||
Total expenses (benefit) before reorganization items | 68,239 | 134,600 | (164,794) | |
Pre-tax income before reorganization items | 512,809 | 510,058 | 493,464 | |
Reorganization items | 493 | 0 | 211 | |
Pre-tax income | 512,316 | 510,058 | 493,253 | |
Provision for income taxes | 7,514 | 17,364 | 9,557 | |
Net income (loss) | 504,802 | 492,694 | 483,696 | |
Less: net (gain) loss attributable to noncontrolling interest | (417) | (709) | (375) | |
Net income attributable to common shareholders | 505,219 | 493,403 | 484,071 | |
Other comprehensive income (loss), after tax: | ||||
Net income (loss) | 504,802 | 492,694 | 483,696 | |
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (41,910) | (159,730) | 252,603 | |
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 43,165 | (45,025) | (43,599) | |
Changes to postretirement benefit, net of tax of $0 | 10,847 | (687) | (816) | |
Total other comprehensive income (loss), net of tax | 12,102 | (205,442) | 208,188 | |
Total comprehensive income | 516,904 | 287,252 | 691,884 | |
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | ||||
Net (gain) loss | (417) | (709) | (375) | |
Currency translation adjustments | 441 | (374) | (434) | |
Total comprehensive income attributable to Ambac Financial Group, Inc. | $ 516,880 | $ 288,335 | $ 692,693 | |
Basic | $ 11.23 | $ 10.92 | $ 10.73 | |
Diluted | $ 10.91 | $ 10.72 | $ 10.31 | |
Predecessor [Member] | ||||
Revenues: | ||||
Net premiums earned | $ 130,000 | |||
Net investment income: | ||||
Securities available-for-sale and short-term | 116,371 | |||
Other investments | 369 | |||
Total net investment income | 116,740 | |||
Other-than-temporary impairment losses: | ||||
Total other-than-temporary impairment losses | (467) | |||
Portion of other -than-temporary impairment recognized in other comprehensive income | 0 | |||
Net other-than-temporary impairments | (467) | |||
Net realized investment gains | 53,305 | |||
Change in fair value of credit derivatives: | ||||
Realized gains and other settlements | 3,444 | |||
Unrealized gains (losses) | (63,828) | |||
Net change in fair value of credit derivatives | (60,384) | |||
Derivative products | (33,735) | |||
Net realized gains (losses) on extinguishment of debt | 0 | |||
Other income | 8,363 | |||
Income (loss) on variable interest entities | 426,566 | |||
Total revenues before expenses and reorganization items | 640,388 | |||
Expenses: | ||||
Losses and loss expenses (benefit) | (38,056) | |||
Insurance intangible amortization | 0 | |||
Underwriting and operating expenses | 44,566 | |||
Interest expense | 31,025 | |||
Total expenses (benefit) before reorganization items | 37,535 | |||
Pre-tax income before reorganization items | 602,853 | |||
Reorganization items | (2,745,180) | |||
Pre-tax income | 3,348,033 | |||
Provision for income taxes | 755 | |||
Net income (loss) | 3,347,278 | |||
Less: net (gain) loss attributable to noncontrolling interest | (1,771) | |||
Net income attributable to common shareholders | 3,349,049 | |||
Other comprehensive income (loss), after tax: | ||||
Net income (loss) | 3,347,278 | |||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | 175,347 | |||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | (428) | |||
Changes to postretirement benefit, net of tax of $0 | 185 | |||
Total other comprehensive income (loss), net of tax | 175,104 | |||
Total comprehensive income | 3,522,382 | |||
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | ||||
Net (gain) loss | (1,771) | |||
Currency translation adjustments | 229 | |||
Total comprehensive income attributable to Ambac Financial Group, Inc. | $ 3,523,924 | |||
Basic | $ 11.07 | |||
Diluted | $ 11.07 |
Consolidated Statements of Tot5
Consolidated Statements of Total Comprehensive Income (Parenthetical) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Unrealized (loss) gain on securities, taxes | $ 0 | $ 0 | $ 0 | |
Gain (loss) on foreign currency translation, taxes | 0 | 0 | 0 | |
Amortization of postretirement benefit, taxes | $ 0 | $ 0 | $ 0 | |
Predecessor [Member] | ||||
Unrealized (loss) gain on securities, taxes | $ 0 | |||
Gain (loss) on foreign currency translation, taxes | 0 | |||
Amortization of postretirement benefit, taxes | $ 0 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders' Equity - USD ($) $ in Thousands | Total | Retained Earnings/Accumulated Deficit [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Common Stock Held in Treasury, at Cost [Member] | Noncontrolling Interest [Member] |
Beginning balance (Predecessor [Member]) 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 | Predecessor [Member] | 3,522,382 | 3,349,049 | 174,875 | 0 | 0 | 0 | 0 | (1,542) |
Stock-based compensation | Predecessor [Member] | (60) | (60) | 0 | 0 | 0 | 0 | 0 | 0 |
Cost of shares acquired | Predecessor [Member] | 60 | 0 | 0 | 0 | 0 | 0 | 60 | 0 |
Payments for Repurchase of Warrants | Predecessor [Member] | 0 | |||||||
Elimination of Predecessor Ambac Shareholder equity accounts and noncontrolling interest adjustment | Predecessor [Member] | 0 | 2,948,275 | (800,260) | 0 | (3,080) | (2,172,027) | 410,695 | (383,603) |
Ending balance (Successor [Member]) at Apr. 30, 2013 | 460,415 | |||||||
Ending balance (Predecessor [Member]) at Apr. 30, 2013 | 275,415 | 0 | 0 | 0 | 0 | 0 | 0 | 275,415 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | Successor [Member] | 516,904 | |||||||
Stock-based compensation | Successor [Member] | 1,106 | |||||||
Payments for Repurchase of Warrants | Successor [Member] | 0 | |||||||
Ending balance (Successor [Member]) at Dec. 31, 2013 | 978,422 | 505,219 | 11,661 | 0 | 450 | 185,672 | (19) | 275,439 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Issuance of new equity in connection with emergence from Chapter 11 | Successor [Member] | 185,000 | 0 | 0 | 0 | 450 | 184,550 | 0 | 0 |
Beginning balance (Successor [Member]) at May. 01, 2013 | 460,415 | 0 | 0 | 0 | 450 | 184,550 | 0 | 275,415 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | Successor [Member] | 516,904 | 505,219 | 11,661 | 0 | 0 | 0 | 0 | 24 |
Stock-based compensation | Successor [Member] | 1,106 | 0 | 0 | 0 | 0 | 1,106 | 0 | 0 |
Warrants exercised | Successor [Member] | 16 | 0 | 0 | 0 | 0 | 16 | 0 | 0 |
Cost of shares acquired | Successor [Member] | (19) | 0 | 0 | 0 | 0 | 0 | (19) | 0 |
Ending balance (Successor [Member]) at Dec. 31, 2013 | 978,422 | 505,219 | 11,661 | 0 | 450 | 185,672 | (19) | 275,439 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | Successor [Member] | 691,884 | 484,071 | 208,622 | 0 | 0 | 0 | 0 | (809) |
Stock-based compensation | Successor [Member] | 3,450 | 0 | 0 | 0 | 0 | 3,450 | 0 | 0 |
Cost of shares acquired | Successor [Member] | (37) | 0 | 0 | 0 | 0 | 0 | (37) | 0 |
Payments for Repurchase of Warrants | Successor [Member] | 0 | |||||||
Warrants exercised | Successor [Member] | 16 | 0 | 0 | 0 | 0 | 16 | 0 | 0 |
Ending balance (Successor [Member]) at Dec. 31, 2014 | 1,673,735 | 989,290 | 220,283 | 0 | 450 | 189,138 | (56) | 274,630 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | Successor [Member] | 287,252 | 493,403 | (205,068) | 0 | 0 | 0 | 0 | (1,083) |
Stock-based compensation | Successor [Member] | 3,105 | 0 | 0 | 0 | 0 | 3,105 | 0 | 0 |
Cost of shares acquired | Successor [Member] | (374) | (312) | 0 | 0 | 0 | 0 | (62) | 0 |
Payments for Repurchase of Warrants | Successor [Member] | (5,375) | 3,942 | 0 | 0 | 0 | 1,433 | 0 | 0 |
Warrants exercised | Successor [Member] | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 0 |
Ending balance (Successor [Member]) at Dec. 31, 2015 | $ 1,958,346 | $ 1,478,439 | $ 15,215 | $ 0 | $ 450 | $ 190,813 | $ (118) | $ 273,547 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Cash flows from operating activities: | ||||
Net income attributable to common shareholders | $ 505,219 | $ 493,403 | $ 484,071 | |
Net (loss) gain | 417 | 709 | 375 | |
Net income (loss) | 504,802 | 492,694 | 483,696 | |
Adjustments to reconcile net income to net cash used in operating activities: | ||||
Depreciation and amortization | 1,980 | 3,213 | 3,582 | |
Goodwill, Impairment Loss | 514,511 | 0 | ||
Amortization of bond premium and discount | (34,698) | (129,584) | (79,183) | |
Reorganization items | 493 | 0 | 211 | |
Share-based compensation | 1,106 | 3,105 | 3,450 | |
Deferred income taxes | 619 | 126 | (120) | |
Current income taxes | 5,148 | 134 | 4,963 | |
Deferred acquisition costs | 0 | 0 | 0 | |
Unearned premiums, net | (205,951) | (366,985) | (559,642) | |
Losses and loss expenses, net | (86,838) | (795,072) | (1,650,090) | |
Ceded premiums payable | (7,044) | (6,942) | (10,526) | |
Investment income due and accrued | 298 | (249) | 12,648 | |
Premium receivables | 78,610 | 169,032 | 452,414 | |
Accrued interest payable | 58,046 | 51,397 | 9,322 | |
Amortization of insurance intangible assets | 99,658 | 169,557 | 151,830 | |
Net mark-to-market (gains) losses | (183,091) | (38,916) | (20,863) | |
Net realized investment gains | (4,467) | (53,476) | (58,777) | |
(Gain) loss on extinguishment of debt | 0 | (81) | 74,724 | |
Other-than-temporary impairment charges | 46,764 | 25,659 | 25,794 | |
Variable interest entity activities | 48,623 | (31,569) | 32,212 | |
Other, net | (137,150) | 80,988 | 152,846 | |
Net cash provided by (used in) operating activities | 186,908 | 87,542 | (971,509) | |
Cash flows from investing activities: | ||||
Proceeds from sales of bonds | 942,943 | 1,002,329 | 3,125,864 | |
Proceeds from matured bonds | 613,345 | 1,029,026 | 1,402,904 | |
Purchases of bonds | (2,213,116) | (2,374,804) | (2,937,782) | |
Proceeds from sales of other invested assets | 90,067 | 177,756 | 49,739 | |
Purchases of other invested assets | (136,986) | (128,186) | (133,928) | |
Change in short-term investments | 455,495 | 134,276 | (88,946) | |
Loans, net | 1,103 | 508 | 465 | |
Change in cash collateral receivable | (3,040) | (6,833) | (158,240) | |
Other, net | 2,679 | (6,674) | 15,077 | |
Net cash provided by (used in) investing activities | (247,510) | (172,602) | 1,275,153 | |
Cash flows from financing activities: | ||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | 0 | 224,262 | |
Proceeds Received from a Secured Borrowing | 0 | 143,430 | 0 | |
Net proceeds received from a secured borrowing | (9,069) | (13,533) | 0 | |
Paydowns of a secured borrowing | 16 | 3 | 16 | |
Payments for Repurchase of Warrants | 0 | (5,375) | 0 | |
Proceeds from warrant exercises | (5,926) | (63,872) | (199,970) | |
Cost of warrants acquired | 0 | (13,752) | (331,419) | |
Payments for investment agreement draws | (14,979) | 46,901 | (307,111) | |
Payments for extinguishment of long-term debt | (75,581) | (38,159) | (3,467) | |
Cash and cash equivalents at beginning of period | 152,951 | 73,903 | 77,370 | |
Cash and cash equivalents end of period | $ 152,951 | 77,370 | 35,744 | 73,903 |
Cash and cash equivalents end of period | ||||
Income taxes | 1,656 | 16,969 | 4,400 | |
Interest on investment agreements | 832 | 341 | 518 | |
Cash payments related to reorganization items: | ||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 15,546 | 0 | 272 | |
Successor [Member] | Surplus Notes [Member] | ||||
Cash and cash equivalents end of period | ||||
Interest Expense | 0 | 0 | 82,168 | |
Predecessor [Member] | ||||
Cash flows from operating activities: | ||||
Net income attributable to common shareholders | 3,349,049 | |||
Net (loss) gain | 1,771 | |||
Net income (loss) | 3,347,278 | |||
Adjustments to reconcile net income to net cash used in operating activities: | ||||
Depreciation and amortization | 974 | |||
Amortization of bond premium and discount | (60,146) | |||
Reorganization items | (2,745,180) | |||
Share-based compensation | 0 | |||
Deferred income taxes | (6) | |||
Current income taxes | (101,188) | |||
Deferred acquisition costs | 14,207 | |||
Unearned premiums, net | (172,549) | |||
Losses and loss expenses, net | (43,284) | |||
Ceded premiums payable | (2,059) | |||
Investment income due and accrued | 1,781 | |||
Premium receivables | 88,990 | |||
Accrued interest payable | 23,953 | |||
Amortization of insurance intangible assets | 0 | |||
Net mark-to-market (gains) losses | 63,828 | |||
Net realized investment gains | (53,305) | |||
(Gain) loss on extinguishment of debt | 0 | |||
Other-than-temporary impairment charges | 467 | |||
Variable interest entity activities | (426,566) | |||
Other, net | 62,122 | |||
Net cash provided by (used in) operating activities | (683) | |||
Cash flows from investing activities: | ||||
Proceeds from sales of bonds | 310,916 | |||
Proceeds from matured bonds | 307,472 | |||
Purchases of bonds | (286,633) | |||
Proceeds from sales of other invested assets | 0 | |||
Purchases of other invested assets | (164,368) | |||
Change in short-term investments | (64,956) | |||
Loans, net | 1,920 | |||
Change in cash collateral receivable | (19,405) | |||
Other, net | 30,370 | |||
Net cash provided by (used in) investing activities | 115,316 | |||
Cash flows from financing activities: | ||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | |||
Proceeds Received from a Secured Borrowing | 0 | |||
Net proceeds received from a secured borrowing | (5,519) | |||
Paydowns of a secured borrowing | 0 | |||
Payments for Repurchase of Warrants | 0 | |||
Proceeds from warrant exercises | 0 | |||
Cost of warrants acquired | 0 | |||
Payments for investment agreement draws | (5,519) | |||
Payments for extinguishment of long-term debt | 109,114 | |||
Cash and cash equivalents at beginning of period | 43,837 | 152,951 | ||
Cash and cash equivalents end of period | 152,951 | |||
Cash and cash equivalents end of period | ||||
Income taxes | 102,129 | |||
Interest on investment agreements | 444 | |||
Cash payments related to reorganization items: | ||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 3,860 | |||
Predecessor [Member] | Surplus Notes [Member] | ||||
Cash and cash equivalents end of period | ||||
Interest Expense | 0 | |||
Variable Interest Entity [Member] | Successor [Member] | Secured Borrowing [Member] | ||||
Cash and cash equivalents end of period | ||||
Interest Paid | $ 170 | $ 1,506 | $ 0 | |
Variable Interest Entity [Member] | Predecessor [Member] | Secured Borrowing [Member] | ||||
Cash and cash equivalents end of period | ||||
Interest Paid | $ 276 |
Background and Business Descrip
Background and Business Description | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Background and Business Description | 1. BACKGROUND AND BUSINESS DESCRIPTION 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 April 29, 1991 . On May 1, 2013 (the “Effective Date”), Ambac emerged from Chapter 11 bankruptcy protection when the Second Modified Fifth Amended Plan of Reorganization of Ambac Financial Group, Inc. (the “Reorganization Plan”) became effective. On December 26, 2013, the United States Bankruptcy Court for the Southern District of New York (the “Bankruptcy Court”) entered an order of final decree closing Ambac’s Chapter 11 case. Ambac filed a voluntary petition for relief under Chapter 11 of the United States Bankruptcy Code (the “Bankruptcy Code”) in the Bankruptcy Court on November 8, 2010 as a result of losses incurred since the beginning of the financial crisis in 2007. Ambac has two reportable business segments: Financial Guarantee and Financial Services. Ambac’s financial guarantee business segment is conducted through its primary operating subsidiary, Ambac Assurance Corporation (“Ambac Assurance”), and its wholly owned subsidiary, Ambac Assurance UK Limited (“Ambac UK”). Insurance policies issued by Ambac Assurance and Ambac UK generally guarantee payment when due of the principal and interest on the obligations guaranteed. Ambac Assurance also has another wholly-owned financial guarantee subsidiary, Everspan Financial Guarantee Corp. (“Everspan”), which has been in runoff since its acquisition in 1997. The deterioration of Ambac Assurance’s financial condition resulting from losses in its insured portfolio since 2007 has prevented Ambac Assurance from being able to write new business. An inability to write new business has and will continue to negatively impact Ambac’s future operations and financial results. Ambac Assurance’s ability to pay dividends and, as a result, Ambac’s liquidity, have been significantly restricted by the deterioration of its financial condition, by the rehabilitation of the Segregated Account (as defined below) and by 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 certain counterparties to credit default swaps with ACP that were guaranteed by Ambac Assurance. Ambac Assurance is also restricted in its ability to pay dividends pursuant to regulatory restrictions, the terms of its Auction Market Preferred Shares, and the terms of agreements entered into with the Segregated Account. It is highly unlikely that Ambac Assurance will be able to make dividend payments to Ambac for the foreseeable future. Ambac’s financial services business segment is conducted through subsidiaries of Ambac Assurance, which provide financial and investment products, including investment agreements, funding conduits and interest rate swaps, principally to the clients of its financial guarantee business. Ambac Assurance insures all of the obligations of its financial services subsidiaries. These businesses are in active runoff, which is being effectuated by transaction terminations, settlements, and scheduled amortization of contracts. The Financial Services business also maintains interest rate derivatives to mitigate exposure to floating rate insured obligations in the Financial Guarantee segment. Ambac’s primary goal is to maximize shareholder value through executing the following key strategies: • Increasing the value of its investment in 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, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions, and other means; and • Selectively growing and diversifying Ambac through the development or acquisition of financial services businesses such as advisory, asset servicing, asset management and/or insurance. Ambac Assurance is evaluating possibilities for successfully concluding the Segregated Account Rehabilitation Proceedings (as defined below). In pursuing this objective, Ambac Assurance is considering the possibility of entering into transactions whereby it would monetize certain assets and/or purchase, restructure or exchange certain outstanding debt and insurance obligations. Ambac Assurance is also discussing with OCI (as defined below) potential options for addressing outstanding Deferred Amounts (as defined below), including accrued interest, and surplus notes (other than junior surplus notes). From time to time Ambac Assurance has also discussed with several counterparty creditors a potential exchange pursuant to which outstanding Deferred Amounts, including accrued interest, and surplus notes (other than junior surplus notes) would be exchanged for new securities and/or cash. As of the date of this filing, Ambac Assurance has not reached any agreement on the terms of a potential transaction, and we cannot provide assurance that any such transaction will be entered into by Ambac Assurance in the future, or if it is, as to the timing, terms or conditions of any such transaction. Any such transaction would remain subject to the prior approval of the board of Ambac Assurance, OCI and potentially the Rehabilitation Court (as defined below). The execution of Ambac’s strategy to increase 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. 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 by or in respect of Ambac Assurance. Opportunities for remediating losses on poorly performing insured transactions also depend on market conditions, including the perception of Ambac Assurance’s creditworthiness, the structure of the underlying risk and associated policy, as well as other counterparty specific factors. Oversight by the Rehabilitator could impair Ambac’s ability to execute certain of its strategies. Ambac Assurance's ability to commute policies or purchase certain investments may also be limited by available liquidity. In October 2015, Ambac Assurance introduced a new program to invest in residential real estate owned properties sourced from Ambac Assurance insured transactions. We are working with third-party vendors for necessary expertise and infrastructure related to this initiative. This program will be rolled out gradually to validate out internal investment thesis. While this program was initiated in order to help remediate losses in the insured portfolio, it has the potential to evolve into a new business opportunity for Ambac. Although we are exploring new business opportunities for Ambac, no assurance can be given that we will be able to execute the acquisition or development of any new business. In addition, there can be no assurance that we will be able to obtain the financial and other resources that may be required to finance the acquisition or development of new businesses. 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 periods ending December 31, 2015 and 2014 , 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. Chapter 11 Reorganization of Ambac: The Reorganization Plan reflects a resolution of certain issues (the “Amended Plan Settlement”) among the Company, the statutory committee of creditors appointed by the United States Trustee on November 17, 2010 (the “Creditors’ Committee”), Ambac Assurance, the Segregated Account and OCI related to (i) the net operating loss carry forwards (“NOLs”) of the consolidated tax group of which the Company is the parent and Ambac Assurance is a member (the “Ambac Consolidated Group”), (ii) certain tax refunds received in respect thereof and (iii) the sharing of expenses between the Company and Ambac Assurance. The terms of the Amended Plan Settlement are memorialized in that certain Mediation Agreement dated September 21, 2011 (the “Mediation Agreement”) among such parties. In accordance with the Amended Plan Settlement, the Company shall use its best efforts to preserve the use of NOLs as contemplated by the Amended Plan Settlement. Pursuant to the Amended Plan Settlement, (i) the Company, Ambac Assurance and certain affiliates entered into an amended and restated tax sharing agreement (the “Amended TSA”), (ii) the Company, Ambac Assurance and certain affiliates entered into an expense sharing and cost allocation agreement (the “Cost Allocation Agreement”) and (iii) the Company, Ambac Assurance, the Segregated Account and OCI entered into an amendment of the Cooperation Agreement (as defined below) (the “Cooperation Agreement Amendment”). The Amended TSA addresses certain intercompany tax issues including, but not limited to, the allocation and use of NOLs by the Company, Ambac Assurance and their respective subsidiaries. Refer to Note 16. Income Taxes for further discussion of the Amended TSA. The Cost Allocation Agreement provides for the allocation of costs and expenses among the Company, Ambac Assurance and certain affiliates. Additionally, the Cost Allocation Agreement requires Ambac Assurance to reimburse reasonable operating expenses incurred by the Company, subject to an annual $5,000 limit until March 2017. From March 2017 such expense reimbursement provision can be extended in the sole discretion of the rehabilitator subject to a $4,000 per year limit. The Cooperation Agreement Amendment provides for the Rehabilitator to have certain rights as described below. As provided for in the Reorganization Plan, Ambac’s Amended and Restated Certificate of Incorporation and revised Bylaws became effective on the Effective Date. On February 28, 2014, Ambac’s Bylaws were amended, primarily to (i) revise the advance notice provisions for stockholders proposing business or nominating directors; (ii) add procedural and disclosure requirements for stockholders proposing business or nominating directors, calling special meetings or taking action by written consent; (iii) add a forum selection clause specifying state or federal courts located in the State of Delaware as the sole and exclusive forum for proceedings which, among other things, (A) are brought on behalf of Ambac, (B)claim breaches of fiduciary duty, (C) involve claims arising under Ambac’s governing documents or the Delaware General Corporation Law, or (D) are governed by the internal affairs doctrine; and (iv) update other bylaw provisions, including revisions related to the use of electronic communication technologies. Pursuant to the Amended and Restated Certificate of Incorporation of Ambac, Ambac is authorized to issue 150,000,000 shares of capital stock, consisting of 130,000,000 shares of common stock, par value $0.01 per share and 20,000,000 shares of preferred stock, par value $0.01 per share. Pursuant to the Reorganization Plan, Ambac distributed 45,000,000 shares of new common stock on May 1, 2013 and distributed warrants to holders of allowed general unsecured claims and subordinated debt securities, which as of the Effective Date entitled such holders to acquire an additional 5,047,138 shares of new common stock of the Company at an exercise price of $16.67 per share at any time on or prior to April 30, 2023 . The new common stock and warrants are listed on NASDAQ and trade under the symbols “AMBC” and “AMBCW,” respectively. All such common stock and warrants were issued without registration under the Securities Act of 1933, as amended or state securities laws, in reliance on Section 1145 of the United States Bankruptcy Code. The common stock of the Company in existence prior to the Effective Date was cancelled on the Effective Date. Pursuant to the Mediation Agreement, Ambac Assurance transferred $30,000 (plus accrued interest) from an escrow account to Ambac on the Effective Date. Additionally, the Segregated Account issued a junior surplus note in the amount of $350,000 to Ambac on the Effective Date in accordance with the Mediation Agreement. On August 28, 2014, Ambac deposited this junior surplus note plus accrued but unpaid interest thereon, into a newly formed Trust in exchange for cash of $224,262 and a subordinated owner trust certificate (the "Owner Trust Certificate") issued by the Trust in the face amount of $74,794 . The Trust funded the cash portion of its purchase of the junior surplus note with proceeds of the private placement of $299,175 face amount of notes to third party investors ("Notes"), which amount equates to approximately 80% of par plus accrued and unpaid interest on the junior surplus note. The Notes have a final maturity of August 28, 2039 . Interest on the Notes will accrue at 5.1% per annum and compound annually on June 7th of each year up to and including the maturity date. Payments on the Notes will be made when and to the extent that the Segregated Account makes payments on the junior surplus note. The Notes must be paid in full before any payments will be made on the Owner Trust Certificate. The Notes and Owner Trust Certificate are non-recourse to Ambac, Ambac Assurance and the Segregated Account, but are collateralized by the junior surplus note. Ambac records the Owner Trust Certificate as an equity investment and will reflect the activities of the non-consolidated Trust within Net investment income on the Consolidated Statements of Total Comprehensive Income (Loss). Refer to Note 14. Long-term Debt for the key terms of the junior surplus note. Ambac’s Amended and Restated Certificate of Incorporation limits voting and transfer rights of stockholders in significant ways. Article IV contains voting restrictions applicable to any person owning at least 10% of Ambac’s common stock so that such person (including any group consisting of such person and any other person with whom such person or any affiliate or associate of such person has any agreement, contract, arrangement or understanding with respect to acquiring, voting, holding or disposing of Ambac’s common stock) shall not be entitled to cast votes in excess of one vote less than 10% of the votes entitled to be cast by all common stock holders, except as otherwise approved by OCI. There are substantial restrictions on the ability to transfer Ambac’s common stock set forth in Article XII of Ambac’s Amended and Restated Certificate of Incorporation. In order to preserve certain tax benefits, subject to limited exceptions, any attempted transfer of common stock shall be prohibited and void to the extent that, as a result of such transfer (or any series of transfers of which such transfer is a part), either (i) any person or group of persons shall become a holder of 5% or more of the Company’s common stock or (ii) the percentage stock ownership interest in Ambac of any holder of 5% or more of the Company’s common stock shall be increased (a “Prohibited Transfer”). These restrictions shall not apply to an attempted transfer if the transferor or the transferee obtains the written approval of Ambac’s Board of Directors to such transfer. A purported transferee of a Prohibited Transfer shall not be recognized as a stockholder of Ambac for any purpose whatsoever in respect of the securities which are the subject of the Prohibited Transfer (the “Excess Securities”). Until the Excess Securities are acquired by another person in a transfer that is not a Prohibited Transfer, the purported transferee of a Prohibited Transfer shall not be entitled with respect to such Excess Securities to any rights of stockholders of Ambac, including, without limitation, the right to vote such Excess Securities and to receive dividends or distributions, whether liquidating or otherwise, in respect thereof, if any. Once the Excess Securities have been acquired in a transfer that is not a Prohibited Transfer, the securities shall cease to be Excess Securities. If the Board determines that a transfer of securities constitutes a Prohibited Transfer then, upon written demand by Ambac, the purported transferee shall transfer or cause to be transferred any certificate or other evidence of ownership of the Excess Securities within the purported transferee’s possession or control, together with any distributions paid by Ambac with respect to such Excess Securities, to an agent designated by Ambac. Such agent shall thereafter sell such Excess Securities and the proceeds of such sale shall be distributed as set forth in the Amended and Restated Certificate of Incorporation. If the purported transferee of a Prohibited Transfer has resold the Excess Securities before receiving such demand, such person shall be deemed to have sold the Excess Securities for Ambac’s agent and shall be required to transfer to such agent the proceeds of such sale, which shall be distributed as set forth in the Amended and Restated Certificate of Incorporation. As of the Effective Date, the Company was generally discharged and released from all pre-Effective Date debts, liabilities, claims, causes of action and interests in accordance with the provisions of the Reorganization Plan. Holders of claims and equity interests are also generally barred from commencing or continuing any action or proceeding relating to such claims, causes of action or interests. The Reorganization Plan also provides for broad exculpation and releases of the Company, Ambac Assurance, the Segregated Account, OCI, the Rehabilitator, the board of directors and board committees of the Company and Ambac Assurance, all individual directors, officers and employees of the Company and Ambac Assurance, the Creditors’ Committee and the individual members thereof, and each of the respective representatives of such parties, for actions or omissions that occurred on or prior to the Effective Date. 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 December 31, 2015 for policies allocated to the Segregated Account was $15,361,202 . The Segregated Account is operated in accordance with a plan of operation (the “Plan of Operation”) and certain operative documents relating thereto (which include the Secured Note (defined below), the Reinsurance Agreement (defined below), the Management Services Agreement, dated as of March 24, 2010, by and between the Segregated Account and Ambac Assurance (the “Management Services Agreement”), the Cost Allocation Agreement and the Cooperation Agreement, dated as of March 24, 2010, by and between the Segregated Account and Ambac Assurance, as amended pursuant to the Cooperation Agreement Amendment (the “Cooperation Agreement”). Pursuant to such operative documents, Ambac Assurance entered into certain covenants for the benefit of the Segregated Account as described below. Pursuant to the Plan of Operation, Ambac Assurance allocated to the Segregated Account (1) certain policies insuring or relating to credit default swaps; (2) residential mortgage-backed securities (“RMBS”) policies; (3) certain policies insuring debt obligations backed by student loans; and (4) other policies insuring obligations with substantial projected impairments or relating to transactions which have contractual triggers based upon Ambac Assurance’s financial condition or the commencement of rehabilitation, which triggers are potentially damaging (collectively, the “Segregated Account Policies”). The policies described in (4) above include (a) certain types of securitizations, including commercial asset-backed transactions, consumer asset-backed transactions and other types of structured transactions; (b) the policies relating to Las Vegas Monorail Company; (c) policies relating to debt securities purchased by, and the debt securities issued by, Juneau Investments, LLC (“Juneau”), which is a finance company owned by Ambac Assurance and allocated to the Segregated Account as described below; (d) policies relating to leveraged lease transactions; and (e) certain policies relating to interest rate, basis, and/or currency swap or other swap transactions. Ambac Assurance also allocated the following to the Segregated Account: (i) all remediation claims, defenses, offsets, and/or credits (except with respect to recoveries arising from remediation efforts or reimbursement or collection rights), if any, in respect of the Segregated Account Policies, (ii) Ambac Assurance’s limited liability interests in ACP, Ambac Conduit Funding LLC and Juneau and (iii) all of Ambac Assurance’s liabilities as reinsurer under reinsurance agreements (except for reinsurance assumed from Everspan). Policy obligations not allocated to the Segregated Account remain in the General Account, and such policies in the General Account are not subject to and, therefore, will not be directly impacted by the Segregated Account Rehabilitation Plan (as defined below). 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. In 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 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. Ambac Assurance secured its obligations under the Secured Note and the Reinsurance Agreement by granting to the Segregated Account a security interest in all of Ambac Assurance’s right, title and interest in (i) installment premiums received in respect of the Segregated Account Policies; (ii) reinsurance premiums received in respect of assumed reinsurance agreements with respect to which the liabilities of Ambac Assurance have been allocated to the Segregated Account; (iii) recoveries under third party reinsurance agreements in respect of the Segregated Account Policies; and (iv) any recoveries arising from remediation efforts or reimbursement or collection rights with respect to policies allocated to the Segregated Account. 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 December 31, 2015 , Ambac Assurance’s surplus as regards to policyholders exceeds 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. 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 above) and/or the amount of partial policy claim payments are necessary or appropriate or whether to institute general rehabilitation proceedings against Ambac Assurance. During the Segregated Account Rehabilitation Proceedings, the Rehabilitator controls the management of the Segregated Account and possesses ultimate decision-making authority with respect to all matters relating to the policies allocated to the Segregated Account. Ambac Assurance provides certain management and administrative services to the Segregated Account and the Rehabilitator pursuant to the Management Services Agreement, including information technology services, credit exposure management, treasury, accounting, tax, management information, risk management, loss management, internal audit services and business continuity services. Services are provided at cost, subject to mutual agreement of the Segregated Account and Ambac Assurance. Either party may terminate the Management Services Agreement for cause upon 120 days written notice (or such shorter period as the Rehabilitator may determine) and the Segregated Account may terminate without cause at any time upon at least 30 days prior notice. If the Segregated Account elects to terminate the Management Services Agreement, Ambac Assurance will not have the right to consent to the replacement services provider. Pursuant to the Secured Note and the Reinsurance Agreement, Ambac Assurance has made certain covenants to the Segregated Account, including covenants that Ambac Assurance will not, (i) without the Segregated Account’s consent (not to be unreasonably withheld), amend its investment policies if doing so would have a material adverse effect on Ambac Assurance’s ability to perform its obligations under the Secured Note, the Reinsurance Agreement and the documents relating thereto or under any other material agreement to which it is a party, (ii) without the prior approval of the OCI, directly or indirectly make any distribution to its shareholder or redeem any of its securities and, (iii) without the Segregated Account’s consent (not to be unreasonably withheld), enter into any transaction other than pursuant to the reasonable requirements of Ambac Assurance’s business and which Ambac Assurance reasonably believes are fair and reasonable terms and provisions. Pursuant to the Cooperation Agreement, Ambac Assurance and the Segregated Account have agreed to certain matters related to decision-making, information sharing, tax compliance and allocation of expenses, including an agreement by Ambac Assurance to reimburse the Segregated Account for specified expenses to the extent not reimbursed under the Secured Note, subject to the Minimum Surplus Amount. Ambac Assurance has made certain covenants to the Segregated Account pursuant to the Cooperation Agreement, including an agreement to not enter into any transaction involving consideration or other proceeds of more than $5,000 (or such higher amount as determined by the Rehabilitator) without the Segregated Account’s prior written consent (other than policy claim payments made in the ordinary course of business and investments in accordance with Ambac Assurance’s investment policy), and providing the Segregated Account with an annual operating expense budget for Ambac Assurance and its subsidiaries, as well as quarterly analyses of variances. The Cooperation Agreement also addresses Ambac Assurance’s rights in the event Ambac Assurance is no longer the management and administrative services provider to the Segregated Account as described above. The Cooperation Agreement Amendment made each of the Company and the Rehabilitator a party to the Cooperation Agreement and provides the Rehabilitator with certain additional approval rights with respect to (a) the tax positions taken by the Company in its consolidated tax return; (b) the acceptance by Ambac Assurance of the repayment of intercompany loans or the modification of the terms thereof; (c) changes by Ambac Assurance in the assumptions or vendors utilized in determining loss reserves determined in accordance with Statutory Accounting Principles; and (d) changes to Ambac Assurance’s investment policy and transfer of the investment management function for Ambac Assurance’s investment portfolio. 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, although it did not become effective at such time. The confirmed Segregated Account Rehabilitation Plan also made permanent the injunctions issued by the Rehabilitation Court on March 24, 2010. On June 4, 2012, the Rehabilitation Court approved a motion made by the Rehabilitator to make partial interim policy claim payments to Segregated Account policyholders. In accordance with such approval, on August 1, 2012, the Rehabilitator promulgated Rules Governing the Submission, Processing and Partial Payment of Policy Claims in accordance with the June 4, 2012 Interim Cash Payment Order (the “Policy Claim Rules”). Pursuant to the Policy Claim Rules, effective from August 1, 2012, holders of policies allocated to the Segregated Account were allowed to submit policy claims for review and partial payment equating to 25% of the permitted policy claim amount, and on or about September 20, 2012, the Segregated Account commenced paying 25% of each permitted policy claim that arose since the commencement of the Segregated Account Rehabilitation Proceedings. On July 11, 2013 the Rehabilitator filed a motion with the Rehabilitation Court seeking approval from the Rehabilitation Court for the Segregated Account to make cash payments in excess of 25% of the permitted policy claim amount (“Supplemental Payments”) with respect to certain policies (the “SP Policies”) so that cash flow in the related securitization trusts that would have been available to reimburse Ambac Assurance had it paid claims in full under such policies is not diverted to uninsured holders who would not have received such cash flow if claims had been paid in full. Without making such Supplemental Payments, Ambac Assurance would likely realize lower levels of reimbursements and subrogation recoveries as cash flow that would have been available for the benefit of Ambac Assurance in relation to the SP Policies would be lost to such uninsured holders. A hearing on such motion was held on August 2, 2013, following which the Rehabilitation Court granted such motion and entered an order permitting Supplemental Payments to be made with respect to the SP Policies. As a result, the Segregated Account has been making Supplemental Payments on SP Policies since August 2013. On February 13, 2014, the Rehabilitator also received approval from the Rehabilitation Court 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 June 11, 2014, the Rehabilitation Court approved amendments to the Segregated Account Rehabilitation Plan that had been proposed by the Reh |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | 2. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES Ambac’s consolidated financial statements have been prepared on the basis of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues, expenses and disclosures of contingent assets and liabilities. Such estimates that are particularly susceptible to change are used in connection with certain fair value measurements, the evaluation of other than temporary impairments on investments, loss reserves for non-derivative insurance policies, the evaluation of the need for an impairment of goodwill or valuation allowance on the deferred tax asset, any of which individually could be material. Reorganization: Entities operating in bankruptcy and expecting to reorganize under Chapter 11 of the Bankruptcy Code are subject to the additional accounting and financial reporting guidance under the Reorganization Topic of the Accounting Standards Codification (the “ASC”). While the Reorganization Topic of the ASC provides specific guidance for certain matters, other portions of GAAP continue to apply so long as the guidance does not conflict with the Reorganization Topic of the ASC. This accounting literature provides guidance for periods subsequent to a Chapter 11 filing, among other things, the presentation of liabilities that are and are not subject to compromise pursuant to the bankruptcy proceedings, as well as the treatment of interest expense and presentation of costs associated with the proceedings. For the purpose of presenting an entity’s financial condition, the financial statements for periods including and after filing the Chapter 11 petition shall distinguish transactions and events that are directly associated with the reorganization from the ongoing operations of the business. Under the Reorganization Topic of the ASC, the Company determined that fresh start financial statement reporting was to be applied upon our emergence from Chapter 11 because (i) the reorganization value (further described in Note 3. Fresh Start Financial Statement Reporting ) of the emerging entity was less than total post-petition liabilities and allowed claims, and (ii) the holders of existing voting shares immediately before the confirmation of the Reorganization Plan received less than 50% of the voting shares of the emerging entity. Specifically, fresh start reporting was applied upon confirmation of the Reorganization Plan by the Bankruptcy Court and the satisfaction of the remaining material contingencies necessary to complete implementation of the Reorganization Plan. All conditions required for the adoption of fresh start reporting were satisfied by the Company on April 30, 2013 (“Fresh Start Reporting Date”) when Ambac executed a closing agreement with the United States Internal Revenue Service (the "IRS") to conclude the settlement of a dispute. As such, fresh start financial statement reporting ("Fresh Start") was adopted by the Company on April 30, 2013, 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 Predecessor Ambac financial statements. The implementation of fresh start reporting is further described in Note 3. Fresh Start Financial Statement Reporting . 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 (Loss) consisted of the following items: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 U.S. Trustee fees $ — $ 7 $ 33 $ 23 Professional fees — 204 460 4,483 Gain from cancellation and satisfaction of Predecessor Ambac debt — — — (1,521,435 ) Fresh start reporting adjustments — — — (1,228,251 ) Total reorganization items $ — $ 211 $ 493 $ (2,745,180 ) Ambac Unconsolidated Financial Information: Financial information of Ambac is presented in Schedule II to this Form 10-K as of December 31, 2015 and 2014 and for the years ended December 31, 2015 , 2014 and 2013 . Investments in subsidiaries are accounted for using the equity method of accounting. Consolidation: The consolidated financial statements include the accounts of Ambac and all other entities in which Ambac (directly or through its subsidiaries) has a controlling financial interest, including variable interest entities (“VIEs”) for which Ambac or an Ambac subsidiary is deemed the primary beneficiary in accordance with the Consolidation Topic of the ASC. All significant intercompany balances have been eliminated. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as VIEs, through arrangements that do not involve controlling voting interests. The primary beneficiary of a VIE is the party that has both the following characteristics: a) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and b) the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. A VIE is an entity: a) that lacks enough equity investment at risk to permit the entity to finance its activities without additional subordinated financial support from other parties; or b) where the group of equity holders does not have: (1) the power, through voting rights or similar rights, to direct the activities of an entity that most significantly impact the entity’s economic performance; (2) the obligation to absorb the entity’s expected losses; or (3) the right to receive the entity’s expected residual returns. The determination of whether a variable interest holder is the primary beneficiary involves performing a qualitative analysis of the VIE that includes, among other factors, its capital structure, contractual terms including the rights of each variable interest holder, the activities of the VIE, whether the variable interest holder has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, whether the variable interest holder has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, related party relationships and the design of the VIE. Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities , for a detailed discussion of Ambac’s involvement in VIEs, Ambac’s methodology for determining whether Ambac is required to consolidate a VIE and the effects of VIEs being consolidated. Goodwill: At the Fresh Start Reporting Date, we revalued our assets and liabilities to current estimated fair value. The excess reorganization value which could not be attributed to the fair value of specific identified tangible and intangible assets ("fair value of net assets") was recorded as goodwill. Pursuant to the Intangibles - Goodwill and Other Topic of the ASC, goodwill is not amortized but is subject to annual impairment testing. We test goodwill for impairment as of October 1 st of each year. Goodwill is also tested more frequently if indicators of impairment exist for each reporting unit. The Company has an option to first assess qualitative factors, in their totality, to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount as a basis for determining whether it is necessary to perform a goodwill impairment test. If the Company determines that it is more likely than not that the fair value of a reporting unit is less than its carrying amount, then the Company is required to perform the goodwill impairment test. Alternatively, we may bypass this qualitative assessment and perform step one of the goodwill impairment test described below. Goodwill impairment is determined using a two-step approach. In step one of the goodwill impairment test, the fair value of a reporting unit is compared with its carrying amount, including goodwill. If the fair value is in excess of the carrying amount, including goodwill, the reporting unit’s goodwill is considered not to be impaired. If the carrying amount, including goodwill, of a reporting unit exceeds its fair value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. In step two of the goodwill impairment test, the implied fair value of a reporting unit’s goodwill is compared with the carrying amount of that goodwill. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination and is defined as the excess of the fair value of a reporting unit over the fair value of the net assets of a reporting unit. If the carrying amount of goodwill exceeds its implied fair value, an impairment loss is recognized for the excess. If the carrying amount of goodwill is less than its implied fair value, no goodwill impairment is recognized. Goodwill impairment testing is performed at the reporting unit level. We have identified two reporting units of Ambac: (1) Financial Guarantee, which provides financial guarantees (including credit derivatives) for public finance, structured finance and other obligations; and (2) Financial Services, which provides investment agreements, funding conduits, and interest rate swaps, principally to clients of the financial guarantee business. These reporting units are also the sole operating segments which make up the Financial Guarantee and Financial Services reportable segments, respectively, as further described in Note 19. Segment Information . We have assigned assets and liabilities to each reporting unit based on specific identification. In evaluating which reporting units should be assigned goodwill, we considered the sources of Ambac’s estimated enterprise value at the Fresh Start Reporting Date, as further described in Note 3. Fresh Start Financial Statement Reporting . Based on that analysis, we have assigned all goodwill recorded at the Fresh Start Reporting Date to the Financial Guarantee reporting unit. During the September 30, 2015 reporting period, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation. These indicators included the recent trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis as of September 30, 2015, we performed step one of the goodwill impairment test for the Financial Guarantee reporting unit. We estimated the fair value of the Financial Guarantee reporting unit using a market approach, which is derived using: i) Ambac’s common stock and warrant market capitalization, ii) fair value estimates of Ambac Assurance preferred shares (reported as noncontrolling interests on Ambac's balance sheet) and iii) an estimated control premium. Step one of the impairment test indicated the Financial Guarantee reporting unit's carrying value exceeded its fair value. Accordingly, Ambac performed step two of the impairment test as of September 30, 2015, which indicated the implied fair value of goodwill was zero . This was the result of substantial decreases in the Financial Guarantee reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the Financial Guarantee reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The Financial Guarantee reporting unit's fair value of net assets increased significantly primarily as a result of a decrease in the estimated fair value of financial guarantee liabilities and, to a lesser extent, a decrease in the fair value of long-term debt. The fair value decrease in financial guarantee liabilities, which is a Level 3 estimate, was primarily driven by wider Ambac credit spreads and positive loss and loss expense reserves development. Please refer to Note 10. Fair Value Measurements for further discussion on the fair value model for financial guarantee liabilities. The fair value decrease in long-term debt was driven by lower market pricing on surplus notes and junior surplus notes. As a result, the Company recorded a full non-cash, non-tax deductible goodwill impairment charge of $514,511 at September 30, 2015. The following is a summary of activity in goodwill that was all assigned to the Financial Guarantee reporting unit: December 31 2015 2014 Beginning balance $ 514,511 $ 514,511 Impairment loss (514,511 ) — Ending balance $ — $ 514,511 Restricted Cash: Cash that we do not have the right to use for general purposes is recorded as restricted cash in our consolidated balance sheets. Restricted cash includes consolidated variable interest entity cash restricted to fund the obligations of the consolidated VIEs. Net Income Per Share: Basic net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding, inclusive of unsettled vested restricted stock units. Diluted net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding plus all dilutive potential common shares outstanding during the period. All dilutive potential common shares outstanding consider common stock deliverable pursuant to warrants issued under the Reorganization Plan and those pursuant to stock options and non-vested restricted and performance stock units. 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 December 31, 2015 and 2014 , was 2.7% . and 2.7% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2015 and 2014 , was 9.2 years and 10.1 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. For both upfront and installment premium policies, premium revenues are earned over the life of the financial guarantee contract in proportion to the insured principal amount outstanding at each reporting date (referred to as the level-yield method). For installment paying policies, the premium receivable discount, equating to the difference between the undiscounted future installment premiums and the present value of future installment premiums, is accreted as premiums earned in proportion to the premium receivable balance at each reporting date. Similar to gross premiums, premiums ceded to reinsurers are paid either upfront or in installments. For premiums paid upfront, a deferred ceded premium asset is established which is initially recorded as the cash amount paid. For installment premiums, a ceded installment premiums payable liability and offsetting deferred ceded premium asset are initially established in an amount equal to: i) the present value of future contractual premiums due or, ii) if the underlying insured obligation is a homogenous pool of assets which are contractually pre-payable, the present value of expected premiums to be paid over the life of the transaction. An appropriate risk-free rate corresponding to the weighted average life of each policy and exposure currency is used to discount the future premiums contractually due or expected to be collected. Premiums ceded to reinsurers reduce the amount of premiums earned by Ambac from its financial guarantee insurance policies. For both up-front and installment premiums, ceded premiums written are primarily recognized in earnings in proportion to and at the same time as the related gross premium revenue is recognized. For premiums paid to reinsurers on an installment basis, Ambac records the present value of future ceding commissions as an offset to ceded premiums payable, using the same assumptions noted above for installment premiums. 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, we offset the recognition of any remaining UPR 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. 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. For policies with refunding securities, premium revenue recognition is not impacted as the escrowed maturity date is the same as the previous legal maturity date. For policies with pre-refunding securities, the maturity date of the pre-refunded security has been shortened from its previous legal maturity. Although premium revenue recognition has not been accelerated in the period of the pre-refunding, it results in an increase in the rate at which the policy's remaining UPR is to be recognized. Loss Reserves: The loss and loss expense reserve (“loss reserve”) policy for financial guarantee insurance relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including unconsolidated VIEs. Loss reserves are based upon estimates of the ultimate aggregate losses inherent in the non-derivative financial guarantee portfolio as of the reporting date. The policy for derivative contracts is discussed in the “Derivative Contracts” section below. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include (a) unpaid claims and (b) the present value ("PV") of estimated expected future losses, net of expected future recoveries, required to be paid under an insurance contract, further described below: • Unpaid claims represent the sum of (i) claims not yet paid for policies allocated to the Segregated Account, including Deferred Amounts (as defined in Note 1. Background and Business Description ) 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. Background and Business Description for further discussion of the amended Segregated Account Rehabilitation Plan. Unpaid claims are measured based on the cost of settling the claims, which is principal plus accrued interest. • The PV of expected future losses, net of expected future recoveries, are impacted by: (i) expected future claims under an insurance contract, including the impact of potential settlement outcomes upon future installment premiums, (ii) expected recoveries from contractual breaches of RMBS representations and warranties by transaction sponsors, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries. Expected receipts from third parties within the underlying transaction's cash flow structure relating to contractual breaches in non-RMBS securitizations may also reduce expected future claims. Ambac’s approach to resolving disputes involving contractual breaches by transaction sponsors or other third parties has included negotiations and/or pursuing litigation. Ambac does not include potential recoveries from litigation attributed solely to fraudulent inducement claims in our estimate of subrogation recoveries, since any remedies under such claims would be non-contractual. Net cash outflow policies represent contracts where the sum of unpaid claims plus the PV of expected future losses are greater than the PV of expected future recoveries. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of these net cash outflows in excess of UPR. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected recoveries are greater than the sum of unpaid claims plus the PV of expected future losses. For such policies, a “Subrogation recoverable” asset is recorded for the sum of these net cash inflows. The approaches used to estimate expected future losses and recoveries considers the likelihood of all possible outcomes. The evaluation process for determining expected losses is subject to certain judgments based on our assumptions regarding the probability of default by the issuer of the insured security, probability of settlement outcomes (which may include commutation settlements, refinancing and/or other settlement outcomes) and expected severity of credits for each insurance contract. Ambac’s loss reserves are based on management’s on-going review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Portfolio Risk Management ("PRM") group to track credit migration of insured obligations from period to period and update internal classifications and credit ratings for each transaction. Non-adversely classified credits are assigned a Class I or Survey List (“SL”) rating while adversely classified credits are assigned a rating of Class IA through Class V. The criteria for an exposure to be assigned an adversely classified credit rating includes the deterioration of an issuer’s financial condition, underperformance of the underlying collateral (for collateral dependent transactions such as mortgage-backed or student loan securitizations), poor performance by the servicer of the underlying collateral and other adverse economic events or trends. The servicer of the underlying collateral of an insured securitization transaction is a consideration in assessing credit quality because the servicer’s performance can directly impact the performance of the related issue. For example, a servicer of a mortgage-backed securitization that does not remain current in its collection loss mitigation efforts could cause an increase in the delinquency and potential default of the underlying obligation. Similarly, loss severities increase when a servicer does not effectively handle loss mitigation activities such as (i) the advancing of delinquent principal and interest and of default related expenses which are deemed to be recoverable by the servicer, (ii) pursuit of loan charge-offs which maximize cash flows from the mortgage loan pool, and (iii) foreclosure and real estate owned disposition strategies and timelines. All credits are assigned risk classifications by the Surveillance Group using the following guidelines: CLASS I - “Fully Performing - Meets Ambac Criteria with Remote Probability of Claim” - Credits that demonstrate adequate security and structural protection with a strong capacity to pay interest, repay principal and perform as underwritten. Factors supporting debt service payment and performance are considered unlikely to change and any such change would not have a negative impact upon the fundamental credit quality. SURVEY LIST - “Investigation of Specific Condition or Weakness Underway” - Credits that require additional analysis to determine if adverse classification is warranted. These credits may lack information or demonstrate a weakness but further deterioration is not expected. CLASS IA - “Potential Problem with Risks to be Dimensioned” - Credits that are fully current and monetary default or claims-payment are not anticipated. The payor’s or issuer’s financial condition may be deteriorating or the credits may lack adequate collateral. A structured financing may also evidence weakness in its fundamental credit quality as evidenced by its under-performance relative to its modeled projections at underwriting, issues related to the servicer’s ability to perform or questions about the structural integrity of the transaction. While these credits may still retain an investment grade rating, they usually have experienced or are vulnerable to a ratings downgrade. Further investigation is required to dimension and correct any deficiencies. A complete legal review of documents may be required. An action plan should be developed with triggers for future classification changes upward or downward. CLASS II - “Substandard Requiring Intervention” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service may be jeopardized by adversely developing trends of a financial, economic, structural, managerial or political nature. No claim payment is currently foreseen but the probability of loss or claim payment over the life of the transaction is now existent (generally 10% or greater probability). Class II credits may be border-line or below investment grade (BBB- to B). Prompt and sustained action must be taken to execute a comprehensive loss mitigation plan and correct deficiencies. CLASS III - “Doubtful with Clear Potential for Loss” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service has been or will be jeopardized by adverse trends of a financial, economic, structural, managerial or political nature which, in the absence of positive change or corrective action, are likely to result in a loss. The probability of monetary default or claims paying over the life of the transaction is generally 50% or greater. Full exercise of all available remedial actions is required to avert or minimize losses. Class III credits will generally be rated below investment grade (B to CCC). CLASS IV - “Imminent Default or Defaulted” - Monetary default or claim payments have occurred or are expected imminently. Class IV credits are generally rated D. CLASS V - “Fully Reserved” - The credit has defaulted and payments have occurred. The claim payments are scheduled and known, reserves have been established to fully cover such claims, and no claim volatility is expected. The population of credits evaluated in Ambac’s loss reserve process are: (i) all adversely classified credits (Class IA through V) and ii) non-adversely classified credits (Class I and SL) which had an internal Ambac rating downgrade since the transaction’s inception. One of two approaches is then utilized to estimate losses to ultimately determine if a loss reserve should be established. The first approach is a statistical expected loss approach, which considers the likelihood of all possible outcomes. The “base case” statistical expected loss is the product of: (i) the par outstanding on the credit; (ii) internally developed historical default information (taking into consideration internal ratings and average life of an obligation); (iii) internally developed loss severities; and (iv) a discount factor. The loss severities and default information are based on rating agency information, are specific to each bond type and are established and approved by senior officers of the PRM group. For certain credit exposures, Ambac’s additional monitoring, loss remediation efforts and probabilities of potential settlement outcomes may provide information relevant to adjust this estimate of “base case” statistical expected losses. Analysts may accept the “base case” statistical expected loss as the best estimate of expected loss or assign multiple probability weighted scenarios to determine an adjusted statistical expected loss that better reflects management’s view of a given transaction’s expected losses, as well as the potential for additional remediation activities (i.e. commutations). The second approach entails the use of cash-flow based models to estimate expected losses (future claims, net of potential recoveries, expected to be paid to the holder of the insured financial obligation). Ambac’s PRM group will consider the likelihood of all possible outcomes and develop appropriate cash flow scenarios. This approach can include the utilization of internal or third party models to project future losses and resultant claim payment estimates. We utilize cash flow models for residential mortgage-backed (RMBS), student loan, and other exposures. RMBS and student loan models use historical performance of the collateral pools in order to then derive future performance characteristics, such as default and voluntary prepayment rates, which in turn determine projected future claim payments. In other cases, such as many public finance exposures including our Puerto Rico exposures, we do not specifically forecast resources available to pay debt service in the cash flow model itself. Rather, we consider the issuers’ overall ability and willingness to pay, including the fiscal, economic, legal and political framework. In this approach a probability-weighted expected loss estimate is developed based on assigning probabilities to multiple claim payment scenarios and applying an appropriate discount factor. Additionally, we assign a probability to the issuer’s ability to refinance an insured issue and/or Ambac’s ability to execute a potential settlement (i.e. commutation) of the insurance policy, including the impact on future installment premiums. The commutation scenarios and the related probabilities of occurrence vary by transaction, depending on our view of the likelihood of negotiating such a transacti |
Fresh Start Financial Statement
Fresh Start Financial Statement Reporting | 12 Months Ended |
Dec. 31, 2015 | |
Reorganizations [Abstract] | |
Fresh Start Financial Statement Reporting | 3. FRESH START FINANCIAL STATEMENT REPORTING Below is a discussion of key principles and assumptions used in the implementation of fresh start financial statement reporting (“Fresh Start”) as a result of the Company’s emergence from Chapter 11. Enterprise Value / Reorganization Value Determination: In conjunction with formulating the Reorganization Plan, Ambac directed a third-party financial advisor to prepare a valuation analysis to determine Ambac’s estimated enterprise value, which was estimated to be $185,000 . The enterprise value, which represented the Company’s equity value attributable to common stockholders and warrant holders immediately after restructuring, was included in the Disclosure Statement filed by Ambac with the Bankruptcy Court in September 2011. Management believed that this enterprise value of $185,000 would provide the best representation of the Company’s post-emergence reorganization value in accordance with the Reorganizations Topic of the ASC. The enterprise value was based on a discounted cash flow analysis using estimates of after-tax free cash flows through 2045. The terminal date of 2045 was used as the expected run-off of Ambac Assurance’s insurance operations will be substantially completed by 2045. The valuation used a range of discount rates between 12% and 17% , which considered the cost of capital associated with a set of comparable insurance holding companies, indicative ranges suggested by third parties during Ambac’s 2008 capital raise process and discussions with financial professionals knowledgeable about the insurance industry. The net cash flows used in the valuation analysis include income relating to, but not limited to, interest and principal on notes receivable; interest receipts on invested assets; reimbursement from Ambac Assurance for operating expenses; tolling receipts and the upfront cash payment from Ambac Assurance, which are outlined in the Mediation Agreement and further described below. Expenses include operating expenses; intercompany settlements and tax payments. In addition, the long-term financial projections include value from the junior surplus note issued to Ambac by the Segregated Account, excess net operating tax losses (the “NOL Valuation”) and a residual equity dividend from Ambac Assurance. For the purposes of estimating Ambac’s enterprise value, the following assumptions were made in accordance with the terms of the Mediation Agreement and the Reorganization Plan with respect to future consideration to be received by Ambac from Ambac Assurance or the Segregated Account: (i) $5,000 per annum reimbursement for operating expenses until March 2017; (ii) Tolling payments on NOLs according to the tranches and tolling rates, as outlined in the Reorganization Plan. In conjunction with the Reorganization Plan, Ambac and Ambac Assurance entered into the Amended TSA, which provides that certain NOLs (“Allocated NOL Amount”) generated by Ambac’s affiliated group (including Ambac Assurance) for federal tax purposes on or prior to September 30, 2011 (the “Determination Date”) shall be available for use by the Ambac Assurance Subgroup subject to certain NOL tolling payments by Ambac Assurance to Ambac. Ambac Assurance Subgroup is defined as Ambac Assurance and any direct or indirect subsidiary of Ambac Assurance that would be treated as an includable corporation of an affiliated group of corporations under the Internal Revenue Code. The Allocated NOL Amount is $3.65 billion which may be subject to change from future audit adjustments. Under the terms of the Amended TSA, the Ambac Assurance Subgroup may utilize the Allocated NOL Amount in exchange for tolling payments that are calculated based on the amount of notional federal tax liability that would have been imposed on the Ambac Assurance Subgroup if such NOLs were not available for its use. Refer to the NOL Usage Table in Note 16. Income Taxes for the tolling payments due from Ambac Assurance to Ambac for the use of the Allocated NOL. The Amended TSA also provides for tolling payments from Ambac Assurance to Ambac for the use of NOLs to determine the Ambac Assurance Subgroup’s alternative minimum tax (“AMT”) liability using a similar schedule for the use of the Allocated NOL Amount. However the tolling payments for the use of NOLs for AMT purposes shall be subject to certain credits that may be used to offset the amounts due from Ambac Assurance for the use of such AMT NOLs under the Amended TSA. These credits may be carried forward into future taxable periods to offset future payment under the Amended TSA, which may not exceed, in the aggregate, $60,000 . The estimated NOL tolling payments utilized in Ambac’s enterprise value were estimated based on financial projections of the Ambac Assurance Subgroup’s taxable income; (iii) $30,000 in upfront cash, which Ambac Assurance can apply as a credit for up to $15,000 of future tolling payments; (iv) a $350,000 junior surplus note, assumed to accrue interest at a rate of 5.1% per annum and to be paid down in 2045; and (v) from March 2017, an additional $4,000 per annum reimbursement for operating expenses (the “Additional Opex Subsidy”). There is uncertainty as to whether or not the Additional Opex Subsidy will be approved by the Rehabilitator and, if approved, for what period of time it would be in effect. The NOL Valuation relies on several key assumptions relating to the use of NOLs in a new corporate opportunity. The NOL Valuation assumes that Ambac raises capital to acquire additional assets in a manner that complies with the relevant tax rules related to NOL usage and utilizes the NOL to shelter, to the greatest extent permitted by the tax law, any tax that otherwise would be payable from the taxable income generated by the acquired assets. The required capital is assumed to be raised as equity in a range from $135,000 to $190,000 . The equity capital is assumed to be invested in portfolios similar in nature to Ambac Assurance. The following assumptions were used to value the tax savings arising from the newly acquired entity’s utilization of the NOLs: (i) compounded annual rate of return on investment of approximately 6% - 8% ; (ii) a 25% - 35% discount rate, the assumed equity rate of return an investor would target upon making such an investment; and (iii) an assumed expiration of the NOLs in 2030 in accordance with their 20-year life. Dividends and other expected cash flows from Ambac Assurance are highly contingent upon the financial performance of Ambac Assurance. Ambac Assurance’s financial performance is sensitive to a number of key variables, including: (i) loss estimates and loss experience; (ii) remediation and recoveries; (iii) additional value creation initiatives; (iv) the existence and form of the Segregated Account Rehabilitation Plan, including the treatment of Segregated Account claims and Deferred Amounts; (v) investment portfolio yield and mix, including intercompany loan repayment assumptions; (vi) installment premiums and operating expenses; and (vii) value, if any, received from Ambac UK and Everspan. The projections and other financial information provided in connection with the above-described valuation analysis were based on information available to us at that time and we have not and do not intend to update such information. Projections are inherently subject to uncertainties and risks and such projections and other financial information reflect numerous assumptions as of the date of the Disclosure Statement. Our actual results and financial condition may vary significantly from those contemplated by the projections and other financial information provided to the Bankruptcy Court. In accordance with Fresh Start, the Company adjusted the historical carrying values of its assets, liabilities and noncontrolling interests to fair value, with the exception of deferred taxes and liabilities associated with postretirement benefits, which were recorded in accordance with the Income Taxes and Compensation Topics of the ASC, respectively. The sum of the enterprise value, the adjusted value of liabilities and the adjusted value of noncontrolling interests equals the Company’s reorganization value, which approximates the fair value of the Company’s assets. Management also evaluated, in accordance with the Business Combinations Topic of the ASC, whether there are other identifiable intangible assets to be recognized separately from goodwill and determined that no other identifiable intangible assets of a material nature, except for the insurance intangible asset related to financial guarantees, should be recognized as part of Fresh Start. The portion of the reorganization value that could not be attributed to specific tangible or identified intangible assets of the emerging company was recorded as goodwill. The reorganization value approximates the amount a willing buyer would pay for the assets of the entity, before considering liabilities or noncontrolling interests, immediately after restructuring. The following table represents a reconciliation of the enterprise value to the reorganization value, and the determination of goodwill: Enterprise value $ 185,000 Add: Fair value of liabilities 28,393,020 Add: Fair value of noncontrolling interest 275,415 Reorganization value allocated to assets 28,853,435 Less: Fair value of identified tangible and intangible assets 28,338,924 Reorganization value in excess of fair value of assets (goodwill) $ 514,511 Reorganized Condensed Consolidated Balance Sheet: The implementation of the Reorganization Plan and the adoption of Fresh Start in the Company’s condensed consolidated balance sheet as of the Fresh Start Reporting Date are as follows: AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES Reorganized Condensed Consolidated Balance Sheet As of April 30, 2013 (Dollars in Thousands) Predecessor Ambac Reorganization Item Adjustments Fresh Start Adjustments Successor Ambac Assets: Investments $ 6,457,264 $ — $ — $ 6,457,264 Cash 254,851 (101,900 ) (A) 152,951 Receivable for securities sold 682 682 Investment income due and accrued 37,961 37,961 Premium receivables 1,531,631 1,531,631 Reinsurance recoverable on paid and unpaid losses 151,311 151,311 Deferred ceded premium 166,212 166,212 Subrogation recoverable 533,673 533,673 Deferred acquisition costs 184,953 (184,953 ) (C) — Loans 8,857 (1,575 ) (C) 7,282 Derivative assets 121,643 121,643 Current taxes — 4,410 (A) 4,410 Insurance intangible asset — 1,658,972 (C) 1,658,972 Goodwill — 514,511 (C) 514,511 Other assets 54,821 54,821 Variable interest entity assets: — Fixed income securities, at fair value 2,500,565 2,500,565 Restricted cash 24,150 24,150 Investment income due and accrued 4,851 4,851 Loans 14,758,077 (6,024 ) (C) 14,752,053 Intangible assets 164,520 164,520 Other assets 13,972 13,972 Total assets $ 26,969,994 $ (97,490 ) $ 1,980,931 $ 28,853,435 Liabilities and Stockholders’ Equity: Liabilities: Liabilities subject to compromise $ 1,704,641 $ (1,704,641 ) (B) $ — $ — Unearned premiums 2,482,314 2,482,314 Losses and loss expense reserve 6,106,345 6,106,345 Ceded premiums payable 92,468 92,468 Obligations under investment agreements 357,373 1,505 (C) 358,878 Obligations under investment repurchase agreements 5,926 5,926 Deferred taxes 1,580 1,580 Current taxes 97,490 (97,490 ) (A) — Long-term debt 155,271 (973 ) (B) 786,015 (C) 940,313 Accrued interest payable 252,788 (821 ) (B) (18,091 ) (C) 233,876 Derivative liabilities 621,645 621,645 Other liabilities 88,908 1,837 (C) 90,745 Payable for securities purchased 27 27 Variable interest entity liabilities: — Accrued interest payable 4,318 4,318 Long-term debt 15,041,624 (18,586 ) (C) 15,023,038 Derivative liabilities 2,425,517 2,425,517 Other liabilities 6,030 6,030 Total liabilities $ 29,444,265 $ (1,803,925 ) $ 752,680 $ 28,393,020 (Dollars in Thousands) Predecessor Ambac Reorganization Item Adjustments Fresh Start Adjustments Successor Ambac Stockholders’ (deficit) equity: Preferred stock $ — $ — $ — $ — Common stock-Predecessor Ambac 3,080 (3,080 ) (D) — Common stock-Successor Ambac — 450 (B) 450 Additional paid-in capital-Predecessor Ambac 2,172,027 (2,172,027 ) (D) — Additional paid-in capital-Successor Ambac — 184,550 (B) 184,550 Accumulated other comprehensive income 800,260 (800,260 ) (D) — Accumulated deficit (5,697,961 ) 1,521,435 (B) 4,176,526 (C) (D) — Common stock held in treasury at cost (410,695 ) 410,695 (D) — Total Ambac Financial Group, Inc. stockholders’ (deficit) equity (3,133,289 ) 1,706,435 1,611,854 185,000 Noncontrolling interest 659,018 (383,603 ) (D) 275,415 Total stockholders’ (deficit) equity (2,474,271 ) 1,706,435 1,228,251 460,415 Total liabilities and stockholders’ (deficit) equity $ 26,969,994 $ (97,490 ) $ 1,980,931 $ 28,853,435 Reorganization Item Adjustments: Items shown in the Reorganization Items column of the Reorganized Condensed Consolidated Balance Sheet above represent amounts recorded for the implementation of the Reorganization Plan on the Effective Date as described below: (A) Reflects the cash payment of $101,900 to the IRS under a settlement with the IRS on the Fresh Start Reporting Date pursuant to the Reorganization Plan. (B) Reflects the discharge of liabilities subject to the Reorganization Plan, issuance of 45,000,000 and 5,047,138 shares of Successor Ambac common stock and warrants, respectively, to certain claim holders, resulting in a pre-tax gain of $1,521,435 on extinguishment of obligations pursuant to the Reorganization Plan. The following reflects the calculation of the pre-tax gain, which was recorded as a Reorganization item on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Liabilities subject to compromise $ 1,704,641 Long-term debt 973 (1) Accrued interest payable 821 (1) Total debt discharged 1,706,435 Less: Successor Ambac common stock (450 ) (2) Successor Ambac additional paid-in capital (184,550 ) (2) Pre-tax gain from cancellation and satisfaction of Predecessor Ambac debt $ 1,521,435 (1) Represents the proportional reduction in the carrying value of long-term debt and associated accrued interest payable upon the discharge of $8,043 par value of Segregated Account junior surplus notes that were issued to a pre-petition creditor, One State Street, LLC (“OSS”). Pursuant to a settlement agreement (the “OSS Settlement Agreement”) to terminate the Company’s office lease with OSS and to settle all claims among the parties, the outstanding principal amount of the Segregated Account junior surplus notes issued to OSS were reduced based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. Refer to Note 14. Long-term Debt for additional information on the OSS Settlement Agreement. (2) Warrants issued in connection with the Reorganization Plan are classified as equity and initially measured at fair value. The enterprise value of $185,000 is allocated between common stock and warrants based on their relative fair values as quoted on the Effective Date. Successor Ambac common stock of $450 represents the par value of 45,000,000 shares of common stock issued at $0.01 per share. Included in the Successor Ambac additional paid-in capital of $184,550 , $11,437 was allocated to 5,047,138 warrants at their initial fair value, with the remaining $173,113 additional paid-in capital attributable to common stock. Fresh Start Adjustments: Items shown in the Fresh Start Adjustments column of the Reorganized Condensed Consolidated Balance Sheet above reflects (i) the fair value adjustments to assets and liabilities which are not already reported at fair value under U.S. GAAP accounting rules, including the re-measurement of deferred tax assets and liabilities, if any, which result from such adjustments and (ii) the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders, including the fair value adjustment to noncontrolling interests. These adjustments are described below: (C) The following table summarizes the impact of the fresh start adjustments, which in the aggregate was recorded as a Reorganization item gain on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Deferred acquisition costs $ (184,953 ) Loans (non-VIE) (1,575 ) Insurance intangible asset 1,658,972 Goodwill 514,511 Obligations under investment agreements (1,505 ) Long-term debt and accrued interest payable (767,924 ) Other liabilities (1,837 ) Variable Interest Entities: VIE loans and long-term debt 12,562 Asset/liability fair value adjustments impacting Reorganization items 1,228,251 Adjustment to deferred tax provision — Gain on fresh start adjustments $ 1,228,251 • Deferred acquisition costs — These deferred costs do not represent future cash flows and therefore the fair value is zero at the Fresh Start Reporting Date. • Loans — The fair value adjustment for this line item relates to non-VIE loans that have historically been reported at their outstanding principal balance. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for each of these financial instruments. Subsequent to the Fresh Start Reporting Date, the fair value discounts are accretable to interest income using the effective interest method over the remaining lives of the loans. Fair value as of April 30, 2013 was calculated using a discounted cash flow approach. As of April 30, 2013, the loans had a principal-weighted average life of 6.81 years and a coupon rate of 5.01% . Discount rates used to determine the fair value of the loans at April 30, 2013 were consistent with the credit quality of the borrowers and had a weighted average of 9.71% . • Insurance intangible asset — Pursuant to the business combinations guidance for insurance entities in the Financial Services-Insurance Topic of the ASC, Successor Ambac accounted for the insurance and reinsurance assets and liabilities acquired as new contracts, and measured them at fair value in two components as follows: a. Insurance and reinsurance assets and liabilities measured in accordance with Successor Ambac’s accounting policies for insurance and reinsurance contracts that it issues or holds, as further described in Note 2. Basis of Presentation and Significant Accounting Policies . These insurance and reinsurance assets and liabilities primarily comprise premium receivables, reinsurance recoverable on paid and unpaid losses, deferred ceded premium, subrogation recoverable, losses and loss expense reserve, unearned premiums and ceded premiums payable; and b. An insurance intangible asset representing the difference between: 1) the fair value of the contractual insurance and reinsurance assets acquired and liabilities assumed and 2) the amounts described in (a) above. Refer to Note 2. Basis of Presentation and Significant Accounting Policies for the subsequent accounting treatment of the insurance intangible asset. The significant differences between the measurement methods used for fair value and Successor Ambac’s accounting policies for insurance and reinsurance contracts which impact the magnitude of the insurance intangible asset are as follows: Measurement input Fair value methodology (Refer to Note 10) Successor Ambac accounting policy (Refer to Note 2) Cash flows All projected cash flows to be paid and/or received under the insurance contract are based on management’s expectations of how a market participant would make such estimates. Premium receipts are projected based on management’s expectations if the insured obligation is a homogenous pool of assets. For non-homogenous contracts, premium projections are based on contractual cash flows. Loss payments, including subrogation recoveries, are projected using a probability-weighted average of all possible outcomes. Discount rates Discount rates are applied to net cash flows at the policy level as follows: Insurance policies which are in a liability (i.e. net cash outflow) position are discounted using rates which incorporate Ambac’s own credit risk, under the assumption we will be transferring the policies to a market participant with similar credit risk. Insurance policies which are in an asset (i.e. net cash inflow) position are discounted using a hypothetical buyer’s cost of capital and does not assume we would be transferring the policies to a party with similar credit risk. Discount rates are applied to gross cash flows at the policy level as follows: Premiums are discounted at the relevant risk-free rate based on the remaining expected or contractual weighted-average life of the exposure, as applicable. Losses, including subrogation recoveries, are discounted at the relevant risk-free rate. Profit margin For insurance policies in a net liability position (i.e. net cash outflow) a profit margin is applied to the discounted value, which represents the additional consideration another market participant would require from Ambac to assume the contract. At April 30, 2013, a profit margin of 17% was applied to the discounted value of insurance policies in a net liability position. No profit margin is applied. • Goodwill — This amount represented the excess of the reorganization value over the fair value of identified tangible and intangible assets of the emerging company. Changes in the fair values of these assets and liabilities from the current estimated values, as well as changes in assumptions, could significantly impact the amount of recorded goodwill. Accordingly, there can be no assurance that the estimates, assumptions, and values reflected in the valuations will be realized, and actual results could vary materially. Please refer to the above table located immediately prior to the Reorganized Condensed Consolidated Balance Sheet which indicates how goodwill was determined. Refer to Note 2. Basis of Presentation and Significant Accounting Policies for the subsequent accounting treatment of goodwill. • VIE loans and long-term debt — The portion of VIE loans and long-term debt that had not been carried at fair value have been adjusted to fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for VIE assets and liabilities. Subsequent to the Fresh Start Reporting Date, we have elected to continue accounting for these VIEs 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. As a result, subsequent changes to fair value will be recorded as Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Valuation of the long-term debt not previously reported at fair value was determined from third-party quotes. The related VIE loans were valued at April 30, 2013 using a discounted cash flow approach with a discount rate of 5.7% , consistent with the rate implied from the fair value of the VIE’s debt. • Obligations under investment agreements — These instruments had previously been reported at their principal value less unamortized discount. We have adjusted these items to fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for obligations under investment agreements. The fair value discounts and premiums to principal will be amortized into interest expense using the effective interest method over the lives of the respective contracts. Fair values were determined using discounted cash flows at April 30, 2013. Valuation of collateralized obligations represents projected cash flows discounted at LIBOR. Valuation of uncollateralized obligations were discounted using a weighted average discount rate of 9.4% consistent with the credit adjusted discount rate of Ambac Assurance, which provides a financial guarantee for all investment and repurchase agreements. • Long-term debt and accrued interest payable — All debt liabilities subject to the Reorganization Plan were discharged. The remaining long-term debt is primarily related to surplus notes and junior surplus notes issued by Ambac Assurance and the Segregated Account, which were carried at their face value less unamortized discount. The notes have been adjusted to estimated fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value. The fair value discount will be amortized into interest expense using the effective interest method over the lives of the respective debt. Surplus notes issued in June 2010 were valued at April 30, 2013 using a discounted cash flow approach corroborated by third party quotes. Internally estimated cash flows were discounted at 10.6% . To the extent that the remaining surplus notes rank pari passu with the June 2010 notes, valuations were determined using projected cash flows discounted at the same 10.6% . Junior surplus notes which cannot be paid until all principal and interest is paid on the other surplus notes were valued with projected cash flows discounted at 16.6% . • Other liabilities — This amount reflects an adjustment, based on actuarial evaluation, to re-measure the accumulated postretirement benefit obligation as of the Effective Date, as a result of application of fresh start reporting. This adjustment primarily reflects changes in mortality assumptions. • Deferred taxes — Deferred taxes were determined in conformity with the accounting requirements for the Income Tax Topic of the ASC. As a result of Fresh Start, a new deferred tax liability was established to recognize the tax effect of the fair value adjustments to identified tangible and intangible assets of the emerging company. This deferred tax liability adjustment was offset by a reduction in the deferred tax valuation allowance, resulting in no change to the deferred tax provision. (D) Reflects the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders and the fair value adjustment of noncontrolling interests, as follows: Common stock $ (3,080 ) Additional paid-in-capital (2,172,027 ) Accumulated other comprehensive income (800,260 ) Accumulated deficit 2,948,275 Common stock held in treasury at cost 410,695 Noncontrolling interest fair value adjustment (383,603 ) (1) Net adjustment $ — (1) Non-controlling interest is primarily related to Ambac Assurance preferred stock issued to third parties. Non-controlling interest was adjusted to fair value based on current quotes from market sources. Noncontrolling interest is a component of equity and as a result, the fair value adjustment is a permanent item that will not be accreted into income. |
Special Purpose Entities, Inclu
Special Purpose Entities, Including Variable Interest Entities | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Special Purpose Entities, Including Variable Interest Entities | 4. SPECIAL PURPOSE ENTITIES, INCLUDING VARIABLE INTEREST ENTITIES ("VIEs") Ambac, with 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 sponsors 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. As further described in Note 1. Background and Business Description , on August 28, 2014, Ambac monetized its ownership of the junior surplus note issued to it by the Segregated Account by depositing the junior surplus note into a newly formed VIE trust in exchange for cash and an owner trust certificate, which represents Ambac's right to residual cash flows from the junior surplus note. Ambac does not consolidate the VIE. Ambac reports its interest in the VIE as an equity investment within Other investments on the Consolidated Balance Sheets with associated results included within Net investment income: Other investments on the Consolidated Statements of Total Comprehensive Income (Loss). 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 could occur in connection with insurance policies that are 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. Assets and liabilities of VIEs that are consolidated as a result of Ambac's variable interest arising from financial guarantees written by Ambac's subsidiaries are reported within Variable interest entity assets or Variable interest entity liabilities on the Consolidated Balance Sheets. Results from such VIEs are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income. 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 10. Fair Value Measurements for further information on the valuation technique and inputs used to measure the fair value of Ambac’s equity interest in these entities. At December 31, 2015 and 2014 the fair value of these entities are $8,696 and $12,036 , 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 December 31, 2015 . Total principal amount of debt outstanding was $454,290 and $457,960 at December 31, 2015 and 2014 , 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 December 31, 2015 and weighted average life of 5.9 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. As of December 31, 2015 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 (Loss). 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. 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 were consolidated because Ambac Assurance was involved in their design and held a significant amount of the beneficial interests issued by the VIEs or guaranteed the assets held by the VIEs. There was no VIE debt outstanding to third parties under this secured borrowing transaction as of December 31, 2015 and 2014 . The third party 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. In July 2015, Ambac Assurance entered into a secured borrowing transaction whereby it sold 17 Ambac insured residential mortgage-backed securities (the "Securities") and all rights associated therewith as of May 31, 2015, to a Delaware statutory trust (the "Trust") in exchange for an equity certificate in the Trust, all financial guarantee claim payments associated with the Securities and cash of $146,000 (prior to expenses associated with the transaction). The Securities had par and fair value of $377,837 and $396,100 as of December 31, 2015 , respectively. Although the Securities were legally sold to the Trust, the Securities will remain in Invested assets on the Consolidated Balance Sheets. Refer to Note 11. Investments for further discussion of the restrictions on the invested assets. At the same time, a second Delaware statutory trust (the "Issuer"), issued $146,000 of debt securities and used the proceeds, together with an equity certificate of the Issuer, to purchase from the Trust a certificate secured by and entitling the Issuer to all principal and interest payments (other than financial guarantee claim payments) on the Securities. Interest on the debt securities is payable monthly at an annual rate of one month LIBOR + 2.8% . Both the Trust and the Issuer are consolidated VIEs because Ambac Assurance was involved in their design and holds a significant amount of the beneficial interests issued by the VIEs or guaranteed the assets held by the VIEs. VIE debt outstanding to third parties under this secured borrowing transaction had a carrying value of $130,571 as of December 31, 2015 and is reported in Long-Term Debt on the Consolidated Balance Sheets. 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 Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). 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 insurance 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 December 31, 2015 consolidated VIE assets and liabilities relating to 15 consolidated entities were $14,288,497 and $14,259,776 , respectively. As of December 31, 2014 , consolidated VIE assets and liabilities relating to 15 consolidated entities were $15,126,110 and $15,085,685 , 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 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 December 31, 2015 and 2014 : December 31 2015 2014 Investments: Corporate obligations $ 2,588,556 $ 2,743,050 Total variable interest entity assets: fixed income securities $ 2,588,556 $ 2,743,050 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 December 31, 2015 and 2014 : Estimated fair value Unpaid principal balance December 31, 2015: Loans $ 11,690,324 $ 9,182,284 Long-term debt 12,327,960 11,069,070 December 31, 2014: Loans 12,371,177 10,236,695 Long-term debt $ 12,882,076 $ 11,925,499 Effective April 30, 2013, Ambac was required to consolidate a VIE which resulted in a gain of $385,291 reported in Predecessor Ambac included in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). 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 16 years . Amortization expense for intangible assets for the eight months ended December 31, 2013 was $5,015 , and is included in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). 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. For the year ended December 31, 2015 , Ambac deconsolidated two VIE's; one as a result of the termination of the associated financial guarantee policy and one as a result of the associated financial guarantee exposure matured. There was a gain of $572 reported in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). For the year ended December 31, 2014 , Ambac deconsolidated three VIEs; one as a result of the termination of the associated financial guarantee exposure and two associated with a fully repaid secured borrowing transaction. There was no gain or loss resulting from these deconsolidations. For the eight months ended December 31, 2013, Ambac deconsolidated one VIE, resulting in a loss of $15,273 reported in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Variable Interests in Non-Consolidated VIEs As further described in Note 1. Background and Business Description in the Notes to Consolidated Financial Statements, on August 28, 2014, Ambac monetized its ownership of the junior surplus note issued to it by the Segregated Account by depositing the junior surplus note into a newly formed VIE trust in exchange for cash and an owner trust certificate, which represents Ambac's right to residual cash flows from the junior surplus note. Ambac does not consolidate the VIE. Ambac reports its interest in the VIE as an equity investment within Other investments on the Consolidated Balance Sheets with associated results from operations included within Net investment income: Other investments on the Consolidated Statements of Total Comprehensive Income (Loss). The equity investment had a carrying value of $25,339 as of December 31, 2015 . 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 derivative contracts by major underlying asset classes, as of December 31, 2015 and 2014 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) December 31, 2015: Global structured finance: Collateralized debt obligations $ 980,935 $ 264 $ 3,639 $ (129,525 ) Mortgage-backed—residential 17,081,002 1,279,650 2,680,739 — Other consumer asset-backed 3,853,443 47,346 535,090 — Other commercial asset-backed 2,393,805 104,033 94,191 — Other 3,286,568 81,017 461,364 16,604 Total global structured finance 27,595,753 1,512,310 3,775,023 (112,921 ) Global public finance 28,586,582 377,412 427,299 (24,860 ) Total $ 56,182,335 $ 1,889,722 $ 4,202,322 $ (137,781 ) December 31, 2014: Global structured finance: Collateralized debt obligations $ 1,386,100 $ 345 $ 4,000 $ (145,565 ) Mortgage-backed—residential 16,202,408 1,011,888 2,924,987 — Other consumer asset-backed 5,109,776 65,204 885,572 (36,877 ) Other commercial asset-backed 3,119,891 135,215 128,988 — Other 3,801,382 97,345 599,915 18,176 Total global structured finance 29,619,557 1,309,997 4,543,462 (164,266 ) Global public finance 31,639,004 457,774 533,192 (22,135 ) Total $ 61,258,561 $ 1,767,771 $ 5,076,654 $ (186,401 ) (1) Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts plus Deferred Amounts and accrued and unpaid interest thereon. Ambac’s maximum exposure to loss does not include 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) Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets. |
Comprehensive Income
Comprehensive Income | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Comprehensive Income | 5. 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 (1) Amortization of (1) Gain (Loss) on (1) Total Year Ended December 31, 2015: Beginning Balance $ 210,693 $ 10,031 $ (441 ) $ 220,283 Other comprehensive income before reclassifications (131,976 ) 193 (44,651 ) (176,434 ) Amounts reclassified from accumulated other comprehensive income (27,754 ) (880 ) — (28,634 ) Net current period other comprehensive income (loss) (159,730 ) (687 ) (44,651 ) (205,068 ) Balance at December 31, 2015 $ 50,963 $ 9,344 $ (45,092 ) $ 15,215 Year Ended December 31, 2014: Beginning Balance $ (41,910 ) $ 10,847 $ 42,724 $ 11,661 Other comprehensive income before reclassifications 285,565 — (43,165 ) 242,400 Amounts reclassified from accumulated other comprehensive income (32,962 ) (816 ) — (33,778 ) Net current period other comprehensive income (loss) 252,603 (816 ) (43,165 ) 208,622 Balance at December 31, 2014 $ 210,693 $ 10,031 $ (441 ) $ 220,283 (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 (1) Affected Line Item in the Details about Accumulated Other Year Ended December 31, Consolidated Statement of Comprehensive Income Components 2015 2014 Total Comprehensive Income Unrealized Gains (Losses) on Available-for-Sale Securities $ (27,754 ) $ (32,962 ) Net realized investment gains — — Tax (expense) benefit $ (27,754 ) $ (32,962 ) Net of tax and noncontrolling interest (3) Amortization of Postretirement Benefit Prior service cost $ (666 ) $ (664 ) Underwriting and operating expenses (2) Actuarial gains (losses) (214 ) (152 ) Underwriting and operating expenses (2) (880 ) (816 ) Total before tax — — Tax (expense) benefit (880 ) (816 ) Net of tax and noncontrolling interest (3) Total reclassifications for the period $ (28,634 ) $ (33,778 ) Net of tax and noncontrolling interest (3) (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. (3) Amount agrees with amount reported as reclassifications from AOCI in the disclosure about changes in AOCI balances. |
Net Income Per Share
Net Income Per Share | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Net Income Per Share | 6. 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. The earnings per share information for Predecessor Ambac is not meaningful to investors in Successor Ambac’s common stock and warrants. 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 years ended December 31, 2015 , 2014 and 2013 , 740 , 949 , and 6,312 , warrants, respectively, were exercised, resulting in an issuance of 236 , 949 and 2,524 shares of common stock. On June 30, 2015, the Board of Directors of Ambac authorized the establishment of a warrant repurchase program that permits the repurchase of up to $10,000 of warrants. As of December 31, 2015 , Ambac had repurchased 631,600 warrants at a cost of $5,375 , leaving 4,407,537 warrants outstanding. Basic net income per share is computed by dividing net income attributable to common shareholders 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 shareholders 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 and unvested options, restricted stock units and performance stock units granted under employee and director compensation plans. The following table provides a reconciliation of the common shares used for basic net income per share to the diluted shares used for diluted net income per share: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Basic weighted average shares outstanding 45,173,542 45,093,304 45,003,925 302,469,544 Effect of potential dilutive shares: Warrants 809,834 1,786,804 1,297,620 — Stock options 5,313 9,807 — — Restricted stock units 14,221 37,812 1,189 109,701 Performance stock units 3,117 5,526 — — Diluted weighted average shares outstanding 46,006,027 46,933,253 46,302,734 302,579,245 Anti-dilutive securities for the year ended December 31, 2015 included stock options to purchase 110,000 shares of common stock where the exercise price was greater than the average market price. Anti-dilutive securities for the the eight months ended December 31, 2013 included stock options to purchase 66,668 shares of common stock. |
Financial Guarantees in Force (
Financial Guarantees in Force (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Guarantees [Abstract] | |
Financial Guarantees in Force | 7. FINANCIAL GUARANTEES IN FORCE Financial guarantees outstanding includes the exposures of policies that insure variable interest entities (“VIEs”) consolidated in accordance with ASC Topic 810, Consolidation. Financial guarantees outstanding includes the exposure of policies that insure capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy. Financial guarantees outstanding excludes the exposures of policies that insure bonds which have been called, pre-refunded or refunded. The gross par amount of financial guarantees outstanding was $119,235,000 and $159,688,000 at December 31, 2015 and 2014 , respectively. The par amount of financial guarantees outstanding, net of reinsurance, was $108,299,000 and $144,734,000 at December 31, 2015 and 2014 , respectively. As of December 31, 2015 and 2014 , the guarantee portfolio was diversified by type of guaranteed bond as shown in the following table: Net Par Outstanding December 31 2015 2014 Public Finance: Lease and tax-backed revenue $ 22,060,000 $ 33,411,000 General obligation 15,946,000 22,699,000 Utility revenue 8,218,000 11,687,000 Housing revenue 6,810,000 7,108,000 Transportation education 5,589,000 7,738,000 Higher education 3,439,000 6,389,000 Health care revenue 2,234,000 3,106,000 Other 1,140,000 1,310,000 Total Public Finance 65,436,000 93,448,000 Structured Finance: Mortgage-backed and home equity 11,387,000 13,686,000 Investor-owned utilities 4,921,000 5,411,000 Student loan 2,323,000 3,390,000 Asset-backed (1) 1,140,000 1,335,000 CDOs 306,000 637,000 Other 1,737,000 1,875,000 Total Structured Finance 21,814,000 26,334,000 International Finance: Investor-owned and public utilities 7,208,000 8,455,000 Sovereign/sub-sovereign 6,218,000 6,758,000 Asset-backed (1) 3,870,000 4,442,000 Transportation 2,118,000 3,425,000 Mortgage-backed and home equity 347,000 410,000 CDOs 190,000 233,000 Other 1,098,000 1,229,000 Total International Finance 21,049,000 24,952,000 Total $ 108,299,000 $ 144,734,000 (1) At December 31, 2015 and 2014 , all asset-backed net par amounts outstanding relate to commercial asset-based transactions. As of December 31, 2015 and 2014 , the International Finance guaranteed portfolio is shown in the following table by location of risk: Net Par Outstanding December 31 2015 2014 United Kingdom $ 15,494,000 $ 17,998,000 Australia 1,851,000 2,168,000 Italy 948,000 1,415,000 Austria 737,000 841,000 France 288,000 88,000 Internationally diversified (1) 974,000 1,225,000 Other international 757,000 1,217,000 Total International Finance $ 21,049,000 $ 24,952,000 (1) Internationally diversified obligations represent pools of geographically diversified exposures which may include components of U.S. exposure. Gross financial guarantees in force (principal and interest) was $188,853,000 and $253,383,000 at December 31, 2015 and 2014 , respectively. Net financial guarantees in force (after giving effect to reinsurance) was $171,000,000 and $228,890,000 as of December 31, 2015 and 2014 , respectively. In the United States, California and New York were the states with the highest aggregate net par amounts in force, accounting for 14.3% and 5.3% of the total at December 31, 2015 , respectively. No other state accounted for more than 5.0% . The highest single insured risk represented 1.6% of the aggregate net par amount guaranteed. |
Insurance Regulatory Restrictio
Insurance Regulatory Restrictions (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Regulatory Assets and Liabilities Disclosure [Abstract] | |
Insurance Regulatory Restrictions | 9. INSURANCE REGULATORY RESTRICTIONS United States Ambac Assurance (exclusive of the Segregated Account which is under the control of OCI via the Segregated Account Rehabilitation Plan and Segregated Account Rehabilitation Proceedings) and Everspan are subject to the insurance laws and regulations of each jurisdiction in which it is licensed, some of which are described below. Failure to comply with applicable insurance laws and regulations (including, without limitation, minimum surplus requirements, aggregate risk limits and single risk limits) could expose Ambac Assurance or Everspan to fines, the loss or suspension of insurance licenses in certain jurisdictions, the imposition of orders by regulators with respect to the conduct of business by Ambac Assurance or Everspan and/or the inability to pay dividends, all of which could have an adverse impact on our business results. New York’s comprehensive financial guarantee insurance law defines the scope of permitted financial guarantee insurance and governs the conduct of business of all financial guarantors licensed to do business in New York, including Ambac Assurance. The New York financial guarantee insurance law also establishes single risk and aggregate limits with respect to obligations insured by financial guarantee insurers. Such single risk limits are specific to the type of insured obligation (for example, municipal or asset-backed). Under the aggregate limits, policyholders’ surplus and contingency reserves must at least equal a percentage of aggregate net financial guarantee liability that is equal to the sum of various percentages of aggregate net liability for various categories of specified obligations. Wisconsin laws and regulations applicable to financial guarantors, as well as the laws of several other states, are less comprehensive than New York law and relate primarily to single and aggregate risk limits. As a result of the increased statutory capital at December 31, 2015 , Ambac Assurance is in compliance with applicable regulatory aggregate risk limits but not in compliance with applicable regulatory single risk limits. Through run-off of the portfolio, Ambac Assurance will seek to reduce its exposure to no more than the permitted single risk amounts, but may not be able to do so. Everspan is in compliance with all of such limits. Ambac Assurance’s statutory financial statements are prepared on the basis of accounting practices prescribed or permitted by OCI. OCI recognizes only statutory accounting practices prescribed or permitted by the State of Wisconsin for determining and reporting the financial condition and results of operations of an insurance company for determining its solvency under Wisconsin Insurance Law. The National Association of Insurance Commissioners (“NAIC”) Accounting Practices and Procedures manual (“NAIC SAP”) has been adopted as a component of prescribed practices by the State of Wisconsin. Ambac Assurance’s statutory policyholder surplus and qualified statutory capital were $624,795 and $1,015,676 at December 31, 2015 , respectively as compared to $100,000 and $268,353 as of December 31, 2014 , respectively. The Segregated Account reported statutory policyholder surplus of $387,633 and $239,280 as of December 31, 2015 and 2014 , respectively. At December 31, 2015 Ambac Assurance’s surplus as regards to policyholders exceeds the Minimum Surplus Amount. At December 31, 2014 , Ambac Assurance's surplus as regards to policyholders was at the Minimum Surplus Amount and therefore $149,482 of the Segregated Account’s insurance liabilities were not assumed by Ambac Assurance under the Reinsurance Agreement. Statutory capital and surplus differs from stockholders’ equity determined under GAAP principally due to statutory accounting rules that treat loss reserves, consolidation of subsidiaries, premiums earned, policy acquisition costs and deferred income taxes differently. Additionally, Fresh Start accounting is not applicable under statutory accounting principles. The Wisconsin Insurance Commissioner has prescribed or permitted additional accounting practices for Ambac Assurance and the Segregated Account of Ambac Assurance. As a result of the prescribed and permitted practices discussed below, Ambac Assurance’s statutory surplus at December 31, 2015 and 2014 was higher by $21,260 and $168,085 , respectively, than if Ambac Assurance had reported such amounts in accordance with NAIC SAP. • OCI has prescribed an accounting practice related to the total liabilities and total surplus of the Segregated Account that are reported as discrete components of Ambac Assurance’s liabilities and surplus reported in Ambac Assurance’s statutory basis financial statements. Pursuant to this prescribed practice, the results of the Segregated Account are not included in Ambac Assurance’s financial statements if Ambac Assurance’s surplus is (or would be) less than the Minimum Surplus Amount. • OCI has prescribed an additional accounting practice that differs from NAIC SAP. Paragraph 7 of Statement of Statutory Accounting Principles No. 60 “Financial Guaranty Insurance” (“SSAP 60”) allows for a deduction from loss reserves for the time value of money by application of a discount rate equal to the average rate of return on the admitted assets of the financial guaranty insurer as of the date of the computation of the reserve. The discount rate shall be adjusted at the end of each calendar year. Additionally, in accordance with paragraph 7 of Statutory Accounting Principles No. 5R “Liabilities, Contingencies and Impairments of Assets - Revised,” Ambac Assurance records probable losses on its subsidiaries for which it guarantees their obligations, using a discount rate equal to the average rate of return on its admitted assets. Ambac Assurance’s average rates of return on its admitted assets at December 31, 2015 and 2014 were 8.06% and 7.87% , respectively. OCI has directed Ambac Assurance to utilize a prescribed discount rate of 5.10% for the purpose of discounting both its loss reserves and its estimated impairment losses on subsidiary guarantees. • OCI has prescribed an additional accounting practice that differs from NAIC SAP. Paragraph 4 of Statement of Statutory Accounting Principles No. 41 “Surplus Notes” (“SSAP 41”) states that proceeds received by the issuer of surplus notes must be in the form of cash or other admitted assets having readily determinable values and liquidity satisfactory to the commissioner of the state of domicile. Under the statutory accounting principles as generally applied, surplus notes issued in conjunction with commutations or the settlement of claims would be valued at zero upon issuance pursuant to paragraph 4, SSAP 41. OCI has directed Ambac Assurance to record surplus notes issued in connection with commutations or the settlement of claims at full par value upon issuance as in these instances the surplus notes did not represent a contribution of capital, but rather a distribution of value from the common and preferred shareholders of Ambac Assurance. The surplus notes issued in connection with commutations or settlement of claims has a claim against surplus senior to the preferred and common shareholders. Beginning with the December 31, 2014 statutory financial statements, Ambac Assurance and the Segregated Account reclassified these surplus notes from policyholder surplus to a liability. This reclassification was because the partial redemption of these surplus notes was required in accordance with the Segregated Account Rehabilitation Plan and the Settlement Agreement to ensure that they are treated pari passu with payments of Deferred Amounts. • OCI has extended the preceding prescribed practice related to surplus notes to the evaluation of other-than-temporary impairments for Ambac Assurance guaranteed securities held in the investment portfolio. Paragraph 35 of Statement of Statutory Accounting Principles No. 43R “Loan-backed and Structured Securities” states that when an other-than-temporary impairment has occurred, the amount of the other-than-temporary impairment recognized as a realized loss shall equal the difference between the investment’s amortized cost basis and the present value of cash flows expected to be collected, discounted at the loan-backed or structured security’s effective interest rate. Under NAIC SAP, the present value of cash flows expected to be collected should include the fair value of surplus notes received from the Segregated Account, as required under the originally confirmed Segregated Account Rehabilitation Plan. OCI has prescribed an accounting practice that differs from NAIC SAP and has directed Ambac Assurance to utilize par value rather than fair value of these surplus notes in this computation. As a result of the amended Segregated Account Rehabilitation Plan becoming effective on June 12, 2014, this prescribed practice is no longer effective. Ambac Assurance has received a new prescribed practice from OCI with regard to the carrying value of investments in Ambac Assurance insured securities with policies that were allocated to the Segregated Account. The new prescribed practice exempts Ambac Assurance from evaluating such investments for other than temporary impairments and requires all such investments be reported at amortized cost regardless of its NAIC risk designation. This accounting determination is intended to recognize that Ambac Assurance continues to maintain statutory loss reserves without adjustment for the economic effects of its ownership of the insured investment securities, improve transparency to the users of the statutory financial statements and to minimize operational risks. • Wisconsin accounting practices for changes to contingency reserves differ from NAIC SAP. Under NAIC SAP, contributions to and releases from the contingency reserve are recorded via a direct charge or credit to surplus. Under the Wisconsin Administrative Code, contributions to and releases from the contingency reserve are to be recorded through underwriting income. Ambac Assurance received permission from OCI to record contributions to and releases from the contingency reserve and the related tax and loss bond impact, in accordance with NAIC SAP. • Ambac Assurance received permission from OCI to report investment holdings of Ambac Assurance insured securities, with coverage under financial guaranty policies that have been allocated to the Segregated Account, as a separate invested asset on the balance sheet rather than combined with other bond investments. This permitted practice only impacts the balance sheet classification and has no impact on the valuation of the securities to which it applies or to statutory surplus. United Kingdom The Prudential Regulatory Authority (“PRA”) and Financial Conduct Authority (“FCA”) (and their predecessor regulator the Financial Services Authority (“FSA”)) have exercised significant oversight of Ambac UK since 2008, after Ambac, Ambac Assurance and Ambac UK began experiencing financial stress. In 2009, Ambac UK’s license to write new business was curtailed by the FSA and the insurance license was limited to undertaking only run-off related activity. As such, Ambac UK is authorized to run-off its credit, suretyship and financial guarantee insurance portfolio in the United Kingdom, and to do the same through a branch in Milan, Italy, and a number of other European Union (“EU”) countries. EU legislation has allowed Ambac UK to conduct business in EU states other than the United Kingdom through a “passporting” arrangement, which eliminates the necessity of additional licensing or authorization in those other EU jurisdictions. The PRA and FCA is the dual statutory regulator responsible for regulating the financial services industry in the United Kingdom, with the purpose of maintaining confidence in the U.K. financial system, providing public understanding of the system, securing the proper degree of protection for consumers and helping to reduce financial crime. In addition, the regulatory regime in the United Kingdom must comply with certain EU legislation binding on all EU member states. The PRA requires that non-life insurance companies such as Ambac UK maintain a margin of solvency at all times in respect of the liabilities of the insurance company, the calculation of which depends on the type and amount of insurance business a company writes. These solvency requirements will be amended in order to implement the European Union's "Solvency II" directive on risk-based capital. The requirements of the Solvency II directive will become effective on January 1, 2016 and, during the course of 2015, Ambac UK has been required to make certain transitional Solvency II-compliant regulatory filings with the PRA. Notwithstanding the foregoing, Ambac UK is deficient in terms of compliance with currently applicable regulatory capital requirements, and is expected to remain deficient in applicable regulatory requirements once the Solvency II directive becomes effective. The PRA and FCA are aware of the same, and dialogue between Ambac UK management and its regulators remains ongoing with respect to options for addressing the shortcoming, although such options remain few. Dividend Restrictions, Including Contractual Restrictions Due to losses experienced by Ambac Assurance, Ambac Assurance has been unable to pay common dividends to Ambac since 2008 and will be unable to pay common dividends in 2016 without the prior consent of the OCI, which is unlikely. Ambac Assurance’s ability to pay dividends is further restricted by the Settlement Agreement (as described below), by the terms of its AMPS (as described below) and by certain covenants made for the benefit of the Segregated Account. See Note 1. Background and Business Description for further information. Subject to the foregoing, pursuant to the Wisconsin Insurance Laws, Ambac Assurance and Everspan may declare dividends, subject to restrictions in their respective articles of incorporation, provided that, after giving effect to the distribution, such dividends would not violate certain statutory equity, solvency, income and asset tests. Board action authorizing a shareholder distribution by Ambac Assurance or Everspan (other than stock dividends) must be reported to the OCI at least 30 days prior to payment. Additionally, no quarterly dividend may exceed the dividend paid in the corresponding quarter of the preceding year by more than 15% without notifying the OCI 30 days in advance of payment. Wisconsin insurance law restricts the payment of dividends in any 12-month period without regulatory approval to the lesser of (a) 10% of policyholders’ surplus as of the preceding December 31, and (b) the greater of (i) statutory net income (loss) for the calendar year preceding the date of the dividend, minus realized capital gains for that calendar year or (ii) the aggregate of statutory net income (loss) for three calendar years preceding the date of the dividend, minus realized capital gains for those calendar years and minus dividends paid or credited within the first two of the three preceding calendar years. In connection with the termination of reinsurance contracts, OCI requires adjustments to the dividend calculation for any surplus or net income gains recognized. Extraordinary dividends must be reported prior to payment and are subject to disapproval by the OCI. UK law prohibits Ambac UK from declaring a dividend to its shareholders unless it has “profits available for distribution.” The determination of whether a company has profits available for distribution is based on its accumulated realized profits less its accumulated realized losses. While the UK insurance regulatory laws impose no statutory restrictions on a general insurer’s ability to declare a dividend, the PRA’s and FCA’s capital requirements in practice act as a restriction on the payment of dividends. Further, the FSA amended Ambac UK’s license in 2010 such that the PRA must specifically approve (“non-objection”) any transfer of value and/or assets from Ambac UK to Ambac Assurance or any other Ambac group company, other than in respect of certain disclosed contracts between the two parties (such as in respect of a management services agreement between Ambac Assurance and Ambac UK). Ambac UK is not expected to pay any dividends to Ambac Assurance for the foreseeable future. Pursuant to the Settlement Agreement Ambac Assurance may not make any “Restricted Payment” (which includes dividends from Ambac Assurance to Ambac) in excess of $5,000 in the aggregate per annum, other than Restricted Payments from Ambac Assurance to Ambac in an amount up to $7,500 per annum solely to pay operating expenses of Ambac. Concurrent with making any such Restricted Payment, a pro rata amount of the surplus notes issued by Ambac Assurance under the Settlement Agreement would also need to be redeemed at par. Under the terms of Ambac Assurance’s Auction Market Preferred Shares (“AMPS”), dividends may not be paid on the common stock of Ambac Assurance unless all accrued and unpaid dividends on the AMPS for the then current dividend period have been paid, provided, that dividends on the common stock may be made at all times for the purpose of, and only in such amounts as are necessary for, enabling Ambac (i) to service its indebtedness for borrowed money as such payments become due or (ii) to pay its operating expenses. If dividends are paid on the common stock as provided in the prior sentence, dividends on the AMPS become cumulative until the date that all accumulated and unpaid dividends have been paid on the AMPS. |
Financial Guarantee Insurance C
Financial Guarantee Insurance Contracts | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Abstract] | |
Financial Guarantee Insurance Contracts | 8. 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: Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2014 April 30, 2013 Beginning premium receivable $ 1,000,607 $ 1,453,021 $ 1,531,631 $ 1,620,621 Premium receipts (108,029 ) (126,497 ) (82,071 ) (48,296 ) Adjustments for changes in expected and contractual cash flows (64,740 ) (322,443 ) (91,241 ) (28,237 ) Accretion of premium receivable discount 24,628 36,651 26,184 14,740 Deconsolidation of certain VIEs — — 45,883 — Uncollectable premiums 2,540 (2,518 ) (15,262 ) (634 ) Other adjustments (including foreign exchange) (23,431 ) (37,607 ) 37,897 (26,563 ) Ending premium receivable $ 831,575 $ 1,000,607 $ 1,453,021 $ 1,531,631 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 December 31, 2015 and 2014 , approximately 27% and 32% of the premium receivables related to transactions with non-investment grade internal ratings, comprised mainly of non-investment grade RMBS, student loan transactions and lease securitizations, which comprised 8% , 5% , and 5% of the total premium receivables at December 31, 2015 and 7% , 8% and 6% of the total premium receivables at December 31, 2014 , respectively. At December 31, 2015 and 2014 , $15,240 and $17,780 respectively, of premium receivables were deemed uncollectable. Past due premiums on policies insuring non-investment grade obligations amounted to less than $500 at December 31, 2015 . The effect of reinsurance on premiums written and earned was as follows: Successor Ambac Predecessor Ambac Year Ended December 31, Period from May 1 through Period from Jan 1 through 2015 2014 December 31, 2013 April 30, 2013 Written Earned Written Earned Written Earned Written Earned Direct $ (37,572 ) $ 336,025 $ (288,310 ) $ 261,634 $ (80,309 ) $ 226,326 $ (14,125 ) $ 138,468 Assumed — 87 — 137 — 65 — 32 Ceded (3,001 ) 23,517 (6,842 ) 15,411 (7,810 ) 12,873 (1,098 ) 8,500 Net premiums $ (34,571 ) $ 312,595 $ (281,468 ) $ 246,360 $ (72,499 ) $ 213,518 $ (13,027 ) $ 130,000 Successor Ambac’s accelerated premium revenue for retired obligations for the years ended December 31, 2015 and 2014 and the eight months ended December 31, 2013 were $137,400 , $29,964 and $56,541 , respectively. Predecessor Ambac’s accelerated premium revenue for retired obligations for the four months ended April 30, 2013 was $36,433 . The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at December 31, 2015 : Future premiums (1) Future (1) Three months ended: March 31, 2016 $ 21,499 $ 32,590 June 30, 2016 19,890 30,882 September 30, 2016 19,839 28,815 December 31, 2016 20,005 27,487 Twelve months ended: December 31, 2017 75,224 99,097 December 31, 2018 70,587 87,270 December 31, 2019 66,891 80,947 December 31, 2020 63,783 76,310 Five years ended: December 31, 2025 264,200 307,812 December 31, 2030 217,422 214,920 December 31, 2035 138,592 126,716 December 31, 2040 43,887 44,078 December 31, 2045 18,989 17,498 December 31, 2050 7,143 7,804 December 31, 2055 601 1,298 Total $ 1,048,552 $ 1,183,524 (1) Future premiums to be collected is undiscounted and 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 Note 2. Basis of Presentation and Significant Accounting Policies , results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected in the future. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which results in higher unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing. Loss and Loss Expense Reserves: A loss reserve is recorded on the balance sheet on a policy-by-policy basis as further described in Note 2. Basis of Presentation and Significant Accounting Policies . Below are the components of the Loss and loss expense reserves liability and the Subrogation recoverable asset at December 31, 2015 and 2014 : Unpaid Claims Present Value of Expected Balance Sheet Line Item Claims Accrued Claims and Recoveries Unearned Gross Loss and December 31, 2015: Loss and loss expense reserves $ 2,138,952 $ 349,668 $ 3,265,349 $ (1,476,276 ) $ (189,587 ) $ 4,088,106 Subrogation recoverable 828,802 141,349 207,674 (2,407,118 ) — (1,229,293 ) Totals $ 2,967,754 $ 491,017 $ 3,473,023 $ (3,883,394 ) $ (189,587 ) $ 2,858,813 December 31, 2014: Loss and loss expense reserves $ 2,172,041 $ 234,802 $ 3,792,133 $ (1,205,621 ) $ (241,348 ) $ 4,752,007 Subrogation recoverable 772,948 94,425 197,751 (2,018,398 ) — (953,274 ) Totals $ 2,944,989 $ 329,227 $ 3,989,884 $ (3,224,019 ) $ (241,348 ) $ 3,798,733 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 May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Beginning gross loss and loss expense reserves $ 3,798,733 $ 5,470,234 $ 5,572,672 $ 6,122,140 Less reinsurance on loss and loss expense reserves 100,355 122,357 138,155 147,409 Beginning balance of net loss and loss expense reserves $ 3,698,378 $ 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 1,183 309 97,342 2,748 Claim and loss expense payments, net of subrogation and reinsurance — (17 ) (442 ) (58 ) Establishment of RMBS subrogation recoveries, net of reinsurance — — (315 ) (159 ) Total current year 1,183 292 96,585 2,531 Prior years: Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance (491,088 ) (269,606 ) (514,728 ) (52,642 ) Claim and loss expense (payments) recoveries, net of subrogation and reinsurance (90,086 ) (1,067,321 ) 59,184 20,902 (Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance (303,633 ) (312,864 ) 272,319 (12,596 ) Total prior years (884,807 ) (1,649,791 ) (183,225 ) (44,336 ) Net change in net loss and loss expense reserves (883,624 ) (1,649,499 ) (86,640 ) (41,805 ) Net consolidation of certain VIEs — — — (498,409 ) Ending net loss and loss expense reserves $ 2,814,754 $ 3,698,378 $ 5,347,877 $ 5,434,517 Add reinsurance on loss and loss expense reserves (1) 44,059 100,355 122,357 138,155 Ending gross loss and loss expense reserves $ 2,858,813 $ 3,798,733 $ 5,470,234 $ 5,572,672 (1) Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables of previously presented loss and loss expenses of $(60) , $(517) , $(1,108) , and, $1,879 as of December 31, 2015 , 2014 , 2013 and April 30, 2013, respectively. The positive development in loss and loss expense reserves for Successor Ambac established in prior years for the year ended December 31, 2015 was primarily due to the impact of a settlement of RMBS litigation for subrogation recoveries, commutations in the student loan portfolio and reduced future claims for both the Ambac UK and RMBS portfolios partially offset by adverse development in certain public finance policies and interest accrued on Deferred Amounts. Refer to Note 1. Background and Business Description for further discussion of the settlement of RMBS litigation. The positive development in loss and loss expense reserves for Successor Ambac established in prior years for the year ended December 31, 2014 was primarily due to improved performance in all sectors, including RMBS, Student Loans, international, municipal and other structured finance, partially offset by the addition of accrued interest on Deferred Amounts pursuant to the amended Segregated Account Rehabilitation Plan. The positive development in loss and loss expense reserves for Successor Ambac established in prior years for the eight months ended December 31, 2014 was primarily due to improved performance of the Student Loan and RMBS portfolios. 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 policies. 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 (Loss) were an expense of $47,085 , $21,164 and $14,106 for the years ended December 31, 2015 and 2014 and the eight months ended December 31, 2013, respectively. For Predecessor Ambac, reinsurance recoveries of losses included in losses and loss expenses in the Consolidated Statements of Total Comprehensive Income (Loss) were a benefit of $3,889 for the four months ended April 30, 2013 . The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at December 31, 2015 and 2014 . 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 December 31, 2015 and 2014 was 2.4% and 2.3% , respectively. Surveillance Categories as of December 31, 2015 I/SL IA II III IV V Total Number of policies 33 14 23 63 157 3 293 Remaining weighted-average contract period (in years) 9 17 26 19 13 6 15 Gross insured contractual payments outstanding: Principal $ 1,830,549 $ 263,288 $ 1,912,237 $ 2,972,615 $ 8,942,730 $ 54,590 $ 15,976,009 Interest 724,940 107,624 6,834,538 1,792,525 2,391,523 16,791 11,867,941 Total $ 2,555,489 $ 370,912 $ 8,746,775 $ 4,765,140 $ 11,334,253 $ 71,381 $ 27,843,950 Gross undiscounted claim liability (1) $ 6,188 $ 5,632 $ 173,930 $ 1,595,525 $ 6,339,537 $ 71,381 $ 8,192,193 Discount, gross claim liability (515 ) (652 ) (96,218 ) (458,805 ) (770,694 ) (6,779 ) (1,333,663 ) Gross claim liability before all subrogation and before reinsurance $ 5,673 $ 4,980 $ 77,712 $ 1,136,720 $ 5,568,843 $ 64,602 $ 6,858,530 Less: Gross RMBS subrogation (2) — — — — (2,841,291 ) — (2,841,291 ) Discount, RMBS subrogation — — — — 11,716 — 11,716 Discounted RMBS subrogation, before reinsurance — — — — (2,829,575 ) — (2,829,575 ) Less: Gross other subrogation (3) — — (12,937 ) (526,957 ) (835,078 ) (13,098 ) (1,388,070 ) Discount, other subrogation — — 3,961 198,643 127,669 3,978 334,251 Discounted other subrogation, before reinsurance — — (8,976 ) (328,314 ) (707,409 ) (9,120 ) (1,053,819 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 5,673 $ 4,980 $ 68,736 $ 808,406 $ 2,031,859 $ 55,482 $ 2,975,136 Less: Unearned premium revenue (3,360 ) (1,796 ) (48,871 ) (63,257 ) (71,848 ) (455 ) (189,587 ) Plus: Loss expense reserves — 66 629 15,090 57,479 — 73,264 Gross loss and loss expense reserves $ 2,313 $ 3,250 $ 20,494 $ 760,239 $ 2,017,490 $ 55,027 $ 2,858,813 Reinsurance recoverable reported on Balance Sheet (4) $ 642 $ 880 $ 85 $ 59,503 $ (17,111 ) $ — $ 43,999 (1) Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (3) Other subrogation primarily represents subrogation-related to excess spread or other contractual cash flows on public finance and structured finance transactions including RMBS. (4) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $44,059 related to future loss and loss expenses and $(60) related to presented loss and loss expenses. Surveillance Categories as of December 31, 2014 I/SL IA II III IV V Total Number of policies 36 26 33 69 160 1 325 Remaining weighted-average contract period (in years) 8 12 15 21 12 6 16 Gross insured contractual payments outstanding: Principal $ 1,026,513 $ 519,291 $ 3,091,744 $ 3,792,559 $ 9,892,760 $ 47 $ 18,322,914 Interest 418,746 212,296 1,878,770 2,765,537 1,979,627 19 7,254,995 Total $ 1,445,259 $ 731,587 $ 4,970,514 $ 6,558,096 $ 11,872,387 $ 66 $ 25,577,909 Gross undiscounted claim liability (1) $ 16,360 $ 11,525 $ 155,488 $ 2,040,402 $ 6,456,139 $ 60 $ 8,679,974 Discount, gross claim liability (1,147 ) (937 ) (16,438 ) (716,812 ) (774,611 ) (3 ) (1,509,948 ) Gross claim liability before all subrogation and before reinsurance $ 15,213 $ 10,588 $ 139,050 $ 1,323,590 $ 5,681,528 $ 57 $ 7,170,026 Less: Gross RMBS subrogation (2) — — — — (2,541,219 ) — (2,541,219 ) Discount, RMBS subrogation — — — — 17,679 — 17,679 Discounted RMBS subrogation, before reinsurance — — — — (2,523,540 ) — (2,523,540 ) Less: Gross other subrogation (3) — — (18,034 ) (127,143 ) (647,110 ) — (792,287 ) Discount, other subrogation — — 6,069 36,779 48,960 — 91,808 Discounted other subrogation, before reinsurance — — (11,965 ) (90,364 ) (598,150 ) — (700,479 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 15,213 $ 10,588 $ 127,085 $ 1,233,226 $ 2,559,838 $ 57 $ 3,946,007 Less: Unearned premium revenue (10,945 ) (3,432 ) (73,749 ) (88,332 ) (64,890 ) — (241,348 ) Plus: Loss expense reserves 3 1,303 1,968 6,470 84,330 — 94,074 Gross loss and loss expense reserves $ 4,271 $ 8,459 $ 55,304 $ 1,151,364 $ 2,579,278 $ 57 $ 3,798,733 Reinsurance recoverable reported on Balance Sheet (4) $ 73 $ 890 $ 1,355 $ 110,957 $ (13,437 ) $ — $ 99,838 (1) Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. (3) Other subrogation primarily represents subrogation related to excess spread or other contractual cash flows on public finance and structured finance transactions, including RMBS. (4) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $100,355 related to future loss and loss expenses and $(517) related to presented loss and loss expenses. 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 . Beginning with the June 30, 2014 reporting period, as a result of gaining further access to loan files, the Random Sample approach has been utilized for all transactions which were previously evaluated using the Adverse Sample approach. 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. Ambac has recorded RMBS subrogation recoveries of $2,829,575 , ( $2,800,149 net of reinsurance) and $2,523,540 , ( $2,496,515 net of reinsurance) at December 31, 2015 and 2014 , respectively. The balance of RMBS subrogation recoveries and the related loss reserves, using Random Samples as the estimation approach, at December 31, 2015 and 2014 , are as follows: Random Samples Approach Gross loss (1) Subrogation (2)(3) Gross loss At December 31, 2015 $ 1,850,804 $ (2,829,575 ) $ (978,771 ) At December 31, 2014 $ 1,897,426 $ (2,523,540 ) $ (626,114 ) (1) Includes unpaid RMBS claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account. (2) The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid and unpaid losses plus the present value of expected cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of 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. Below is the rollforward of RMBS subrogation, by estimation approach, for the affected periods: Random Adverse Total Successor Ambac: Discounted RMBS subrogation (gross of reinsurance) at January 1, 2015 $ 2,523,540 $ — $ 2,523,540 Changes recognized in 2015: Additional transactions reviewed — — — Changes in estimation approach — — — Impact of sponsor actions (2) — — — All other changes (3) 306,035 — 306,035 Discounted RMBS subrogation (gross of reinsurance) at December 31, 2015 $ 2,829,575 $ — $ 2,829,575 Successor Ambac: 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 24,565 — 24,565 Changes in estimation approach (1) 1,417,556 (1,218,681 ) 198,875 Impact of sponsor actions (2) (146,270 ) — (146,270 ) All other changes (3) 273,864 (34,092 ) 239,772 Discounted RMBS subrogation (gross of reinsurance) at December 31, 2014 $ 2,523,540 $ — $ 2,523,540 Successor Ambac: Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013 $ 1,004,252 $ 1,478,666 $ 2,482,918 Changes recognized through December 31, 2013: Additional transactions reviewed 2,451 — 2,451 Changes in estimation approach — — — Impact of sponsor actions (2) — 98 98 All other changes (3) (52,878 ) (225,991 ) (278,869 ) Discounted RMBS subrogation (gross of reinsurance) at December 31, 2013 $ 953,825 $ 1,252,773 $ 2,206,598 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 — — — 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 may not have been subject to a sampling approach, are currently in negotiation or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table. Assumed Reinsurance: Assumed par outstanding was $243,600 and $245,900 at December 31, 2015 and 2014 , respectively. On March 24, 2010, all assumed reinsurance agreements with third parties were allocated to the Segregated Account, which will not allow for cancellations without the approval of the Rehabilitator. Ceded Reinsurance: Ambac Assurance has reinsurance in place pursuant to surplus share treaty and facultative reinsurance agreements. The reinsurance of risk does not relieve Ambac Assurance of its original liability to its policyholders. In the event that any of Ambac Assurance’s reinsurers are unable to meet their obligations under reinsurance contracts, Ambac Assurance would, nonetheless, be liable to its policyholders for the full amount of its policy. Ambac Assurance’s reinsurance assets, including deferred ceded premiums and reinsurance recoverables on losses amounted to $140,757 at December 31, 2015 . Credit exposure existed at December 31, 2015 with respect to reinsurance recoverables to the extent that any reinsurer may not be able to reimburse Ambac Assurance under the terms of these reinsurance arrangements. At December 31, 2015 , there were ceded reinsurance balances payable of $53,494 offsetting this credit exposure. To minimize its credit exposure to losses from reinsurer insolvencies, Ambac Assurance (i) is entitled to receive collateral from its reinsurance counterparties in certain reinsurance contracts; and (ii) has certain cancellation rights that can be exercised by Ambac Assurance in the event of rating agency downgrades of a reinsurer (among other events and circumstances). Ambac Assurance held letters of credit and collateral amounting to $136,167 from its reinsurers at December 31, 2015 . As of December 31, 2015 , the aggregate amount of insured par ceded by Ambac Assurance to reinsurers under reinsurance agreements was $10,936,000 with the largest reinsurer accounting for $9,711,000 or 8.1% of gross par outstanding at December 31, 2015 . The following table represents the percentage ceded to reinsurers and reinsurance recoverable at December 31, 2015 and its rating levels obtained from each reinsurers website as of February 25, 2016 : Reinsurers Moody’s Rating Percentage ceded Par Net unsecured reinsurance recoverable (1) Assured Guaranty Re Ltd NR 88.8% $ 15,347 Sompo Japan Nipponkoa Insurance, Inc. A1 6.2 — Assured Guaranty Corporation A3 5.0 6,934 Total 100% $ 22,281 (1) Represents reinsurance recoverables on paid and unpaid losses and deferred ceded premiums, net of ceded premium payables due to reinsurers, letters of credit, and collateral posted for the benefit of Ambac Assurance. Insurance intangible asset: The insurance intangible amortization expense is included in insurance intangible amortization on the Consolidated Statements of Total Comprehensive Income (Loss) for Successor Ambac. For the years ended December 31, 2015 and 2014 and the eight months ended December 31, 2013, the insurance intangible amortization expense was $169,557 , $151,830 and $99,658 , respectively. As of December 31, 2015 and 2014 , the gross carrying value of the insurance intangible asset was $1,626,566 and $ 1,660,125 , respectively. Accumulated amortization of the insurance intangible asset was $414,454 and $249,205 , as of December 31, 2015 and 2014 , respectively, resulting in a net insurance intangible asset of $1,212,112 and $1,410,920 , respectively. The estimated future amortization expense for the net insurance intangible asset is as follows: 2016 2017 2018 2019 2020 Thereafter $ 111,857 $ 98,570 $ 88,388 $ 81,370 $ 75,743 $ 756,184 |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 10. 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: l Level 1 Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury and other foreign government obligations traded in highly liquid and transparent markets, exchange traded futures contracts, variable rate demand obligations and money market funds. l 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. l 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 December 31, 2015 and 2014 , 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. Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2015: Financial assets: Fixed income securities: Municipal obligations $ 420,770 $ 420,770 $ — $ 420,770 $ — Corporate obligations 1,593,669 1,593,669 — 1,593,669 — Foreign obligations 96,306 96,306 87,808 8,498 — U.S. government obligations 26,687 26,687 26,687 — — U.S. agency obligations 4,212 4,212 — 4,212 — Residential mortgage-backed securities 1,977,338 1,977,338 — 1,488,454 488,884 Collateralized debt obligations 84,267 84,267 — 84,267 — Other asset-backed securities 840,527 840,527 — 840,527 — Fixed income securities, pledged as collateral: U.S. government obligations 64,555 64,555 64,555 — — Short term investments 225,789 225,789 197,398 28,391 — Other investments 310,600 298,095 — 285,261 12,834 Cash and cash equivalents 35,744 35,744 35,744 — — Loans 5,206 5,128 — — 5,128 Derivative assets: Credit derivatives — — — — — Interest rate swaps—asset position 84,886 84,886 — 21,848 63,038 Interest rate swaps—liability position — — — — — Futures contracts 109 109 109 — — Other assets 8,696 8,696 — — 8,696 Variable interest entity assets: Fixed income securities: Corporate obligations 2,588,556 2,588,556 — — 2,588,556 Restricted cash 5,822 5,822 5,822 — — Loans 11,690,324 11,690,324 — — 11,690,324 Total financial assets $ 20,064,063 $ 20,051,480 $ 418,123 $ 4,775,897 $ 14,857,460 Financial liabilities: Obligations under investment agreements $ 100,358 $ 101,400 $ — $ — $ 101,400 Long term debt, including accrued interest 1,481,045 1,235,721 — 132,837 1,102,884 Derivative liabilities: Credit derivatives 34,543 34,543 — — 34,543 Interest rate swaps—asset position (52,128 ) (52,128 ) — (52,128 ) — Interest rate swaps—liability position 370,943 370,943 — 243,256 127,687 Futures contracts — — — — — Liabilities for net financial guarantees written (1) 1,990,831 2,325,859 — — 2,325,859 Variable interest entity liabilities: Long-term debt 12,327,960 12,327,960 — 9,147,790 3,180,170 Derivative liabilities: Interest rate swaps—liability position 1,965,265 1,965,265 — 1,965,265 — Currency swaps—liability position (36,862 ) (36,862 ) — (36,862 ) — Total financial liabilities $ 18,181,955 $ 18,272,701 $ — $ 11,400,158 $ 6,872,543 (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. Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2014: Financial assets: Fixed income securities: Municipal obligations $ 525,792 $ 525,792 $ — $ 525,792 $ — Corporate obligations 1,385,594 1,385,594 — 1,381,786 3,808 Foreign obligations 127,757 127,757 117,282 10,475 — U.S. government obligations 42,979 42,979 42,979 — — U.S. agency obligations 29,486 29,486 — 29,486 — Residential mortgage-backed securities 1,710,955 1,710,955 — 1,516,562 194,393 Collateralized debt obligations 21,122 21,122 — 21,122 — Other asset-backed securities 882,001 882,001 — 882,001 — Fixed income securities, pledged as collateral: U.S. government obligations 64,267 64,267 64,267 — — Short term investments 360,065 360,065 359,565 500 — Other investments 357,016 349,468 — 336,013 13,455 Cash and cash equivalents 73,903 73,903 73,903 — — Loans 5,714 5,634 — — 5,634 Derivative assets: Credit derivatives 2,043 2,043 — — 2,043 Interest rate swaps—asset position 106,974 106,974 — 106,974 — Interest rate swaps—liability position — — — — — Futures contracts — — — — — Other assets 12,036 12,036 — — 12,036 Variable interest entity assets: Fixed income securities: Corporate obligations 2,743,050 2,743,050 — — 2,743,050 Restricted cash 7,708 7,708 7,708 — — Loans 12,371,177 12,371,177 — — 12,371,177 Total financial assets $ 20,829,639 $ 20,822,011 $ 665,704 $ 4,810,711 $ 15,345,596 Financial liabilities: Obligations under investment agreements $ 160,079 $ 161,821 $ — $ — $ 161,821 Long term debt, including accrued interest 1,273,805 1,379,864 — — 1,379,864 Derivative liabilities: Credit derivatives 75,502 75,502 — — 75,502 Interest rate swaps—asset position (54,666 ) (54,666 ) — (54,666 ) — Interest rate swaps—liability position 385,546 385,546 — 243,659 141,887 Futures contracts 562 562 562 — — Other contracts — — — — — Liabilities for net financial guarantees written (1) 2,923,652 4,539,000 — — 4,539,000 Variable interest entity liabilities: Long-term debt 12,882,076 12,882,076 — 11,618,412 1,263,664 Derivative liabilities: Interest rate swaps—liability position 2,133,268 2,133,268 — 2,133,268 — Currency swaps—liability position 66,895 66,895 — 66,895 — Total financial liabilities $ 19,846,719 $ 21,569,868 $ 562 $ 14,007,568 $ 7,561,738 (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 market information through processes such as matrix pricing to determine 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. 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, 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. 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 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 or cannot be reasonably corroborated, fair values are based on internal valuation models. Key inputs to the internal valuation models generally 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. Certain investments in Ambac insured securities for which projected cash flows consist solely of Deferred Amounts and interest thereon, are internally valued based upon the valuation of surplus notes. At December 31, 2015 , approximately 9% , 82% , and 9% 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, 2014 , approximately 10% , 86% , and 4% 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 analyses, 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 additional market data (if available) and/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 by either the pricing source or Ambac management 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 by senior traders and finance managers. 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 $0 and $3,808 at December 31, 2015 and 2014 , 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 December 31, 2014 include the following weighted averages: a. Coupon rate: 0.345% b. Maturity: 19.14 years c. Yield: 4.93% Residential mortgage-backed securities: These securities are guaranteed under policies that are subject to the Segregated Account Rehabilitation Plan and have projected future cash flows consisting solely of Deferred Amounts under such policies including interest thereon. The fair value of such securities classified as Level 3 was $488,884 and $194,393 at December 31, 2015 and 2014 , respectively. Fair value was calculated based on the valuation of Ambac Assurance surplus notes which, under the terms of the Segregated Account Rehabilitation Plan, are to be redeemed in proportion with the payment of Deferred Amounts on or about the dates when such payments are made. Refer to Note 1. Background and Business Description for further description of the Segregated Account Rehabilitation Plan and its impact on the payment of Segregated Account policy claims and surplus note redemptions. 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. Other investments also includes Ambac's interest in a non-consolidated VIE, which is carried under the equity method. Valuation of this equity interest is internally calculated using a discounted cash flow approach and is classified as Level 3. 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. For centrally cleared interest rate swaps, valuations are determined using quotes from the central counterparty. 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 $10,124 and $15,910 at December 31, 2015 and 2014 , 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 $78,728 and $64,547 at December 31, 2015 and 2014 , 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. Derivatives that are less complex may be valued primarily by reference to interest rates and yield curves that are observable and regularly quoted, such as interest rate swaps, we generally 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, an internal model is generally 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 or determined by Ambac’s portfolio risk management group. Fair values of the underlying reference obligations are obtained from broker quotes when available, or are estimated internally. 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 93% of CDS gross par outstanding and 43% of the CDS derivative liability as of December 31, 2015 . When broker quotes for reference obligations are not available, reference obligation prices used in the valuation model are estimated internally based on available market prices or spreads for securities or indices with similar characteristics such as underlying collateral, credit rating and expected life. Internal estimates may also consider historical quotes on the reference obligation, updated for changes in market factors and security specific developments such as credit rating changes. Reference obligation prices derived internally as described above were used in the determination of CDS fair values related to transactions representing 7% of CDS gross par outstanding and 57% of the CDS derivative liability as of December 31, 2015 . 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 reflected 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% = 73.2%. 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 22.7% and 17.8% as of December 31, 2015 and 2014 , respectively. In instances where narrower reference obligation spreads result in a CDS asset to Ambac, those hypothetical future CDS fees are discounted at a |
Investments
Investments | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | 11. INVESTMENTS Ambac’s invested assets are primarily comprised of fixed income securities classified as available-for-sale and equity interests in pooled investment funds. Such equity interests in the form of common stock or in-substance common stock are classified as trading securities and are reported within Other investments on the Consolidated Balance Sheets. Other investments also includes Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on August 28, 2014. The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015 and 2014 were as follows: Amortized Gross Gross Estimated Non-credit other- (1) December 31, 2015 Fixed income securities: Municipal obligations $ 424,048 $ 4,910 $ 8,188 $ 420,770 $ — Corporate obligations 1,610,912 7,089 24,332 1,593,669 — Foreign obligations 96,638 1,491 1,823 96,306 — U.S. government obligations 26,086 789 188 26,687 — U.S. agency obligations 4,239 — 27 4,212 — Residential mortgage-backed securities 1,942,285 99,670 64,617 1,977,338 41,673 Collateralized debt obligations 85,706 42 1,481 84,267 — Other asset-backed securities 802,842 41,177 3,492 840,527 — 4,992,756 155,168 104,148 5,043,776 41,673 Short-term 225,789 1 1 225,789 — 5,218,545 155,169 104,149 5,269,565 41,673 Fixed income securities pledged as collateral: U.S. government obligations 64,612 — 57 64,555 — Total collateralized investments 64,612 — 57 64,555 — Total available-for-sale investments $ 5,283,157 $ 155,169 $ 104,206 $ 5,334,120 $ 41,673 December 31, 2014 Fixed income securities: Municipal obligations $ 523,019 $ 9,769 $ 6,996 $ 525,792 $ — Corporate obligations 1,382,195 12,815 9,416 1,385,594 — Foreign obligations 126,041 3,060 1,344 127,757 — U.S. government obligations 42,328 1,078 427 42,979 — U.S. agency obligations 29,524 — 38 29,486 — Residential mortgage-backed securities 1,557,059 167,396 13,500 1,710,955 7,773 Collateralized debt obligations 21,346 50 274 21,122 — Other asset-backed securities 833,366 48,794 159 882,001 — 4,514,878 242,962 32,154 4,725,686 7,773 Short-term 360,069 — 4 360,065 — 4,874,947 242,962 32,158 5,085,751 7,773 Fixed income securities pledged as collateral: U.S. government obligations 64,378 — 111 64,267 — Total collateralized investments 64,378 — 111 64,267 — Total available-for-sale investments $ 4,939,325 $ 242,962 $ 32,269 $ 5,150,018 $ 7,773 (1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive loss on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2015 and 2014 . The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 347,240 $ 347,359 Due after one year through five years 1,020,940 1,014,416 Due after five years through ten years 914,404 901,252 Due after ten years 169,740 168,961 2,452,324 2,431,988 Residential mortgage-backed securities 1,942,285 1,977,338 Collateralized debt obligations 85,706 84,267 Other asset-backed securities 802,842 840,527 Total $ 5,283,157 $ 5,334,120 Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties. Unrealized Losses: The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at December 31, 2015 and 2014 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2015 Fixed income securities: Municipal obligations $ 117,008 $ 2,070 $ 114,708 $ 6,118 $ 231,716 $ 8,188 Corporate obligations 938,916 21,331 92,581 3,001 1,031,497 24,332 Foreign government obligations 34,904 1,018 8,584 805 43,488 1,823 U.S. government obligations 2,938 18 10,658 170 13,596 188 U.S. agency obligations — — 4,212 27 4,212 27 Residential mortgage-backed securities 584,699 53,367 213,303 11,250 798,002 64,617 Collateralized debt obligations 77,538 1,481 — — 77,538 1,481 Other asset-backed securities 450,690 3,456 19,274 36 469,964 3,492 2,206,693 82,741 463,320 21,407 2,670,013 104,148 Short-term 9,982 1 — — 9,982 1 $ 2,216,675 $ 82,742 $ 463,320 $ 21,407 $ 2,679,995 $ 104,149 Fixed Income securities, pledged as collateral: U.S. government obligations 64,555 57 — — 64,555 57 Total collateralized investments 64,555 57 — — 64,555 57 Total temporarily impaired securities 2,281,230 82,799 463,320 21,407 2,744,550 104,206 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2014 Fixed income securities: Municipal obligations $ 77,788 $ 1,244 $ 135,076 $ 5,752 $ 212,864 $ 6,996 Corporate obligations 453,504 4,998 172,045 4,418 625,549 9,416 Foreign government obligations 20,827 748 14,277 596 35,104 1,344 U.S. government obligations 7,223 154 14,735 273 21,958 427 U.S. agency obligations 25,039 2 4,378 36 29,417 38 Residential mortgage-backed securities 413,203 12,391 10,076 1,109 423,279 13,500 Collateralized debt obligations 5,012 274 — — 5,012 274 Other asset-backed securities 248,823 155 68 4 248,891 159 1,251,419 19,966 350,655 12,188 1,602,074 32,154 Short-term 8,803 4 — — 8,803 4 $ 1,260,222 $ 19,970 $ 350,655 $ 12,188 $ 1,610,877 $ 32,158 Fixed Income securities, pledged as collateral: U.S. government obligations 64,267 111 — — 64,267 111 Total collateralized investments 64,267 111 — — 64,267 111 Total temporarily impaired securities 1,324,489 20,081 350,655 12,188 1,675,144 32,269 Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of December 31, 2015 and 2014 based upon (i) no unexpected principal and interest payment defaults on these securities; (ii) analysis of the creditworthiness of the issuer and financial guarantor, as applicable, and analysis of projected defaults on the underlying collateral; (iii) management has no intent to sell these investments in debt securities; and (iv) it is not more likely than not that Ambac will be required to sell these debt securities before the anticipated recovery of its amortized cost basis. The assessment under (iv) is based on a comparison of future available liquidity from the investment portfolio against the projected net cash outflow from operating activities and debt service. For purposes of this assessment, available liquidity from the investment portfolio is comprised of the fair value of securities for which management has asserted its intent to sell, the fair value of other securities that are available for sale and in an unrealized gain position, trading securities plus the scheduled maturities and interest payments from the remaining securities in the portfolio. To the extent that securities that management intends to sell are in an unrealized loss position, they would have already been considered other-than-temporarily impaired with the amortized cost written down to fair value. Because the above-described assessment indicates that future available liquidity exceeds projected net cash outflow, it is not more likely than not that we would be required to sell securities in an unrealized loss position before the recovery of their amortized cost basis. In the liquidity assessment described above, principal payments on securities pledged as collateral are not considered to be available for other liquidity needs until the collateralized positions are projected to be settled. Projected interest receipts on securities pledged as collateral generally belong to Ambac and are considered to be sources of available liquidity from the investment portfolio. As of December 31, 2015 , for securities that have indications of possible other-than-temporary impairment but which management does not intend to sell and will not more likely than not be required to sell, management compared the present value of cash flows expected to be collected to the amortized cost basis of the securities to assess whether the amortized cost will be recovered. Cash flows were discounted at the effective interest rate implicit in the security at the date of acquisition (or Fresh Start Reporting Date of April 30, 2013 for securities purchased prior to that date) or for debt securities that are beneficial interests in securitized financial assets, at a rate equal to the current yield used to accrete the beneficial interest. For floating rate securities, future cash flows and the discount rate used were both adjusted to reflect changes in the index rate applicable to each security as of the evaluation date. Of the securities that were in a gross unrealized loss position at December 31, 2015 , $953,000 of the total fair value and $69,214 of the unrealized loss related to below investment grade securities and non-rated securities. Of the securities that were in a gross unrealized loss position at December 31, 2014 , $473,656 of the total fair value and $16,001 of the unrealized loss related to below investment grade securities and non-rated securities. With respect to all Ambac insured securities owned, future cash flows used to measure credit impairment represents the sum of (i) the bond’s intrinsic cash flows and (ii) the estimated Ambac Assurance claim payments. For Ambac-insured securities owned guaranteed under policies allocated to the Segregated Account, the estimate of Ambac Assurance claim payments includes interest on Deferred Amounts. Ambac estimates the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities are at the sole discretion of the Rehabilitator. Further modifications to the Segregated Account Rehabilitation Plan or to the rules and guidelines promulgated thereunder, orders from the Rehabilitation Court or actions by the Rehabilitator with respect to the form, amount and timing of satisfying permitted policy claims, or making payments on Deferred Amounts or surplus notes, may have a material effect on the fair value of Ambac insured securities and future recognition of other-than-temporary impairments. Refer to Note 1. Background and Business Description for information relating to the amended Segregated Account Rehabilitation Plan. Ambac’s assessment about whether a decline in value is other-than-temporary reflects management’s current judgment regarding facts and circumstances specific to a security and the factors noted above, including Ambac's intention to sell securities and ability to hold temporarily impaired securities until recovery. If that judgment changes, Ambac may ultimately record a charge for other-than-temporary impairment in future periods. Municipal and corporate obligations The gross unrealized losses on municipal and corporate obligations as of December 31, 2015 are primarily the result of the increase in interest rates since the Fresh Start Reporting Date of April 30, 2013 . These securities are primarily fixed-rate securities with an investment grade credit rating. Management believes that the timely receipt of all principal and interest on these positions is probable . Residential mortgage-backed securities Of the $64,617 of unrealized losses on residential mortgage-backed securities, $63,127 is attributable to Ambac insured securities. The unrealized loss on these securities is primarily the result of discount accretion, which has exceeded the increase in fair value since the Fresh Start Reporting Date of April 30, 2013 . As part of the quarterly impairment review process, management estimates expected future cash flows from residential mortgage-backed securities. This approach includes the utilization of market accepted software models in conjunction with detailed data of the historical performance of the collateral pools, which assists in the determination of assumptions such as defaults, severity and voluntary prepayment rates that are largely driven by home price forecasts as well as other macro-economic factors. Additionally, for Ambac insured securities that are allocated to the Segregated Account, expected future cash flows include assumptions about the timing of Ambac Assurance claim payments, including interest on Deferred Amounts, although the actual timing of such payments are at the sole discretion of the Rehabilitator. These assumptions are used to project future cash flows for each security. Management considered this analysis in making our determination that a credit loss has not occurred at December 31, 2015 on these transactions. Realized Gains and Losses and Other-Than-Temporary Impairments: The following table details amounts included in net realized gains and other-than-temporary impairments included in earnings for the affected periods: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Gross realized gains on securities $ 58,218 $ 63,366 $ 22,983 $ 47,448 Gross realized losses on securities (10,558 ) (9,824 ) (10,347 ) (320 ) Foreign exchange (losses) gains 5,816 5,235 (8,169 ) 6,177 Net realized gains $ 53,476 $ 58,777 $ 4,467 $ 53,305 Net other-than-temporary impairments (1) $ (25,659 ) $ (25,794 ) $ (46,764 ) $ (467 ) (1) Other-than-temporary impairments exclude impairment amounts recorded in other comprehensive income under ASC Paragraph 320-10-65-1, which comprise non-credit related amounts on securities that are credit impaired but which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis. During 2002 and 2003 Ambac recognized investment realized losses relating to its investment in asset-backed notes issued by National Century Financial Enterprises, Inc. (“NCFE”). These notes defaulted and NCFE filed for protection under Chapter 11 of the U.S. Bankruptcy Code in November 2002. In connection with a full and final settlement of a lawsuit brought by NCFE bondholders against Credit Suisse Securities LLC, a subsidiary of Ambac Assurance received cash recoveries of $39,978 in the period from January 1 through April 30, 2013. Additionally, $96 , $35 and $1,441 , of other recoveries were received from NCFE for the years ended December 31, 2015 and 2014 and the eight months ended December31, 2013, respectively. These amounts were recorded within gross realized gains on securities. Since commencement of the Segregated Account Rehabilitation Proceedings, changes in the estimated timing of claim payments have resulted in adverse changes in projected cash flows on certain impaired Ambac insured securities. Such changes in estimated claim payments on Ambac insured securities contributed to net other-than-temporary impairments for the periods presented in the table above. Further changes to the timing of estimated claim payments could result in additional other-than-temporary impairment charges in the future. Successor Ambac’s other-than-temporary impairments also relate to the company’s intent to sell certain securities that were in an unrealized loss position as of the impairment evaluation dates. Future changes in our estimated liquidity needs could result in a determination that Ambac no longer has the ability to hold additional securities that are in an unrealized loss position, which could result in additional other-than-temporary impairment charges. The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities held as of December 31, 2015 and 2014 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Successor Ambac: Balance, beginning of period $ 14,062 $ 1,182 $ — $ 183,300 Additions for credit impairments recognized on: Securities not previously impaired 10,900 12,873 1,185 — Securities previously impaired 6,214 7 — — Reductions for credit impairments previously recognized on: Securities that matured or were sold during the period (1) — — (3 ) (183,300 ) Balance, end of period $ 31,176 $ 14,062 $ 1,182 $ — (1) Includes reductions made in connection with Fresh Start, under which the cost basis of all invested assets were set to fair value as of the Fresh Start Reporting Date. As described in Note 3. Special Purpose Entities, including Variable Interest Entities, adopting Fresh Start results in a new reporting entity with no beginning retained earnings or accumulated deficit. Therefore cumulative credit impairments for Successor Ambac on May 1, 2013 are $0. Counterparty Collateral, Deposits with Regulators and Other Restrictions: Ambac routinely pledges and receives collateral related to certain business lines and/or transactions. Ambac pledges assets it holds in its investment portfolio to investment agreement and derivative counterparties. Securities pledged to investment agreement counterparties may not then be re-pledged to another entity. Ambac’s counterparties under derivative agreements have the right to pledge or rehypothecate the securities and as such, these pledged securities are separately classified on the Consolidated Balance Sheets as “Fixed income securities pledged as collateral, at fair value”. The following table presents (i) the sources of collateral either received from various counterparties where Ambac is permitted to sell or re-pledge the collateral or collateral held directly in the investment portfolio and (ii) how that collateral was pledged to various investment agreement, derivative and repurchase agreement counterparties at December 31, 2015 and 2014 : Fair Value of Fair Value of Cash Fair Value of December 31, 2015: Sources of Collateral: Cash and securities pledged directly from the investment portfolio $ 338,007 $ 108,379 $ 229,628 December 31, 2014: Sources of Collateral: Cash and securities pledged directly from the investment portfolio $ 379,423 $ 156,916 $ 222,507 Securities carried at $6,762 and $6,790 at December 31, 2015 and 2014 , respectively, were deposited by Ambac Assurance and Everspan with governmental authorities or designated custodian banks as required by laws affecting insurance companies. Securities with fair value of $396,100 and $0 at December 31, 2015 and 2014 , respectively, were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a secured borrowing transaction. The securities may not be sold or repledged by the trust. These assets are held and the secured debt issued by entities that qualified as VIEs and were consolidated in Ambac’s consolidated financial statements. Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities for a further description of this transaction. Guaranteed Securities: Ambac’s fixed income portfolio includes securities covered by guarantees issued by Ambac Assurance and other financial guarantors (“insured securities”). The published rating agency ratings on these securities reflect the higher of the financial strength rating of the financial guarantor or the rating of the underlying issuer. Rating agencies do not always publish separate underlying ratings (those ratings excluding the insurance by the financial guarantor) because the insurance cannot be legally separated from the underlying security by the insurer. In the event these underlying ratings are not available from the rating agencies, Ambac will assign an internal rating. The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at December 31, 2015 and 2014 , respectively: Municipal Corporate Mortgage Short-term Total Weighted (1) December 31, 2015: Ambac Assurance Corporation (2) $ 60,836 $ — $ 2,216,317 $ — $ 2,277,153 CC Assured Guaranty Municipal Corporation 57,715 — — — 57,715 A+ National Public Finance Guarantee Corporation 47,846 — — — 47,846 A- MBIA Insurance Corporation — 25,645 — — 25,645 A+ Total $ 166,397 $ 25,645 $ 2,216,317 $ — $ 2,408,359 CCC- December 31, 2014: Ambac Assurance Corporation (2) $ 53,164 $ — $ 2,146,555 $ — $ 2,199,719 CCC- Assured Guaranty Municipal Corporation 119,492 — — — 119,492 A National Public Finance Guarantee Corporation 67,895 — — — 67,895 A- MBIA Insurance Corporation — 32,460 — — 32,460 A+ Total $ 240,551 $ 32,460 $ 2,146,555 $ — $ 2,419,566 CCC (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Includes asset-backed securities with a fair value of $119,802 and $51,395 at December 31, 2015 and 2014 , respectively, insured by Ambac UK . Investment Income: Net investment income was comprised of the following for the affected periods: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Fixed income securities $ 257,404 $ 299,694 $ 147,014 $ 118,097 Short-term investments 299 3,092 1,528 677 Loans 420 529 306 146 Investment expense (8,786 ) (10,477 ) (5,982 ) (2,549 ) Securities available-for-sale and short-term 249,337 292,838 142,866 116,371 Other investments 16,952 8,108 3,580 369 Total net investment income $ 266,289 $ 300,946 $ 146,446 $ 116,740 Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, for periods after August 28, 2014, income from Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on that date. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Net gains recognized during the period on trading securities $ 12,615 $ 6,713 $ 3,580 $ 369 Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period 4,966 (487 ) 1,702 — Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date $ 7,649 $ 7,200 $ 1,878 $ 369 |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 12. 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 December 31, 2015 and 2014 . Gross Gross Net Amounts Gross Net Amount December 31, 2015: Derivative Assets: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 137,015 52,129 84,886 — 84,886 Futures contracts 109 — 109 — 109 Total non-VIE derivative assets $ 137,124 $ 52,129 $ 84,995 $ — $ 84,995 Derivative Liabilities: Credit derivatives $ 34,543 $ — $ 34,543 $ — $ 34,543 Interest rate swaps 370,944 52,129 318,815 176,386 142,429 Futures contracts — — — — — Total non-VIE derivative liabilities $ 405,487 $ 52,129 $ 353,358 $ 176,386 $ 176,972 Variable Interest Entities Derivative Assets: Interest rate swaps $ — $ — $ — $ — $ — Currency swaps 36,862 36,862 — — — Total VIE derivative assets $ 36,862 $ 36,862 $ — $ — $ — Variable interest entities derivative liabilities: Interest rate swaps $ 1,965,265 $ — $ 1,965,265 $ — $ 1,965,265 Currency swaps — 36,862 (36,862 ) — (36,862 ) Total VIE derivative liabilities $ 1,965,265 $ 36,862 $ 1,928,403 $ — $ 1,928,403 December 31, 2014: Derivative Assets: Credit derivatives $ 2,043 $ — $ 2,043 $ — $ 2,043 Interest rate swaps 161,640 54,666 106,974 — 106,974 Futures contracts — — — — — Total non-VIE derivative assets $ 163,683 $ 54,666 $ 109,017 $ — $ 109,017 Derivative Liabilities: Credit derivatives $ 75,502 $ — $ 75,502 $ — $ 75,502 Interest rate swaps 385,546 54,666 330,880 169,573 161,307 Futures contracts 562 — 562 562 — Total non-VIE derivative liabilities $ 461,610 $ 54,666 $ 406,944 $ 170,135 $ 236,809 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,133,268 $ — $ 2,133,268 $ — $ 2,133,268 Currency swaps 66,895 — 66,895 — 66,895 Total VIE derivative liabilities $ 2,200,163 $ — $ 2,200,163 $ — $ 2,200,163 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 $165,073 and $158,240 as of December 31, 2015 and 2014 , respectively. There were no amounts held representing an obligation to return cash collateral as of December 31, 2015 and 2014 . Successor Ambac Location of Gain or (Loss) Amount of Gain or Amount of Gain or Financial Guarantee: Credit derivatives Net change in fair value of credit derivatives $ 41,701 $ 23,906 Financial Services derivatives products: Interest rate swaps Derivative products (41,177 ) (173,615 ) Currency swaps Derivative products — — Futures contracts Derivative products (1,367 ) (7,472 ) Total Financial Services derivative products (42,544 ) (181,087 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities 103,757 24,577 Interest rate swaps Income (loss) on variable interest entities 168,003 (452,434 ) Total Variable Interest Entities 271,760 (427,857 ) Total derivative contracts $ 270,917 $ (585,038 ) Successor Ambac Predecessor Ambac Location of Gain or (Loss) Amount of Gain or Amount of Gain or Financial Guarantee: Credit derivatives Net change in fair value of credit derivatives $ 192,869 $ (60,384 ) Financial Services derivatives products: Interest rate swaps Derivative products 103,846 (30,602 ) Futures contracts Derivative products 10,925 (3,133 ) Total Financial Services derivative products 114,771 (33,735 ) Call options on long-term debt Other income — — Variable Interest Entities: Currency swaps Income (loss) on variable interest entities (890 ) (116 ) Interest rate swaps Income (loss) on variable interest entities 495,712 (203,620 ) Total Variable Interest Entities 494,822 (203,736 ) Total derivative contracts $ 802,462 $ (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 the outstanding credit derivative transactions at December 31, 2015 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 December 31, 2015 and 2014 : December 31 2015 2014 Ambac Rating CLO Other Total CLO Other Total AAA $ — $ — $ — $ — $ — $ — AA 295,254 241,458 536,712 549,923 217,680 767,603 A — 9,322 9,322 — 43,160 43,160 BBB (1) — 356,323 356,323 — 448,249 448,249 Below investment grade (2) — 68,526 68,526 — 270,747 270,747 Total $ 295,254 $ 675,629 $ 970,883 $ 549,923 $ 979,836 $ 1,529,759 (1) BBB internal ratings reflect 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 December 31, 2015 and 2014 : 2015 2014 December 31 CLO Other Total CLO Other Total Number of CDS transactions 5 9 14 6 10 16 Remaining expected weighted-average life of obligations (in years) 1.1 5.6 4.3 1.8 5.4 4.1 Gross principal notional outstanding $ 295,253 $ 675,630 $ 970,883 $ 549,923 $ 979,836 $ 1,529,759 Net derivative liabilities at fair value $ 1,837 $ 32,706 $ 34,543 $ 2,027 $ 71,432 $ 73,459 The maximum potential amount of future payments under Ambac’s credit derivative contracts 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 4. 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 (Loss). 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 risk group tracks credit migration of CDS contracts’ reference obligations from period to period. Adversely classified credits are assigned risk classifications by the risk group. As of December 31, 2015 , there are two credit derivative contracts on Ambac’s adversely classified credit listing, with a net derivative liability fair value of $19,820 and gross notional principal outstanding of $68,526 . As of December 31, 2014 , there were four CDS contracts on Ambac’s adversely classified credit listing, with a net derivative liability fair value of $60,729 and total notional principal outstanding of $270,747 . 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 December 31, 2015 and 2014 the notional amounts of AFS’s trading derivative products are as follows: Notional - December 31, Type of derivative 2015 2014 Interest rate swaps—receive-fixed/pay-variable $ 773,072 $ 782,904 Interest rate swaps—pay-fixed/receive-variable 1,429,644 1,479,650 Interest rate swaps—basis swaps 38,965 55,800 Futures contracts 100,000 80,000 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 December 31, 2015 and 2014 are as follows: Notional - December 31, Type of VIE derivative 2015 2014 Interest rate swaps—receive-fixed/pay-variable $ 1,616,289 $ 1,710,344 Interest rate swaps—pay-fixed/receive-variable 2,796,496 3,152,090 Currency swaps 488,924 724,656 Credit derivatives 15,616 18,278 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 December 31, 2015 and 2014 , the net liability fair value of all derivative instruments with contingent features linked to Ambac’s own credit risk was $95,415 and $92,869 , respectively, related to which Ambac had posted assets as collateral with a fair value of $147,974 and $118,844 , 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 December 31, 2015 , 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 values as reported in Ambac’s financial statements. |
Loans (Notes)
Loans (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Receivables [Abstract] | |
Loans | 13. LOANS Loans had been extended: (i) by VIEs which are consolidated by Ambac under ASC Topic 810 as a result of Ambac’s financial guarantees of the VIEs’ note liabilities and/or assets, and (ii) to certain institutions in connection with various transactions. Loans by consolidated VIEs are generally carried at fair value on the Consolidated Balance Sheets. See Note 4. Special Purpose Entities, Including Variable Interest Entities for further information about VIEs for which the assets and liabilities are carried at fair value. VIE loans that had not been carried at fair value were adjusted to fair value for fresh start reporting. Subsequent to the Fresh Start Reporting Date, we have elected to continue accounting for these VIEs at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC. Other loans had an outstanding principal balance of $6,205 and $6,936 at December 31, 2015 and 2014 , respectively. Interest rates on these loans were 4.75% and 4.68% at December 31, 2015 and 2014 , respectively. The maturity date of these loans was June 2026 as of December 31, 2015 and 2014 . Collectability of these loans is evaluated on an ongoing basis; no loan has been considered impaired and as such no loan impairments have been recorded as of December 31, 2015 and 2014 |
Long-Term Debt (Notes)
Long-Term Debt (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Long-term Debt | 14. LONG-TERM DEBT The carrying value of long-term debt was as follows: December 31 2015 2014 Ambac Assurance: 5.1% surplus notes, general account, due 2020 $ 715,211 $ 696,330 5.1% surplus notes, segregated account, due 2020 31,725 30,479 5.1% junior surplus notes, segregated account, due 2020 247,443 244,307 Secured borrowing 130,571 — Ambac Assurance long-term debt $ 1,124,950 $ 971,116 Variable Interest Entities long-term debt $ 12,327,960 $ 12,882,076 Surplus Notes, General Account Ambac Assurance surplus notes, with a par amount of $881,496 and $893,300 at December 31, 2015 and 2014 , respectively, are reported in long-term debt on the Consolidated Balance Sheet and have a scheduled maturity of June 7, 2020. In 2015, Ambac repurchased $11,804 par amount of these surplus notes. The loss on these repurchases was $1,246 and recognized in Net realized gains (losses) on extinguishment of debt of the Consolidated Statements of Total Comprehensive Income (Loss) for the year ended December 31, 2015 . These surplus notes were issued in connection with the Settlement Agreement and were recorded at their fair value at the date of issuance. Since issuance, Predecessor Ambac had accreted the discount into earnings using the effective interest method, based on an imputed interest rate of 53.9% at the date of issuance. The carrying values of these surplus notes were adjusted to fair value as of the Fresh Start Reporting Date. Subsequent to the Fresh Start Reporting Date, Successor Ambac has accreted the discount based on an imputed interest rate of 10.5% . All payments of principal and interest on the Ambac Assurance surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on the Ambac Assurance surplus notes, such interest will accrue and compound annually until paid. OCI disapproved the requests of Ambac Assurance to pay interest on the outstanding Ambac Assurance surplus notes on their respective scheduled interest payment dates since their issuance. Surplus Notes, Segregated Account The Segregated Account surplus notes, with a par amount of $39,102 and $39,102 at December 31, 2015 and 2014 , respectively, are reported in long-term debt on the Consolidated Balance Sheets and have a scheduled maturity of June 7, 2020. These surplus notes were recorded at their fair value at the date of issuance. Since issuance, Predecessor Ambac had accreted the discount into earnings using the effective interest method, based on an imputed interest rate of 52.8% at the date of issuance. The carrying values of these surplus notes were adjusted to estimated fair value as of the Fresh Start Reporting Date. Subsequent to the Fresh Start Reporting Date, Successor Ambac has accreted the discount based on an imputed interest rate of 10.5% . All payments of principal and interest on the Segregated Account surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on the Segregated Account surplus notes, such interest will accrue and compound annually until paid. OCI disapproved of the requests of the Rehabilitator of the Segregated Account, acting for and on behalf of the Segregated Account, to pay interest on the outstanding Segregated Account surplus notes on their respective scheduled interest payment dates since their issuance. As described in Note 1. Background and Business Description , the Rehabilitator redeemed certain Segregated Account surplus notes (other than junior surplus notes) on November 20, 2014 at a redemption price that included an amount equal to principal plus accrued interest on such redeemed surplus notes. Such redemption also triggered similar proportionate redemption payments on Ambac Assurance surplus notes. The redemption of surplus notes resulted in a charge representing the accelerated recognition of the unamortized discount on the redeemed surplus notes. The unamortized discount on the redeemed portion of Segregated Account and General Account surplus notes were $3,134 and $71,590 , respectively, and recognized in Net realized gains (losses) on extinguishment of debt of the Consolidated Statements of Total Comprehensive Income (Loss) for the year ended December 31, 2014 . Junior Surplus Notes, Segregated Account The Segregated Account junior surplus notes, with a par value of $378,039 and $378,039 at December 31, 2015 and 2014 , respectively, are reported in long-term debt on the Consolidated Balance Sheets and have a scheduled maturity of June 7, 2020, subject to the following restrictions. Principal and interest payments on these junior surplus notes cannot be made until all Ambac Assurance (General Account) and Segregated Account surplus notes are paid in full and after all Segregated Account future and existing senior indebtedness, policy and other priority claims have been paid in full. All payments of principal and interest on the junior surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on the junior surplus notes, such interest will accrue and compound annually until paid. No such approval has been sought or obtained to pay interest on junior surplus notes since their issuance. • Par value at December 31, 2015 and 2014 includes $28,039 of junior surplus notes issued in connection with a settlement agreement (the “OSS Settlement Agreement”) entered into among Ambac, Ambac Assurance, the Segregated Account and One State Street, LLC (“OSS”) with respect to the termination of Ambac’s office lease with OSS. On May 1, 2013, the outstanding principal amount was reduced by $8,043 based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. The principal balance of these notes shall, according to its terms, be further reduced based on rents paid after December 31, 2015 to OSS. In 2015, Ambac Assurance modified this lease agreement to remain through 2019. Part of the the junior surplus notes issued on May 19, 2011 ( $13,056 par value) will be reduced periodically as rent payments are made by Ambac Assurance beginning in January 2016. These junior surplus notes were recorded at their fair value at the dates of issuance. Since issuance, Predecessor Ambac had accreted the discount into earnings using the effective interest method, based on an imputed interest rate of 58.3% at the date of issuance. The carrying values of these surplus notes were adjusted to estimated fair value as of the Fresh Start Reporting Date. Subsequent to the Fresh Start Reporting Date, Successor Ambac has accreted the discount based on an imputed interest rate of 19.5% . • Par value at December 31, 2015 and 2014 includes $350,000 face amount of a junior surplus note originally issued to Ambac pursuant to Ambac's Reorganization Plan in accordance with the Mediation Agreement and that Ambac sold to a Trust on August 28, 2014 (as further described in Note 1. Background and Business Description ). This junior surplus note was recorded at a discount to par based on its fair value on August 28, 2014. Ambac is accreting the discount on this junior surplus note into earnings using the effective interest method, based on an imputed interest rate of 8.4% . Secured Borrowing The secured borrowing, with a par value of $132,467 at December 31, 2015 , is reported in long-term debt on the Consolidated Balance Sheets and has a legal maturity of July 25, 2047. Interest on the secured borrowing is payable monthly at an annual rate of one month LIBOR + 2.8% . Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities for further discussion on the secured borrowing transaction. Variable Interest Entities, Long-term Debt The variable interest entity notes were issued by consolidated VIEs. Ambac is the primary beneficiary of the VIEs as a result of providing financial guarantees on the variable interest notes. Consequently, Ambac has consolidated these variable interest entity notes and all other assets and liabilities of the VIEs. Ambac is not primarily liable for the debt obligations of these entities. Ambac would only be required to make payments on these debt obligations in the event that the issuer defaults on any principal or interest due. The total unpaid principal amount of outstanding long-term debt associated with VIEs consolidated as a result of the financial guarantee provided by Ambac was $10,803,729 and $11,925,499 as of December 31, 2015 and 2014 , respectively. The range of final maturity dates of the outstanding long-term debt associated with these VIEs is November 2018 to December 2047 as of December 31, 2015 , and March 2015 to December 2047 as of December 31, 2014 . As of December 31, 2015 and 2014 , the interest rates on these VIEs’ long-term debt ranged from 0.96% to 13.00% and from 0.69% to 13.00% , respectively. Final maturities of VIE long-term debt for each of the five years following December 31, 2015 are as follows: 2016 - $0 ; 2017 - $0 ; 2018 - $153,978 ; 2019 - $363,498 ; 2020 - $60,665 . |
Obligations Under Investment Ag
Obligations Under Investment Agreements (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Investments Schedule [Abstract] | |
Obligations Under Investment Agreements | 15. OBLIGATIONS UNDER INVESTMENT AGREEMENTS As of December 31, 2015 and 2014 , the carrying value of obligations under investment agreements, including unamortized discounts or premiums to principal, were $100,358 and $160,079 , respectively. As of December 31, 2015 and 2014 , the contractual interest rates for these agreements, which include both fixed and variable, ranged from 0.43% to 0.43% and 0.25% to 6.04% , respectively. Principal due under investment agreements, based on the legal maturity dates, in each of the next five years ending December 31, and the periods thereafter, are as follows: 2016 $ — 2017 100,358 2018 — 2019 — 2020 — All later years — $ 100,358 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | 16. 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 2011 New York City 2011 United Kingdom 2011 Italy 2010 As of December 31, 2015 Ambac had loss carryforwards totaling $4,298,770 . This includes carryforwards of $129,048 relating to U.S. capital losses, $14,936 of Ambac UK loss carryforwards, and an ordinary U. S. federal net operating tax carryforward of approximately $4,154,786 , which, if not utilized, will begin expiring in 2029 , and will fully expire in 2034 . On April 30, 2013, Ambac paid to the United States Department of the Treasury $1,900 and the Segregated Account paid the United States Department of Treasury $100,000 as consideration to settle certain disputes with the Internal Revenue Service. Upon confirmation of payment, Ambac and the Internal Revenue Service entered into a closing agreement on April 30, 2013 which resolved with finality all federal income tax liability of Ambac for the 2003 through 2009 tax years and resolved with finality the federal income tax liability of Ambac for the 2010 tax year solely with respect to items of income, gain, deductions or loss related to the CDS contracts. Ambac relinquished its claim to all net operating loss carry forwards resulting from losses on credit default swap contracts arising on or before December 31, 2010 to the extent such net operating loss carry forwards exceed $3,400,000 . The exact amount of the loss carryforward relinquishment was $1,059,988 . The closing agreement does not resolve the tax treatment of CDS contracts for tax years subsequent to 2010. Upon emergence from bankruptcy, approximately $816,380 of the Net Operating Loss (“NOL”) was reduced for cancellation of indebtedness income and reduction of interest expense pursuant to IRC Section 382(l)(5). The tax effects of temporary differences that give rise to significant portions of the deferred tax liabilities and deferred tax assets at December 31, 2015 and 2014 are presented below: December 31 2015 2014 Deferred tax liabilities: Insurance intangible $ 424,239 $ 493,822 Variable interest entities 10,053 14,149 Investments 66,278 136,017 Unearned premiums and credit fees 98,945 104,589 Other 34,025 33,835 Total deferred tax liabilities 633,540 782,412 Deferred tax assets: Net operating loss and capital carryforward 1,504,569 1,890,551 Loss reserves 122,635 185,881 Compensation 2,839 2,004 AMT Credits 27,252 10,359 Other 9,913 9,539 Sub total deferred tax assets 1,667,208 2,098,334 Valuation allowance 1,035,873 1,318,001 Total deferred tax assets 631,335 780,333 Net deferred tax asset (liability) $ (2,205 ) $ (2,079 ) 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. As a result of 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. Ambac’s provision for income taxes charged to income from continuing operations is comprised of the following: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Current taxes $ 17,077 $ 9,463 $ 6,984 $ 761 Deferred taxes 287 94 530 (6 ) Total $ 17,364 $ 9,557 $ 7,514 $ 755 The total effect of income taxes on net income and stockholders’ equity for the years ended December 31, 2015 , 2014 and 2013 is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Total income taxes charged to net income $ 17,364 $ 9,557 $ 7,514 $ 755 Income taxes charged (credited) to stockholders’ equity: Unrealized gains (losses) on investment securities (55,906 ) 88,411 (14,669 ) (227,945 ) Unrealized gains (losses) on foreign currency translations (15,628 ) (15,108 ) 14,953 7,010 Change in retirement benefits (240 ) (285 ) 3,797 1,594 Valuation allowance to equity 71,774 (73,018 ) (4,081 ) 219,341 Total effect of income taxes $ 17,364 $ 9,557 $ 7,514 $ 755 The tax provisions in the accompanying Consolidated Statements of Total Comprehensive Loss reflect effective tax rates differing from prevailing Federal corporate income tax rates. The following is a reconciliation of these differences: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 $ % $ % $ % $ % Tax on income from continuing operations at statutory rate 178,521 35.0 % 172,639 35.0 % 179,311 35.0 % 1,171,812 35.0 % Changes in expected tax resulting from: Tax-exempt interest (1,454 ) (0.3 )% (6,811 ) (1.4 )% (11,988 ) (2.3 )% (4,996 ) (0.1 )% Goodwill impairment 180,079 35.3 % — — % — — % — — % Foreign taxes 288 0.1 % 3,472 0.7 % — — % — — % Valuation allowance (340,133 ) (66.7 )% (159,661 ) (32.4 )% (160,064 ) (31.2 )% (1,110,230 ) (33.2 )% Reorganization income — — % — — % — — % (712,581 ) (21.3 )% Tax bankruptcy adjustments — — % — — % — — % 285,734 8.5 % IRS Settlement — — % — — % — — % 370,996 11.1 % Other, net 63 — % (82 ) — % 255 — % 20 — % Tax expense on income from continuing operations 17,364 3.4 % 9,557 1.9 % 7,514 1.5 % 755 — % A reconciliation of the beginning and ending amount of unrecognized tax benefits for 2015 and 2014 is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Balance, beginning of period — — — 96,900 Increases related to prior year tax positions — — — — Decreases related to prior year tax positions (1) — — — (96,900 ) Balance, end of period — — — — (1) Amount paid in connection with IRS settlement as noted above. Included in these balances at December 31, 2015 , 2014 , 2013 and April 30, 2013 are $0 , $0 , $0 and $0 , respectively, of unrecognized tax benefits that, if recognized, would affect the effective tax rate. During the Successor period for the years ended December 31, 2015 and 2014 and from May 1 to December 31, 2013, the Predecessor period January 1 to April 30, 2013, Ambac recognized interest of approximately $0 , $0 , $0 and $0 , respectively. Ambac had approximately $0 , $0 , $0 , and $0 for the payment of interest accrued at December 31, 2015 , 2014 , 2013 and April 30, 2013, respectively. Pursuant to the Amended TSA, to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with NOLs (or the proportionate amount of AMT NOL (as defined below)), it is obligated to make payments (“Tolling Payments”), subject to certain credits, to Ambac in accordance with the following NOL usage table, where the “Applicable Percentage” is applied to the aggregate amount of federal income tax liability that would have been paid if the “Allocated NOLs” were not available: NOL Usage Table NOL Usage Tier Allocated NOLs (1) Applicable Percentage A The first $479,000 15% B The next $1,057,000 after Tier A 40% C The next $1,057,000 after Tier B 10% D The next $1,057,000 after Tier C 15% (1) Bankruptcy-related credits offset the first $5 million payment due under each of the NOL usage Tiers A, B and C. Pursuant to the Internal Revenue Service closing agreement the United States Department of Treasury receives 12.5% of Tier C and 17.5% of Tier D Tolling Payments. To the extent Ambac Assurance utilizes Allocated NOLs generated prior to September 30, 2011 greater than $3,650,000 it is obligated to pay Ambac 25% of the federal income tax liability that would have been paid if the NOLs were not available. Ambac Assurance has utilized all of its current post determination date NOLs generated from September 30, 2011 through December 31, 2015 (post determination date NOLs); however, additional post determination date NOLs may be generated in the future. During this time period, Ambac Assurance's cumulative net taxable income was $877,313 , which utilizing all of the $479,000 allocated Tier A NOL and $398,313 of the $1,057,000 allocated Tier B NOL and resulting in accrued Tolling Payments net of applicable credits of $70,911 payable to Ambac on May 1, 2016 (subject to review by the Rehabilitator). Of the bankruptcy related credits available to offset the first $5,000 of payments due under each of the NOL usage Tiers A, B, and C, Ambac Assurance has fully utilized the combined $10,000 of Tier A and Tier B credits. The NOL allocable to AFG as of December 31, 2015 is $1,382,109 . |
Employment Benefit Plans (Notes
Employment Benefit Plans (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |
Compensation and Employee Benefit Plans [Text Block] | 17. EMPLOYMENT BENEFIT PLANS Postretirement Health Care and Other Benefits: Ambac provides postretirement and postemployment benefits, including health and life benefits for certain employees who meet certain age and service requirements. None of the plans are currently funded. For Successor Ambac, postretirement and postemployment benefits expense was $2,570 , $2,249 and $2,101 for the years ended December 31, 2015 and 2014 and eight months ended December 31, 2013, respectively. For Predecessor Ambac, postretirement and postemployment benefits expense was $1,344 for the four months ended April 30, 2013. Effective August 1, 2005, new employees were not eligible for postretirement benefits. In 2013, postretirement benefits offered to retirees were amended such that Ambac would no longer sponsor a health plan beginning in 2014. This required retirees to purchase their own insurance policy with a portion of their premium being reimbursed by Ambac. The unfunded accumulated postretirement benefit obligation was $10,427 as of December 31, 2015 . The assumed health care cost trend rates range from 6.0% in 2016 , decreasing ratably to 4.5% in 2022 . Increasing the assumed health care cost trend rate by one percentage point in each future year would increase the accumulated postretirement benefit obligation at December 31, 2015 , by $1,695 and the 2015 benefit expense by $169 . Decreasing the assumed health care cost trend rate by one percentage point in each future year would decrease the accumulated postretirement benefit obligation at December 31, 2015 by $1,328 and the 2015 benefit expense by $129 . The following table sets forth projected benefit payments from Ambac’s postretirement plan over the next ten years for current retirees: 2016 2017 2018 2019 2020 2021-2025 Total $ 312 $ 319 $ 338 $ 358 $ 368 $ 2,276 $ 3,971 The discount rate used in determining the projected benefit obligations for the postretirement plan is selected by reference to the year-end Moody’s corporate AA rate as well as other high-quality indices with similar duration to that of the benefit plans. The rate used for the projected plan benefit obligations at the measurement date for December 31, 2015 and 2014 was 4.25% and 4.00% , respectively. Savings Incentive Plan: Substantially all employees of Ambac Assurance are covered by a defined contribution plan (the “Savings Incentive Plan”). Ambac Assurance makes employer matching contributions equal 100% of the employees’ contributions, up to 3% of such participants’ base compensation plus 50% of contributions to an additional 2% of base compensation, subject to limits set by the Internal Revenue Code. For Successor Ambac, the total cost of the Savings Incentive Plan was $1,042 , $1,056 and $683 for the years December 31, 2015 and 2014 and eight months ended December 31, 2013, respectively. For Predecessor Ambac, the total cost of the Savings Incentive Plan was $447 for the four months ended April 30, 2013. Incentive Compensation - Stock and Cash: Employees, directors and consultants of Ambac are 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 3,356,429 shares are available for future grant as of December 31, 2015 . In March 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 and long-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 that allows for both cash and equity performance awards to US employees. In 2015, Ambac UK 's Board of Directors adopted a long term incentive plan which provides cash based performance awards to Ambac UK employees. Cash based compensation expense related to performance awards granted to Ambac UK employees was $253 for the year ended December 31, 2015 . Employees of Ambac previously participated in Ambac Financial Group Inc.’s 1997 Equity Plan, which provided for the granting of stock options, stock appreciation rights, restricted stock units, performance units and other awards that were valued or determined by reference to its common stock. The 1997 Equity Plan was cancelled upon Ambac’s emergence from bankruptcy in 2013. No stock grants were made under the 1997 Equity Plan in 2013. The amount of stock-based compensation expense and corresponding after-tax expense are as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Stock options $ 956 $ 444 $ 56 $ — Restricted stock units 1,257 2,816 1,050 — Performance stock units (1) 892 190 — — Total stock-based compensation $ 3,105 $ 3,450 $ 1,106 $ — Total stock-based compensation (after-tax) $ 3,105 $ 3,450 $ 1,106 $ — (1) Represents expense related to performance stock units portion of performance awards. Performance awards, except for performance awards issued to Ambac's Chief Executive Officer, are split evenly between performance stock units and cash. Performance awards issued to Ambac's Chief Executive Officer were all in the form of performance stock units. Cash based compensation expense related to performance awards granted to US employees was $892 and $190 for the years ended December 31, 2015 and 2014 , respectively. Stock Options: Stock options were awarded to directors in 2013 (vested on April 30, 2014) and to the Chief Executive Officer in 2015 (vests January 1, 2016), all with an expiry term of seven years from the grant date. The Company intends to use Treasury shares first and then, if necessary, issue new shares to satisfy stock option exercises. No stock options were awarded in 2014. The Black-Scholes-Merton model was used to estimate the fair value of the service condition based stock options on the grant date. The following assumptions were used in estimating the fair value of options on the grant date: 2015 2013 Risk-free interest rate 1.283 % 0.963 % Expected volatility 42.8 % 50.2 % Dividend yield 0.0 % 0.0 % Expected life 4.13 years 3.33 years Weighted-average grant-date fair value per share $ 8.69 $ 7.50 The expected volatility is based on implied volatilities from traded options on Ambac’s stock, the historical volatility of Ambac’s stock, and the historical volatilities of our peer industry group. Peer group historical volatilities were considered due to the fact that Ambac stock had been traded for a time period less than the expected life of the options. A zero dividend yield was assumed based on the uncertainty of Ambac making dividend payments over the expected life of these options. The risk-free interest rate reflects the U.S. Treasury yield curve in effect at the time of the grant. The expected life represents the period of time that options granted are expected to be outstanding and is based on certain factors we believe will influence exercise behavior. A summary of option activity for 2015 is as follows: Shares Weighted Average Exercise Price Aggregate Intrinsic Value Weighted Average Remaining Contractual Life ( in years) Year Ended December 31, 2015 Outstanding at beginning of period 66,668 $ 20.63 Granted 110,000 24.55 Exercised — — Forfeited or expired — — Outstanding at end of period 176,668 $ 23.07 $ — 5.77 Exercisable 66,668 $ 20.63 $ — 4.98 All stock options granted to directors in 2013 were fully vested during 2014. Stock options issued to the Chief Executive Officer in 2015 remain unvested as of December 31, 2015. Total unrecognized compensation costs related to unvested stock options granted were $0 as of December 31, 2015 . No stock options were exercised during the years ended December 31, 2015 and 2014 , eight months ended December 31, 2013 or four months ended April 30, 2013. Restricted Stock Units (“RSUs”): RSUs were awarded to employees in 2013 that vested in two installments, 50% on the grant date and 50% on the first anniversary of the grant date. RSU awards to employees provided for accelerated vesting upon change in control or death or disability. Such employee RSUs will settle and convert into Ambac shares upon the earlier of (a) the employee’s termination of employment (other than for cause) and (b) the second anniversary of the applicable vesting date. RSUs are awarded annually to directors that vest on the last day of April of the following year. These RSUs will not settle until the respective director’s termination from the board of directors or, if earlier, upon a change in control. All RSUs provide for accelerated vesting upon a change in control, death or disability or involuntary removal other than for cause (not including removal pursuant to a shareholder vote at a regularly scheduled annual meeting of shareholders). Upon termination (other than for cause), the RSUs shall vest as of the date of such termination in an amount equal to the number of then outstanding RSUs multiplied by a fraction, the numerator of which shall be the number of calendar days which have lapsed since the grant date and the denominator of which shall be the total number of calendar days of the original vesting period. In 2015, a RSU award was granted to the Chief Executive Officer under the 2013 Plan. This award will vest in three equal installments on January 1, 2016, 2017 and 2018 ("Time-Based RSUs"). The vesting of the Time-Based RSUs are expressly conditioned upon Mr. Tavakoli's continued service with Ambac as either an employee or as a member of the Board of Directors through the applicable vesting date. As of December 31, 2015 , 208,502 RSUs remained outstanding, of which (i) 78,460 units required future service as a condition to the delivery of the underlying shares of common stock and (ii) 130,042 units did not require future service. As of December 31, 2014 , 185,800 RSUs remained outstanding, of which (i) 33,136 units required future service as a condition to the delivery of the underlying shares of common stock and (ii) 152,664 units did not require future service. A summary of RSU activity for 2015 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 185,800 $ 22.33 Granted 79,281 23.71 Delivered or returned to plan (1) (56,579 ) 20.63 Forfeited — — Outstanding at end of period 208,502 $ 23.32 (1) When restricted stock unit awards issued by Ambac become taxable compensation to employees, shares may be withheld to cover the employee’s withholding taxes. For the year ended December 31, 2015 , Ambac purchased 24,268 of shares from employees that settled restricted stock units to meet the required tax withholdings. Ambac’s closing share price on the grant date was used to estimate the fair value of the service condition based RSU on the grant date. The weighted average grant date fair value of RSUs granted during 2015 , 2014 and 2013 was $23.71 , $30.18 and $20.63 , respectively. As of December 31, 2015 , there was $957 of total unrecognized compensation costs related to unvested RSUs granted. These costs are expected to be recognized over a weighted average period of 0.4 years . The fair value for RSUs vested and delivered during the year ended December 31, 2015 and 2014 , eight months ended December 31, 2013 and four months ended April 30, 2013 was $864 , $37 , $19 and $0 , respectively. Performance Stock Awards ("PSUs"): In 2014 and 2015, performance awards were granted under the LTIP to certain members of management ("LTIP Awards"). These grants vest in 3 years and are evenly split between PSUs and cash. Actual awards will be based on performance at both Ambac and Ambac Assurance. Actual awards can payout 0% to 200% of the number of units granted. Ambac performance will be evaluated relative to cumulative earnings before interest, taxes, depreciation and amortization over the vesting period (exclusive of Ambac Assurance and its subsidiaries' 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. Other than voluntary termination or involuntary termination for cause, and provided that a participant's employment with the Company is not terminated within the first year of the performance period, the performance awards shall partially vest as of the date of such termination in the proportion of the number of calendar days which have lapsed since the grant date and the denominator of which shall be the total number of calendar days of the original vesting period. Settlements of all performance awards shall be within 60 days after the end of the performance period, including those that had a partial vesting. In 2015, a performance award was granted to the Chief Executive Officer under the 2013 Plan. This award will vest upon the emergence of the Segregated Account from rehabilitation (or a similar event as determined in the sole and absolute discretion of the Compensation Committee of Ambac's Board of Directors), provided that such emergence occurs no later than January 1, 2019. A summary of PSU activity for 2015 is as follows: Shares (1) Weighted Average Grant Date Fair Value Outstanding at beginning of period 35,412 $ 29.78 Granted 107,852 24.62 Delivered — — Forfeited (12,719 ) 25.78 Outstanding at end of period 130,545 $ 25.91 (1) Represents performance share units at 100% of units granted for LTIP Awards. As of December 31, 2015 there was $2,382 of total unrecognized compensation costs related to the PSU portion of unvested performance awards, which are expected to be recognized over a weighted average period of 2.1 years . |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 18. COMMITMENTS AND CONTINGENCIES Ambac is responsible for leases on the rental of office space. The executive office of Ambac is located in New York City under a lease agreement that was modified and extended in 2015 to allow Ambac to remain in the same office space through September 2019 and on one floor through the end of 2029, with an option to continue to occupy other currently leased floors through the end of 2029. Rent payments under this lease made through September 2019 will result in the periodic reduction of Segregated Account Junior Surplus Notes that were previously issued to the landlord, beginning in January 2016. Ambac leases additional space for its data center, disaster recovery site and for its international locations under lease agreements that expire periodically through October 2020. An estimate of future net minimum lease payments in each of the next five years ending December 31, and the periods thereafter, is as follows: 2016 2017 2018 2019 2020 Thereafter Total $ 6,529 $ 6,944 $ 6,964 $ 5,691 $ 1,935 $ 15,613 $ 43,676 Successor Ambac rent expense for the aforementioned leases amounted to $5,746 and $5,588 for the years ended December 31, 2015 and 2014 , respectively, and $3,422 for the eight months ended December 31, 2013. Predecessor Ambac rent expense for the aforementioned leases amounted to $1,871 for the four months ended April 30, 2013. The Segregated Account and Wisconsin Rehabilitation Proceeding On March 24, 2010, Ambac Assurance established a segregated account (the “Segregated Account”) and allocated to the Segregated Account certain financial guaranty insurance policies and other contingent liabilities, certain claims and other rights, and certain equity interests in subsidiaries. An insurance rehabilitation proceeding (the “Rehabilitation Proceeding”) was commenced with respect to the Segregated Account in the Wisconsin Circuit Court for Dane County (the “Rehabilitation Court”) on March 24, 2010 by the Commissioner of Insurance of the State of Wisconsin (the “Commissioner”) and the Rehabilitation Court entered an order of rehabilitation for the Segregated Account, appointing the Commissioner as Rehabilitator, and entered orders enjoining certain actions that could have an adverse effect on the financial condition of the Segregated Account. 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. These appeals challenged various provisions of the Segregated Account Rehabilitation Plan and actions the Rehabilitator or the Wisconsin Commissioner of Insurance had taken in formulating the Segregated Account Rehabilitation Plan. These appeals from the Confirmation Order were consolidated with earlier-filed appeals challenging, among other things, the issuance of injunctive relief and a settlement between Ambac Assurance and various financial institutions. 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 various parties. 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 January 17, 2014, the Rehabilitator filed a motion to obtain court approval to disburse settlement proceeds as permitted policy claim payments to specific policyholders as required by a settlement entered into with Residential Capital, LLC and related debtors in bankruptcy proceedings in the U.S. Bankruptcy Court for the Southern District of New York (the “ResCap Settlement”). In addition to seeking this approval with respect to the ResCap Settlement, the motion sought the court’s confirmation of the Rehabilitator’s authority to distribute proceeds from settlements of RMBS remediation claims as he deems appropriate and in the best interests of the Segregated Account and such distributions may include (i) paying claims by making payments in excess of the then applicable claims cash payment percentage, and/or (ii) paying all or portions of unpaid permitted policy claims. On February 7, 2014, three RMBS trustees jointly filed a partial objection to the motion. On February 13, 2014, the Rehabilitation Court heard argument on this motion and issued an order approving the Rehabilitator’s motion. 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 and June 5, 2014, the Rehabilitator filed supplements 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 approved amendments modify the treatment of claims under the Segregated Account Rehabilitation Plan, as more fully described in Note 1. Background and Business Description . Following approval of such amendments by the Rehabilitation Court, the Segregated Account Rehabilitation Plan, as amended, became effective on June 12, 2014, as more fully described in Note 1. Background and Business Description . 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. On August 20, 2014, a group of investors filed a notice of appeal. The appellants’ opening brief was filed on November 5, 2014, the Rehabilitator’s response brief was filed on December 8, 2014, and the appellants’ reply brief was filed on December 23, 2014. On February 27, 2015, the Bank of New York Mellon Trust Company, N.A., as trustee, made a motion for allowance of a policy claim that had been disallowed by the Rehabilitator. The Rehabilitator opposed the motion on March 23, 2015 and the trustee filed a reply in further support of its motion on March 26, 2015. On April 6, 2015, the Rehabilitation Court denied the trustee’s motion. On March 18, 2015, the Rehabilitator filed 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 a certain policy. Objections to the motion were due on April 27, 2015, but no objection was filed. On May 1, 2015, the Rehabilitation Court granted the Rehabilitator’s motion. On February 10, 2016, certain investors filed a motion in the Rehabilitation Court requesting an order directing the Rehabilitator to show cause why the Interim Payment Percentage as set forth in the Segregated Account Rehabilitation Plan, as amended, should not be substantially increased and distributions promptly made to all holders. A hearing on the motion is expected to be held at the end of March 2016. 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) (“Alameda Complaint”); 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) (“Contra Costa Complaint”); 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) (“Olympic Club Complaint”). The Contra Costa Complaint was brought on behalf of five California municipal entities and the non-profit Jewish Community Center of San Francisco. The Alameda Complaint was brought on behalf of nineteen California municipal entities. The Olympic Club Complaint was brought on behalf of the non-profit Olympic Club. The three actions make similar allegations against Ambac Assurance, various other financial guarantee insurance companies and employees thereof (collectively with Ambac Assurance, the “Bond Insurer Defendants”), and, in the case of the Contra Costa Complaint and the Olympic Club Complaint, the major credit rating agencies (the “Rating Agencies”). The actions allege that (1) Ambac Assurance and the other Bond Insurer Defendants colluded with the Rating Agencies to perpetuate a “dual rating system” pursuant to which the Rating Agencies rated the debt obligations of municipal issuers differently from corporate debt obligations, thereby keeping municipal ratings artificially low relative to corporate ratings; (2) Ambac Assurance and the other Bond Insurer Defendants issued false and misleading financial statements and failed to disclose the extent of the insurers’ respective exposures to mortgage-backed securities and collateralized debt obligations; and (3) as a result of these actions, plaintiffs incurred higher interest costs and bond insurance premiums in respect of their respective bond issues. Ambac Financial Group was originally a defendant in each of these actions, but on November 22, 2010, Ambac Financial Group was dismissed without prejudice as a defendant by the plaintiffs in each of these actions. 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). A hearing on the motion was held on March 23, 2012. 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 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 were filed on November 5, 2014. The defendants’ brief in opposition to plaintiffs’ appeal and in further support of their cross-appeal was filed on February 3, 2015. Plaintiffs’ reply brief in further support of their appeal was filed on April 24, 2015. Oral argument was held on February 10, 2016. On February 18, 2016 the California Court of Appeal, First District, issued a decision reversing the lower court’s dismissal of the Cartwright Act claim as against Ambac Assurance and otherwise affirming the lower court’s decision as to Ambac Assurance. NPS LLC v. Ambac Assurance Corporation (United States District Court, District of Massachusetts, filed on July 8, 2008). This action was brought by NPS LLC (“NPS”), the owner of Gillette Stadium, the home stadium of the New England Patriots, with respect to the termination of a financial guarantee insurance policy issued by Ambac Assurance relating to auction rate bonds issued by NPS in 2006. Due to well-documented disruption of the auction rate securities market, the interest rate on the bonds floated to high levels and NPS therefore refinanced the bonds in a fixed rate financing without Ambac Assurance’s involvement. Pursuant to the insurance agreement between NPS and Ambac Assurance, NPS is obligated to pay a “make whole” premium to Ambac Assurance equal to the present value of the installment premiums that Ambac Assurance would have earned through 2017 if the bonds had not been redeemed (approximately $2,700 ). NPS alleged that it is not liable to pay the “make whole” premium because Ambac Assurance misrepresented its financial condition at the time the bonds were issued and that the alleged misrepresentations induced NPS to enter into the insurance agreement, thereby causing NPS to incur additional interest costs in connection with the bonds. NPS also alleged that Ambac Assurance was liable to NPS for the additional interest costs incurred by NPS which resulted from the disruption of the auction rate securities market. On February 25, 2010, the court granted Ambac Assurance’s motion for summary judgment as to all of NPS’s claims and Ambac Assurance’s counterclaim for the “make whole” premium and interest and costs. The parties are awaiting a determination by the court of the amount of Ambac Assurance’s legal fees that NPS will be required to pay. NPS has stated that it intends to appeal the grant of summary judgment in favor of Ambac Assurance. 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). Plaintiffs, alleged owners of Ambac Assurance preferred stock, commenced litigation against Ambac Assurance asserting claims for breach of contract, unjust enrichment, constructive trust, resulting trust and rescission related to Ambac Assurance’s exercise in or about December 2008 of rights under put option agreements with certain trusts. Plaintiffs allege that as a result of the improper exercise of such rights, Ambac Assurance received approximately $800,000 in trust assets from the trusts in exchange for nearly worthless shares of Ambac Assurance preferred stock, which were thereafter delivered to the holders of the securities issued by the trusts. Plaintiffs seek damages, the imposition of a constructive trust, rescission and attorney’s fees. 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 but to date they have not perfected their appeal or filed any appellate brief. Plaintiffs’ deadline for timely perfecting the appeal expired on December 31, 2014. City of New Orleans v. Ambac Assurance Corporation, Ambac Financial Services, LLC, PaineWebber Capital Services, Inc. and UBS Securities LLC (United States District Court, Eastern District of Louisiana, Civil Action No. 08-3949 filed on July 17, 2008). This action was brought by the City of New Orleans ("New Orleans") against Ambac Assurance and Ambac Financial Services on July 17, 2008 in connection with their participation in a New Orleans bond issue. New Orleans issued variable rate demand obligations ("VRDOs"), which were insured by Ambac Assurance, and entered into an interest rate swap agreement with PaineWebber, Inc. in order to fix its interest rate on the VRDOs. PaineWebber in turn entered into an interest rate swap agreement with Ambac Financial Services with terms that mirrored those of the New Orleans/Paine Webber swap. On December 23, 2009, New Orleans filed an Amended Complaint alleging that Ambac Assurance failed to provide credit enhancement as a result of Ambac Assurance's rating being downgraded by the rating agencies in 2008, and seeking damages against Ambac Assurance and Ambac Financial Services for the following causes of action: (1) breach of contract for credit enhancement, (2) unjust enrichment, (3) error in the principal cause, (4) fraud in the inducement of contract, (5) negligent misrepresentation, (6) bad faith, (7) breach of the swap, (8) tortious interference with the swap, (9) breach of and tortious interference with remarketing agreement and (10) detrimental reliance. On October 14, 2010, the Court granted a motion to dismiss all claims against Ambac Assurance and Ambac Financial Services and in late 2011, administratively closed the case and gave New Orleans 180 days to settle or move to re-open the case. In 2014, New Orleans filed a motion to re-open the case as to UBS Securities LLC, which the Court granted. New Orleans and UBS Securities LLC entered into a settlement agreement, and on May 20, 2015, the Court entered a final order and judgment dismissing with prejudice the case against all defendants. The City has appealed the District Court's October 14, 2010 decision to the United States Court of Appeals for the Fifth Circuit and the appeal is fully briefed. Ambac Assurance is defending several lawsuits in which borrowers have brought declaratory judgment actions claiming, among other things, that Ambac Assurance’s claims for specific performance related to the construction and development of housing at various military bases to replace or cash-fund a debt-service-reserve surety bond, as required under the applicable loan documents (see Litigation Filed By Ambac), are time-barred or are barred by the doctrine of laches, that Ambac lacks standing on the basis that there has been an “Ambac Default,” and that Ambac is not entitled to specific performance pursuant to the terms of the loan documents. Specifically, Ambac Assurance is a defendant in the following actions: • Meade Communities LLC v. Ambac Assurance Corporation (Circuit Court, Anne Arundel County, Maryland, Case No. C-02-CV-15-003745). Plaintiff filed this action on December 2, 2015. Ambac Assurance’s answer was served on February 16, 2016. • Bragg Communities, LLC v. Ambac Assurance Corporation (General Court of Justice, Cumberland county, North Carolina, Case No. 15-CVS-9013). Plaintiff filed this action on December 4, 2015. Ambac Assurance filed a motion to dismiss on February 5, 2016. • Monterey Bay Military Housing LLC and Monterey Bay Land LLC v. Ambac Assurance Corporation (Superior Court, Monterey County, California, Case No. 15CV000599). Plaintiff filed this action on December 4, 2015. Ambac Assurance filed an answer on January 19, 2016. 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. 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. Ambac Assurance has periodically received various regulatory inquiries and requests for information with respect to investigations and inquiries that such regulators are conducting. Ambac Assurance has complied with all such inquiries and requests for information. Ambac is involved from time to time in various routine legal proceedings, including proceedings related to litigation with present or former employees. Although Ambac’s litigation with present or former employees is routine and incidental to the conduct of its business, such litigation can result in large monetary awards when a civil jury is allowed to determine compensatory and/or punitive damages for, among other things, termination of employment that is wrongful or in violation of implied contracts. 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 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 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). Ambac Assurance commenced this action to recover from the defendant on account of Ambac Assurance’s payment under a swap termination surety bond. The defendant counterclaimed (as amended on June 12, 2010), alleging breach of contract, breach of the covenant of good faith and fair dealing, violations of California insurance statutes, fraud and promissory estoppel. Defendant claims that, in connection with defendant’s purchase of a bond insurance policy with respect to its variable rate bond issue in September 2005, Ambac Assurance misrepresented the stability of its “AAA” financial strength ratings and subsequently breached an implied covenant by underwriting risky structured obligations that ultimately led to the loss of the “AAA” ratings. On November 14, 2011, the court dismissed the defendant’s amended counterclaim in its entirety upon the motion of Ambac Assurance, and discovery commenced in December 2011. Both parties moved for summary judgment at the conclusion of discovery. 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. At a March 13, 2013 conference, the court requested that the parties prepare submissions regarding the amount of damages and fees Ambac Assurance is entitled to recover. 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 has 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 registered in the Central District. On December 23, 2014, the parties entered into a Judgment Satisfaction and Release Agreement to resolve the matter and in April 2015, when the Agreement became fully effective, the parties dismissed the Authority’s appeal to the Court of Appeals for the Second Circuit and the portion of the action that remained in the District Court and filed instruments of satisfaction of Ambac’s judgment against the Authority in the Southern District of New York and the Central District of California. Ambac Assurance received approximately $ 7,760 in satisfaction of its judgment against the Authority. 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). Ambac Assurance commenced this adversary proceeding, which relates to certain ad valorem taxes that the City levies and collects, in connection with the City of Detroit’s bankruptcy proceeding. On December 9, 2013, defendants filed motions to dismiss the complaint. Ambac Assurance filed an amended complaint on December 23, 2013. In its amended complaint, Ambac Assurance seeks a declaratory judgment that, among other things, (i) under Michigan law, the defendants must segregate the ad valorem tax revenues pledged to pay the City’s general obligation bonds insured by Ambac Assurance and not commingle them with City funds, and such ad valorem tax revenues are restricted funds and cannot be used for any purpose other than to satisfy the City’s payment obligations with respect to its general obligation bonds; (ii) the City lacks any equitable or beneficial property interest in such ad valorem tax revenues and the bondholders have equitable and beneficial property interests therein; (iii) the City’s general obligation bonds insured by Ambac Assurance are secured by, and the bondholders have, a statutory lien on such ad valorem tax revenues, or in the alternative, a security interest therein; (iv) a portion of the ad valorem tax revenues are “special revenues” under the United States Bankruptcy Code and must be applied in accordance therewith; and (v) the City’s diversion of the ad valorem tax revenues or a grant of any post-petition interest therein to any other person without just compensation is an unlawful taking under the Takings Clause of the Fifth Amendment to the United States Constitution. On January 17, 2014, the defendants filed a renewed motion to dismiss. Ambac Assurance opposed the motion. The court heard oral argument on February 19, 2014. In July, 2014, the parties finalized settlement agreements pursuant to which, among other things, the litigation would 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. The Court stayed the litigation on September 16, 2014. Subsequently, on October 6, 2014, on its own initiative, the Court issued an order dismissing the litigation without prejudice to having it reinstated at a later date if necessary. Erste Europäische Pfandbriefund Kommunalkreditbank AG In Luxemburg and Ambac Assurance Corporation v. City of San Bernardino, California (United States Bankruptcy Court, Central District of California, Riverside Division, filed on January 7, 2015). Plaintiffs commenced this adversary proceeding, which relates to the Debtor’s obligations under the Public Employees Retirement Law, California Government Code Section 20000 et seq. (the “Retirement Law”), in connection with the City of San Bernardino’s bankruptcy proceeding. In the complaint, plaintiffs seek a declaratory judgment that the Debtor is obligated to make equivalent payments to both the holders of certain pension obligation bonds (the “Bonds”), a portion of which are insured by Ambac, and the California Public Employees Retirement Systems (“CalPERS”) to fund pension and other retirement benefits. It is the plaintiffs’ position that they are entitled to declaratory judgment because (i) when the City issue the Bonds, the City argued and a California court found, that the obligations under the Bonds were of the same legal character as the City’s obligations to CalPERS and (ii) the amounts owed to the bondholders are to CalPERS are merely separate portions of a single obligation owed by the Debtor under the Retirement Law. Plaintiffs therefore seek equivalent payment as to CalPERS, whether such payment takes for the form of current payments during the bankruptcy proceeding and thereafter, payments otherwise made in connection with the Retirement Law or any agreements entered into in accordance therewith, or distributions under a plan of adjustment. On March 13, 2015, the City filed a motion to dismiss the complaint, which plaintiffs opposed. On May 11, 2015, the court heard oral argument and granted the City’s motion to dismiss. On June 8, 2015, plaintiffs filed a notice of appeal of the court’s order granting the City’s motion to dismiss with the Bankruptcy Appellate Panel for the Ninth Circuit and filed their appellate brief on January 5, 2016. Ambac UK v. J.P. Morgan Investment Management (Supreme Court of the State of New York, County of New York, filed May 4, 2009, No. 650259/2009). Ambac UK commenced this action against J.P. Morgan Investment Management asserting claims for breach of contract, breach of fiduciary duty and gross negligence relating to defendant’s mismanagement of assets supporting bonds issued by Ballantyne Plc and insured by Ambac UK that funded excess reserves for term life insurance required by regulation. (Pursuant to an agreement with Ballantyne Plc, Ambac UK was given the authority to prosecute Ballantyne plc's claims against J.P. Morgan Investment Management.) On March 24, 2010, the court granted defendant's motion to dismiss the complaint. Ambac UK appealed the March 2010 decision and on July 14, 2011, the Appellate Division for the First Department reversed the decision and reinstated Ambac UK's claims in their entirety. Fact and expert discovery have been completed. On January 22, 2016, Ambac UK filed a motion for partial summary judgment seeking a ruling that defendant breached the contract under one of the asserted theories of liability. Assured Guaranty Corp., Assured Guaranty Municipal Corp., and Ambac Assurance Corporation v. Alejandro Garcia Padilla, et al. (United States District Court, District of Puerto Rico No. 3:16-cv-01037). Ambac Assurance, along with co-plaintiffs Assured Guaranty Corp. and Assured Guaranty Municipal Corp., filed a complaint for declaratory and injunctive relief to protect its rights against the illegal clawback of certain revenue by the Commonwealth of Puerto Rico. One defendant, in her capacity as Government Development Bank (“GDB”) President, filed a motion to dismiss for failure to state a claim upon which relief can be granted on January 29, 2016. All other defendants (including the GDB President but solely in her capacity as a member of the Working Group For The Fiscal and Economic Restoration of Puerto Rico) filed a motion to dismiss for lack of subject matter jurisdiction on January 29, 2016. Plaintiffs filed their oppositions to the motions on February 16, 2016. Ambac Assurance has filed various lawsuits seeking specific performance of obligations of borrowers on loans related to the construction and development of housing at various mil |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2015 | |
Segment Reporting [Abstract] | |
Segment Information | 19. 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 international obligations; and (ii) Financial Services, which provides investment agreements, funding conduits, interest rate swaps, principally to clients of the financial guarantee business. Ambac’s reportable segments were strategic business units that offered 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 subsidiaries. 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 unaffiliated “Corporate and Other” primarily relates to investment income on Ambac's investment portfolio as well as assets allocated for future purchase of residential real estate properties from Ambac Assurance insured transactions. Equity in net income of investees accounted for by the equity method relates to the Owner Trust Certificate received when Ambac deposited its Segregated Account junior surplus note into a Trust (see Note 1. Background and Business Description for further information relating to the sale by Ambac of a junior surplus note issued to it by the Segregated Account). Inter-segment for "Corporate and Other" relates to amounts received by Ambac under the Mediation Agreement dated September 21, 2011 (as more fully described in Note 1. Background and Business Description ), including accrual of interest on the junior surplus notes issued by the Segregated Account prior to Ambac's deposit into a Trust. The following table is a summary of financial information by reportable segment for the affected periods: Successor Ambac - Year Ended December 31, 2015 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 679,662 $ (44,003 ) $ 4,663 $ — $ 640,322 Equity in net income of investees accounted for by equity method — — 4,336 — 4,336 Inter-segment 349 (849 ) 645 (145 ) — Total revenues 680,011 (44,852 ) 9,644 (145 ) 644,658 Pre-tax income (loss): Unaffiliated customers (1)(2)(3) 560,332 (46,869 ) (7,741 ) — 505,722 Equity in net income of investees accounted for by equity method — — 4,336 — 4,336 Inter-segment (2,744 ) (1,383 ) 4,127 — — Pre-tax income (loss) 557,588 (48,252 ) 722 — 510,058 Total assets as of December 31, 2015 23,108,387 348,130 268,388 3,165 23,728,070 Net investment income 256,636 548 9,105 — 266,289 Insurance intangible amortization 169,557 — — — 169,557 Interest expense 115,630 907 — — 116,537 Goodwill impairment 514,511 — — — 514,511 Reorganization items (4) $ — $ — $ — $ — $ — Successor Ambac - Year Ended December 31, 2014 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 506,559 $ (179,691 ) $ 407 $ — $ 327,275 Equity in net income of investees accounted for by equity method — — 1,395 — 1,395 Inter-segment 1,243 (1,197 ) 23,299 (23,345 ) — Total revenues 507,802 (180,888 ) 25,101 (23,345 ) 328,670 Pre-tax income (loss): Unaffiliated customers (1)(2)(3) 684,750 (182,941 ) (9,951 ) — 491,858 Equity in net income of investees accounted for by equity method — — 1,395 — 1,395 Inter-segment (25,443 ) (1,545 ) 26,988 — — Pre-tax income (loss) 659,307 (184,486 ) 18,432 — 493,253 Total assets as of December 31, 2014 24,448,346 412,510 284,278 14,730 25,159,864 Net investment income 298,020 1,123 1,803 — 300,946 Insurance intangible amortization 151,830 — — — 151,830 Interest expense 125,892 1,584 — — 127,476 Reorganization items (4) $ — $ — $ 211 $ — $ 211 Successor Ambac – Period from May 1 through December 31, 2013 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 464,701 $ 116,177 $ 170 $ — $ 581,048 Inter-segment 1,837 (1,210 ) 219,181 (219,808 ) — Total revenues 466,538 114,967 219,351 (219,808 ) 581,048 Pre-tax income (loss): Unaffiliated customers (1) (2) (3) 405,004 113,347 (6,035 ) — 512,316 Inter-segment (220,218 ) (1,644 ) 221,862 — — Pre-tax income (loss) 184,786 111,703 215,827 — 512,316 Total assets as of December 31, 2013 26,590,873 448,473 53,908 (777 ) 27,092,477 Net investment income 145,269 1,115 62 — 146,446 Insurance intangible amortization 99,658 — — — 99,658 Interest expense 83,595 1,355 — — 84,950 Reorganization items (4) $ — $ — $ 493 $ — $ 493 Predecessor Ambac - Period from Jan 1 through Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 633,010 $ 7,339 $ 39 $ — $ 640,388 Inter-segment 940 (882 ) — (58 ) — Total revenues 633,950 6,457 39 (58 ) 640,388 Pre-tax income (loss): Unaffiliated customers (1) (2) (3) 1,831,237 3,394 1,513,402 — 3,348,033 Inter-segment (132 ) (1,101 ) 1,233 — — Pre-tax income (loss) 1,831,105 2,293 1,514,635 — 3,348,033 Total assets as of April 30, 2013 28,302,214 512,021 31,070 8,130 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 1. Background and Business Description , Chapter 11 Reorganization of Ambac for a further discussion of Ambac's Reorganization. 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 2015 2014 Year Ended December 31 Gross Net Net Change in Gross Net Net Change in United States $ (13,028 ) $ 229,658 $ 39,633 $ (46,279 ) $ 197,154 $ 8,669 United Kingdom 3,652 68,799 — (221,516 ) 31,672 — Other international (28,196 ) 14,138 2,068 (20,515 ) 17,534 15,237 Total $ (37,572 ) $ 312,595 $ 41,701 $ (288,310 ) $ 246,360 $ 23,906 Successor Ambac Predecessor Ambac Period from May 1 through Period from Jan1 through Gross Net Net Change in Gross Net Net Change in United States $ (61,255 ) $ 165,099 $ 122,696 $ (16,102 ) $ 104,594 $ (31,134 ) United Kingdom (7,368 ) 35,387 22,548 10,673 18,071 (5,861 ) Other international (11,686 ) 13,032 47,625 (8,696 ) 7,335 (23,389 ) Total $ (80,309 ) $ 213,518 $ 192,869 $ (14,125 ) $ 130,000 $ (60,384 ) |
Quarterly Information (unaudite
Quarterly Information (unaudited) (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Data [Abstract] | |
Quarterly Financial Information (unaudited) | 2015 2014 ($ in thousands) First Second Third Fourth First Second Third Fourth Gross premiums written $ 1,062 $ (11,192 ) $ (8,710 ) $ (18,732 ) $ (5,766 ) $ (45,486 ) $ (13,700 ) $ (223,358 ) Net premiums earned 65,718 60,879 71,535 114,463 82,547 65,013 64,831 33,969 Net investment income 72,983 64,753 64,195 64,358 70,801 80,093 83,581 66,471 Net other than temporary impairment losses (3,119 ) (1,020 ) (9,150 ) (12,370 ) (10,392 ) (8,754 ) (5,011 ) (1,637 ) Net realized investment gains 54,101 (5,353 ) 2,106 2,622 16,289 3,067 10,045 29,376 Net change in fair value of credit derivatives (2,499 ) 10,293 36,952 (3,045 ) 7,382 (1,219 ) 7,416 10,327 Derivative products revenue (37,774 ) 50,999 (65,083 ) 9,314 (53,841 ) (47,985 ) (15,685 ) (63,576 ) Net realized gains (losses) on extinguishment of debt (93 ) (1,246 ) 1,420 — — — — (74,724 ) Income (loss) on Variable Interest Entities 6,962 52,603 (21,435 ) (6,561 ) (5,542 ) (38,148 ) 9,116 2,362 Loss and loss expenses (benefit) (150,952 ) (147,477 ) (133,213 ) (337,065 ) (140,011 ) 175,317 (28,698 ) (552,182 ) Insurance intangible amortization 37,432 38,088 39,680 54,357 31,714 36,256 41,908 41,952 Underwriting and operating expenses 24,523 25,873 25,006 27,300 25,786 24,033 25,513 26,142 Interest expense 27,908 28,173 29,899 30,557 32,328 31,953 31,841 31,354 Goodwill impairment — — 514,511 — — — — — Reorganization items — — — — 23 186 2 — Pre-tax income (loss) 216,580 286,095 (388,193 ) 395,576 159,298 (210,412 ) 84,773 459,594 Net income (loss) attributable to Common Shareholders 214,711 282,695 (390,987 ) 386,984 155,942 (207,905 ) 82,450 453,584 Net income (loss) per share: Basic $ 4.75 $ 6.26 $ (8.66 ) $ 8.57 $ 3.46 $ (4.61 ) $ 1.83 $ 10.05 Diluted $ 4.57 $ 6.05 $ (8.66 ) $ 8.56 $ 3.31 $ (4.61 ) $ 1.77 $ 9.73 |
Schedule I - Summary Of Investm
Schedule I - Summary Of Investments [Schedule] (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Summary of Investments, Other than Investments in Related Parties [Abstract] | |
Summary of Investments | AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE I — SUMMARY OF INVESTMENTS Other Than Investments in Related Parties December 31, 2015 Type of Investment ($ in Thousands) Amortized Cost Estimated Fair Value Amount at Which Shown in the Balance Sheet Municipal obligations $ 424,048 $ 420,770 $ 420,770 Corporate obligations 1,610,912 1,593,669 1,593,669 Foreign obligations 96,638 96,306 96,306 U.S. government obligations 90,698 91,242 91,242 U.S. agency obligations 4,239 4,212 4,212 Residential mortgage-backed securities 1,942,285 1,977,338 1,977,338 Collateralized debt obligations 85,706 84,267 84,267 Other asset-backed securities 802,842 840,527 840,527 Short-term 225,789 225,789 225,789 Other 284,405 310,600 310,600 Total $ 5,567,562 $ 5,644,720 $ 5,644,720 |
Schedule II - Condensed Financi
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) [Schedule] (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Condensed Financial Information of Parent Company Only Disclosure [Abstract] | |
Condensed Financial Information of Parent Company Only Disclosure | AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE II— CONDENSED FINANCIAL INFORMATION OF REGISTRANT (PARENT COMPANY ONLY) Condensed Balance Sheets December 31, ($ in Thousands, except share data) 2015 2014 Assets: Fixed income securities, at fair value (amortized cost: 2015—$203,709 and 2014—$234,294) $ 187,979 $ 234,310 Short-term investments, at cost (approximates fair value) 48,079 22,936 Other investments 25,339 21,003 Total investments 261,397 278,249 Cash 25 141 Investment in subsidiaries 1,349,483 1,116,044 Investment income due and accrued 123 54 Current taxes (1) 70,848 — Other assets 4,778 5,770 Total assets $ 1,686,654 $ 1,400,258 Liabilities and Stockholders' Equity: Liabilities: Current taxes — 221 Accounts payable and other liabilities 1,855 932 Total liabilities 1,855 1,153 Stockholders’ equity: Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none — — Common stock, par value $0.01 per share; 130,000,000 shares authorized, issued and outstanding shares; 45,044,222 and 45,005,932 450 450 Additional paid-in capital 190,813 189,138 Accumulated other comprehensive income 15,215 220,283 Retained earnings 1,478,439 989,290 Treasury stock, shares at cost: 8,202 and 2,459 (118 ) (56 ) Total Ambac Financial Group, Inc. stockholders’ equity 1,684,799 1,399,105 Total liabilities and stockholders’ equity $ 1,686,654 $ 1,400,258 (1) Of this amount, $70,911 is receivable from the Registrant's wholly-owned subsidiary, Ambac Assurance Corporation, pursuant to the Amended TSA. The condensed financial statements should be read in conjunction with the consolidated financial statements and notes thereto and the accompanying notes. AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE II— CONDENSED FINANCIAL INFORMATION OF REGISTRANT (PARENT COMPANY ONLY) Condensed Statement of Comprehensive Income (Loss) Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through ($ in Thousands) 2015 2014 December 31, 2013 April 30, 2013 Revenues: Investment income $ 9,826 $ 25,147 $ 22,227 $ 39 Other income — — 197,122 — Other than temporary impairments (155 ) — — — Net realized gains (losses) (27 ) (46 ) 2 — Total revenues 9,644 25,101 219,351 39 Expenses: Operating expenses 8,922 6,458 3,018 539 Total expenses 8,922 6,458 3,018 539 Income (loss) before income taxes, reorganization costs and equity in undistributed net loss of subsidiaries 722 18,643 216,333 (500 ) Reorganization items — 211 493 (2,745,180 ) Income (loss) before income taxes and equity in undistributed net loss of subsidiaries 722 18,432 215,840 2,744,680 Federal income tax provision (benefit) (70,811 ) 221 — (703 ) Income before equity in undistributed net income of subsidiaries 71,533 18,211 215,840 2,745,383 Equity in undistributed net income of subsidiaries 421,870 465,860 289,379 603,666 Net income $ 493,403 $ 484,071 $ 505,219 $ 3,349,049 Other comprehensive income, after tax: Net income $ 493,403 $ 484,071 $ 505,219 $ 3,349,049 Unrealized gains (losses) on securities, net of deferred income taxes of $0 (159,730 ) 252,603 (41,910 ) 175,347 Gain (loss) on foreign currency translation, net of deferred income taxes of $0. (44,651 ) (43,165 ) 42,724 (657 ) Changes to postretirement benefit, net of tax (687 ) (816 ) 10,847 185 Total other comprehensive income (loss) (205,068 ) 208,622 11,661 174,875 Total comprehensive income attributable to Ambac Financial Group, Inc. $ 288,335 $ 692,693 $ 516,880 $ 3,523,924 The condensed financial statements should be read in conjunction with the consolidated financial statements and notes thereto and the accompanying notes. AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE II— CONDENSED FINANCIAL INFORMATION OF REGISTRANT (PARENT COMPANY ONLY) Condensed Statement of Stockholders' Equity ($ in Thousands) Total Retained Earnings Accumulated Other Comprehensive Income Preferred Stock Common Stock Additional Paid-in Capital Common Stock Held in Treasury, at Cost Successor Ambac Balance at January 1, 2015 $ 1,399,105 $ 989,290 $ 220,283 $ — $ 450 $ 189,138 $ (56 ) Total comprehensive income 288,335 493,403 (205,068 ) — — — — Stock-based compensation 3,105 — — — — 3,105 — Cost of shares (acquired) issued under equity plan (374 ) (312 ) — — — — (62 ) Cost of warrants acquired (5,375 ) (3,942 ) — — — (1,433 ) — Warrants exercised 3 — — — — 3 — Balance at December 31, 2015 $ 1,684,799 $ 1,478,439 $ 15,215 $ — $ 450 $ 190,813 $ (118 ) Successor Ambac Balance at January 1, 2014 $ 702,983 $ 505,219 $ 11,661 $ — $ 450 $ 185,672 $ (19 ) Total comprehensive income 692,693 484,071 208,622 — — — — Stock based compensation 3,450 — — — — 3,450 — Shares issued under equity plan (37 ) — — — — — (37 ) Warrants exercised 16 — — — — 16 — Balance at December 31, 2014 $ 1,399,105 $ 989,290 $ 220,283 $ — $ 450 $ 189,138 $ (56 ) Successor Ambac Balance at May 1, 2013 $ — $ — $ — $ — $ — $ — $ — Issuance of new equity in connection with emergence from Chapter 11 185,000 — — — 450 184,550 — Balance at May 1, 2013 185,000 — — — 450 184,550 — Total comprehensive income 516,880 505,219 11,661 — — — — Stock based compensation 1,106 — — — — 1,106 — Cost of shares acquired (19 ) — — — — — (19 ) Warrants exercised 16 — — — — 16 — Balance at December 31, 2013 $ 702,983 $ 505,219 $ 11,661 $ — $ 450 $ 185,672 $ (19 ) Predecessor Ambac Balance at January 1, 2013 $ (3,907,527 ) $ (6,297,264 ) $ 625,385 $ — $ 3,080 $ 2,172,027 $ (410,755 ) Total comprehensive income 3,523,924 3,349,049 174,875 — — — — Stock-based compensation (60 ) (60 ) — — — — — Shares issued under equity plans 60 — — — — — 60 Elimination of Predecessor Ambac Shareholder equity accounts 383,603 2,948,275 (800,260 ) — (3,080 ) (2,172,027 ) 410,695 Balance at April 30, 2013 $ — $ — $ — $ — $ — $ — $ — The condensed financial statements should be read in conjunction with the consolidated financial statements and notes thereto and the accompanying notes. AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE II— CONDENSED FINANCIAL INFORMATION OF REGISTRANT (PARENT COMPANY ONLY) Condensed Statements of Cash Flow Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through ($ in Thousands) 2015 2014 December 31, 2013 April 30, 2013 Cash flows from operating activities: Net income (loss) $ 493,403 $ 484,071 $ 505,219 $ 3,349,049 Adjustments to reconcile net income loss to net cash used in operating activities: Equity in undistributed net (income) loss of non-debtor subsidiaries (421,870 ) (465,860 ) (289,379 ) (603,666 ) Amortization of bond premium and discount (4,690 ) 4 — — Reorganization items — 211 493 (2,745,180 ) Junior surplus notes received from Ambac Assurance Corporation Segregated Account — — (167,020 ) — Other-than-temporary impairment charges 155 — — — Net realized gains (losses) 27 46 (2 ) — Increase (decrease) in current income taxes payable (71,069 ) 221 — (1,900 ) Share-based compensation 3,105 3,450 1,106 — Investment income due and accrued (69 ) 11,905 (11,942 ) (6 ) (Increase) decrease in other assets 992 (834 ) (1,677 ) 3,182 Other, net (4,705 ) (36,628 ) (28,030 ) (4,107 ) Net cash provided by (used in) operating activities (4,721 ) (3,414 ) 8,768 (2,628 ) Cash flows from investing activities: Proceeds from matured bonds 347,539 65,032 14,355 — Purchases of bonds (312,419 ) (271,181 ) (42,506 ) — Change in short-term investments (25,143 ) (14,617 ) 19,360 2,637 Net cash provided by (used in) investing activities 9,977 (220,766 ) (8,791 ) 2,637 Cash flows from financing activities: Proceeds from the sale of Junior Surplus Notes of the Segregated Account — 224,262 — — Cost of warrants acquired (5,375 ) — — — Proceeds from warrant exercise 3 16 16 — Net cash provided by (used in) financing activities (5,372 ) 224,278 16 — Net cash flow (116 ) 98 (7 ) 9 Cash at beginning of period 141 43 50 41 Cash at end of period $ 25 $ 141 $ 43 $ 50 Supplemental disclosure of cash flow information: Cash paid during the period for: Income taxes $ 394 $ — $ — $ 1,900 Cash payments related to reorganization items: Professional fees paid for services rendered in connection with the Chapter 11 proceeding $ — $ 272 $ 15,546 $ 3,860 The condensed financial statements should be read in conjunction with the consolidated financial statements and notes thereto and the accompanying notes. AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE II— CONDENSED FINANCIAL INFORMATION OF REGISTRANT (PARENT COMPANY ONLY) Notes to Condensed Financial Information (Dollar Amounts in Thousands) The condensed financial information of Ambac Financial Group, Inc. (“Ambac” or the “Registrant”) as of December 31, 2015 and 2014 and for the years ended December 31, 2015 and 2014 , eight month period ended December 31, 2013 (Successor Company), and the four month period ended April 30, 2013 (Predecessor Company), should be read in conjunction with the consolidated financial statements of Ambac Financial Group, Inc. and Subsidiaries and the notes thereto included in the Registrants 2015 Annual Report on Form 10-K for the year ended December 31, 2015 ("2015 Annual Report on Form 10-K") filed with the Securities and Exchange Commission on February 29, 2016. Investments in subsidiaries are accounted for using the equity method of accounting. Ambac, headquartered in New York City, is a financial services holding company incorporated in the state of Delaware on April 29, 1991 . On May 1, 2013 (the “Effective Date”), Ambac emerged from Chapter 11 bankruptcy protection when the Second Modified Fifth Amended Plan of Reorganization of Ambac Financial Group, Inc. (the “Reorganization Plan”) became effective. On December 26, 2013, the United States Bankruptcy Court for the Southern District of New York (the “Bankruptcy Court”) entered an order of final decree closing Ambac’s Chapter 11 case. Ambac filed a voluntary petition for relief under Chapter 11 of the United States Bankruptcy Code in the Bankruptcy Court on November 8, 2010 as a result of losses incurred since the beginning of the financial crisis in 2007. Chapter 11 Reorganization of Ambac: See Note 1. Background and Business Description — Chapter 11 Reorganization of Ambac included in Part II, Item 8 in this Form 10-K for a discussion of the Chapter 11 Reorganization of Ambac. . 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. As of December 31, 2015 Ambac had loss carryforwards totaling $4,298,770 . This includes carryforwards of $129,048 relating to U.S. capital losses, $14,936 of Ambac UK loss carryforwards, and an ordinary U. S. federal net operating tax carryforward of approximately $4,154,786 , which, if not utilized, will begin expiring in 2029 , and will fully expire in 2034 . As discussed more fully in Note 1. Background and Business Description — Chapter 11 Reorganization of Ambac, under the Amended Plan Settlement, the Registrant, Ambac Assurance and certain affiliates entered into an amended and restated tax sharing agreement (the “Amended TSA”). Pursuant to the Amended TSA, to the extent Ambac Assurance generated taxable income after September 30, 2011, which offset the allocated $3,650,000 of NOLs, (or the proportionate amount of AMT NOL (as defined)), it is obligated to make payments (“Tolling Payments”), subject to certain credits, to the Registrant in accordance with a four Tier, A through D, NOL usage table. NOLs in excess of the allocated $3,650,000 may be utilized beginning in 2016, subject to the Registrant's consent, not to be unreasonably withheld, for a payment of 25% of the benefit received. Ambac Assurance has utilized all of its current post determination date NOLs generated from September 30, 2011 through December 31, 2015 (post determination date NOLs); however, additional post determination date NOLs may be generated in the future. During this time period, Ambac Assurance's cumulative net taxable income was approximately $877,313 , which utilized all of the $479,000 allocated Tier A NOL and $398,313 of the $1,057,000 allocated Tier B NOL and resulted in accrued Tolling Payments, net of applicable credits, of $70,911 payable to Ambac no later than forty-five days after March 15, 2016 (subject to review by the Rehabilitator). Of the bankruptcy related credits available to offset the first $5,000 of payments due under each of the NOL usage Tiers A, B, and C, Ambac Assurance has fully utilized the combined $10,000 of Tier A and Tier B credits. The NOL allocable to AFG as of December 31, 2015 is $1,382,109 . |
Schedule IV - Reinsurance _Disc
Schedule IV - Reinsurance [Disclosure] Schedule IV - Reinsurance (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
Supplemental Schedule of Reinsurance Premiums for Insurance Companies [Abstract] | |
Supplemental Schedule of Reinsurance Premiums for Insurance Companies [Text Block] | AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE IV— REINSURANCE Years Ended December 31, 2015 and 2014 Eight Months Ended December 31, 2013 and Four Months Ended April 30, 2013 Insurance Premiums Written ($ in Thousands) Gross Amount Ceded to Other Companies Assumed from Other Companies Net Amount Percentage of Amount Assumed to Net Successor Ambac Year ended December 31, 2015 $ (37,572 ) $ (3,001 ) $ — $ (34,571 ) —% Year ended December 31, 2014 (288,310 ) (6,842 ) — (281,468 ) —% Eight months ended December 31, 2013 (80,309 ) (7,810 ) — (72,499 ) —% Predecessor Ambac Four months ended April 30, 2013 (14,125 ) (1,098 ) — (13,027 ) —% |
Basis of Presentation and Sig31
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Reorganization | Reorganization: Entities operating in bankruptcy and expecting to reorganize under Chapter 11 of the Bankruptcy Code are subject to the additional accounting and financial reporting guidance under the Reorganization Topic of the Accounting Standards Codification (the “ASC”). While the Reorganization Topic of the ASC provides specific guidance for certain matters, other portions of GAAP continue to apply so long as the guidance does not conflict with the Reorganization Topic of the ASC. This accounting literature provides guidance for periods subsequent to a Chapter 11 filing, among other things, the presentation of liabilities that are and are not subject to compromise pursuant to the bankruptcy proceedings, as well as the treatment of interest expense and presentation of costs associated with the proceedings. For the purpose of presenting an entity’s financial condition, the financial statements for periods including and after filing the Chapter 11 petition shall distinguish transactions and events that are directly associated with the reorganization from the ongoing operations of the business. Under the Reorganization Topic of the ASC, the Company determined that fresh start financial statement reporting was to be applied upon our emergence from Chapter 11 because (i) the reorganization value (further described in Note 3. Fresh Start Financial Statement Reporting ) of the emerging entity was less than total post-petition liabilities and allowed claims, and (ii) the holders of existing voting shares immediately before the confirmation of the Reorganization Plan received less than 50% of the voting shares of the emerging entity. Specifically, fresh start reporting was applied upon confirmation of the Reorganization Plan by the Bankruptcy Court and the satisfaction of the remaining material contingencies necessary to complete implementation of the Reorganization Plan. All conditions required for the adoption of fresh start reporting were satisfied by the Company on April 30, 2013 (“Fresh Start Reporting Date”) when Ambac executed a closing agreement with the United States Internal Revenue Service (the "IRS") to conclude the settlement of a dispute. As such, fresh start financial statement reporting ("Fresh Start") was adopted by the Company on April 30, 2013, 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 Predecessor Ambac financial statements. The implementation of fresh start reporting is further described in Note 3. Fresh Start Financial Statement Reporting . 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. |
Unconsolidated Financial Information | Ambac Unconsolidated Financial Information: Financial information of Ambac is presented in Schedule II to this Form 10-K as of December 31, 2015 and 2014 and for the years ended December 31, 2015 , 2014 and 2013 . Investments in subsidiaries are accounted for using the equity method of accounting. |
Consolidation | Consolidation: The consolidated financial statements include the accounts of Ambac and all other entities in which Ambac (directly or through its subsidiaries) has a controlling financial interest, including variable interest entities (“VIEs”) for which Ambac or an Ambac subsidiary is deemed the primary beneficiary in accordance with the Consolidation Topic of the ASC. All significant intercompany balances have been eliminated. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as VIEs, through arrangements that do not involve controlling voting interests. The primary beneficiary of a VIE is the party that has both the following characteristics: a) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and b) the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. A VIE is an entity: a) that lacks enough equity investment at risk to permit the entity to finance its activities without additional subordinated financial support from other parties; or b) where the group of equity holders does not have: (1) the power, through voting rights or similar rights, to direct the activities of an entity that most significantly impact the entity’s economic performance; (2) the obligation to absorb the entity’s expected losses; or (3) the right to receive the entity’s expected residual returns. The determination of whether a variable interest holder is the primary beneficiary involves performing a qualitative analysis of the VIE that includes, among other factors, its capital structure, contractual terms including the rights of each variable interest holder, the activities of the VIE, whether the variable interest holder has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, whether the variable interest holder has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, related party relationships and the design of the VIE. Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities , for a detailed discussion of Ambac’s involvement in VIEs, Ambac’s methodology for determining whether Ambac is required to consolidate a VIE and the effects of VIEs being consolidated. |
Goodwill | Goodwill: At the Fresh Start Reporting Date, we revalued our assets and liabilities to current estimated fair value. The excess reorganization value which could not be attributed to the fair value of specific identified tangible and intangible assets ("fair value of net assets") was recorded as goodwill. Pursuant to the Intangibles - Goodwill and Other Topic of the ASC, goodwill is not amortized but is subject to annual impairment testing. We test goodwill for impairment as of October 1 st of each year. Goodwill is also tested more frequently if indicators of impairment exist for each reporting unit. The Company has an option to first assess qualitative factors, in their totality, to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount as a basis for determining whether it is necessary to perform a goodwill impairment test. If the Company determines that it is more likely than not that the fair value of a reporting unit is less than its carrying amount, then the Company is required to perform the goodwill impairment test. Alternatively, we may bypass this qualitative assessment and perform step one of the goodwill impairment test described below. Goodwill impairment is determined using a two-step approach. In step one of the goodwill impairment test, the fair value of a reporting unit is compared with its carrying amount, including goodwill. If the fair value is in excess of the carrying amount, including goodwill, the reporting unit’s goodwill is considered not to be impaired. If the carrying amount, including goodwill, of a reporting unit exceeds its fair value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. In step two of the goodwill impairment test, the implied fair value of a reporting unit’s goodwill is compared with the carrying amount of that goodwill. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination and is defined as the excess of the fair value of a reporting unit over the fair value of the net assets of a reporting unit. If the carrying amount of goodwill exceeds its implied fair value, an impairment loss is recognized for the excess. If the carrying amount of goodwill is less than its implied fair value, no goodwill impairment is recognized. Goodwill impairment testing is performed at the reporting unit level. We have identified two reporting units of Ambac: (1) Financial Guarantee, which provides financial guarantees (including credit derivatives) for public finance, structured finance and other obligations; and (2) Financial Services, which provides investment agreements, funding conduits, and interest rate swaps, principally to clients of the financial guarantee business. These reporting units are also the sole operating segments which make up the Financial Guarantee and Financial Services reportable segments, respectively, as further described in Note 19. Segment Information . We have assigned assets and liabilities to each reporting unit based on specific identification. In evaluating which reporting units should be assigned goodwill, we considered the sources of Ambac’s estimated enterprise value at the Fresh Start Reporting Date, as further described in Note 3. Fresh Start Financial Statement Reporting . Based on that analysis, we have assigned all goodwill recorded at the Fresh Start Reporting Date to the Financial Guarantee reporting unit. During the September 30, 2015 reporting period, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation. These indicators included the recent trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis as of September 30, 2015, we performed step one of the goodwill impairment test for the Financial Guarantee reporting unit. We estimated the fair value of the Financial Guarantee reporting unit using a market approach, which is derived using: i) Ambac’s common stock and warrant market capitalization, ii) fair value estimates of Ambac Assurance preferred shares (reported as noncontrolling interests on Ambac's balance sheet) and iii) an estimated control premium. Step one of the impairment test indicated the Financial Guarantee reporting unit's carrying value exceeded its fair value. Accordingly, Ambac performed step two of the impairment test as of September 30, 2015, which indicated the implied fair value of goodwill was zero . This was the result of substantial decreases in the Financial Guarantee reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the Financial Guarantee reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The Financial Guarantee reporting unit's fair value of net assets increased significantly primarily as a result of a decrease in the estimated fair value of financial guarantee liabilities and, to a lesser extent, a decrease in the fair value of long-term debt. The fair value decrease in financial guarantee liabilities, which is a Level 3 estimate, was primarily driven by wider Ambac credit spreads and positive loss and loss expense reserves development. Please refer to Note 10. Fair Value Measurements for further discussion on the fair value model for financial guarantee liabilities. The fair value decrease in long-term debt was driven by lower market pricing on surplus notes and junior surplus notes. As a result, the Company recorded a full non-cash, non-tax deductible goodwill impairment charge of $514,511 at September 30, 2015. The following is a summary of activity in goodwill that was all assigned to the Financial Guarantee reporting unit: December 31 2015 2014 Beginning balance $ 514,511 $ 514,511 Impairment loss (514,511 ) — Ending balance $ — $ 514,511 |
Restricted Cash | Restricted Cash: Cash that we do not have the right to use for general purposes is recorded as restricted cash in our consolidated balance sheets. Restricted cash includes consolidated variable interest entity cash restricted to fund the obligations of the consolidated VIEs. |
Net Income Per Share | Net Income Per Share: Basic net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding, inclusive of unsettled vested restricted stock units. Diluted net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding plus all dilutive potential common shares outstanding during the period. All dilutive potential common shares outstanding consider common stock deliverable pursuant to warrants issued under the Reorganization Plan and those pursuant to stock options and non-vested restricted and performance stock units. |
Net Premiums Earned | 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 December 31, 2015 and 2014 , was 2.7% . and 2.7% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2015 and 2014 , was 9.2 years and 10.1 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. For both upfront and installment premium policies, premium revenues are earned over the life of the financial guarantee contract in proportion to the insured principal amount outstanding at each reporting date (referred to as the level-yield method). For installment paying policies, the premium receivable discount, equating to the difference between the undiscounted future installment premiums and the present value of future installment premiums, is accreted as premiums earned in proportion to the premium receivable balance at each reporting date. Similar to gross premiums, premiums ceded to reinsurers are paid either upfront or in installments. For premiums paid upfront, a deferred ceded premium asset is established which is initially recorded as the cash amount paid. For installment premiums, a ceded installment premiums payable liability and offsetting deferred ceded premium asset are initially established in an amount equal to: i) the present value of future contractual premiums due or, ii) if the underlying insured obligation is a homogenous pool of assets which are contractually pre-payable, the present value of expected premiums to be paid over the life of the transaction. An appropriate risk-free rate corresponding to the weighted average life of each policy and exposure currency is used to discount the future premiums contractually due or expected to be collected. Premiums ceded to reinsurers reduce the amount of premiums earned by Ambac from its financial guarantee insurance policies. For both up-front and installment premiums, ceded premiums written are primarily recognized in earnings in proportion to and at the same time as the related gross premium revenue is recognized. For premiums paid to reinsurers on an installment basis, Ambac records the present value of future ceding commissions as an offset to ceded premiums payable, using the same assumptions noted above for installment premiums. 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, we offset the recognition of any remaining UPR 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. 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. For policies with refunding securities, premium revenue recognition is not impacted as the escrowed maturity date is the same as the previous legal maturity date. For policies with pre-refunding securities, the maturity date of the pre-refunded security has been shortened from its previous legal maturity. Although premium revenue recognition has not been accelerated in the period of the pre-refunding, it results in an increase in the rate at which the policy's remaining UPR is to be recognized. |
Loss Reserves | Loss Reserves: The loss and loss expense reserve (“loss reserve”) policy for financial guarantee insurance relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including unconsolidated VIEs. Loss reserves are based upon estimates of the ultimate aggregate losses inherent in the non-derivative financial guarantee portfolio as of the reporting date. The policy for derivative contracts is discussed in the “Derivative Contracts” section below. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include (a) unpaid claims and (b) the present value ("PV") of estimated expected future losses, net of expected future recoveries, required to be paid under an insurance contract, further described below: • Unpaid claims represent the sum of (i) claims not yet paid for policies allocated to the Segregated Account, including Deferred Amounts (as defined in Note 1. Background and Business Description ) 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. Background and Business Description for further discussion of the amended Segregated Account Rehabilitation Plan. Unpaid claims are measured based on the cost of settling the claims, which is principal plus accrued interest. • The PV of expected future losses, net of expected future recoveries, are impacted by: (i) expected future claims under an insurance contract, including the impact of potential settlement outcomes upon future installment premiums, (ii) expected recoveries from contractual breaches of RMBS representations and warranties by transaction sponsors, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries. Expected receipts from third parties within the underlying transaction's cash flow structure relating to contractual breaches in non-RMBS securitizations may also reduce expected future claims. Ambac’s approach to resolving disputes involving contractual breaches by transaction sponsors or other third parties has included negotiations and/or pursuing litigation. Ambac does not include potential recoveries from litigation attributed solely to fraudulent inducement claims in our estimate of subrogation recoveries, since any remedies under such claims would be non-contractual. Net cash outflow policies represent contracts where the sum of unpaid claims plus the PV of expected future losses are greater than the PV of expected future recoveries. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of these net cash outflows in excess of UPR. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected recoveries are greater than the sum of unpaid claims plus the PV of expected future losses. For such policies, a “Subrogation recoverable” asset is recorded for the sum of these net cash inflows. The approaches used to estimate expected future losses and recoveries considers the likelihood of all possible outcomes. The evaluation process for determining expected losses is subject to certain judgments based on our assumptions regarding the probability of default by the issuer of the insured security, probability of settlement outcomes (which may include commutation settlements, refinancing and/or other settlement outcomes) and expected severity of credits for each insurance contract. Ambac’s loss reserves are based on management’s on-going review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Portfolio Risk Management ("PRM") group to track credit migration of insured obligations from period to period and update internal classifications and credit ratings for each transaction. Non-adversely classified credits are assigned a Class I or Survey List (“SL”) rating while adversely classified credits are assigned a rating of Class IA through Class V. The criteria for an exposure to be assigned an adversely classified credit rating includes the deterioration of an issuer’s financial condition, underperformance of the underlying collateral (for collateral dependent transactions such as mortgage-backed or student loan securitizations), poor performance by the servicer of the underlying collateral and other adverse economic events or trends. The servicer of the underlying collateral of an insured securitization transaction is a consideration in assessing credit quality because the servicer’s performance can directly impact the performance of the related issue. For example, a servicer of a mortgage-backed securitization that does not remain current in its collection loss mitigation efforts could cause an increase in the delinquency and potential default of the underlying obligation. Similarly, loss severities increase when a servicer does not effectively handle loss mitigation activities such as (i) the advancing of delinquent principal and interest and of default related expenses which are deemed to be recoverable by the servicer, (ii) pursuit of loan charge-offs which maximize cash flows from the mortgage loan pool, and (iii) foreclosure and real estate owned disposition strategies and timelines. All credits are assigned risk classifications by the Surveillance Group using the following guidelines: CLASS I - “Fully Performing - Meets Ambac Criteria with Remote Probability of Claim” - Credits that demonstrate adequate security and structural protection with a strong capacity to pay interest, repay principal and perform as underwritten. Factors supporting debt service payment and performance are considered unlikely to change and any such change would not have a negative impact upon the fundamental credit quality. SURVEY LIST - “Investigation of Specific Condition or Weakness Underway” - Credits that require additional analysis to determine if adverse classification is warranted. These credits may lack information or demonstrate a weakness but further deterioration is not expected. CLASS IA - “Potential Problem with Risks to be Dimensioned” - Credits that are fully current and monetary default or claims-payment are not anticipated. The payor’s or issuer’s financial condition may be deteriorating or the credits may lack adequate collateral. A structured financing may also evidence weakness in its fundamental credit quality as evidenced by its under-performance relative to its modeled projections at underwriting, issues related to the servicer’s ability to perform or questions about the structural integrity of the transaction. While these credits may still retain an investment grade rating, they usually have experienced or are vulnerable to a ratings downgrade. Further investigation is required to dimension and correct any deficiencies. A complete legal review of documents may be required. An action plan should be developed with triggers for future classification changes upward or downward. CLASS II - “Substandard Requiring Intervention” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service may be jeopardized by adversely developing trends of a financial, economic, structural, managerial or political nature. No claim payment is currently foreseen but the probability of loss or claim payment over the life of the transaction is now existent (generally 10% or greater probability). Class II credits may be border-line or below investment grade (BBB- to B). Prompt and sustained action must be taken to execute a comprehensive loss mitigation plan and correct deficiencies. CLASS III - “Doubtful with Clear Potential for Loss” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service has been or will be jeopardized by adverse trends of a financial, economic, structural, managerial or political nature which, in the absence of positive change or corrective action, are likely to result in a loss. The probability of monetary default or claims paying over the life of the transaction is generally 50% or greater. Full exercise of all available remedial actions is required to avert or minimize losses. Class III credits will generally be rated below investment grade (B to CCC). CLASS IV - “Imminent Default or Defaulted” - Monetary default or claim payments have occurred or are expected imminently. Class IV credits are generally rated D. CLASS V - “Fully Reserved” - The credit has defaulted and payments have occurred. The claim payments are scheduled and known, reserves have been established to fully cover such claims, and no claim volatility is expected. The population of credits evaluated in Ambac’s loss reserve process are: (i) all adversely classified credits (Class IA through V) and ii) non-adversely classified credits (Class I and SL) which had an internal Ambac rating downgrade since the transaction’s inception. One of two approaches is then utilized to estimate losses to ultimately determine if a loss reserve should be established. The first approach is a statistical expected loss approach, which considers the likelihood of all possible outcomes. The “base case” statistical expected loss is the product of: (i) the par outstanding on the credit; (ii) internally developed historical default information (taking into consideration internal ratings and average life of an obligation); (iii) internally developed loss severities; and (iv) a discount factor. The loss severities and default information are based on rating agency information, are specific to each bond type and are established and approved by senior officers of the PRM group. For certain credit exposures, Ambac’s additional monitoring, loss remediation efforts and probabilities of potential settlement outcomes may provide information relevant to adjust this estimate of “base case” statistical expected losses. Analysts may accept the “base case” statistical expected loss as the best estimate of expected loss or assign multiple probability weighted scenarios to determine an adjusted statistical expected loss that better reflects management’s view of a given transaction’s expected losses, as well as the potential for additional remediation activities (i.e. commutations). The second approach entails the use of cash-flow based models to estimate expected losses (future claims, net of potential recoveries, expected to be paid to the holder of the insured financial obligation). Ambac’s PRM group will consider the likelihood of all possible outcomes and develop appropriate cash flow scenarios. This approach can include the utilization of internal or third party models to project future losses and resultant claim payment estimates. We utilize cash flow models for residential mortgage-backed (RMBS), student loan, and other exposures. RMBS and student loan models use historical performance of the collateral pools in order to then derive future performance characteristics, such as default and voluntary prepayment rates, which in turn determine projected future claim payments. In other cases, such as many public finance exposures including our Puerto Rico exposures, we do not specifically forecast resources available to pay debt service in the cash flow model itself. Rather, we consider the issuers’ overall ability and willingness to pay, including the fiscal, economic, legal and political framework. In this approach a probability-weighted expected loss estimate is developed based on assigning probabilities to multiple claim payment scenarios and applying an appropriate discount factor. Additionally, we assign a probability to the issuer’s ability to refinance an insured issue and/or Ambac’s ability to execute a potential settlement (i.e. commutation) of the insurance policy, including the impact on future installment premiums. The commutation scenarios and the related probabilities of occurrence vary by transaction, depending on our view of the likelihood of negotiating such a transaction with issuers and/or investors. The estimated expected recovery component of expected losses include: (i) recoveries related to contractual breaches of RMBS representations and warranties by transaction sponsors, which is discussed further in the “RMBS Representation and Warranty Subrogation Recoveries” section below, (ii) excess spread within an RMBS underlying transaction's cash flow structure, and (iii) other recoveries, including other litigation recoveries. Ambac does not include expected recoveries from litigation attributed solely to fraudulent inducement claims in our estimate of representation and warranty subrogation recoveries, since any remedies under such claims would be non-contractual. The discount factor applied to the statistical expected loss approach is based on a risk-free discount rate corresponding to the remaining expected weighted-average life of the exposure and the exposure currency. For the cash flow scenario approach, discount factors are applied based on a risk-free discount rate term structure and correspond to the date of each respective cash flow payment or recovery and the exposure currency. Discount factors are updated for the current risk-free rate each reporting period. Ambac establishes loss expense reserves based on our estimate of expected net cash outflows for loss expenses, such as legal and consulting costs. RMBS Representation and Warranty Subrogation Recoveries: Ambac records as a component of its loss reserve estimate, subrogation recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties described herein. Generally, the sponsor of an RMBS transaction provided representations and warranties with respect to the securitized loans, including representations with respect to the loan characteristics, the absence of borrower fraud in the underlying loan pools, or other misconduct in the origination process and attesting to the compliance of loans with the prevailing underwriting policies. In such cases, the sponsor of the transaction is contractually obligated to repurchase, cure or substitute collateral for any loan that breaches the representations and warranties. Ambac or its counsel have engaged consultants with significant mortgage underwriting experience to review the underwriting documentation for mortgage loans underlying certain insured RMBS transactions which exhibited exceptionally poor performance. Factors which Ambac believes to be indicative of poor performance include (i) increased levels of early payment defaults, (ii) significant numbers of loan liquidations or charge-offs and resulting high levels of losses, and (iii) rapid elimination of credit protections inherent in the transactions’ structures. With respect to item (ii), “loan liquidations” refers to loans for which the servicer has liquidated the related collateral and the securitization has realized losses on the loan; “charge-offs” refers to loans which have been written off as uncollectible by the servicer, generating no recoveries to the securitization, and may also refer to the unrecovered balance of liquidated loans. In either case, the servicer has taken actions to recover against the collateral, and the securitization has incurred losses to the extent such actions did not result in full repayment of the borrower’s obligations. Generally, subsequent to the forensic exercise of examining loan files to ascertain whether the loans conformed to the representations and warranties, we submit nonconforming loans for repurchase to the contractual counterparty bearing the repurchase obligation, which is typically the transaction sponsor. To effect a repurchase, depending on the transaction, the sponsor is obligated to repurchase the loan at (a) for loans which have not been liquidated or charged off, either (i) the current unpaid principal balance of the loan, (ii) the current unpaid principal balance plus accrued unpaid interest, or (iii) the current unpaid principal balance plus accrued interest plus unreimbursed servicer advances/expenses and/or trustee expenses resulting from the breach of representations and warranties that trigger the repurchase, and (b) for a loan that has already been liquidated or charged-off, the amount of the realized loss (which in certain cases may exclude accrued unpaid interest). In cases where loans are repurchased by a sponsor, the effect is typically to offset current period losses and then to increase the over-collateralization of the securitization, depending on the extent of loan repurchases and the structure of the securitization. Specifically, the repurchase price is paid by the sponsor to the securitization trust which holds the loan. The cash becomes an asset of the trust, replacing the loan that was repurchased by the sponsor. On a monthly basis the cash received related to loan repurchases by the sponsor is aggregated with cash collections from the underlying mortgages and applied in accordance with the trust indenture payment waterfall. This payment waterfall typically includes principal and interest payments to the note holders, various expenses of the trust and reimbursements to Ambac, as financial guarantor, for previously paid claims. Notwithstanding the reimbursement of previous claim payments, to the extent there continues to be insufficient cash in the waterfall in the current month to make scheduled principal and interest payments to the note holders, Ambac is required to make additional claim payments to cover this shortfall. Ambac may also receive payments directly from transaction sponsors in settlement of their repurchase obligations pursuant to negotiated settlement agreements or otherwise as a result of related litigation. Ambac’s approach in estimating subrogation recoveries is a function of the population of loan files the sponsor makes available for review. In transactions where Ambac has been provided access to loans files for all loans in the original loan pool, we utilize a “random sample” approach to estimate subrogation recoveries. Prior to the June 30, 2014 reporting period, in transactions where Ambac had only obtained loan files for seriously delinquent or defaulted loans, we utilized an “adverse sample” approach to estimate subrogation recoveries. Beginning with the June 30, 2014 reporting period, as a result of gaining further access to loan files, the random sample approach has been utilized for all transactions which were previously evaluated using the adverse sample approach. Both approaches are described in further detail below. We do not include estimates of damages attributed solely to fraudulent inducement claims in our estimate of subrogation recoveries under either approach. While the obligation by sponsors to repurchase loans with material breaches is clear, generally the sponsors have not yet honored those obligations without actual or threatened litigation. Ambac has utilized the results of the above described loan file examinations to make demands for loan repurchases from sponsors or their successors and, in certain instances, as a part of the basis for litigation. Ambac’s approach to resolving these disputes has included negotiating with individual sponsors at the transaction level and in some cases at the individual loan level and has resulted in the repurchase of some loans. Ambac has initiated and will continue to pursue lawsuits seeking compliance with the repurchase obligations in the securitization documents. Ambac has performed the above-mentioned, detailed examinations on a variety of second-lien and first-lien transactions that have experienced exceptionally poor performance. However, the loan file examinations and related estimated recoveries we have reviewed and recorded to date have been limited to only those transactions whose sponsors (or their successors) are subsidiaries of large financial institutions, all of which carry an investment grade rating from at least one nationally recognized rating agency, or are otherwise deemed to have the financial wherewithal to live up to their repurchase obligations. While our contractual recourse is generally to the sponsor/subsidiary, rather than to the parent, each of these large institutions has significant financial resources and may have an ongoing interest in mortgage finance, and we therefore believe that the financial institution/parent would ultimately assume financial responsibility for these obligations if the sponsor/subsidiary is unable to honor its contractual obligations or pay a judgment that we may obtain in litigation. Additionally, in the case of successor institutions, we are not aware of any provisions that explicitly preclude or limit the successors’ ability to honor the obligations of the original sponsor. Certain successor financial institutions have made significant payments to certain claimants to settle breaches of representations and warranties perpetrated by sponsors that have been acquired by such financial institutions. In addition, Ambac received a significant payment in 2016 from JP Morgan to settle RMBS-related litigation. Refer to Note 1. Background and Business Description for further discussion of this settlement. As a result of these factors, we did not make significant adjustments to our estimated subrogation recoveries with respect to the credit risk of these sponsors or their successors. We believe that focusing our loan remediation efforts on large financial institutions first will provide the greatest economic benefit to Ambac. Ambac retains the right to review other RMBS transactions for representations and warranties breaches and management continues to review transactions for inclusion in this effort. As part of this effort, there have been limited cases for certain smaller transactions where Ambac has successfully negotiated recoveries for breaches of representations and warranties without a detailed examination of the respective loan files. Our ability to recover the RMBS subrogation recoveries is subject to significant uncertainty, including risks inherent in litigation, collectability of such amounts from counterparties and/or their respective parents and affiliates, timing of receipt of any such recoveries, intervention by OCI which could impede our ability to take actions required to realize such recoveries, and uncertainties inherent in the assumptions used in estimating such recoveries. Random sample approach: The random sample approach to estimate subrogation recoveries is based on obtaining a random sample of the original loans in the pool, using a protocol developed by a statistical expert. In this approach, the ratio of: (a) loans identified in the sample as having materially breached representations and warranties to (b) the total loan sample size, is applied (extrapolated) to the sum of realized and estimated future collateral pool losses to determine an estimated repurchase obligation. We limit the estimated repurchase obligation by ever-to-date incurred losses, with respect to the remaining steps in this approach. Multiple probability-weighted scenarios were then developed by applying various realization factors to the estimated repurchase obligation. The realization factors in these scenarios were developed using Ambac’s own assumptions about the likelihood of outcomes based on all the information available to it including, but not limited to, (i) discussions with external legal counsel and their views on ultimate settlement and/or litigation outcomes, (ii) experience with loan put back negotiations where the existence of a material breach was debated and negotiated at the loan level, (iii) the pervasiveness of the breach rates and (iv) experience in settling similar claims. The probability weightings are developed based on the unique facts and circumstances for each transaction. The sum of these probability-weighted scenarios represents the undiscounted subrogation recovery, which is then discounted using a factor derived from a risk-free discount rate term structure that corresponds to the date of each respective recovery. Discount factors are updated for the current risk-free rate each reporting period. Adverse sample approach: The adverse sample approach was used in transactions where Ambac was only given access by the sponsor to impaired loan files, meaning loans greater than 90 days past due, charged off, or in foreclosure, REO or bankruptcy. This limitation precluded us from selecting a valid random sample from the entire loan pool. Consequently, the adverse sample approach utilized the following subsets of loans to estimate a repurchase obligation: (i) loans identified as breaching representations and warranties (i.e. adverse loans) taken from a sample of impaired loans and (ii) transactions identified where the underlying loans have similar attributes, including but not limited to type, vintage and composition, to loans that were included in RMBS settlements between the same sponsor and other parties, and where the transactions had substantially similar representations and warranties ( i.e . “prototype transactions”). The calculation of subrogation recovery with respect to the adverse loan subset was based on the original principal balance of the loans in the adverse sample. Multiple probability-weighted scenarios were then developed by applying various realization factors to the estimated repurchase obligations under both subsets of loans. The realization factors in these scenarios were developed using assumptions similar to those discussed in the random sample approach above, as well as an internal analysis of the RMBS settlements discussed above. The sum of these probability-weighted scenarios represents the undiscounted subrogation recovery, which is then discounted using a factor derived from a risk-free discount rate term structure that corresponds to the date of each respective recovery. Discount factors are updated for the current risk-free rate each reporting period. |
Intangible Assets | Intangible Assets: Insurance intangible : At the Fresh Start Reporting Date, an insurance intangible asset was recorded which represented the difference between the fair value and aggregate carrying value of the financial guarantee insurance and reinsurance assets and liabilities. The carrying values of our financial guarantee insurance and reinsurance contracts will continue to be reported and measured in accordance with existing accounting policies. Pursuant to the Financial Services-Insurance Topic of the ASC, the insurance intangible is to be measured on a basis consistent with the related financial guarantee insurance and reinsurance contracts. The insurance intangible asset will be amortized using a level yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts and will be applied to groups of contracts with similar characteristics. The weighted-average amortization period at Fresh Start Reporting Date was 9.4 years . VIE intangible : Effective April 30, 2013, Ambac consolidated a VIE which had assets that included finite lived intangible assets associated with its operations. The intangible assets were recorded at their fair value on the consolidation date in the amount of $164,520 and were considered held for use. Pursuant to the Intangible - Goodwill and Other Topic of the ASC, finite lived intangibles held for use are amortized over their useful lives. The useful lives are determined after considering the specific facts and circumstances including, contractual term of any agreement, the long-term strategy for the use of the asset and other economic factors. A VIE intangible held for use is tested for impairment if conditions exist that might indicate the carrying amount of the intangible is not recoverable and exceeds its fair value. Such conditions may include an economic downturn in a geographic market or a change in the assessment of future operations. If such conditions are present, a two-step impairment evaluation is performed. In the first step, a recoverability test is performed by comparing the sum of the estimated undiscounted future cash flows attributable to the intangible asset to its carrying amount. If the undiscounted cash flows are less than the carrying amount, the second step of the test is performed to measure the impairment amount, if any. In the second step, an impairment loss would be recognized to the extent the carrying amount of the intangible exceeds its fair value. In the period an intangible asset is classified as held for sale, the asset is reported at the lower of carrying value or fair value less costs to sell, with the adjustment reported as a loss through earnings. In subsequent periods, a loss is recognized for any further reduction in fair value less cost to sell. A gain is recognized for any subsequent increase in fair value less cost to sell, but not in excess of the cumulative loss previously recognized. During 2013, management approved plans to sell the VIE intangible assets and such assets were reclassified as held for sale, resulting in a loss from the reduction of their carrying value to fair value less costs to sell in the eight months ended December 31, 2013. The sale of the intangible assets was completed in 2014. Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities for further discussion of the VIE intangibles and their impact on the consolidated financial statements. |
Deferred Acquisition Costs | Deferred Acquisition Costs: Financial guarantee insurance costs that vary with and are primarily related to the production of business had been deferred. These costs included compensation of certain employees, premium taxes, ceding commissions payable on assumed business and certain other underwriting expenses, net of ceding commissions receivable on ceded business. Certain future costs associated with installment premium contracts, such as premium taxes and reinsurance ceding commissions, are estimated and present valued using the same assumptions used to estimate the related premiums receivable described in the “Net Premiums Earned” section above. Premium taxes and reinsurance commissions were deferred in their entirety. Ambac has not undertaken any new business since 2008; accordingly, we have not deferred any costs in the periods presented, except for changes in estimates for premiums taxes and ceding commissions. Costs associated with credit derivatives are expensed as incurred. Prior to the Fresh Start Reporting Date, deferred acquisition costs were expensed in proportion to premium revenue recognized. Amortization of deferred acquisition costs is adjusted to reflect acceleration of premium revenue due to refunding or calls and to reflect changes in the estimated lives of certain obligations. Amortization of deferred acquisition costs amounted to $6,480 for the four months ended April 30, 2013. A premium deficiency exists if the sum of: (i) unearned premium, and (ii) losses and loss expense reserve, net of reinsurance and subrogation recoveries, recognized as of the balance sheet date, is less than the sum of: (i) the present value of expected loss and loss expenses, (ii) present value of future expected servicing and maintenance costs, and (iii) unamortized deferred acquisition costs. The present value of the expected loss and loss expenses and future expected servicing and maintenance costs are discounted at the rate of return on Ambac’s investment portfolio. If a premium deficiency were to exist, unamortized deferred acquisition costs would be reduced by a charge to expense and a liability would be established for any remaining deficiency. The remaining deferred costs at the Fresh Start Reporting Date were reduced to their fair value of zero; refer to Note 3. Fresh Start Financial Statement Reporting for further information. |
Investments | Investments: The Investments - Debt and Equity Securities Topic of the ASC requires that all debt instruments and certain equity instruments be classified in Ambac’s Consolidated Balance Sheets according to their purpose and, depending on that classification, be carried at either cost or fair market value. Ambac’s non-VIE investment portfolio is accounted for on a trade-date basis and consists primarily of investments in fixed income securities that are considered available-for-sale as defined by the Investments - Debt and Equity Securities Topic of the ASC. Available-for-sale securities are reported in the financial statements at fair value with unrealized gains and losses, net of deferred taxes, reflected in Accumulated Other Comprehensive Income in Stockholders’ Equity and computed using amortized cost as the basis. For purposes of computing amortized cost, premiums and discounts are accounted for using the effective interest method over the remaining term of the securities. For securities that are not structured securities with a large underlying pool of homogenous loans, such as corporate and municipal bonds, premiums and discounts are amortized or accreted over the remaining term of the securities even if they are callable. Premiums and discounts on mortgage-backed and asset-backed securities are adjusted for the effects of actual and anticipated prepayments on a retrospective basis. Ambac’s investment portfolio also included 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. Equity interests in pooled funds organized as limited liability companies are recorded under the fair value option. Investments classified either as trading or fair value option securities are reported as Other investments on the Consolidated Balance Sheet at fair value with changes in fair value reported through Net investment income on the Statement of Comprehensive Income. Investments in pooled funds have been classified as trading or fair value option securities so that any undistributed earnings of the funds may be reflected in Net investment income as they occur. Fair value is based primarily on quotes obtained from independent market sources. When quotes are not available or cannot be reasonably corroborated, valuation models are used to estimate fair value. These models include estimates, made by management, which utilize current market information. The quotes received or modeled valuations could differ materially from amounts that would actually be realized in the market. Realized gains and losses on the sale of investments are determined on the basis of specific identification. VIE investments in fixed income securities are carried at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC Topic 825. For additional information about VIE investments, including fair value by asset-type, see Note 4. Special Purpose Entities, Including Variable Interest Entities . Ambac has a formal impairment review process for available for sale securities in its investment portfolio. Ambac conducts a review each quarter to identify and evaluate investments that have indications of possible impairment that is other than temporary in accordance with the Investments - Debt and Equity Securities Topic of the ASC. Factors considered when assessing impairment include: (i) fair values that have declined by 20% or more below amortized cost; (ii) market values that have declined by 5% or more but less than 20% below amortized cost for a continuous period of at least six months; (iii) recent downgrades by rating agencies; (iv) the financial condition of the issuer and financial guarantor, as applicable, and an analysis of projected defaults on the underlying collateral; (v) scheduled interest payments are past due; (vi) whether Ambac has the intent to sell the security; and (vii) whether it is more likely than not that Ambac will be required to sell a security before the anticipated recovery of its amortized cost basis. If we believe a decline in the fair value of a particular investment is temporary, we record the decline as an unrealized loss net of tax in Accumulated Other Comprehensive Income in Stockholders’ Equity on our Consolidated Balance Sheets. If management either: (i) has the intent to sell its investment in a debt security or (ii) determines that the Company more likely than not will be required to sell the debt security before its anticipated recovery of the amortized cost basis less any current period credit impairment, then an other-than-temporary impairment charge must be recognized in earnings, with the amortized cost of the security being written-down to fair value. If these conditions are not met, but it is determined that a credit loss exists, the credit impairment loss is recognized in earnings, and the other-than-temporary amount related to all other factors is recognized in other comprehensive income. For fixed income securities that have other-than-temporary impairments in a period, the previous amortized cost of the security less the amount of the other-than-temporary impairment recorded through earnings becomes the investment’s new cost basis. Ambac accretes the new cost basis to par or to the estimated future cash flows to be recovered over the expected remaining life of the security. The evaluation of securities for impairment is a quantitative and qualitative process, which is subject to risks and uncertainties and is intended to determine whether, and to what extent, declines in the fair value of investments should be recognized in current period earnings. The risks and uncertainties include changes in general economic conditions, the issuer’s or guarantor’s financial condition and/or future prospects, the effects of regulatory actions on the investment portfolio, the performance of the underlying collateral, the effects of changes in interest rates or credit spreads and the expected recovery period. With respect to all Ambac insured securities owned, future cash flows used to measure credit impairment represents the sum of (i) the bond’s intrinsic cash flows and (ii) the estimated Ambac Assurance claim payments. For Ambac-insured securities owned guaranteed under policies allocated to the Segregated Account, the estimate of Ambac Assurance claim payments includes interest on Deferred Amounts. Ambac estimates the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities are at the sole discretion of the Rehabilitator. Further modifications to the Segregated Account Rehabilitation Plan or to the rules and guidelines promulgated thereunder, orders from the Rehabilitation Court or actions by the Rehabilitator with respect to the form, amount and timing of satisfying permitted policy claims, or making payments on Deferred Amounts or surplus notes, may have a material effect on the fair value of Segregated Account securities and future recognition of other-than-temporary impairments. Refer to Note 1. Background and Business Description for information relating to the amended Segregated Account Rehabilitation Plan. Ambac’s assessment about whether a decline in value is other-than-temporary reflects management’s current judgment regarding facts and circumstances specific to a security and the factors noted above, including Ambac's intention to sell securities and ability to hold temporarily impaired securities until recovery. If that judgment changes, Ambac may ultimately record a charge for other-than-temporary impairment in future periods. |
Derivative Contracts | Derivative Contracts: The Company has entered into derivative contracts both for trading purposes and to hedge certain economic risks inherent in its financial asset and liability portfolios. Derivatives for trading include credit derivatives, interest rate swaps and futures contracts. None of Ambac’s derivative contracts were designated as hedges under the Derivatives and Hedging Topic of the ASC. 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 of credit derivatives are recorded in Net change in fair value of credit derivatives on the Consolidated Statements of Total Comprehensive Income (Loss). Ambac provides interest rate swaps principally to states, municipalities and their authorities and asset-backed issuers in connection with their financings. Ambac also maintains interest rate derivatives to mitigate exposure to floating rate insured obligations in the financial guarantee portfolio. Changes in fair value of interest rate derivatives are recorded in Derivative product revenue on the Consolidated Statements of Total Comprehensive Income (Loss). VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts to meet specified purposes within their securitization structure. Changes in fair value of consolidated VIE derivatives are included within Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). All derivatives are recorded on the Consolidated Balance Sheets at fair value on a gross basis; assets and liabilities are netted by customer only when a legal right of offset exists. Ambac has determined that the amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral may not be used to offset amounts due under the derivative instruments in the normal course of settlement. Therefore, such amounts are not offset against fair value amounts recognized for derivative instruments executed with the same counterparty under the same master netting arrangement. Refer to Note 12. Derivative Instruments for further discussion of the Company’s use of derivative instruments and their impact of the consolidated financial statements. Refer to Note 10. Fair Value Measurements for further description of the methodologies used to determine the fair value of derivative contracts, including model inputs and assumptions where applicable. |
Loans | Loans: Loans are reported at either their outstanding principal balance less unamortized discount or at fair value. For loans reported at their outstanding principal balance less unamortized discount (non-VIE loans), interest income is earned using the effective interest method based upon interest accrued on the unpaid principal balance adjusted for accretion of discounts. A loan is considered impaired when, based on the financial condition of the borrower, it is probable that Ambac will be unable to collect all principal and interest due according to the contractual terms of the loan agreement. Loans held by VIEs consolidated as required under the Consolidation Topic of the ASC are carried at fair value, with changes in fair value recorded in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). |
Debt, Policy | Long-Term Debt: Long-term debt issued by Ambac is carried at par value less unamortized discount. Accrued interest and discount accretion on long-term debt is reported as Interest expense on the Consolidated Statements of Total Comprehensive Income (Loss). To the extent Ambac repurchases its long-term debt or the Rehabilitator redeems Segregated Account surplus notes, which may also trigger a proportionate redemption in General Account surplus notes, such repurchases or redemptions may be settled for an amount different than the carrying value of the obligation. Any difference between the settlement payment and carrying value of the obligation is reported in Net realized gains (losses) on extinguishment of debt on the Consolidated Statements of Total Comprehensive Income (Loss). Long-term debt issued by VIEs for which Ambac is not primarily liable, is carried at fair value with changes in fair value recorded as Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Refer to Note 14. Long-Term Debt for further discussion. |
Obligations Under Investment Agreements and Investment Repurchase Agreements | Obligations under Investment Agreements: Ambac provides investment agreements principally to asset-backed and structured finance issuers, states, municipalities and municipal authorities, whereby Ambac agrees to pay an agreed-upon rate of interest based on funds deposited. Proceeds from these investment agreement and investment repurchase agreement obligations were used to invest in fixed income investments. Interest income from these investments is included in Net investment income on the Consolidated Statements of Total Comprehensive Income (Loss). Obligations under investment agreements are reported as liabilities on the Consolidated Balance Sheets at their principal value less unamortized discount. The carrying value of these obligations is adjusted for principal paid and interest credited to the account. Interest expense is computed based upon daily outstanding liability balances at rates and periods specified in the agreements adjusted for accretion of discount. Subject to a negotiation among the parties, investment agreements may be settled for an amount different than the carrying value of the obligation. Any difference between the settlement payment and carrying value of the terminated investment agreement obligation is reported in Net realized gains (losses) on extinguishment of debt on the Consolidated Statements of Total Comprehensive Income (Loss). |
Income Taxes | Income Taxes: Ambac files a consolidated U.S. Federal income tax return with its subsidiaries. Ambac UK files tax returns in both the United Kingdom and Italy (for its Milan branch). Deferred tax assets and liabilities are recognized for the future tax consequences attributable to differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred tax assets and liabilities of a change in tax rates is recognized in the period that includes the enactment date. Ambac evaluates our deferred income taxes quarterly to determine if valuation allowances are required. The Income Taxes Topic of the ASC requires that companies assess whether valuation allowances should be established against their deferred tax assets based on the consideration of all available evidence using a ‘more likely than not” standard. In making such judgments, significant weight is given to evidence that can be objectively verified. The level of deferred tax asset recognition is influenced by management’s assessment of future profitability, which depends on the existence of sufficient taxable income of the appropriate character (ordinary vs. capital) within the carry back or carry forward periods available under the tax law. In the event that we determine that we would not be able to realize all or a portion of our deferred tax assets in the future, we would reduce such amounts through a charge to the Statement of Total Comprehensive Income in the period in which that determination is made. The Income Taxes Topic of the ASC provides a framework to determine the appropriate level of tax reserves for uncertain tax positions. This framework prescribes a more-likely-than-not threshold for financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. Ambac also accrues interest and penalties related to these unrecognized tax benefits in the provision for income taxes. |
Postretirement and Postemployment Benefits | Postretirement and Postemployment Benefits: Ambac provides postretirement and postemployment benefits, including health and life benefits covering employees who meet certain age and service requirements. Ambac accounts for these benefits under the accrual method of accounting. Amounts related to the postretirement health benefits liability are established and charged to expense based on actuarial determinations. |
Stock Compensation Plan | Long Term Incentive and Stock Compensation Plans: The Ambac 2013 Incentive Compensation Plan (the “Equity Plan”) provides for the granting of stock options, restricted stock, stock appreciation rights, restricted and performance units and other awards that are valued or determined by reference to Ambac's common stock to employees and directors. In March 2014, Ambac developed a long term incentive compensation plan (“LTIP”) as a sub-plan of the 2013 Plan. This LTIP allows for both cash and equity performance awards to US employees. In 2015, Ambac UK 's Board of Directors adopted a long term incentive plan which provides cash based performance awards to Ambac UK employees. Ambac recognizes compensation costs for all equity classified awards granted at fair value with an estimation of forfeitures for all unvested shares. Stock options and restricted stock units granted only require future service and accordingly the respective fair value is amortized over the relevant service period. Performance stock units granted and performance cash awards require both future service and achieving specified performance targets to vest and accordingly compensation costs are only recognized when the achievement of the performance conditions are considered probable. Once deemed probable, such compensation costs are amortized over the relevant service period. Compensation costs are initially based on the probable outcome of the performance conditions and adjusted for subsequent changes in the estimated or actual outcome each reporting period as necessary. Changes in the estimated or actual outcome of a performance condition are recognized by reflecting a retrospective adjustment to compensation cost in the current period. |
Depreciation and Amortization | Depreciation and Amortization: Depreciation of furniture and fixtures and electronic data processing equipment is charged over the estimated useful lives of the respective assets, ranging from three to five years, using the straight-line method. Amortization of leasehold improvements is charged over the remaining term of the respective operating lease using the straight-line method. |
Foreign Currency | Foreign Currency: Financial statement accounts expressed in foreign currencies are translated into U.S. dollars in accordance with the Foreign Currency Matters Topic of the ASC. Functional currency assets and liabilities of Ambac’s foreign subsidiaries are translated into U.S. dollars using exchange rates in effect at the balance sheet dates and the related translation adjustments, net of deferred taxes, are included as a component of Accumulated Other Comprehensive Income in Stockholders' Equity. Functional currencies are generally the currencies of the local operating environment. Consolidated Statements of Total Comprehensive Income (Loss) accounts expressed in functional currencies are translated using average exchange rates. Foreign currency transaction gains and losses arising from investment impairments are reflected in Net other-than-temporary impairment losses recognized in earnings. Foreign currency transaction gains and losses arising from sales of foreign denominated investment securities are reflected in Net realized investment gains. Foreign currency transaction gains and losses arising from cash denominated in non-functional currencies as well as the re-measurement of non-functional currency premium receivables are reflected in Other income in the Consolidated Statements of Total Comprehensive Income (Loss). The Consolidated Statements of Total Comprehensive Income (Loss) include pre-tax gains (losses) from such foreign exchange items of $3,836 and $1,326 for the years ended December 31, 2015 and 2014 , respectively, $(12,372) for the eight months ended December 31, 2013 and $8,694 for the four months ended April 30, 2013. Foreign currency transaction gains and losses arising from the re-measurement of non-functional currency loss reserves are included within losses and loss expenses in the Consolidated Statements of Total Comprehensive Income (Loss). |
Reclassifications | Reclassifications: Certain reclassifications have been made to prior years' amounts to conform to the current year's presentation. |
Adoption of New Accounting Standards | Recently Adopted and Recently Issued Accounting Standards: Adopted: Effective January 1, 2015, Ambac adopted 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 previous U.S. GAAP, many disposals, some of which may be routine in nature and not a change in an entity's strategy, were 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 adoption of this ASU did not have a material effect on Ambac's financial statements. Issued: In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis . This ASU makes changes to the VIE model and voting interest ("VOE") model consolidation guidance. The main provisions of the ASU include the following: i) adding a requirement that limited partnerships and similar legal entities must provide partners with either substantive kick-out rights or substantive participating rights over the general partner to qualify as a VOE rather than a VIE; ii) eliminating the presumption that the general partner should consolidate a limited partnership; iii) eliminating certain conditions that need to be met when evaluating whether fees paid to a decision maker or service provider are considered a variable interest; iv) excluding certain fees paid to decision makers or service providers when evaluating which party is the primary beneficiary of a VIE; and v) revising how related parties are evaluated under the VIE guidance. Lastly, the ASU eliminates the indefinite deferral of FAS 167, which allowed reporting entities with interests in certain investment funds to follow previous guidance in FIN 46 (R). However, the ASU permanently exempts reporting entities from consolidating registered money market funds that operate in accordance with Rule 2a-7 of the Investment Company Act of 1940. The ASU is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. Entities may apply this ASU either using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning period of adoption or retrospectively to all prior periods presented in the financial statements. Early adoption is also permitted provided that the ASU is applied from the beginning of the fiscal year of adoption. Ambac will adopt ASU 2015-02 on January 1, 2016 and it is is not expected to have a material impact on Ambac's financial statements. In April 2015, the FASB issued ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) . This ASU simplifies the presentation of debt issuance costs by requiring that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. The ASU is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. Early adoption is also permitted for financial statements that have not been previously issued. Upon adoption, the ASU must be retrospectively applied to all prior periods presented. Ambac will adopt this ASU on January 1, 2016. The adoption of this ASU is not expected to have a material impact on Ambac's financial statements. In May 2015, the FASB issued ASU 2015-07, Fair Value Measurement (Topic 820) - Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) . Reporting entities are permitted to use net asset value ("NAV") as a practical expedient to measure the fair value of certain investments. Under current U.S. GAAP, investments that use the NAV practical expedient to measure fair value are categorized within the fair value hierarchy as level 2 or level 3 investments depending on their redemption attributes, which has led to diversity in practice. This ASU will remove the requirement to categorize within the fair value hierarchy all investments that use the NAV practical expedient for fair value measurement purposes. Furthermore, the ASU will remove the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV practical expedient. The ASU is effective for fiscal years beginning after December 15, 2015 and interim periods with those fiscal years. The ASU must be applied retrospectively to all prior periods presented. Ambac will adopt ASU 2015-07 on January 1, 2016. The adoption of this ASU is not expected to have a material impact on Ambac's financial statements. In May 2015, the FASB issued ASC 2015-09, Financial Services - Insurance (Topic 944) - Disclosures about Short-Duration Contracts. The primary objective of this ASU is to improve disclosures for insurance entities which issue short-duration contracts. The ASU made significant amendments to the Short-Duration Contract disclosure section and limited amendments affecting the General disclosure section of Topic 944. Ambac, as a provider of financial guarantee contracts, is subject to the General sections but not the Short-Duration Contract sections of Topic 944. The ASU is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016. Ambac will adopt ASU 2015-09 on December 31, 2016. The limited amendments made to the General disclosure section are not expected to have a material impact on Ambac's financial statement disclosures. In January 2016, the FASB issued ASC 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The ASU makes the following targeted changes for financial assets and liabilities: i) requiring equity investments with readily determinable fair values to be measured at fair value with changes recognized in net income; ii) simplifying the impairment assessment of equity securities without readily determinable fair values using a qualitative approach; iii) eliminating disclosure of the method and significant assumptions used to fair value instruments measured at amortized cost on the balance sheet; iv) requiring use of the exit price notion when measuring the fair value of instruments for disclosure purposes; v) for financial liabilities where the fair value option has been elected, requiring the portion of the fair value change related to instrument-specific credit risk (which includes a Company's own credit risk) to be separately reported in other comprehensive income; vi) requiring the separate presentation of financial assets and liabilities by measurement category and form of financial asset (liability) on the balance sheet or accompanying notes; and vii) clarifying that the evaluation of a valuation allowance on a deferred tax asset related to available-for-sale securities should be performed in combination with the entity's other deferred tax assets. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those years Early adoption of item (v) above is permitted for financial statements (both annual and interim periods) that have not yet been issued. We have not determined when we will adopt item (v) above of this ASU. We will adopt the remaining provisions of the ASU on January 1, 2018. We are evaluating the impact of this ASU on Ambac's financial statements. In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . The main difference between current U.S. GAAP and this ASU is the recognition of lease assets and lease liabilities for those leases classified as operating leases. For operating leases, a lessee is required to: 1) recognize a right-of-use asset and a lease liability, initially measured at the present value of the lease payments, in the balance sheet, 2) recognize a single lease cost, calculated so that the cost is allocated over the lease term generally on a straight-line basis and 3) classify all cash payment within operating activities in the statement of cash flows. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The transition guidance requires lessees to recognize and measure leases at the beginning of the earliest period presented using a modified retrospective approach which include a number of optional practical expedients. We will adopt ASU 2015-02 on January 1, 2019. We are evaluating the impact of this ASU, including the transitional practical expedients, on Ambac's financial statements. |
Basis of Presentation and Sig32
Basis of Presentation and Significant Accounting Policies Recently Adopted and Recently Issued Accounting Standards (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
New Accounting Pronouncements, Policy [Policy Text Block] | Recently Adopted and Recently Issued Accounting Standards: Adopted: Effective January 1, 2015, Ambac adopted 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 previous U.S. GAAP, many disposals, some of which may be routine in nature and not a change in an entity's strategy, were 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 adoption of this ASU did not have a material effect on Ambac's financial statements. Issued: In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis . This ASU makes changes to the VIE model and voting interest ("VOE") model consolidation guidance. The main provisions of the ASU include the following: i) adding a requirement that limited partnerships and similar legal entities must provide partners with either substantive kick-out rights or substantive participating rights over the general partner to qualify as a VOE rather than a VIE; ii) eliminating the presumption that the general partner should consolidate a limited partnership; iii) eliminating certain conditions that need to be met when evaluating whether fees paid to a decision maker or service provider are considered a variable interest; iv) excluding certain fees paid to decision makers or service providers when evaluating which party is the primary beneficiary of a VIE; and v) revising how related parties are evaluated under the VIE guidance. Lastly, the ASU eliminates the indefinite deferral of FAS 167, which allowed reporting entities with interests in certain investment funds to follow previous guidance in FIN 46 (R). However, the ASU permanently exempts reporting entities from consolidating registered money market funds that operate in accordance with Rule 2a-7 of the Investment Company Act of 1940. The ASU is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. Entities may apply this ASU either using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning period of adoption or retrospectively to all prior periods presented in the financial statements. Early adoption is also permitted provided that the ASU is applied from the beginning of the fiscal year of adoption. Ambac will adopt ASU 2015-02 on January 1, 2016 and it is is not expected to have a material impact on Ambac's financial statements. In April 2015, the FASB issued ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) . This ASU simplifies the presentation of debt issuance costs by requiring that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. The ASU is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015. Early adoption is also permitted for financial statements that have not been previously issued. Upon adoption, the ASU must be retrospectively applied to all prior periods presented. Ambac will adopt this ASU on January 1, 2016. The adoption of this ASU is not expected to have a material impact on Ambac's financial statements. In May 2015, the FASB issued ASU 2015-07, Fair Value Measurement (Topic 820) - Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) . Reporting entities are permitted to use net asset value ("NAV") as a practical expedient to measure the fair value of certain investments. Under current U.S. GAAP, investments that use the NAV practical expedient to measure fair value are categorized within the fair value hierarchy as level 2 or level 3 investments depending on their redemption attributes, which has led to diversity in practice. This ASU will remove the requirement to categorize within the fair value hierarchy all investments that use the NAV practical expedient for fair value measurement purposes. Furthermore, the ASU will remove the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV practical expedient. The ASU is effective for fiscal years beginning after December 15, 2015 and interim periods with those fiscal years. The ASU must be applied retrospectively to all prior periods presented. Ambac will adopt ASU 2015-07 on January 1, 2016. The adoption of this ASU is not expected to have a material impact on Ambac's financial statements. In May 2015, the FASB issued ASC 2015-09, Financial Services - Insurance (Topic 944) - Disclosures about Short-Duration Contracts. The primary objective of this ASU is to improve disclosures for insurance entities which issue short-duration contracts. The ASU made significant amendments to the Short-Duration Contract disclosure section and limited amendments affecting the General disclosure section of Topic 944. Ambac, as a provider of financial guarantee contracts, is subject to the General sections but not the Short-Duration Contract sections of Topic 944. The ASU is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016. Ambac will adopt ASU 2015-09 on December 31, 2016. The limited amendments made to the General disclosure section are not expected to have a material impact on Ambac's financial statement disclosures. In January 2016, the FASB issued ASC 2016-01, Financial Instruments - Overall (Subtopic 825-10) - Recognition and Measurement of Financial Assets and Financial Liabilities . The ASU makes the following targeted changes for financial assets and liabilities: i) requiring equity investments with readily determinable fair values to be measured at fair value with changes recognized in net income; ii) simplifying the impairment assessment of equity securities without readily determinable fair values using a qualitative approach; iii) eliminating disclosure of the method and significant assumptions used to fair value instruments measured at amortized cost on the balance sheet; iv) requiring use of the exit price notion when measuring the fair value of instruments for disclosure purposes; v) for financial liabilities where the fair value option has been elected, requiring the portion of the fair value change related to instrument-specific credit risk (which includes a Company's own credit risk) to be separately reported in other comprehensive income; vi) requiring the separate presentation of financial assets and liabilities by measurement category and form of financial asset (liability) on the balance sheet or accompanying notes; and vii) clarifying that the evaluation of a valuation allowance on a deferred tax asset related to available-for-sale securities should be performed in combination with the entity's other deferred tax assets. The ASU is effective for fiscal years beginning after December 15, 2017, including interim periods within those years Early adoption of item (v) above is permitted for financial statements (both annual and interim periods) that have not yet been issued. We have not determined when we will adopt item (v) above of this ASU. We will adopt the remaining provisions of the ASU on January 1, 2018. We are evaluating the impact of this ASU on Ambac's financial statements. In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842) . The main difference between current U.S. GAAP and this ASU is the recognition of lease assets and lease liabilities for those leases classified as operating leases. For operating leases, a lessee is required to: 1) recognize a right-of-use asset and a lease liability, initially measured at the present value of the lease payments, in the balance sheet, 2) recognize a single lease cost, calculated so that the cost is allocated over the lease term generally on a straight-line basis and 3) classify all cash payment within operating activities in the statement of cash flows. The ASU is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The transition guidance requires lessees to recognize and measure leases at the beginning of the earliest period presented using a modified retrospective approach which include a number of optional practical expedients. We will adopt ASU 2015-02 on January 1, 2019. We are evaluating the impact of this ASU, including the transitional practical expedients, on Ambac's financial statements. |
Basis of Presentation and Significant Accounting Policies [Text Block] | 2. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES Ambac’s consolidated financial statements have been prepared on the basis of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues, expenses and disclosures of contingent assets and liabilities. Such estimates that are particularly susceptible to change are used in connection with certain fair value measurements, the evaluation of other than temporary impairments on investments, loss reserves for non-derivative insurance policies, the evaluation of the need for an impairment of goodwill or valuation allowance on the deferred tax asset, any of which individually could be material. Reorganization: Entities operating in bankruptcy and expecting to reorganize under Chapter 11 of the Bankruptcy Code are subject to the additional accounting and financial reporting guidance under the Reorganization Topic of the Accounting Standards Codification (the “ASC”). While the Reorganization Topic of the ASC provides specific guidance for certain matters, other portions of GAAP continue to apply so long as the guidance does not conflict with the Reorganization Topic of the ASC. This accounting literature provides guidance for periods subsequent to a Chapter 11 filing, among other things, the presentation of liabilities that are and are not subject to compromise pursuant to the bankruptcy proceedings, as well as the treatment of interest expense and presentation of costs associated with the proceedings. For the purpose of presenting an entity’s financial condition, the financial statements for periods including and after filing the Chapter 11 petition shall distinguish transactions and events that are directly associated with the reorganization from the ongoing operations of the business. Under the Reorganization Topic of the ASC, the Company determined that fresh start financial statement reporting was to be applied upon our emergence from Chapter 11 because (i) the reorganization value (further described in Note 3. Fresh Start Financial Statement Reporting ) of the emerging entity was less than total post-petition liabilities and allowed claims, and (ii) the holders of existing voting shares immediately before the confirmation of the Reorganization Plan received less than 50% of the voting shares of the emerging entity. Specifically, fresh start reporting was applied upon confirmation of the Reorganization Plan by the Bankruptcy Court and the satisfaction of the remaining material contingencies necessary to complete implementation of the Reorganization Plan. All conditions required for the adoption of fresh start reporting were satisfied by the Company on April 30, 2013 (“Fresh Start Reporting Date”) when Ambac executed a closing agreement with the United States Internal Revenue Service (the "IRS") to conclude the settlement of a dispute. As such, fresh start financial statement reporting ("Fresh Start") was adopted by the Company on April 30, 2013, 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 Predecessor Ambac financial statements. The implementation of fresh start reporting is further described in Note 3. Fresh Start Financial Statement Reporting . 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 (Loss) consisted of the following items: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 U.S. Trustee fees $ — $ 7 $ 33 $ 23 Professional fees — 204 460 4,483 Gain from cancellation and satisfaction of Predecessor Ambac debt — — — (1,521,435 ) Fresh start reporting adjustments — — — (1,228,251 ) Total reorganization items $ — $ 211 $ 493 $ (2,745,180 ) Ambac Unconsolidated Financial Information: Financial information of Ambac is presented in Schedule II to this Form 10-K as of December 31, 2015 and 2014 and for the years ended December 31, 2015 , 2014 and 2013 . Investments in subsidiaries are accounted for using the equity method of accounting. Consolidation: The consolidated financial statements include the accounts of Ambac and all other entities in which Ambac (directly or through its subsidiaries) has a controlling financial interest, including variable interest entities (“VIEs”) for which Ambac or an Ambac subsidiary is deemed the primary beneficiary in accordance with the Consolidation Topic of the ASC. All significant intercompany balances have been eliminated. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as VIEs, through arrangements that do not involve controlling voting interests. The primary beneficiary of a VIE is the party that has both the following characteristics: a) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and b) the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. A VIE is an entity: a) that lacks enough equity investment at risk to permit the entity to finance its activities without additional subordinated financial support from other parties; or b) where the group of equity holders does not have: (1) the power, through voting rights or similar rights, to direct the activities of an entity that most significantly impact the entity’s economic performance; (2) the obligation to absorb the entity’s expected losses; or (3) the right to receive the entity’s expected residual returns. The determination of whether a variable interest holder is the primary beneficiary involves performing a qualitative analysis of the VIE that includes, among other factors, its capital structure, contractual terms including the rights of each variable interest holder, the activities of the VIE, whether the variable interest holder has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, whether the variable interest holder has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, related party relationships and the design of the VIE. Refer to Note 4. Special Purpose Entities, Including Variable Interest Entities , for a detailed discussion of Ambac’s involvement in VIEs, Ambac’s methodology for determining whether Ambac is required to consolidate a VIE and the effects of VIEs being consolidated. Goodwill: At the Fresh Start Reporting Date, we revalued our assets and liabilities to current estimated fair value. The excess reorganization value which could not be attributed to the fair value of specific identified tangible and intangible assets ("fair value of net assets") was recorded as goodwill. Pursuant to the Intangibles - Goodwill and Other Topic of the ASC, goodwill is not amortized but is subject to annual impairment testing. We test goodwill for impairment as of October 1 st of each year. Goodwill is also tested more frequently if indicators of impairment exist for each reporting unit. The Company has an option to first assess qualitative factors, in their totality, to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount as a basis for determining whether it is necessary to perform a goodwill impairment test. If the Company determines that it is more likely than not that the fair value of a reporting unit is less than its carrying amount, then the Company is required to perform the goodwill impairment test. Alternatively, we may bypass this qualitative assessment and perform step one of the goodwill impairment test described below. Goodwill impairment is determined using a two-step approach. In step one of the goodwill impairment test, the fair value of a reporting unit is compared with its carrying amount, including goodwill. If the fair value is in excess of the carrying amount, including goodwill, the reporting unit’s goodwill is considered not to be impaired. If the carrying amount, including goodwill, of a reporting unit exceeds its fair value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. In step two of the goodwill impairment test, the implied fair value of a reporting unit’s goodwill is compared with the carrying amount of that goodwill. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination and is defined as the excess of the fair value of a reporting unit over the fair value of the net assets of a reporting unit. If the carrying amount of goodwill exceeds its implied fair value, an impairment loss is recognized for the excess. If the carrying amount of goodwill is less than its implied fair value, no goodwill impairment is recognized. Goodwill impairment testing is performed at the reporting unit level. We have identified two reporting units of Ambac: (1) Financial Guarantee, which provides financial guarantees (including credit derivatives) for public finance, structured finance and other obligations; and (2) Financial Services, which provides investment agreements, funding conduits, and interest rate swaps, principally to clients of the financial guarantee business. These reporting units are also the sole operating segments which make up the Financial Guarantee and Financial Services reportable segments, respectively, as further described in Note 19. Segment Information . We have assigned assets and liabilities to each reporting unit based on specific identification. In evaluating which reporting units should be assigned goodwill, we considered the sources of Ambac’s estimated enterprise value at the Fresh Start Reporting Date, as further described in Note 3. Fresh Start Financial Statement Reporting . Based on that analysis, we have assigned all goodwill recorded at the Fresh Start Reporting Date to the Financial Guarantee reporting unit. During the September 30, 2015 reporting period, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation. These indicators included the recent trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis as of September 30, 2015, we performed step one of the goodwill impairment test for the Financial Guarantee reporting unit. We estimated the fair value of the Financial Guarantee reporting unit using a market approach, which is derived using: i) Ambac’s common stock and warrant market capitalization, ii) fair value estimates of Ambac Assurance preferred shares (reported as noncontrolling interests on Ambac's balance sheet) and iii) an estimated control premium. Step one of the impairment test indicated the Financial Guarantee reporting unit's carrying value exceeded its fair value. Accordingly, Ambac performed step two of the impairment test as of September 30, 2015, which indicated the implied fair value of goodwill was zero . This was the result of substantial decreases in the Financial Guarantee reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the Financial Guarantee reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The Financial Guarantee reporting unit's fair value of net assets increased significantly primarily as a result of a decrease in the estimated fair value of financial guarantee liabilities and, to a lesser extent, a decrease in the fair value of long-term debt. The fair value decrease in financial guarantee liabilities, which is a Level 3 estimate, was primarily driven by wider Ambac credit spreads and positive loss and loss expense reserves development. Please refer to Note 10. Fair Value Measurements for further discussion on the fair value model for financial guarantee liabilities. The fair value decrease in long-term debt was driven by lower market pricing on surplus notes and junior surplus notes. As a result, the Company recorded a full non-cash, non-tax deductible goodwill impairment charge of $514,511 at September 30, 2015. The following is a summary of activity in goodwill that was all assigned to the Financial Guarantee reporting unit: December 31 2015 2014 Beginning balance $ 514,511 $ 514,511 Impairment loss (514,511 ) — Ending balance $ — $ 514,511 Restricted Cash: Cash that we do not have the right to use for general purposes is recorded as restricted cash in our consolidated balance sheets. Restricted cash includes consolidated variable interest entity cash restricted to fund the obligations of the consolidated VIEs. Net Income Per Share: Basic net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding, inclusive of unsettled vested restricted stock units. Diluted net income per share is computed by dividing net income (loss) attributable to common stockholders by the weighted-average number of common shares outstanding plus all dilutive potential common shares outstanding during the period. All dilutive potential common shares outstanding consider common stock deliverable pursuant to warrants issued under the Reorganization Plan and those pursuant to stock options and non-vested restricted and performance stock units. 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 December 31, 2015 and 2014 , was 2.7% . and 2.7% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2015 and 2014 , was 9.2 years and 10.1 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. For both upfront and installment premium policies, premium revenues are earned over the life of the financial guarantee contract in proportion to the insured principal amount outstanding at each reporting date (referred to as the level-yield method). For installment paying policies, the premium receivable discount, equating to the difference between the undiscounted future installment premiums and the present value of future installment premiums, is accreted as premiums earned in proportion to the premium receivable balance at each reporting date. Similar to gross premiums, premiums ceded to reinsurers are paid either upfront or in installments. For premiums paid upfront, a deferred ceded premium asset is established which is initially recorded as the cash amount paid. For installment premiums, a ceded installment premiums payable liability and offsetting deferred ceded premium asset are initially established in an amount equal to: i) the present value of future contractual premiums due or, ii) if the underlying insured obligation is a homogenous pool of assets which are contractually pre-payable, the present value of expected premiums to be paid over the life of the transaction. An appropriate risk-free rate corresponding to the weighted average life of each policy and exposure currency is used to discount the future premiums contractually due or expected to be collected. Premiums ceded to reinsurers reduce the amount of premiums earned by Ambac from its financial guarantee insurance policies. For both up-front and installment premiums, ceded premiums written are primarily recognized in earnings in proportion to and at the same time as the related gross premium revenue is recognized. For premiums paid to reinsurers on an installment basis, Ambac records the present value of future ceding commissions as an offset to ceded premiums payable, using the same assumptions noted above for installment premiums. 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, we offset the recognition of any remaining UPR 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. 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. For policies with refunding securities, premium revenue recognition is not impacted as the escrowed maturity date is the same as the previous legal maturity date. For policies with pre-refunding securities, the maturity date of the pre-refunded security has been shortened from its previous legal maturity. Although premium revenue recognition has not been accelerated in the period of the pre-refunding, it results in an increase in the rate at which the policy's remaining UPR is to be recognized. Loss Reserves: The loss and loss expense reserve (“loss reserve”) policy for financial guarantee insurance relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including unconsolidated VIEs. Loss reserves are based upon estimates of the ultimate aggregate losses inherent in the non-derivative financial guarantee portfolio as of the reporting date. The policy for derivative contracts is discussed in the “Derivative Contracts” section below. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include (a) unpaid claims and (b) the present value ("PV") of estimated expected future losses, net of expected future recoveries, required to be paid under an insurance contract, further described below: • Unpaid claims represent the sum of (i) claims not yet paid for policies allocated to the Segregated Account, including Deferred Amounts (as defined in Note 1. Background and Business Description ) 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. Background and Business Description for further discussion of the amended Segregated Account Rehabilitation Plan. Unpaid claims are measured based on the cost of settling the claims, which is principal plus accrued interest. • The PV of expected future losses, net of expected future recoveries, are impacted by: (i) expected future claims under an insurance contract, including the impact of potential settlement outcomes upon future installment premiums, (ii) expected recoveries from contractual breaches of RMBS representations and warranties by transaction sponsors, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries. Expected receipts from third parties within the underlying transaction's cash flow structure relating to contractual breaches in non-RMBS securitizations may also reduce expected future claims. Ambac’s approach to resolving disputes involving contractual breaches by transaction sponsors or other third parties has included negotiations and/or pursuing litigation. Ambac does not include potential recoveries from litigation attributed solely to fraudulent inducement claims in our estimate of subrogation recoveries, since any remedies under such claims would be non-contractual. Net cash outflow policies represent contracts where the sum of unpaid claims plus the PV of expected future losses are greater than the PV of expected future recoveries. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of these net cash outflows in excess of UPR. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected recoveries are greater than the sum of unpaid claims plus the PV of expected future losses. For such policies, a “Subrogation recoverable” asset is recorded for the sum of these net cash inflows. The approaches used to estimate expected future losses and recoveries considers the likelihood of all possible outcomes. The evaluation process for determining expected losses is subject to certain judgments based on our assumptions regarding the probability of default by the issuer of the insured security, probability of settlement outcomes (which may include commutation settlements, refinancing and/or other settlement outcomes) and expected severity of credits for each insurance contract. Ambac’s loss reserves are based on management’s on-going review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Portfolio Risk Management ("PRM") group to track credit migration of insured obligations from period to period and update internal classifications and credit ratings for each transaction. Non-adversely classified credits are assigned a Class I or Survey List (“SL”) rating while adversely classified credits are assigned a rating of Class IA through Class V. The criteria for an exposure to be assigned an adversely classified credit rating includes the deterioration of an issuer’s financial condition, underperformance of the underlying collateral (for collateral dependent transactions such as mortgage-backed or student loan securitizations), poor performance by the servicer of the underlying collateral and other adverse economic events or trends. The servicer of the underlying collateral of an insured securitization transaction is a consideration in assessing credit quality because the servicer’s performance can directly impact the performance of the related issue. For example, a servicer of a mortgage-backed securitization that does not remain current in its collection loss mitigation efforts could cause an increase in the delinquency and potential default of the underlying obligation. Similarly, loss severities increase when a servicer does not effectively handle loss mitigation activities such as (i) the advancing of delinquent principal and interest and of default related expenses which are deemed to be recoverable by the servicer, (ii) pursuit of loan charge-offs which maximize cash flows from the mortgage loan pool, and (iii) foreclosure and real estate owned disposition strategies and timelines. All credits are assigned risk classifications by the Surveillance Group using the following guidelines: CLASS I - “Fully Performing - Meets Ambac Criteria with Remote Probability of Claim” - Credits that demonstrate adequate security and structural protection with a strong capacity to pay interest, repay principal and perform as underwritten. Factors supporting debt service payment and performance are considered unlikely to change and any such change would not have a negative impact upon the fundamental credit quality. SURVEY LIST - “Investigation of Specific Condition or Weakness Underway” - Credits that require additional analysis to determine if adverse classification is warranted. These credits may lack information or demonstrate a weakness but further deterioration is not expected. CLASS IA - “Potential Problem with Risks to be Dimensioned” - Credits that are fully current and monetary default or claims-payment are not anticipated. The payor’s or issuer’s financial condition may be deteriorating or the credits may lack adequate collateral. A structured financing may also evidence weakness in its fundamental credit quality as evidenced by its under-performance relative to its modeled projections at underwriting, issues related to the servicer’s ability to perform or questions about the structural integrity of the transaction. While these credits may still retain an investment grade rating, they usually have experienced or are vulnerable to a ratings downgrade. Further investigation is required to dimension and correct any deficiencies. A complete legal review of documents may be required. An action plan should be developed with triggers for future classification changes upward or downward. CLASS II - “Substandard Requiring Intervention” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service may be jeopardized by adversely developing trends of a financial, economic, structural, managerial or political nature. No claim payment is currently foreseen but the probability of loss or claim payment over the life of the transaction is now existent (generally 10% or greater probability). Class II credits may be border-line or below investment grade (BBB- to B). Prompt and sustained action must be taken to execute a comprehensive loss mitigation plan and correct deficiencies. CLASS III - “Doubtful with Clear Potential for Loss” - Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service has been or will be jeopardized by adverse trends of a financial, economic, structural, managerial or political nature which, in the absence of positive change or corrective action, are likely to result in a loss. The probability of monetary default or claims paying over the life of the transaction is generally 50% or greater. Full exercise of all available remedial actions is required to avert or minimize losses. Class III credits will generally be rated below investment grade (B to CCC). CLASS IV - “Imminent Default or Defaulted” - Monetary default or claim payments have occurred or are expected imminently. Class IV credits are generally rated D. CLASS V - “Fully Reserved” - The credit has defaulted and payments have occurred. The claim payments are scheduled and known, reserves have been established to fully cover such claims, and no claim volatility is expected. The population of credits evaluated in Ambac’s loss reserve process are: (i) all adversely classified credits (Class IA through V) and ii) non-adversely classified credits (Class I and SL) which had an internal Ambac rating downgrade since the transaction’s inception. One of two approaches is then utilized to estimate losses to ultimately determine if a loss reserve should be established. The first approach is a statistical expected loss approach, which considers the likelihood of all possible outcomes. The “base case” statistical expected loss is the product of: (i) the par outstanding on the credit; (ii) internally developed historical default information (taking into consideration internal ratings and average life of an obligation); (iii) internally developed loss severities; and (iv) a discount factor. The loss severities and default information are based on rating agency information, are specific to each bond type and are established and approved by senior officers of the PRM group. For certain credit exposures, Ambac’s additional monitoring, loss remediation efforts and probabilities of potential settlement outcomes may provide information relevant to adjust this estimate of “base case” statistical expected losses. Analysts may accept the “base case” statistical expected loss as the best estimate of expected loss or assign multiple probability weighted scenarios to determine an adjusted statistical expected loss that better reflects management’s view of a given transaction’s expected losses, as well as the potential for additional remediation activities (i.e. commutations). The second approach entails the use of cash-flow based models to estimate expected losses (future claims, net of potential recoveries, expected to be paid to the holder of the insured financial obligation). Ambac’s PRM group will consider the likelihood of all possible outcomes and develop appropriate cash flow scenarios. This approach can include the utilization of internal or third party models to project future losses and resultant claim payment estimates. We utilize cash flow models for residential mortgage-backed (RMBS), student loan, and other exposures. RMBS and student loan models use historical performance of the collateral pools in order to then derive future performance characteristics, such as default and voluntary prepayment rates, which in turn determine projected future claim payments. In other cases, such as many public finance exposures including our Puerto Rico exposures, we do not specifically forecast resources available to pay debt service in the cash flow model itself. Rather, we consider the issuers’ overall ability and willingness to pay, including the fiscal, economic, legal and political framework. In this approach a probability-weighted expected loss estimate is developed based on assigning probabilities to multiple claim payment scenarios and applying an appropriate discount factor. Additionally, we assign a probability to the issuer’s ability to refinance an insured issue and/or Ambac’s ability to execute a potential settlement (i.e. commutation) of the insurance policy, including the impact on future installment premiums. The commutation scenarios and the related probabilities of occurrence vary by transaction, depending on our view of the likelihood of negotiating such a transacti |
Basis of Presentation and Sig33
Basis of Presentation and Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Goodwill [Line Items] | |
Schedule of Goodwill [Table Text Block] | The following is a summary of activity in goodwill that was all assigned to the Financial Guarantee reporting unit: December 31 2015 2014 Beginning balance $ 514,511 $ 514,511 Impairment loss (514,511 ) — Ending balance $ — $ 514,511 |
Reorganization Costs [Table Text Block] | 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 (Loss) consisted of the following items: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 U.S. Trustee fees $ — $ 7 $ 33 $ 23 Professional fees — 204 460 4,483 Gain from cancellation and satisfaction of Predecessor Ambac debt — — — (1,521,435 ) Fresh start reporting adjustments — — — (1,228,251 ) Total reorganization items $ — $ 211 $ 493 $ (2,745,180 ) |
Fresh Start Financial Stateme34
Fresh Start Financial Statement Reporting (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Reorganizations [Abstract] | |
Fresh Start Adjustment Summary [Table Text Block] | The following table summarizes the impact of the fresh start adjustments, which in the aggregate was recorded as a Reorganization item gain on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Deferred acquisition costs $ (184,953 ) Loans (non-VIE) (1,575 ) Insurance intangible asset 1,658,972 Goodwill 514,511 Obligations under investment agreements (1,505 ) Long-term debt and accrued interest payable (767,924 ) Other liabilities (1,837 ) Variable Interest Entities: VIE loans and long-term debt 12,562 Asset/liability fair value adjustments impacting Reorganization items 1,228,251 Adjustment to deferred tax provision — Gain on fresh start adjustments $ 1,228,251 |
Schedule of Reconciliation of Enterprise Value to Reorganization Value, and Determination of Goodwill | The following table represents a reconciliation of the enterprise value to the reorganization value, and the determination of goodwill: Enterprise value $ 185,000 Add: Fair value of liabilities 28,393,020 Add: Fair value of noncontrolling interest 275,415 Reorganization value allocated to assets 28,853,435 Less: Fair value of identified tangible and intangible assets 28,338,924 Reorganization value in excess of fair value of assets (goodwill) $ 514,511 |
Fresh Start Reorganized Condensed Consolidated Balance Sheet | AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES Reorganized Condensed Consolidated Balance Sheet As of April 30, 2013 (Dollars in Thousands) Predecessor Ambac Reorganization Item Adjustments Fresh Start Adjustments Successor Ambac Assets: Investments $ 6,457,264 $ — $ — $ 6,457,264 Cash 254,851 (101,900 ) (A) 152,951 Receivable for securities sold 682 682 Investment income due and accrued 37,961 37,961 Premium receivables 1,531,631 1,531,631 Reinsurance recoverable on paid and unpaid losses 151,311 151,311 Deferred ceded premium 166,212 166,212 Subrogation recoverable 533,673 533,673 Deferred acquisition costs 184,953 (184,953 ) (C) — Loans 8,857 (1,575 ) (C) 7,282 Derivative assets 121,643 121,643 Current taxes — 4,410 (A) 4,410 Insurance intangible asset — 1,658,972 (C) 1,658,972 Goodwill — 514,511 (C) 514,511 Other assets 54,821 54,821 Variable interest entity assets: — Fixed income securities, at fair value 2,500,565 2,500,565 Restricted cash 24,150 24,150 Investment income due and accrued 4,851 4,851 Loans 14,758,077 (6,024 ) (C) 14,752,053 Intangible assets 164,520 164,520 Other assets 13,972 13,972 Total assets $ 26,969,994 $ (97,490 ) $ 1,980,931 $ 28,853,435 Liabilities and Stockholders’ Equity: Liabilities: Liabilities subject to compromise $ 1,704,641 $ (1,704,641 ) (B) $ — $ — Unearned premiums 2,482,314 2,482,314 Losses and loss expense reserve 6,106,345 6,106,345 Ceded premiums payable 92,468 92,468 Obligations under investment agreements 357,373 1,505 (C) 358,878 Obligations under investment repurchase agreements 5,926 5,926 Deferred taxes 1,580 1,580 Current taxes 97,490 (97,490 ) (A) — Long-term debt 155,271 (973 ) (B) 786,015 (C) 940,313 Accrued interest payable 252,788 (821 ) (B) (18,091 ) (C) 233,876 Derivative liabilities 621,645 621,645 Other liabilities 88,908 1,837 (C) 90,745 Payable for securities purchased 27 27 Variable interest entity liabilities: — Accrued interest payable 4,318 4,318 Long-term debt 15,041,624 (18,586 ) (C) 15,023,038 Derivative liabilities 2,425,517 2,425,517 Other liabilities 6,030 6,030 Total liabilities $ 29,444,265 $ (1,803,925 ) $ 752,680 $ 28,393,020 (Dollars in Thousands) Predecessor Ambac Reorganization Item Adjustments Fresh Start Adjustments Successor Ambac Stockholders’ (deficit) equity: Preferred stock $ — $ — $ — $ — Common stock-Predecessor Ambac 3,080 (3,080 ) (D) — Common stock-Successor Ambac — 450 (B) 450 Additional paid-in capital-Predecessor Ambac 2,172,027 (2,172,027 ) (D) — Additional paid-in capital-Successor Ambac — 184,550 (B) 184,550 Accumulated other comprehensive income 800,260 (800,260 ) (D) — Accumulated deficit (5,697,961 ) 1,521,435 (B) 4,176,526 (C) (D) — Common stock held in treasury at cost (410,695 ) 410,695 (D) — Total Ambac Financial Group, Inc. stockholders’ (deficit) equity (3,133,289 ) 1,706,435 1,611,854 185,000 Noncontrolling interest 659,018 (383,603 ) (D) 275,415 Total stockholders’ (deficit) equity (2,474,271 ) 1,706,435 1,228,251 460,415 Total liabilities and stockholders’ (deficit) equity $ 26,969,994 $ (97,490 ) $ 1,980,931 $ 28,853,435 Reorganization Item Adjustments: Items shown in the Reorganization Items column of the Reorganized Condensed Consolidated Balance Sheet above represent amounts recorded for the implementation of the Reorganization Plan on the Effective Date as described below: (A) Reflects the cash payment of $101,900 to the IRS under a settlement with the IRS on the Fresh Start Reporting Date pursuant to the Reorganization Plan. (B) Reflects the discharge of liabilities subject to the Reorganization Plan, issuance of 45,000,000 and 5,047,138 shares of Successor Ambac common stock and warrants, respectively, to certain claim holders, resulting in a pre-tax gain of $1,521,435 on extinguishment of obligations pursuant to the Reorganization Plan. The following reflects the calculation of the pre-tax gain, which was recorded as a Reorganization item on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Liabilities subject to compromise $ 1,704,641 Long-term debt 973 (1) Accrued interest payable 821 (1) Total debt discharged 1,706,435 Less: Successor Ambac common stock (450 ) (2) Successor Ambac additional paid-in capital (184,550 ) (2) Pre-tax gain from cancellation and satisfaction of Predecessor Ambac debt $ 1,521,435 (1) Represents the proportional reduction in the carrying value of long-term debt and associated accrued interest payable upon the discharge of $8,043 par value of Segregated Account junior surplus notes that were issued to a pre-petition creditor, One State Street, LLC (“OSS”). Pursuant to a settlement agreement (the “OSS Settlement Agreement”) to terminate the Company’s office lease with OSS and to settle all claims among the parties, the outstanding principal amount of the Segregated Account junior surplus notes issued to OSS were reduced based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. Refer to Note 14. Long-term Debt for additional information on the OSS Settlement Agreement. (2) Warrants issued in connection with the Reorganization Plan are classified as equity and initially measured at fair value. The enterprise value of $185,000 is allocated between common stock and warrants based on their relative fair values as quoted on the Effective Date. Successor Ambac common stock of $450 represents the par value of 45,000,000 shares of common stock issued at $0.01 per share. Included in the Successor Ambac additional paid-in capital of $184,550 , $11,437 was allocated to 5,047,138 warrants at their initial fair value, with the remaining $173,113 additional paid-in capital attributable to common stock. Fresh Start Adjustments: Items shown in the Fresh Start Adjustments column of the Reorganized Condensed Consolidated Balance Sheet above reflects (i) the fair value adjustments to assets and liabilities which are not already reported at fair value under U.S. GAAP accounting rules, including the re-measurement of deferred tax assets and liabilities, if any, which result from such adjustments and (ii) the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders, including the fair value adjustment to noncontrolling interests. These adjustments are described below: (C) The following table summarizes the impact of the fresh start adjustments, which in the aggregate was recorded as a Reorganization item gain on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Deferred acquisition costs $ (184,953 ) Loans (non-VIE) (1,575 ) Insurance intangible asset 1,658,972 Goodwill 514,511 Obligations under investment agreements (1,505 ) Long-term debt and accrued interest payable (767,924 ) Other liabilities (1,837 ) Variable Interest Entities: VIE loans and long-term debt 12,562 Asset/liability fair value adjustments impacting Reorganization items 1,228,251 Adjustment to deferred tax provision — Gain on fresh start adjustments $ 1,228,251 • Deferred acquisition costs — These deferred costs do not represent future cash flows and therefore the fair value is zero at the Fresh Start Reporting Date. • Loans — The fair value adjustment for this line item relates to non-VIE loans that have historically been reported at their outstanding principal balance. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for each of these financial instruments. Subsequent to the Fresh Start Reporting Date, the fair value discounts are accretable to interest income using the effective interest method over the remaining lives of the loans. Fair value as of April 30, 2013 was calculated using a discounted cash flow approach. As of April 30, 2013, the loans had a principal-weighted average life of 6.81 years and a coupon rate of 5.01% . Discount rates used to determine the fair value of the loans at April 30, 2013 were consistent with the credit quality of the borrowers and had a weighted average of 9.71% . • Insurance intangible asset — Pursuant to the business combinations guidance for insurance entities in the Financial Services-Insurance Topic of the ASC, Successor Ambac accounted for the insurance and reinsurance assets and liabilities acquired as new contracts, and measured them at fair value in two components as follows: a. Insurance and reinsurance assets and liabilities measured in accordance with Successor Ambac’s accounting policies for insurance and reinsurance contracts that it issues or holds, as further described in Note 2. Basis of Presentation and Significant Accounting Policies . These insurance and reinsurance assets and liabilities primarily comprise premium receivables, reinsurance recoverable on paid and unpaid losses, deferred ceded premium, subrogation recoverable, losses and loss expense reserve, unearned premiums and ceded premiums payable; and b. An insurance intangible asset representing the difference between: 1) the fair value of the contractual insurance and reinsurance assets acquired and liabilities assumed and 2) the amounts described in (a) above. Refer to Note 2. Basis of Presentation and Significant Accounting Policies for the subsequent accounting treatment of the insurance intangible asset. The significant differences between the measurement methods used for fair value and Successor Ambac’s accounting policies for insurance and reinsurance contracts which impact the magnitude of the insurance intangible asset are as follows: Measurement input Fair value methodology (Refer to Note 10) Successor Ambac accounting policy (Refer to Note 2) Cash flows All projected cash flows to be paid and/or received under the insurance contract are based on management’s expectations of how a market participant would make such estimates. Premium receipts are projected based on management’s expectations if the insured obligation is a homogenous pool of assets. For non-homogenous contracts, premium projections are based on contractual cash flows. Loss payments, including subrogation recoveries, are projected using a probability-weighted average of all possible outcomes. Discount rates Discount rates are applied to net cash flows at the policy level as follows: Insurance policies which are in a liability (i.e. net cash outflow) position are discounted using rates which incorporate Ambac’s own credit risk, under the assumption we will be transferring the policies to a market participant with similar credit risk. Insurance policies which are in an asset (i.e. net cash inflow) position are discounted using a hypothetical buyer’s cost of capital and does not assume we would be transferring the policies to a party with similar credit risk. Discount rates are applied to gross cash flows at the policy level as follows: Premiums are discounted at the relevant risk-free rate based on the remaining expected or contractual weighted-average life of the exposure, as applicable. Losses, including subrogation recoveries, are discounted at the relevant risk-free rate. Profit margin For insurance policies in a net liability position (i.e. net cash outflow) a profit margin is applied to the discounted value, which represents the additional consideration another market participant would require from Ambac to assume the contract. At April 30, 2013, a profit margin of 17% was applied to the discounted value of insurance policies in a net liability position. No profit margin is applied. • Goodwill — This amount represented the excess of the reorganization value over the fair value of identified tangible and intangible assets of the emerging company. Changes in the fair values of these assets and liabilities from the current estimated values, as well as changes in assumptions, could significantly impact the amount of recorded goodwill. Accordingly, there can be no assurance that the estimates, assumptions, and values reflected in the valuations will be realized, and actual results could vary materially. Please refer to the above table located immediately prior to the Reorganized Condensed Consolidated Balance Sheet which indicates how goodwill was determined. Refer to Note 2. Basis of Presentation and Significant Accounting Policies for the subsequent accounting treatment of goodwill. • VIE loans and long-term debt — The portion of VIE loans and long-term debt that had not been carried at fair value have been adjusted to fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for VIE assets and liabilities. Subsequent to the Fresh Start Reporting Date, we have elected to continue accounting for these VIEs 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. As a result, subsequent changes to fair value will be recorded as Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Valuation of the long-term debt not previously reported at fair value was determined from third-party quotes. The related VIE loans were valued at April 30, 2013 using a discounted cash flow approach with a discount rate of 5.7% , consistent with the rate implied from the fair value of the VIE’s debt. • Obligations under investment agreements — These instruments had previously been reported at their principal value less unamortized discount. We have adjusted these items to fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value for obligations under investment agreements. The fair value discounts and premiums to principal will be amortized into interest expense using the effective interest method over the lives of the respective contracts. Fair values were determined using discounted cash flows at April 30, 2013. Valuation of collateralized obligations represents projected cash flows discounted at LIBOR. Valuation of uncollateralized obligations were discounted using a weighted average discount rate of 9.4% consistent with the credit adjusted discount rate of Ambac Assurance, which provides a financial guarantee for all investment and repurchase agreements. • Long-term debt and accrued interest payable — All debt liabilities subject to the Reorganization Plan were discharged. The remaining long-term debt is primarily related to surplus notes and junior surplus notes issued by Ambac Assurance and the Segregated Account, which were carried at their face value less unamortized discount. The notes have been adjusted to estimated fair value for fresh start reporting. Refer to Note 10. Fair Value Measurements for a discussion of the valuation methodology used to estimate fair value. The fair value discount will be amortized into interest expense using the effective interest method over the lives of the respective debt. Surplus notes issued in June 2010 were valued at April 30, 2013 using a discounted cash flow approach corroborated by third party quotes. Internally estimated cash flows were discounted at 10.6% . To the extent that the remaining surplus notes rank pari passu with the June 2010 notes, valuations were determined using projected cash flows discounted at the same 10.6% . Junior surplus notes which cannot be paid until all principal and interest is paid on the other surplus notes were valued with projected cash flows discounted at 16.6% . • Other liabilities — This amount reflects an adjustment, based on actuarial evaluation, to re-measure the accumulated postretirement benefit obligation as of the Effective Date, as a result of application of fresh start reporting. This adjustment primarily reflects changes in mortality assumptions. • Deferred taxes — Deferred taxes were determined in conformity with the accounting requirements for the Income Tax Topic of the ASC. As a result of Fresh Start, a new deferred tax liability was established to recognize the tax effect of the fair value adjustments to identified tangible and intangible assets of the emerging company. This deferred tax liability adjustment was offset by a reduction in the deferred tax valuation allowance, resulting in no change to the deferred tax provision. (D) Reflects the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders and the fair value adjustment of noncontrolling interests, as follows: Common stock $ (3,080 ) Additional paid-in-capital (2,172,027 ) Accumulated other comprehensive income (800,260 ) Accumulated deficit 2,948,275 Common stock held in treasury at cost 410,695 Noncontrolling interest fair value adjustment (383,603 ) (1) Net adjustment $ — (1) Non-controlling interest is primarily related to Ambac Assurance preferred stock issued to third parties. Non-controlling interest was adjusted to fair value based on current quotes from market sources. Noncontrolling interest is a component of equity and as a result, the fair value adjustment is a permanent item that will not be accreted into income. |
Liabilities Subject To Compromise | Reflects the discharge of liabilities subject to the Reorganization Plan, issuance of 45,000,000 and 5,047,138 shares of Successor Ambac common stock and warrants, respectively, to certain claim holders, resulting in a pre-tax gain of $1,521,435 on extinguishment of obligations pursuant to the Reorganization Plan. The following reflects the calculation of the pre-tax gain, which was recorded as a Reorganization item on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss): Liabilities subject to compromise $ 1,704,641 Long-term debt 973 (1) Accrued interest payable 821 (1) Total debt discharged 1,706,435 Less: Successor Ambac common stock (450 ) (2) Successor Ambac additional paid-in capital (184,550 ) (2) Pre-tax gain from cancellation and satisfaction of Predecessor Ambac debt $ 1,521,435 (1) Represents the proportional reduction in the carrying value of long-term debt and associated accrued interest payable upon the discharge of $8,043 par value of Segregated Account junior surplus notes that were issued to a pre-petition creditor, One State Street, LLC (“OSS”). Pursuant to a settlement agreement (the “OSS Settlement Agreement”) to terminate the Company’s office lease with OSS and to settle all claims among the parties, the outstanding principal amount of the Segregated Account junior surplus notes issued to OSS were reduced based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. Refer to Note 14. Long-term Debt for additional information on the OSS Settlement Agreement. (2) Warrants issued in connection with the Reorganization Plan are classified as equity and initially measured at fair value. The enterprise value of $185,000 is allocated between common stock and warrants based on their relative fair values as quoted on the Effective Date. Successor Ambac common stock of $450 represents the par value of 45,000,000 shares of common stock issued at $0.01 per share. Included in the Successor Ambac additional paid-in capital of $184,550 , $11,437 was allocated to 5,047,138 warrants at their initial fair value, with the remaining $173,113 additional paid-in capital attributable to common stock. |
Cancellation of Equity Accounts Attributable to Shareholders and Fair Value Adjustment of Noncontrolling Interests | Reflects the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders and the fair value adjustment of noncontrolling interests, as follows: Common stock $ (3,080 ) Additional paid-in-capital (2,172,027 ) Accumulated other comprehensive income (800,260 ) Accumulated deficit 2,948,275 Common stock held in treasury at cost 410,695 Noncontrolling interest fair value adjustment (383,603 ) (1) Net adjustment $ — (1) Non-controlling interest is primarily related to Ambac Assurance preferred stock issued to third parties. Non-controlling interest was adjusted to fair value based on current quotes from market sources. Noncontrolling interest is a component of equity and as a result, the fair value adjustment is a permanent item that will not be accreted into income. |
Special Purpose Entities, Inc35
Special Purpose Entities, Including Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 December 31, 2015 and 2014 : December 31 2015 2014 Investments: Corporate obligations $ 2,588,556 $ 2,743,050 Total variable interest entity assets: fixed income securities $ 2,588,556 $ 2,743,050 |
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 December 31, 2015 and 2014 : Estimated fair value Unpaid principal balance December 31, 2015: Loans $ 11,690,324 $ 9,182,284 Long-term debt 12,327,960 11,069,070 December 31, 2014: Loans 12,371,177 10,236,695 Long-term debt $ 12,882,076 $ 11,925,499 |
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 derivative contracts by major underlying asset classes, as of December 31, 2015 and 2014 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) December 31, 2015: Global structured finance: Collateralized debt obligations $ 980,935 $ 264 $ 3,639 $ (129,525 ) Mortgage-backed—residential 17,081,002 1,279,650 2,680,739 — Other consumer asset-backed 3,853,443 47,346 535,090 — Other commercial asset-backed 2,393,805 104,033 94,191 — Other 3,286,568 81,017 461,364 16,604 Total global structured finance 27,595,753 1,512,310 3,775,023 (112,921 ) Global public finance 28,586,582 377,412 427,299 (24,860 ) Total $ 56,182,335 $ 1,889,722 $ 4,202,322 $ (137,781 ) December 31, 2014: Global structured finance: Collateralized debt obligations $ 1,386,100 $ 345 $ 4,000 $ (145,565 ) Mortgage-backed—residential 16,202,408 1,011,888 2,924,987 — Other consumer asset-backed 5,109,776 65,204 885,572 (36,877 ) Other commercial asset-backed 3,119,891 135,215 128,988 — Other 3,801,382 97,345 599,915 18,176 Total global structured finance 29,619,557 1,309,997 4,543,462 (164,266 ) Global public finance 31,639,004 457,774 533,192 (22,135 ) Total $ 61,258,561 $ 1,767,771 $ 5,076,654 $ (186,401 ) (1) Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts plus Deferred Amounts and accrued and unpaid interest thereon. Ambac’s maximum exposure to loss does not include 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) Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets. |
Comprehensive Income (Tables)
Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 (1) Amortization of (1) Gain (Loss) on (1) Total Year Ended December 31, 2015: Beginning Balance $ 210,693 $ 10,031 $ (441 ) $ 220,283 Other comprehensive income before reclassifications (131,976 ) 193 (44,651 ) (176,434 ) Amounts reclassified from accumulated other comprehensive income (27,754 ) (880 ) — (28,634 ) Net current period other comprehensive income (loss) (159,730 ) (687 ) (44,651 ) (205,068 ) Balance at December 31, 2015 $ 50,963 $ 9,344 $ (45,092 ) $ 15,215 Year Ended December 31, 2014: Beginning Balance $ (41,910 ) $ 10,847 $ 42,724 $ 11,661 Other comprehensive income before reclassifications 285,565 — (43,165 ) 242,400 Amounts reclassified from accumulated other comprehensive income (32,962 ) (816 ) — (33,778 ) Net current period other comprehensive income (loss) 252,603 (816 ) (43,165 ) 208,622 Balance at December 31, 2014 $ 210,693 $ 10,031 $ (441 ) $ 220,283 (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 (1) Affected Line Item in the Details about Accumulated Other Year Ended December 31, Consolidated Statement of Comprehensive Income Components 2015 2014 Total Comprehensive Income Unrealized Gains (Losses) on Available-for-Sale Securities $ (27,754 ) $ (32,962 ) Net realized investment gains — — Tax (expense) benefit $ (27,754 ) $ (32,962 ) Net of tax and noncontrolling interest (3) Amortization of Postretirement Benefit Prior service cost $ (666 ) $ (664 ) Underwriting and operating expenses (2) Actuarial gains (losses) (214 ) (152 ) Underwriting and operating expenses (2) (880 ) (816 ) Total before tax — — Tax (expense) benefit (880 ) (816 ) Net of tax and noncontrolling interest (3) Total reclassifications for the period $ (28,634 ) $ (33,778 ) Net of tax and noncontrolling interest (3) (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. (3) Amount agrees with amount reported as reclassifications from AOCI in the disclosure about changes in AOCI balances. |
Net Income Per Share (Tables)
Net Income Per Share (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 net income per share to the diluted shares used for diluted net income per share: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Basic weighted average shares outstanding 45,173,542 45,093,304 45,003,925 302,469,544 Effect of potential dilutive shares: Warrants 809,834 1,786,804 1,297,620 — Stock options 5,313 9,807 — — Restricted stock units 14,221 37,812 1,189 109,701 Performance stock units 3,117 5,526 — — Diluted weighted average shares outstanding 46,006,027 46,933,253 46,302,734 302,579,245 |
Financial Guarantees in Force38
Financial Guarantees in Force (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Guarantees [Abstract] | |
Schedule of Financial Guarantee Insurance In Force By Bond Type | As of December 31, 2015 and 2014 , the guarantee portfolio was diversified by type of guaranteed bond as shown in the following table: Net Par Outstanding December 31 2015 2014 Public Finance: Lease and tax-backed revenue $ 22,060,000 $ 33,411,000 General obligation 15,946,000 22,699,000 Utility revenue 8,218,000 11,687,000 Housing revenue 6,810,000 7,108,000 Transportation education 5,589,000 7,738,000 Higher education 3,439,000 6,389,000 Health care revenue 2,234,000 3,106,000 Other 1,140,000 1,310,000 Total Public Finance 65,436,000 93,448,000 Structured Finance: Mortgage-backed and home equity 11,387,000 13,686,000 Investor-owned utilities 4,921,000 5,411,000 Student loan 2,323,000 3,390,000 Asset-backed (1) 1,140,000 1,335,000 CDOs 306,000 637,000 Other 1,737,000 1,875,000 Total Structured Finance 21,814,000 26,334,000 International Finance: Investor-owned and public utilities 7,208,000 8,455,000 Sovereign/sub-sovereign 6,218,000 6,758,000 Asset-backed (1) 3,870,000 4,442,000 Transportation 2,118,000 3,425,000 Mortgage-backed and home equity 347,000 410,000 CDOs 190,000 233,000 Other 1,098,000 1,229,000 Total International Finance 21,049,000 24,952,000 Total $ 108,299,000 $ 144,734,000 (1) At December 31, 2015 and 2014 , all asset-backed net par amounts outstanding relate to commercial asset-based transactions. |
Schedule of International Financial Guarantee Insurance In Force Portfolio By Location Of Risk | As of December 31, 2015 and 2014 , the International Finance guaranteed portfolio is shown in the following table by location of risk: Net Par Outstanding December 31 2015 2014 United Kingdom $ 15,494,000 $ 17,998,000 Australia 1,851,000 2,168,000 Italy 948,000 1,415,000 Austria 737,000 841,000 France 288,000 88,000 Internationally diversified (1) 974,000 1,225,000 Other international 757,000 1,217,000 Total International Finance $ 21,049,000 $ 24,952,000 (1) Internationally diversified obligations represent pools of geographically diversified exposures which may include components of U.S. exposure. |
Financial Guarantee Insurance39
Financial Guarantee Insurance Contracts (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Insurance [Line Items] | |
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block] | Below are the components of the Loss and loss expense reserves liability and the Subrogation recoverable asset at December 31, 2015 and 2014 : Unpaid Claims Present Value of Expected Balance Sheet Line Item Claims Accrued Claims and Recoveries Unearned Gross Loss and December 31, 2015: Loss and loss expense reserves $ 2,138,952 $ 349,668 $ 3,265,349 $ (1,476,276 ) $ (189,587 ) $ 4,088,106 Subrogation recoverable 828,802 141,349 207,674 (2,407,118 ) — (1,229,293 ) Totals $ 2,967,754 $ 491,017 $ 3,473,023 $ (3,883,394 ) $ (189,587 ) $ 2,858,813 December 31, 2014: Loss and loss expense reserves $ 2,172,041 $ 234,802 $ 3,792,133 $ (1,205,621 ) $ (241,348 ) $ 4,752,007 Subrogation recoverable 772,948 94,425 197,751 (2,018,398 ) — (953,274 ) Totals $ 2,944,989 $ 329,227 $ 3,989,884 $ (3,224,019 ) $ (241,348 ) $ 3,798,733 |
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 May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2014 April 30, 2013 Beginning premium receivable $ 1,000,607 $ 1,453,021 $ 1,531,631 $ 1,620,621 Premium receipts (108,029 ) (126,497 ) (82,071 ) (48,296 ) Adjustments for changes in expected and contractual cash flows (64,740 ) (322,443 ) (91,241 ) (28,237 ) Accretion of premium receivable discount 24,628 36,651 26,184 14,740 Deconsolidation of certain VIEs — — 45,883 — Uncollectable premiums 2,540 (2,518 ) (15,262 ) (634 ) Other adjustments (including foreign exchange) (23,431 ) (37,607 ) 37,897 (26,563 ) Ending premium receivable $ 831,575 $ 1,000,607 $ 1,453,021 $ 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 Year Ended December 31, Period from May 1 through Period from Jan 1 through 2015 2014 December 31, 2013 April 30, 2013 Written Earned Written Earned Written Earned Written Earned Direct $ (37,572 ) $ 336,025 $ (288,310 ) $ 261,634 $ (80,309 ) $ 226,326 $ (14,125 ) $ 138,468 Assumed — 87 — 137 — 65 — 32 Ceded (3,001 ) 23,517 (6,842 ) 15,411 (7,810 ) 12,873 (1,098 ) 8,500 Net premiums $ (34,571 ) $ 312,595 $ (281,468 ) $ 246,360 $ (72,499 ) $ 213,518 $ (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 December 31, 2015 : Future premiums (1) Future (1) Three months ended: March 31, 2016 $ 21,499 $ 32,590 June 30, 2016 19,890 30,882 September 30, 2016 19,839 28,815 December 31, 2016 20,005 27,487 Twelve months ended: December 31, 2017 75,224 99,097 December 31, 2018 70,587 87,270 December 31, 2019 66,891 80,947 December 31, 2020 63,783 76,310 Five years ended: December 31, 2025 264,200 307,812 December 31, 2030 217,422 214,920 December 31, 2035 138,592 126,716 December 31, 2040 43,887 44,078 December 31, 2045 18,989 17,498 December 31, 2050 7,143 7,804 December 31, 2055 601 1,298 Total $ 1,048,552 $ 1,183,524 (1) Future premiums to be collected is undiscounted and 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 Note 2. Basis of Presentation and Significant Accounting Policies , results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected in the future. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which results in higher unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing. |
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance | Below is the loss and loss expense reserve roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Beginning gross loss and loss expense reserves $ 3,798,733 $ 5,470,234 $ 5,572,672 $ 6,122,140 Less reinsurance on loss and loss expense reserves 100,355 122,357 138,155 147,409 Beginning balance of net loss and loss expense reserves $ 3,698,378 $ 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 1,183 309 97,342 2,748 Claim and loss expense payments, net of subrogation and reinsurance — (17 ) (442 ) (58 ) Establishment of RMBS subrogation recoveries, net of reinsurance — — (315 ) (159 ) Total current year 1,183 292 96,585 2,531 Prior years: Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance (491,088 ) (269,606 ) (514,728 ) (52,642 ) Claim and loss expense (payments) recoveries, net of subrogation and reinsurance (90,086 ) (1,067,321 ) 59,184 20,902 (Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance (303,633 ) (312,864 ) 272,319 (12,596 ) Total prior years (884,807 ) (1,649,791 ) (183,225 ) (44,336 ) Net change in net loss and loss expense reserves (883,624 ) (1,649,499 ) (86,640 ) (41,805 ) Net consolidation of certain VIEs — — — (498,409 ) Ending net loss and loss expense reserves $ 2,814,754 $ 3,698,378 $ 5,347,877 $ 5,434,517 Add reinsurance on loss and loss expense reserves (1) 44,059 100,355 122,357 138,155 Ending gross loss and loss expense reserves $ 2,858,813 $ 3,798,733 $ 5,470,234 $ 5,572,672 (1) Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables of previously presented loss and loss expenses of $(60) , $(517) , $(1,108) , and, $1,879 as of December 31, 2015 , 2014 , 2013 and April 30, 2013, respectively. |
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable | The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at December 31, 2015 and 2014 . 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 December 31, 2015 and 2014 was 2.4% and 2.3% , respectively. Surveillance Categories as of December 31, 2015 I/SL IA II III IV V Total Number of policies 33 14 23 63 157 3 293 Remaining weighted-average contract period (in years) 9 17 26 19 13 6 15 Gross insured contractual payments outstanding: Principal $ 1,830,549 $ 263,288 $ 1,912,237 $ 2,972,615 $ 8,942,730 $ 54,590 $ 15,976,009 Interest 724,940 107,624 6,834,538 1,792,525 2,391,523 16,791 11,867,941 Total $ 2,555,489 $ 370,912 $ 8,746,775 $ 4,765,140 $ 11,334,253 $ 71,381 $ 27,843,950 Gross undiscounted claim liability (1) $ 6,188 $ 5,632 $ 173,930 $ 1,595,525 $ 6,339,537 $ 71,381 $ 8,192,193 Discount, gross claim liability (515 ) (652 ) (96,218 ) (458,805 ) (770,694 ) (6,779 ) (1,333,663 ) Gross claim liability before all subrogation and before reinsurance $ 5,673 $ 4,980 $ 77,712 $ 1,136,720 $ 5,568,843 $ 64,602 $ 6,858,530 Less: Gross RMBS subrogation (2) — — — — (2,841,291 ) — (2,841,291 ) Discount, RMBS subrogation — — — — 11,716 — 11,716 Discounted RMBS subrogation, before reinsurance — — — — (2,829,575 ) — (2,829,575 ) Less: Gross other subrogation (3) — — (12,937 ) (526,957 ) (835,078 ) (13,098 ) (1,388,070 ) Discount, other subrogation — — 3,961 198,643 127,669 3,978 334,251 Discounted other subrogation, before reinsurance — — (8,976 ) (328,314 ) (707,409 ) (9,120 ) (1,053,819 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 5,673 $ 4,980 $ 68,736 $ 808,406 $ 2,031,859 $ 55,482 $ 2,975,136 Less: Unearned premium revenue (3,360 ) (1,796 ) (48,871 ) (63,257 ) (71,848 ) (455 ) (189,587 ) Plus: Loss expense reserves — 66 629 15,090 57,479 — 73,264 Gross loss and loss expense reserves $ 2,313 $ 3,250 $ 20,494 $ 760,239 $ 2,017,490 $ 55,027 $ 2,858,813 Reinsurance recoverable reported on Balance Sheet (4) $ 642 $ 880 $ 85 $ 59,503 $ (17,111 ) $ — $ 43,999 (1) Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (3) Other subrogation primarily represents subrogation-related to excess spread or other contractual cash flows on public finance and structured finance transactions including RMBS. (4) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $44,059 related to future loss and loss expenses and $(60) related to presented loss and loss expenses. Surveillance Categories as of December 31, 2014 I/SL IA II III IV V Total Number of policies 36 26 33 69 160 1 325 Remaining weighted-average contract period (in years) 8 12 15 21 12 6 16 Gross insured contractual payments outstanding: Principal $ 1,026,513 $ 519,291 $ 3,091,744 $ 3,792,559 $ 9,892,760 $ 47 $ 18,322,914 Interest 418,746 212,296 1,878,770 2,765,537 1,979,627 19 7,254,995 Total $ 1,445,259 $ 731,587 $ 4,970,514 $ 6,558,096 $ 11,872,387 $ 66 $ 25,577,909 Gross undiscounted claim liability (1) $ 16,360 $ 11,525 $ 155,488 $ 2,040,402 $ 6,456,139 $ 60 $ 8,679,974 Discount, gross claim liability (1,147 ) (937 ) (16,438 ) (716,812 ) (774,611 ) (3 ) (1,509,948 ) Gross claim liability before all subrogation and before reinsurance $ 15,213 $ 10,588 $ 139,050 $ 1,323,590 $ 5,681,528 $ 57 $ 7,170,026 Less: Gross RMBS subrogation (2) — — — — (2,541,219 ) — (2,541,219 ) Discount, RMBS subrogation — — — — 17,679 — 17,679 Discounted RMBS subrogation, before reinsurance — — — — (2,523,540 ) — (2,523,540 ) Less: Gross other subrogation (3) — — (18,034 ) (127,143 ) (647,110 ) — (792,287 ) Discount, other subrogation — — 6,069 36,779 48,960 — 91,808 Discounted other subrogation, before reinsurance — — (11,965 ) (90,364 ) (598,150 ) — (700,479 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 15,213 $ 10,588 $ 127,085 $ 1,233,226 $ 2,559,838 $ 57 $ 3,946,007 Less: Unearned premium revenue (10,945 ) (3,432 ) (73,749 ) (88,332 ) (64,890 ) — (241,348 ) Plus: Loss expense reserves 3 1,303 1,968 6,470 84,330 — 94,074 Gross loss and loss expense reserves $ 4,271 $ 8,459 $ 55,304 $ 1,151,364 $ 2,579,278 $ 57 $ 3,798,733 Reinsurance recoverable reported on Balance Sheet (4) $ 73 $ 890 $ 1,355 $ 110,957 $ (13,437 ) $ — $ 99,838 (1) Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. (3) Other subrogation primarily represents subrogation related to excess spread or other contractual cash flows on public finance and structured finance transactions, including RMBS. (4) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $100,355 related to future loss and loss expenses and $(517) related to presented loss and loss expenses. |
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach | The balance of RMBS subrogation recoveries and the related loss reserves, using Random Samples as the estimation approach, at December 31, 2015 and 2014 , are as follows: Random Samples Approach Gross loss (1) Subrogation (2)(3) Gross loss At December 31, 2015 $ 1,850,804 $ (2,829,575 ) $ (978,771 ) At December 31, 2014 $ 1,897,426 $ (2,523,540 ) $ (626,114 ) (1) Includes unpaid RMBS claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account. (2) The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid and unpaid losses plus the present value of expected cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of 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. |
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 Successor Ambac: Discounted RMBS subrogation (gross of reinsurance) at January 1, 2015 $ 2,523,540 $ — $ 2,523,540 Changes recognized in 2015: Additional transactions reviewed — — — Changes in estimation approach — — — Impact of sponsor actions (2) — — — All other changes (3) 306,035 — 306,035 Discounted RMBS subrogation (gross of reinsurance) at December 31, 2015 $ 2,829,575 $ — $ 2,829,575 Successor Ambac: 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 24,565 — 24,565 Changes in estimation approach (1) 1,417,556 (1,218,681 ) 198,875 Impact of sponsor actions (2) (146,270 ) — (146,270 ) All other changes (3) 273,864 (34,092 ) 239,772 Discounted RMBS subrogation (gross of reinsurance) at December 31, 2014 $ 2,523,540 $ — $ 2,523,540 Successor Ambac: Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013 $ 1,004,252 $ 1,478,666 $ 2,482,918 Changes recognized through December 31, 2013: Additional transactions reviewed 2,451 — 2,451 Changes in estimation approach — — — Impact of sponsor actions (2) — 98 98 All other changes (3) (52,878 ) (225,991 ) (278,869 ) Discounted RMBS subrogation (gross of reinsurance) at December 31, 2013 $ 953,825 $ 1,252,773 $ 2,206,598 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 — — — 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 may not have been subject to a sampling approach, are currently in negotiation or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table. |
Schedule Of Reinsurance Recoverable And Provision By Category Of Reinsurer [Table Text Block] | The following table represents the percentage ceded to reinsurers and reinsurance recoverable at December 31, 2015 and its rating levels obtained from each reinsurers website as of February 25, 2016 : Reinsurers Moody’s Rating Percentage ceded Par Net unsecured reinsurance recoverable (1) Assured Guaranty Re Ltd NR 88.8% $ 15,347 Sompo Japan Nipponkoa Insurance, Inc. A1 6.2 — Assured Guaranty Corporation A3 5.0 6,934 Total 100% $ 22,281 (1) Represents reinsurance recoverables on paid and unpaid losses and deferred ceded premiums, net of ceded premium payables due to reinsurers, letters of credit, and collateral posted for the benefit of Ambac Assurance. |
Insurance Intangible Asset [Member] | |
Insurance [Line Items] | |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block] | The estimated future amortization expense for the net insurance intangible asset is as follows: 2016 2017 2018 2019 2020 Thereafter $ 111,857 $ 98,570 $ 88,388 $ 81,370 $ 75,743 $ 756,184 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 December 31, 2015 and 2014 , 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. Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2015: Financial assets: Fixed income securities: Municipal obligations $ 420,770 $ 420,770 $ — $ 420,770 $ — Corporate obligations 1,593,669 1,593,669 — 1,593,669 — Foreign obligations 96,306 96,306 87,808 8,498 — U.S. government obligations 26,687 26,687 26,687 — — U.S. agency obligations 4,212 4,212 — 4,212 — Residential mortgage-backed securities 1,977,338 1,977,338 — 1,488,454 488,884 Collateralized debt obligations 84,267 84,267 — 84,267 — Other asset-backed securities 840,527 840,527 — 840,527 — Fixed income securities, pledged as collateral: U.S. government obligations 64,555 64,555 64,555 — — Short term investments 225,789 225,789 197,398 28,391 — Other investments 310,600 298,095 — 285,261 12,834 Cash and cash equivalents 35,744 35,744 35,744 — — Loans 5,206 5,128 — — 5,128 Derivative assets: Credit derivatives — — — — — Interest rate swaps—asset position 84,886 84,886 — 21,848 63,038 Interest rate swaps—liability position — — — — — Futures contracts 109 109 109 — — Other assets 8,696 8,696 — — 8,696 Variable interest entity assets: Fixed income securities: Corporate obligations 2,588,556 2,588,556 — — 2,588,556 Restricted cash 5,822 5,822 5,822 — — Loans 11,690,324 11,690,324 — — 11,690,324 Total financial assets $ 20,064,063 $ 20,051,480 $ 418,123 $ 4,775,897 $ 14,857,460 Financial liabilities: Obligations under investment agreements $ 100,358 $ 101,400 $ — $ — $ 101,400 Long term debt, including accrued interest 1,481,045 1,235,721 — 132,837 1,102,884 Derivative liabilities: Credit derivatives 34,543 34,543 — — 34,543 Interest rate swaps—asset position (52,128 ) (52,128 ) — (52,128 ) — Interest rate swaps—liability position 370,943 370,943 — 243,256 127,687 Futures contracts — — — — — Liabilities for net financial guarantees written (1) 1,990,831 2,325,859 — — 2,325,859 Variable interest entity liabilities: Long-term debt 12,327,960 12,327,960 — 9,147,790 3,180,170 Derivative liabilities: Interest rate swaps—liability position 1,965,265 1,965,265 — 1,965,265 — Currency swaps—liability position (36,862 ) (36,862 ) — (36,862 ) — Total financial liabilities $ 18,181,955 $ 18,272,701 $ — $ 11,400,158 $ 6,872,543 (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. Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2014: Financial assets: Fixed income securities: Municipal obligations $ 525,792 $ 525,792 $ — $ 525,792 $ — Corporate obligations 1,385,594 1,385,594 — 1,381,786 3,808 Foreign obligations 127,757 127,757 117,282 10,475 — U.S. government obligations 42,979 42,979 42,979 — — U.S. agency obligations 29,486 29,486 — 29,486 — Residential mortgage-backed securities 1,710,955 1,710,955 — 1,516,562 194,393 Collateralized debt obligations 21,122 21,122 — 21,122 — Other asset-backed securities 882,001 882,001 — 882,001 — Fixed income securities, pledged as collateral: U.S. government obligations 64,267 64,267 64,267 — — Short term investments 360,065 360,065 359,565 500 — Other investments 357,016 349,468 — 336,013 13,455 Cash and cash equivalents 73,903 73,903 73,903 — — Loans 5,714 5,634 — — 5,634 Derivative assets: Credit derivatives 2,043 2,043 — — 2,043 Interest rate swaps—asset position 106,974 106,974 — 106,974 — Interest rate swaps—liability position — — — — — Futures contracts — — — — — Other assets 12,036 12,036 — — 12,036 Variable interest entity assets: Fixed income securities: Corporate obligations 2,743,050 2,743,050 — — 2,743,050 Restricted cash 7,708 7,708 7,708 — — Loans 12,371,177 12,371,177 — — 12,371,177 Total financial assets $ 20,829,639 $ 20,822,011 $ 665,704 $ 4,810,711 $ 15,345,596 Financial liabilities: Obligations under investment agreements $ 160,079 $ 161,821 $ — $ — $ 161,821 Long term debt, including accrued interest 1,273,805 1,379,864 — — 1,379,864 Derivative liabilities: Credit derivatives 75,502 75,502 — — 75,502 Interest rate swaps—asset position (54,666 ) (54,666 ) — (54,666 ) — Interest rate swaps—liability position 385,546 385,546 — 243,659 141,887 Futures contracts 562 562 562 — — Other contracts — — — — — Liabilities for net financial guarantees written (1) 2,923,652 4,539,000 — — 4,539,000 Variable interest entity liabilities: Long-term debt 12,882,076 12,882,076 — 11,618,412 1,263,664 Derivative liabilities: Interest rate swaps—liability position 2,133,268 2,133,268 — 2,133,268 — Currency swaps—liability position 66,895 66,895 — 66,895 — Total financial liabilities $ 19,846,719 $ 21,569,868 $ 562 $ 14,007,568 $ 7,561,738 (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. |
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 December 31, 2015 and 2014 is summarized below: December 31, 2015 December 31, 2014 CLOs Other (1) CLOs Other (1) Notional outstanding $ 295,253 $ 617,148 $ 549,923 $ 921,036 Weighted average reference obligation price 98.4 85.2 98.9 86.8 Weighted average life (WAL) in years 1.1 6.1 1.8 5.7 Weighted average credit rating AA BBB+ AA BBB- Weighted average relative change ratio 36.3 % 33.3 % 35.9 % 49.0 % CVA percentage 8.34 % 23.34 % 5.40 % 15.82 % Fair value of derivative liabilities $ 1,837 $ 32,697 $ 2,027 $ 71,104 (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 $58,482 , WAL of 0.2 years and liability fair value of $9 as of December 31, 2015 . Other inputs to the valuation of these transactions at December 31, 2015 include weighted average quotes of less than 1% of notional, weighted average rating of A + and Ambac CVA percentage of 0.09% . As of December 31, 2014 , these contracts had a combined notional outstanding of $58,800 , WAL of 1.2 years and liability fair value of $328 . Other inputs to the valuation of these transactions at December 31, 2014 include weighted average quotes of 1% of notional, weighted average rating of A and Ambac CVA percentage of 2.2% . |
Summary of Changes in Level 3 Fair Value Category | The following tables present the changes in the Level 3 fair value category for the periods presented in 2015 and 2014 . 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 - Year Ended Investments Other Derivatives Investments Loans Long-term Total Balance, beginning of period $ 198,201 $ 12,036 $ (215,346 ) $ 2,743,050 $ 12,371,177 $ (1,263,664 ) $ 13,845,454 Total gains/(losses) realized and unrealized: Included in earnings 30,083 (1,635 ) 16,571 (7,263 ) 569,617 (1,152,681 ) (545,308 ) Included in other comprehensive income (73,559 ) — — (147,231 ) (612,941 ) 93,812 (739,919 ) Purchases 359,193 — — — — — 359,193 Issuances — — — — — — — Sales — — — — — — — Settlements (25,034 ) (1,705 ) 11,365 — (312,406 ) (17,085 ) (344,865 ) Transfers in Level 3 — — 88,218 — — (840,552 ) (752,334 ) Transfers out of Level 3 — — — — — — — Deconsolidation of VIEs — — — — (325,123 ) — (325,123 ) Balance, end of period $ 488,884 $ 8,696 $ (99,192 ) $ 2,588,556 $ 11,690,324 $ (3,180,170 ) $ 11,497,098 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 $ — $ (1,635 ) $ (25,980 ) $ (7,263 ) $ 589,634 $ (1,161,991 ) $ (607,235 ) VIE Assets and Liabilities Successor Ambac - Year Ended Investments Other Derivatives Investments Loans Long-term Total Balance, beginning of period $ 67,783 $ 13,384 $ (186,934 ) $ 2,475,182 $ 13,398,895 $ (1,514,605 ) $ 14,253,705 Total gains/(losses) realized and unrealized: Included in earnings 11,057 (1,348 ) (45,392 ) 429,113 1,118,084 (290,457 ) 1,221,057 Included in other comprehensive income (541 ) — — (161,245 ) (726,827 ) 66,515 (822,098 ) Purchases 54,013 — — — 70,000 — 124,013 Issuances — — — — — — — Sales (59,878 ) — — — — — (59,878 ) Settlements (62,266 ) — 16,980 — (792,186 ) 433,896 (403,576 ) Transfers into Level 3 188,241 — — — — — 188,241 Transfers out of Level 3 (208 ) — — — — 4,096 3,888 Deconsolidations of VIEs — — — — (696,789 ) 36,891 (659,898 ) Balance, end of period $ 198,201 $ 12,036 $ (215,346 ) $ 2,743,050 $ 12,371,177 $ (1,263,664 ) $ 13,845,454 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 $ — $ (1,348 ) $ (53,509 ) $ 429,113 $ 1,119,219 $ (286,405 ) $ 1,207,070 VIE Assets and Liabilities Successor Ambac – Period from Investments Other Derivatives Investments Loans Long-term Total Balance, beginning of period $ 69,412 $ 14,061 $ (415,360 ) $ 2,500,565 $ 14,752,053 $ (1,750,372 ) $ 15,170,359 Total gains/(losses) realized and unrealized: Included in earnings 1,870 (677 ) 217,666 (178,322 ) (455,231 ) (2,490 ) (417,184 ) Included in other comprehensive income 7,184 — — 152,939 873,986 (79,063 ) 955,046 Purchases — — — — — — — Issuances — — — — — — — Sales (4,528 ) — — — — — (4,528 ) Settlements (6,428 ) — 10,760 — (219,909 ) 173,196 (42,381 ) Transfers into Level 3 273 — — — — (220,922 ) (220,649 ) Transfers out of Level 3 — — — — — 365,046 365,046 Deconsolidation of VIEs — — — — (1,552,004 ) — (1,552,004 ) Balance, end of period $ 67,783 $ 13,384 $ (186,934 ) $ 2,475,182 $ 13,398,895 $ (1,514,605 ) $ 14,253,705 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 $ — $ (677 ) $ 91,436 $ (178,322 ) $ (475,152 ) $ (2,490 ) $ (565,205 ) VIE Assets and Liabilities Predecessor Ambac – Period from Investments Other Derivatives Investments Loans Long-term Total 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 into 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 - Year Ended Collateralized Other Asset Corporate U.S. Agency Non-Agency RMBS Total Balance, beginning of period $ — $ — $ 3,808 $ — $ 194,393 $ 198,201 Total gains/(losses) realized and unrealized: Included in earnings — — (19 ) — 30,102 30,083 Included in other comprehensive income — — (286 ) — (73,273 ) (73,559 ) Purchases — — — — 359,193 359,193 Issuances — — — — — — Sales — — — — — — Settlements — — (3,503 ) — (21,531 ) (25,034 ) Transfers in Level 3 — — — — — — Transfers out of Level 3 — — — — — — Balance, end of period $ — $ — $ — $ — $ 488,884 $ 488,884 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 - Year Ended Collateralized Other Asset Corporate U.S. Agency Non-Agency Total Balance, beginning of period $ — $ 64,073 $ 3,502 $ 208 $ — $ 67,783 Total gains/(losses) realized and unrealized: Included in earnings — 6,994 (97 ) — 4,160 11,057 Included in other comprehensive income — (8,182 ) 403 — 7,238 (541 ) Purchases — — — — 54,013 54,013 Issuances — — — — — — Sales — (59,878 ) — — — (59,878 ) Settlements — (3,007 ) — — (59,259 ) (62,266 ) Transfers into Level 3 — — — — 188,241 188,241 Transfers out of Level 3 — — — (208 ) — (208 ) Balance, end of period $ — $ — $ 3,808 $ — $ 194,393 $ 198,201 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 Collateralized Other Asset Corporate U.S. Agency Total Balance, beginning of period $ 3,949 $ 61,782 $ 3,681 $ — $ 69,412 Total gains/(losses) realized and unrealized: Included in earnings 25 1,912 (62 ) (5 ) 1,870 Included in other comprehensive income (19 ) 7,315 (117 ) 5 7,184 Purchases — — — — — Issuances — — — — — Sales — (4,528 ) — — (4,528 ) Settlements (3,955 ) (2,408 ) — (65 ) (6,428 ) Transfers into Level 3 — — — 273 273 Transfers out of Level 3 — — — — — Balance, end of period $ — $ 64,073 $ 3,502 $ 208 $ 67,783 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 Collateralized Other Asset Corporate U.S. Agency Total 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 into 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 - Year Ended December 31, 2015 Successor Ambac - Year Ended December 31, 2014 Interest Rate Credit Total Interest Rate Credit Total Balance, beginning of period $ (141,887 ) $ (73,459 ) $ (215,346 ) $ (92,612 ) $ (94,322 ) $ (186,934 ) Total gains/(losses) realized and unrealized: Included in earnings (25,130 ) 41,701 16,571 (69,298 ) 23,906 (45,392 ) Included in other comprehensive income — — — — — — Purchases — — — — — — Issuances — — — — — — Sales — — — — — — Settlements 14,150 (2,785 ) 11,365 20,023 (3,043 ) 16,980 Transfers in Level 3 88,218 — 88,218 — — — Transfers out of Level 3 — — — — — — Balance, end of period $ (64,649 ) $ (34,543 ) $ (99,192 ) $ (141,887 ) $ (73,459 ) $ (215,346 ) 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 $ (25,130 ) $ (850 ) $ (25,980 ) $ (69,298 ) $ 15,789 $ (53,509 ) Successor Ambac – Period from May 1 through December 31, 2013 Predecessor Ambac – Period from January 1 through April 30, 2013 Interest Rate Credit Total Interest Rate Credit Total Balance, beginning of period $ (137,947 ) $ (277,413 ) $ (415,360 ) $ (108,752 ) $ (213,585 ) $ (322,337 ) Total gains/(losses) realized and unrealized: Included in earnings 24,797 192,869 217,666 (28,162 ) (60,384 ) (88,546 ) Included in other comprehensive income — — — — — — Purchases — — — — — — Issuances — — — — — — Sales — — — — — — Settlements 20,538 (9,778 ) 10,760 (1,033 ) (3,444 ) (4,477 ) Transfers into Level 3 — — — — — — Transfers out of Level 3 — — — — — — Balance, end of period $ (92,612 ) $ (94,322 ) $ (186,934 ) $ (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 $ 24,797 $ 66,639 $ 91,436 $ (28,162 ) $ (63,840 ) $ (92,002 ) |
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 Income Other Successor Ambac : Year Ended December 31, 2015 Total gains or losses included in earnings for the period 30,083 2,785 38,916 (25,130 ) (590,327 ) (1,635 ) Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date — — (850 ) (25,130 ) (579,620 ) (1,635 ) Year Ended December 31, 2014 Total gains or losses included in earnings for the period $ 11,057 $ 3,043 $ 20,863 $ (69,298 ) $ 1,256,740 $ (1,348 ) Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date — — 15,789 (69,298 ) 1,261,927 (1,348 ) Period from May 1 through December 31, 2013 Total gains or losses included in earnings for the period $ 1,870 $ 9,778 $ 183,091 $ 24,797 $ (636,043 ) $ (677 ) Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date — — 66,639 24,797 (655,964 ) (677 ) 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) | 12 Months Ended |
Dec. 31, 2015 | |
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 December 31, 2015 and 2014 were as follows: Amortized Gross Gross Estimated Non-credit other- (1) December 31, 2015 Fixed income securities: Municipal obligations $ 424,048 $ 4,910 $ 8,188 $ 420,770 $ — Corporate obligations 1,610,912 7,089 24,332 1,593,669 — Foreign obligations 96,638 1,491 1,823 96,306 — U.S. government obligations 26,086 789 188 26,687 — U.S. agency obligations 4,239 — 27 4,212 — Residential mortgage-backed securities 1,942,285 99,670 64,617 1,977,338 41,673 Collateralized debt obligations 85,706 42 1,481 84,267 — Other asset-backed securities 802,842 41,177 3,492 840,527 — 4,992,756 155,168 104,148 5,043,776 41,673 Short-term 225,789 1 1 225,789 — 5,218,545 155,169 104,149 5,269,565 41,673 Fixed income securities pledged as collateral: U.S. government obligations 64,612 — 57 64,555 — Total collateralized investments 64,612 — 57 64,555 — Total available-for-sale investments $ 5,283,157 $ 155,169 $ 104,206 $ 5,334,120 $ 41,673 December 31, 2014 Fixed income securities: Municipal obligations $ 523,019 $ 9,769 $ 6,996 $ 525,792 $ — Corporate obligations 1,382,195 12,815 9,416 1,385,594 — Foreign obligations 126,041 3,060 1,344 127,757 — U.S. government obligations 42,328 1,078 427 42,979 — U.S. agency obligations 29,524 — 38 29,486 — Residential mortgage-backed securities 1,557,059 167,396 13,500 1,710,955 7,773 Collateralized debt obligations 21,346 50 274 21,122 — Other asset-backed securities 833,366 48,794 159 882,001 — 4,514,878 242,962 32,154 4,725,686 7,773 Short-term 360,069 — 4 360,065 — 4,874,947 242,962 32,158 5,085,751 7,773 Fixed income securities pledged as collateral: U.S. government obligations 64,378 — 111 64,267 — Total collateralized investments 64,378 — 111 64,267 — Total available-for-sale investments $ 4,939,325 $ 242,962 $ 32,269 $ 5,150,018 $ 7,773 (1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive loss on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2015 and 2014 . |
Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity | The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2015 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 347,240 $ 347,359 Due after one year through five years 1,020,940 1,014,416 Due after five years through ten years 914,404 901,252 Due after ten years 169,740 168,961 2,452,324 2,431,988 Residential mortgage-backed securities 1,942,285 1,977,338 Collateralized debt obligations 85,706 84,267 Other asset-backed securities 802,842 840,527 Total $ 5,283,157 $ 5,334,120 |
Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments | The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at December 31, 2015 and 2014 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2015 Fixed income securities: Municipal obligations $ 117,008 $ 2,070 $ 114,708 $ 6,118 $ 231,716 $ 8,188 Corporate obligations 938,916 21,331 92,581 3,001 1,031,497 24,332 Foreign government obligations 34,904 1,018 8,584 805 43,488 1,823 U.S. government obligations 2,938 18 10,658 170 13,596 188 U.S. agency obligations — — 4,212 27 4,212 27 Residential mortgage-backed securities 584,699 53,367 213,303 11,250 798,002 64,617 Collateralized debt obligations 77,538 1,481 — — 77,538 1,481 Other asset-backed securities 450,690 3,456 19,274 36 469,964 3,492 2,206,693 82,741 463,320 21,407 2,670,013 104,148 Short-term 9,982 1 — — 9,982 1 $ 2,216,675 $ 82,742 $ 463,320 $ 21,407 $ 2,679,995 $ 104,149 Fixed Income securities, pledged as collateral: U.S. government obligations 64,555 57 — — 64,555 57 Total collateralized investments 64,555 57 — — 64,555 57 Total temporarily impaired securities 2,281,230 82,799 463,320 21,407 2,744,550 104,206 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2014 Fixed income securities: Municipal obligations $ 77,788 $ 1,244 $ 135,076 $ 5,752 $ 212,864 $ 6,996 Corporate obligations 453,504 4,998 172,045 4,418 625,549 9,416 Foreign government obligations 20,827 748 14,277 596 35,104 1,344 U.S. government obligations 7,223 154 14,735 273 21,958 427 U.S. agency obligations 25,039 2 4,378 36 29,417 38 Residential mortgage-backed securities 413,203 12,391 10,076 1,109 423,279 13,500 Collateralized debt obligations 5,012 274 — — 5,012 274 Other asset-backed securities 248,823 155 68 4 248,891 159 1,251,419 19,966 350,655 12,188 1,602,074 32,154 Short-term 8,803 4 — — 8,803 4 $ 1,260,222 $ 19,970 $ 350,655 $ 12,188 $ 1,610,877 $ 32,158 Fixed Income securities, pledged as collateral: U.S. government obligations 64,267 111 — — 64,267 111 Total collateralized investments 64,267 111 — — 64,267 111 Total temporarily impaired securities 1,324,489 20,081 350,655 12,188 1,675,144 32,269 |
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 May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Gross realized gains on securities $ 58,218 $ 63,366 $ 22,983 $ 47,448 Gross realized losses on securities (10,558 ) (9,824 ) (10,347 ) (320 ) Foreign exchange (losses) gains 5,816 5,235 (8,169 ) 6,177 Net realized gains $ 53,476 $ 58,777 $ 4,467 $ 53,305 Net other-than-temporary impairments (1) $ (25,659 ) $ (25,794 ) $ (46,764 ) $ (467 ) (1) Other-than-temporary impairments exclude impairment amounts recorded in other comprehensive income under ASC Paragraph 320-10-65-1, which comprise non-credit related amounts on securities that are credit impaired but which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis. |
Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income | The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities held as of December 31, 2015 and 2014 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Successor Ambac: Balance, beginning of period $ 14,062 $ 1,182 $ — $ 183,300 Additions for credit impairments recognized on: Securities not previously impaired 10,900 12,873 1,185 — Securities previously impaired 6,214 7 — — Reductions for credit impairments previously recognized on: Securities that matured or were sold during the period (1) — — (3 ) (183,300 ) Balance, end of period $ 31,176 $ 14,062 $ 1,182 $ — (1) Includes reductions made in connection with Fresh Start, under which the cost basis of all invested assets were set to fair value as of the Fresh Start Reporting Date. As described in Note 3. Special Purpose Entities, including Variable Interest Entities, adopting Fresh Start results in a new reporting entity with no beginning retained earnings or accumulated deficit. Therefore cumulative credit impairments for Successor Ambac on May 1, 2013 are $0. |
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 December 31, 2015 and 2014 : Fair Value of Fair Value of Cash Fair Value of December 31, 2015: Sources of Collateral: Cash and securities pledged directly from the investment portfolio $ 338,007 $ 108,379 $ 229,628 December 31, 2014: Sources of Collateral: Cash and securities pledged directly from the investment portfolio $ 379,423 $ 156,916 $ 222,507 |
Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities | The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at December 31, 2015 and 2014 , respectively: Municipal Corporate Mortgage Short-term Total Weighted (1) December 31, 2015: Ambac Assurance Corporation (2) $ 60,836 $ — $ 2,216,317 $ — $ 2,277,153 CC Assured Guaranty Municipal Corporation 57,715 — — — 57,715 A+ National Public Finance Guarantee Corporation 47,846 — — — 47,846 A- MBIA Insurance Corporation — 25,645 — — 25,645 A+ Total $ 166,397 $ 25,645 $ 2,216,317 $ — $ 2,408,359 CCC- December 31, 2014: Ambac Assurance Corporation (2) $ 53,164 $ — $ 2,146,555 $ — $ 2,199,719 CCC- Assured Guaranty Municipal Corporation 119,492 — — — 119,492 A National Public Finance Guarantee Corporation 67,895 — — — 67,895 A- MBIA Insurance Corporation — 32,460 — — 32,460 A+ Total $ 240,551 $ 32,460 $ 2,146,555 $ — $ 2,419,566 CCC (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Includes asset-backed securities with a fair value of $119,802 and $51,395 at December 31, 2015 and 2014 , respectively, insured by Ambac UK . |
Summary of Net Investment Income | Net investment income was comprised of the following for the affected periods: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Fixed income securities $ 257,404 $ 299,694 $ 147,014 $ 118,097 Short-term investments 299 3,092 1,528 677 Loans 420 529 306 146 Investment expense (8,786 ) (10,477 ) (5,982 ) (2,549 ) Securities available-for-sale and short-term 249,337 292,838 142,866 116,371 Other investments 16,952 8,108 3,580 369 Total net investment income $ 266,289 $ 300,946 $ 146,446 $ 116,740 Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, for periods after August 28, 2014, income from Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on that date. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Net gains recognized during the period on trading securities $ 12,615 $ 6,713 $ 3,580 $ 369 Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period 4,966 (487 ) 1,702 — Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date $ 7,649 $ 7,200 $ 1,878 $ 369 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 December 31, 2015 and 2014 . Gross Gross Net Amounts Gross Net Amount December 31, 2015: Derivative Assets: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 137,015 52,129 84,886 — 84,886 Futures contracts 109 — 109 — 109 Total non-VIE derivative assets $ 137,124 $ 52,129 $ 84,995 $ — $ 84,995 Derivative Liabilities: Credit derivatives $ 34,543 $ — $ 34,543 $ — $ 34,543 Interest rate swaps 370,944 52,129 318,815 176,386 142,429 Futures contracts — — — — — Total non-VIE derivative liabilities $ 405,487 $ 52,129 $ 353,358 $ 176,386 $ 176,972 Variable Interest Entities Derivative Assets: Interest rate swaps $ — $ — $ — $ — $ — Currency swaps 36,862 36,862 — — — Total VIE derivative assets $ 36,862 $ 36,862 $ — $ — $ — Variable interest entities derivative liabilities: Interest rate swaps $ 1,965,265 $ — $ 1,965,265 $ — $ 1,965,265 Currency swaps — 36,862 (36,862 ) — (36,862 ) Total VIE derivative liabilities $ 1,965,265 $ 36,862 $ 1,928,403 $ — $ 1,928,403 December 31, 2014: Derivative Assets: Credit derivatives $ 2,043 $ — $ 2,043 $ — $ 2,043 Interest rate swaps 161,640 54,666 106,974 — 106,974 Futures contracts — — — — — Total non-VIE derivative assets $ 163,683 $ 54,666 $ 109,017 $ — $ 109,017 Derivative Liabilities: Credit derivatives $ 75,502 $ — $ 75,502 $ — $ 75,502 Interest rate swaps 385,546 54,666 330,880 169,573 161,307 Futures contracts 562 — 562 562 — Total non-VIE derivative liabilities $ 461,610 $ 54,666 $ 406,944 $ 170,135 $ 236,809 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,133,268 $ — $ 2,133,268 $ — $ 2,133,268 Currency swaps 66,895 — 66,895 — 66,895 Total VIE derivative liabilities $ 2,200,163 $ — $ 2,200,163 $ — $ 2,200,163 |
Summary of Location and Amount of Gains and Losses of Derivative Contracts | Successor Ambac Location of Gain or (Loss) Amount of Gain or Amount of Gain or Financial Guarantee: Credit derivatives Net change in fair value of credit derivatives $ 41,701 $ 23,906 Financial Services derivatives products: Interest rate swaps Derivative products (41,177 ) (173,615 ) Currency swaps Derivative products — — Futures contracts Derivative products (1,367 ) (7,472 ) Total Financial Services derivative products (42,544 ) (181,087 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities 103,757 24,577 Interest rate swaps Income (loss) on variable interest entities 168,003 (452,434 ) Total Variable Interest Entities 271,760 (427,857 ) Total derivative contracts $ 270,917 $ (585,038 ) Successor Ambac Predecessor Ambac Location of Gain or (Loss) Amount of Gain or Amount of Gain or Financial Guarantee: Credit derivatives Net change in fair value of credit derivatives $ 192,869 $ (60,384 ) Financial Services derivatives products: Interest rate swaps Derivative products 103,846 (30,602 ) Futures contracts Derivative products 10,925 (3,133 ) Total Financial Services derivative products 114,771 (33,735 ) Call options on long-term debt Other income — — Variable Interest Entities: Currency swaps Income (loss) on variable interest entities (890 ) (116 ) Interest rate swaps Income (loss) on variable interest entities 495,712 (203,620 ) Total Variable Interest Entities 494,822 (203,736 ) Total derivative contracts $ 802,462 $ (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 December 31, 2015 and 2014 : December 31 2015 2014 Ambac Rating CLO Other Total CLO Other Total AAA $ — $ — $ — $ — $ — $ — AA 295,254 241,458 536,712 549,923 217,680 767,603 A — 9,322 9,322 — 43,160 43,160 BBB (1) — 356,323 356,323 — 448,249 448,249 Below investment grade (2) — 68,526 68,526 — 270,747 270,747 Total $ 295,254 $ 675,629 $ 970,883 $ 549,923 $ 979,836 $ 1,529,759 (1) BBB internal ratings reflect 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 December 31, 2015 and 2014 : 2015 2014 December 31 CLO Other Total CLO Other Total Number of CDS transactions 5 9 14 6 10 16 Remaining expected weighted-average life of obligations (in years) 1.1 5.6 4.3 1.8 5.4 4.1 Gross principal notional outstanding $ 295,253 $ 675,630 $ 970,883 $ 549,923 $ 979,836 $ 1,529,759 Net derivative liabilities at fair value $ 1,837 $ 32,706 $ 34,543 $ 2,027 $ 71,432 $ 73,459 |
Summary of Notional Amounts of AFS's Trading Derivative Products | As of December 31, 2015 and 2014 the notional amounts of AFS’s trading derivative products are as follows: Notional - December 31, Type of derivative 2015 2014 Interest rate swaps—receive-fixed/pay-variable $ 773,072 $ 782,904 Interest rate swaps—pay-fixed/receive-variable 1,429,644 1,479,650 Interest rate swaps—basis swaps 38,965 55,800 Futures contracts 100,000 80,000 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | |
Summary of Notional Amounts of AFS's Trading Derivative Products | The notional for VIE derivatives outstanding as of December 31, 2015 and 2014 are as follows: Notional - December 31, Type of VIE derivative 2015 2014 Interest rate swaps—receive-fixed/pay-variable $ 1,616,289 $ 1,710,344 Interest rate swaps—pay-fixed/receive-variable 2,796,496 3,152,090 Currency swaps 488,924 724,656 Credit derivatives 15,616 18,278 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Debt Instruments | The carrying value of long-term debt was as follows: December 31 2015 2014 Ambac Assurance: 5.1% surplus notes, general account, due 2020 $ 715,211 $ 696,330 5.1% surplus notes, segregated account, due 2020 31,725 30,479 5.1% junior surplus notes, segregated account, due 2020 247,443 244,307 Secured borrowing 130,571 — Ambac Assurance long-term debt $ 1,124,950 $ 971,116 Variable Interest Entities long-term debt $ 12,327,960 $ 12,882,076 |
Obligations Under Investment 44
Obligations Under Investment Agreements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Investments Schedule [Abstract] | |
Expected Principal Payments Due Under Investment Agreements | spectively. As of December 31, 2015 and 2014 , the contractual interest rates for these agreements, which include both fixed and variable, ranged from 0.43% to 0.43% and 0.25% to 6.04% , respectively. Principal due under investment agreements, based on the legal maturity dates, in each of the next five years ending December 31, and the periods thereafter, are as follows: 2016 $ — 2017 100,358 2018 — 2019 — 2020 — All later years — $ 100,358 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 2011 New York City 2011 United Kingdom 2011 Italy 2010 |
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 December 31, 2015 and 2014 are presented below: December 31 2015 2014 Deferred tax liabilities: Insurance intangible $ 424,239 $ 493,822 Variable interest entities 10,053 14,149 Investments 66,278 136,017 Unearned premiums and credit fees 98,945 104,589 Other 34,025 33,835 Total deferred tax liabilities 633,540 782,412 Deferred tax assets: Net operating loss and capital carryforward 1,504,569 1,890,551 Loss reserves 122,635 185,881 Compensation 2,839 2,004 AMT Credits 27,252 10,359 Other 9,913 9,539 Sub total deferred tax assets 1,667,208 2,098,334 Valuation allowance 1,035,873 1,318,001 Total deferred tax assets 631,335 780,333 Net deferred tax asset (liability) $ (2,205 ) $ (2,079 ) |
Schedule of Components of Income Tax Expense (Benefit) | Ambac’s provision for income taxes charged to income from continuing operations is comprised of the following: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Current taxes $ 17,077 $ 9,463 $ 6,984 $ 761 Deferred taxes 287 94 530 (6 ) Total $ 17,364 $ 9,557 $ 7,514 $ 755 |
Schedule Of Income Taxes Charged Credited Directly To Equity | The total effect of income taxes on net income and stockholders’ equity for the years ended December 31, 2015 , 2014 and 2013 is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Total income taxes charged to net income $ 17,364 $ 9,557 $ 7,514 $ 755 Income taxes charged (credited) to stockholders’ equity: Unrealized gains (losses) on investment securities (55,906 ) 88,411 (14,669 ) (227,945 ) Unrealized gains (losses) on foreign currency translations (15,628 ) (15,108 ) 14,953 7,010 Change in retirement benefits (240 ) (285 ) 3,797 1,594 Valuation allowance to equity 71,774 (73,018 ) (4,081 ) 219,341 Total effect of income taxes $ 17,364 $ 9,557 $ 7,514 $ 755 |
Schedule of Effective Income Tax Rate Reconciliation | The tax provisions in the accompanying Consolidated Statements of Total Comprehensive Loss reflect effective tax rates differing from prevailing Federal corporate income tax rates. The following is a reconciliation of these differences: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 $ % $ % $ % $ % Tax on income from continuing operations at statutory rate 178,521 35.0 % 172,639 35.0 % 179,311 35.0 % 1,171,812 35.0 % Changes in expected tax resulting from: Tax-exempt interest (1,454 ) (0.3 )% (6,811 ) (1.4 )% (11,988 ) (2.3 )% (4,996 ) (0.1 )% Goodwill impairment 180,079 35.3 % — — % — — % — — % Foreign taxes 288 0.1 % 3,472 0.7 % — — % — — % Valuation allowance (340,133 ) (66.7 )% (159,661 ) (32.4 )% (160,064 ) (31.2 )% (1,110,230 ) (33.2 )% Reorganization income — — % — — % — — % (712,581 ) (21.3 )% Tax bankruptcy adjustments — — % — — % — — % 285,734 8.5 % IRS Settlement — — % — — % — — % 370,996 11.1 % Other, net 63 — % (82 ) — % 255 — % 20 — % Tax expense on income from continuing operations 17,364 3.4 % 9,557 1.9 % 7,514 1.5 % 755 — % |
Schedule of Unrecognized Tax Benefits Roll Forward | A reconciliation of the beginning and ending amount of unrecognized tax benefits for 2015 and 2014 is as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Balance, beginning of period — — — 96,900 Increases related to prior year tax positions — — — — Decreases related to prior year tax positions (1) — — — (96,900 ) Balance, end of period — — — — (1) Amount paid in connection with IRS settlement as noted above. |
Schedule of Net Operating Loss And Tax Credit Carryovers | Pursuant to the Amended TSA, to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with NOLs (or the proportionate amount of AMT NOL (as defined below)), it is obligated to make payments (“Tolling Payments”), subject to certain credits, to Ambac in accordance with the following NOL usage table, where the “Applicable Percentage” is applied to the aggregate amount of federal income tax liability that would have been paid if the “Allocated NOLs” were not available: NOL Usage Table NOL Usage Tier Allocated NOLs (1) Applicable Percentage A The first $479,000 15% B The next $1,057,000 after Tier A 40% C The next $1,057,000 after Tier B 10% D The next $1,057,000 after Tier C 15% (1) Bankruptcy-related credits offset the first $5 million payment due under each of the NOL usage Tiers A, B and C. Pursuant to the Internal Revenue Service closing agreement the United States Department of Treasury receives 12.5% of Tier C and 17.5% of Tier D Tolling Payments. |
Employment Benefit Plans (Table
Employment Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Postemployment Benefits [Abstract] | |
Schedule of Expected Benefit Payments [Table Text Block] | The following table sets forth projected benefit payments from Ambac’s postretirement plan over the next ten years for current retirees: 2016 2017 2018 2019 2020 2021-2025 Total $ 312 $ 319 $ 338 $ 358 $ 368 $ 2,276 $ 3,971 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Vested and Expected to Vest, Exercisable [Table Text Block] | The amount of stock-based compensation expense and corresponding after-tax expense are as follows: Successor Ambac Predecessor Ambac Period from May 1 Period from Jan 1 Year Ended December 31, through through 2015 2014 December 31, 2013 April 30, 2013 Stock options $ 956 $ 444 $ 56 $ — Restricted stock units 1,257 2,816 1,050 — Performance stock units (1) 892 190 — — Total stock-based compensation $ 3,105 $ 3,450 $ 1,106 $ — Total stock-based compensation (after-tax) $ 3,105 $ 3,450 $ 1,106 $ — (1) Represents expense related to performance stock units portion of performance awards. Performance awards, except for performance awards issued to Ambac's Chief Executive Officer, are split evenly between performance stock units and cash. Performance awards issued to Ambac's Chief Executive Officer were all in the form of performance stock units. Cash based compensation expense related to performance awards granted to US employees was $892 and $190 for the years ended December 31, 2015 and 2014 , respectively. |
Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions [Table Text Block] | The following assumptions were used in estimating the fair value of options on the grant date: 2015 2013 Risk-free interest rate 1.283 % 0.963 % Expected volatility 42.8 % 50.2 % Dividend yield 0.0 % 0.0 % Expected life 4.13 years 3.33 years Weighted-average grant-date fair value per share $ 8.69 $ 7.50 |
Schedule of Share-based Compensation, Stock Options, Activity [Table Text Block] | A summary of option activity for 2015 is as follows: Shares Weighted Average Exercise Price Aggregate Intrinsic Value Weighted Average Remaining Contractual Life ( in years) Year Ended December 31, 2015 Outstanding at beginning of period 66,668 $ 20.63 Granted 110,000 24.55 Exercised — — Forfeited or expired — — Outstanding at end of period 176,668 $ 23.07 $ — 5.77 Exercisable 66,668 $ 20.63 $ — 4.98 |
Schedule of Share-based Compensation, Restricted Stock Units Award Activity [Table Text Block] | A summary of RSU activity for 2015 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 185,800 $ 22.33 Granted 79,281 23.71 Delivered or returned to plan (1) (56,579 ) 20.63 Forfeited — — Outstanding at end of period 208,502 $ 23.32 (1) When restricted stock unit awards issued by Ambac become taxable compensation to employees, shares may be withheld to cover the employee’s withholding taxes. For the year ended December 31, 2015 , Ambac purchased 24,268 of shares from employees that settled restricted stock units to meet the required tax withholdings. |
Schedule of Nonvested Performance-based Units Activity [Table Text Block] | A summary of PSU activity for 2015 is as follows: Shares (1) Weighted Average Grant Date Fair Value Outstanding at beginning of period 35,412 $ 29.78 Granted 107,852 24.62 Delivered — — Forfeited (12,719 ) 25.78 Outstanding at end of period 130,545 $ 25.91 (1) Represents performance share units at 100% of units granted for LTIP Awards. |
Commitments and Contingencies E
Commitments and Contingencies Estimate of Future Net Minimum Lease Payments (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Estimate of Future Net Minimum Lease Payments | An estimate of future net minimum lease payments in each of the next five years ending December 31, and the periods thereafter, is as follows: 2016 2017 2018 2019 2020 Thereafter Total $ 6,529 $ 6,944 $ 6,964 $ 5,691 $ 1,935 $ 15,613 $ 43,676 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 - Year Ended December 31, 2015 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 679,662 $ (44,003 ) $ 4,663 $ — $ 640,322 Equity in net income of investees accounted for by equity method — — 4,336 — 4,336 Inter-segment 349 (849 ) 645 (145 ) — Total revenues 680,011 (44,852 ) 9,644 (145 ) 644,658 Pre-tax income (loss): Unaffiliated customers (1)(2)(3) 560,332 (46,869 ) (7,741 ) — 505,722 Equity in net income of investees accounted for by equity method — — 4,336 — 4,336 Inter-segment (2,744 ) (1,383 ) 4,127 — — Pre-tax income (loss) 557,588 (48,252 ) 722 — 510,058 Total assets as of December 31, 2015 23,108,387 348,130 268,388 3,165 23,728,070 Net investment income 256,636 548 9,105 — 266,289 Insurance intangible amortization 169,557 — — — 169,557 Interest expense 115,630 907 — — 116,537 Goodwill impairment 514,511 — — — 514,511 Reorganization items (4) $ — $ — $ — $ — $ — Successor Ambac - Year Ended December 31, 2014 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 506,559 $ (179,691 ) $ 407 $ — $ 327,275 Equity in net income of investees accounted for by equity method — — 1,395 — 1,395 Inter-segment 1,243 (1,197 ) 23,299 (23,345 ) — Total revenues 507,802 (180,888 ) 25,101 (23,345 ) 328,670 Pre-tax income (loss): Unaffiliated customers (1)(2)(3) 684,750 (182,941 ) (9,951 ) — 491,858 Equity in net income of investees accounted for by equity method — — 1,395 — 1,395 Inter-segment (25,443 ) (1,545 ) 26,988 — — Pre-tax income (loss) 659,307 (184,486 ) 18,432 — 493,253 Total assets as of December 31, 2014 24,448,346 412,510 284,278 14,730 25,159,864 Net investment income 298,020 1,123 1,803 — 300,946 Insurance intangible amortization 151,830 — — — 151,830 Interest expense 125,892 1,584 — — 127,476 Reorganization items (4) $ — $ — $ 211 $ — $ 211 Successor Ambac – Period from May 1 through December 31, 2013 Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 464,701 $ 116,177 $ 170 $ — $ 581,048 Inter-segment 1,837 (1,210 ) 219,181 (219,808 ) — Total revenues 466,538 114,967 219,351 (219,808 ) 581,048 Pre-tax income (loss): Unaffiliated customers (1) (2) (3) 405,004 113,347 (6,035 ) — 512,316 Inter-segment (220,218 ) (1,644 ) 221,862 — — Pre-tax income (loss) 184,786 111,703 215,827 — 512,316 Total assets as of December 31, 2013 26,590,873 448,473 53,908 (777 ) 27,092,477 Net investment income 145,269 1,115 62 — 146,446 Insurance intangible amortization 99,658 — — — 99,658 Interest expense 83,595 1,355 — — 84,950 Reorganization items (4) $ — $ — $ 493 $ — $ 493 Predecessor Ambac - Period from Jan 1 through Financial Financial Corporate Inter-segment Consolidated Revenues: Unaffiliated customers (1) $ 633,010 $ 7,339 $ 39 $ — $ 640,388 Inter-segment 940 (882 ) — (58 ) — Total revenues 633,950 6,457 39 (58 ) 640,388 Pre-tax income (loss): Unaffiliated customers (1) (2) (3) 1,831,237 3,394 1,513,402 — 3,348,033 Inter-segment (132 ) (1,101 ) 1,233 — — Pre-tax income (loss) 1,831,105 2,293 1,514,635 — 3,348,033 Total assets as of April 30, 2013 28,302,214 512,021 31,070 8,130 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 1. Background and Business Description , Chapter 11 Reorganization of Ambac for a further discussion of Ambac's Reorganization. |
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 2015 2014 Year Ended December 31 Gross Net Net Change in Gross Net Net Change in United States $ (13,028 ) $ 229,658 $ 39,633 $ (46,279 ) $ 197,154 $ 8,669 United Kingdom 3,652 68,799 — (221,516 ) 31,672 — Other international (28,196 ) 14,138 2,068 (20,515 ) 17,534 15,237 Total $ (37,572 ) $ 312,595 $ 41,701 $ (288,310 ) $ 246,360 $ 23,906 Successor Ambac Predecessor Ambac Period from May 1 through Period from Jan1 through Gross Net Net Change in Gross Net Net Change in United States $ (61,255 ) $ 165,099 $ 122,696 $ (16,102 ) $ 104,594 $ (31,134 ) United Kingdom (7,368 ) 35,387 22,548 10,673 18,071 (5,861 ) Other international (11,686 ) 13,032 47,625 (8,696 ) 7,335 (23,389 ) Total $ (80,309 ) $ 213,518 $ 192,869 $ (14,125 ) $ 130,000 $ (60,384 ) |
Quarterly Information (unaudi49
Quarterly Information (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Data [Abstract] | |
Schedule of Quarterly Financial Information | 20. QUARTERLY INFORMATION (Unaudited) 2015 2014 ($ in thousands) First Second Third Fourth First Second Third Fourth Gross premiums written $ 1,062 $ (11,192 ) $ (8,710 ) $ (18,732 ) $ (5,766 ) $ (45,486 ) $ (13,700 ) $ (223,358 ) Net premiums earned 65,718 60,879 71,535 114,463 82,547 65,013 64,831 33,969 Net investment income 72,983 64,753 64,195 64,358 70,801 80,093 83,581 66,471 Net other than temporary impairment losses (3,119 ) (1,020 ) (9,150 ) (12,370 ) (10,392 ) (8,754 ) (5,011 ) (1,637 ) Net realized investment gains 54,101 (5,353 ) 2,106 2,622 16,289 3,067 10,045 29,376 Net change in fair value of credit derivatives (2,499 ) 10,293 36,952 (3,045 ) 7,382 (1,219 ) 7,416 10,327 Derivative products revenue (37,774 ) 50,999 (65,083 ) 9,314 (53,841 ) (47,985 ) (15,685 ) (63,576 ) Net realized gains (losses) on extinguishment of debt (93 ) (1,246 ) 1,420 — — — — (74,724 ) Income (loss) on Variable Interest Entities 6,962 52,603 (21,435 ) (6,561 ) (5,542 ) (38,148 ) 9,116 2,362 Loss and loss expenses (benefit) (150,952 ) (147,477 ) (133,213 ) (337,065 ) (140,011 ) 175,317 (28,698 ) (552,182 ) Insurance intangible amortization 37,432 38,088 39,680 54,357 31,714 36,256 41,908 41,952 Underwriting and operating expenses 24,523 25,873 25,006 27,300 25,786 24,033 25,513 26,142 Interest expense 27,908 28,173 29,899 30,557 32,328 31,953 31,841 31,354 Goodwill impairment — — 514,511 — — — — — Reorganization items — — — — 23 186 2 — Pre-tax income (loss) 216,580 286,095 (388,193 ) 395,576 159,298 (210,412 ) 84,773 459,594 Net income (loss) attributable to Common Shareholders 214,711 282,695 (390,987 ) 386,984 155,942 (207,905 ) 82,450 453,584 Net income (loss) per share: Basic $ 4.75 $ 6.26 $ (8.66 ) $ 8.57 $ 3.46 $ (4.61 ) $ 1.83 $ 10.05 Diluted $ 4.57 $ 6.05 $ (8.66 ) $ 8.56 $ 3.31 $ (4.61 ) $ 1.77 $ 9.73 |
Background and Business Descr50
Background and Business Description - Additional Information (Detail) | 1 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | |||
Apr. 30, 2013USD ($)$ / sharesshares | Apr. 30, 2013USD ($)$ / sharesshares | Dec. 31, 2013USD ($) | Dec. 31, 2015USD ($)Segment$ / sharesshares | Dec. 31, 2014USD ($)$ / sharesRateshares | Dec. 31, 2010USD ($) | May. 01, 2013USD ($)$ / sharesshares | |
Background And Basis Of Presentation [Line Items] | |||||||
Unpaid as a Percentage of Permitted Policy Claims | Rate | 55.00% | ||||||
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 | Apr. 29, 1991 | |||||
Number of reportable segments | Segment | 2 | ||||||
Par Value of Owner Trust Certificate | $ 74,794,000 | ||||||
Par Value of Private Placement | $ 299,175,000 | ||||||
Private Placement Par Value Proceeds | 80.00% | ||||||
Private Placement Maturity Date | Aug. 28, 2039 | ||||||
Interest on junior surplus notes | 5.10% | ||||||
Investment Warrants Expiration Date | Apr. 30, 2023 | ||||||
Transaction Limit | $ 5,000,000 | ||||||
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | 5.10% | |||||
Payment of permitted policy claim (percent) | 25.00% | ||||||
Equalizing payment on unpaid permitted policy claim (percent) | 26.67% | ||||||
December 2014 Payment of Deferred Amounts | $ 1,137,202,000 | ||||||
Capital Stock Authorized | shares | 150,000,000 | 150,000,000 | |||||
Common stock, shares authorized | shares | 130,000,000 | 130,000,000 | |||||
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | |||||
Preferred stock, shares authorized | shares | 20,000,000 | 20,000,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | |||||
Common stock, shares issued | shares | 45,000,000 | 45,000,000 | |||||
Warrants issued exercise price | $ / shares | $ 16.67 | $ 16.67 | |||||
Mediation Agreement Cash Grant | $ 30,000,000 | $ 30,000,000 | |||||
Junior surplus note of Ambac Assurance Segregated Account | 350,000,000 | $ 350,000,000 | $ 350,000,000 | ||||
Common Stock Voting Restrictions | 10.00% | ||||||
Common Stock Voting Restriction Less One Vote | 10.00% | ||||||
Common Stock Transfer Restrictions | 5.00% | ||||||
Common Stock Additional Transfer Restrictions | 5.00% | ||||||
November 2014 Payment of Surplus Notes | $ 413,587,000 | ||||||
Ambac Assurance [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Net par exposure for policies allocated to the Segregated Account | $ 15,361,202,000 | ||||||
Issuance of secured note to segregated account | $ 2,000,000,000 | ||||||
Secured note maturity year | 2,050 | ||||||
Interest on the secured note accrues | 4.50% | ||||||
Available secured notes including capitalized interest | 0 | ||||||
Minimum surplus amount | 100,000,000 | ||||||
Maximum Reimbursement Of Operating Expenses | $ 5,000,000 | ||||||
Successor [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | $ 0 | $ 0 | $ 224,262,000 | ||||
Common stock, shares authorized | shares | 130,000,000 | 130,000,000 | |||||
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | ||||
Preferred stock, shares authorized | shares | 20,000,000 | 20,000,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | |||||
Common stock, shares issued | shares | 45,044,222 | 45,005,932 | 45,000,000 | ||||
Warrants Distributed In Bankruptcy | shares | 5,047,138 | 5,047,138 | 5,047,138 | ||||
Warrants issued exercise price | $ / shares | $ 16.67 | ||||||
Two Thousand And Seventeen [Member] | Ambac Assurance [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Maximum Reimbursement Of Operating Expenses after 2017 | $ 4,000,000 |
Basis of Presentation and Sig51
Basis of Presentation and Significant Accounting Policies (Details) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fresh-Start Adjustment [Line Items] | ||||||||||||
Deferred Amounts and Junior Deferred Amounts Accrued Interest Rate | 5.10% | 5.10% | ||||||||||
Business Acquisition, Percentage of Voting Interests Acquired | 50.00% | |||||||||||
Goodwill [Roll Forward] | ||||||||||||
Beginning balance | $ 514,511 | |||||||||||
Impairment loss | $ (514,511) | |||||||||||
Ending balance | $ 514,511 | |||||||||||
Currency Translation, Weighted Average Risk Free Discount Rate | 2.70% | 2.70% | 2.70% | 2.70% | ||||||||
Financial Guarantee Insurance Contracts, Premium Received over Contract Period, Premium Receivable, Weighted Average Collection Period | 9 years 2 months 12 days | 10 years 1 month 6 days | ||||||||||
Successor [Member] | ||||||||||||
Goodwill [Roll Forward] | ||||||||||||
Beginning balance | $ 514,511 | $ 514,511 | 514,511 | $ 514,511 | $ 514,511 | |||||||
Impairment loss | (514,511) | 0 | ||||||||||
Ending balance | $ 0 | $ 514,511 | 514,511 | 514,511 | 0 | 514,511 | ||||||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | 56,541 | 137,400 | 29,964 | |||||||||
U.S. Trustee Fees | 33 | 0 | 7 | |||||||||
Professional fees | 460 | 0 | 204 | |||||||||
Gain From Cancellation and Satisfaction of Predecessor Ambac Debt | 0 | 0 | 0 | |||||||||
Fresh Start Adjustments | 0 | 0 | 0 | |||||||||
Reorganization items | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 2 | $ 186 | $ 23 | 493 | $ 0 | $ 211 | |
Predecessor [Member] | ||||||||||||
Fresh-Start Adjustment [Line Items] | ||||||||||||
Deferred Policy Acquisition Cost, Amortization Expense | 6,480 | |||||||||||
Goodwill [Roll Forward] | ||||||||||||
Beginning balance | $ 0 | |||||||||||
Ending balance | 0 | |||||||||||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | 36,433 | |||||||||||
U.S. Trustee Fees | 23 | |||||||||||
Professional fees | 4,483 | |||||||||||
Gain From Cancellation and Satisfaction of Predecessor Ambac Debt | (1,521,435) | |||||||||||
Fresh Start Adjustments | (1,228,251) | |||||||||||
Reorganization items | $ (2,745,180) |
Basis of Presentation and Sig52
Basis of Presentation and Significant Accounting Policies Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Sep. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | Apr. 30, 2013 | |
Finite-Lived Intangible Assets [Line Items] | ||||||
Goodwill, Impairment Loss | $ 514,511 | |||||
Finite-Lived Intangible Assets, Remaining Amortization Period | 9 years 4 months 24 days | |||||
Common Stock Voting Restrictions | 10.00% | |||||
Common Stock, Par or Stated Value Per Share | $ 0.01 | |||||
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 | Apr. 29, 1991 | ||||
Preferred stock, shares authorized | 20,000,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | |||||
Common stock, shares issued | 45,000,000 | |||||
Mediation Agreement Cash Grant | $ 30,000 | |||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | $ 350,000 | ||||
Common Stock Transfer Restrictions | 5.00% | |||||
Common Stock Additional Transfer Restrictions | 5.00% | |||||
Minimum [Member] | Furniture and Fixtures [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
Finite-Lived Intangible Asset, Useful Life | 3 years | |||||
Maximum [Member] | Furniture and Fixtures [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
Finite-Lived Intangible Asset, Useful Life | 5 years | |||||
Successor [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
Goodwill, Impairment Loss | $ 514,511 | $ 0 | ||||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred stock, shares authorized | 20,000,000 | 20,000,000 | ||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | ||||
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 | |||
Warrant Exercised During Period Shares | 740 | 949 | 6,312 |
Basis of Presentation and Sig53
Basis of Presentation and Significant Accounting Policies FX gain (loss) (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Foreign Currency Transaction Gain, before Tax | $ (12,372) | $ 3,836 | $ 1,326 | |
Predecessor [Member] | ||||
Foreign Currency Transaction Gain, before Tax | $ 8,694 |
Basis of Presentation and Sig54
Basis of Presentation and Significant Accounting Policies Goodwill (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 |
Goodwill | $ 514,511 | |||
Successor [Member] | ||||
Goodwill | $ 0 | $ 514,511 | $ 514,511 | $ 514,511 |
Fresh Start Financial Stateme55
Fresh Start Financial Statement Reporting - Additional Information (Detail) | 1 Months Ended |
Apr. 30, 2013USD ($) | |
Fresh-Start Adjustment [Line Items] | |
Enterprise value | $ 185,000,000 |
Allocated amount of Net Operating Loss (NOL) | 3,650,000,000 |
Tax credits carried forward | 60,000,000 |
Upfront cash | 30,000,000 |
Other operating payments | 15,000,000 |
Junior Surplus Notes To Be Issued | $ 350,000,000 |
Interest on junior surplus notes | 5.10% |
Minimum [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 12.00% |
Capital investment | $ 135,000,000 |
Rate of return on investment | 6.00% |
Discount rate of investment | 25.00% |
Maximum [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 17.00% |
Capital investment | $ 190,000,000 |
Rate of return on investment | 8.00% |
Discount rate of investment | 35.00% |
Ambac Assurance [Member] | |
Fresh-Start Adjustment [Line Items] | |
Maximum Reimbursement Of Operating Expenses | $ 5,000,000 |
Surplus Notes [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 10.60% |
Two Thousand And Seventeen [Member] | Ambac Assurance [Member] | |
Fresh-Start Adjustment [Line Items] | |
Maximum Reimbursement Of Operating Expenses after 2017 | $ 4,000,000 |
Fresh Start Financial Stateme56
Fresh Start Financial Statement Reporting - Schedule of Reconciliation of Enterprise Value to Reorganization Value, and Determination of Goodwill (Detail) $ in Thousands | Apr. 30, 2013USD ($) |
Reorganizations [Abstract] | |
Enterprise value | $ 185,000 |
Add: Fair value of liabilities | 28,393,020 |
Add: Fair value of noncontrolling interest | 275,415 |
Total assets | 28,853,435 |
Less: Fair value of identified tangible and intangible assets | 28,338,924 |
Reorganization value in excess of fair value of assets (goodwill) | $ 514,511 |
Fresh Start Financial Stateme57
Fresh Start Financial Statement Reporting - Fresh Start Reorganized Condensed Consolidated Balance Sheet (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | Apr. 30, 2013 | Dec. 31, 2012 |
Assets: | ||||||
Goodwill | $ 514,511 | |||||
Variable interest entity assets: | ||||||
Total assets | 28,853,435 | |||||
Liabilities: | ||||||
Liabilities subject to compromise | 1,704,641 | |||||
Variable interest entity liabilities: | ||||||
Total liabilities | 28,393,020 | |||||
Stockholders' (deficit) equity: | ||||||
Common stock | 450 | |||||
Additional paid-in capital | 184,550 | |||||
Noncontrolling interest | $ 275,415 | |||||
Common stock, shares issued | 45,000,000 | |||||
Predecessor [Member] | ||||||
Fresh-Start Adjustment [Line Items] | ||||||
Assets unadjusted | $ 26,969,994 | |||||
Assets: | ||||||
Investments | 6,457,264 | |||||
Cash | 254,851 | |||||
Receivable for securities sold | 682 | |||||
Investment income due and accrued | 37,961 | |||||
Premium receivables | 1,531,631 | |||||
Reinsurance recoverable on paid and unpaid losses | 151,311 | |||||
Deferred ceded premium | 166,212 | |||||
Subrogation recoverable | 533,673 | |||||
Deferred acquisition costs | 184,953 | |||||
Loans | 8,857 | |||||
Derivative assets | 121,643 | |||||
Current taxes | 0 | |||||
Insurance intangible asset | 0 | |||||
Goodwill | 0 | |||||
Other assets | 54,821 | |||||
Variable interest entity assets: | ||||||
Investment income due and accrued | 37,961 | |||||
Loans | 8,857 | |||||
Other assets | 54,821 | |||||
Total assets | 28,853,435 | |||||
Liabilities: | ||||||
Liabilities subject to compromise | 1,704,641 | |||||
Unearned premiums | 2,482,314 | |||||
Loss and loss expense reserves | 6,106,345 | |||||
Ceded premiums payable | 92,468 | |||||
Obligations under investment agreements | 357,373 | |||||
Obligations under investment repurchase agreements | 5,926 | |||||
Deferred taxes | 1,580 | |||||
Current taxes | 97,490 | |||||
Long-term debt | 155,271 | |||||
Accrued interest payable | 252,788 | |||||
Derivative liabilities | 621,645 | |||||
Other liabilities | 88,908 | |||||
Payable for securities purchased | 27 | |||||
Variable interest entity liabilities: | ||||||
Accrued interest payable | 252,788 | |||||
Long-term debt | 155,271 | |||||
Derivative liabilities | 621,645 | |||||
Other liabilities | 88,908 | |||||
Total liabilities | 29,444,265 | |||||
Stockholders' (deficit) equity: | ||||||
Preferred stock | 0 | |||||
Accumulated other comprehensive income | 800,260 | |||||
Retained earnings | (5,697,961) | |||||
Common stock held in treasury at cost | 410,695 | |||||
ambc_stockholdersequityattributabletoparentunadjusted | (3,133,289) | |||||
ambc_stockholdersequityattributabletononcontrollinginterestunadjusted | 659,018 | |||||
ambc_stockholdersequityincludingportionattributabletononcontrollinginterestUnadjusted | (2,474,271) | |||||
Total stockholders' (deficit) equity | 275,415 | $ (3,246,967) | ||||
Lliabilities and stockholders equity unadjusted | 26,969,994 | |||||
Predecessor [Member] | Variable Interest Entity [Member] | ||||||
Assets: | ||||||
Investment income due and accrued | 4,851 | |||||
Loans | 14,758,077 | |||||
Other assets | 13,972 | |||||
Variable interest entity assets: | ||||||
Fixed income securities, at fair value | 2,500,565 | |||||
Restricted cash | 24,150 | |||||
Investment income due and accrued | 4,851 | |||||
Loans | 14,758,077 | |||||
Intangible assets | 164,520 | |||||
Other assets | 13,972 | |||||
Liabilities: | ||||||
Long-term debt | 15,041,624 | |||||
Accrued interest payable | 4,318 | |||||
Derivative liabilities | 2,425,517 | |||||
Other liabilities | 6,030 | |||||
Variable interest entity liabilities: | ||||||
Accrued interest payable | 4,318 | |||||
Long-term debt | 15,041,624 | |||||
Derivative liabilities | 2,425,517 | |||||
Other liabilities | 6,030 | |||||
Predecessor [Member] | Common Stock-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | 3,080 | |||||
Predecessor [Member] | Common Stock Successor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | 0 | |||||
Predecessor [Member] | Additional Paid-In Capital-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | 2,172,027 | |||||
Predecessor [Member] | Additional Paid-In Capital Successor [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | 0 | |||||
Successor [Member] | ||||||
Assets: | ||||||
Investments | $ 5,644,720 | $ 5,507,034 | 6,457,264 | |||
Cash | 152,951 | |||||
Receivable for securities sold | 44,030 | 23,660 | 682 | |||
Investment income due and accrued | 25,264 | 25,015 | 37,961 | |||
Premium receivables | 831,575 | 1,000,607 | 1,531,631 | |||
Reinsurance recoverable on paid and unpaid losses | 43,999 | 99,838 | 151,311 | |||
Deferred ceded premium | 96,758 | 123,276 | 166,212 | |||
Subrogation recoverable | 1,229,293 | 953,274 | 533,673 | |||
Deferred acquisition costs | 0 | |||||
Loans | 5,206 | 5,714 | 7,282 | |||
Derivative assets | 84,995 | 109,017 | 121,643 | |||
Current taxes | 4,410 | |||||
Insurance intangible asset | 1,212,112 | 1,410,920 | 1,658,972 | |||
Goodwill | 0 | 514,511 | $ 514,511 | 514,511 | ||
Other assets | 185,877 | 186,985 | 54,821 | |||
Variable interest entity assets: | ||||||
Fixed income securities, at fair value | 5,043,776 | 4,725,686 | ||||
Investment income due and accrued | 25,264 | 25,015 | 37,961 | |||
Loans | 5,206 | 5,714 | 7,282 | |||
Other assets | 185,877 | 186,985 | 54,821 | |||
Total assets | 23,728,070 | 25,159,864 | 27,092,477 | 28,853,435 | ||
Liabilities: | ||||||
Liabilities subject to compromise | 0 | |||||
Unearned premiums | 1,280,282 | 1,673,785 | 2,482,314 | |||
Loss and loss expense reserves | 4,088,106 | 4,752,007 | 6,106,345 | |||
Ceded premiums payable | 53,494 | 60,436 | 92,468 | |||
Obligations under investment agreements | 100,358 | 160,079 | 358,878 | |||
Obligations under investment repurchase agreements | 5,926 | |||||
Deferred taxes | 1,580 | |||||
Current taxes | 5,835 | 5,701 | 0 | |||
Long-term debt | 1,124,950 | 971,116 | 940,313 | |||
Accrued interest payable | 355,536 | 304,139 | 233,876 | |||
Derivative liabilities | 353,358 | 406,944 | 621,645 | |||
Other liabilities | 61,134 | 63,396 | 90,745 | |||
Payable for securities purchased | 84,690 | 762 | 27 | |||
Variable interest entity liabilities: | ||||||
Accrued interest payable | 355,536 | 304,139 | 233,876 | |||
Long-term debt | 1,124,950 | 971,116 | 940,313 | |||
Derivative liabilities | 353,358 | 406,944 | 621,645 | |||
Other liabilities | 61,134 | 63,396 | 90,745 | |||
Total liabilities | 21,769,724 | 23,486,129 | 28,393,020 | |||
Stockholders' (deficit) equity: | ||||||
Preferred stock | 0 | 0 | 0 | |||
Common stock | 450 | 450 | 450 | |||
Additional paid-in capital | 190,813 | 189,138 | ||||
Accumulated other comprehensive income | 15,215 | 220,283 | 11,661 | 0 | ||
Retained earnings | 1,478,439 | 989,290 | 0 | |||
Common stock held in treasury at cost | (118) | (56) | 0 | |||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,684,799 | 1,399,105 | 185,000 | |||
Noncontrolling interest | 273,547 | 274,630 | 275,415 | |||
Total stockholders' (deficit) equity | 1,958,346 | 1,673,735 | $ 978,422 | $ 460,415 | 460,415 | |
Total liabilities and stockholders’ equity | $ 23,728,070 | $ 25,159,864 | 28,853,435 | |||
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 | |||
Successor [Member] | Variable Interest Entity [Member] | ||||||
Assets: | ||||||
Investment income due and accrued | $ 1,213 | $ 1,284 | 4,851 | |||
Loans | 14,752,053 | |||||
Other assets | 2,582 | 2,891 | 13,972 | |||
Variable interest entity assets: | ||||||
Fixed income securities, at fair value | 2,588,556 | 2,743,050 | 2,500,565 | |||
Restricted cash | 5,822 | 7,708 | 24,150 | |||
Investment income due and accrued | 1,213 | 1,284 | 4,851 | |||
Loans | 14,752,053 | |||||
Intangible assets | 164,520 | |||||
Other assets | 2,582 | 2,891 | 13,972 | |||
Liabilities: | ||||||
Long-term debt | 12,327,960 | 12,882,076 | 15,023,038 | |||
Accrued interest payable | 3,230 | 3,268 | 4,318 | |||
Derivative liabilities | 1,928,403 | 2,200,163 | 2,425,517 | |||
Other liabilities | 183 | 178 | 6,030 | |||
Variable interest entity liabilities: | ||||||
Accrued interest payable | 3,230 | 3,268 | 4,318 | |||
Long-term debt | 12,327,960 | 12,882,076 | 15,023,038 | |||
Derivative liabilities | 1,928,403 | 2,200,163 | 2,425,517 | |||
Other liabilities | $ 183 | $ 178 | 6,030 | |||
Successor [Member] | Common Stock-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | 0 | |||||
Successor [Member] | Common Stock Successor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | 450 | |||||
Successor [Member] | Additional Paid-In Capital-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | 0 | |||||
Successor [Member] | Additional Paid-In Capital Successor [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | 184,550 | |||||
Reorganization Item Adjustments [Member] | ||||||
Assets: | ||||||
Cash | (101,900) | |||||
Current taxes | 4,410 | |||||
Variable interest entity assets: | ||||||
Total assets | (97,490) | |||||
Liabilities: | ||||||
Liabilities subject to compromise | (1,704,641) | |||||
Current taxes | (97,490) | |||||
Long-term debt | (973) | |||||
Accrued interest payable | (821) | |||||
Variable interest entity liabilities: | ||||||
Accrued interest payable | (821) | |||||
Long-term debt | (973) | |||||
Total liabilities | (1,803,925) | |||||
Stockholders' (deficit) equity: | ||||||
Preferred stock | 0 | |||||
Retained earnings | 1,521,435 | |||||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,706,435 | |||||
Total stockholders' (deficit) equity | 1,706,435 | |||||
Total liabilities and stockholders’ equity | (97,490) | |||||
Reorganization Item Adjustments [Member] | Common Stock Successor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | 450 | |||||
Reorganization Item Adjustments [Member] | Additional Paid-In Capital Successor [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | 184,550 | |||||
Fresh Start Adjustments [Member] | ||||||
Assets: | ||||||
Deferred acquisition costs | (184,953) | |||||
Loans | (1,575) | |||||
Insurance intangible asset | 1,658,972 | |||||
Goodwill | 514,511 | |||||
Variable interest entity assets: | ||||||
Loans | (1,575) | |||||
Total assets | 1,980,931 | |||||
Liabilities: | ||||||
Obligations under investment agreements | 1,505 | |||||
Long-term debt | 786,015 | |||||
Accrued interest payable | (18,091) | |||||
Other liabilities | 1,837 | |||||
Variable interest entity liabilities: | ||||||
Accrued interest payable | (18,091) | |||||
Long-term debt | 786,015 | |||||
Other liabilities | 1,837 | |||||
Total liabilities | 752,680 | |||||
Stockholders' (deficit) equity: | ||||||
Preferred stock | 0 | |||||
Accumulated other comprehensive income | (800,260) | |||||
Retained earnings | 4,176,526 | |||||
Common stock held in treasury at cost | (410,695) | |||||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,611,854 | |||||
Noncontrolling interest | (383,603) | |||||
Total stockholders' (deficit) equity | 1,228,251 | |||||
Total liabilities and stockholders’ equity | 1,980,931 | |||||
Fresh Start Adjustments [Member] | Variable Interest Entity [Member] | ||||||
Assets: | ||||||
Loans | (6,024) | |||||
Variable interest entity assets: | ||||||
Loans | (6,024) | |||||
Liabilities: | ||||||
Long-term debt | (18,586) | |||||
Variable interest entity liabilities: | ||||||
Long-term debt | (18,586) | |||||
Fresh Start Adjustments [Member] | Common Stock-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Common stock | (3,080) | |||||
Fresh Start Adjustments [Member] | Additional Paid-In Capital-Predecessor Ambac [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital | $ (2,172,027) | |||||
Fresh Start Adjustments [Member] | Additional Paid-In Capital Successor [Member] | ||||||
Stockholders' (deficit) equity: | ||||||
Additional paid-in capital |
Fresh Start Financial Stateme58
Fresh Start Financial Statement Reporting - Fresh Start Reorganized Condensed Consolidated Balance Sheet (Parenthetical) (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | May. 01, 2013 | Apr. 30, 2013 |
Fresh-Start Adjustment [Line Items] | ||||
Common stock, shares issued | 45,000,000 | |||
Number of warrants issued | 5,047,138 | |||
Pre-tax gain on extinguishment of obligations | $ 1,521,435 | |||
Reorganization Item Adjustments [Member] | ||||
Fresh-Start Adjustment [Line Items] | ||||
Cash | (101,900) | |||
Successor [Member] | ||||
Fresh-Start Adjustment [Line Items] | ||||
Cash | $ 152,951 | |||
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 |
Fresh Start Financial Stateme59
Fresh Start Financial Statement Reporting - Schedule of Calculation of Pre-Tax Gain, Recorded as Reorganization on Consolidated Statement of Total Comprehensive Income (Detail) $ in Thousands | Apr. 30, 2013USD ($) |
Extinguishment of Debt [Line Items] | |
Liabilities subject to compromise | $ (1,704,641) |
Long-term debt | 973 |
Accrued interest payable | 821 |
Total debt discharged | 1,706,435 |
Less: Successor Ambac common stock | (450) |
Successor Ambac additional paid-in capital | (184,550) |
Pre-tax gain from cancellation and satisfaction of Predecessor Ambac debt | 1,521,435 |
Predecessor [Member] | |
Extinguishment of Debt [Line Items] | |
Liabilities subject to compromise | (1,704,641) |
Predecessor [Member] | Common Stock Successor Ambac [Member] | |
Extinguishment of Debt [Line Items] | |
Less: Successor Ambac common stock | 0 |
Predecessor [Member] | Additional Paid-In Capital Successor [Member] | |
Extinguishment of Debt [Line Items] | |
Successor Ambac additional paid-in capital | $ 0 |
Fresh Start Financial Stateme60
Fresh Start Financial Statement Reporting - Schedule of Calculation of Pre-Tax Gain, Recorded as Reorganization on Consolidated Statement of Total Comprehensive Income (Parenthetical) (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | May. 01, 2013 | Apr. 30, 2013 |
Extinguishment of Debt [Line Items] | ||||
Enterprise value | $ 185,000,000 | |||
Common stock | $ 450,000 | |||
Common stock, shares issued | 45,000,000 | |||
Common stock, par value | $ 0.01 | |||
Additional paid-in capital | $ 184,550,000 | |||
Additional paid-in capital allocated to warrants | $ 11,437 | |||
Number of warrants issued | 5,047,138 | |||
Additional paid-in capital attributable to common stock | $ 173,113 | |||
Successor [Member] | ||||
Extinguishment of Debt [Line Items] | ||||
Common stock | $ 450,000 | $ 450,000 | $ 450,000 | |
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 | |
Common stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |
Additional paid-in capital | $ 190,813,000 | $ 189,138,000 |
Fresh Start Financial Stateme61
Fresh Start Financial Statement Reporting - Schedule of Impact of Fresh Start Adjustments (Detail) - Predecessor [Member] $ in Thousands | Apr. 30, 2013USD ($) |
Fresh-Start Adjustment [Line Items] | |
Deferred acquisition costs | $ (184,953) |
Asset/liability fair value adjustments impacting Reorganization items | 1,228,251 |
Adjustment to deferred tax provision | 0 |
Gain on fresh start adjustments | 1,228,251 |
Non Variable Interest Entities [Member] | |
Fresh-Start Adjustment [Line Items] | |
Deferred acquisition costs | (184,953) |
Loans (non-VIE) | (1,575) |
Insurance intangible asset | 1,658,972 |
Goodwill | 514,511 |
Obligations under investment agreements | (1,505) |
Long-term debt and accrued interest payable | (767,924) |
Other liabilities | (1,837) |
Variable Interest Entity [Member] | |
Fresh-Start Adjustment [Line Items] | |
VIE loans and long-term debt | $ 12,562 |
Fresh Start Financial Stateme62
Fresh Start Financial Statement Reporting - Schedule of Impact of Fresh Start Adjustments (Parenthetical) (Detail) | 1 Months Ended |
Apr. 30, 2013 | |
Loans (Non-VIE) [Member] | |
Fresh-Start Adjustment [Line Items] | |
Principal-weighted average life | 6 years 9 months 22 days |
Coupon rate | 5.01% |
Discount rate | 9.71% |
VIE Loans and Long-Term Debt [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 5.70% |
Obligations Under Investment Agreements [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 9.40% |
Surplus Notes [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 10.60% |
Junior Surplus Notes [Member] | |
Fresh-Start Adjustment [Line Items] | |
Discount rate | 16.60% |
Fresh Start Financial Stateme63
Fresh Start Financial Statement Reporting - Cancellation of Equity Accounts Attributable to Shareholders and Fair Value Adjustment of Noncontrolling Interests (Detail) - Predecessor [Member] $ in Thousands | Apr. 30, 2013USD ($) |
Fresh-Start Adjustment [Line Items] | |
Common stock | $ (3,080) |
Additional paid-in-capital | (2,172,027) |
Accumulated other comprehensive income | (800,260) |
Accumulated deficit | 2,948,275 |
Common stock held in treasury at cost | 410,695 |
Noncontrolling interest fair value adjustment | (383,603) |
Net adjustment | $ 0 |
Special Purpose Entities, Inc64
Special Purpose Entities, Including Variable Interest Entities - Additional Information (Detail) | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013USD ($) | Dec. 31, 2013USD ($) | Dec. 31, 2015USD ($)TransactionsEntity | Dec. 31, 2014USD ($)TransactionsEntity | |
Variable Interest Entities [Line Items] | ||||
variable interest entities deconsolidation gain loss | $ (15,273,000) | $ 572,000 | $ 0 | |
Secured Debt | 130,571,000 | |||
Consolidated VIE assets | 14,288,497,000 | 15,126,110,000 | ||
Consolidated VIE liabilities | $ 14,259,776,000 | 15,085,685,000 | ||
Number of RMBS Sold | 17 | |||
Cash Received From Delaware Trust | $ 146,000,000 | |||
Par Value of Securities Placed in Trust | 377,837,000 | |||
Fair Value of Securities Placed in Trust | 396,100,000 | |||
Securities Issued by Delaware Trust | 146,000,000 | |||
Equity Method Investments | 25,339,000 | |||
Successor [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Fair value of special purpose entities | $ 8,696,000 | $ 12,036,000 | ||
Asset-Backed Securities and Utility Obligations [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Weighted average life | 5 years 10 months 7 days | |||
Average rating of assets held by sponsored special purpose entities | BBB | |||
Sponsored Variable Interest Entities [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Number of individual transactions with special purpose entities | Transactions | 15 | |||
Number of transactions outstanding with special purpose entities | Transactions | 3 | |||
Total principal amount of debt outstanding | $ 454,290,000 | $ 457,960,000 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Secured Debt | $ 0 | |||
Variable Interest Entities [Member] | Successor [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Amortization Of Variable Interest Entity Intangible Assets | 5,015,000 | |||
Asset Impairment Charges | $ 76,140,000 | |||
Variable Interest Entities [Member] | Predecessor [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Variable Interest Entity, Initial Consolidation, Gain (Loss) | $ 385,291,000 | |||
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 | |||
Consolidated Entities [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Number of DeConsolidated Variable Interest Entities | 1 | 2 | 3 | |
Number of consolidated Variable Interest Entities | Entity | 15 | 15 | ||
London Interbank Offered Rate (LIBOR) [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Interest Rate on Securities Issued by Delaware Trust | 2.80% |
Special Purpose Entities, Inc65
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 [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Investments: | ||
Fixed income securities | $ 5,334,120 | $ 5,150,018 |
Variable Interest Entities [Member] | ||
Investments: | ||
Fixed income securities | 2,588,556 | 2,743,050 |
Corporate Obligations [Member] | ||
Investments: | ||
Fixed income securities | $ 2,588,556 | $ 2,743,050 |
Special Purpose Entities, Inc66
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) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Variable Interest Entities [Line Items] | ||
Loans, Unpaid principal balance | $ 6,205 | $ 6,936 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 14,259,776 | 15,085,685 |
Variable Interest Entities [Member] | Successor [Member] | ||
Variable Interest Entities [Line Items] | ||
Loans, Estimated fair value | 11,690,324 | 12,371,177 |
Long-term debt, Estimated fair value | 12,327,960 | 12,882,076 |
Loans, Unpaid principal balance | 9,182,284 | 10,236,695 |
Long-term debt, Unpaid principal balance | $ 11,069,070 | $ 11,925,499 |
Special Purpose Entities, Inc67
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 [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Global Public Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | $ 28,586,582 | $ 31,639,004 |
Insurance Assets | 377,412 | 457,774 |
Insurance Liabilities | 427,299 | 533,192 |
Derivative Liabilities | (24,860) | (22,135) |
Collateralized Debt Obligations [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 980,935 | 1,386,100 |
Insurance Assets | 264 | 345 |
Insurance Liabilities | 3,639 | 4,000 |
Derivative Liabilities | (129,525) | (145,565) |
Residential Mortgage-Backed Securities [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 17,081,002 | 16,202,408 |
Insurance Assets | 1,279,650 | 1,011,888 |
Insurance Liabilities | 2,680,739 | 2,924,987 |
Other Consumer Asset-Backed [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 3,853,443 | 5,109,776 |
Insurance Assets | 47,346 | 65,204 |
Insurance Liabilities | 535,090 | 885,572 |
Derivative Liabilities | 0 | (36,877) |
Other Commercial Asset-Backed [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 2,393,805 | 3,119,891 |
Insurance Assets | 104,033 | 135,215 |
Insurance Liabilities | 94,191 | 128,988 |
Derivative Liabilities | 0 | 0 |
Other [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 3,286,568 | 3,801,382 |
Insurance Assets | 81,017 | 97,345 |
Insurance Liabilities | 461,364 | 599,915 |
Derivative Liabilities | $ 16,604 | $ 18,176 |
Comprehensive Income - Schedule
Comprehensive Income - Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | $ 220,283 | $ 11,661 |
Other comprehensive income before reclassifications | (176,434) | 242,400 |
Amounts reclassified from accumulated other comprehensive income | (28,634) | (33,778) |
Net current period other comprehensive income | (205,068) | 208,622 |
Ending Balance | 15,215 | 220,283 |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 210,693 | (41,910) |
Other comprehensive income before reclassifications | (131,976) | 285,565 |
Amounts reclassified from accumulated other comprehensive income | (27,754) | (32,962) |
Net current period other comprehensive income | (159,730) | 252,603 |
Ending Balance | 50,963 | 210,693 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 10,031 | 10,847 |
Other comprehensive income before reclassifications | 193 | 0 |
Amounts reclassified from accumulated other comprehensive income | (880) | (816) |
Net current period other comprehensive income | (687) | (816) |
Ending Balance | 9,344 | 10,031 |
Accumulated Translation Adjustment [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (441) | 42,724 |
Other comprehensive income before reclassifications | (44,651) | (43,165) |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Net current period other comprehensive income | (44,651) | (43,165) |
Ending Balance | $ (45,092) | $ (441) |
Comprehensive Income - Schedu69
Comprehensive Income - Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Predecessor [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Income tax expense (benefit) | $ (755) | |||
Successor [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Income tax expense (benefit) | $ (7,514) | $ (17,364) | $ (9,557) | |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (28,634) | (33,778) | ||
Successor [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Net realized investment gains | (27,754) | (32,962) | ||
Net of tax and noncontrolling interest | (27,754) | (32,962) | ||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (27,754) | (32,962) | ||
Successor [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (880) | (816) | ||
Successor [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Net of tax and noncontrolling interest | (28,634) | (33,778) | ||
Successor [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Income tax expense (benefit) | 0 | 0 | ||
Successor [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Other Postretirement Benefit Plan, Defined Benefit [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Income tax expense (benefit) | 0 | 0 | ||
Prior service cost | (666) | (664) | ||
Actuarial gains (losses) | (214) | (152) | ||
Total before tax | (880) | (816) | ||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | $ (880) | $ (816) |
Net Income Per Share - Addition
Net Income Per Share - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | |
Schedule Of Earnings Per Share [Line Items] | ||||||
Number of new common stock issued | 45,000,000 | |||||
Par value of common stock issued | $ 0.01 | |||||
Exercise price of common stock | $ 16.67 | |||||
Investment Warrants Expiration Date | Apr. 30, 2023 | |||||
Successor [Member] | ||||||
Schedule Of Earnings Per Share [Line Items] | ||||||
Number of new common stock issued | 45,044,222 | 45,005,932 | 45,000,000 | |||
Par value of common stock issued | $ 0.01 | $ 0.01 | $ 0.01 | |||
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 5,047,138 | 5,047,138 | ||||
Exercise price of common stock | $ 16.67 | |||||
Warrant exercised | 740 | 949 | 6,312 | |||
Stock Issued During Period, Shares, New Issues | 236 | 949 | 2,524 | |||
Warrants outstanding | 4,407,537 | |||||
WarrantBuyBackAuthorizedDollars | $ 10,000 | |||||
Warrants Purchased During Period Shares | 631,600 | |||||
Payments for Repurchase of Warrants | $ 0 | $ 5,375 | $ 0 |
Net Income Per Share - Reconcil
Net Income Per Share - Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share (Detail) - shares | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Weighted average number of common shares used for basic earnings per share | 45,003,925 | 45,173,542 | 45,093,304 | |
Effect of potential dilutive shares: | ||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 46,302,734 | 46,006,027 | 46,933,253 | |
Successor [Member] | Employee Stock Option [Member] | ||||
Effect of potential dilutive shares: | ||||
Anti-dilutive shares excluded from reconciliation | 66,668 | 110,000 | ||
Successor [Member] | Restricted Stock Units (RSUs) [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 1,189 | 14,221 | 37,812 | |
Successor [Member] | Performance Shares [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 0 | 3,117 | 5,526 | |
Successor [Member] | Warrants [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 1,297,620 | 809,834 | 1,786,804 | |
Successor [Member] | Employee Stock Option [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 0 | 5,313 | 9,807 | |
Predecessor [Member] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Weighted average number of common shares used for basic earnings per share | 302,469,544 | |||
Effect of potential dilutive shares: | ||||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 302,579,245 | |||
Predecessor [Member] | Restricted Stock Units (RSUs) [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 109,701 | |||
Predecessor [Member] | Performance Shares [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 0 | |||
Predecessor [Member] | Warrants [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 0 | |||
Predecessor [Member] | Employee Stock Option [Member] | ||||
Effect of potential dilutive shares: | ||||
Effect of potential dilutive shares | 0 |
Insurance Regulatory Restrict72
Insurance Regulatory Restrictions Additional Details (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Average Annual Rate Of Return | 8.06% | 7.87% |
Prescribed Discount Rate Percentage | 5.10% | |
Quarterly Dividend Increase Limitation Percentage | 15.00% | |
Percentage Of Policy Holders Surplus | 10.00% | |
Minimum [Member] | ||
Settlement Agreement Annual Restricted Payment Amount | $ 5,000 | |
Maximum [Member] | ||
Settlement Agreement Annual Restricted Payment Amount | 7,500 | |
Ambac Assurance [Member] | ||
Statutory Accounting Practices, Statutory Capital and Surplus, Balance | 624,795 | $ 100,000 |
Statutory Accounting Practices Capital | 1,015,676 | 268,353 |
Ambac Assurance [Member] | Prescribed Or Permitted Additional Accounting Practices [Member] | ||
Statutory Accounting Practices, Prescribed Practice, Amount | 21,260 | 168,085 |
Segregated Account [Member] | ||
Statutory Accounting Practices, Statutory Capital and Surplus, Balance | $ 387,633 | 239,280 |
Insurance Liabilities Not Assumed | $ 149,482 |
Financial Guarantees in Force -
Financial Guarantees in Force - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Guarantor Obligations [Line Items] | ||
Gross par amount of financial guarantees outstanding | $ 119,235,000 | $ 159,688,000 |
Net par amount of financial guarantees | 108,299,000 | 144,734,000 |
Gross financial guarantees in force | 188,853,000 | 253,383,000 |
Net financial guarantees in force | $ 171,000,000 | $ 228,890,000 |
Highest single insured risk of aggregate net par amount guaranteed | 1.60% | |
California [Member] | ||
Guarantor Obligations [Line Items] | ||
Aggregate net par amounts in force | 14.30% | |
New York [Member] | ||
Guarantor Obligations [Line Items] | ||
Aggregate net par amounts in force | 5.30% | |
No other state [Member] | Maximum [Member] | ||
Guarantor Obligations [Line Items] | ||
Aggregate net par amounts in force | 5.00% |
Financial Guarantees in Force74
Financial Guarantees in Force - Summary of Financial Guarantee Portfolio Diversification by Type of Guaranteed Bond (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 108,299,000 | $ 144,734,000 |
Public Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 65,436,000 | 93,448,000 |
Public Finance [Member] | Lease and Tax-backed Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 22,060,000 | 33,411,000 |
Public Finance [Member] | General Obligation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 15,946,000 | 22,699,000 |
Public Finance [Member] | Utility Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 8,218,000 | 11,687,000 |
Public Finance [Member] | Higher Education [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 3,439,000 | 6,389,000 |
Public Finance [Member] | Housing Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 6,810,000 | 7,108,000 |
Public Finance [Member] | Health Care Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,234,000 | 3,106,000 |
Public Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,140,000 | 1,310,000 |
Public Finance [Member] | Transportation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 5,589,000 | 7,738,000 |
Structured Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 21,814,000 | 26,334,000 |
Structured Finance [Member] | Mortgage-backed and Home Equity [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 11,387,000 | 13,686,000 |
Structured Finance [Member] | Investor-owned Utilities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 4,921,000 | 5,411,000 |
Structured Finance [Member] | Student Loan [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,323,000 | 3,390,000 |
Structured Finance [Member] | Asset-backed Securities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,140,000 | 1,335,000 |
Structured Finance [Member] | Collateralized Debt Obligations [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 306,000 | 637,000 |
Structured Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,737,000 | 1,875,000 |
International Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 21,049,000 | 24,952,000 |
International Finance [Member] | Mortgage-backed and Home Equity [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 347,000 | 410,000 |
International Finance [Member] | Asset-backed Securities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 3,870,000 | 4,442,000 |
International Finance [Member] | Collateralized Debt Obligations [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 190,000 | 233,000 |
International Finance [Member] | Investor-owned and Public Utilities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 7,208,000 | 8,455,000 |
International Finance [Member] | Sovereign/Sub-sovereign [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 6,218,000 | 6,758,000 |
International Finance [Member] | Transportation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,118,000 | 3,425,000 |
International Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 1,098,000 | $ 1,229,000 |
Financial Guarantees in Force75
Financial Guarantees in Force - Summary of International Finance Guaranteed Portfolio (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 108,299,000 | $ 144,734,000 |
International Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 21,049,000 | 24,952,000 |
International Finance [Member] | United Kingdom [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 15,494,000 | 17,998,000 |
International Finance [Member] | Australia [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,851,000 | 2,168,000 |
International Finance [Member] | Italy [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 948,000 | 1,415,000 |
International Finance [Member] | Austria [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 737,000 | 841,000 |
International Finance [Member] | FRANCE | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 288,000 | 88,000 |
International Finance [Member] | Internationally Diversified [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 974,000 | 1,225,000 |
International Finance [Member] | Other International [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 757,000 | $ 1,217,000 |
Financial Guarantee Insurance76
Financial Guarantee Insurance Contracts - Additional Information (Detail) - USD ($) | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Insurance [Line Items] | ||||||||||||||
Amount Of Insured Par Outstanding Ceded To Reinsurer | $ 9,711,000,000 | $ 9,711,000,000 | ||||||||||||
Ceded Principal Outstanding Major Reinsurer Percentage | 8.10% | |||||||||||||
Deferred Ceded Premiums And Reinsurance Recoverables | 140,757,000 | $ 140,757,000 | ||||||||||||
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | 5.10% | ||||||||||||
Weighted average period of future premiums | 9 years 2 months 12 days | 10 years 1 month 6 days | ||||||||||||
Losses and loss expense reserves ceded to reinsurers | 44,059,000 | $ 100,355,000 | $ 44,059,000 | $ 100,355,000 | ||||||||||
Subrogation recoveries | 2,829,575,000 | 2,523,540,000 | 2,829,575,000 | 2,523,540,000 | ||||||||||
Subrogation recoveries, net of reinsurance | 2,800,149,000 | 2,496,515,000 | 2,800,149,000 | 2,496,515,000 | ||||||||||
Letters of Credit Outstanding, Amount | 136,167,000 | 136,167,000 | ||||||||||||
Financial Guarantee Outstanding Principal Ceded To Third Parties | 10,936,000,000 | 10,936,000,000 | ||||||||||||
Successor [Member] | ||||||||||||||
Insurance [Line Items] | ||||||||||||||
Financial Guarantee Gross Outstanding Principal Assumed From Third Parties | 243,600,000 | 245,900,000 | 243,600,000 | 245,900,000 | ||||||||||
Reinsurance Payable | 53,494,000 | 60,436,000 | $ 92,468,000 | $ 53,494,000 | $ 60,436,000 | |||||||||
Transactions with non-investment grade internal ratings | 27.00% | 32.00% | ||||||||||||
Non-investment grade RMBS on total premiums receivable | 8.00% | 7.00% | ||||||||||||
Percentage of student loan transactions on total premium receivables | 5.00% | 8.00% | ||||||||||||
Percentage related to asset-backed transaction | 5.00% | 6.00% | ||||||||||||
Uncollectable premium receivables | 15,240,000 | 17,780,000 | $ 15,240,000 | $ 17,780,000 | ||||||||||
Past due premiums on policies insuring non-investment grade obligations amount | 500 | 500 | ||||||||||||
Accelerated premium revenue for retired obligations | $ 56,541,000 | 137,400,000 | 29,964,000 | |||||||||||
Reinsurance recoveries of losses included in losses and loss expenses | 14,106,000 | 47,085,000 | 21,164,000 | |||||||||||
Losses and loss expense reserves ceded to reinsurers | 44,059,000 | 100,355,000 | 138,155,000 | 122,357,000 | 44,059,000 | 100,355,000 | $ 122,357,000 | |||||||
Intangible amortization expense | 54,357,000 | $ 39,680,000 | $ 38,088,000 | $ 37,432,000 | 41,952,000 | $ 41,908,000 | $ 36,256,000 | $ 31,714,000 | $ 99,658,000 | 169,557,000 | 151,830,000 | |||
Insurance intangible asset | 1,212,112,000 | 1,410,920,000 | 1,658,972,000 | 1,212,112,000 | 1,410,920,000 | |||||||||
Accumulated amortization on insurance intangible asset | $ 414,454,000 | $ 249,205,000 | 414,454,000 | 249,205,000 | ||||||||||
Successor [Member] | Insurance Intangible Asset [Member] | ||||||||||||||
Insurance [Line Items] | ||||||||||||||
Intangible amortization expense | $ 169,557,000 | $ 151,830,000 | $ 99,658,000 | |||||||||||
Predecessor [Member] | ||||||||||||||
Insurance [Line Items] | ||||||||||||||
Reinsurance Payable | 92,468,000 | |||||||||||||
Accelerated premium revenue for retired obligations | 36,433,000 | |||||||||||||
Reinsurance recoveries of losses included in losses and loss expenses | (3,889,000) | |||||||||||||
Losses and loss expense reserves ceded to reinsurers | 138,155,000 | $ 147,409,000 | ||||||||||||
Intangible amortization expense | 0 | |||||||||||||
Insurance intangible asset | $ 0 | |||||||||||||
Loss Reserves [Member] | Successor [Member] | ||||||||||||||
Insurance [Line Items] | ||||||||||||||
Weighted average risk-free rate used to discount loss reserves | 2.40% | 2.30% |
Financial Guarantee Insurance77
Financial Guarantee Insurance Contracts - Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||
Beginning premium receivable | $ 1,531,631 | $ 1,000,607 | $ 1,453,021 | |
Premium receipts | (82,071) | (108,029) | (126,497) | |
Adjustments for changes in expected and contractual cash flows | (91,241) | (64,740) | (322,443) | |
Accretion of premium receivable discount | 26,184 | 24,628 | 36,651 | |
Financial Guarantee Insurance Contracts Premium Receivable Deconsolidation Of Certain Variable Interest Entity | 45,883 | |||
Uncollectable premiums | (15,262) | 2,540 | (2,518) | |
Other adjustments (including foreign exchange) | 37,897 | (23,431) | (37,607) | |
Ending premium receivable | $ 1,531,631 | 1,453,021 | $ 831,575 | $ 1,000,607 |
Predecessor [Member] | ||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||
Beginning premium receivable | 1,620,621 | $ 1,531,631 | ||
Premium receipts | (48,296) | |||
Adjustments for changes in expected and contractual cash flows | (28,237) | |||
Accretion of premium receivable discount | 14,740 | |||
Uncollectable premiums | (634) | |||
Other adjustments (including foreign exchange) | (26,563) | |||
Ending premium receivable | $ 1,531,631 |
Financial Guarantee Insurance78
Financial Guarantee Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||||||||||
Reinsurance Premiums for Insurance Companies, by Product Segment [Line Items] | ||||||||||||
Direct Premiums Written | $ (80,309) | $ (37,572) | $ (288,310) | |||||||||
Assumed Reinsurance Premiums Written | 0 | 0 | 0 | |||||||||
Ceded Reinsurance Premiums Written | (7,810) | (3,001) | (6,842) | |||||||||
Premiums written, net of reinsurance | 72,499 | 34,571 | 281,468 | |||||||||
Direct Premiums Earned | 226,326 | 336,025 | 261,634 | |||||||||
Assumed Reinsurance Premiums Earned | 65 | 87 | 137 | |||||||||
Ceded Reinsurance Premiums Earned | 12,873 | 23,517 | 15,411 | |||||||||
Reinsurance on premiums earned, Net | $ 114,463 | $ 71,535 | $ 60,879 | $ 65,718 | $ 33,969 | $ 64,831 | $ 65,013 | $ 82,547 | $ 213,518 | $ 312,595 | $ 246,360 | |
Predecessor [Member] | ||||||||||||
Reinsurance Premiums for Insurance Companies, by Product Segment [Line Items] | ||||||||||||
Direct Premiums Written | $ (14,125) | |||||||||||
Assumed Reinsurance Premiums Written | 0 | |||||||||||
Ceded Reinsurance Premiums Written | (1,098) | |||||||||||
Premiums written, net of reinsurance | 13,027 | |||||||||||
Direct Premiums Earned | 138,468 | |||||||||||
Assumed Reinsurance Premiums Earned | 32 | |||||||||||
Ceded Reinsurance Premiums Earned | 8,500 | |||||||||||
Reinsurance on premiums earned, Net | $ 130,000 |
Financial Guarantee Insurance79
Financial Guarantee Insurance Contracts - Summarized Future Gross Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Detail) - Successor [Member] $ in Thousands | Dec. 31, 2015USD ($) |
Future premiums expected to be collected, March 31, 2015 | $ 21,499 |
Future premiums expected to be collected, June 30. 2015 | 19,890 |
Future premiums expected to be collected, September 30, 2015 | 19,839 |
Future premiums expected to be collected, December 31, 2015 | 20,005 |
Future premiums expected to be collected, December 31, 2016 | 75,224 |
Future premiums expected to be collected, December 31, 2017 | 70,587 |
Future premiums expected to be collected, December 31, 2018 | 66,891 |
Future premiums expected to be collected, December 31, 2019 | 63,783 |
Future premiums expected to be collected, December 31, 2024 | 264,200 |
Future premiums expected to be collected, December 31, 2029 | 217,422 |
Future premiums expected to be collected, December 31, 2034 | 138,592 |
Future premiums expected to be collected, December 31, 2039 | 43,887 |
Future premiums expected to be collected, December 31, 2044 | 18,989 |
Future premiums expected to be collected, December 31, 2049 | 7,143 |
Future premiums expected to be collected, December 31, 2054 | 601 |
Future premiums expected to be collected, Total | 1,048,552 |
Future expected premium to be earned, net of reinsurance, March 31, 2015 | 32,590 |
Future expected premiums to be earned, net of reinsurance, June 30, 2015 | 30,882 |
Future expected premiums to be earned, net of reinsurance, September 30, 2015 | 28,815 |
Future expected premiums to be earned, net of reinsurance, December 31, 2015 | 27,487 |
Future expected premiums to be earned, net of reinsurance, December 31, 2016 | 99,097 |
Future expected premiums to be earned, net of reinsurance, December 31, 2017 | 87,270 |
Future expected premiums to be earned, net of reinsurance, December 31, 2018 | 80,947 |
Future expected premiums to be earned, net of reinsurance, December 31, 2019 | 76,310 |
Future expected premiums to be earned, net of reinsurance, December 31, 2024 | 307,812 |
Future expected premiums to be earned, net of reinsurance, December 31, 2029 | 214,920 |
Future expected premiums to be earned, net of reinsurance, December 31, 2034 | 126,716 |
Future expected premiums to be earned, net of reinsurance, December 31, 2039 | 44,078 |
Future expected premiums to be earned, net of reinsurance, December 31, 2044 | 17,498 |
Future expected premiums to be earned, net of reinsurance, December 31, 2049 | 7,804 |
Future expected premiums to be earned, net of reinsurance, December 31, 2054 | 1,298 |
Future expected premiums to be earned, net of reinsurance, Total | $ 1,183,524 |
Financial Guarantee Insurance80
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2012 | |
Unpaid Claims-Claims [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Loss and loss expense reserves | $ 2,138,952 | $ 2,172,041 | |||
Subrogation recoverable | 828,802 | 772,948 | |||
Claim liability reported on Balance Sheet, before reinsurance | 2,967,754 | 2,944,989 | |||
Successor [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Policyholder Benefits and Claims Incurred, Ceded | $ (14,106) | (47,085) | (21,164) | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | $ 5,434,517 | $ 5,347,877 | 2,814,754 | 3,698,378 | |
Loss and loss expense reserves | 6,106,345 | 4,088,106 | 4,752,007 | ||
Subrogation recoverable | (533,673) | (1,229,293) | (953,274) | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,858,813 | 3,798,733 | |||
Unearned Premium Reserve [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Loss and loss expense reserves | (189,587) | (241,348) | |||
Subrogation recoverable | 0 | 0 | |||
Claim liability reported on Balance Sheet, before reinsurance | (189,587) | (241,348) | |||
Present Value of Expected Net Cash Flows-Recoveries [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Loss and loss expense reserves | (1,476,276) | (1,205,621) | |||
Subrogation recoverable | (2,407,118) | (2,018,398) | |||
Claim liability reported on Balance Sheet, before reinsurance | (3,883,394) | (3,224,019) | |||
Present Value of Expected Net Cash Flows- Claims and Loss Expenses [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Loss and loss expense reserves | 3,265,349 | 3,792,133 | |||
Subrogation recoverable | 207,674 | 197,751 | |||
Claim liability reported on Balance Sheet, before reinsurance | 3,473,023 | 3,989,884 | |||
Unpaid Claims-Accrued Interest [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Loss and loss expense reserves | 349,668 | 234,802 | |||
Subrogation recoverable | 141,349 | 94,425 | |||
Claim liability reported on Balance Sheet, before reinsurance | $ 491,017 | $ 329,227 | |||
Predecessor [Member] | |||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | |||||
Policyholder Benefits and Claims Incurred, Ceded | 3,889 | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | 5,434,517 | $ 5,974,731 | |||
Loss and loss expense reserves | 6,106,345 | ||||
Subrogation recoverable | $ (533,673) |
Financial Guarantee Insurance81
Financial Guarantee Insurance Contracts - Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |||||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Less reinsurance on loss and loss expense reserves | $ 100,355 | |||||||
Prior years: | ||||||||
Add reinsurance on loss and loss expense reserves | 44,059 | $ 100,355 | ||||||
Successor [Member] | ||||||||
Loss And Loss Adjustment Expense Reserves [Line Items] | ||||||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ (60) | $ (517) | $ (1,108) | |||||
Policyholder Benefits and Claims Incurred, Ceded | $ (14,106) | (47,085) | (21,164) | |||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Beginning gross loss and loss expense reserves | 5,572,672 | 3,798,733 | 5,470,234 | |||||
Less reinsurance on loss and loss expense reserves | 138,155 | 100,355 | 122,357 | |||||
Beginning balance of net loss and loss expense reserves | 5,434,517 | 3,698,378 | 5,347,877 | |||||
Current year: | ||||||||
ambc_LiabilityForUnpaidClaimsAndClaimsAdjustmentExpenseIncurredClaimsCurrentYear | 97,342 | 1,183 | 309 | |||||
Claim and loss expense payments, net of subrogation and reinsurance | 442 | 0 | 17 | |||||
Establishment of RMBS subrogation recoveries, net of reinsurance | (315) | 0 | 0 | |||||
Total current year | 96,585 | 1,183 | 292 | |||||
Prior years: | ||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | (514,728) | (491,088) | (269,606) | |||||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance | (59,184) | 90,086 | 1,067,321 | |||||
Change in previously established RMBS subrogation recoveries, net of reinsurance | 272,319 | (303,633) | (312,864) | |||||
Liability For Unpaid Claims And Claims Adjustment Expense Change In Loss Reserves Prior Year | (183,225) | (884,807) | (1,649,791) | |||||
Net change in loss and loss expense reserves | (86,640) | (883,624) | (1,649,499) | |||||
Consolidation Of Variable Interest Entities On Loss And Loss Adjustment Expense Reserves | 0 | 0 | 0 | |||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | 5,434,517 | 3,698,378 | 5,347,877 | $ 2,814,754 | $ 3,698,378 | $ 5,347,877 | $ 5,434,517 | |
Add reinsurance on loss and loss expense reserves | $ 138,155 | 122,357 | 44,059 | 100,355 | ||||
Ending gross loss and loss expense reserves | 5,572,672 | 5,470,234 | $ 2,858,813 | $ 3,798,733 | ||||
Predecessor [Member] | ||||||||
Loss And Loss Adjustment Expense Reserves [Line Items] | ||||||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | 1,879 | |||||||
Policyholder Benefits and Claims Incurred, Ceded | 3,889 | |||||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Beginning gross loss and loss expense reserves | 6,122,140 | 5,572,672 | ||||||
Less reinsurance on loss and loss expense reserves | 147,409 | 138,155 | ||||||
Beginning balance of net loss and loss expense reserves | 5,974,731 | 5,434,517 | ||||||
Current year: | ||||||||
ambc_LiabilityForUnpaidClaimsAndClaimsAdjustmentExpenseIncurredClaimsCurrentYear | 2,748 | |||||||
Claim and loss expense payments, net of subrogation and reinsurance | 58 | |||||||
Establishment of RMBS subrogation recoveries, net of reinsurance | (159) | |||||||
Total current year | 2,531 | |||||||
Prior years: | ||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance | (52,642) | |||||||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance | (20,902) | |||||||
Change in previously established RMBS subrogation recoveries, net of reinsurance | (12,596) | |||||||
Liability For Unpaid Claims And Claims Adjustment Expense Change In Loss Reserves Prior Year | (44,336) | |||||||
Net change in loss and loss expense reserves | (41,805) | |||||||
Consolidation Of Variable Interest Entities On Loss And Loss Adjustment Expense Reserves | (498,409) | |||||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | 5,974,731 | $ 5,434,517 | $ 5,434,517 | |||||
Add reinsurance on loss and loss expense reserves | 138,155 | |||||||
Ending gross loss and loss expense reserves | $ 5,572,672 |
Financial Guarantee Insurance82
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Detail) - Successor [Member] $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015USD ($)Policies | Dec. 31, 2014USD ($)Policies | Dec. 31, 2013USD ($) | Apr. 30, 2013USD ($) | |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 293 | 325 | ||
Remaining weighted-average contract period (in years) | 15 years | 16 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 15,976,009 | $ 18,322,914 | ||
Interest | 11,867,941 | 7,254,995 | ||
Total | 27,843,950 | 25,577,909 | ||
Gross undiscounted claim liability | 8,192,193 | 8,679,974 | ||
Discount, gross claim liability | 1,333,663 | 1,509,948 | ||
Gross claim liability before all subrogation and before reinsurance | 6,858,530 | 7,170,026 | ||
Less: | ||||
Gross RMBS subrogation | (2,841,291) | (2,541,219) | ||
Discount, RMBS subrogation | 11,716 | 17,679 | ||
Discounted RMBS subrogation, before reinsurance | (2,829,575) | (2,523,540) | $ (2,206,598) | $ (2,482,918) |
Less: | ||||
Gross other subrogation | (1,388,070) | (792,287) | ||
Discount, other subrogation | 334,251 | 91,808 | ||
Discounted other subrogation, before reinsurance | (1,053,819) | (700,479) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 2,975,136 | 3,946,007 | ||
Less: Unearned premium reserves | (189,587) | (241,348) | ||
Plus: Loss adjustment expenses reserves | 73,264 | 94,074 | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,858,813 | 3,798,733 | ||
Reinsurance recoverable reported on Balance Sheet | $ 43,999 | $ 99,838 | ||
I/SL [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 33 | 36 | ||
Remaining weighted-average contract period (in years) | 9 years | 8 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 1,830,549 | $ 1,026,513 | ||
Interest | 724,940 | 418,746 | ||
Total | 2,555,489 | 1,445,259 | ||
Gross undiscounted claim liability | 6,188 | 16,360 | ||
Discount, gross claim liability | 515 | 1,147 | ||
Gross claim liability before all subrogation and before reinsurance | 5,673 | 15,213 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | 0 | 0 | ||
Discount, other subrogation | 0 | 0 | ||
Discounted other subrogation, before reinsurance | 0 | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 5,673 | 15,213 | ||
Less: Unearned premium reserves | (3,360) | (10,945) | ||
Plus: Loss adjustment expenses reserves | 0 | 3 | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,313 | 4,271 | ||
Reinsurance recoverable reported on Balance Sheet | $ 642 | $ 73 | ||
IA [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 14 | 26 | ||
Remaining weighted-average contract period (in years) | 17 years | 12 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 263,288 | $ 519,291 | ||
Interest | 107,624 | 212,296 | ||
Total | 370,912 | 731,587 | ||
Gross undiscounted claim liability | 5,632 | 11,525 | ||
Discount, gross claim liability | 652 | 937 | ||
Gross claim liability before all subrogation and before reinsurance | 4,980 | 10,588 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | 0 | 0 | ||
Discount, other subrogation | 0 | 0 | ||
Discounted other subrogation, before reinsurance | 0 | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 4,980 | 10,588 | ||
Less: Unearned premium reserves | (1,796) | (3,432) | ||
Plus: Loss adjustment expenses reserves | 66 | 1,303 | ||
Claim liability reported on Balance Sheet, before reinsurance | 3,250 | 8,459 | ||
Reinsurance recoverable reported on Balance Sheet | $ 880 | $ 890 | ||
II [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 23 | 33 | ||
Remaining weighted-average contract period (in years) | 26 years | 15 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 1,912,237 | $ 3,091,744 | ||
Interest | 6,834,538 | 1,878,770 | ||
Total | 8,746,775 | 4,970,514 | ||
Gross undiscounted claim liability | 173,930 | 155,488 | ||
Discount, gross claim liability | 96,218 | 16,438 | ||
Gross claim liability before all subrogation and before reinsurance | 77,712 | 139,050 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | (12,937) | (18,034) | ||
Discount, other subrogation | 3,961 | 6,069 | ||
Discounted other subrogation, before reinsurance | (8,976) | (11,965) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 68,736 | 127,085 | ||
Less: Unearned premium reserves | (48,871) | (73,749) | ||
Plus: Loss adjustment expenses reserves | 629 | 1,968 | ||
Claim liability reported on Balance Sheet, before reinsurance | 20,494 | 55,304 | ||
Reinsurance recoverable reported on Balance Sheet | $ 85 | $ 1,355 | ||
III [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 63 | 69 | ||
Remaining weighted-average contract period (in years) | 19 years | 21 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 2,972,615 | $ 3,792,559 | ||
Interest | 1,792,525 | 2,765,537 | ||
Total | 4,765,140 | 6,558,096 | ||
Gross undiscounted claim liability | 1,595,525 | 2,040,402 | ||
Discount, gross claim liability | 458,805 | 716,812 | ||
Gross claim liability before all subrogation and before reinsurance | 1,136,720 | 1,323,590 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | (526,957) | (127,143) | ||
Discount, other subrogation | 198,643 | 36,779 | ||
Discounted other subrogation, before reinsurance | (328,314) | (90,364) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 808,406 | 1,233,226 | ||
Less: Unearned premium reserves | (63,257) | (88,332) | ||
Plus: Loss adjustment expenses reserves | 15,090 | 6,470 | ||
Claim liability reported on Balance Sheet, before reinsurance | 760,239 | 1,151,364 | ||
Reinsurance recoverable reported on Balance Sheet | $ 59,503 | $ 110,957 | ||
IV [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 157 | 160 | ||
Remaining weighted-average contract period (in years) | 13 years | 12 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 8,942,730 | $ 9,892,760 | ||
Interest | 2,391,523 | 1,979,627 | ||
Total | 11,334,253 | 11,872,387 | ||
Gross undiscounted claim liability | 6,339,537 | 6,456,139 | ||
Discount, gross claim liability | 770,694 | 774,611 | ||
Gross claim liability before all subrogation and before reinsurance | 5,568,843 | 5,681,528 | ||
Less: | ||||
Gross RMBS subrogation | (2,841,291) | (2,541,219) | ||
Discount, RMBS subrogation | 11,716 | 17,679 | ||
Discounted RMBS subrogation, before reinsurance | (2,829,575) | (2,523,540) | ||
Less: | ||||
Gross other subrogation | (835,078) | (647,110) | ||
Discount, other subrogation | 127,669 | 48,960 | ||
Discounted other subrogation, before reinsurance | (707,409) | (598,150) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 2,031,859 | 2,559,838 | ||
Less: Unearned premium reserves | (71,848) | (64,890) | ||
Plus: Loss adjustment expenses reserves | 57,479 | 84,330 | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,017,490 | 2,579,278 | ||
Reinsurance recoverable reported on Balance Sheet | $ (17,111) | $ (13,437) | ||
V [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 3 | 1 | ||
Remaining weighted-average contract period (in years) | 6 years | 6 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 54,590 | $ 47 | ||
Interest | 16,791 | 19 | ||
Total | 71,381 | 66 | ||
Gross undiscounted claim liability | 71,381 | 60 | ||
Discount, gross claim liability | 6,779 | 3 | ||
Gross claim liability before all subrogation and before reinsurance | 64,602 | 57 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | (13,098) | 0 | ||
Discount, other subrogation | 3,978 | 0 | ||
Discounted other subrogation, before reinsurance | (9,120) | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 55,482 | 57 | ||
Less: Unearned premium reserves | (455) | 0 | ||
Plus: Loss adjustment expenses reserves | 0 | 0 | ||
Claim liability reported on Balance Sheet, before reinsurance | 55,027 | 57 | ||
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 0 |
Financial Guarantee Insurance83
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Parenthetical) (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2013 |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | $ 44,059 | $ 100,355 | ||
Successor [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | 44,059 | 100,355 | $ 122,357 | $ 138,155 |
Loss and loss expense reserves | 4,088,106 | 4,752,007 | 6,106,345 | |
Subrogation recoverable | (1,229,293) | (953,274) | (533,673) | |
Liability for Claims | 2,858,813 | 3,798,733 | 5,470,234 | $ 5,572,672 |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ (60) | $ (517) | $ (1,108) |
Financial Guarantee Insurance84
Financial Guarantee Insurance Contracts - Summary of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2012 | |
Successor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | $ 2,482,918 | $ 2,206,598 | $ 2,829,575 | $ 2,523,540 | |
Additional Transactions Reviewed Changes in RMBS Subrogation | 2,451 | 0 | 24,565 | ||
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | 198,875 | ||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | 98 | 0 | (146,270) | ||
Other Changes Rmbs Subrogation | (278,869) | 306,035 | 239,772 | ||
Successor [Member] | 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 | 1,850,804 | 1,897,426 | |||
Subrogation recoveries | 2,829,575 | 2,523,540 | |||
Gross loss reserve after subrogation recoveries | (978,771) | (626,114) | |||
Predecessor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | 2,482,918 | $ 2,523,225 | |||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | ||||
Changes in Estimation Approach In Rmbs Subrogation | 0 | ||||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | (54,195) | ||||
Other Changes Rmbs Subrogation | 13,888 | ||||
Adverse Samples [Member] | Successor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | 1,478,666 | 1,252,773 | 0 | 0 | |
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | 0 | 0 | ||
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | (1,218,681) | ||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | 98 | 0 | 0 | ||
Other Changes Rmbs Subrogation | (225,991) | 0 | (34,092) | ||
Adverse Samples [Member] | Predecessor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | 1,478,666 | 1,442,817 | |||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | ||||
Changes in Estimation Approach In Rmbs Subrogation | 0 | ||||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | 0 | ||||
Other Changes Rmbs Subrogation | 35,849 | ||||
Random Samples [Member] | Successor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | 1,004,252 | 953,825 | 2,829,575 | 2,523,540 | |
Additional Transactions Reviewed Changes in RMBS Subrogation | 2,451 | 0 | 24,565 | ||
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | 1,417,556 | ||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | 0 | 0 | (146,270) | ||
Other Changes Rmbs Subrogation | $ (52,878) | $ 306,035 | $ 273,864 | ||
Random Samples [Member] | Predecessor [Member] | |||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | |||||
Subrogation recoveries | 1,004,252 | $ 1,080,408 | |||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | ||||
Changes in Estimation Approach In Rmbs Subrogation | 0 | ||||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | (54,195) | ||||
Other Changes Rmbs Subrogation | $ (21,961) |
Financial Guarantee Insurance85
Financial Guarantee Insurance Contracts - Summary of Rollforward of RMBS Subrogation, by Estimation Approach (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | $ 2,482,918 | $ 2,523,540 | $ 2,206,598 | |
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 2,451 | 0 | 24,565 | |
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | 198,875 | |
Impact of sponsor actions | 98 | 0 | (146,270) | |
Other Changes Rmbs Subrogation | (278,869) | 306,035 | 239,772 | |
Discounted RMBS subrogation (gross of reinsurance), ending balance | $ 2,482,918 | 2,206,598 | 2,829,575 | 2,523,540 |
Predecessor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 2,523,225 | 2,482,918 | ||
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | |||
Changes in Estimation Approach In Rmbs Subrogation | 0 | |||
Impact of sponsor actions | (54,195) | |||
Other Changes Rmbs Subrogation | 13,888 | |||
Discounted RMBS subrogation (gross of reinsurance), ending balance | 2,482,918 | |||
Random Samples [Member] | Successor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,004,252 | 2,523,540 | 953,825 | |
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 2,451 | 0 | 24,565 | |
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | 1,417,556 | |
Impact of sponsor actions | 0 | 0 | (146,270) | |
Other Changes Rmbs Subrogation | (52,878) | 306,035 | 273,864 | |
Discounted RMBS subrogation (gross of reinsurance), ending balance | 1,004,252 | 953,825 | 2,829,575 | 2,523,540 |
Random Samples [Member] | Predecessor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,080,408 | 1,004,252 | ||
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | |||
Changes in Estimation Approach In Rmbs Subrogation | 0 | |||
Impact of sponsor actions | (54,195) | |||
Other Changes Rmbs Subrogation | (21,961) | |||
Discounted RMBS subrogation (gross of reinsurance), ending balance | 1,004,252 | |||
Adverse Samples [Member] | Successor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,478,666 | 0 | 1,252,773 | |
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | 0 | 0 | |
Changes in Estimation Approach In Rmbs Subrogation | 0 | 0 | (1,218,681) | |
Impact of sponsor actions | 98 | 0 | 0 | |
Other Changes Rmbs Subrogation | (225,991) | 0 | (34,092) | |
Discounted RMBS subrogation (gross of reinsurance), ending balance | 1,478,666 | 1,252,773 | $ 0 | $ 0 |
Adverse Samples [Member] | Predecessor [Member] | ||||
Subrogation By Estimation Approach [Roll Forward] | ||||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,442,817 | $ 1,478,666 | ||
Changes recognized | ||||
Additional Transactions Reviewed Changes in RMBS Subrogation | 0 | |||
Changes in Estimation Approach In Rmbs Subrogation | 0 | |||
Impact of sponsor actions | 0 | |||
Other Changes Rmbs Subrogation | 35,849 | |||
Discounted RMBS subrogation (gross of reinsurance), ending balance | $ 1,478,666 |
Financial Guarantee Insurance86
Financial Guarantee Insurance Contracts - Estimated Future Amortization Expense for Insurance Intangible Asset (Detail) - USD ($) $ in Thousands | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Insurance Intangible Asset [Member] | ||||||||||||
Amortization Of Intangible Assets [Line Items] | ||||||||||||
2,015 | $ 111,857 | $ 111,857 | ||||||||||
2,016 | 98,570 | 98,570 | ||||||||||
2,017 | 88,388 | 88,388 | ||||||||||
2,018 | 81,370 | 81,370 | ||||||||||
2,019 | 75,743 | 75,743 | ||||||||||
Thereafter | 756,184 | 756,184 | ||||||||||
Successor [Member] | ||||||||||||
Amortization Of Intangible Assets [Line Items] | ||||||||||||
Amortization of insurance intangible assets | 54,357 | $ 39,680 | $ 38,088 | $ 37,432 | $ 41,952 | $ 41,908 | $ 36,256 | $ 31,714 | $ 99,658 | 169,557 | $ 151,830 | |
Intangible Assets, Gross (Excluding Goodwill) | 1,626,566 | 1,660,125 | 1,626,566 | 1,660,125 | ||||||||
Accumulated amortization on insurance intangible asset | $ 414,454 | $ 249,205 | 414,454 | 249,205 | ||||||||
Successor [Member] | Insurance Asset [Member] | ||||||||||||
Amortization Of Intangible Assets [Line Items] | ||||||||||||
Amortization of insurance intangible assets | $ 169,557 | $ 151,830 | $ 99,658 |
Financial Guarantee Insurance -
Financial Guarantee Insurance - Summary of Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2015USD ($) | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 100.00% |
Net unsecured reinsurance recoverable | $ 22,281 |
Assured Guaranty Re Ltd [Member] | Moody's NR Rating [Member] | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 88.80% |
Net unsecured reinsurance recoverable | $ 15,347 |
Sompo Japan Nipponkoa Holdings, Inc [Member] | Moody's, A1 Rating [Member] | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 6.20% |
Net unsecured reinsurance recoverable | $ 0 |
Assured Guaranty Corporation [Member] | Moody's, A3 Rating [Member] | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 5.00% |
Net unsecured reinsurance recoverable | $ 6,934 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Apr. 30, 2013 |
Financial liabilities: | |||
Derivative liabilities | $ 34,543 | $ 73,459 | |
Successor [Member] | |||
Financial assets: | |||
Fixed income securities | 5,334,120 | 5,150,018 | |
Short term investments | 225,789 | 360,065 | |
Other investments | 310,600 | 357,016 | |
Other assets | 8,696 | 12,036 | |
Financial liabilities: | |||
Borrowings under Guaranteed Investment Agreements | 100,358 | 160,079 | $ 358,878 |
Long term debt, including accrued interest | 1,124,950 | 971,116 | 940,313 |
Successor [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Loans at Carrying Amount | 11,690,324 | 12,371,177 | |
Financial liabilities: | |||
Long term debt, including accrued interest | 12,327,960 | 12,882,076 | $ 15,023,038 |
Successor [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Cash | 35,744 | 73,903 | |
Loans at Carrying Amount | 5,714 | ||
Loans | 5,206 | ||
Other assets | 8,696 | 12,036 | |
Total financial assets | 20,064,063 | 20,829,639 | |
Financial liabilities: | |||
Borrowings under Guaranteed Investment Agreements | 100,358 | 160,079 | |
Long term debt, including accrued interest | 1,481,045 | 1,273,805 | |
Liabilities for net financial guarantees written | 1,990,831 | 2,923,652 | |
Total financial liabilities | 18,181,955 | 19,846,719 | |
Successor [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Restricted cash | 5,822 | 7,708 | |
Loans at Carrying Amount | 11,690,324 | 12,371,177 | |
Financial liabilities: | |||
Long-term debt | 12,327,960 | 12,882,076 | |
Successor [Member] | Carrying Amount [Member] | Futures Contracts [Member] | |||
Financial assets: | |||
Derivative assets | 109 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 562 | |
Successor [Member] | Carrying Amount [Member] | Credit Derivatives [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 2,043 | |
Financial liabilities: | |||
Derivative liabilities | 34,543 | 75,502 | |
Successor [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Cash | 35,744 | 73,903 | |
Loans | 5,128 | 5,634 | |
Other assets | 8,696 | 12,036 | |
Total financial assets | 20,051,480 | 20,822,011 | |
Financial liabilities: | |||
Obligations under investment and repurchase agreements | 101,400 | 161,821 | |
Long term debt, including accrued interest | 1,235,721 | 1,379,864 | |
Liabilities for net financial guarantees written | 2,325,859 | 4,539,000 | |
Total financial liabilities | 18,272,701 | 21,569,868 | |
Successor [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Restricted cash | 5,822 | 7,708 | |
Loans | 11,690,324 | 12,371,177 | |
Financial liabilities: | |||
Long-term debt | 12,327,960 | 12,882,076 | |
Successor [Member] | Total Fair Value [Member] | Futures Contracts [Member] | |||
Financial assets: | |||
Derivative assets | 109 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 562 | |
Successor [Member] | Total Fair Value [Member] | Credit Derivatives [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 2,043 | |
Financial liabilities: | |||
Derivative liabilities | 34,543 | 75,502 | |
Successor [Member] | Other Assets [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | |||
Financial assets: | |||
Derivative assets | 84,886 | 106,974 | |
Financial liabilities: | |||
Derivative liabilities - interest rate swaps - asset position | (52,128) | (54,666) | |
Successor [Member] | Other Assets [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | |||
Financial assets: | |||
Derivative assets | 84,886 | 106,974 | |
Financial liabilities: | |||
Derivative liabilities - interest rate swaps - asset position | (52,128) | (54,666) | |
Successor [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | |||
Financial assets: | |||
Derivative assets - interest rate swaps - liability position | 0 | ||
Financial liabilities: | |||
Derivative liabilities | 370,943 | 385,546 | |
Successor [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | 1,965,265 | 2,133,268 | |
Successor [Member] | Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | (36,862) | 66,895 | |
Successor [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 | 370,943 | 385,546 | |
Successor [Member] | Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | 1,965,265 | 2,133,268 | |
Successor [Member] | Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | (36,862) | 66,895 | |
Successor [Member] | Level 1 [Member] | |||
Financial assets: | |||
Cash | 35,744 | 73,903 | |
Loans | 0 | 0 | |
Other assets | 0 | 0 | |
Total financial assets | 418,123 | 665,704 | |
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 | 0 | 562 | |
Successor [Member] | Level 1 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Restricted cash | 5,822 | 7,708 | |
Loans | 0 | 0 | |
Financial liabilities: | |||
Long-term debt | 0 | 0 | |
Successor [Member] | Level 1 [Member] | Futures Contracts [Member] | |||
Financial assets: | |||
Derivative assets | 109 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 562 | |
Successor [Member] | Level 1 [Member] | Credit Derivatives [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [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 [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 [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 [Member] | Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [Member] | Level 2 [Member] | |||
Financial assets: | |||
Cash | 0 | 0 | |
Loans | 0 | 0 | |
Other assets | 0 | 0 | |
Total financial assets | 4,775,897 | 4,810,711 | |
Financial liabilities: | |||
Obligations under investment and repurchase agreements | 0 | 0 | |
Long term debt, including accrued interest | 132,837 | 0 | |
Liabilities for net financial guarantees written | 0 | 0 | |
Total financial liabilities | 11,400,158 | 14,007,568 | |
Successor [Member] | Level 2 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Restricted cash | 0 | 0 | |
Loans | 0 | 0 | |
Financial liabilities: | |||
Long-term debt | 9,147,790 | 11,618,412 | |
Successor [Member] | Level 2 [Member] | Futures Contracts [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [Member] | Level 2 [Member] | Credit Derivatives [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [Member] | Level 2 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | |||
Financial assets: | |||
Derivative assets | 21,848 | 106,974 | |
Derivative assets - interest rate swaps - liability position | 0 | ||
Financial liabilities: | |||
Derivative liabilities - interest rate swaps - asset position | (52,128) | (54,666) | |
Successor [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 | 243,256 | 243,659 | |
Successor [Member] | Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | 1,965,265 | 2,133,268 | |
Successor [Member] | Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | (36,862) | 66,895 | |
Successor [Member] | Level 3 [Member] | |||
Financial assets: | |||
Cash | 0 | 0 | |
Loans | 5,128 | 5,634 | |
Other assets | 8,696 | 12,036 | |
Total financial assets | 14,857,460 | 15,345,596 | |
Financial liabilities: | |||
Obligations under investment and repurchase agreements | 101,400 | 161,821 | |
Long term debt, including accrued interest | 1,102,884 | 1,379,864 | |
Liabilities for net financial guarantees written | 2,325,859 | 4,539,000 | |
Total financial liabilities | 6,872,543 | 7,561,738 | |
Successor [Member] | Level 3 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Restricted cash | 0 | 0 | |
Loans | 11,690,324 | 12,371,177 | |
Financial liabilities: | |||
Long-term debt | 3,180,170 | 1,263,664 | |
Successor [Member] | Level 3 [Member] | Futures Contracts [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 0 | |
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [Member] | Level 3 [Member] | Credit Derivatives [Member] | |||
Financial assets: | |||
Derivative assets | 0 | 2,043 | |
Financial liabilities: | |||
Derivative liabilities | 34,543 | 75,502 | |
Successor [Member] | Level 3 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | |||
Financial assets: | |||
Derivative assets | 63,038 | 0 | |
Derivative assets - interest rate swaps - liability position | 0 | ||
Financial liabilities: | |||
Derivative liabilities - interest rate swaps - asset position | 0 | 0 | |
Successor [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 | 127,687 | 141,887 | |
Successor [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 [Member] | Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Financial liabilities: | |||
Derivative liabilities | 0 | 0 | |
Successor [Member] | Municipal Bonds [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 420,770 | 525,792 | |
Successor [Member] | Municipal Bonds [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 420,770 | 525,792 | |
Successor [Member] | Municipal Bonds [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Municipal Bonds [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 420,770 | 525,792 | |
Successor [Member] | Municipal Bonds [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Corporate Obligations [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 1,593,669 | 1,385,594 | |
Successor [Member] | Corporate Obligations [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Fixed income securities | 2,588,556 | 2,743,050 | |
Successor [Member] | Corporate Obligations [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 1,593,669 | 1,385,594 | |
Successor [Member] | Corporate Obligations [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Fixed income securities | 2,588,556 | 2,743,050 | |
Successor [Member] | Corporate Obligations [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Corporate Obligations [Member] | Level 1 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Corporate Obligations [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 1,593,669 | 1,381,786 | |
Successor [Member] | Corporate Obligations [Member] | Level 2 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Corporate Obligations [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 3,808 | |
Successor [Member] | Corporate Obligations [Member] | Level 3 [Member] | Variable Interest Entity [Member] | |||
Financial assets: | |||
Fixed income securities | 2,588,556 | 2,743,050 | |
Successor [Member] | Foreign Obligations [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 96,306 | 127,757 | |
Successor [Member] | Foreign Obligations [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 96,306 | 127,757 | |
Successor [Member] | Foreign Obligations [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 87,808 | 117,282 | |
Successor [Member] | Foreign Obligations [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 8,498 | 10,475 | |
Successor [Member] | Foreign Obligations [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | US Government Debt Securities [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 26,687 | 42,979 | |
Fixed income securities, pledged as collateral | 64,555 | 64,267 | |
Successor [Member] | US Government Debt Securities [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 26,687 | 42,979 | |
Fixed income securities, pledged as collateral | 64,555 | 64,267 | |
Successor [Member] | US Government Debt Securities [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 26,687 | 42,979 | |
Fixed income securities, pledged as collateral | 64,555 | 64,267 | |
Successor [Member] | US Government Debt Securities [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Fixed income securities, pledged as collateral | 0 | 0 | |
Successor [Member] | US Government Debt Securities [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Fixed income securities, pledged as collateral | 0 | 0 | |
Successor [Member] | U.S. Agency Obligations [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 4,212 | 29,486 | |
Successor [Member] | U.S. Agency Obligations [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 4,212 | 29,486 | |
Successor [Member] | U.S. Agency Obligations [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | U.S. Agency Obligations [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 4,212 | 29,486 | |
Successor [Member] | U.S. Agency Obligations [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 1,977,338 | 1,710,955 | |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 1,977,338 | 1,710,955 | |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 1,488,454 | 1,516,562 | |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 488,884 | 194,393 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 84,267 | 21,122 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 84,267 | 21,122 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 84,267 | 21,122 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Asset-backed Securities [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Fixed income securities | 840,527 | 882,001 | |
Successor [Member] | Asset-backed Securities [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Fixed income securities | 840,527 | 882,001 | |
Successor [Member] | Asset-backed Securities [Member] | Level 1 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Asset-backed Securities [Member] | Level 2 [Member] | |||
Financial assets: | |||
Fixed income securities | 840,527 | 882,001 | |
Successor [Member] | Asset-backed Securities [Member] | Level 3 [Member] | |||
Financial assets: | |||
Fixed income securities | 0 | 0 | |
Successor [Member] | Short-Term [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Short term investments | 225,789 | 360,065 | |
Successor [Member] | Short-Term [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Short term investments | 225,789 | 360,065 | |
Successor [Member] | Short-Term [Member] | Level 1 [Member] | |||
Financial assets: | |||
Short term investments | 197,398 | 359,565 | |
Successor [Member] | Short-Term [Member] | Level 2 [Member] | |||
Financial assets: | |||
Short term investments | 28,391 | 500 | |
Successor [Member] | Short-Term [Member] | Level 3 [Member] | |||
Financial assets: | |||
Short term investments | 0 | 0 | |
Successor [Member] | Other [Member] | Carrying Amount [Member] | |||
Financial assets: | |||
Other investments | 310,600 | 357,016 | |
Successor [Member] | Other [Member] | Total Fair Value [Member] | |||
Financial assets: | |||
Other investments | 298,095 | 349,468 | |
Successor [Member] | Other [Member] | Level 1 [Member] | |||
Financial assets: | |||
Other investments | 0 | 0 | |
Successor [Member] | Other [Member] | Level 2 [Member] | |||
Financial assets: | |||
Other investments | 285,261 | 336,013 | |
Successor [Member] | Other [Member] | Level 3 [Member] | |||
Financial assets: | |||
Other investments | $ 12,834 | $ 13,455 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Credit valuation adjustment included in fair value of credit derivative liabilities | $ 10,124 | $ 15,910 |
Credit valuation adjustment included in fair value of derivative liabilities other than credit derivatives | $ 78,728 | 64,547 |
Percentage of CDS gross par outstanding used in the determination of CDS fair values | 93.00% | |
Percentage of CDS derivative liability used in the determination of CDS fair values | 43.00% | |
Percentage of CDS gross par outstanding using internally estimated reference obligation prices in determination of fair value | 7.00% | |
Percentage of CDS liability using internally estimated reference obligation prices in determination of fair value | 57.00% | |
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 | $ 970,883 | 1,529,759 |
Derivative liabilities | $ 34,543 | $ 73,459 |
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 2.70% | 2.70% |
Credit Derivatives [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
CVA percentage | 22.70% | 17.80% |
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 | $ 3,016,966 | $ 1,070,439 |
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 | $ 163,204 | $ 193,225 |
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% | 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 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Notional outstanding | $ 970,883 | $ 1,529,759 |
Available-for-sale Securities | $ 5,334,120 | $ 5,150,018 |
Successor [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% | 10.00% |
Successor [Member] | U.S. Agency Obligations [Member] | Level 3 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Available-for-sale Securities | $ 0 | $ 0 |
Successor [Member] | Asset-backed Securities [Member] | Level 3 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Successor [Member] | Residential Mortgage-Backed Securities [Member] | Level 3 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Available-for-sale Securities | 488,884 | $ 194,393 |
Successor [Member] | Corporate Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Coupon rate | 0.345% | |
Successor [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 | 0 | $ 3,808 |
Available-for-sale Securities | 0 | 3,808 |
Successor [Member] | Collateralized Debt Obligations [Member] | Level 3 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Available-for-sale Securities | $ 0 | $ 0 |
Successor [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 | 9.00% | 4.00% |
Successor [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 | 82.00% | 86.00% |
Collateralized Loan Obligations [Member] | Successor [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
CVA percentage | 8.34% | 5.40% |
Fair value of derivative liabilities | $ 1,837 | $ 2,027 |
Notional outstanding | $ 295,253 | $ 549,923 |
Fair Value Input Weighted Average Obligation Price | $ 98.4 | $ 98.9 |
Fair Value Input Weighted Average Life | 1 year 1 month | 1 year 9 months |
Fair Value Input Weighted Average Credit Rating | AA | AA |
Fair Value Input Weighted Average Relative Change Ratio | 36.30% | 35.90% |
Underlying, Other [Member] | Successor [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
CVA percentage | 23.34% | 15.82% |
Fair value of derivative liabilities | $ 32,697 | $ 71,104 |
Notional outstanding | $ 617,148 | $ 921,036 |
Fair Value Input Weighted Average Obligation Price | $ 85.2 | $ 86.8 |
Fair Value Input Weighted Average Life | 6 years 1 month | 5 years 8 months |
Fair Value Input Weighted Average Credit Rating | BBB+ | BBB- |
Fair Value Input Weighted Average Relative Change Ratio | 33.30% | 49.00% |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 4.40% | 4.10% |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | Corporate Obligations [Member] | Level 3 [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Available-for-sale Securities | $ 2,588,556 | $ 2,743,050 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | European ABS Transactions [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Coupon rate | 1.38% | 0.30% |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | US Commercial ABS Transaction [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Coupon rate | 5.88% | 5.88% |
Fair Value Measurements - Infor
Fair Value Measurements - Information about Valuation Inputs for Fixed Income Securities Classified as Level 3 (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Available-for-sale Securities | $ 5,334,120 | $ 5,150,018 |
Corporate Obligations [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon rate | 0.345% | |
Fair Value Inputs Maturity | 19 years 1 month 21 days | |
Yield | 4.93% | |
Fair Value, Inputs, Level 3 [Member] | Corporate Obligations [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Available-for-sale Securities | 0 | $ 3,808 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Available-for-sale Securities | 488,884 | 194,393 |
Fair Value, Inputs, Level 3 [Member] | Asset-backed Securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Available-for-sale Securities | $ 0 | $ 0 |
Variable Interest Entity, Primary Beneficiary [Member] | United States Transactions [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon rate | 5.88% | 5.88% |
Fair Value Inputs Maturity | 21 years 9 months 22 days | 15 years 10 months 4 days |
Yield | 9.14% | 7.37% |
Variable Interest Entity, Primary Beneficiary [Member] | European Transactions [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon rate | 1.38% | 0.30% |
Fair Value Inputs Maturity | 16 years 4 months 39 days | 21 years 2 months 30 days |
Yield | 6.08% | 9.52% |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Inputs, Level 3 [Member] | Corporate Obligations [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Available-for-sale Securities | $ 2,588,556 | $ 2,743,050 |
Fair Value Measurements - Sum91
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Notional outstanding | $ 970,883 | $ 1,529,759 |
Successor [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Notional outstanding | 970,883 | 1,529,759 |
Successor [Member] | CLO [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Notional outstanding | $ 295,253 | $ 549,923 |
Weighted average reference obligation price | $ 98.4 | $ 98.9 |
Weighted average life (WAL) in years | 1 year 1 month | 1 year 9 months |
Weighted average credit rating | AA | AA |
Weighted average relative change ratio | 36.30% | 35.90% |
CVA percentage | 8.34% | 5.40% |
Fair value of derivative liabilities | $ 1,837 | $ 2,027 |
Successor [Member] | Other [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Notional outstanding | $ 617,148 | $ 921,036 |
Weighted average reference obligation price | $ 85.2 | $ 86.8 |
Weighted average life (WAL) in years | 6 years 1 month | 5 years 8 months |
Weighted average credit rating | BBB+ | BBB- |
Weighted average relative change ratio | 33.30% | 49.00% |
CVA percentage | 23.34% | 15.82% |
Fair value of derivative liabilities | $ 32,697 | $ 71,104 |
Fair Value Measurements - Sum92
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Parenthetical) (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Notional outstanding | $ 970,883 | $ 1,529,759 |
Other Contracts [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Notional outstanding | $ 58,482 | $ 58,800 |
Weighted average life (WAL) in years | 2 months | 1 year 2 months |
Weighted average quotes | 1.00% | 1.00% |
CVA percentage | 0.09% | 2.20% |
Weighted average credit rating | A | A |
Fair value of derivative liabilities | $ 9 | $ 328 |
Fair Value Measurements - Inf93
Fair Value Measurements - Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2012 | |
Successor [Member] | Corporate Debt Securities [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Inputs Coupon Rate | 0.345% | ||||
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | $ 15,170,359 | $ 14,253,705 | $ 11,497,098 | $ 13,845,454 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (417,184) | (545,308) | 1,221,057 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 955,046 | (739,919) | (822,098) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 359,193 | 124,013 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (42,381) | (344,865) | (403,576) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | (220,649) | (752,334) | 188,241 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 365,046 | 3,888 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | (1,552,004) | (325,123) | (659,898) | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (565,205) | (607,235) | 1,207,070 | ||
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | Investments [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 69,412 | 67,783 | 488,884 | 198,201 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 1,870 | 30,083 | 11,057 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 7,184 | (73,559) | (541) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 359,193 | 54,013 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (6,428) | (25,034) | (62,266) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 273 | 0 | 188,241 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (208) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | Other Assets [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 14,061 | 13,384 | 8,696 | 12,036 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (677) | (1,635) | (1,348) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | (1,705) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (677) | (1,635) | (1,348) | ||
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | Derivative Financial Instruments, Liabilities [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (415,360) | (186,934) | (99,192) | (215,346) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 217,666 | 16,571 | (45,392) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 10,760 | 11,365 | 16,980 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 88,218 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 91,436 | (25,980) | (53,509) | ||
Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 15,170,359 | $ 14,416,488 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Additions Of Consolidated Vies | (409,300) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 1,057,181 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (776,014) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (716,488) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 1,598,492 | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 1,053,758 | ||||
Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | Investments [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 69,412 | 60,402 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (33) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 12,329 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,286) | ||||
Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | Other Assets [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 14,061 | 14,557 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (496) | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (496) | ||||
Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | Derivative Financial Instruments, Liabilities [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (415,360) | (322,337) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (88,546) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (4,477) | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (92,002) | ||||
Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 325,123 | ||||
Long-term Debt [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | ||||
Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | ||||
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (655,964) | $ (579,620) | $ 1,261,927 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | European ABS Transactions [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Inputs Coupon Rate | 1.38% | 0.30% | |||
Variable Interest Entity, Primary Beneficiary [Member] | Successor [Member] | US Commercial ABS Transaction [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Inputs Coupon Rate | 5.88% | 5.88% | |||
Variable Interest Entity, Primary Beneficiary [Member] | Predecessor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 1,146,256 | ||||
Variable Interest Entity, Primary Beneficiary [Member] | Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 14,752,053 | 13,398,895 | $ 11,690,324 | $ 12,371,177 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (455,231) | 569,617 | 1,118,084 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 873,986 | (612,941) | (726,827) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 70,000 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (219,909) | (312,406) | (792,186) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | (1,552,004) | (696,789) | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (475,152) | 589,634 | 1,119,219 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 14,752,053 | 15,359,073 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 956,402 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (849,833) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (713,589) | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 956,402 | ||||
Variable Interest Entity, Primary Beneficiary [Member] | Long-term Debt [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (1,750,372) | (1,514,605) | (3,180,170) | (1,263,664) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (2,490) | (1,152,681) | (290,457) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (79,063) | 93,812 | 66,515 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 173,196 | (17,085) | 433,896 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | (220,922) | (840,552) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 365,046 | 4,096 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 36,891 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (2,490) | (1,161,991) | (286,405) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Long-term Debt [Member] | Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (1,750,372) | (2,956,501) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Additions Of Consolidated Vies | (409,300) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (138,914) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 150,987 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 4,864 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 1,598,492 | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (138,914) | ||||
Variable Interest Entity, Primary Beneficiary [Member] | Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,500,565 | 2,475,182 | 2,588,556 | 2,743,050 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (178,322) | (7,263) | 429,113 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 152,939 | (147,231) | (161,245) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ (178,322) | $ (7,263) | $ 429,113 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Predecessor [Member] | |||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,500,565 | $ 2,261,294 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 328,768 | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (89,497) | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ 328,768 |
Fair Value Measurements - Sum94
Fair Value Measurements - Summary of Changes in Level 3 Fair Value Category (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Predecessor [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | $ (322,337) | $ (415,360) | ||
Included in earnings | (88,546) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (4,477) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | |||
Balance, end of period | (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 | 92,002 | |||
Predecessor [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 60,402 | 69,412 | ||
Included in earnings | (33) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 12,329 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,286) | |||
Balance, end of period | 69,412 | |||
Predecessor [Member] | Asset-backed Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 50,264 | 61,782 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 12,117 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (599) | |||
Balance, end of period | 61,782 | |||
Predecessor [Member] | Collateralized Debt Obligations [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 6,482 | 3,949 | ||
Included in earnings | (6) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 160 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (2,687) | |||
Balance, end of period | 3,949 | |||
Predecessor [Member] | Corporate Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 3,656 | 3,681 | ||
Included in earnings | (27) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 52 | |||
Balance, end of period | 3,681 | |||
Predecessor [Member] | Interest Rate Swaps [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (108,752) | (137,947) | ||
Included in earnings | (28,162) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1,033) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | |||
Balance, end of period | (137,947) | |||
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 | |||
Predecessor [Member] | Credit Derivatives [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (213,585) | (277,413) | ||
Included in earnings | (60,384) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,444) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | |||
Balance, end of period | (277,413) | |||
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 | 63,840 | |||
Predecessor [Member] | US Government Agencies Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Balance, end of period | 0 | |||
Successor [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (415,360) | $ (215,346) | $ (186,934) | |
Included in earnings | 217,666 | 16,571 | (45,392) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 10,760 | 11,365 | 16,980 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 88,218 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 | |
Balance, end of period | (415,360) | (186,934) | (99,192) | (215,346) |
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 | (91,436) | 25,980 | 53,509 | |
Successor [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 69,412 | 198,201 | 67,783 | |
Included in earnings | 1,870 | 30,083 | 11,057 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 7,184 | (73,559) | (541) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 359,193 | 54,013 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (6,428) | (25,034) | (62,266) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 273 | 0 | 188,241 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (208) | ||
Balance, end of period | 69,412 | 67,783 | 488,884 | 198,201 |
Successor [Member] | Asset-backed Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 61,782 | 0 | 64,073 | |
Included in earnings | 1,912 | 6,994 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 7,315 | 0 | (8,182) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (2,408) | 0 | (3,007) | |
Balance, end of period | 61,782 | 64,073 | 0 | 0 |
Successor [Member] | Corporate Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 3,681 | 3,502 | ||
Included in earnings | (62) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (117) | |||
Balance, end of period | 3,681 | 3,502 | ||
Successor [Member] | US Government Agencies Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 208 | |||
Included in earnings | (5) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 5 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (65) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 273 | |||
Balance, end of period | 208 | |||
Successor [Member] | Non-Agency RMBS [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 194,393 | 0 | ||
Included in earnings | 30,102 | 4,160 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (73,273) | 7,238 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 359,193 | 54,013 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (21,531) | (59,259) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 188,241 | |||
Balance, end of period | 0 | 488,884 | 194,393 | |
Successor [Member] | Collateralized Debt Obligations [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 3,949 | 0 | 0 | |
Included in earnings | 25 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (19) | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,955) | 0 | 0 | |
Balance, end of period | 3,949 | 0 | 0 | |
Successor [Member] | Corporate Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 3,808 | 3,502 | ||
Included in earnings | (19) | (97) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (286) | 403 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,503) | |||
Balance, end of period | 3,502 | 0 | 3,808 | |
Successor [Member] | Interest Rate Swaps [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (137,947) | (141,887) | (92,612) | |
Included in earnings | 24,797 | (25,130) | (69,298) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 20,538 | 14,150 | 20,023 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 88,218 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 | |
Balance, end of period | (137,947) | (92,612) | (64,649) | (141,887) |
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 | (24,797) | 25,130 | 69,298 | |
Successor [Member] | Credit Derivatives [Member] | Derivatives by Class [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (277,413) | (73,459) | (94,322) | |
Included in earnings | 192,869 | 41,701 | 23,906 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (9,778) | (2,785) | (3,043) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 | |
Balance, end of period | (277,413) | (94,322) | (34,543) | (73,459) |
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 | (66,639) | 850 | (15,789) | |
Successor [Member] | US Government Agencies Debt Securities [Member] | Investment Type [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 0 | 208 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | (208) | |||
Balance, end of period | 208 | 0 | ||
Level 3 [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 14,416,488 | 15,170,359 | ||
Additions of VIEs consolidated | (409,300) | |||
Included in earnings | 1,057,181 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (776,014) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (716,488) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 1,598,492 | |||
Balance, end of period | 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 | (1,053,758) | |||
Level 3 [Member] | Predecessor [Member] | Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 60,402 | 69,412 | ||
Included in earnings | (33) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 12,329 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (3,286) | |||
Balance, end of period | 69,412 | |||
Level 3 [Member] | Predecessor [Member] | Other Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 14,557 | 14,061 | ||
Included in earnings | (496) | |||
Balance, end of period | 14,061 | |||
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 | |||
Level 3 [Member] | Predecessor [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (322,337) | (415,360) | ||
Included in earnings | (88,546) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (4,477) | |||
Balance, end of period | (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 | 92,002 | |||
Level 3 [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 15,170,359 | 13,845,454 | 14,253,705 | |
Included in earnings | (417,184) | (545,308) | 1,221,057 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 955,046 | (739,919) | (822,098) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 359,193 | 124,013 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (42,381) | (344,865) | (403,576) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | (220,649) | (752,334) | 188,241 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 365,046 | 3,888 | ||
Deconsolidation of VIEs | (1,552,004) | (325,123) | (659,898) | |
Balance, end of period | 15,170,359 | 14,253,705 | 11,497,098 | 13,845,454 |
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 | 565,205 | 607,235 | (1,207,070) | |
Level 3 [Member] | Successor [Member] | Investments Contract [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Deconsolidation of VIEs | 0 | |||
Level 3 [Member] | Successor [Member] | Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Deconsolidation of VIEs | 325,123 | |||
Level 3 [Member] | Successor [Member] | Long-Term Debt [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Deconsolidation of VIEs | 0 | |||
Level 3 [Member] | Successor [Member] | Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 69,412 | 198,201 | 67,783 | |
Included in earnings | 1,870 | 30,083 | 11,057 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 7,184 | (73,559) | (541) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 359,193 | 54,013 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (4,528) | (59,878) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (6,428) | (25,034) | (62,266) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 273 | 0 | 188,241 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (208) | ||
Deconsolidation of VIEs | 0 | 0 | ||
Balance, end of period | 69,412 | 67,783 | 488,884 | 198,201 |
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 | 0 | |||
Level 3 [Member] | Successor [Member] | Other Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 14,061 | 12,036 | 13,384 | |
Included in earnings | (677) | (1,635) | (1,348) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | (1,705) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | |||
Deconsolidation of VIEs | 0 | 0 | ||
Balance, end of period | 14,061 | 13,384 | 8,696 | 12,036 |
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 | 677 | 1,635 | 1,348 | |
Level 3 [Member] | Successor [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | (415,360) | (215,346) | (186,934) | |
Included in earnings | 217,666 | 16,571 | (45,392) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 10,760 | 11,365 | 16,980 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 88,218 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | |||
Deconsolidation of VIEs | 0 | 0 | ||
Balance, end of period | $ (415,360) | (186,934) | (99,192) | (215,346) |
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 | $ (91,436) | $ 25,980 | $ 53,509 |
Fair Value Measurements - Sum95
Fair Value Measurements - Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | Variable Interest Entity [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | $ (636,043) | $ (590,327) | $ 1,256,740 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (655,964) | (579,620) | 1,261,927 | |
Predecessor [Member] | Variable Interest Entity [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | $ 1,146,256 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 1,146,256 | |||
Net Investment Income [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | 1,870 | 30,083 | 11,057 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | 0 | 0 | |
Net Investment Income [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | (33) | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | |||
Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | 9,778 | 2,785 | 3,043 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | 0 | 0 | |
Realized Gains Or (Losses) and Other Settlements On Credit Derivative Contracts [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | 3,444 | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | |||
Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | 183,091 | 38,916 | 20,863 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 66,639 | (850) | 15,789 | |
Unrealized Gains Or (Losses) On Credit Derivative Contracts [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | (63,828) | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (63,840) | |||
Interest Rate Swap [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | 24,797 | (25,130) | (69,298) | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 24,797 | (25,130) | (69,298) | |
Interest Rate Swap [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | (28,162) | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (28,162) | |||
Other Income or (Loss) [Member] | Successor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | (677) | (1,635) | (1,348) | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ (677) | $ (1,635) | $ (1,348) | |
Other Income or (Loss) [Member] | Predecessor [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total gains or losses included in earnings for the period | (496) | |||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ (496) |
Investments - Summary of Amorti
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 5,283,157 | $ 4,939,325 |
Gross Unrealized Gains | 155,169 | 242,962 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,206 | 32,269 |
Estimated Fair Value | 5,334,120 | 5,150,018 |
Non - credit other - than - temporary Impairments | 41,673 | 7,773 |
Corporate Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Estimated Fair Value | 2,588,556 | 2,743,050 |
Residential Mortgage-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 1,942,285 | |
Estimated Fair Value | 1,977,338 | |
Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 85,706 | |
Estimated Fair Value | 84,267 | |
Asset-backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 802,842 | |
Estimated Fair Value | 840,527 | |
Short-Term [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 225,789 | 360,069 |
Gross Unrealized Gains | 1 | 0 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1 | 4 |
Estimated Fair Value | 225,789 | 360,065 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 4,992,756 | 4,514,878 |
Gross Unrealized Gains | 155,168 | 242,962 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,148 | 32,154 |
Estimated Fair Value | 5,043,776 | 4,725,686 |
Non - credit other - than - temporary Impairments | 41,673 | 7,773 |
Fixed Income Securities [Member] | Securities Pledged as Collateral [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 64,612 | 64,378 |
Gross Unrealized Gains | 0 | 0 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 57 | 111 |
Estimated Fair Value | 64,555 | 64,267 |
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 | 424,048 | 523,019 |
Gross Unrealized Gains | 4,910 | 9,769 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 8,188 | 6,996 |
Estimated Fair Value | 420,770 | 525,792 |
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 | 1,610,912 | 1,382,195 |
Gross Unrealized Gains | 7,089 | 12,815 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 24,332 | 9,416 |
Estimated Fair Value | 1,593,669 | 1,385,594 |
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 | 96,638 | 126,041 |
Gross Unrealized Gains | 1,491 | 3,060 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,823 | 1,344 |
Estimated Fair Value | 96,306 | 127,757 |
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 | 26,086 | 42,328 |
Gross Unrealized Gains | 789 | 1,078 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 188 | 427 |
Estimated Fair Value | 26,687 | 42,979 |
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 | 64,612 | 64,378 |
Gross Unrealized Gains | 0 | 0 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 57 | 111 |
Estimated Fair Value | 64,555 | 64,267 |
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 | 4,239 | 29,524 |
Gross Unrealized Gains | 0 | 0 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 27 | 38 |
Estimated Fair Value | 4,212 | 29,486 |
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 | 1,942,285 | 1,557,059 |
Gross Unrealized Gains | 99,670 | 167,396 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 64,617 | 13,500 |
Estimated Fair Value | 1,977,338 | 1,710,955 |
Non - credit other - than - temporary Impairments | 41,673 | 7,773 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 85,706 | 21,346 |
Gross Unrealized Gains | 42 | 50 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,481 | 274 |
Estimated Fair Value | 84,267 | 21,122 |
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 | 802,842 | 833,366 |
Gross Unrealized Gains | 41,177 | 48,794 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 3,492 | 159 |
Estimated Fair Value | 840,527 | 882,001 |
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 | 5,218,545 | 4,874,947 |
Gross Unrealized Gains | 155,169 | 242,962 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,149 | 32,158 |
Estimated Fair Value | 5,269,565 | 5,085,751 |
Non - credit other - than - temporary Impairments | $ 41,673 | $ 7,773 |
Investments - Summary of Amor97
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 [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost, Due in one year or less | $ 347,240 | |
Amortized Cost, Due after one year through five years | 1,020,940 | |
Amortized Cost, Due after five years through ten years | 914,404 | |
Amortized Cost, Due after ten years | 169,740 | |
Amortized Cost, Total | 2,452,324 | |
Amortized Cost | 5,283,157 | $ 4,939,325 |
Estimated Fair Value, Due in one year or less | 347,359 | |
Estimated Fair Value, Due after one year through five years | 1,014,416 | |
Estimated Fair Value, Due after five years through ten years | 901,252 | |
Estimated Fair Value, Due after ten years | 168,961 | |
Estimated Fair Value due, Total | 2,431,988 | |
Fixed income securities | 5,334,120 | $ 5,150,018 |
Residential Mortgage-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 1,942,285 | |
Fixed income securities | 1,977,338 | |
Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 85,706 | |
Fixed income securities | 84,267 | |
Asset-backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 802,842 | |
Fixed income securities | $ 840,527 |
Investments - Summary of Gross
Investments - Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 2,281,230 | $ 1,324,489 |
Less than 12 Months, Gross Unrealized Loss | 82,799 | 20,081 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 463,320 | 350,655 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 21,407 | 12,188 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,744,550 | 1,675,144 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,206 | 32,269 |
Short-Term [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 9,982 | 8,803 |
Less than 12 Months, Gross Unrealized Loss | 1 | 4 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 9,982 | 8,803 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1 | 4 |
Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 2,206,693 | 1,251,419 |
Less than 12 Months, Gross Unrealized Loss | 82,741 | 19,966 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 463,320 | 350,655 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 21,407 | 12,188 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 117,008 | 77,788 |
Less than 12 Months, Gross Unrealized Loss | 2,070 | 1,244 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 114,708 | 135,076 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 6,118 | 5,752 |
Fixed Income Securities [Member] | Corporate Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 938,916 | 453,504 |
Less than 12 Months, Gross Unrealized Loss | 21,331 | 4,998 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 92,581 | 172,045 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 3,001 | 4,418 |
Fixed Income Securities [Member] | Foreign Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 34,904 | 20,827 |
Less than 12 Months, Gross Unrealized Loss | 1,018 | 748 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 8,584 | 14,277 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 805 | 596 |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 2,938 | 7,223 |
Less than 12 Months, Gross Unrealized Loss | 18 | 154 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 10,658 | 14,735 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 170 | 273 |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 25,039 |
Less than 12 Months, Gross Unrealized Loss | 0 | 2 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 4,212 | 4,378 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 27 | 36 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 584,699 | 413,203 |
Less than 12 Months, Gross Unrealized Loss | 53,367 | 12,391 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 213,303 | 10,076 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 11,250 | 1,109 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 77,538 | 5,012 |
Less than 12 Months, Gross Unrealized Loss | 1,481 | 274 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | 0 |
Fixed Income Securities [Member] | Other Asset-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 450,690 | 248,823 |
Less than 12 Months, Gross Unrealized Loss | 3,456 | 155 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 19,274 | 68 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 36 | 4 |
Fixed Income Investments And Other Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 2,216,675 | 1,260,222 |
Less than 12 Months, Gross Unrealized Loss | 82,742 | 19,970 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 463,320 | 350,655 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 21,407 | 12,188 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,679,995 | 1,610,877 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,149 | 32,158 |
Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,148 | 32,154 |
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 | 8,188 | 6,996 |
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 | 24,332 | 9,416 |
Fixed Income Securities [Member] | Foreign Government Debt Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,823 | 1,344 |
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 | 188 | 427 |
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 | 27 | 38 |
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 | 64,617 | 13,500 |
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 | 1,481 | 274 |
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 | 3,492 | 159 |
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 | 2,670,013 | 1,602,074 |
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 | 231,716 | 212,864 |
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 | 1,031,497 | 625,549 |
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 | 43,488 | 35,104 |
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 | 13,596 | 21,958 |
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 | 4,212 | 29,417 |
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 | 798,002 | 423,279 |
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 | 77,538 | 5,012 |
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 | 469,964 | 248,891 |
Securities Pledged as Collateral [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 64,555 | 64,267 |
Less than 12 Months, Gross Unrealized Loss | 57 | 111 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 64,555 | 64,267 |
Securities Pledged as Collateral [Member] | Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 64,555 | 64,267 |
Less than 12 Months, Gross Unrealized Loss | 57 | 111 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | 0 |
Securities Pledged as Collateral [Member] | Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 57 | 111 |
Securities Pledged as Collateral [Member] | 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 | 57 | 111 |
Securities Pledged as Collateral [Member] | 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 | $ 64,555 | $ 64,267 |
Investments - Additional Inform
Investments - Additional Information (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Investment [Line Items] | ||||
Payment of permitted policy claim (percent) | 25.00% | |||
Future payment of permitted policy claim (percent) | 45.00% | |||
Securities fair value | $ 6,762 | $ 6,790 | ||
Fair value of securities held by bankruptcy remote trust | 396,100 | 0 | ||
Successor [Member] | ||||
Investment [Line Items] | ||||
Unrealized losses on securities | 82,799 | 20,081 | ||
Other investments | $ 3,580 | 16,952 | 8,108 | |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 104,206 | 32,269 | ||
Predecessor [Member] | ||||
Investment [Line Items] | ||||
Other investments | $ 369 | |||
Below Investment Grade Securities and Non-Rated Securities [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Fair value of below investment grade securities and non-rated securities | 953,000 | 473,656 | ||
Gross unrealized loss | 69,214 | 16,001 | ||
Ambac Wrapped Securities [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 63,127 | |||
Gains (losses) on securities held as of reporting date [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Other investments | 1,878 | 7,649 | 7,200 | |
Gains (losses) on securities held as of reporting date [Member] | Predecessor [Member] | ||||
Investment [Line Items] | ||||
Other investments | 369 | |||
National Century Financial Enterprises, Inc. [Member] | ||||
Investment [Line Items] | ||||
Cash recoveries | $ 39,978 | $ 1,441 | 96 | 35 |
Fixed Income Securities [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Unrealized losses on securities | 82,741 | 19,966 | ||
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Unrealized losses on securities | 53,367 | 12,391 | ||
Fixed Income Securities [Member] | Asset-backed Securities [Member] | Successor [Member] | ||||
Investment [Line Items] | ||||
Unrealized losses on securities | $ 3,456 | $ 155 |
Investments - Summary of Amount
Investments - Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Investment [Line Items] | ||||
Gross realized gains on securities | $ 22,983 | $ 58,218 | $ 63,366 | |
Gross realized losses on securities | (10,347) | (10,558) | (9,824) | |
Foreign exchange (losses) gains | (8,169) | 5,816 | 5,235 | |
Net realized (losses) gains | 4,467 | 53,476 | 58,777 | |
Net other-than-temporary impairments | $ (46,764) | $ (25,659) | $ (25,794) | |
Predecessor [Member] | ||||
Investment [Line Items] | ||||
Gross realized gains on securities | $ 47,448 | |||
Gross realized losses on securities | (320) | |||
Foreign exchange (losses) gains | 6,177 | |||
Net realized (losses) gains | 53,305 | |||
Net other-than-temporary impairments | $ (467) |
Investments - Summary of Roll-F
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 ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Balance at beginning | $ 0 | $ 14,062 | $ 1,182 | |
Additions for credit impairments recognized on: | ||||
Securities not previously impaired | 1,185 | 10,900 | 12,873 | |
Securities previously impaired | 6,214 | 7 | ||
Reductions for credit impairments previously recognized on: | ||||
Securities that matured or were sold during the period | (3) | 0 | 0 | |
Balance at end | $ 0 | 1,182 | $ 31,176 | $ 14,062 |
Predecessor [Member] | ||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Balance at beginning | 183,300 | $ 0 | ||
Reductions for credit impairments previously recognized on: | ||||
Securities that matured or were sold during the period | (183,300) | |||
Balance at end | $ 0 |
Investments - Summary of Source
Investments - Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged (Detail) - Successor [Member] - Cash and Securities Pledged Directly from Investment Portfolio [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Investment [Line Items] | ||
Fair Value of Cash and Underlying Securities | $ 338,007 | $ 379,423 |
Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties | 108,379 | 156,916 |
Fair Value of Cash and Securities Pledged to Derivative Counterparties | $ 229,628 | $ 222,507 |
Investments - Summary of Fair V
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Standard & Poor's, CC Rating [Member] | Ambac Assurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 2,277,153 | |
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 | 47,846 | $ 67,895 |
Standard & Poor's, CCC+ Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,408,359 | |
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 | 2,199,719 | |
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 | 119,492 | |
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 | 57,715 | |
Standard & Poor's, A+ Rating [Member] | MBIA Insurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 25,645 | 32,460 |
Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,419,566 | |
Municipal Bonds [Member] | Standard & Poor's, CC Rating [Member] | Ambac Assurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 60,836 | |
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 | 47,846 | 67,895 |
Municipal Bonds [Member] | Standard & Poor's, CCC+ Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 166,397 | |
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 | 53,164 | |
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 | 119,492 | |
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 | 57,715 | |
Municipal Bonds [Member] | Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 240,551 | |
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 | 0 | 0 |
Corporate Debt Securities [Member] | Standard & Poor's, CCC+ Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 25,645 | |
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 | 0 | |
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 | 0 | |
Corporate Debt Securities [Member] | Standard & Poor's, A+ Rating [Member] | MBIA Insurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 25,645 | 32,460 |
Corporate Debt Securities [Member] | Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 32,460 | |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CC Rating [Member] | Ambac Assurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,216,317 | |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CCC+ Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,216,317 | |
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 | 2,146,555 | |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,146,555 | |
Short-Term [Member] | Standard & Poor's, CCC+ Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 0 | |
Short-Term [Member] | Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 0 |
Investments - Summary of Fai104
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Parenthetical) (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Ambac UK [Member] | ||
Investment [Line Items] | ||
Asset-backed securities fair value | $ 119,802 | $ 51,395 |
Investments - Summary of Net In
Investments - Summary of Net Investment Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||||||||||
Investment [Line Items] | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Trading Securities | $ 3,580 | $ 12,615 | $ 6,713 | |||||||||
Trading Securities, Realized Gain (Loss) | 1,702 | 4,966 | (487) | |||||||||
Fixed income securities | 147,014 | 257,404 | 299,694 | |||||||||
Short-term investments | 1,528 | 299 | 3,092 | |||||||||
Loans | 306 | 420 | 529 | |||||||||
Investment expense | (5,982) | (8,786) | (10,477) | |||||||||
Securities available-for-sale and short-term | 142,866 | 249,337 | 292,838 | |||||||||
Other investments | 3,580 | 16,952 | 8,108 | |||||||||
Total net investment income | $ 64,358 | $ 64,195 | $ 64,753 | $ 72,983 | $ 66,471 | $ 83,581 | $ 80,093 | $ 70,801 | 146,446 | 266,289 | 300,946 | |
Predecessor [Member] | ||||||||||||
Investment [Line Items] | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Trading Securities | $ 369 | |||||||||||
Trading Securities, Realized Gain (Loss) | 0 | |||||||||||
Fixed income securities | 118,097 | |||||||||||
Short-term investments | 677 | |||||||||||
Loans | 146 | |||||||||||
Investment expense | (2,549) | |||||||||||
Securities available-for-sale and short-term | 116,371 | |||||||||||
Other investments | 369 | |||||||||||
Total net investment income | 116,740 | |||||||||||
Gains (losses) on securities held as of reporting date [Member] | Successor [Member] | ||||||||||||
Investment [Line Items] | ||||||||||||
Other investments | $ 1,878 | $ 7,649 | $ 7,200 | |||||||||
Gains (losses) on securities held as of reporting date [Member] | Predecessor [Member] | ||||||||||||
Investment [Line Items] | ||||||||||||
Other investments | $ 369 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Gross Fair Values of Individual Derivative Instruments (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Apr. 30, 2013 |
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | $ 137,124 | $ 163,683 | |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 405,487 | 461,610 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 52,129 | 54,666 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 52,129 | 54,666 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 84,995 | 109,017 | $ 121,643 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 353,358 | 406,944 | $ 621,645 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | 0 | 0 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 176,386 | 170,135 | |
Net Amount, Derivative Assets | 84,995 | 109,017 | |
Net Amount, Derivative Liabilities | 176,972 | 236,809 | |
Variable Interest Entities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | 36,862 | ||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 1,965,265 | 2,200,163 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 36,862 | 0 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 36,862 | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 0 | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,928,403 | 2,200,163 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Assets | 0 | ||
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 0 | 0 | |
Net Amount, Derivative Assets | 0 | ||
Net Amount, Derivative Liabilities | 1,928,403 | 2,200,163 | |
Interest Rate Swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | 137,015 | 161,640 | |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 370,944 | 385,546 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 52,129 | 54,666 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 52,129 | 54,666 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 84,886 | 106,974 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 318,815 | 330,880 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 176,386 | 169,573 | |
Net Amount, Derivative Assets | 84,886 | 106,974 | |
Net Amount, Derivative Liabilities | 142,429 | 161,307 | |
Interest Rate Swaps [Member] | Variable Interest Entities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 1,965,265 | 2,133,268 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,965,265 | 2,133,268 | |
Net Amount, Derivative Liabilities | 1,965,265 | 2,133,268 | |
Futures Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | 109 | ||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 0 | 562 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | 0 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 109 | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 0 | 562 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 0 | 562 | |
Net Amount, Derivative Assets | 109 | ||
Net Amount, Derivative Liabilities | 0 | 0 | |
Credit Derivatives [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | 0 | 2,043 | |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 34,543 | 75,502 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | 0 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 0 | 2,043 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 34,543 | 75,502 | |
Net Amount, Derivative Assets | 0 | 2,043 | |
Net Amount, Derivative Liabilities | 34,543 | 75,502 | |
Currency Swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 0 | ||
Currency Swaps [Member] | Variable Interest Entities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Gross Amounts of Recognized Assets, Derivative Assets | 36,862 | ||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 0 | 66,895 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 36,862 | ||
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 36,862 | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | (36,862) | 66,895 | |
Net Amount, Derivative Assets | 0 | ||
Net Amount, Derivative Liabilities | $ (36,862) | $ 66,895 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) $ in Thousands | Dec. 31, 2015USD ($)Contract | Dec. 31, 2014USD ($)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" | $ 165,073 | $ 158,240 |
Net liability fair value of all derivative instruments linked to Ambac's own credit risk | 95,415 | 92,869 |
Fair value of posted assets as collateral | $ 147,974 | $ 118,844 |
Credit Derivatives [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Number of credit derivative contracts | Contract | 2 | 4 |
Net liability fair value of credit derivative contracts | $ 19,820 | $ 60,729 |
Notional value of credit derivative contracts | $ 68,526 | $ 270,747 |
Derivative Instruments - Sum108
Derivative Instruments - Summary of Location and Amount of Gains and Losses of Derivative Contracts (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | $ 802,462 | $ 270,917 | $ (585,038) | |
Predecessor [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | $ (297,855) | |||
Net Change in Fair Value of Credit Derivatives [Member] | Successor [Member] | Credit Derivatives [Member] | Financial Guarantee [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 192,869 | 41,701 | 23,906 | |
Net Change in Fair Value of Credit Derivatives [Member] | Predecessor [Member] | Credit Derivatives [Member] | Financial Guarantee [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (60,384) | |||
Derivative Products [Member] | Successor [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 114,771 | (42,544) | (181,087) | |
Derivative Products [Member] | Successor [Member] | Interest Rate Swaps [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 103,846 | (41,177) | (173,615) | |
Derivative Products [Member] | Successor [Member] | Currency Swaps [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 0 | 0 | ||
Derivative Products [Member] | Successor [Member] | Futures Contracts [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 10,925 | (1,367) | (7,472) | |
Derivative Products [Member] | Predecessor [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (33,735) | |||
Derivative Products [Member] | Predecessor [Member] | Interest Rate Swaps [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (30,602) | |||
Derivative Products [Member] | Predecessor [Member] | Futures Contracts [Member] | Financial Services Derivatives Products [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (3,133) | |||
Other Income [Member] | Successor [Member] | Call Options on Long-Term Debt [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 0 | |||
Other Income [Member] | Predecessor [Member] | Call Options on Long-Term Debt [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 0 | |||
Income Loss On Variable Interest Entities [Member] | Successor [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 494,822 | 271,760 | (427,857) | |
Income Loss On Variable Interest Entities [Member] | Successor [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | 495,712 | 168,003 | (452,434) | |
Income Loss On Variable Interest Entities [Member] | Successor [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | $ (890) | $ 103,757 | $ 24,577 | |
Income Loss On Variable Interest Entities [Member] | Predecessor [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (203,736) | |||
Income Loss On Variable Interest Entities [Member] | Predecessor [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | (203,620) | |||
Income Loss On Variable Interest Entities [Member] | Predecessor [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||
Derivative instruments, gain (loss) recognized in income, net, Total | $ (116) |
Derivative Instruments - Sum109
Derivative Instruments - Summary of Gross Principal Notional Outstanding for CDS Contracts (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Ambac Rating | ||
Notional outstanding | $ 970,883 | $ 1,529,759 |
Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 970,883 | 1,529,759 |
Other Derivatives [Member] | Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 970,883 | 1,529,759 |
Other Derivatives [Member] | Successor [Member] | AAA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 0 |
Other Derivatives [Member] | Successor [Member] | AA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 536,712 | 767,603 |
Other Derivatives [Member] | Successor [Member] | A Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 9,322 | 43,160 |
Other Derivatives [Member] | Successor [Member] | BBB Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 356,323 | 448,249 |
Other Derivatives [Member] | Successor [Member] | Below Investment Grade Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 68,526 | 270,747 |
CLO [Member] | Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 295,253 | 549,923 |
CLO [Member] | Other Derivatives [Member] | Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 295,254 | 549,923 |
CLO [Member] | Other Derivatives [Member] | Successor [Member] | AAA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 0 |
CLO [Member] | Other Derivatives [Member] | Successor [Member] | AA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 295,254 | 549,923 |
CLO [Member] | Other Derivatives [Member] | Successor [Member] | A Rating [Member] [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 0 |
Other [Member] | Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 675,630 | 979,836 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | ||
Ambac Rating | ||
Notional outstanding | 675,629 | 979,836 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | AAA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 0 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | AA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 241,458 | 217,680 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | A Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 9,322 | 43,160 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | BBB Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 356,323 | 448,249 |
Other [Member] | Other Derivatives [Member] | Successor [Member] | Below Investment Grade Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | $ 68,526 | $ 270,747 |
Derivative Instruments - Sum110
Derivative Instruments - Summarize Information by Major Category of CDS Contracts (Detail) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015USD ($)Transactions | Dec. 31, 2014USD ($)Transactions | |
Summary of information by major category of CDS contracts | ||
Gross principal notional outstanding | $ 970,883 | $ 1,529,759 |
Successor [Member] | ||
Summary of information by major category of CDS contracts | ||
Number of CDS transactions | Transactions | 14 | 16 |
Remaining expected weighted-average life of obligations (in years) | 4 years 3 months | 4 years 1 month 12 days |
Gross principal notional outstanding | $ 970,883 | $ 1,529,759 |
Successor [Member] | Credit Derivatives [Member] | ||
Summary of information by major category of CDS contracts | ||
Net derivative liabilities at fair value | $ 34,543 | $ 73,459 |
CLO [Member] | Successor [Member] | ||
Summary of information by major category of CDS contracts | ||
Number of CDS transactions | Transactions | 5 | 6 |
Remaining expected weighted-average life of obligations (in years) | 1 year 1 month | 1 year 9 months 18 days |
Gross principal notional outstanding | $ 295,253 | $ 549,923 |
CLO [Member] | Successor [Member] | Credit Derivatives [Member] | ||
Summary of information by major category of CDS contracts | ||
Net derivative liabilities at fair value | $ 1,837 | $ 2,027 |
Other [Member] | Successor [Member] | ||
Summary of information by major category of CDS contracts | ||
Number of CDS transactions | Transactions | 9 | 10 |
Remaining expected weighted-average life of obligations (in years) | 5 years 7 months | 5 years 5 months 2 days |
Gross principal notional outstanding | $ 675,630 | $ 979,836 |
Other [Member] | Successor [Member] | Credit Derivatives [Member] | ||
Summary of information by major category of CDS contracts | ||
Net derivative liabilities at fair value | $ 32,706 | $ 71,432 |
Derivative Instruments - Sum111
Derivative Instruments - Summary of Notional Amounts of AFS's Trading Derivative Products (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 970,883 | $ 1,529,759 |
Successor [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 970,883 | 1,529,759 |
AFS [Member] | Successor [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 | 773,072 | 782,904 |
AFS [Member] | Successor [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 | 1,429,644 | 1,479,650 |
AFS [Member] | Successor [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 | 38,965 | 55,800 |
AFS [Member] | Successor [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 | $ 80,000 |
Derivative Instruments - Sum112
Derivative Instruments - Summary of Notional for VIE Derivatives Outstanding (Detail) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 970,883 | $ 1,529,759 |
Successor [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 970,883 | 1,529,759 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [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 | 1,616,289 | 1,710,344 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [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 | 2,796,496 | 3,152,090 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [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 | 488,924 | 724,656 |
Variable Interest Entity, Primary Beneficiary [Member] | Successor [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 | $ 15,616 | $ 18,278 |
Loans (Details)
Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate On Term Loan | 4.75% | 4.68% |
Loan Maturity Date | Jun. 30, 2026 | |
Loans, Unpaid principal balance | $ 6,205 | $ 6,936 |
Long-Term Debt (Details)
Long-Term Debt (Details) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | |
Debt Instrument [Line Items] | ||||||||||||||
Secured Debt | $ 130,571 | $ 130,571 | ||||||||||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | $ 350,000 | ||||||||||||
Secured Debt [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Face Amount | $ 132,467 | $ 132,467 | ||||||||||||
5.1% Surplus Notes, General Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 10.50% | 10.50% | ||||||||||||
Debt Instrument, Repurchased Face Amount | $ 11,804 | $ 11,804 | ||||||||||||
Net realized gains (losses) on extinguishment of debt | 1,246 | $ 71,590 | ||||||||||||
Debt Instrument, Face Amount | $ 881,496 | $ 893,300 | $ 881,496 | 893,300 | ||||||||||
5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 10.50% | 10.50% | ||||||||||||
Net realized gains (losses) on extinguishment of debt | 3,134 | |||||||||||||
Debt Instrument, Face Amount | $ 39,102 | 39,102 | $ 39,102 | 39,102 | ||||||||||
5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 19.50% | 19.50% | ||||||||||||
Debt Instrument, Face Amount | $ 378,039 | 378,039 | $ 378,039 | 378,039 | ||||||||||
One State Street [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument Principal Amount Subject To Repurchase | 13,056 | 13,056 | ||||||||||||
Debt Instrument, Face Amount | $ 28,039 | $ 28,039 | ||||||||||||
Extinguishment of Debt, Amount | $ 8,043 | |||||||||||||
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 8.40% | 8.40% | ||||||||||||
Predecessor [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 155,271 | |||||||||||||
Net realized gains (losses) on extinguishment of debt | $ 0 | |||||||||||||
Predecessor [Member] | 5.1% Surplus Notes, General Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 53.90% | |||||||||||||
Predecessor [Member] | 5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 52.80% | |||||||||||||
Predecessor [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 58.30% | |||||||||||||
Successor [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | $ 1,124,950 | 971,116 | $ 940,313 | $ 1,124,950 | 971,116 | |||||||||
Net realized gains (losses) on extinguishment of debt | 0 | $ 1,420 | $ (1,246) | $ (93) | (74,724) | $ 0 | $ 0 | $ 0 | $ 0 | 81 | (74,724) | |||
Successor [Member] | Ambac Assurance Corporation [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 1,124,950 | 971,116 | 1,124,950 | 971,116 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Surplus Notes, General Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 715,211 | 696,330 | 715,211 | 696,330 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 31,725 | 30,479 | 31,725 | 30,479 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 247,443 | $ 244,307 | 247,443 | $ 244,307 | ||||||||||
Successor [Member] | Variable Interest Entities [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Stated Percentage | 6.65% | 6.65% | ||||||||||||
Long-term debt | $ 12,327,960 | $ 12,882,076 | $ 12,327,960 | $ 12,882,076 | ||||||||||
Successor [Member] | 5.1% Surplus Notes, General Account, Due 2020 [Member] | Ambac Assurance Corporation [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Stated Percentage | 5.10% | 5.10% | 5.10% | 5.10% | ||||||||||
Debt Instruments Maturity Year | 2,020 | 2,020 | ||||||||||||
Successor [Member] | 5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | Ambac Assurance Corporation [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Stated Percentage | 5.10% | 5.10% | 5.10% | 5.10% | ||||||||||
Debt Instruments Maturity Year | 2,020 | 2,020 | ||||||||||||
Successor [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | Ambac Assurance Corporation [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Stated Percentage | 5.10% | 5.10% | 5.10% | 5.10% | ||||||||||
Debt Instruments Maturity Year | 2,020 | 2,020 | ||||||||||||
Consolidated Variable Interest Entities [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Unpaid Principal Amount Of Fixed Rate Debt Accounted For Under Fair Value Option | $ 10,803,729 | $ 11,925,499 | $ 10,803,729 | $ 11,925,499 | ||||||||||
Long-term Debt, Maturities, Repayments of Principal in Next Twelve Months | 0 | 0 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 0 | 0 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 153,978 | 153,978 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 363,498 | 363,498 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | $ 60,665 | $ 60,665 | ||||||||||||
Consolidated Variable Interest Entities [Member] | Minimum [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 0.96% | 0.69% | 0.96% | 0.69% | ||||||||||
Consolidated Variable Interest Entities [Member] | Maximum [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 13.00% | 13.00% | 13.00% | 13.00% | ||||||||||
London Interbank Offered Rate (LIBOR) [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Interest Rate on Securities Issued by Delaware Trust | 2.80% |
Obligations Under Investment115
Obligations Under Investment Agreements Obligations Under Investment Agreements - Principal Due Under Investment Agreements (Details) $ in Thousands | Dec. 31, 2015USD ($) |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | $ 100,358 |
2016 [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | 0 |
2017 [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | 100,358 |
2018 [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | 0 |
2019 [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | 0 |
2020 [Member] [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | 0 |
All Later Years [Member] | |
Investment [Line Items] | |
Investment Agreement Expected Repayments of Principal | $ 0 |
Obligations Under Investment116
Obligations Under Investment Agreements Obligations Under Investment Agreements - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Apr. 30, 2013 | |
Debt Instrument, Interest Rate, Effective Percentage Rate Range, Minimum | 0.43% | 0.25% | |
Debt Instrument, Interest Rate, Effective Percentage Rate Range, Maximum | 0.43% | 6.04% | |
Successor [Member] | |||
Borrowings under Guaranteed Investment Agreements | $ 100,358 | $ 160,079 | $ 358,878 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2011 | Dec. 31, 2015 | Dec. 31, 2013 | Dec. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2010 | |
Tax Credit Carryforward [Line Items] | ||||||
Unrecognized Tax Benefits, Interest on Income Taxes Accrued | $ 0 | $ 0 | $ 0 | $ 0 | ||
Income Tax Examination, Penalties and Interest Accrued | $ 3,650,000 | |||||
NOL allocated amount | 4,298,770 | |||||
Net Operating Loss Carry Forwards Reduced For Cancellation Of Indebtedness Income And Interest Expense | $ 816,380 | |||||
Percentage Of Notional Federal Tax Liability | 25.00% | |||||
AFG [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
NOL allocated amount | 1,382,109 | |||||
Ambac [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
Bankruptcy Claims, Amount Paid to Settle Claims | 1,900 | |||||
Amount Of Loss Carry Forward Relinquish By Which Loss Carry Forward Exceed | $ 3,400,000 | |||||
Amount Of Loss Carryforward Relinquishment | $ 1,059,988 | |||||
Segregated Account [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
Bankruptcy Claims, Amount Paid to Settle Claims | $ 100,000 | |||||
U. S. Federal Net Operating Tax [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
NOL allocated amount | 4,154,786 | |||||
United States [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
NOL allocated amount | 129,048 | |||||
United Kingdom [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
NOL allocated amount | $ 14,936 | |||||
Minimum [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2029 | |||||
Maximum [Member] | ||||||
Tax Credit Carryforward [Line Items] | ||||||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2034 |
Income Taxes - Significant Port
Income Taxes - Significant Portions of Deferred Tax Liabilities and Deferred Tax Assets (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | Apr. 30, 2013 |
Deferred tax assets: | |||
AMT Credits | $ 60,000,000 | ||
Successor [Member] | |||
Deferred tax liabilities: | |||
Insurance intangible | $ 424,239,000 | $ 493,822,000 | |
Variable interest entities | 10,053,000 | 14,149,000 | |
Investments | 66,278,000 | 136,017,000 | |
Unearned premiums and credit fees | 98,945,000 | 104,589,000 | |
Other | 34,025,000 | 33,835,000 | |
Deferred Tax Liabilities, Gross, Noncurrent | 633,540,000 | 782,412,000 | |
Total deferred tax liabilities | (2,205,000) | (2,079,000) | |
Deferred tax assets: | |||
Net operating loss and capital carryforward | 1,504,569,000 | 1,890,551,000 | |
Loss reserves | 122,635,000 | 185,881,000 | |
Compensation | 2,839,000 | 2,004,000 | |
AMT Credits | 27,252,000 | 10,359,000 | |
Other | 9,913,000 | 9,539,000 | |
Sub total deferred tax assets | 1,667,208,000 | 2,098,334,000 | |
Valuation allowance | 1,035,873,000 | 1,318,001,000 | |
Total deferred tax assets | $ 631,335,000 | $ 780,333,000 |
Income Taxes Income Taxes - Pro
Income Taxes Income Taxes - Provision for Income Taxes Charged To Income From Continuing Operations (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Provision for Income Taxes [Line Items] | ||||
Current Income Tax Expense (Benefit) | $ 6,984 | $ 17,077 | $ 9,463 | |
Deferred Income Tax Expense (Benefit) | 530 | 287 | 94 | |
Income tax expense (benefit) | $ 7,514 | $ 17,364 | $ 9,557 | |
Predecessor [Member] | ||||
Provision for Income Taxes [Line Items] | ||||
Current Income Tax Expense (Benefit) | $ 761 | |||
Deferred Income Tax Expense (Benefit) | (6) | |||
Income tax expense (benefit) | $ 755 |
Income Taxes Income Taxes - Eff
Income Taxes Income Taxes - Effect of Income Taxes on Net Income and Stockholders' Equity (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Income Tax Expense (Benefit) [Roll Forward] | ||||
Income tax expense (benefit) | $ 7,514 | $ 17,364 | $ 9,557 | |
Net Unrealized Losses On Securities Tax Effect | (14,669) | (55,906) | 88,411 | |
Valuation Allowances And Reserves Charged To Equity | 4,081 | 71,774 | (73,018) | |
Unrealized Loss on FX Tax Effect | 14,953 | (15,628) | (15,108) | |
Change in Retirement Benefits Tax Effect | $ 3,797 | $ (240) | $ (285) | |
Predecessor [Member] | ||||
Income Tax Expense (Benefit) [Roll Forward] | ||||
Income tax expense (benefit) | $ 755 | |||
Net Unrealized Losses On Securities Tax Effect | (227,945) | |||
Valuation Allowances And Reserves Charged To Equity | (219,341) | |||
Unrealized Loss on FX Tax Effect | 7,010 | |||
Change in Retirement Benefits Tax Effect | $ 1,594 |
Income Taxes Income Taxes - 121
Income Taxes Income Taxes - Effective Tax Rates Differing From Prevailing Federal Corporate Income Tax Rates (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Tax on income from continuing operations at statutory rate | $ 179,311 | $ 178,521 | $ 172,639 | |
Tax on income from continuing operations at statutory rate,tax rate | 35.00% | 35.00% | 35.00% | |
Reorganization Income | $ 0 | $ 0 | $ 0 | |
Reorganization Income, tax rate | (0.00%) | (0.00%) | (0.00%) | |
Tax bankruptcy adjustments | $ 0 | $ 0 | $ 0 | |
Tax bankruptcy adjustments, tax rate | 0.00% | 0.00% | 0.00% | |
IRS settlement | $ 0 | $ 0 | $ 0 | |
IRS settlement, tax rate | 0.00% | 0.00% | 0.00% | |
Tax-exempt interest | $ (11,988) | $ (1,454) | $ (6,811) | |
Tax-exempt interest, tax rate | (2.30%) | (0.30%) | (1.40%) | |
Effective Income Tax Rate Reconciliation, Nondeductible Expense, Amortization, Amount | $ 180,079 | |||
Effective Income Tax Rate Reconciliation, Nondeductible Expense, Amortization, Percent | 35.30% | |||
Valuation allowance | $ (160,064) | $ (340,133) | $ (159,661) | |
Valuation allowance, tax rate | (31.20%) | (66.70%) | (32.40%) | |
Foreign taxes | $ 0 | $ 288 | $ 3,472 | |
Foreign taxes, tax rate | 0.00% | 0.10% | 0.70% | |
Other, net | $ 255 | $ 63 | $ (82) | |
Other, net, tax rate | 0.00% | 0.00% | 0.00% | |
Income tax expense (benefit) | $ 7,514 | $ 17,364 | $ 9,557 | |
Effective Income Tax Rate Reconciliation, Percent | 1.50% | 3.40% | 1.90% | |
Predecessor [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Tax on income from continuing operations at statutory rate | $ 1,171,812 | |||
Tax on income from continuing operations at statutory rate,tax rate | 35.00% | |||
Reorganization Income | $ (712,581) | |||
Reorganization Income, tax rate | (21.30%) | |||
Tax bankruptcy adjustments | $ 285,734 | |||
Tax bankruptcy adjustments, tax rate | 8.50% | |||
IRS settlement | $ 370,996 | |||
IRS settlement, tax rate | 11.10% | |||
Tax-exempt interest | $ (4,996) | |||
Tax-exempt interest, tax rate | (0.10%) | |||
Valuation allowance | $ (1,110,230) | |||
Valuation allowance, tax rate | (33.20%) | |||
Foreign taxes | $ 0 | |||
Foreign taxes, tax rate | 0.00% | |||
Other, net | $ 20 | |||
Other, net, tax rate | 0.00% | |||
Income tax expense (benefit) | $ 755 | |||
Effective Income Tax Rate Reconciliation, Percent | 0.00% |
Income Taxes Income Taxes - Rec
Income Taxes Income Taxes - Reconciliation of Unrecognized Tax Benefits (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Reconciliation of Unrecognized Tax Benefits [Line Items] | ||||
Unrecognized Tax Benefits, Interest on Income Taxes Accrued | $ 0 | $ 0 | $ 0 | $ 0 |
Reconciliation of Unrecognized Tax Benefits [Roll Forward] | ||||
UnrecognizedTaxBenefitsInterestOnIncomeTaxesPaid | 0 | 0 | 0 | 0 |
Successor [Member] | ||||
Reconciliation of Unrecognized Tax Benefits [Roll Forward] | ||||
Unrecognized Tax Benefits | 0 | 0 | 0 | |
Unrecognized Tax Benefits, Increase Resulting from Prior Period Tax Positions | 0 | 0 | 0 | |
Unrecognized Tax Benefits, Decrease Resulting from Prior Period Tax Positions | 0 | 0 | 0 | |
Unrecognized Tax Benefits | 0 | 0 | $ 0 | $ 0 |
Predecessor [Member] | ||||
Reconciliation of Unrecognized Tax Benefits [Roll Forward] | ||||
Unrecognized Tax Benefits | 96,900 | $ 0 | ||
Unrecognized Tax Benefits, Increase Resulting from Prior Period Tax Positions | 0 | |||
Unrecognized Tax Benefits, Decrease Resulting from Prior Period Tax Positions | (96,900) | |||
Unrecognized Tax Benefits | $ 0 |
Income Taxes Income Taxes - NOL
Income Taxes Income Taxes - NOL Usage Table (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Apr. 30, 2013 | Dec. 31, 2010 | |
Net Income Loss Reconciliation [Line Items] | |||
TierABCCredit | $ 5,000 | ||
TierACreditUsage | 10,000 | ||
NOL allocated amount | 4,298,770 | ||
Tolling Payment Payable to AFG | $ 70,911 | ||
Tier C Tolling Payment Payable to IRS | 12.50% | ||
Tier D Tolling Payments Payable to IRS | 17.50% | ||
Ambac Assurance [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
AACNetTaxableIncome | $ 877,313 | ||
AACNetTaxableIncomeFromTierA | 479,000 | ||
AACNetTaxableIncomeFromTierB | 398,313 | ||
Ambac [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
Bankruptcy Claims, Amount Paid to Settle Claims | $ 1,900 | ||
Amount Of Loss Carry Forward Relinquish By Which Loss Carry Forward Exceed | $ 3,400,000 | ||
Segregated Account [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
Bankruptcy Claims, Amount Paid to Settle Claims | $ 100,000 | ||
Tier A [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | $ 479,000 | ||
NOL applicable percentage | 15.00% | ||
Tier B [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | $ 1,057,000 | ||
NOL applicable percentage | 40.00% | ||
Tier C [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | $ 1,057,000 | ||
NOL applicable percentage | 10.00% | ||
Tier D [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | $ 1,057,000 | ||
NOL applicable percentage | 15.00% |
Employment Benefit Plans Postre
Employment Benefit Plans Postretirement Health Care and Other Benefits (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Unfunded Accumulated Postretirement Benefit Obligations Determined By Company | $ 10,427 | |||
Defined Benefit Plan, Effect of One Percentage Point Increase on Accumulated Postretirement Benefit Obligation | 1,695 | |||
Defined Benefit Plan, Effect of One Percentage Point Increase on Service and Interest Cost Components | 169 | |||
Defined Benefit Plan, Effect of One Percentage Point Decrease on Accumulated Postretirement Benefit Obligation | 1,328 | |||
Defined Benefit Plan, Effect of One Percentage Point Decrease on Service and Interest Cost Components | $ 129 | |||
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Discount Rate | 4.25% | 4.00% | ||
Defined Benefit Plan, Expected Future Benefit Payments, Next Twelve Months | $ 312 | |||
Defined Benefit Plan, Expected Future Benefit Payments, Year Two | 319 | |||
Defined Benefit Plan, Expected Future Benefit Payments, Year Three | 338 | |||
Defined Benefit Plan, Expected Future Benefit Payments, Year Four | 358 | |||
Defined Benefit Plan, Expected Future Benefit Payments, Year Five | 368 | |||
Defined Benefit Plan, Expected Future Benefit Payments, Five Fiscal Years Thereafter | 2,276 | |||
Defined Benefit Plan, Benefit Obligation | $ 3,971 | |||
Maximum [Member] | ||||
Defined Benefit Plan, Health Care Cost Trend Rate Assumed for Next Fiscal Year | 6.00% | |||
Minimum [Member] | ||||
Defined Benefit Plan, Health Care Cost Trend Rate Assumed for Next Fiscal Year | 4.50% | |||
Successor [Member] | ||||
Postemployment Benefits, Period Expense | $ 2,101 | $ 2,570 | $ 2,249 | |
Predecessor [Member] | ||||
Postemployment Benefits, Period Expense | $ 1,344 |
Employment Benefit Plans Saving
Employment Benefit Plans Savings Plan (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Minimum [Member] | ||||
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay | 100.00% | |||
Defined Contribution Plan, Maximum Annual Contributions Per Employee, Percent | 3.00% | |||
Maximum [Member] | ||||
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay | 50.00% | |||
Defined Contribution Plan, Maximum Annual Contributions Per Employee, Percent | 2.00% | |||
Successor [Member] | ||||
Defined Contribution Plan, Cost Recognized | $ 683 | $ 1,042 | $ 1,056 | |
Predecessor [Member] | ||||
Defined Contribution Plan, Cost Recognized | $ 447 |
Employment Benefit Plans Stock
Employment Benefit Plans Stock Compensation (Details) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Share-based compensation expense [Abstract] | |||||
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 | 3,356,429 | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Other Labor-related Expenses | $ 892 | $ 190 | |||
Predecessor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ (60) | ||||
Stock Based Compensation | 0 | ||||
StockBasedCompensationNetofTax | 0 | ||||
Successor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ 1,106 | $ 1,106 | 3,105 | 3,450 | |
Total stock-based compensation (after-tax) | 1,106 | 3,105 | 3,450 | ||
Employee Stock Option [Member] | Predecessor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | 0 | ||||
Employee Stock Option [Member] | Successor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | 56 | 956 | 444 | ||
Restricted Stock Units (RSUs) [Member] | Predecessor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | 0 | ||||
Restricted Stock Units (RSUs) [Member] | Successor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | 1,050 | 1,257 | 2,816 | ||
Performance Shares [Member] | Predecessor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ 0 | ||||
Performance Shares [Member] | Successor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Allocated Share-based Compensation Expense | $ 0 | 892 | $ 190 | ||
Ambac UK [Member] | Performance Shares [Member] | Successor [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Other Labor-related Expenses | $ 253 |
Employment Benefit Plans Sto127
Employment Benefit Plans Stock Options (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2013 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 5 years 9 months 7 days | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Weighted Average Remaining Contractual Term | 4 years 11 months 23 days | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Stock Options | $ 0 | ||
Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number | 176,668 | 66,668 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Net of Forfeitures | 110,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Forfeitures and Expirations in Period | 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price | $ 23.07 | $ 20.63 | |
Share-based Compensation Arrangements by Share-based Payment Award, Options, Grants in Period, Weighted Average Exercise Price | 24.55 | ||
Share-based Compensation Arrangements by Share-based Payment Award, Options, Exercises in Period, Weighted Average Exercise Price | 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Forfeitures and Expirations in Period, Weighted Average Exercise Price | $ 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Intrinsic Value | $ 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number | 66,668 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Weighted Average Exercise Price | $ 20.63 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Intrinsic Value | $ 0 | ||
Employee Stock Option [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions and Methodology [Abstract] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Risk Free Interest Rate | 1.283% | 0.963% | |
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Volatility Rate | 42.80% | 50.20% | |
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Dividend Rate | 0.00% | 0.00% | |
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Term | 4 years 1 month 17 days | 3 years 3 months 29 days | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Nonvested, Weighted Average Grant Date Fair Value | $ 8.69 | $ 7.50 |
Employment Benefit Plans Restri
Employment Benefit Plans Restricted Stock Units (Details) - USD ($) | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share Based Compensation Arrangement By Share Based Payment Award Equity Instruments Restricted Stock Units Vested Number | 130,042 | 152,664 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 33,136 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 78,460 | 33,136 | |||
Restricted Stock Units (RSUs) [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | $ 957,000 | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 5 months | ||||
Predecessor [Member] | Restricted Stock Units (RSUs) [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ 0 | ||||
Successor [Member] | Restricted Stock Units (RSUs) [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Payments Related to Tax Withholding for Share-based Compensation | $ 24,268 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 185,800 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 79,281 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 56,579 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | 0 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 208,502 | 185,800 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 22.33 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | 23.71 | $ 30.18 | $ 20.63 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | 20.63 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | 0 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 23.32 | $ 22.33 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ 19,000 | $ 864,000 | $ 37,000 |
Employment Benefit Plans Perfor
Employment Benefit Plans Performance Units (Details) $ / shares in Units, $ in Thousands | 12 Months Ended |
Dec. 31, 2015USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
PSUUnrecognizedCompensationYearstoGo | 2 years 1 month 11 days |
PerformanceStockUnitsUnrecognizedCompensationExpense | $ | $ 2,382 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 33,136 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 78,460 |
Performance Shares [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 3 years |
PerformanceAwardsSettlementPeriod | 60 days |
Target Units | 100.00% |
Performance Shares [Member] | Minimum [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Performance Award Payout | 0.00% |
Performance Shares [Member] | Maximum [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Performance Award Payout | 200.00% |
Successor [Member] | Performance Shares [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 35,412 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 107,852 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 0 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (12,719) |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 130,545 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ / shares | $ 29.78 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ / shares | 24.62 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ / shares | 0 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ / shares | 25.78 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ / shares | $ 25.91 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Detail) | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013USD ($) | Dec. 31, 2013USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Loss Contingencies [Line Items] | ||||
Number of RMBS Trustees Filing Suit | 3 | |||
Number of Cash Claim Payments by Ambac Assurance | 2 | |||
Gain (Loss) Related to Litigation Settlement | $ 7,760,000 | |||
Ambac [Member] | ||||
Loss Contingencies [Line Items] | ||||
Premium Income Due From Summary Judgment | 2,700 | |||
Ambac Assurance [Member] | ||||
Loss Contingencies [Line Items] | ||||
Loss Contingency, Damages Sought, Value | 800,000 | |||
Litigation settlement amount | 7,760,000 | |||
Successor [Member] | ||||
Loss Contingencies [Line Items] | ||||
Operating Leases, Rent Expense | $ 3,422,000 | 5,746,000 | $ 5,588,000 | |
Operating Leases, Future Minimum Payments Due, Next Twelve Months | 6,529,000 | |||
Operating Leases, Future Minimum Payments, Due in Two Years | 6,944,000 | |||
Operating Leases, Future Minimum Payments, Due in Three Years | 6,964,000 | |||
Operating Leases, Future Minimum Payments, Due in Four Years | 5,691,000 | |||
Operating Leases, Future Minimum Payments, Due in Five Years | 1,935,000 | |||
Operating Leases, Future Minimum Payments, Due Thereafter | 15,613,000 | |||
Operating Leases, Future Minimum Payments Due | $ 43,676,000 | |||
Predecessor [Member] | ||||
Loss Contingencies [Line Items] | ||||
Operating Leases, Rent Expense | $ 1,871,000 | |||
Contra Costa Complaint [Member] | ||||
Loss Contingencies [Line Items] | ||||
Number of California Municipal Entities | 5 | |||
Alameda Complaint [Member] | ||||
Loss Contingencies [Line Items] | ||||
Number of California Municipal Entities | 19 | |||
Olympic Club Complaint [Member] | ||||
Loss Contingencies [Line Items] | ||||
Number of Olympic Club Actions | 3 |
Segment Information - Additiona
Segment Information - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2015Segment | |
Segment Reporting [Abstract] | |
Number of reportable segments | 2 |
Segment Information - Summary o
Segment Information - Summary of Financial Information by Reportable Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Pre-tax income (loss) from continuing operations: | ||||||||||||
Total assets | $ 28,853,435 | |||||||||||
Goodwill, Impairment Loss | $ 514,511 | |||||||||||
Successor [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | $ 581,048 | $ 644,658 | $ 328,670 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | $ 395,576 | (388,193) | $ 286,095 | $ 216,580 | $ 459,594 | $ 84,773 | $ (210,412) | $ 159,298 | 512,316 | 510,058 | 493,253 | |
Total assets | 23,728,070 | 25,159,864 | 28,853,435 | 27,092,477 | 23,728,070 | 25,159,864 | ||||||
Net investment income | 64,358 | 64,195 | 64,753 | 72,983 | 66,471 | 83,581 | 80,093 | 70,801 | 146,446 | 266,289 | 300,946 | |
Amortization of insurance intangible assets | 54,357 | 39,680 | 38,088 | 37,432 | 41,952 | 41,908 | 36,256 | 31,714 | 99,658 | 169,557 | 151,830 | |
Interest expense | 30,557 | 29,899 | 28,173 | 27,908 | 31,354 | 31,841 | 31,953 | 32,328 | 84,950 | 116,537 | 127,476 | |
Goodwill, Impairment Loss | 514,511 | 0 | ||||||||||
Reorganization items | 0 | $ 0 | $ 0 | $ 0 | 0 | $ 2 | $ 186 | $ 23 | 493 | 0 | 211 | |
Successor [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 581,048 | 640,322 | 327,275 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 512,316 | 505,722 | 491,858 | |||||||||
Successor [Member] | Equity Method Investee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 4,336 | 1,395 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 4,336 | 1,395 | ||||||||||
Successor [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | 0 | 0 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | 0 | |||||||||
Successor [Member] | Financial Guarantee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 466,538 | 680,011 | 507,802 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 184,786 | 557,588 | 659,307 | |||||||||
Total assets | 23,108,387 | 24,448,346 | 26,590,873 | 23,108,387 | 24,448,346 | |||||||
Net investment income | 145,269 | 256,636 | 298,020 | |||||||||
Amortization of insurance intangible assets | 99,658 | 169,557 | 151,830 | |||||||||
Interest expense | 83,595 | 115,630 | 125,892 | |||||||||
Goodwill, Impairment Loss | 514,511 | |||||||||||
Reorganization items | 0 | 0 | 0 | |||||||||
Successor [Member] | Financial Guarantee [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 464,701 | 679,662 | 506,559 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 405,004 | 560,332 | 684,750 | |||||||||
Successor [Member] | Financial Guarantee [Member] | Equity Method Investee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | 0 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | ||||||||||
Successor [Member] | Financial Guarantee [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 1,837 | 349 | 1,243 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | (220,218) | (2,744) | (25,443) | |||||||||
Successor [Member] | Financial Services [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 114,967 | (44,852) | (180,888) | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 111,703 | (48,252) | (184,486) | |||||||||
Total assets | 348,130 | 412,510 | 448,473 | 348,130 | 412,510 | |||||||
Net investment income | 1,115 | 548 | 1,123 | |||||||||
Interest expense | 1,355 | 907 | 1,584 | |||||||||
Goodwill, Impairment Loss | 0 | |||||||||||
Reorganization items | 0 | 0 | 0 | |||||||||
Successor [Member] | Financial Services [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 116,177 | (44,003) | (179,691) | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 113,347 | (46,869) | (182,941) | |||||||||
Successor [Member] | Financial Services [Member] | Equity Method Investee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | 0 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | ||||||||||
Successor [Member] | Financial Services [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (1,210) | (849) | (1,197) | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | (1,644) | (1,383) | (1,545) | |||||||||
Successor [Member] | Corporate and Other [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 219,351 | 9,644 | 25,101 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 215,827 | 722 | 18,432 | |||||||||
Total assets | 268,388 | 284,278 | 53,908 | 268,388 | 284,278 | |||||||
Net investment income | 62 | 9,105 | 1,803 | |||||||||
Interest expense | 0 | 0 | 0 | |||||||||
Goodwill, Impairment Loss | 0 | |||||||||||
Reorganization items | 493 | 0 | 211 | |||||||||
Successor [Member] | Corporate and Other [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 170 | 4,663 | 407 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | (6,035) | (7,741) | (9,951) | |||||||||
Successor [Member] | Corporate and Other [Member] | Equity Method Investee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 4,336 | 1,395 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 4,336 | 1,395 | ||||||||||
Successor [Member] | Corporate and Other [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 219,181 | 645 | 23,299 | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 221,862 | 4,127 | 26,988 | |||||||||
Predecessor [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 640,388 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 3,348,033 | |||||||||||
Total assets | 28,853,435 | |||||||||||
Net investment income | 116,740 | |||||||||||
Amortization of insurance intangible assets | 0 | |||||||||||
Interest expense | 31,025 | |||||||||||
Reorganization items | (2,745,180) | |||||||||||
Predecessor [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 640,388 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 3,348,033 | |||||||||||
Predecessor [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | |||||||||||
Predecessor [Member] | Financial Guarantee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 633,950 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 1,831,105 | |||||||||||
Total assets | 28,302,214 | |||||||||||
Net investment income | 115,129 | |||||||||||
Interest expense | 29,718 | |||||||||||
Reorganization items | (1,231,550) | |||||||||||
Predecessor [Member] | Financial Guarantee [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 633,010 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 1,831,237 | |||||||||||
Predecessor [Member] | Financial Guarantee [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 940 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | (132) | |||||||||||
Predecessor [Member] | Financial Services [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 6,457 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 2,293 | |||||||||||
Total assets | 512,021 | |||||||||||
Net investment income | 1,572 | |||||||||||
Interest expense | 1,307 | |||||||||||
Reorganization items | 1,505 | |||||||||||
Predecessor [Member] | Financial Services [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 7,339 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 3,394 | |||||||||||
Predecessor [Member] | Financial Services [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (882) | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | (1,101) | |||||||||||
Predecessor [Member] | Corporate and Other [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 39 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 1,514,635 | |||||||||||
Total assets | 31,070 | |||||||||||
Net investment income | 39 | |||||||||||
Interest expense | 0 | |||||||||||
Reorganization items | (1,515,135) | |||||||||||
Predecessor [Member] | Corporate and Other [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 39 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 1,513,402 | |||||||||||
Predecessor [Member] | Corporate and Other [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 1,233 | |||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (219,808) | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | |||||||||||
Total assets | (777) | |||||||||||
Net investment income | 0 | |||||||||||
Interest expense | 0 | |||||||||||
Reorganization items | 0 | |||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | |||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (219,808) | (145) | (23,345) | |||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | $ 0 | |||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Inter-segment Eliminations [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (145) | (23,345) | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | ||||||||||
Total assets | $ 3,165 | $ 14,730 | 3,165 | 14,730 | ||||||||
Net investment income | 0 | 0 | ||||||||||
Interest expense | 0 | 0 | ||||||||||
Goodwill, Impairment Loss | 0 | |||||||||||
Reorganization items | 0 | 0 | ||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Inter-segment Eliminations [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | 0 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | ||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Inter-segment Eliminations [Member] | Equity Method Investee [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | 0 | ||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | 0 | ||||||||||
Inter-segment Eliminations [Member] | Successor [Member] | Inter-segment Eliminations [Member] | Intersegment [Member] | ||||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | $ 0 | $ 0 | ||||||||||
Inter-segment Eliminations [Member] | Predecessor [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (58) | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | |||||||||||
Total assets | 8,130 | |||||||||||
Net investment income | 0 | |||||||||||
Interest expense | 0 | |||||||||||
Reorganization items | 0 | |||||||||||
Inter-segment Eliminations [Member] | Predecessor [Member] | Unaffiliated Customers [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | 0 | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | 0 | |||||||||||
Inter-segment Eliminations [Member] | Predecessor [Member] | Intersegment [Member] | ||||||||||||
Revenues: | ||||||||||||
Total revenues before expenses and reorganization items | (58) | |||||||||||
Pre-tax income (loss) from continuing operations: | ||||||||||||
Pre-tax (loss) income from continuing operations | $ 0 |
Segment Information - Schedule
Segment Information - Schedule of Gross Premiums Written, Net Premiums Earned and Net Change in Fair Value of Credit Derivatives (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | $ (18,732) | $ (8,710) | $ (11,192) | $ 1,062 | $ (223,358) | $ (13,700) | $ (45,486) | $ (5,766) | $ (80,309) | $ (37,572) | $ (288,310) | |
Net premiums earned | 114,463 | 71,535 | 60,879 | 65,718 | 33,969 | 64,831 | 65,013 | 82,547 | 213,518 | 312,595 | 246,360 | |
Net Change In Fair Value Of Credit Derivatives | $ (3,045) | $ 36,952 | $ 10,293 | $ (2,499) | $ 10,327 | $ 7,416 | $ (1,219) | $ 7,382 | 192,869 | 41,701 | 23,906 | |
Successor [Member] | Reportable Geographical Components [Member] | United States [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | (61,255) | (13,028) | (46,279) | |||||||||
Net premiums earned | 165,099 | 229,658 | 197,154 | |||||||||
Net Change In Fair Value Of Credit Derivatives | 122,696 | 39,633 | 8,669 | |||||||||
Successor [Member] | Reportable Geographical Components [Member] | United Kingdom [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | (7,368) | 3,652 | (221,516) | |||||||||
Net premiums earned | 35,387 | 68,799 | 31,672 | |||||||||
Net Change In Fair Value Of Credit Derivatives | 22,548 | 0 | 0 | |||||||||
Successor [Member] | Reportable Geographical Components [Member] | Other International [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | (11,686) | (28,196) | (20,515) | |||||||||
Net premiums earned | 13,032 | 14,138 | 17,534 | |||||||||
Net Change In Fair Value Of Credit Derivatives | $ 47,625 | $ 2,068 | $ 15,237 | |||||||||
Predecessor [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | $ (14,125) | |||||||||||
Net premiums earned | 130,000 | |||||||||||
Net Change In Fair Value Of Credit Derivatives | (60,384) | |||||||||||
Predecessor [Member] | Reportable Geographical Components [Member] | United States [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | (16,102) | |||||||||||
Net premiums earned | 104,594 | |||||||||||
Net Change In Fair Value Of Credit Derivatives | (31,134) | |||||||||||
Predecessor [Member] | Reportable Geographical Components [Member] | United Kingdom [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | 10,673 | |||||||||||
Net premiums earned | 18,071 | |||||||||||
Net Change In Fair Value Of Credit Derivatives | (5,861) | |||||||||||
Predecessor [Member] | Reportable Geographical Components [Member] | Other International [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Gross Premiums Written | (8,696) | |||||||||||
Net premiums earned | 7,335 | |||||||||||
Net Change In Fair Value Of Credit Derivatives | $ (23,389) |
Quarterly Information (unaud134
Quarterly Information (unaudited) Quarterly Information (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Goodwill, Impairment Loss | $ 514,511 | |||||||||||
Successor [Member] | ||||||||||||
Gross Premiums Written | $ (18,732) | (8,710) | $ (11,192) | $ 1,062 | $ (223,358) | $ (13,700) | $ (45,486) | $ (5,766) | $ (80,309) | $ (37,572) | $ (288,310) | |
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 114,463 | 71,535 | 60,879 | 65,718 | 33,969 | 64,831 | 65,013 | 82,547 | 213,518 | 312,595 | 246,360 | |
Net Investment Income | 64,358 | 64,195 | 64,753 | 72,983 | 66,471 | 83,581 | 80,093 | 70,801 | 146,446 | 266,289 | 300,946 | |
Net Other Than Temporary Impairment Losses Recognized In Earnings | (12,370) | (9,150) | (1,020) | (3,119) | (1,637) | (5,011) | (8,754) | (10,392) | ||||
Net realized investment gains | 2,622 | 2,106 | (5,353) | 54,101 | 29,376 | 10,045 | 3,067 | 16,289 | 4,467 | 53,476 | 58,777 | |
Gain (Loss) on Derivative Instruments, Net, Pretax | (3,045) | 36,952 | 10,293 | (2,499) | 10,327 | 7,416 | (1,219) | 7,382 | 192,869 | 41,701 | 23,906 | |
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net | 9,314 | (65,083) | 50,999 | (37,774) | (63,576) | (15,685) | (47,985) | (53,841) | 114,771 | (42,544) | (181,087) | |
Net realized gains (losses) on extinguishment of debt | 0 | 1,420 | (1,246) | (93) | (74,724) | 0 | 0 | 0 | 0 | 81 | (74,724) | |
Variable Interest Entity, Measure of Activity, Operating Income or Loss | (6,561) | (21,435) | 52,603 | 6,962 | 2,362 | 9,116 | (38,148) | (5,542) | (48,623) | 31,569 | (32,212) | |
Policyholder Benefits and Claims Incurred, Net, Financial Guarantee | (337,065) | (133,213) | (147,477) | (150,952) | (552,182) | (28,698) | 175,317 | (140,011) | (185,138) | (768,707) | (545,574) | |
Amortization of insurance intangible assets | 54,357 | 39,680 | 38,088 | 37,432 | 41,952 | 41,908 | 36,256 | 31,714 | 99,658 | 169,557 | 151,830 | |
Other Underwriting Expense | 27,300 | 25,006 | 25,873 | 24,523 | 26,142 | 25,513 | 24,033 | 25,786 | 68,769 | 102,702 | 101,474 | |
Interest Expense, Debt | 30,557 | 29,899 | 28,173 | 27,908 | 31,354 | 31,841 | 31,953 | 32,328 | 84,950 | 116,537 | 127,476 | |
Goodwill, Impairment Loss | 514,511 | 0 | ||||||||||
Reorganization items | 0 | 0 | 0 | 0 | 0 | 2 | 186 | 23 | 493 | 0 | 211 | |
Pre-tax (loss) income from continuing operations | 395,576 | (388,193) | 286,095 | 216,580 | 459,594 | 84,773 | (210,412) | 159,298 | 512,316 | 510,058 | 493,253 | |
Net Income (Loss) Attributable to Parent | $ 386,984 | $ (390,987) | $ 282,695 | $ 214,711 | $ 453,584 | $ 82,450 | $ (207,905) | $ 155,942 | $ 505,219 | $ 493,403 | $ 484,071 | |
Earnings Per Share, Basic | $ 8.57 | $ (8.66) | $ 6.26 | $ 4.75 | $ 10.05 | $ 1.83 | $ (4.61) | $ 3.46 | $ 11.23 | $ 10.92 | $ 10.73 | |
Earnings Per Share, Diluted | $ 8.56 | $ (8.66) | $ 6.05 | $ 4.57 | $ 9.73 | $ 1.77 | $ (4.61) | $ 3.31 | $ 10.91 | $ 10.72 | $ 10.31 | |
Predecessor [Member] | ||||||||||||
Gross Premiums Written | $ (14,125) | |||||||||||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 130,000 | |||||||||||
Net Investment Income | 116,740 | |||||||||||
Net realized investment gains | 53,305 | |||||||||||
Gain (Loss) on Derivative Instruments, Net, Pretax | (60,384) | |||||||||||
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net | (33,735) | |||||||||||
Net realized gains (losses) on extinguishment of debt | 0 | |||||||||||
Variable Interest Entity, Measure of Activity, Operating Income or Loss | 426,566 | |||||||||||
Policyholder Benefits and Claims Incurred, Net, Financial Guarantee | (38,056) | |||||||||||
Amortization of insurance intangible assets | 0 | |||||||||||
Other Underwriting Expense | 44,566 | |||||||||||
Interest Expense, Debt | 31,025 | |||||||||||
Reorganization items | (2,745,180) | |||||||||||
Pre-tax (loss) income from continuing operations | 3,348,033 | |||||||||||
Net Income (Loss) Attributable to Parent | $ 3,349,049 | |||||||||||
Earnings Per Share, Basic | $ 11.07 | |||||||||||
Earnings Per Share, Diluted | $ 11.07 |
Schedule I - Summary Of Inve135
Schedule I - Summary Of Investments (Details) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Apr. 30, 2013 |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Summary of Investments, Other than Investments in Related Parties, Cost | $ 5,567,562 | ||
Investments | 5,644,720 | $ 5,507,034 | $ 6,457,264 |
Available-for-sale Securities, Amortized Cost Basis | 5,283,157 | 4,939,325 | |
Available-for-sale Securities | 5,334,120 | 5,150,018 | |
Other Investments and Securities, at Cost | 284,405 | ||
Other investments | 310,600 | 357,016 | |
U S Government Obligations [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities | 91,242 | ||
U.S. Government Obligations [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Summary of Investments, Other than Investments in Related Parties, Cost | 90,698 | ||
Residential Mortgage-Backed Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 1,942,285 | ||
Available-for-sale Securities | 1,977,338 | ||
Collateralized Debt Obligations [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 85,706 | ||
Available-for-sale Securities | 84,267 | ||
Asset-backed Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 802,842 | ||
Available-for-sale Securities | 840,527 | ||
Corporate Debt Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities | 2,588,556 | 2,743,050 | |
Short-term Investments [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 225,789 | 360,069 | |
Available-for-sale Securities | 225,789 | 360,065 | |
Fixed Income Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 4,992,756 | 4,514,878 | |
Available-for-sale Securities | 5,043,776 | 4,725,686 | |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 4,239 | 29,524 | |
Available-for-sale Securities | 4,212 | 29,486 | |
Fixed Income Securities [Member] | Municipal Bonds [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 424,048 | 523,019 | |
Available-for-sale Securities | 420,770 | 525,792 | |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 1,942,285 | 1,557,059 | |
Available-for-sale Securities | 1,977,338 | 1,710,955 | |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 85,706 | 21,346 | |
Available-for-sale Securities | 84,267 | 21,122 | |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 802,842 | 833,366 | |
Available-for-sale Securities | 840,527 | 882,001 | |
Fixed Income Securities [Member] | Corporate Debt Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 1,610,912 | 1,382,195 | |
Available-for-sale Securities | 1,593,669 | 1,385,594 | |
Fixed Income Securities [Member] | Foreign Government Debt Securities [Member] | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Available-for-sale Securities, Amortized Cost Basis | 96,638 | 126,041 | |
Available-for-sale Securities | $ 96,306 | $ 127,757 |
Schedule II - Condensed Fina136
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Balance Sheet (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | Apr. 30, 2013 | |
Condensed Balance Sheet Statements, Captions [Line Items] | |||||
Tolling Payment Payable to AFG | $ 70,911 | ||||
Assets: | |||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | $ 350,000 | |||
Total assets | 28,853,435 | ||||
Liabilities: | |||||
Total liabilities | 28,393,020 | ||||
Stockholders' equity (deficit): | |||||
Common stock | 450 | ||||
Additional paid-in capital | 184,550 | ||||
Successor [Member] | |||||
Assets: | |||||
Available-for-sale Securities, Debt Securities | 5,043,776 | $ 4,725,686 | |||
Other investments | 310,600 | 357,016 | |||
Total investments | 5,644,720 | 5,507,034 | 6,457,264 | ||
Cash | 152,951 | ||||
Investment income due and accrued | 25,264 | 25,015 | 37,961 | ||
Other assets | 185,877 | 186,985 | 54,821 | ||
Total assets | 23,728,070 | 25,159,864 | $ 27,092,477 | 28,853,435 | |
Liabilities: | |||||
Current taxes | 5,835 | 5,701 | 0 | ||
Total liabilities | 21,769,724 | 23,486,129 | 28,393,020 | ||
Stockholders' equity (deficit): | |||||
Preferred stock | 0 | 0 | 0 | ||
Common stock | 450 | 450 | 450 | ||
Additional paid-in capital | 190,813 | 189,138 | |||
Accumulated other comprehensive income | 15,215 | 220,283 | $ 11,661 | 0 | |
Retained earnings (accumulated deficit) | 1,478,439 | 989,290 | 0 | ||
Common stock held in treasury at cost | (118) | (56) | 0 | ||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,684,799 | 1,399,105 | 185,000 | ||
Total liabilities and stockholders’ equity | 23,728,070 | 25,159,864 | 28,853,435 | ||
Predecessor [Member] | |||||
Assets: | |||||
Total investments | 6,457,264 | ||||
Cash | 254,851 | ||||
Investment income due and accrued | 37,961 | ||||
Other assets | 54,821 | ||||
Total assets | 28,853,435 | ||||
Liabilities: | |||||
Current taxes | 97,490 | ||||
Total liabilities | 29,444,265 | ||||
Stockholders' equity (deficit): | |||||
Preferred stock | 0 | ||||
Accumulated other comprehensive income | 800,260 | ||||
Retained earnings (accumulated deficit) | (5,697,961) | ||||
Common stock held in treasury at cost | $ 410,695 | ||||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | |||||
Assets: | |||||
Available-for-sale Securities, Debt Securities | 187,979 | 234,310 | |||
Short-term investments, at cost (approximates fair value) | 48,079 | 22,936 | |||
Other investments | 25,339 | 21,003 | |||
Total investments | 261,397 | 278,249 | |||
Cash | 25 | 141 | |||
Investment in subsidiaries | 1,349,483 | 1,116,044 | |||
Investment income due and accrued | 123 | 54 | |||
Related Party Tax Expense, Due from Affiliates, Current | 70,848 | ||||
Other assets | 4,778 | 5,770 | |||
Total assets | 1,686,654 | 1,400,258 | |||
Liabilities: | |||||
Current taxes | 0 | 221 | |||
Accounts payable and other liabilities | 1,855 | 932 | |||
Total liabilities | 1,855 | 1,153 | |||
Stockholders' equity (deficit): | |||||
Preferred stock | 0 | 0 | |||
Common stock | 450 | 450 | |||
Additional paid-in capital | 190,813 | 189,138 | |||
Accumulated other comprehensive income | 15,215 | 220,283 | |||
Retained earnings (accumulated deficit) | 1,478,439 | 989,290 | |||
Common stock held in treasury at cost | (118) | (56) | |||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,684,799 | 1,399,105 | |||
Total liabilities and stockholders’ equity | $ 1,686,654 | $ 1,400,258 |
Schedule II - Condensed Fina137
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statement of Total Comprehensive Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||||||||||
Revenues: | ||||||||||||
Other income | $ 4,364 | $ 7,150 | $ 12,498 | |||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (46,764) | (25,659) | (25,794) | |||||||||
Net realized investment gains | (4,467) | (53,476) | (58,777) | |||||||||
Total revenues before expenses and reorganization items | 581,048 | 644,658 | 328,670 | |||||||||
Expenses: | ||||||||||||
Reorganization items | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 2 | $ 186 | $ 23 | 493 | 0 | 211 | |
Income (loss) before income taxes and equity in undistributed net loss of subsidiaries | $ 395,576 | $ (388,193) | $ 286,095 | $ 216,580 | $ 459,594 | $ 84,773 | $ (210,412) | $ 159,298 | 512,316 | 510,058 | 493,253 | |
Income tax expense (benefit) | (7,514) | (17,364) | (9,557) | |||||||||
Net income (loss) | 504,802 | 492,694 | 483,696 | |||||||||
Other comprehensive income, after tax: | ||||||||||||
Net income (loss) | 504,802 | 492,694 | 483,696 | |||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (41,910) | (159,730) | 252,603 | |||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 43,165 | (45,025) | (43,599) | |||||||||
Total other comprehensive income | 12,102 | (205,442) | 208,188 | |||||||||
Total comprehensive income attributable to Ambac Financial Group, Inc. | 516,880 | 288,335 | 692,693 | |||||||||
Predecessor [Member] | ||||||||||||
Revenues: | ||||||||||||
Other income | $ 8,363 | |||||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (467) | |||||||||||
Net realized investment gains | (53,305) | |||||||||||
Total revenues before expenses and reorganization items | 640,388 | |||||||||||
Expenses: | ||||||||||||
Reorganization items | (2,745,180) | |||||||||||
Income (loss) before income taxes and equity in undistributed net loss of subsidiaries | 3,348,033 | |||||||||||
Income tax expense (benefit) | (755) | |||||||||||
Net income (loss) | 3,347,278 | |||||||||||
Other comprehensive income, after tax: | ||||||||||||
Net income (loss) | 3,347,278 | |||||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | 175,347 | |||||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | (428) | |||||||||||
Total other comprehensive income | 175,104 | |||||||||||
Total comprehensive income attributable to Ambac Financial Group, Inc. | 3,523,924 | |||||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | ||||||||||||
Revenues: | ||||||||||||
Interest income | 22,227 | 9,826 | 25,147 | |||||||||
Other income | 197,122 | 0 | 0 | |||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (155) | |||||||||||
Net realized investment gains | (2) | 27 | 46 | |||||||||
Total revenues before expenses and reorganization items | 219,351 | 9,644 | 25,101 | |||||||||
Expenses: | ||||||||||||
Operating expenses | 3,018 | 8,922 | 6,458 | |||||||||
Total expenses | 3,018 | 8,922 | 6,458 | |||||||||
Income (loss) before income taxes, reorganization costs and equity in undistributed net loss of subsidiaries | 216,333 | 722 | 18,643 | |||||||||
Reorganization items | 493 | 0 | 211 | |||||||||
Income (loss) before income taxes and equity in undistributed net loss of subsidiaries | 215,840 | 722 | 18,432 | |||||||||
Income tax expense (benefit) | 0 | 70,811 | (221) | |||||||||
Income before equity in undistributed net income of subsidiaries | 215,840 | 71,533 | 18,211 | |||||||||
Equity in undistributed net income (loss) of subsidiaries | 289,379 | 421,870 | 465,860 | |||||||||
Net income (loss) | 505,219 | 493,403 | 484,071 | |||||||||
Other comprehensive income, after tax: | ||||||||||||
Net income (loss) | 505,219 | 493,403 | 484,071 | |||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (41,910) | (159,730) | 252,603 | |||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 42,724 | (44,651) | (43,165) | |||||||||
Changes to postretirement benefit, net of tax | 10,847 | (687) | (816) | |||||||||
Total other comprehensive income | 11,661 | (205,068) | 208,622 | |||||||||
Total comprehensive income attributable to Ambac Financial Group, Inc. | $ 516,880 | $ 288,335 | $ 692,693 | |||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Predecessor [Member] | ||||||||||||
Revenues: | ||||||||||||
Interest income | 39 | |||||||||||
Other income | 0 | |||||||||||
Net realized investment gains | 0 | |||||||||||
Total revenues before expenses and reorganization items | 39 | |||||||||||
Expenses: | ||||||||||||
Operating expenses | 539 | |||||||||||
Total expenses | 539 | |||||||||||
Income (loss) before income taxes, reorganization costs and equity in undistributed net loss of subsidiaries | (500) | |||||||||||
Reorganization items | (2,745,180) | |||||||||||
Income (loss) before income taxes and equity in undistributed net loss of subsidiaries | 2,744,680 | |||||||||||
Income tax expense (benefit) | 703 | |||||||||||
Income before equity in undistributed net income of subsidiaries | 2,745,383 | |||||||||||
Equity in undistributed net income (loss) of subsidiaries | 603,666 | |||||||||||
Net income (loss) | 3,349,049 | |||||||||||
Other comprehensive income, after tax: | ||||||||||||
Net income (loss) | 3,349,049 | |||||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | 175,347 | |||||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | (657) | |||||||||||
Changes to postretirement benefit, net of tax | 185 | |||||||||||
Total other comprehensive income | 174,875 | |||||||||||
Total comprehensive income attributable to Ambac Financial Group, Inc. | $ 3,523,924 |
Schedule II - Condensed Fina138
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statements of Stockholders' Equity (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | May. 01, 2013 | |
Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | $ 460,415 | $ 460,415 | $ 1,673,735 | $ 978,422 | ||
Issuance of new equity in connection with emergence from Chapter 11 | $ 185,000 | |||||
Total comprehensive income | 516,904 | 516,904 | 287,252 | 691,884 | ||
Stock-based compensation | (1,106) | (1,106) | (3,105) | (3,450) | ||
Cost of shares acquired | (374) | (37) | ||||
Payments for Repurchase of Warrants | 0 | 5,375 | 0 | |||
Warrants exercised | 16 | 3 | 16 | |||
Cost of shares acquired | 19 | |||||
Ending balance | $ 460,415 | 978,422 | 978,422 | 1,958,346 | 1,673,735 | |
Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (3,246,967) | 275,415 | ||||
Total comprehensive income | 3,522,382 | |||||
Stock-based compensation | 60 | |||||
Cost of shares acquired | 60 | |||||
Payments for Repurchase of Warrants | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 0 | |||||
Ending balance | 275,415 | |||||
Retained Earnings/Accumulated Deficit [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 989,290 | 505,219 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 505,219 | 493,403 | 484,071 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | (312) | 0 | ||||
Payments for Repurchase of Warrants | (3,942) | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 505,219 | 505,219 | 1,478,439 | 989,290 | ||
Retained Earnings/Accumulated Deficit [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (6,297,264) | 0 | ||||
Total comprehensive income | 3,349,049 | |||||
Stock-based compensation | 60 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | (2,948,275) | |||||
Ending balance | 0 | |||||
Accumulated Other Comprehensive Income (Loss) [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 220,283 | 11,661 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 11,661 | (205,068) | 208,622 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 11,661 | 11,661 | 15,215 | 220,283 | ||
Accumulated Other Comprehensive Income (Loss) [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 625,385 | 0 | ||||
Total comprehensive income | 174,875 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 800,260 | |||||
Ending balance | 0 | |||||
Preferred Stock [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 0 | 0 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 0 | 0 | 0 | 0 | ||
Preferred Stock [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 0 | |||||
Ending balance | 0 | |||||
Common Stock [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 450 | 450 | 450 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 450 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 450 | 450 | 450 | 450 | ||
Common Stock [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 3,080 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 3,080 | |||||
Ending balance | 0 | |||||
Additional Paid-in Capital [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 184,550 | 189,138 | 185,672 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 184,550 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | (1,106) | (3,105) | (3,450) | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | (1,433) | |||||
Warrants exercised | 16 | 3 | 16 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 185,672 | 185,672 | 190,813 | 189,138 | ||
Additional Paid-in Capital [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 2,172,027 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 2,172,027 | |||||
Ending balance | 0 | |||||
Common Stock Held in Treasury, at Cost [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | (56) | (19) | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | (62) | (37) | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 19 | |||||
Ending balance | (19) | (19) | (118) | (56) | ||
Common Stock Held in Treasury, at Cost [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (410,755) | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 60 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | (410,695) | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 185,000 | 1,399,105 | 702,983 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 185,000 | |||||
Total comprehensive income | 516,880 | 288,335 | 692,693 | |||
Stock-based compensation | (1,106) | (3,105) | (3,450) | |||
Cost of shares acquired | (374) | (37) | ||||
Payments for Repurchase of Warrants | (5,375) | |||||
Warrants exercised | 16 | 3 | 16 | |||
Cost of shares acquired | (19) | |||||
Ending balance | 702,983 | 702,983 | 1,684,799 | 1,399,105 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (3,907,527) | 0 | ||||
Total comprehensive income | 3,523,924 | |||||
Stock-based compensation | (60) | |||||
Cost of shares acquired | 60 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 383,603 | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Retained Earnings/Accumulated Deficit [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 989,290 | 505,219 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 505,219 | 493,403 | 484,071 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | (312) | 0 | ||||
Payments for Repurchase of Warrants | (3,942) | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 505,219 | 505,219 | 1,478,439 | 989,290 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Retained Earnings/Accumulated Deficit [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (6,297,264) | 0 | ||||
Total comprehensive income | 3,349,049 | |||||
Stock-based compensation | (60) | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 2,948,275 | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 220,283 | 11,661 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 11,661 | (205,068) | 208,622 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 11,661 | 11,661 | 15,215 | 220,283 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 625,385 | 0 | ||||
Total comprehensive income | 174,875 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | (800,260) | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Preferred Stock [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 0 | 0 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 0 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 0 | 0 | 0 | 0 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Preferred Stock [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 0 | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 450 | 450 | 450 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 450 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 450 | 450 | 450 | 450 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 3,080 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | (3,080) | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Additional Paid-in Capital [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 184,550 | 189,138 | 185,672 | |||
Issuance of new equity in connection with emergence from Chapter 11 | 184,550 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | (1,106) | (3,105) | (3,450) | |||
Cost of shares acquired | 0 | 0 | ||||
Payments for Repurchase of Warrants | (1,433) | |||||
Warrants exercised | 16 | 3 | 16 | |||
Cost of shares acquired | 0 | |||||
Ending balance | 185,672 | 185,672 | 190,813 | 189,138 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Additional Paid-in Capital [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 2,172,027 | 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 0 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | (2,172,027) | |||||
Ending balance | 0 | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock Held in Treasury, at Cost [Member] | Successor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 0 | (56) | (19) | |||
Issuance of new equity in connection with emergence from Chapter 11 | $ 0 | |||||
Total comprehensive income | 0 | 0 | 0 | |||
Stock-based compensation | 0 | 0 | 0 | |||
Cost of shares acquired | (62) | (37) | ||||
Payments for Repurchase of Warrants | 0 | |||||
Warrants exercised | 0 | 0 | 0 | |||
Cost of shares acquired | (19) | |||||
Ending balance | $ (19) | (19) | $ (118) | $ (56) | ||
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock Held in Treasury, at Cost [Member] | Predecessor [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | (410,755) | $ 0 | ||||
Total comprehensive income | 0 | |||||
Stock-based compensation | 0 | |||||
Cost of shares acquired | 60 | |||||
Elimination of Predecessor Ambac Shareholder equity accounts | 410,695 | |||||
Ending balance | $ 0 |
Schedule II - Condensed Fina139
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statements of Cash Flows (Detail) - USD ($) | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Condensed Cash Flow Statements, Captions [Line Items] | ||||||||||||
Junior Surplus Notes To Be Issued | $ (350,000,000) | |||||||||||
Successor [Member] | ||||||||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||||||||
Other-than-temporary impairment charges | $ 46,764,000 | $ 25,659,000 | $ 25,794,000 | |||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) | 504,802,000 | 492,694,000 | 483,696,000 | |||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Accretion (Amortization) of Discounts and Premiums, Investments | (34,698,000) | (129,584,000) | (79,183,000) | |||||||||
Reorganization items | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 2,000 | $ 186,000 | $ 23,000 | 493,000 | 0 | 211,000 | |
Net realized investment gains | (4,467,000) | (53,476,000) | (58,777,000) | |||||||||
Decrease in current income taxes payable | 5,148,000 | 134,000 | 4,963,000 | |||||||||
Share-based compensation | 1,106,000 | 3,105,000 | 3,450,000 | |||||||||
Investment income due and accrued | 298,000 | (249,000) | 12,648,000 | |||||||||
Other, net | (137,150,000) | 80,988,000 | 152,846,000 | |||||||||
Net cash provided by (used in) operating activities | 186,908,000 | 87,542,000 | (971,509,000) | |||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 613,345,000 | 1,029,026,000 | 1,402,904,000 | |||||||||
Purchases of bonds | (2,213,116,000) | (2,374,804,000) | (2,937,782,000) | |||||||||
Change in short-term investments | 455,495,000 | 134,276,000 | (88,946,000) | |||||||||
Net cash provided by (used in) investing activities | (247,510,000) | (172,602,000) | 1,275,153,000 | |||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | 0 | 224,262,000 | |||||||||
Payments for Repurchase of Warrants | 0 | 5,375,000 | 0 | |||||||||
Cash flows from financing activities: | ||||||||||||
Paydowns of a secured borrowing | 16,000 | 3,000 | 16,000 | |||||||||
Payments for investment agreement draws | (14,979,000) | 46,901,000 | (307,111,000) | |||||||||
Payments for extinguishment of long-term debt | (75,581,000) | (38,159,000) | (3,467,000) | |||||||||
Cash and cash equivalents at beginning of period | 73,903,000 | 77,370,000 | 152,951,000 | 73,903,000 | 77,370,000 | |||||||
Cash and cash equivalents end of period | 35,744,000 | 73,903,000 | 152,951,000 | 77,370,000 | 35,744,000 | 73,903,000 | ||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 1,656,000 | 16,969,000 | 4,400,000 | |||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 15,546,000 | 0 | 272,000 | |||||||||
Predecessor [Member] | ||||||||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||||||||
Other-than-temporary impairment charges | 467,000 | |||||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) | 3,347,278,000 | |||||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Accretion (Amortization) of Discounts and Premiums, Investments | (60,146,000) | |||||||||||
Reorganization items | (2,745,180,000) | |||||||||||
Net realized investment gains | (53,305,000) | |||||||||||
Decrease in current income taxes payable | (101,188,000) | |||||||||||
Share-based compensation | 0 | |||||||||||
Investment income due and accrued | 1,781,000 | |||||||||||
Other, net | 62,122,000 | |||||||||||
Net cash provided by (used in) operating activities | (683,000) | |||||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 307,472,000 | |||||||||||
Purchases of bonds | (286,633,000) | |||||||||||
Change in short-term investments | (64,956,000) | |||||||||||
Net cash provided by (used in) investing activities | 115,316,000 | |||||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | |||||||||||
Payments for Repurchase of Warrants | 0 | |||||||||||
Cash flows from financing activities: | ||||||||||||
Paydowns of a secured borrowing | 0 | |||||||||||
Payments for investment agreement draws | (5,519,000) | |||||||||||
Payments for extinguishment of long-term debt | 109,114,000 | |||||||||||
Cash and cash equivalents at beginning of period | 43,837,000 | 152,951,000 | ||||||||||
Cash and cash equivalents end of period | 152,951,000 | |||||||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 102,129,000 | |||||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 3,860,000 | |||||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | ||||||||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||||||||
Junior Surplus Notes To Be Issued | 0 | 0 | (167,020,000) | 0 | 0 | |||||||
Other-than-temporary impairment charges | 155,000 | |||||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) | 505,219,000 | 493,403,000 | 484,071,000 | |||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Equity in undistributed net (income) loss of non-debtor subsidiaries | (289,379,000) | (421,870,000) | (465,860,000) | |||||||||
Accretion (Amortization) of Discounts and Premiums, Investments | (4,690,000) | 4,000 | ||||||||||
Reorganization items | 493,000 | 0 | 211,000 | |||||||||
Net realized investment gains | (2,000) | 27,000 | 46,000 | |||||||||
Decrease in current income taxes payable | 0 | (71,069,000) | 221,000 | |||||||||
Share-based compensation | 1,106,000 | 3,105,000 | 3,450,000 | |||||||||
Investment income due and accrued | (11,942,000) | (69,000) | 11,905,000 | |||||||||
Decrease in other assets | (1,677,000) | 992,000 | (834,000) | |||||||||
Other, net | (28,030,000) | (4,705,000) | (36,628,000) | |||||||||
Net cash provided by (used in) operating activities | 8,768,000 | (4,721,000) | (3,414,000) | |||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 14,355,000 | 347,539,000 | 65,032,000 | |||||||||
Purchases of bonds | (42,506,000) | (312,419,000) | (271,181,000) | |||||||||
Change in short-term investments | 19,360,000 | (25,143,000) | (14,617,000) | |||||||||
Net cash provided by (used in) investing activities | (8,791,000) | 9,977,000 | (220,766,000) | |||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | 0 | 224,262,000 | |||||||||
Payments for Repurchase of Warrants | (5,375,000) | |||||||||||
Cash flows from financing activities: | ||||||||||||
Paydowns of a secured borrowing | 16,000 | 3,000 | 16,000 | |||||||||
Payments for investment agreement draws | 16,000 | (5,372,000) | 224,278,000 | |||||||||
Payments for extinguishment of long-term debt | (7,000) | (116,000) | 98,000 | |||||||||
Cash and cash equivalents at beginning of period | $ 141,000 | $ 43,000 | 50,000 | 141,000 | 43,000 | |||||||
Cash and cash equivalents end of period | $ 25,000 | $ 141,000 | 50,000 | 43,000 | 25,000 | 141,000 | ||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 0 | 394,000 | 0 | |||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | 15,546,000 | $ 0 | $ 272,000 | |||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Predecessor [Member] | ||||||||||||
Condensed Cash Flow Statements, Captions [Line Items] | ||||||||||||
Junior Surplus Notes To Be Issued | 0 | |||||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) | 3,349,049,000 | |||||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Equity in undistributed net (income) loss of non-debtor subsidiaries | (603,666,000) | |||||||||||
Reorganization items | (2,745,180,000) | |||||||||||
Net realized investment gains | 0 | |||||||||||
Decrease in current income taxes payable | (1,900,000) | |||||||||||
Share-based compensation | 0 | |||||||||||
Investment income due and accrued | (6,000) | |||||||||||
Decrease in other assets | 3,182,000 | |||||||||||
Other, net | (4,107,000) | |||||||||||
Net cash provided by (used in) operating activities | (2,628,000) | |||||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 0 | |||||||||||
Purchases of bonds | 0 | |||||||||||
Change in short-term investments | 2,637,000 | |||||||||||
Net cash provided by (used in) investing activities | 2,637,000 | |||||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | 0 | |||||||||||
Cash flows from financing activities: | ||||||||||||
Paydowns of a secured borrowing | 0 | |||||||||||
Payments for investment agreement draws | 0 | |||||||||||
Payments for extinguishment of long-term debt | 9,000 | |||||||||||
Cash and cash equivalents at beginning of period | 41,000 | $ 50,000 | ||||||||||
Cash and cash equivalents end of period | 50,000 | |||||||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 1,900,000 | |||||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding | $ 3,860,000 |
Schedule II - Condensed Fina140
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Balance Sheet (Parenthetical) (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | May. 01, 2013 | Apr. 30, 2013 |
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Preferred stock, par value | $ 0.01 | |||
Preferred stock, shares authorized | 20,000,000 | |||
Common stock, par value | $ 0.01 | |||
Common stock, shares authorized | 130,000,000 | |||
Common stock, shares issued | 45,000,000 | |||
Successor [Member] | ||||
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Fixed income securities, amortized cost | $ 4,992,756,000 | $ 4,514,878,000 | ||
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 | $ 0.01 | |
Common stock, shares authorized | 130,000,000 | 130,000,000 | ||
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 | |
Common stock, shares outstanding | 45,044,222 | 45,005,932 | ||
Treasury stock, shares | 8,202 | 2,459 | ||
Ambac Financial Group, Inc Parent Company Only [Member] | ||||
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Fixed income securities, amortized cost | $ 203,709 | $ 234,294 | ||
Preferred stock, par value | $ 0.01 | $ 0.01 | ||
Preferred stock, shares authorized | 20,000,000 | 20,000,000 | ||
Common stock, par value | $ 0.01 | $ 0.01 | ||
Common stock, shares authorized | 130,000,000 | 130,000,000 | ||
Common stock, shares issued | 45,044,222 | 45,005,932 | ||
Common stock, shares outstanding | 45,044,222 | 45,005,932 | ||
Treasury stock, shares | 8,202 | 2,459 |
Schedule II - Condensed Fina141
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statement of Total Comprehensive Income (Parenthetical) (Detail) - Successor [Member] - USD ($) $ in Thousands | 8 Months Ended | 12 Months Ended | |
Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Condensed Income Statements, Captions [Line Items] | |||
Unrealized gains (losses) on securities, net of deferred income taxes | $ 0 | $ 0 | $ 0 |
Gain (loss) on foreign currency translation, net of deferred income taxes | $ 0 | $ 0 | $ 0 |
Schedule II - Additional Inform
Schedule II - Additional Information Schedule II - Additional Information (Detail) - USD ($) | 1 Months Ended | 8 Months Ended | 12 Months Ended | |||
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | May. 01, 2013 | |
Condensed Financial Statements, Captions [Line Items] | ||||||
Date of incorporation | Apr. 29, 1991 | Apr. 29, 1991 | ||||
Capital stock, shares authorized | 150,000,000 | |||||
Common stock, shares authorized | 130,000,000 | |||||
Common stock, par value | $ 0.01 | |||||
Preferred stock, shares authorized | 20,000,000 | |||||
Preferred stock, par value | $ 0.01 | |||||
Common stock, shares issued | 45,000,000 | |||||
Warrants issued exercise price | $ 16.67 | |||||
Amount transferred to escrow account | $ 30,000,000 | |||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000,000 | $ 350,000,000 | ||||
Percentage of voting rights, common stock | 10.00% | |||||
Common Stock Voting Restriction Less One Vote | 10.00% | |||||
Holder's ownership | 5.00% | |||||
Change in holder's ownership | 5.00% | |||||
Voting shares of the emerging entity | 50.00% | |||||
Par Value of Owner Trust Certificate | $ 74,794,000 | |||||
Par Value of Private Placement | $ 299,175,000 | |||||
Private Placement Par Value Proceeds | 80.00% | |||||
Private Placement Maturity Date | Aug. 28, 2039 | |||||
Interest Rate on Private Placement Obligations | 5.10% | |||||
Ambac Financial Group, Inc Parent Company Only [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Common stock, shares authorized | 130,000,000 | 130,000,000 | ||||
Common stock, par value | $ 0.01 | $ 0.01 | ||||
Preferred stock, shares authorized | 20,000,000 | 20,000,000 | ||||
Preferred stock, par value | $ 0.01 | $ 0.01 | ||||
Common stock, shares issued | 45,044,222 | 45,005,932 | ||||
Ambac Assurance [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Reimbursement of operating expenses | $ 5,000,000 | |||||
Ambac Assurance [Member] | 2017 [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Maximum Reimbursement Of Operating Expenses after 2017 | $ 4,000,000 | |||||
Successor [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Common stock, shares authorized | 130,000,000 | 130,000,000 | ||||
Common stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred stock, shares authorized | 20,000,000 | 20,000,000 | ||||
Preferred stock, par value | $ 0.01 | $ 0.01 | ||||
Common stock, shares issued | 45,044,222 | 45,005,932 | 45,000,000 | |||
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 5,047,138 | 5,047,138 | ||||
Warrants issued exercise price | $ 16.67 | |||||
Stock Issued During Period, Shares, New Issues | 236 | 949 | 2,524 | |||
Warrant exercised | 740 | 949 | 6,312 | |||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | $ 0 | $ 0 | $ 224,262,000 | |||
Successor [Member] | Ambac Financial Group, Inc Parent Company Only [Member] | ||||||
Condensed Financial Statements, Captions [Line Items] | ||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account | $ 0 | $ 0 | $ 224,262,000 |
Schedule II - Reorganization It
Schedule II - Reorganization Items Schedule II - Reorganization Items (Detail) - USD ($) $ in Thousands | 3 Months Ended | 4 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Reorganization Items [Line Items] | ||||||||||||
Business Acquisition, Percentage of Voting Interests Acquired | 50.00% | |||||||||||
Successor [Member] | ||||||||||||
Reorganization Items [Line Items] | ||||||||||||
Professional fees | $ 460 | $ 0 | $ 204 | |||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | 0 | 0 | 0 | |||||||||
Fresh start reporting adjustments | 0 | 0 | 0 | |||||||||
Total reorganization items | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 2 | $ 186 | $ 23 | 493 | 0 | 211 | |
Predecessor [Member] | ||||||||||||
Reorganization Items [Line Items] | ||||||||||||
Professional fees | $ 4,483 | |||||||||||
Gain from cancellation and satisfaction of Predecessor Ambac debt | (1,521,435) | |||||||||||
Fresh start reporting adjustments | (1,228,251) | |||||||||||
Total reorganization items | (2,745,180) | |||||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | ||||||||||||
Reorganization Items [Line Items] | ||||||||||||
Total reorganization items | $ 493 | $ 0 | $ 211 | |||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | Predecessor [Member] | ||||||||||||
Reorganization Items [Line Items] | ||||||||||||
Total reorganization items | $ (2,745,180) |
Schedule II - Income Taxes Sche
Schedule II - Income Taxes Schedule II Income Taxes (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2011 | Dec. 31, 2015 | |
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | $ 4,298,770 | |
Income Tax Examination, Penalties and Interest Accrued | $ 3,650,000 | |
Percentage Of Notional Federal Tax Liability | 25.00% | |
Tolling Payment Payable to AFG | 70,911 | |
TierABCCredit | 5,000 | |
TierACreditUsage | 10,000 | |
UNITED STATES | ||
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | 129,048 | |
United Kingdom [Member] | ||
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | 14,936 | |
Domestic Tax Authority [Member] | ||
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | 4,154,786 | |
Ambac Assurance [Member] | ||
Operating Loss Carryforwards [Line Items] | ||
AACNetTaxableIncome | 877,313 | |
AACNetTaxableIncomeFromTierA | 479,000 | |
AACNetTaxableIncomeFromTierB | 398,313 | |
AFG [Member] | ||
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | 1,382,109 | |
Tier B [Member] | ||
Operating Loss Carryforwards [Line Items] | ||
Operating Loss Carryforwards | $ 1,057,000 |
Schedule IV - Reinsurance (Deta
Schedule IV - Reinsurance (Detail) - USD ($) $ in Thousands | 4 Months Ended | 8 Months Ended | 12 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | |
Successor [Member] | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Direct Premiums Written | $ (80,309) | $ (37,572) | $ (288,310) | |
Ceded Premiums Written | (7,810) | (3,001) | (6,842) | |
Assumed Premiums Written | 0 | 0 | 0 | |
Premiums Written, Net | $ (72,499) | $ (34,571) | $ (281,468) | |
Percentage of Amount Assumed to Net | 0.00% | 0.00% | 0.00% | |
Predecessor [Member] | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Direct Premiums Written | $ (14,125) | |||
Ceded Premiums Written | (1,098) | |||
Assumed Premiums Written | 0 | |||
Premiums Written, Net | $ (13,027) | |||
Percentage of Amount Assumed to Net | 0.00% |