Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2017 | Feb. 23, 2018 | Jun. 30, 2017 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2017 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Document Fiscal Year Focus | 2,017 | ||
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 | 45,121,788 | ||
Entity Public Float | $ 785,107,730 |
Consolidated Balance Sheets
Consolidated Balance Sheets - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Fixed income securities, at fair value | $ 4,652,172 | $ 5,554,215 |
Fixed income securities pledged as collateral, at fair value | 99,719 | 64,905 |
Short-term investments, at fair value | 557,270 | 430,788 |
Other Investments | 431,630 | 450,307 |
Total investments | 5,740,791 | 6,500,215 |
Cash and cash equivalents | 623,703 | 91,025 |
Receivable for securities | 11,177 | 2,090 |
Investment income due and accrued | 16,532 | 26,023 |
Premium receivables | 586,312 | 661,337 |
Reinsurance recoverable on paid and unpaid losses | 40,997 | 30,418 |
Deferred ceded premium | 52,195 | 69,624 |
Subrogation recoverable | 631,213 | 684,731 |
Loans | 10,358 | 4,160 |
Derivative assets | 73,199 | 77,742 |
Income Taxes Receivable, Current | 11,803 | 0 |
Insurance intangible asset | 846,973 | 962,080 |
Other assets | 46,614 | 158,423 |
Total assets | 23,192,374 | 22,635,702 |
Liabilities: | ||
Unearned premiums | 783,155 | 967,258 |
Loss and loss expense reserves | 4,745,015 | 4,380,769 |
Ceded premiums payable | 37,876 | 42,529 |
Obligations under investment agreements | 0 | 82,358 |
Deferred Income Tax Liabilities, Net | 33,659 | 1,720 |
Current taxes | 0 | 14,280 |
Long-term debt | 991,696 | 1,114,405 |
Accrued interest payable | 436,984 | 421,975 |
Derivative liabilities | 82,782 | 319,286 |
Other liabilities | 67,583 | 76,589 |
Payable for securities purchased | 1,932 | 1,084 |
Variable interest entity liabilities: | ||
Total liabilities | 21,547,116 | 20,657,678 |
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: 45,275,982 and 45,194,954 | 453 | 452 |
Additional paid-in capital | 199,560 | 195,267 |
Accumulated other comprehensive income (loss) | (52,239) | (38,990) |
Retained earnings | 1,233,845 | 1,557,681 |
Treasury stock, shares at cost: 24,816 and 22,458 | (471) | (496) |
Total Ambac Financial Group, Inc. stockholders’ equity | 1,381,148 | 1,713,914 |
Noncontrolling interest | 264,110 | 264,110 |
Total stockholders’ equity | 1,645,258 | 1,978,024 |
Total liabilities and stockholders’ equity | 23,192,374 | 22,635,702 |
Variable Interest Entity [Member] | ||
Assets: | ||
Fixed income securities, at fair value | 2,914,145 | 2,622,566 |
Derivative assets | 54,877 | 80,407 |
Other assets | 1,123 | 1,025 |
Variable interest entity assets: | ||
Restricted cash | 978 | 4,873 |
Loans, at fair value | 11,529,384 | 10,658,963 |
Liabilities: | ||
Long-term debt | 12,160,544 | 11,155,936 |
Accrued interest payable | 589 | 859 |
Derivative liabilities | 2,205,264 | 2,078,601 |
Other liabilities | $ 37 | $ 29 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Successor [Member] | ||
Fixed income securities, amortized cost | $ 4,614,623 | $ 5,435,385 |
Fixed income securities pledged as collateral, amortized cost | 99,719 | 64,833 |
Short-term investments, amortized cost | 557,476 | 430,827 |
Other Investments | $ 431,630 | $ 450,307 |
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 |
Equity investments in pooled funds [Member] | Successor [Member] | ||
Other Investments at Fair Value | $ 396,689 | |
Other Investments | $ 366,939 | $ 420,304 |
Consolidated Statements of Tota
Consolidated Statements of Total Comprehensive Income - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Revenues: | |||
Net premiums earned | $ 175,277 | $ 197,287 | $ 312,595 |
Net investment income: | |||
Securities available-for-sale and short-term | 337,774 | 281,049 | 249,337 |
Other investments | 23,179 | 32,318 | 16,952 |
Total net investment income | 360,953 | 313,367 | 266,289 |
Other-than-temporary impairment losses: | |||
Total other-than-temporary impairment losses | (54,625) | (89,700) | (66,692) |
Portion of other-than-temporary impairment recognized in other comprehensive income | 34,454 | 67,881 | 41,033 |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (20,171) | (21,819) | (25,659) |
Realized Investment Gains (Losses) | 5,366 | 39,284 | 53,476 |
Change in fair value of credit derivatives: | |||
Realized gains and other settlements | 1,589 | 912 | 2,785 |
Unrealized gains (losses) | 14,783 | 19,194 | 38,916 |
Net change in fair value of credit derivatives | 16,372 | 20,106 | 41,701 |
Net gains (losses) on interest rate derivatives | 59,565 | (50,273) | (42,544) |
Net realized gains (losses) on extinguishment of debt | 4,920 | 4,845 | 81 |
Other income (expense) | (706) | 17,445 | 7,150 |
Income (loss) on variable interest entities | 19,670 | (14,093) | 31,569 |
Total revenues | 621,246 | 506,149 | 644,658 |
Expenses: | |||
Losses and loss expenses (benefit) | 513,186 | (11,489) | (768,707) |
Insurance intangible amortization | 150,854 | 174,608 | 169,557 |
Operating expenses | 121,516 | 113,660 | 102,702 |
Interest expense | 119,941 | 124,344 | 116,537 |
Goodwill, Impairment Loss | 0 | 0 | 514,511 |
Total expenses | 905,497 | 401,123 | 134,600 |
Pre-tax income (loss) | (284,251) | 105,026 | 510,058 |
Provision for income taxes | 44,464 | 30,709 | 17,364 |
Net income (loss) | (328,715) | 74,317 | 492,694 |
Less: net gain (loss) attributable to noncontrolling interest | 0 | (526) | (709) |
Net income (loss) attributable to common shareholders | (328,715) | 74,843 | 493,403 |
Other comprehensive income (loss), after tax: | |||
Net income (loss) | (328,715) | 74,317 | 492,694 |
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (81,520) | 67,900 | (159,730) |
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 73,586 | (122,128) | (45,025) |
Changes to postretirement benefit, net of tax of $0 | 1,273 | 23 | (687) |
Total other comprehensive income (loss), net of tax | (6,661) | (54,205) | (205,442) |
Total comprehensive income (loss) | (335,376) | 20,112 | 287,252 |
Less: comprehensive (loss) gain attributable to the noncontrolling interest: | |||
Net gain (loss) | 0 | (526) | (709) |
Currency translation adjustments | 0 | 0 | (374) |
Total comprehensive income (loss) attributable to Ambac Financial Group, Inc. | $ (335,376) | $ 20,638 | $ 288,335 |
Basic | $ (7.25) | $ 1.66 | $ 10.92 |
Diluted | $ (7.25) | $ 1.64 | $ 10.72 |
Consolidated Statements of Tot5
Consolidated Statements of Total Comprehensive Income (Parenthetical) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
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 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders' Equity - Successor [Member] - USD ($) $ in Thousands | Total | Retained Earnings [Member] | AOCI Attributable to Parent [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 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 | 287,252 | 493,403 | (205,068) | 0 | 0 | 0 | 0 | (1,083) |
Stock-based compensation | 3,105 | 0 | 0 | 0 | 0 | 3,105 | 0 | 0 |
Cost of shares (acquired) issued under equity plan | (374) | (312) | 0 | 0 | 0 | 0 | (62) | 0 |
Payments for Repurchase of Warrants | (5,375) | (3,942) | 0 | 0 | 0 | (1,433) | 0 | 0 |
Warrants exercised | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 0 |
Ending balance at Dec. 31, 2015 | 1,958,346 | 1,478,439 | 15,215 | 0 | 450 | 190,813 | (118) | 273,547 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | 20,112 | 74,843 | (54,205) | 0 | 0 | 0 | 0 | (526) |
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | Accounting Standards Update 2014-13 [Member] | 0 | 6,442 | 0 | 0 | 0 | 0 | 0 | (6,442) |
Stock-based compensation | 5,253 | 0 | 0 | 0 | 0 | 5,253 | 0 | 0 |
Cost of shares (acquired) issued under equity plan | (505) | (127) | 0 | 0 | 0 | 0 | (378) | 0 |
Payments for Repurchase of Warrants | (2,717) | (1,916) | 0 | 0 | 0 | (801) | 0 | 0 |
Stock Issued During Period, Value, New Issues | 2 | 0 | 0 | 0 | 2 | 0 | 0 | 0 |
Noncontrolling Interest, Decrease from Deconsolidation | (2,469) | 0 | 0 | 0 | 0 | 0 | 0 | (2,469) |
Warrants exercised | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 0 |
Ending balance at Dec. 31, 2016 | 1,978,024 | 1,557,681 | (38,990) | 0 | 452 | 195,267 | (496) | 264,110 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income | (335,376) | (328,715) | (6,661) | 0 | 0 | 0 | 0 | 0 |
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | Accounting Standards Update 2018-02 [Domain] | 0 | 6,588 | (6,588) | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | Accounting Standards Update 2016-09 [Member] | (137) | (137) | 0 | 0 | 0 | 0 | 0 | 0 |
Stock-based compensation | 4,293 | 0 | 0 | 0 | 0 | 4,293 | 0 | 0 |
Cost of shares (acquired) issued under equity plan | (1,547) | (1,572) | 0 | 0 | 0 | 0 | 25 | 0 |
Payments for Repurchase of Warrants | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Stock Issued During Period, Value, New Issues | 1 | 0 | 0 | 0 | 1 | 0 | 0 | 0 |
Ending balance at Dec. 31, 2017 | $ 1,645,258 | $ 1,233,845 | $ (52,239) | $ 0 | $ 453 | $ 199,560 | $ (471) | $ 264,110 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash flows from operating activities: | |||
Net income (loss) attributable to common shareholders | $ (328,715) | $ 74,843 | $ 493,403 |
Net (loss) gain | 0 | 526 | 709 |
Net income (loss) | (328,715) | 74,317 | 492,694 |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Depreciation and amortization | 992 | 1,220 | 3,215 |
Goodwill, Impairment Loss | 0 | 0 | 514,511 |
Amortization of bond premium and discount | (182,997) | (150,061) | (129,584) |
Share-based compensation | 4,293 | 5,253 | 3,104 |
Deferred income taxes | 31,939 | (485) | 126 |
Current income taxes | (26,272) | 9,727 | 134 |
Unearned premiums, net | (168,208) | (289,140) | (372,907) |
Losses and loss expenses, net | 399,982 | 853,978 | (799,399) |
Ceded premiums payable | (4,653) | (10,965) | (6,942) |
Investment income due and accrued | 9,425 | (750) | (280) |
Premium receivables | 76,900 | 172,331 | 174,918 |
Accrued interest payable | 49,969 | 66,439 | 51,397 |
Amortization of insurance intangible assets | 150,854 | 174,608 | 169,557 |
Net mark-to-market (gains) losses | (14,783) | (19,194) | (38,916) |
Net realized investment gains | (5,366) | (39,284) | (53,476) |
Other-than-temporary impairment charges | 20,171 | 21,819 | 25,659 |
Net realized gains (losses) on extinguishment of debt | (4,920) | (4,845) | (81) |
Other, net | 21,538 | (27,896) | 80,296 |
Net cash provided by (used in) operating activities | (212,768) | 843,540 | 91,809 |
Cash flows from investing activities: | |||
Proceeds from sales of bonds | 2,138,936 | 867,882 | 996,427 |
Proceeds from matured bonds | 813,990 | 1,317,215 | 1,029,026 |
Purchases of bonds | (2,053,693) | (2,574,285) | (2,374,441) |
Proceeds from sales of other invested assets | 349,799 | 131,703 | 178,474 |
Purchases of other invested assets | (299,424) | (281,570) | (128,186) |
Change in short-term investments | (126,891) | (206,002) | 134,423 |
Loans, net | (6,198) | 1,046 | 508 |
Change in cash collateral receivable | 122,844 | 27,372 | (6,833) |
Other, net | (10,594) | 1,996 | (5,143) |
Net cash provided by (used in) investing activities | 928,769 | (714,643) | (175,745) |
Cash flows from financing activities: | |||
Proceeds Received from a Secured Borrowing | 0 | 0 | (143,430) |
Paydown Of Variable Interest Entity Secured Borrowing | 28,992 | 29,482 | 13,533 |
Payments From Drawdowns Of Borrowings Under Guaranteed Investment Agreements | 82,358 | 17,964 | 63,872 |
Payments for extinguishment of long-term debt | (69,499) | (19,550) | (13,752) |
Payments Related to Tax Withholding for Share-based Compensation | (1,268) | 0 | 0 |
Proceeds from Warrant Exercises | 0 | 2 | 3 |
Payments for Repurchase of Warrants | 0 | (2,717) | (5,375) |
Net Cash Provided by (Used in) Financing Activities | (182,117) | (69,711) | 46,901 |
Effect of Exchange Rate on Cash and Cash Equivalents | (1,206) | (3,905) | (1,124) |
Cash and Cash Equivalents, Period Increase (Decrease) | 532,678 | 55,281 | (38,159) |
Cash and cash equivalents at beginning of period | 91,025 | 35,744 | 73,903 |
Cash and cash equivalents end of period | 623,703 | 91,025 | 35,744 |
Supplemental disclosure of cash flow information | |||
Income Taxes Paid | 40,334 | 21,437 | 16,969 |
Cash payments related to reorganization items: | |||
Variable interest entity activities | (19,670) | 14,093 | (31,569) |
Increase (Decrease) in Derivative Assets and Liabilities | (223,247) | (7,625) | 9,352 |
Ambac Financial Group, Inc Parent Company Only [Member] | |||
Cash flows from operating activities: | |||
Net income (loss) | (328,715) | 74,843 | 493,403 |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Amortization of bond premium and discount | (16,724) | (7,208) | (4,690) |
Share-based compensation | 4,293 | 5,253 | 3,105 |
Current income taxes | (854) | 42,126 | (71,069) |
Investment income due and accrued | (57) | (149) | (69) |
Net realized investment gains | 6,575 | 7 | 27 |
Other, net | (9,960) | 5,814 | 549 |
Net cash provided by (used in) operating activities | 15,780 | 77,228 | 532 |
Cash flows from investing activities: | |||
Proceeds from matured bonds | 186,747 | 269,459 | 347,539 |
Purchases of bonds | (195,853) | (279,582) | (312,419) |
Change in short-term investments | (2,961) | (18,491) | (25,143) |
Net cash provided by (used in) investing activities | (44,082) | (42,287) | 4,724 |
Cash flows from financing activities: | |||
Proceeds from Warrant Exercises | 0 | 2 | 3 |
Payments for Repurchase of Warrants | 0 | 2,717 | 5,375 |
Net Cash Provided by (Used in) Financing Activities | 0 | (2,715) | (5,372) |
Cash and Cash Equivalents, Period Increase (Decrease) | (28,302) | 32,226 | (116) |
Cash and cash equivalents at beginning of period | 32,251 | 25 | 141 |
Cash and cash equivalents end of period | 3,949 | 32,251 | 25 |
Supplemental disclosure of cash flow information | |||
Income Taxes Paid | $ 784 | $ 635 | $ 394 |
Background and Business Descrip
Background and Business Description | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Background and Business Description | 1. BACKGROUND AND BUSINESS DESCRIPTION Background: Ambac Financial Group, Inc. (“Ambac” or the “Company”), headquartered in New York City, is a financial services holding company that was incorporated in the state of Delaware on April 29, 1991 . On May 1, 2013 (the “Reorganization 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. As provided for in the Reorganization Plan, Ambac’s Amended and Restated Certificate of Incorporation and revised Bylaws became effective on the Reorganization Effective Date. 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 Reorganization 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 Reorganization Effective Date was cancelled on the Reorganization Effective Date. 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 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)). 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 Reorganization Effective Date, the Company was generally discharged and released from all pre-Reorganization 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 (as defined below), 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 Reorganization Effective Date. Business Description: Ambac’s provides financial guarantee insurance policies through its principal operating subsidiary, Ambac Assurance Corporation (“Ambac Assurance” or "AAC") and its wholly owned subsidiary, Ambac Assurance UK Limited (“Ambac UK”), both of which have been in runoff since 2008. 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 subsidiary, Everspan Financial Guarantee Corp. (“Everspan”), which has been in runoff since its acquisition in 1997. Ambac Assurance’s ability to pay dividends and, as a result, Ambac’s liquidity, have been significantly restricted by the deterioration of Ambac Assurance's 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 the Stipulation and Order (described below). It is highly unlikely that Ambac Assurance will be able to make dividend payments to Ambac for the foreseeable future. Ambac also provides other financial products through subsidiaries of Ambac Assurance. These products consist of interest rate swaps, funding conduits and investment agreements (until the first quarter of 2017) that were provided principally to clients that were also provided financial guarantee policies. These financial products have been in active runoff since 2007. Prior to the second quarter of 2017, Ambac had two reportable business segments: i) the financial guarantee segment, which consisted of financial guarantee insurance policies and credit derivative contracts and ii) the financial services segment which consisted of the other financial products discussed above. With respect to the financial services segment, there were significant swap commutations in June 2017. The remaining interest rate swaps, along with other interest rate derivatives, are managed to economically hedge interest rate risk in the financial guarantee and investment portfolios. The last remaining investment agreement matured in March 2017 and the remaining conduit transactions are not material. The significant wind-down of these financial products, along with the appointment of a new Chief Executive Officer effective January 1, 2017, has resulted in a change in how the Company manages its business. Management now reviews financial information, allocates resources and measures financial performance on a consolidated basis. As a result, beginning with the second quarter of 2017, the Company has a single reportable segment. All prior period amounts and disclosures have been adjusted to reflect the reportable segment change. In February 2018, Ambac achieved one of its key strategic priorities, the exit from rehabilitation of the Segregated Account. Having accomplished this milestone, Ambac will continue to pursue and prioritize its remaining key strategic priorities, namely: • Active runoff of Ambac Assurance and its subsidiaries through transaction terminations, policy commutations, settlements and restructurings, with a focus on our watch list credits and known and potential future adversely classified credits, that we believe will improve our risk profile, and maximizing the risk-adjusted return on invested assets; • Ongoing rationalization of Ambac's and its subsidiaries' capital and liability structures; • Loss recovery through active litigation management and exercise of contractual and legal rights; • Ongoing review of organizational effectiveness and efficiency of the operating platform; and • Evaluation of opportunities in certain business sectors that meet acceptable criteria that will generate long-term stockholder value with attractive risk-adjusted returns. With respect to our new business strategy, we have identified certain business sectors adjacent to Ambac's core business in which future opportunities will be evaluated. The evaluation will be conducted through a measured and disciplined approach to identify opportunities that are synergistic to Ambac, match Ambac's core competencies, are rapidly scalable or available through mergers and acquisitions and that may allow for the utilization of Ambac's net operating loss carry-forwards. Although we are exploring new business opportunities, no assurance can be given that we will be able to execute, or obtain the financial and other resources that may be required to finance, the acquisition or development of any new businesses or assets. Furthermore, the execution of Ambac’s strategy to increase the value of its investment in Ambac Assurance is subject to the rights of OCI under the Stipulation and Order, which requires OCI to 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. Decisions by OCI 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. 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 remains speculative. The Segregated Account 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 OCI 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. 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. On June 11, 2014, the Rehabilitation Court approved amendments to the Segregated Account Rehabilitation Plan and the Segregated Account Rehabilitation Plan, as amended, became effective on June 12, 2014. Net par exposure as of December 31, 2017 for policies allocated to the Segregated Account was $9,246,357 . Policy obligations not allocated to the Segregated Account remained in the General Account of Ambac Assurance, and such policies in the General Account were not subject to and, therefore, were not directly impacted by the Segregated Account Rehabilitation Plan. Rehabilitation Exit Transactions On July 19, 2017, Ambac Assurance and Ambac entered into an agreement (as amended as of September 21, 2017, the “Rehabilitation Exit Support Agreement”) with holders or beneficial owners (the “Supporting Holders”) of surplus notes issued by Ambac Assurance and beneficial interests in Deferred Amounts (as defined in the Segregated Account Rehabilitation Plan) of the Segregated Account with respect to a transaction which, subject to the conditions precedent set forth in the Rehabilitation Exit Support Agreement, and if consummated, would generally involve (i) the exchange of certain surplus notes held by holders of surplus notes that elect to participate in a voluntary exchange transaction and (ii) the satisfaction and discharge of all Deferred Amounts, in each case for an effective consideration package comprised of cash and new Secured Notes (as defined below) and certain existing surplus notes and (iii) the exit from rehabilitation of the Segregated Account and the merger of the Segregated Account with and into Ambac Assurance (the “Rehabilitation Exit Transactions”). On September 25, 2017 the Rehabilitator filed a motion in the Rehabilitation Court seeking entry of an order approving an amendment to the Segregated Account Rehabilitation Plan (the "Second Amended Plan of Rehabilitation"). Following the conclusion of a Confirmation Hearing on January 22, 2018, the Rehabilitation Court entered an order granting the Rehabilitator's motion and confirming the Second Amended Plan of Rehabilitation. On February 12, 2018 (the "Effective Date"), the Second Amended Plan of Rehabilitation became effective and the Rehabilitation Exit Transactions were consummated. The Rehabilitation Exit Transactions involved a series of transactions which provided holders of beneficial interests in Deferred Amounts (other than Ambac, but including Ambac Assurance) a total effective consideration package, in full satisfaction and discharge of each $1.00 of Deferred Amounts (including accretion), of (i) $0.40 in cash, (ii) $0.41 in principal amount of new Secured Notes (as defined below) and (iii) from certain holders of surplus notes, $0.125 currently outstanding surplus notes. Such consideration package thereby provided a discount of $0.065 (applied first against accretion of Deferred Amounts). Ambac received $0.91 in principal amount of Secured Notes for each $1.00 of Deferred Amounts (including accretion) that it held, and provided a $0.09 discount in full satisfaction and discharge of its Deferred Amount claims. In accordance with the Rehabilitation Exit Support Agreement, the Rehabilitation Exit Transactions also involved a series of interrelated transactions involving the exchange of certain surplus notes (collectively, the “Exchange Offers”), pursuant to which, for each $1.00 of principal amount outstanding and accrued and unpaid interest thereon, holders effectively (i) received $0.40 in cash, (ii) received $0.41 in principal amount of Secured Notes, (iii) retained $0.125 in principal amount and accrued and unpaid interest thereon of surplus notes and (iv) provided a discount of $0.065 in principal amount and accrued and unpaid interest thereon. Ambac did not participate in the Exchange Offers. An aggregate of 99.6% of the surplus notes held by the Supporting Holders and parties other than Ambac and Ambac Assurance participated both in the Rehabilitation Exit Transactions and in the Exchange Offers. As part of the Rehabilitation Exit Transactions, Ambac and Ambac Assurance received consents from holders of surplus notes to a waiver and amendment (the “BSA Waiver and Amendment”) of certain provisions of the Settlement Agreement. The BSA Waiver and Amendment included a waiver of compliance with any and all restrictions, limitations and other provisions set forth in Section 3.04 of the Settlement Agreement that could have directly or indirectly prohibited, restricted or limited in any manner the consummation or effectiveness of the Rehabilitation Exit Transactions regardless of whether such a waiver was actually required in order to consummate or effect such transactions. Among other provisions, the BSA Waiver and Amendment also includes amendments to the Settlement Agreement that eliminate the requirement for Ambac Assurance to have Unaffiliated Qualified Directors on its Board of Directors; eliminate the prohibition on new business; modify the restrictions on the incurrence of indebtedness and other material obligations; modify the restrictions on liens securing permitted indebtedness; modify restrictions applicable to junior surplus notes; and modify restrictions on mergers or similar transactions. After giving effect to the BSA Waiver and Amendment, the Settlement Agreement continues to limit certain activities of Ambac Assurance and its subsidiaries, such as issuing indebtedness; engaging in mergers and similar transactions; disposing of assets; making restricted payments; creating or permitting liens; engaging in transactions with affiliates; modifying or creating tax sharing agreements; and taking certain actions with respect to surplus notes (among other restrictions and limitations). The Settlement Agreement includes certain allowances with respect to these activities and generally requires the approval of OCI and, in some cases, holders of surplus notes issued pursuant to the Settlement Agreement, for consents, waivers or amendments. As contemplated by the Rehabilitation Exit Support Agreement and as a portion of the consideration received by holders of beneficial interests in Deferred Amounts (including Ambac Assurance) in satisfaction and discharge of their claims pursuant to the Second Amended Plan of Rehabilitation and by holders of surplus notes pursuant to the Exchange Offers (as specified above), a newly formed special purpose entity (Ambac LSNI, LLC) issued new secured notes (the “Secured Notes”), secured by all assets of the special purpose entity, which include a note issued by Ambac Assurance to the special purpose entity (the "Ambac Note"), which note is secured by a pledge of Ambac Assurance’s right, title and interest in up to the first $1,400,000 of proceeds (net of reinsurance) from certain litigations in which Ambac Assurance seeks redress for breaches of representations and warranties and/or fraud related to residential mortgage-backed securitizations (the “ RMBS Litigations ”). In addition, the Ambac Note is secured by securities having a market value of approximately $350,000 . Ambac Assurance also pledged for the benefit of the holders of Secured Notes (other than Ambac Assurance) the proceeds of the Secured Notes held by Ambac Assurance from time to time, and issued a financial guaranty insurance policy to a trustee for the benefit of holders of Secured Notes irrevocably guarantying all principal and interest payments in respect of the Secured Notes as and when such payments become due and owing. Until the earlier of (i) June 8, 2020 and (ii) the date on which at least 25% of the principal amount of surplus notes (other than junior surplus notes) are no longer outstanding, Ambac has agreed to hold and not sell surplus notes (other than junior surplus notes) which, as of June 30, 2017, have an aggregate of $60,000 of principal amount and accrued and unpaid interest outstanding. In connection with the Rehabilitation Exit Transactions, certain documents and instruments relating to the operation of the Segregated Account or the rights of the Segregated Account and the Rehabilitator were terminated, including the Plan of Operation for the Segregated Account; the Secured Note issued by Ambac Assurance to the Segregated Account; the Aggregate Excess of Loss Reinsurance Agreement between Ambac Assurance, as reinsurer, and the Segregated Account; the Management Services Agreement between Ambac Assurance and the Segregated Account; the Cooperation Agreement among Ambac Assurance, Ambac, the Segregated Account and the Rehabilitator; and the Mediation Agreement dated September 21, 2011 among Ambac, Ambac Assurance, the Segregated Account, the Rehabilitator, OCI and the official committee of unsecured creditors of Ambac. Surplus Note Interest Payment In connection with the consummation of the Rehabilitation Exit Transactions, Ambac Assurance received the approval of the OCI to make a one-time current interest payment of $13,501 on the surplus notes (other than junior surplus notes) outstanding immediately following the Effective Date. On February 12, Ambac Assurance notified the fiscal agent for the surplus notes that the record date for such interest payment would be February 28, 2018 and the payment date would be March 1, 2018. Tier 2 Financing On the Effective Date, Ambac Assurance issued $240,000 of senior notes (the “Tier 2 Notes”) secured by Ambac Assurance’s rights, title and interest in the cash and non-cash proceeds (net of reinsurance) above $1,600,000 received in connection with the RMBS Litigations. Following the consummation of the Rehabilitation Exit Transactions, Ambac Assurance will seek to further improve its financial condition by continuing to pursue asset monetizations; loss recoveries; restructurings, purchases, modifications or exchanges of certain outstanding obligations; extinguishment or modification of certain contractual restrictions; and/or commuting or reducing insured exposures. Separately from or in connection with the actions described above, we may seek to further optimize our capital and corporate structure to unlock shareholder value. Stipulation and Order A Stipulation and Order, the terms of which were agreed between OCI, Ambac and Ambac Assurance, became effective upon the Effective Date (the "Stipulation and Order") and provides as follows: • Ambac Assurance shall maintain a level of surplus and contingency reserves as regards policyholders which provides reasonable security against contingencies affecting its financial position that are not otherwise fully covered by reserves or reinsurance, such that the Commissioner may continue to determine that Ambac Assurance’s surplus and contingency reserves are reasonably in excess of a level that would constitute a financially hazardous condition. • Statutory surplus may not reflect the benefit of any reserve discounting, except to the extent approved by the Commissioner. • Ambac Assurance may not enter any transactions with affiliates, including the payment of a dividend or other distribution, without the approval of the Commissioner, subject to limited exceptions. • Ambac Assurance may not change its business plan or that of Everspan, including but not limited to the writing of new business, unless approved by the Commissioner. • Ambac Assurance must obtain OCI approval with respect to the exercise of certain control rights in connection with policies that had been allocated to the Segregated Account. • Ambac Assurance must obtain OCI approval with respect to any transaction Ambac Assurance proposes to enter into other than in ordinary course of business with non-affiliated counterparties where the aggregate consideration to be paid by Ambac Assurance is equal to or greater than $100,000 . • Ambac Assurance must obtain OCI approval for any change to its Investment Policy or Derivative Use Plan. • Ambac Assurance must provide OCI with a monthly report of financial information, the scope of which is to be determined. • Ambac Assurance shall provide, and Ambac shall also provide, notice to the Commissioner within ten (10) days of receipt of any communication from any governmental authority, government-sponsored enterprise, or lender to Ambac Assurance, Ambac, or any affiliates which pertains to a circumstance, event or issue which would be reasonably likely to have a material adverse effect on the financial condition or operations of Ambac Assurance and its subsidiaries taken as whole. • Ambac Assurance shall provide notice as soon as practicable of any development in any litigation, including any delay in RMBS litigation, involving Ambac Assurance or any affiliate of Ambac Assurance which would or would be reasonably likely to have a material adverse effect on Ambac Assurance. • Ambac Assurance shall provide notice to the Commissioner of the occurrence, or failure to occur, of any event which would or would be reasonably likely to cause a material adverse effect to the business, assets, properties, operations, or condition, financial or otherwise, or, insofar as can reasonably be foreseen, prospects, financial or otherwise, of Ambac Assurance, an affiliate of Ambac Assurance, or Ambac Assurance and all affiliates taken as a whole. A material adverse effect shall be conclusively presumed if the effect results, or reasonably could result, in a reduction of more than 10% in Ambac Assurance’s surplus as regards policyholders. • Ambac Assurance shall disclose, and Ambac shall disclose, to the Commissioner any instance of fraud or any significant change to the internal control environment incurred by Ambac Assurance, any of its subsidiaries, or Ambac. • If Ambac Assurance proposes to make any changes in the assumptions or vendors utilized in determining statutory loss reserves from the prior year’s statutory loss reserves which would cause the difference (whether positive or negative) between (a) Ambac Assurance’s statutory reserves determined with such proposed changes and (b) Ambac Assurance’s statutory reserves determined without such proposed changes to exceed the lesser of (i) $200,000 or (ii) 10% of Ambac Assurance’s statutory loss reserves without such proposed changes, Ambac Assurance shall notify the Commissioner. • Ambac shall use its best efforts to preserve use of net operating loss carry-forwards for the benefit of Ambac Assurance and its subsidiaries, including but not limited to, refraining from taking any action that would result in, and taking such affirmative steps as are appropriate to avoid, any deconsolidation event. • Ambac shall provide the Commissioner and Ambac Assurance its full cooperation in relation to any issues that Ambac Assurance or its subsidiaries may have relative to the United States Internal Revenue Service, including efforts to obtain a private letter ruling, pre-filing agreement, or other form of guidance or clarification. The Commissioner reserves the right to modify or terminate the Stipulation and Order in a manner consistent with the interests of policyholders, creditors and the public generally, and recognizes that Ambac Assurance may request the Commissioner to do so periodically as conditions warrant. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [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 or valuation allowance on the deferred tax asset, any of which individually could be material. 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 Accounting Standards Codification ("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. 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. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. Refer to Note 3. 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. Ambac Unconsolidated Financial Information: Financial information of Ambac is presented in Schedule II to this Form 10-K as of December 31, 2017 and 2016 and for the years ended December 31, 2017, 2016 and 2015 . Investments in subsidiaries are accounted for using the equity method of accounting. 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 structured securities with a large underlying pool of homogenous loans, such as mortgage-backed and asset-backed securities, premiums and discounts are adjusted for the effects of actual and anticipated prepayments on a retrospective basis. For other fixed income securities, 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. Ambac’s non-VIE investment portfolio also includes 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 in accordance with the Financial Instruments Topic of the ASC. 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. For additional information about VIE investments, including fair value by asset-type, see Note 3. Special Purpose Entities, Including Variable Interest Entities . Ambac has a formal impairment review process for fixed income available for sale securities in its investment portfolio. Ambac conducts a review each quarter to identify and evaluate investments that have indications of impairment that may be other than temporary in accordance with the Investments - Debt and Equity Securities Topic of the ASC. Factors considered to identify and assess securities for other than temporary 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 is 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 impact 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 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 and guaranteed under policies that were allocated to the Segregated Account, the estimate of Ambac Assurance claim payments included interest on Deferred Amounts, which were discharged on February 12, 2018. Ambac estimated the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities was at the sole discretion of the Rehabilitator. Refer to Note 1. Background and Business Description for more information on the Segregated Account and the Segregated Account Rehabilitation Proceedings. 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. Net Premiums: Gross premiums are received either upfront or in installments. 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, 2017 and 2016 , was 2.5% . and 2.6% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2017 and 2016 , was 9.8 years and 9.0 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 corresponding to the initial weighted average life of the related policy. 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 upfront 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 has been retired early, typically due to an issuer call, 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. 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 (a refunding) or a specified call date (a pre-refunding). Ambac has evaluated the provisions in policies issued on these obligations and determined those insurance policies have not been legally extinguished. 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. 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. 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. None of Ambac’s derivative contracts are designated as hedges under the Derivatives and Hedging Topic of the ASC. Ambac's derivatives consist primarily of credit derivatives, interest rate swaps and futures contracts. 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. Ambac maintains a derivatives portfolio consisting primarily of interest rate swaps and futures contracts to economically hedge interest rate risk in the financial guarantee and investment portfolios. This portfolio also includes legacy interest rate swaps with asset-backed securitization issuers, states, municipalities and their authorities which were written in connection with their financings. Changes in fair value of all interest rate derivatives are recorded in net gains (losses) on interest rate derivatives on the Consolidated Statements of Total Comprehensive Income. 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. All derivatives are recorded on the Consolidated Balance Sheets at fair value on a gross basis; assets and liabilities are netted by counterparty 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. Effective January 3, 2017, as a result of rule changes by the central clearing party ("CCP"), variation payments are considered settlements of the associated derivative balance and are reflected as a reduction to derivative liabilities on the Consolidated Balance Sheet at December 31, 2017. For periods presented prior to this rule change, variation payments were included in "Other assets" on the Consolidated Balance Sheet. Refer to Note 11. Derivative Instruments for further discussion of the Company’s use of derivative instruments and their impact of the consolidated financial statements, including details of the CCP rule change. Refer to Note 9. 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. Goodwill: 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 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. 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 tested 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. During the third quarter of 2015, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation for the reporting unit to which goodwill was assigned. Those indicators included the trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis, we performed step one of the goodwill impairment test where we estimated the fair value of the reporting unit using a market approach, which was 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 reporting unit's carrying value exceeded its fair value. Accordingly, the Company performed step two of the impairment test, which indicated the implied fair value of goodwill was zero. This was the result of substantial decreases in the reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The 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 9. 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 in 2015. Insurance Intangible Asset: 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 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 is amortized using a level yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts and is applied to groups of contracts with similar characteristics. 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. Loss and Loss Expenses: The loss and loss expense reserve (“loss reserve”) policy relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including VIEs, for which we do not consolidate the VIE. Losses and loss expenses 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 above. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include unpaid claims and the present value ("PV") of expected net cash flows 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 Segregated Account Rehabilitation Plan. Refer to Note 1. Background and Business Description for further discussion of the 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 net cash flows represents the PV of expected cash outflows less the PV of expected cash inflows. The PV of expected net cash flows are impacted by: (i) expected future claims to be paid 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, which is discussed further in the “RMBS Representation and Warranty Subrogation Recoveries” section below, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries, including expected receipts from third parties within the underlying transaction's cash flow structure. 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 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 cash outflows are greater than the PV of expected cash inflows. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of: (i) unpaid claims plus (ii) the excess of the PV of expected net cash outflows over the unearned premium revenue. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected cash inflows are greater than the sum of unpaid claims plus the PV of expected cash outflows. For such policies, a “Subrogation recoverable” asset is recorded for the difference between (i) the PV of expected net cash inflows and (ii) unpaid claims. 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 ongoing review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Risk Management Group ("RMG") 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 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 RMG 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. Through ongoing surveillance, Ambac may also designate Class I credits into one or more of the following categories: • Survey list - credits that may lack information or demonstrate a weakness but further deterioration is not expected. • Watch list - credits that demonstrate the potential for future material adverse development due to such factors as long-term uncertainty about a particular sector, a certain structural element related to the issuer or transaction or overall financial and economic sustainability. 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 certain of 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 |
Special Purpose Entities, Inclu
Special Purpose Entities, Including Variable Interest Entities | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Special Purpose Entities, Including Variable Interest Entities | 3. SPECIAL PURPOSE ENTITIES, INCLUDING VARIABLE INTEREST ENTITIES 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 ("FG VIEs"). • Ambac sponsors special purpose entities that issued notes to fund the purchase of certain financial assets. • 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 is 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. FG VIEs: 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 FG 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 FG 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 that most significantly impact the VIE’s economic performance because certain triggers had been breached in these transactions resulting in Ambac's subsidiaries' 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. As further discussed in Note 1. Background and Business Description , the OCI requires Ambac Assurance to obtain its approval with respect to the exercise of certain control rights in connection with policies that had been allocated to the Segregated Account. Accordingly management expects the number of additional VIEs that may be consolidated as a result of the Segregated Account's exit from rehabilitation will be reduced and possibly eliminated. A VIE is deconsolidated in the period that Ambac no longer has such control, which could occur in connection with the 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 FG VIEs that are consolidated are reported within Variable interest entity assets or Variable interest entity liabilities on the Consolidated Balance Sheets. The net results from such FG VIEs are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income (Loss) . Upon initial consolidation of a FG 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 FG 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 impact of consolidating such FG VIEs on Ambac’s balance sheet is the elimination of transactions between the consolidated FG VIEs and Ambac’s operating subsidiaries and the inclusion of the FG 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. As of December 31, 2017 consolidated FG VIE assets and liabilities relating to 11 consolidated entities were $14,500,507 and $14,366,434 , respectively. As of December 31, 2016 , consolidated FG VIE assets and liabilities relating to 12 consolidated entities were $13,367,834 and $13,235,425 , respectively. As of December 31, 2017 , eight and three consolidated FG VIEs related to transaction insured by Ambac UK and Ambac Assurance and eight and four as of December 31, 2016 . As of December 31, 2017 FG VIE assets and liabilities of $14,160,152 and $14,026,704 and as of December 31, 2016 , FG VIE assets and liabilities of $12,950,009 and $12,833,466 related to transactions guaranteed by Ambac UK. The remaining balance of consolidated FG VIE assets and liabilities are related to transactions guaranteed by Ambac Assurance. Ambac is not primarily liable for, and generally does not guarantee all of the debt obligations issued by the VIEs. Ambac would only be required to make payments on the VIE debt obligations in the event that the issuer of such debt obligations defaults on any principal or interest due and such obligation is guaranteed by Ambac. Additionally, Ambac’s general creditors, other than those specific policy holders which own the VIE debt obligations, 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 income and earnings per share effect of these consolidated FG VIEs are attributable to Ambac’s interests through financial guarantee premium and loss payments with the VIE. Below is a schedule detailing the change in fair value of the various financial instruments within the consolidated FG VIEs, along with gains (losses) from consolidating and deconsolidating FG VIEs, that together comprise Income (loss) on variable interest entities for for the affected periods: Year Ended December 31, 2017 2016 2015 Income (loss) on changes related to: Net fair value of VIE assets and liabilities $ 19,670 $ (14,093 ) $ 30,997 Deconsolidation — — 572 Income (loss) on Variable Interest Entities $ 19,670 $ (14,093 ) $ 31,569 Ambac deconsolidated one , one and two VIEs for the years ended December 31, 2017, 2016 and 2015 , respectively. These VIEs were deconsolidated as a result of guaranteed bond retirements or financial guarantee policy terminations that eliminated Ambac's controlling interest in the entities. The deconsolidations occurring in 2017 and 2016 were related to guaranteed bond retirements which resulted in no gain or loss. The gain on deconsolidation in 2015 reflected the excess of fees receivable from a financial guarantee policy termination for one VIE, representing Ambac's remaining non-controlling financial interest, over the fair value of net assets of the VIE at deconsolidation. The table below provides the fair value of fixed income securities, by asset-type, held by consolidated VIEs as of December 31, 2017 and 2016 : December 31, 2017 2016 Investments: Corporate obligations $ 2,914,145 $ 2,622,566 Total variable interest entity assets: fixed income securities $ 2,914,145 $ 2,622,566 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, 2017 and 2016 : Estimated fair value Unpaid principal balance December 31, 2017: Loans $ 11,529,384 $ 8,168,651 Long-term debt 12,160,544 9,387,884 December 31, 2016: Loans 10,658,963 7,641,756 Long-term debt $ 11,155,936 $ 8,854,530 Ambac Sponsored VIEs: A subsidiary of Ambac transferred financial assets to a special purpose entity. The business purpose of this entity was to provide certain financial guarantee clients with funding for their debt obligations. This special purpose entity was established as a separate legal entity, demonstrably distinct from Ambac and that Ambac, its affiliates or its agents could not unilaterally dissolve. The permitted activities of this entity are contractually limited to purchasing assets from Ambac, issuing medium-term notes ("MTNs") to fund such purchases, executing derivative hedges and obtaining financial guarantee policies with respect to indebtedness incurred. Ambac does not consolidate this entity because Ambac Assurance’s policies issued to it were allocated to the Segregated Account, thereby limiting Ambac’s control over the entity's most significant economic activities. Pursuant to the Stipulation and Order (described in Note 1. Background and Business Description ), Ambac's exercise of certain control rights with respect to former Segregated Account policies will continue to be subject to approval by OCI. Ambac has elected to account for its equity interest in this entity 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 this entity 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 9. Fair Value Measurements for further information on the valuation technique and inputs used to measure the fair value of Ambac’s equity interest in this entity. At December 31, 2017 and 2016 the fair value of this entity was $5,979 and $7,382 , respectively, and is reported within Other assets on the Consolidated Balance Sheets. • Total principal amount of debt outstanding was $420,600 and $388,950 at December 31, 2017 and 2016 , respectively. In each case, Ambac sold assets to this entity. The assets are composed of utility obligations with a weighted average rating of BBB+ at December 31, 2017 and weighted average life of 3.1 years . The purchase by this entity of financial assets was financed through the issuance of 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 entity for economic hedging purposes only. Derivative positions were established at the time MTNs were issued to purchase financial assets. As of December 31, 2017 , all fixed-income securities owned, MTNs outstanding and payments due under derivative contracts were guaranteed under financial guarantee insurance policies issued by Ambac Assurance or Ambac UK. • Insurance premiums paid to Ambac Assurance and Ambac UK by this entity 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 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). Although the Securities were legally sold to the Trust, the Securities will remain in fixed income securities on the Consolidated Balance Sheets. The Securities had par and fair value of $293,409 and $346,212 as of December 31, 2017 , respectively. Refer to Note 10. 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 $73,993 and $102,403 as of December 31, 2017 and 2016 , respectively, and is reported in Long-Term Debt on the Consolidated Balance Sheets. Variable Interests in Non-Consolidated VIEs 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 notes. 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 $34,941 and $30,003 as of December 31, 2017 and 2016 , respectively. Additionally, at December 31, 2017 Ambac held $35,000 of the debt issued by this VIE. 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, 2017 and 2016 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) December 31, 2017: Global structured finance: Collateralized debt obligations $ 35,555 $ 169 $ 1 $ (15 ) Mortgage-backed—residential 12,766,685 619,848 3,218,356 — Other consumer asset-backed 2,266,610 23,405 328,732 — Other commercial asset-backed 987,797 30,413 35,976 — Other 2,513,304 60,086 306,457 10,311 Total global structured finance 18,569,951 733,921 3,889,522 10,296 Global public finance 25,629,816 335,347 371,056 (551 ) Total $ 44,199,767 $ 1,069,268 $ 4,260,578 $ 9,745 December 31, 2016: Global structured finance: Collateralized debt obligations $ 761,451 $ 218 $ 3,319 $ (145,402 ) Mortgage-backed—residential 14,859,909 725,106 3,118,892 — Other consumer asset-backed 2,391,604 26,758 302,335 — Other commercial asset-backed 1,686,256 66,277 64,961 — Other 2,963,521 66,091 412,929 13,347 Total global structured finance 22,662,741 884,450 3,902,436 (132,055 ) Global public finance 25,608,471 338,587 359,142 (8,827 ) Total $ 48,271,212 $ 1,223,037 $ 4,261,578 $ (140,882 ) (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, 2017 | |
Equity [Abstract] | |
Comprehensive Income | 4. 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, 2017: Beginning Balance $ 118,863 $ 9,367 $ (167,220 ) $ (38,990 ) Other comprehensive income before reclassifications (96,325 ) 2,625 73,586 (20,114 ) Amounts reclassified from accumulated other comprehensive income 14,805 (1,352 ) — 13,453 Adjustment to initially adopt ASU 2018-02 (6,588 ) — — (6,588 ) Net current period other comprehensive income (88,108 ) 1,273 73,586 (13,249 ) Balance at December 31, 2017 $ 30,755 $ 10,640 $ (93,634 ) $ (52,239 ) Year ended December 31, 2016: Beginning Balance $ 50,963 $ 9,344 $ (45,092 ) $ 15,215 Other comprehensive income before reclassifications 85,378 1,041 (122,128 ) (35,709 ) Amounts reclassified from accumulated other comprehensive income (17,478 ) (1,018 ) — (18,496 ) Net current period other comprehensive income (loss) 67,900 23 (122,128 ) (54,205 ) Balance at December 31, 2016 $ 118,863 $ 9,367 $ (167,220 ) $ (38,990 ) (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: Details about Accumulated Other Comprehensive Income Components Amount Reclassified from Accumulated (1) Affected Line Item in the Consolidated Statement of Total Comprehensive Income Year Ended December 31, 2017 2016 Unrealized Gains (Losses) on Available-for-Sale Securities $ 14,805 $ (17,478 ) Net realized investment gains — — Tax (expense) benefit $ 14,805 $ (17,478 ) Net of tax and noncontrolling interest (3) Amortization of Postretirement Benefit Prior service cost $ (963 ) $ (666 ) Underwriting and operating expenses (2) Actuarial gains (losses) (389 ) (352 ) Underwriting and operating expenses (2) (1,352 ) (1,018 ) Total before tax — — Tax (expense) benefit (1,352 ) (1,018 ) Net of tax and noncontrolling interest (3) Total reclassifications for the period $ 13,453 $ (18,496 ) 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, 2017 | |
Earnings Per Share [Abstract] | |
Net Income Per Share | 5. NET INCOME PER SHARE On May 1, 2013, pursuant to the Second Modified Fifth Amended Plan of Reorganization of Ambac (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 entitled 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, 2017 , 2016 and 2015 , 0 , 136 , and 740 , warrants, respectively, were exercised, resulting in an issuance of 0 , 136 and 236 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. On November 3, 2016, the Board of Directors of Ambac authorized a $10,000 increase to the warrant repurchase program. For the year ended December 31, 2017 , Ambac repurchased 0 warrants at a cost of $0 . As of December 31, 2017 , Ambac had repurchased 985,331 warrants at a cost of $8,092 , (average cost of $8.21 per warrant), leaving 4,053,670 warrants outstanding. The remaining aggregate authorization at December 31, 2017 is $11,939 . 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: Year Ended December 31, 2017 2016 2015 Basic weighted average shares outstanding 45,367,932 45,212,414 45,173,542 Effect of potential dilutive shares (1) : Warrants — 312,619 809,834 Stock options — 447 5,313 Restricted stock units — 116,105 14,221 Performance stock units — 81,939 3,117 Diluted weighted average shares outstanding 45,367,932 45,723,524 46,006,027 Anti-dilutive shares excluded from the above reconciliation Stock options 126,667 110,000 110,000 Warrants 4,053,670 — — Restricted stock units 68,654 — — Performance stock units (2) 322,943 — — (1) For the year ended December 31, 2017 , Ambac has a net loss and accordingly excluded all potentially dilutive securities from the determination of diluted loss per share as their impact was anti-dilutive. (2) Performance stock units are reflected herein at their target issuance amounts. Vesting of these units is contingent upon meeting certain performance metrics. Although a portion of these performance metrics have been achieved as of the respective period end, it is possible that awards may no longer meet the metric at the end of the performance period. |
Financial Guarantees in Force (
Financial Guarantees in Force (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Guarantees [Abstract] | |
Financial Guarantees in Force | 6. 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 as opposed to the current accreted value of the bonds. Financial guarantees outstanding exclude the exposures of policies that insure bonds which have been called, pre-refunded or refunded. The gross par amount of financial guarantees outstanding was $67,140,000 and $86,373,000 at December 31, 2017 and 2016 , respectively. The par amount of financial guarantees outstanding, net of reinsurance, was $62,716,000 and $79,346,000 at December 31, 2017 and 2016 , respectively. As of December 31, 2017 and 2016 , the guarantee portfolio was diversified by type of guaranteed bond as shown in the following table: Net Par Outstanding December 31, 2017 2016 Public Finance: Lease and tax-backed revenue $ 11,893,000 $ 15,688,000 Housing revenue 6,312,000 6,508,000 General obligation 6,257,000 9,867,000 Utility revenue 2,212,000 4,298,000 Transportation revenue 2,002,000 3,860,000 Higher education 1,642,000 2,339,000 Health care revenue 807,000 1,484,000 Other 963,000 1,018,000 Total Public Finance 32,088,000 45,062,000 Structured Finance: Mortgage-backed and home equity 7,267,000 9,383,000 Investor-owned utilities 3,274,000 3,833,000 Student loan 1,238,000 1,388,000 Asset-backed (1) 443,000 565,000 CDOs 33,000 132,000 Other 1,561,000 1,650,000 Total Structured Finance 13,816,000 16,951,000 International Finance: Investor-owned and public utilities 5,696,000 6,168,000 Sovereign/sub-sovereign 5,664,000 5,211,000 Asset-backed (1) 2,609,000 2,951,000 Transportation 1,777,000 1,700,000 Mortgage-backed and home equity 246,000 254,000 CDOs — 186,000 Other 820,000 863,000 Total International Finance 16,812,000 17,333,000 Total $ 62,716,000 $ 79,346,000 (1) At December 31, 2017 and 2016 , all asset-backed net par amounts outstanding relate to commercial asset-based transactions. As of December 31, 2017 and 2016 , the International Finance guaranteed portfolio by location of risk was as outlined in the table below: Net Par Outstanding December 31, 2017 2016 United Kingdom $ 13,554,000 $ 12,798,000 Italy 877,000 898,000 Austria 770,000 696,000 Australia 608,000 1,393,000 France 329,000 286,000 Internationally diversified (1) 368,000 648,000 Other international 306,000 614,000 Total International Finance $ 16,812,000 $ 17,333,000 (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) were $108,550,000 and $137,745,000 at December 31, 2017 and 2016 , respectively. Net financial guarantees in force (after giving effect to reinsurance) were $101,223,000 and $126,306,000 as of December 31, 2017 and 2016 , respectively. In the United States, California , New York and New Jersey were the states with the highest aggregate net par amounts in force, accounting for 10.1% , 5.8% and 5.2% of the total at December 31, 2017 , respectively. No other state accounted for more than 5.0% . The highest single insured risk represented 2.6% of the aggregate net par amount guaranteed. |
Financial Guarantee Insurance C
Financial Guarantee Insurance Contracts | 12 Months Ended |
Dec. 31, 2017 | |
Insurance [Abstract] | |
Financial Guarantee Insurance Contracts | 7. 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: Year Ended December 31, 2017 2016 2015 Beginning premium receivable $ 661,337 $ 831,575 $ 1,000,607 Premium receipts (81,597 ) (77,038 ) (108,029 ) Adjustments for changes in expected and contractual cash flows (30,334 ) (78,528 ) (64,740 ) Accretion of premium receivable discount 16,162 18,637 24,628 Changes to uncollectable premiums (141 ) 6,054 2,540 Other adjustments (including foreign exchange) 20,885 (39,363 ) (23,431 ) Ending premium receivable (1) $ 586,312 $ 661,337 $ 831,575 (1) Gross premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At December 31, 2017, 2016 and 2015 premium receivables include British Pounds of $151,852 ( £112,342 ), $177,878 ( £144,393 ) and $226,994 ( £154,135 ), respectively, and Euros of $36,001 ( £29,976 ), $34,866 ( €33,108 ) and $43,451 ( €40,014 ), respectively. In structured finance transactions, the priority for the payment of financial guarantee premiums to Ambac, as required by bond indentures of insured structured finance obligations, is generally senior in the waterfall. Additionally, trustees and other parties are required under the Second Amended Plan of Rehabilitation 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. Uncollectable premiums are determined on a policy basis and utilize a combination of historical premium collection data in addition to cash flow analysis to determine if an impairment in the related policy's premium receivables exist. At December 31, 2017 and 2016 , $9,331 and $9,186 respectively, of premium receivables were deemed uncollectable. As of December 31, 2017 and 2016 , approximately 22% and 25% , respectively, of the premium receivables relate to transactions with non-investment grade internal ratings, comprised mainly of structured finance transactions, which comprised 16% and 16% of total premium receivables at December 31, 2017 and 2016 , respectively. Past due premiums on policies insuring non-investment grade obligations amounted to less than $500 at December 31, 2017 . The effect of reinsurance on premiums written and earned was as follows: 2017 2016 2015 Year Ended December 31, Written Earned Written Earned Written Earned Direct $ (14,313 ) $ 190,496 $ (53,837 ) $ 215,564 $ (37,572 ) $ 336,025 Assumed — 106 — 85 — 87 Ceded (2,104 ) 15,325 (8,772 ) 18,362 (3,001 ) 23,517 Net premiums $ (12,209 ) $ 175,277 $ (45,065 ) $ 197,287 $ (34,571 ) $ 312,595 Ambac’s accelerated premium revenue for retired obligations for the years ended December 31, 2017, 2016 and 2015 , was $64,494 , $52,416 and $137,400 , respectively. The following table summarizes net premiums earned by location of risk: Year Ended December 31, 2017 2016 2015 United States $ 134,099 $ 168,646 $ 229,658 United Kingdom 32,928 24,470 68,799 Other international 8,250 4,171 14,138 Total $ 175,277 $ 197,287 $ 312,595 The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at December 31, 2017 : Future Premiums Collected (1) Future to be Earned Net of (1) Three months ended: March 31, 2018 $ 16,923 $ 17,561 June 30, 2018 13,801 17,294 September 30, 2018 14,779 16,604 December 31, 2018 13,282 16,150 Twelve months ended: December 31, 2019 55,203 61,368 December 31, 2020 52,282 57,263 December 31, 2021 45,848 52,149 December 31, 2022 43,678 48,447 Five years ended: December 31, 2027 193,190 197,446 December 31, 2032 150,385 131,682 December 31, 2037 82,597 72,520 December 31, 2042 29,169 24,833 December 31, 2047 13,599 12,694 December 31, 2052 3,586 4,651 December 31, 2057 92 298 Total $ 728,414 $ 730,960 (1) Future premiums to be collected are undiscounted and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable as further described in Note 2. Basis of Presentation and Significant Accounting Policies . This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing. 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, 2017 and 2016 : Unpaid Claims Present Value of Expected Balance Sheet Line Item Claims Accrued Claims and Recoveries Unearned Gross Loss and December 31, 2017: Loss and loss expense reserves $ 2,411,632 $ 667,988 $ 2,855,010 $ (1,054,113 ) $ (135,502 ) $ 4,745,015 Subrogation recoverable 615,391 171,755 102,171 (1,520,530 ) — (631,213 ) Totals $ 3,027,023 $ 839,743 $ 2,957,181 $ (2,574,643 ) $ (135,502 ) $ 4,113,802 December 31, 2016: Loss and loss expense reserves $ 2,411,105 $ 529,703 $ 2,681,198 $ (1,098,096 ) $ (143,141 ) $ 4,380,769 Subrogation recoverable 583,042 132,139 68,419 (1,468,331 ) — (684,731 ) Totals $ 2,994,147 $ 661,842 $ 2,749,617 $ (2,566,427 ) $ (143,141 ) $ 3,696,038 Below is the loss and loss expense reserve roll-forward, net of subrogation recoverable and reinsurance, for the affected periods. Year Ended December 31, 2017 2016 2015 Beginning gross loss and loss expense reserves $ 3,696,038 $ 2,858,813 $ 3,798,733 Reinsurance recoverable 30,767 44,059 100,355 Beginning balance of net loss and loss expense reserves $ 3,665,271 $ 2,814,754 $ 3,698,378 Losses and loss expenses (benefit) incurred: Current year 5,691 6,675 1,183 Prior years 507,495 (18,164 ) (769,890 ) Total (1)(2) 513,186 (11,489 ) (768,707 ) Loss and loss expenses (recovered) paid: Current year 825 5,371 — Prior years 133,427 (944,955 ) 90,086 Total 134,252 (939,584 ) 90,086 Foreign exchange effect 28,939 (77,578 ) (24,831 ) Ending net loss and loss expense reserves $ 4,073,144 $ 3,665,271 $ 2,814,754 Reinsurance recoverable (3) 40,658 30,767 44,059 Ending gross loss and loss expense reserves (4) $ 4,113,802 $ 3,696,038 $ 2,858,813 (1) Total losses and loss expenses (benefit) includes $(20,348) , $5,421 and $47,085 for the years ended December 31, 2017, 2016 and 2015 , respectively, related to ceded reinsurance. (2) Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain R&Ws within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated representation and warranties for the year ended December 31, 2017, 2016 and 2015 was $72,003 , $(71,369) and $(303,633) , respectively. (3) Represents reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line " Reinsurance recoverable on paid and unpaid losses " includes reinsurance recoverables (payables) of $339 , $(349) and $(60) as of December 31, 2017, 2016 and 2015 , respectively, related to previously presented loss and loss expenses and subrogation. (4) Includes Euro denominated gross loss and loss expense reserves of $21,116 ( €17,582 ), $21,375 ( €20,297 ) and $19,019 ( €17,515 ) at December 31, 2017, 2016 and 2015 , respectively. For 2017, the net adverse development in prior years was primarily the result of negative development in certain public finance transactions, including Puerto Rico, and interest accrued on Deferred Amounts partially offset by positive developments in certain Ambac UK transactions, including a benefit related to a confidential settlement of litigation brought by Ambac UK in the name of Ballantyne Re plc ("Ballantyne"). • Puerto Rico Ambac has exposure to the Commonwealth of Puerto Rico (the "Commonwealth") and its instrumentalities across several different issuing entities. Each has its own credit risk profile attributable to discrete revenue sources, direct general obligation pledges and general obligation guarantees. The Commonwealth of Puerto Rico and certain of its instrumentalities have and will continue to default on debt service payments, including payments owed on bonds insured by Ambac Assurance. Ambac Assurance may be required to make significant amounts of policy payments over the next several years, the recoverability of which is subject to great uncertainty, which may lead to material permanent losses. Our exposure to Puerto Rico is impacted by the amount of monies available for debt service, which is in turn affected by variability in economic growth, tax revenues, essential services expense as well as federal funding of Commonwealth needs. In addition, our exposure to Puerto Rico is impacted by the significant damage to the Commonwealth that was inflicted by Hurricane Maria, which made landfall on September 20, 2017, as well as Hurricane Irma, which passed just north of the island on September 6, 2017. The longer term recovery of the economy of the Commonwealth and its essential infrastructure will likely be highly dependent on the amount, timing and effectiveness of Federal aid. Substantial uncertainty also exists with respect to the ultimate outcome for creditors in Puerto Rico due to legislation enacted by the Commonwealth and the United States, including PROMESA, as well as actions taken in reliance on such laws, including Title III filings. Ambac Assurance is involved in multiple litigations relating to such actions and other issues and may not be successful in pursuing claims or protecting its interests. Ambac Assurance is also participating in a mediation process with respect to potential debt restructurings. Mediation may not be productive or may not resolve Ambac Assurance's claims in a manner that avoids significant losses. It is possible that certain restructuring process solutions, together with associated legislation, budgetary, and/or public policy proposals could be adopted and could significantly or further impair our exposures. While our reserving scenarios reflect a wide range of possible outcomes reflecting the significant uncertainty regarding future developments and outcomes, given our exposure to Puerto Rico and the economic, fiscal, legal and political uncertainties associated therewith as well as the uncertainties emanating from the damage caused by hurricanes Maria and Irma, our loss reserves may ultimately prove to be insufficient to cover our losses, potentially by a material amount, and may be subject to material volatility. Ambac has considered these developments and other factors in evaluating its Puerto Rico loss reserves. During the year ended December 31, 2017 , Ambac had incurred losses associated with its Domestic Public Finance insured portfolio of $476,303 , which was significantly impacted by the continued uncertainty and volatility of the situation in Puerto Rico. While management believes its reserves are adequate to cover losses in its Public Finance insured portfolio, there can be no assurance that Ambac may not incur additional losses in the future, particularly given the developing economic, political, and legal circumstances in Puerto Rico. Such additional losses may have a material adverse effect on Ambac’s results of operations and financial condition. For public finance credits, including Puerto Rico, as well as other issuers, for which Ambac has an estimate of expected loss at December 31, 2017 , the possible increase in loss reserves under stress or other adverse conditions and circumstances was estimated to be approximately $1,500,000 . However, there can be no assurance that losses may not exceed such amount. • Ballantyne Litigation On March 25, 2017, Ambac UK agreed in principle to a confidential settlement of litigation brought by Ambac UK in the name of Ballantyne against J.P. Morgan Investment Management Inc. ("JPMIM") relating to the management of Ballantyne’s investment accounts, which were funded with the proceeds of notes issued in 2006 in connection with a structured reinsurance transaction and guaranteed in part by Ambac UK. On April 11, 2017, Ambac UK, Ballantyne and JPMIM signed a settlement agreement. Pursuant to the settlement, Ballantyne received a payment of $325,600 from JPMIM in return for releases of all claims by Ballantyne and Ambac UK. As a result of the settlement, Ambac recognized an incremental benefit through a reduction in losses and loss expenses of approximately $91,600 in the first quarter of 2017. Ambac had previously included an estimated benefit through a reduction of loss and loss expense reserves of approximately $53,000 related to our probability weighted estimate of the value of the litigation. The total $144,600 benefit recognized from the settlement of the litigation will reduce the ultimate Ballantyne claims Ambac UK is expecting to pay and not result in a direct cash payment to Ambac UK. For 2016, the net positive development in prior years was primarily the result of lower projected losses in the RMBS portfolio due to improved deal performance and higher representation and warranty subrogation recoveries, and the impact of executed commutations in the student loan portfolio. This is partially offset by negative development in Puerto Rico, the adverse impact of foreign currency rate movements on the Ambac UK portfolio and interest accrued on Deferred Amounts. For 2015, the net positive development in prior years was primarily due to increases in our estimate of RMBS R&W recoveries as a result of continuous efforts and ongoing assessments of the value of our claims, as well as declines in interest rates on RMBS, student loans and Ambac UK credits, reduced claims expectations for an Ambac UK transaction resulting from proactive remediation efforts and the impact of executed commutations in the student loan portfolio. This was partially offset by negative development in Puerto Rico, the adverse impact of foreign currency rate movements on the Ambac UK portfolio and interest accrued on Deferred Amounts. The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at December 31, 2017 and 2016 . Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at December 31, 2017 and 2016 was 2.5% and 2.7% , respectively. Surveillance Categories as of December 31, 2017 I IA II III IV V Total Number of policies 26 20 26 22 179 4 277 Remaining weighted-average contract period (in years) (1) 10 23 10 24 13 4 17 Gross insured contractual payments outstanding: Principal $ 1,046,267 $ 531,190 $ 1,199,909 $ 1,998,861 $ 6,862,281 $ 48,562 $ 11,687,070 Interest 531,657 584,098 413,045 7,182,715 2,469,765 16,332 11,197,612 Total $ 1,577,924 $ 1,115,288 $ 1,612,954 $ 9,181,576 $ 9,332,046 $ 64,894 $ 22,884,682 Gross undiscounted claim liability (2) $ 4,434 $ 56,659 $ 77,289 $ 1,412,976 $ 6,409,340 $ 64,863 $ 8,025,561 Discount, gross claim liability (465 ) (13,095 ) (12,250 ) (643,897 ) (616,559 ) (4,739 ) (1,291,005 ) Gross claim liability before all subrogation and before reinsurance $ 3,969 $ 43,564 $ 65,039 $ 769,079 $ 5,792,781 $ 60,124 $ 6,734,556 Less: Gross RMBS subrogation (3) — — — — (1,857,502 ) — (1,857,502 ) Discount, RMBS subrogation — — — — 23,115 — 23,115 Discounted RMBS subrogation, before reinsurance — — — — (1,834,387 ) — (1,834,387 ) Less: Gross other subrogation (4) — (7,990 ) (9,371 ) (53,070 ) (743,456 ) (13,191 ) (827,078 ) Discount, other subrogation — 5,169 2,550 8,349 67,045 3,709 86,822 Discounted other subrogation, before reinsurance — (2,821 ) (6,821 ) (44,721 ) (676,411 ) (9,482 ) (740,256 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 3,969 $ 40,743 $ 58,218 $ 724,358 $ 3,281,983 $ 50,642 $ 4,159,913 Less: Unearned premium revenue (2,126 ) (9,990 ) (12,238 ) (46,086 ) (64,786 ) (276 ) (135,502 ) Plus: Loss expense reserves 16,116 3,242 665 13,331 56,037 — 89,391 Gross loss and loss expense reserves $ 17,959 $ 33,995 $ 46,645 $ 691,603 $ 3,273,234 $ 50,366 $ 4,113,802 Reinsurance recoverable reported on Balance Sheet (5) $ 202 $ 4,894 $ 9,424 $ 38,465 $ (11,988 ) $ — $ 40,997 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) 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. (3) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (4) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions including RMBS. (5) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $40,658 related to future loss and loss expenses and $339 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2016 I IA II III IV V Total Number of policies 19 22 26 43 169 3 282 Remaining weighted-average contract period (in years) (1) 9 8 30 17 14 5 16 Gross insured contractual payments outstanding: Principal $ 918,456 $ 733,036 $ 1,992,543 $ 1,779,889 $ 7,926,991 $ 49,247 $ 13,400,162 Interest 345,802 199,631 7,080,969 1,110,051 2,275,421 14,185 11,026,059 Total $ 1,264,258 $ 932,667 $ 9,073,512 $ 2,889,940 $ 10,202,412 $ 63,432 $ 24,426,221 Gross undiscounted claim liability (2) $ 3,439 $ 21,175 $ 547,550 $ 861,455 $ 6,139,060 $ 63,431 $ 7,636,110 Discount, gross claim liability (314 ) (1,243 ) (331,234 ) (256,108 ) (710,608 ) (5,859 ) (1,305,366 ) Gross claim liability before all subrogation and before reinsurance $ 3,125 $ 19,932 $ 216,316 $ 605,347 $ 5,428,452 $ 57,572 $ 6,330,744 Less: Gross RMBS subrogation (3) — — — — (1,926,165 ) — (1,926,165 ) Discount, RMBS subrogation — — — — 19,130 — 19,130 Discounted RMBS subrogation, before reinsurance — — — — (1,907,035 ) — (1,907,035 ) Less: Gross other subrogation (4) — — (14,529 ) (118,272 ) (593,919 ) (12,751 ) (739,471 ) Discount, other subrogation — — 6,526 13,426 56,273 3,854 80,079 Discounted other subrogation, before reinsurance — — (8,003 ) (104,846 ) (537,646 ) (8,897 ) (659,392 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 3,125 $ 19,932 $ 208,313 $ 500,501 $ 2,983,771 $ 48,675 $ 3,764,317 Less: Unearned premium revenue (2,394 ) (1,807 ) (49,578 ) (31,785 ) (57,194 ) (383 ) (143,141 ) Plus: Loss expense reserves 6,621 339 777 11,036 56,089 — 74,862 Gross loss and loss expense reserves $ 7,352 $ 18,464 $ 159,512 $ 479,752 $ 2,982,666 $ 48,292 $ 3,696,038 Reinsurance recoverable reported on Balance Sheet (5) $ 120 $ 6,063 $ 2,737 $ 39,352 $ (17,854 ) $ — $ 30,418 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) 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. (3) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. (4) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS. (5) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $30,767 related to future loss and loss expenses and $(349) related to presented loss and loss expenses and subrogation. Representation and Warranty Recoveries: Ambac records estimated subrogation recoveries for breaches of R&Ws by sponsors of certain RMBS transactions. For a discussion of the approach utilized to estimate R&W subrogation recoveries, see Note 2. Basis of Presentation and Significant Accounting Policies . R&W subrogation may include estimates of potential sponsor settlements, 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 below table. Ambac has recorded R&W subrogation recoveries of $1,834,387 , ( $1,806,736 net of reinsurance) and $1,907,035 , ( $1,878,740 net of reinsurance) at December 31, 2017 and 2016 , respectively. The balance of R&W subrogation recoveries and the related loss reserves at December 31, 2017 and 2016 , are as follows: Gross loss (1) Subrogation (2)(3) Gross loss At December 31, 2017 $ 1,366,483 $ (1,834,387 ) $ (467,904 ) At December 31, 2016 $ 1,351,640 $ (1,907,035 ) $ (555,395 ) (1) Amount represents gross loss reserves for policies that have established a representation and warranty subrogation recovery. 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 future cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of R&W subrogation recoveries may exceed the sum of the unpaid claims and the present value of expected cash flows for a given policy. The net cash inflow for these policies is recorded as a “Subrogation recoverable” asset. For those transactions where the subrogation recovery is less than the sum of unpaid claims and the present value of expected cash flows, the net cash outflow for these policies is recorded as a “Loss and loss expense reserves” liability. (3) The sponsor’s repurchase obligation may differ depending on the terms of the particular transaction and the status of the specific loan, such as whether it is performing or has been liquidated or charged off. Below is the rollforward of R&W subrogation for the affected periods: Year ended December 31, 2017 2016 2015 Discounted RMBS subrogation (gross of reinsurance) at beginning of year $ 1,907,035 $ 2,829,575 $ 2,523,540 Impact of sponsor actions (1) — (995,000 ) — All other changes (2) (72,648 ) 72,460 306,035 Discounted RMBS subrogation (gross of reinsurance) at end of year $ 1,834,387 $ 1,907,035 $ 2,829,575 (1) Sponsor actions include loan repurchases, direct payments to Ambac and other contributions from sponsors. In January 2016, Ambac Assurance settled its RMBS-related disputes and litigation against JP Morgan Chase & Co. and certain of its affiliates (collectively "JP Morgan"). Pursuant to the settlement, JP Morgan paid Ambac Assurance $995,000 in cash in return for releases of all of Ambac Assurance's claims against JP Morgan arising from certain RMBS transactions insured by Ambac Assurance. Ambac Assurance also agreed to withdraw its objections to JP Morgan's global RMBS settlement with RMBS trustees. (2) All other changes which may impact R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries. All other changes may also include estimates of potential sponsor settlements that may not have been subject to a sampling approach or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in this table. Assumed Reinsurance: Assumed par outstanding was $219,100 and $243,700 at December 31, 2017 and 2016 , respectively. 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 $93,192 at December 31, 2017 . Credit exposure existed at December 31, 2017 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, 2017 , there were ceded reinsurance balances payable of $37,876 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 $115,561 from its reinsurers at December 31, 2017 . As of December 31, 2017 , the aggregate amount of insured par ceded by Ambac Assurance to reinsurers under reinsurance agreements was $4,424,000 with the largest reinsurer accounting for $3,668,000 or 5.5% of gross par outstanding at December 31, 2017 . The following table represents the percentage ceded to reinsurers and reinsurance recoverable at December 31, 2017 and its rating levels obtained from each reinsurers website as of February 27, 2018 : Reinsurers Moody’s Rating Percentage Ceded Par Net Unsecured Reinsurance Recoverable (1) Assured Guaranty Re Ltd NR 82.9% $ — Assured Guaranty Corporation A3 9.2 — Sompo Japan Nipponkoa Insurance, Inc. A1 7.9 — Total 100% $ — (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 the years ended December 31, 2017 , 2016 and 2015 , the insurance intangible amortization expense was $150,854 , $174,608 and $169,557 , respectively. As of December 31, 2017 and 2016 , the gross carrying value of the insurance intangible asset was $1,581,156 and $1,534,419 , respectively. Accumulated amortization of the insurance intangible asset was $734,183 and $572,339 , as of December 31, 2017 and 2016 , respectively, resulting in a net insurance intangible asset of $846,973 and $962,080 , respectively. The estimated future amortization expense for the net insurance intangible asset is as follows: Future Insurance Intangible Amortization (1) 2018 2019 2020 2021 2022 Thereafter $ 76,638 $ 69,082 $ 63,892 $ 58,207 $ 53,908 $ 525,246 (1) 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 as described in Note 2. Basis of Presentation and Significant Accounting Policies . As exposures are called or prepay, amortization of the insurance intangible asset will be recognized earlier and the timing will differ from the amounts provided in the table above. |
Insurance Regulatory Restrictio
Insurance Regulatory Restrictions (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Regulatory Assets and Liabilities Disclosure [Abstract] | |
Insurance Regulatory Restrictions | 8. INSURANCE REGULATORY RESTRICTIONS United States Ambac Assurance and Everspan are domiciled in the State of Wisconsin and, as such, are subject to the insurance laws and regulations of the State of Wisconsin (the “Wisconsin Insurance Laws”) and are regulated by the OCI. In addition, Ambac Assurance and Everspan are subject to the insurance laws and regulations of the other jurisdictions in which they are licensed. Insurance laws and regulations applicable to financial guarantee insurers vary by jurisdiction. The laws and regulations generally require financial guarantors to maintain minimum standards of business conduct and solvency; to meet certain financial tests; and to file policy forms, premium rate schedules and certain reports with regulatory authorities, including information concerning capital structure, ownership, financial condition and enterprise risk. Regulated insurance companies are also required to file quarterly and annual statutory financial statements with the National Association of Insurance Commissioners (“NAIC”), and in each jurisdiction in which they are licensed. The level of supervisory authority that may be exercised by non-domiciliary insurance regulators varies by jurisdiction. Generally, however, non-domiciliary regulators are authorized to suspend or revoke the insurance license they issued and to impose restrictions on that license in the event that laws or regulations are breached by a regulated insurance company or in the event that continued or unrestricted licensing of the regulated insurance company constitutes a “hazardous condition” in the opinion of the regulator. As the principal, or domiciliary, regulator of Ambac Assurance and Everspan, OCI has primary regulatory authority, including with respect to the initiation and administration of rehabilitation or liquidation proceedings. Additionally, the accounts and operations of Ambac Assurance and Everspan are subject to periodic comprehensive examinations by the OCI. Wisconsin Insurance Laws require regulated insurance companies to maintain minimum standards of business conduct, maintain minimum surplus to policyholders, meet certain financial tests, and file certain reports, including information concerning their capital structure, ownership, financial condition and enterprise risk. Ambac Assurance and Everspan are not subject to risk-based capital requirements, since they are financial guarantee insurers. Ambac Assurance and Everspan are in compliance with minimum surplus levels. Wisconsin Insurance Laws also require prior approval by OCI of certain transactions between Ambac Assurance or Everspan and their respective affiliates. In addition, pursuant to the terms of the Settlement Agreement and the Stipulation and Order, Ambac Assurance must seek prior approval by OCI of certain corporate actions. The Settlement Agreement and Stipulation and Order include covenants which restrict the operations of Ambac Assurance. The Settlement Agreement will remain in force until the surplus notes that were issued pursuant to the Settlement Agreement have been redeemed, repurchased or repaid in full. The Stipulation and Order will remain in force for so long as OCI determines it to be necessary. Certain of the restrictions in the Settlement Agreement may be waived with the approval of the OCI and/or the requisite percentage of holders of surplus notes issued in connection with the Settlement Agreement. 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 and Everspan. The New York financial guarantee insurance law also establishes single risk and aggregate limits with respect to insured 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 liability that is equal to the sum of various percentages of aggregate net liability for various categories of specified obligations. At December 31, 2017 , Ambac Assurance is in compliance with applicable aggregate risk limits but not in compliance with applicable single risk limits. Through run-off of the portfolio, Ambac Assurance will continue to seek the reduction in its exposure for compliance with applicable single and aggregate risk limits, 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 Wisconsin Insurance law and OCI actions thereunder. A Wisconsin insurance company uses such statutory accounting practices prescribed or permitted by the State of Wisconsin for determining and reporting its financial condition and results of operations, including for determining its solvency under Wisconsin Insurance Law. The State of Wisconsin has adopted the applicable National Association of Insurance Commissioners (“NAIC”) accounting practices and procedures manual (“NAIC SAP”) as a component of prescribed practices by the State of Wisconsin. Ambac Assurance’s statutory policyholder surplus was $699,614 at December 31, 2017 , as compared to $976,477 as of December 31, 2016 . Statutory policyholder surplus differs from stockholders’ equity determined under GAAP principally due to statutory accounting rules that treat loss reserves, investments, consolidation of subsidiaries and variable interest entities, premiums earned and surplus notes differently. The OCI has prescribed or permitted accounting practices for Ambac Assurance. As a result of the prescribed and permitted practices discussed below, Ambac Assurance’s statutory surplus at December 31, 2017 and 2016 was lower by $104,097 and higher by $17,290 , respectively, than if Ambac Assurance had reported such amounts in accordance with NAIC SAP. Prescribed Accounting Practices: • OCI has prescribed an accounting practice that differs from NAIC SAP. Paragraph 8 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 13.e of Statutory Accounting Principles No. 97 "Investments in Subsidiary, Controlled and Affiliated Entities" and paragraph 8 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. Ambac also discounts probable losses on guarantees of subsidiary 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, 2017 and 2016 were 9.52% and 7.63% , 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. • OCI had 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 had prescribed an accounting practice that differed 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 applicable. Ambac Assurance 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, effective beginning June 11, 2014, 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. As a result of the exit of the Segregated Account from rehabilitation on February 12, 2018, this prescribed practice will no longer be applicable. • 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 (i.e., $100,000 . 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 Aggregate Excess of Loss Reinsurance Agreement between Ambac Assurance (as reinsurer) and the Segregated Account were not capped. As a result of the exit of the Segregated Account from rehabilitation on February 12, 2018, this prescribed practice will no longer be applicable. Permitted Accounting Practices: • 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 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. • Effective upon the exit of the Segregated Account from Rehabilitation and the merger of the Segregated Account with Ambac Assurance, Ambac Assurance received permission from OCI to restate its unassigned funds (surplus) balance to $100,000 with an offsetting reduction to gross paid-in and contributed surplus such that total surplus remains unchanged. United Kingdom The Prudential Regulatory Authority (“PRA”) and Financial Conduct Authority (“FCA”) (and their predecessor regulator the Financial Services Authority (“FSA”)) are 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. These regulators 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 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 were amended on January 1, 2016 in order to implement the European Union's "Solvency II" directive on risk-based capital. Notwithstanding the foregoing, Ambac UK is deficient in terms of compliance with currently applicable regulatory capital requirements under Solvency II directive. 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 2018 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 the Stipulation and Order. 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, unless the distribution is no more than 15% larger than for the corresponding period in the previous year. In addition, Wisconsin Insurance Laws restrict the payment of extraordinary dividends, which is any distribution which, together with distributions in the prior 12 months, is greater than 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. Extraordinary dividends must be reported to OCI at least 30 days 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 Ambac Assurance's surplus notes 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. The Stipulation and Order requires OCI approval for the payment of any dividend or distribution on the common stock of Ambac Assurance. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 9. 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 investments in fixed income securities representing municipal, asset-backed and corporate obligations, certain interest rate swap contracts, and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. 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, certain uncollateralized 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, 2017 and 2016 , 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, 2017: Financial assets: Fixed income securities: Municipal obligations $ 779,834 $ 779,834 $ — $ 779,834 $ — Corporate obligations 860,075 860,075 450 859,625 — Foreign obligations 26,543 26,543 25,615 928 — U.S. government obligations 85,408 85,408 85,408 — — Residential mortgage-backed securities 2,251,333 2,251,333 — 1,515,316 736,017 Collateralized debt obligations 51,037 51,037 — 51,037 — Other asset-backed securities 597,942 597,942 — 525,402 72,540 Fixed income securities, pledged as collateral: U.S. government obligations 99,719 99,719 99,719 — — Short term investments 557,270 557,270 389,299 167,971 — Other investments (1) 431,630 413,977 56,498 29,750 17,288 Cash and cash equivalents 623,703 623,703 615,073 8,630 — Loans 10,358 10,284 — — 10,284 Derivative assets: Interest rate swaps—asset position 73,199 73,199 — 11,825 61,374 Other assets 5,979 5,979 — — 5,979 Variable interest entity assets: Fixed income securities: Corporate obligations 2,914,145 2,914,145 — — 2,914,145 Restricted cash 978 978 978 — — Loans 11,529,384 11,529,384 — — 11,529,384 Derivative assets: Currency swaps-asset position 54,877 54,877 — 54,877 — Total financial assets $ 20,853,695 $ 20,835,968 $ 1,173,321 $ 4,005,195 $ 15,347,011 Financial liabilities: Long term debt, including accrued interest 1,428,680 1,369,499 — 1,046,511 322,988 Derivative liabilities: Credit derivatives 566 566 — — 566 Interest rate swaps—asset position (627 ) (627 ) — (627 ) — Interest rate swaps—liability position 81,495 81,495 — 81,495 — Futures contracts 1,348 1,348 1,348 — — Liabilities for net financial guarantees written (2) 3,435,438 4,842,402 — — 4,842,402 Variable interest entity liabilities: Long-term debt 12,160,544 12,160,544 — 9,402,856 2,757,688 Derivative liabilities: Interest rate swaps—liability position 2,205,264 2,205,264 — 2,205,264 — Total financial liabilities $ 19,312,708 $ 20,660,491 $ 1,348 $ 12,735,499 $ 7,923,644 Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2016: Financial assets: Fixed income securities: Municipal obligations $ 374,368 $ 374,368 $ — $ 374,368 $ — Corporate obligations 1,802,165 1,802,165 — 1,802,165 — Foreign obligations 43,135 43,135 42,212 923 — U.S. government obligations 36,186 36,186 36,186 — — U.S. agency obligations 4,060 4,060 — 4,060 — Residential mortgage-backed securities 2,351,595 2,351,595 — 1,654,882 696,713 Collateralized debt obligations 113,923 113,923 — 113,923 — Other asset-backed securities 828,783 828,783 — 762,793 65,990 Fixed income securities, pledged as collateral: U.S. government obligations 64,905 64,905 64,905 — — Short term investments 430,788 430,788 371,367 59,421 — Other investments (1) 450,307 435,237 83,791 — 14,934 Cash and cash equivalents 91,025 91,025 46,587 44,438 — Loans 4,160 4,066 — — 4,066 Derivative assets: Interest rate swaps—asset position 77,206 77,206 — 16,950 60,256 Interest rate swaps—liability position — — — — — Futures contracts 536 536 536 — — Other assets 7,382 7,382 — — 7,382 Variable interest entity assets: Fixed income securities: Corporate obligations 2,622,566 2,622,566 — — 2,622,566 Restricted cash 4,873 4,873 4,873 — — Derivative assets: Currency swaps-asset position 80,407 80,407 — 80,407 — Loans 10,658,963 10,658,963 — — 10,658,963 Total financial assets $ 20,047,333 $ 20,032,169 $ 650,457 $ 4,914,330 $ 14,130,870 Financial liabilities: Obligations under investment agreements $ 82,358 $ 82,333 $ — $ — $ 82,333 Long term debt, including accrued interest 1,536,352 1,494,340 — 1,147,728 346,612 Derivative liabilities: Credit derivatives 15,349 15,349 — — 15,349 Interest rate swaps—asset position (61,839 ) (61,839 ) — (61,839 ) — Interest rate swaps—liability position 365,776 365,776 — 220,587 145,189 Liabilities for net financial guarantees written (2) 3,009,943 4,490,070 — — 4,490,070 Variable interest entity liabilities: Long-term debt 11,155,936 11,155,936 — 8,573,716 2,582,220 Derivative liabilities: Interest rate swaps—liability position 2,078,601 2,078,601 — 2,078,601 — Currency swaps—liability position — — — — — Total financial liabilities $ 18,182,476 $ 19,620,566 $ — $ 11,958,793 $ 7,661,773 (1) Excluded from the fair value measurement categories in the table above are investment funds of $310,441 and $336,513 as of December 31, 2017 and 2016 , respectively, which are measured using NAV per share as a practical expedient. (2) 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. 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 values for financial instruments. 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 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. 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 calculate fair value. Such prices generally consider a variety of factors, including recent trades of the same and similar securities. In those cases, the items are classified within Level 2. 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. 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. Longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value. Generally, lower credit ratings or longer expected maturities will be accompanied by higher yields used to value a security. At December 31, 2017 , approximately 6% , 79% , and 15% 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, 2016 , approximately 5% , 82% , and 13% of the fixed income 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. Among the investments valued using internal valuation models are Ambac insured securities for which projected cash flows consist solely of Deferred Amounts and interest thereon. These securities are internally valued based upon the valuation of Ambac Assurance's surplus notes and comprise 13% and 12% of the portfolio at December 31, 2017 and 2016 , 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 analyses 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: Residential mortgage-backed securities: A portion of these securities are guaranteed under policies that were subject to the Segregated Account Rehabilitation Plan and had 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 $709,950 and $696,713 at December 31, 2017 and 2016 , respectively. Fair value was calculated based on the valuation of Ambac Assurance surplus notes which, under the terms of the Segregated Account Rehabilitation Plan effective in 2017, were to be redeemed in proportion with the payment of Deferred Amounts on or about the dates when such payments are made. Following the consummation of the Rehabilitation Exit Transactions on February 12, 2018, under which surplus notes tendered did receive consideration equal that paid to settle Deferred Amounts, remaining surplus notes outstanding will no longer be treated pari passu with payments on insurance obligations. Refer to Note 1. Background and Business Description for further details of the Rehabilitation Exit Transactions. The remaining portion of Level 3 residential mortgage-backed securities are an Ambac-insured re-REMIC containing distressed mortgage-backed securities as collateral, the fair value of which was $26,067 at December 31, 2017 . There were $0 such securities classified as Level 3 as of December 31, 2016 . Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield consistent with the security type and rating. Significant inputs for the valuation at December 31, 2017 were as follows: December 31, 2017: a. Coupon rate: 2.05% b. Average Life: 0.65 years c. Yield: 10.00% Other asset-backed securities: These securities are a subordinated tranche of a resecuritization collateralized by Ambac-insured military housing bonds. The fair value of such securities classified as Level 3 was $72,540 and $65,990 at December 31, 2017 and 2016 , respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield consistent with the security type and rating. Significant inputs for the valuation at December 31, 2017 and 2016 include the following weighted averages: December 31, 2017: December 31, 2016: a. Coupon rate: 5.97% a. Coupon rate: 5.93% b. Average Life: 17.02 years b. Average Life: 17.74 years c. Yield: 12.00% c. Yield: 13.50% Other Investments: Other investments primarily relate to investments in pooled investment funds. The fair value of pooled investment funds is determined using dealer quotes or alternative pricing sources when such investments have readily determinable fair values. When fair value is not readily determinable, pooled investment funds are valued using the net asset value (“NAV”) per share as a practical expedient as permitted under the Fair Value Measurement Topic of the ASC. Refer to Note 10. Investments for additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient. Other investments also includes Ambac's equity 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. 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 derivatives and other liabilities. The fair value of credit derivative liabilities was reduced by $60 and $1,924 at December 31, 2017 and 2016 , respectively, as a result of incorporating an Ambac CVA into the valuation model for these contracts. Interest rate swaps may also require an adjustment to fair value to reflect Ambac’s credit risk. During the three months ended June 30, 2017, interest rate swaps that had incorporated an Ambac CVA into the valuation were terminated. As a result, derivative liabilities are no longer reduced as a result of Ambac CVA at December 31, 2017 compared to $44,973 at December 31, 2016 . 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 derivative 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, for which 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 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 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 subject to collateral posting agreements. Counterparty credit risk related to such customer derivative assets is included in our fair value adjustments. The valuation of such derivatives is generally classified as Level 3. 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 (“C DS”): Fair value of Ambac’s CDS is determined using internal valuation models and represents the hypothetical transfer cost of the contract calculated as the difference between the net present value of the projected fees receivable under the CDS and our estimate of the fees a financial guarantor of comparable credit quality would charge to provide the same protection at the balance sheet date. Financial guarantee contracts, including CDS, are typically priced to capture some portion of the spread that would be observed in the capital markets for the underlying (insured) obligation. 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 the valuation of our credit derivatives include the balance of unpaid notional, expected term, fair values of the underlying reference obligations, reference obligation credit ratings and the CVA applied against Ambac Assurance liabilities by market participants. Notional balances, expected remaining term and reference obligation credit ratings are monitored and determined by Ambac’s Risk Management group. Fair values of the underlying reference obligations are obtained from broker quotes when available or are estimated internally using the same methodologies used to value Ambac’s fixed income securities in its investment portfolio. Ambac reflects changes in reference obligation credit ratings within the fair value of its CDS contracts by changing the percentage of the obligation's market spread (over LIBOR) that would be captured as a CDS fee at the valuation date. We adjust this percentage (“relative change ratio”) in our valuations based on internal rating changes such that the resulting fair value liability of the CDS contract, excluding the effect of Ambac's own credit risk, will increase up to the full amount of the unrealized loss on the reference obligation as the credit rating declines. Ambac incorporates its own credit risk into the valuation of its CDS liabilities by applying a CVA to the calculations described above. The Ambac CVA represents the difference between the present value of the hypothetical fees discounted at LIBOR compared to discount rates that incorporate Ambac credit risk. Information about the above described model inputs used to determine the fair value 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, 2017 and 2016 is summarized below: December 31, 2017 2016 Number of CDS transactions 2 8 Notional outstanding $ 325,890 $ 737,380 Weighted average reference obligation price 99.3 93.5 Weighted average life (WAL) in years 6.5 5.2 Weighted average credit rating A A- Weighted average relative change ratio 23.6 % 31.6 % CVA percentage 9.64 % 11.14 % Fair value of derivative liabilities $ 566 $ 15,349 The maximum potential amount of future payments under Ambac’s credit derivative contracts is generally the notional outstanding amount included in the above table plus future interest payments by the derivative reference obligations. Since Ambac’s credit derivatives typically reference obligations of or assets held by special purpose entities that meet the definition of a VIE, the amount of maximum potential future payments for credit derivatives is included in the table in Note 3. Special Purpose Entities, Including Variable Interest Entities . Changes in fair value 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 Management group tracks credit migration of CDS contracts’ reference obligations from period to period. Credits are assigned risk classifications by the Risk Management group. As of December 31, 2017 , there are no CDS contracts on Ambac’s adversely classified credit listing. As of December 31, 2016 , there were two CDS contracts on Ambac’s adversely classified credit listing, with a net derivative liability fair value of $6,123 and total notional outstanding of $67,783 . Significant unobservable inputs for credit derivatives include WAL, internal credit rating, relative change ratio and CVA percentage. A longer (shorter) WAL, lower (higher) reference obligation credit rating, higher (lower) relative change ratio or lower (higher) CVA, in isolation, would result in an increase (decrease) in the fair value liability measurement. A change in an internal credit rating of a reference obligation in our model will generally result in a directionally opposite change in the relative change ratio. Also, a shorter (longer) WAL will generally correspond with a lower (higher) CVA percentage. Financial Guarantees: Fair value of net financial guarantees written represents our estimate of the cost to Ambac to completely transfer its insurance obligation to another market participant of comparable credit worthiness. In theory, this amount should be the same amount that another market participant of comparable credit worthiness would hypothetically charge in the market place, on a present value basis, to provide the same protection as of the balance sheet date. This fair value estimate of financial guarantees is presented on a net basis and includes direct and assumed contracts written, net of ceded reinsurance contracts. The fair value estimate of financial guarantees is computed by utilizing cash flows calculated at the policy level. For direct and assumed contracts, net cash flows for each policy includes future: (i) installment premium receipts, (ii) gross claim payments, (iii) subrogation receipts, and (iv) unpaid claims on claims presented and not yet paid for policies allocated to the Segregated Account, including Deferred Amounts and interest thereon. The timing of future claim payments of the Segregated Account was at the sole discretion of the Rehabilitator until the Segregated Account rehabilitation was concluded on February 12, 2018. For ceded reinsurance contracts, net cash flows for each policy includes future: (i) installment ceded premium payments, (ii) ceding commission receipts, (iii) ceded claim receipts, and (iv) ceded subrogation payments. For each assumed,or ceded reinsurance contract, the respective undiscounted cash flow components are aggregated to determine if we are in a net asset or net liability position. U.S. GAAP requires that the nonperformance risk of a financial liability be included in the estimation of fair value, which includes considering Ambac Assurance’s own credit risk. Accordingly, for each contract in a net liability position, we estimate the fair value using internally developed discount rates and market pricing that incorporate Ambac’s own credit risk and subsequently apply a profit margin. This profit margin represents what another market participant would require to assume the financial guarantee contracts. A profit margin was developed based on discussions with the third-party institutions with valuation expertise, discussions with industry participants and yields on Ambac Assurance surplus notes. The discount rates used for contracts in a net liability position are derived from the rates implicit in the fair value of surplus notes and guaranteed securities with future cash flows that are highly dependent upon Ambac financial guarantee payments. For each contract in a net asset position, we estimate the fair value using a discount rate that is commensurate with a hypothetical buyer’s cost of capital. This methodology is based on management’s expectations of how a market participant would estimate net cash flows. We are aware of a number of factors that may cause such fair or exit value to differ, perhaps materially. For example, (i) since no financial guarantor with Ambac Assurance’s credit quality is writing or otherwise obtaining financial guarantee business (e.g. reinsurance or novation of policies from other insurers) we do not have access to observable pricing data points and (ii) certain segments of Ambac's financial guarantees were allocated to the Segregated Account and timing of the payments of such liabilities were at the sole discretion of the Rehabilitator. Long-term Debt: Long-term debt includes surplus notes issued by Ambac Assurance, surplus notes issued by the Segregated Account of Ambac Assurance, which became obligations of Ambac Assurance when the Rehabilitation Exit Transactions were effectuated on February 12, 2018, and notes outstanding to third parties arising from Ambac Assurance's secured borrowing transaction. The fair values of Ambac Assurance surplus notes and the secured borrowing notes are based on market prices received from dealer quotes or alternative pricing sources with reasonable levels of price transparency. The fair value of Segregated Account surplus notes were classified as Level 3 and are internally estimated considering market transactions when available and internally developed discounted cash flow models. Internal valuation estimates of Segregated Account surplus notes considered differences in contractual accrued interest and seniority of payment relative to Ambac Assurance surplus notes. Other Financial Assets and Liabilities: The fair values of Ambac’s equity interest in Ambac sponsored special purpose entities (included in Other assets), Loans, and Obligations under investment agreements are estimated based upon internal valuation models that discount expected cash flows using discount rates consistent with the credit quality of the obligor after considering collateralization. Variable Interest Entity Assets and Liabilities: The financial assets and liabilities of VIEs consolidated under the Consolidation Topic of the ASC consist primarily of fixed income securities, loans, derivative and debt instruments and are generally carried at fair value. These consolidated VIEs are securitization entities which have liabilities and/or assets guaranteed by Ambac Assurance. The fair values of VIE debt instruments are determined using the same methodologies used to value Ambac’s fixed income securities in its investment portfolio as described above. VIE debt fair value is based on market prices received from dealer quotes or alternative pricing sources with reasonable levels of price transparency. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. For those VIE debt instruments where quotes were not available, the debt instrument fair values are considered Level 3 and are based on internal discounted cash flow models. Comparable to the sensitivities of investments in fixed income securities described above, longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value liability measurement for VIE debt. VIE debt instruments considered Level 3 include fixed rate, floating rate and zero coupon notes secured by various asset types, primarily European ABS. Information about the valuation inputs for the various VIE debt categories classified as Level 3 is as follows: European ABS transactions: The fair value of such obligations classified as Level 3 was $2,757,688 and $2,551,278 at December 31, 2017 and 2016 , respectively. Fair values were calculated by using a discounted cash flow approach. The discount |
Investments
Investments | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | 10. INVESTMENTS Ambac’s non-VIE 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 include Ambac's interests 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, 2017 and 2016 were as follows: Amortized Gross Gross Estimated Non-Credit Other- (1) December 31, 2017 Fixed income securities: Municipal obligations $ 845,778 $ 3,456 $ 69,400 $ 779,834 $ — Corporate obligations 858,774 6,772 5,471 860,075 — Foreign obligations 26,245 409 111 26,543 — U.S. government obligations 86,900 261 1,753 85,408 — Residential mortgage-backed securities 2,214,512 67,303 30,482 2,251,333 23,832 Collateralized debt obligations 50,754 283 — 51,037 — Other asset-backed securities 531,660 66,899 617 597,942 — 4,614,623 145,383 107,834 4,652,172 23,832 Short-term 557,476 3 209 557,270 — 5,172,099 145,386 108,043 5,209,442 23,832 Fixed income securities pledged as collateral: U.S. government obligations 99,719 — — 99,719 — Total collateralized investments 99,719 — — 99,719 — Total available-for-sale investments $ 5,271,818 $ 145,386 $ 108,043 $ 5,309,161 $ 23,832 December 31, 2016 Fixed income securities: Municipal obligations $ 376,064 $ 5,509 $ 7,205 $ 374,368 $ — Corporate obligations 1,803,136 19,589 20,560 1,802,165 — Foreign obligations 41,932 1,303 100 43,135 — U.S. government obligations 33,732 2,551 97 36,186 — U.S. agency obligations 4,063 — 3 4,060 — Residential mortgage-backed securities 2,284,425 110,955 43,785 2,351,595 35,232 Collateralized debt obligations 113,650 493 220 113,923 — Other asset-backed securities 778,383 58,028 7,628 828,783 — 5,435,385 198,428 79,598 5,554,215 35,232 Short-term 430,827 5 44 430,788 — 5,866,212 198,433 79,642 5,985,003 35,232 Fixed income securities pledged as collateral: U.S. government obligations 64,833 72 — 64,905 — Total collateralized investments 64,833 72 — 64,905 — Total available-for-sale investments $ 5,931,045 $ 198,505 $ 79,642 $ 6,049,908 $ 35,232 (1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2017 and 2016 . The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2017 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 714,761 $ 714,507 Due after one year through five years 556,370 556,387 Due after five years through ten years 376,420 376,686 Due after ten years 827,341 761,269 2,474,892 2,408,849 Residential mortgage-backed securities 2,214,512 2,251,333 Collateralized debt obligations 50,754 51,037 Other asset-backed securities 531,660 597,942 Total $ 5,271,818 $ 5,309,161 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 on Fixed Income Securities: 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, 2017 and 2016 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2017 Fixed income securities: Municipal obligations $ 667,335 $ 68,578 $ 32,525 $ 822 $ 699,860 $ 69,400 Corporate obligations 292,028 3,377 87,272 2,094 379,300 5,471 Foreign obligations 8,122 81 1,700 30 9,822 111 U.S. government obligations 74,188 1,653 5,525 100 79,713 1,753 Residential mortgage-backed securities 668,524 12,524 418,617 17,958 1,087,141 30,482 Other asset-backed securities 26,655 58 88,023 559 114,678 617 1,736,852 86,271 633,662 21,563 2,370,514 107,834 Short-term 251,926 209 — — 251,926 209 Total temporarily impaired securities $ 1,988,778 $ 86,480 $ 633,662 $ 21,563 $ 2,622,440 $ 108,043 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2016 Fixed income securities: Municipal obligations $ 98,147 $ 2,045 $ 122,928 $ 5,160 $ 221,075 $ 7,205 Corporate obligations 963,513 20,232 6,492 328 970,005 20,560 Foreign obligations 5,063 100 — — 5,063 100 U.S. government obligations 6,037 93 5,045 4 11,082 97 U.S. agency obligations 4,060 3 — — 4,060 3 Residential mortgage-backed securities 226,889 7,201 550,807 36,584 777,696 43,785 Collateralized debt obligations 6,986 23 25,780 197 32,766 220 Other asset-backed securities 115,622 203 77,712 7,425 193,334 7,628 1,426,317 29,900 788,764 49,698 2,215,081 79,598 Short-term 65,176 44 — — 65,176 44 Total temporarily impaired securities $ 1,491,493 $ 29,944 $ 788,764 $ 49,698 $ 2,280,257 $ 79,642 Management has determined that the unrealized losses reflected in the tables above are temporary in nature as of December 31, 2017 and 2016 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, 2017 , 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, 2017 , $1,855,694 of the total fair value and $100,503 of the unrealized loss related to below investment grade and non-rated securities. Of the securities that were in a gross unrealized loss position at December 31, 2016 , $890,952 of the total fair value and $53,273 of the unrealized loss related to below investment grade and non-rated securities. As discussed further below, most of the securities in a gross unrealized loss position that are below investment grade or non-rated are guaranteed by Ambac Assurance. 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. If that judgment changes, Ambac may ultimately record a charge for other-than-temporary impairment in future periods. Municipal obligations The gross unrealized losses on municipal obligations as of December 31, 2017 are primarily the result of the price declines on Ambac-insured Puerto Rico bonds, especially Puerto Rico Sales Tax Financing Corporation's Senior Sales Tax Revenue bonds. These bonds are below investment grade, long-dated zero coupon securities subject to higher than average price volatility that suffered additional downward price movement in late 2017 following the hurricanes that impacted Puerto Rico. Management has the ability and intent to hold these bonds and by virtue of the Ambac financial guarantee, believes that it is probable that all amounts due on the bonds will be paid timely and in full. Corporate obligations The gross unrealized losses on corporate obligations as of December 31, 2016 and to a lesser extent at December 31, 2017 resulted from an increase in interest rates since purchase (or the Fresh Start Reporting Date of April 30, 2013 if owned as of that date). 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 $30,482 of unrealized losses on residential mortgage-backed securities, $30,482 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 either the purchase date or Fresh Start Reporting Date of April 30, 2013 for securities owned prior to such date. 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 were allocated to the Segregated Account, expected future cash flows included assumptions about the timing and amount of Ambac Assurance claim payments, including interest on Deferred Amounts, although the actual timing of such payments were at the sole discretion of the Rehabilitator. These assumptions are used to project future cash flows for each security and at December 31, 2017 incorporate the 6.5% discount on the settlement of Deferred Amounts as part of the Rehabilitation Exit Transactions described in Note 1. Management considered this analysis in making our determination that a credit loss has not occurred at December 31, 2017 on these transactions. Realized Gains and Losses and Other-Than-Temporary Impairments: The following table details amounts included in net realized gains (losses) and other-than-temporary impairments included in earnings for the affected periods: Year Ended December 31, 2017 2016 2015 Gross realized gains on securities $ 29,080 $ 17,344 $ 58,218 Gross realized losses on securities (18,945 ) (8,239 ) (10,558 ) Foreign exchange (losses) gains (4,769 ) 30,179 5,816 Net realized gains $ 5,366 $ 39,284 $ 53,476 Net other-than-temporary impairments (1) $ (20,171 ) $ (21,819 ) $ (25,659 ) (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. 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. Future changes in our estimated liquidity needs could result in a determination that Ambac no longer has the ability to hold 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, 2017 and 2016 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: Year Ended December 31, 2017 2016 2015 Balance, beginning of period $ 52,070 $ 31,176 $ 14,062 Additions for credit impairments recognized on: Securities not previously impaired 3,310 3,572 10,900 Securities previously impaired 11,705 17,322 6,214 Balance, end of period $ 67,085 $ 52,070 $ 31,176 Counterparty Collateral, Deposits with Regulators and Other Restrictions: Ambac routinely pledges and receives collateral related to certain transactions. Ambac pledges cash and securities it holds in its investment portfolio to investment agreement (prior to repayment in March 2017) and derivative counterparties, as collateral. Securities pledged to investment agreement counterparties were not to 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 collateral owned by Ambac that was pledged to investment agreement and derivative counterparties at December 31, 2017 and 2016 : Fair value of Fair value of Fair value of December 31, 2017: Pledged cash and securities owned by Ambac $ 120,645 $ — $ 120,645 December 31, 2016: Pledged cash and securities owned by Ambac $ 291,545 $ 88,940 $ 202,605 Securities carried at $5,974 and $5,872 at December 31, 2017 and 2016 , 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 $346,212 and $360,759 at December 31, 2017 and 2016 , respectively, were held by a bankruptcy remote trust to collateralize and fund repayment of debt issued through a securitization transaction. The securities may not be sold or repledged by the trust. These assets are held and the secured debt is issued by entities that qualify as VIEs and are consolidated in Ambac’s consolidated financial statements. Refer to Note 3. Special Purpose Entities, Including Variable Interest Entities for a further description of this transaction. Guaranteed Securities: Ambac’s fixed income portfolio includes securities covered by guarantees issued by Ambac Assurance and other financial guarantors (“insured securities”). The published rating agency ratings on these securities reflect the higher of the financial strength rating of the financial guarantor or the rating of the underlying issuer. Rating agencies do not always publish separate underlying ratings (those ratings excluding the insurance by the financial guarantor). 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, 2017 and 2016 , respectively: Municipal Corporate Mortgage Total Weighted (1) December 31, 2017: Ambac Assurance Corporation (2) $ 706,715 $ 32,660 $ 2,702,887 $ 3,442,262 CC National Public Finance Guarantee Corporation 20,733 — — 20,733 BBB- Assured Guaranty Municipal Corporation 5,998 — — 5,998 BBB+ Total $ 733,446 $ 32,660 $ 2,702,887 $ 3,468,993 CC December 31, 2016: Ambac Assurance Corporation (2) $ 81,651 $ — $ 2,739,073 $ 2,820,724 CC National Public Finance Guarantee Corporation 38,687 — — 38,687 A- Assured Guaranty Municipal Corporation 25,660 — — 25,660 AA MBIA Insurance Corporation — 2,630 — 2,630 BBB+ Total $ 145,998 $ 2,630 $ 2,739,073 $ 2,887,701 CC (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Includes corporate obligations and asset-backed securities with a fair value of $170,280 and $118,813 at December 31, 2017 and 2016 , respectively, insured by Ambac UK . Equity Interests: Ambac's investment portfolio includes equity interests in various pooled investment funds, which are classified as trading. The fair value and additional information about such investments in pooled funds, by investment type, is summarized in the table below. Except as noted in the table, fair value reported is determined using NAV per share as a practical expedient. There are no unfunded commitments applicable to any of these investments for the periods disclosed. Class of Funds December 31, 2017 December 31, 2016 Redemption frequency Redemption notice period Real estate properties (1) $ 33,154 $ 33,303 quarterly 10 business days Diversified hedge fund strategies (2) 53,054 53,985 semi-monthly 15 - 30 days Interest rate products (3) (7) 136,603 261,315 daily, weekly or monthly 0 - 30 days Illiquid investments (4) 67,787 39,068 quarterly 180 days Insurance-linked investments (5) 22,666 — quarterly 90-120 days Equity market investments (6) (7) 53,675 32,633 daily 0 days Total equity investments in pooled funds $ 366,939 $ 420,304 (1) Investments consist of UK property to generate income and capital growth. (2) Investments seek diversified exposure to hedge fund core strategies to produce high risk-adjusted returns, with low long-term correlation to traditional markets and with targeted volatility levels. Funds may have the right to defer redemptions under certain circumstances. (3) This class of funds includes investments in a range of instruments including leveraged loans, CLOs, asset-backed securities and floating rate notes to generate income and capital appreciation. Funds with less frequent redemption periods limit redemptions to as little as 15% per period. Funds with a same day redemption notice period are redeemable only weekly, while funds that may be redeemed any business day have notice periods of 15-30 days. (4) This class seeks to obtain high long-term total return through investments with low liquidity and defined term, resulting in expected capital distributions to subscribers between 2020 and 2023. Redemptions cannot occur prior to the expiration of the investment lock-up period in May 2018. (5) This class aims to provide returns from the insurance and reinsurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. Redemption periods are quarterly, subject to 90-day notice for January/July redemption dates and 120-day notice for April/October redemption dates with redemptions greater than 3.5% during the first five years following share issuance subject to redemption fees. (6) Investments represent a diversified exposure to global equity market returns through holdings of various regional market index funds. (7) Interest rate products include $2,823 at December 31, 2017 and $51,158 at December 31, 2016 and equity market investments include $53,675 at December 31, 2017 and $32,633 at December 31, 2016 that have readily determinable fair. Ambac also holds interests in an unconsolidated trust created in connection with the 2014 sale of Segregated Account junior surplus notes. The investment in debt securities is accounted for as trading and the equity interest is accounted for under the equity method and included in Other Investments on the Consolidated Balance Sheets. Investment Income: Net investment income was comprised of the following for the affected periods: Year Ended December 31, 2017 2016 2015 Fixed income securities $ 337,454 $ 288,554 $ 257,404 Short-term investments 7,898 1,505 299 Loans 520 337 420 Investment expense (8,098 ) (9,347 ) (8,786 ) Securities available-for-sale and short-term 337,774 281,049 249,337 Other investments 23,179 32,318 16,952 Total net investment income $ 360,953 $ 313,367 $ 266,289 Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, income from Ambac's interests in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Year Ended December 31, 2017 2016 2015 Net gains (losses) recognized during the period on trading securities $ 18,242 $ 27,654 $ 12,615 Less: net gains (losses) recognized during the reporting period on trading securities sold during the period 4,854 7,474 4,966 Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date $ 13,388 $ 20,180 $ 7,649 |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 11. 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, 2017 and 2016 . Gross Gross Net amounts Gross amount Net amount December 31, 2017: Derivative Assets: Interest rate swaps 73,826 627 73,199 — 73,199 Total non-VIE derivative assets $ 73,826 $ 627 $ 73,199 $ — $ 73,199 Derivative Liabilities: Credit derivatives $ 566 $ — $ 566 $ — $ 566 Interest rate swaps 81,495 627 80,868 79,912 956 Futures contracts 1,348 — 1,348 1,348 — Total non-VIE derivative liabilities $ 83,409 $ 627 $ 82,782 $ 81,260 $ 1,522 Variable Interest Entities Derivative Assets: Currency swaps 54,877 — 54,877 — 54,877 Total VIE derivative assets $ 54,877 $ — $ 54,877 $ — $ 54,877 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,205,264 $ — $ 2,205,264 $ — $ 2,205,264 Total VIE derivative liabilities $ 2,205,264 $ — $ 2,205,264 $ — $ 2,205,264 December 31, 2016: Derivative Assets: Interest rate swaps $ 139,045 $ 61,839 $ 77,206 $ — $ 77,206 Futures contracts 536 — 536 — 536 Total non-VIE derivative assets $ 139,581 $ 61,839 $ 77,742 $ — $ 77,742 Derivative Liabilities: Credit derivatives $ 15,349 $ — $ 15,349 $ — $ 15,349 Interest rate swaps 365,776 61,839 303,937 156,925 147,012 Total non-VIE derivative liabilities $ 381,125 $ 61,839 $ 319,286 $ 156,925 $ 162,361 Variable Interest Entities Derivative Assets: Currency swaps $ 80,407 $ — $ 80,407 $ — $ 80,407 Total VIE derivative assets $ 80,407 $ — $ 80,407 $ — $ 80,407 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,078,601 $ — $ 2,078,601 $ — $ 2,078,601 Total VIE derivative liabilities $ 2,078,601 $ — $ 2,078,601 $ — $ 2,078,601 Effective January 3, 2017, the central clearing party ("CCP") for certain of Ambac's derivative contracts changed its rules governing the character of variation payments. Under the new CCP rules, variation payments are considered settlements of the associated derivative balance. Prior to the rule change such variation payments were considered to be margin and were not offset against the fair value of the derivatives, but were recognized as collateral receivable or payable. The amount of variation margin included within "Other assets" on the Consolidated Balance Sheet as of December 31, 2016, and was applied as a reduction to derivative liabilities effective January 3, 2017 under the new CCP rules is $71,023 . 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 $20,926 and $137,701 as of December 31, 2017 and 2016 , respectively. There were no amounts held representing an obligation to return cash collateral as of December 31, 2017 and 2016 . The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income (Loss) for the year ended December 31, 2017 and 2016 : Location of gain (loss) recognized Amount of gain (loss) recognized in Consolidated Statement of Total Comprehensive Income (Loss) – 2017 2016 2015 Non-VIEs: Credit derivatives Net change in fair value of credit derivatives $ 16,372 $ 20,106 $ 41,701 Non VIE derivatives: Interest rate swaps Net gains (losses) on interest rate derivatives 48,870 (50,082 ) (41,177 ) Futures contracts Net gains (losses) on interest rate derivatives 10,695 (191 ) (1,367 ) Total non-VIE derivatives 59,565 (50,273 ) (42,544 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities (25,530 ) 58,990 103,757 Interest rate swaps Income (loss) on variable interest entities (126,664 ) (574,554 ) 168,003 Total Variable Interest Entities (152,194 ) (515,564 ) 271,760 Total derivative contracts $ (76,257 ) $ (545,731 ) $ 270,917 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. Credit derivatives issued are insured by Ambac Assurance. None of the outstanding credit derivative transactions at December 31, 2017 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 portfolio 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. 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 summarizes the gross principal notional outstanding for CDS contracts, by Ambac rating as of December 31, 2017 and 2016 : Ambac Rating December 31, 2017 2016 AAA $ — $ — AA 175,765 315,201 A — 227,146 BBB (1) 150,125 127,250 Below investment grade (2) — 67,783 Total $ 325,890 $ 737,380 (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. Interest Rate Derivatives: Ambac, through its subsidiary Ambac Financial Services (“AFS”), provides interest rate swaps to counterparties and as of December 31, 2017 and 2016 the notional amounts of its derivatives are as follows: Notional - December 31, Type of derivative 2017 2016 Interest rate swaps—receive-fixed/pay-variable $ 379,497 $ 973,130 Interest rate swaps—pay-fixed/receive-variable 1,428,264 1,874,678 US Treasury futures contracts—short 1,655,000 195,000 On June 27, 2017, Ambac entered into a termination agreement with various parties, including Augusta, in connection with the commutation of interest rate swaps between Augusta and AFS. Ambac paid $94,407 under the termination agreement and reported a gain on the Augusta swaps of $43,443 . 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, 2017 and 2016 are as follows: Notional - December 31, Type of VIE derivative 2017 2016 Interest rate swaps—receive-fixed/pay-variable $ 1,483,491 $ 1,352,010 Interest rate swaps—pay-fixed/receive-variable 2,479,244 2,300,584 Currency swaps 394,541 312,357 Credit derivatives 12,100 12,059 Contingent Features in Derivatives Related to Ambac Credit Risk Ambac’s over-the-counter interest rate swaps are centrally cleared when eligible. Certain interest rate swaps remain with professional swap-dealer counterparties and certain front-end counterparties. These non-cleared swaps 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, 2017 and 2016 , the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $79,912 and $82,944 , respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $111,391 and $128,754 , 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 such contracts terminated on December 31, 2017 , settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac’s financial statements. |
Loans (Notes)
Loans (Notes) | 12 Months Ended |
Dec. 31, 2016 | |
Receivables [Abstract] | |
Loans | 12. 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 3. Special Purpose Entities, Including Variable Interest Entities for further information about VIEs for which the assets and liabilities are carried at fair value. Other loans had an outstanding principal balance of $20,184 and $4,873 at December 31, 2017 and 2016 , respectively. The interest rate on these loans ranged from 0.00% to 4.58% at December 31, 2017 and were 4.53% December 31, 2016. The maturity date of these loans ranged from June 2026 to December 2046 as of December 31, 2017 and were June 2026 as of December 31, 2016. 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, 2017 and 2016 |
Long-Term Debt (Notes)
Long-Term Debt (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
Long-term Debt | 13. LONG-TERM DEBT The carrying value of long-term debt was as follows: December 31, 2017 2016 Ambac Assurance: 5.1% surplus notes, general account, due 2020 $ 668,667 $ 730,648 5.1% surplus notes, segregated account, due 2020 — 33,107 5.1% junior surplus notes, segregated account, due 2020 249,036 248,247 Secured borrowing 73,993 102,403 Ambac Assurance long-term debt $ 991,696 $ 1,114,405 Variable Interest Entities long-term debt $ 12,160,544 $ 11,155,936 Surplus Notes, General Account Ambac Assurance surplus notes, with a par amount of $754,811 and $862,945 at December 31, 2017 and 2016 , respectively, are reported in long-term debt on the Consolidated Balance Sheet and have a scheduled maturity of June 7, 2020. In 2017 and 2016 , Ambac purchased $108,134 and $11,804 par amount of these surplus notes, respectively. The gains on these repurchases were $3,603 and $1,677 , and recognized in Net realized gains (losses) on extinguishment of debt of the Consolidated Statements of Total Comprehensive Income for the years ended December 31, 2017 and 2016 , respectively. These surplus notes were issued in connection with the Settlement Agreement and were recorded at their fair value at the date of issuance. The discount on these notes is currently being accreted into income using the effective interest method at an imputed interest rate of of 10.5% . All payments of principal and interest on these surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on these 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 $0 and $39,102 at December 31, 2017 and 2016 , respectively, are reported in long-term debt on the Consolidated Balance Sheets and have a scheduled maturity of June 7, 2020. In 2017 , Ambac purchased $39,102 par amount of these surplus notes. The gains on these repurchases were $212 and recognized in Net realized gains (losses) on extinguishment of debt of the Consolidated Statements of Total Comprehensive Income. These surplus notes were recorded at their fair value at the date of issuance. The discount on these notes was being accreted into income using the effective interest method at an imputed interest rate of 10.5% . All payments of principal and interest on the these surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on these 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. Pursuant to the Second Amended Plan of Rehabilitation, Ambac Assurance became the obligor under the Segregated Account surplus notes as of February 12, 2018. Junior Surplus Notes, Segregated Account The Segregated Account junior surplus notes, with a par value of $370,237 and $374,036 at December 31, 2017 and 2016 , 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. Pursuant to the Second Amended Plan of Rehabilitation, Ambac Assurance became the obligor under the junior surplus notes as of February 12, 2018. Principal and interest payments on these junior surplus notes cannot be made until all Ambac Assurance surplus notes (other than junior surplus notes) are paid in full and after all of Ambac Assurance's future and existing senior indebtedness, policy and other priority claims have been paid in full. All payments of principal and interest on these 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, 2017 and 2016 includes $20,237 and $24,037 , respectively, 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. Part of these junior surplus notes ( $13,056 par value) will be reduced periodically as rent payments are made by Ambac Assurance beginning in January 2016. Par value of these junior surplus notes have been reduced by $3,799 and $4,002 during 2017 and 2016, respectively, as rent payments were made by Ambac Assurance. These junior surplus notes were recorded at their fair value at the dates of issuance. The discount on these notes are currently being accreted into income using the effective interest method at an imputed interest rate of 19.5% . • Par value at December 31, 2017 and 2016 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 dated September 21, 2011 among Ambac, Ambac Assurance, the Segregated Account, the Rehabilitator, the OCI and the Official Committee of Unsecured Creditors of Ambac, and that Ambac sold to a Trust on August 28, 2014. 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 $73,993 and $102,986 at December 31, 2017 and 2016 , respectively, 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 3. 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 certain of the the variable interest obligations. 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 and to the extent such obligations are guaranteed by Ambac. 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 $9,387,884 and $8,854,530 as of December 31, 2017 and 2016 , 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, 2017 and 2016 . As of December 31, 2017 and 2016 , the interest rates on these VIEs’ long-term debt ranged from 0.96% to 8.35% and from 0.82% to 13.00% , respectively. Final maturities of VIE long-term debt for each of the five years following December 31, 2017 are as follows: 2018 - $141,327 ; 2019 - $307,915 ; 2020 - $44,100 ; 2021 - $94,024 ; 2022 - $0 . |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | 14. INCOME TAXES Ambac files a consolidated U.S. 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 subsidiaries operate and the earliest tax years subject to examination: Jurisdiction Tax Year United States 2010 New York State 2013 New York City 2014 United Kingdom 2014 Italy 2013 On December 22, 2017, H.R. 1. (commonly referred to as the Tax Cut and Jobs Act or "TCJA") was enacted and significantly changed the tax code effective January 1, 2018. We incorporated the effects of the TCJA in our current and deferred tax evaluation for the year ended December 31, 2017. Given the complexity of the TCJA and the limited time between its enactment and the filing of year-end financial statements, the SEC issued guidance (SAB 118), which provides a one-year measurement period for companies to finalize the accounting for the impact of the TCJA. Ambac has recorded the income tax effect of those aspects of the TCJA for which the accounting is completed and recorded provisional amounts for those aspects for which the accounting is incomplete. In connection with our preliminary analysis of the TCJA, Ambac recorded an estimated discrete current benefit of $29,581 (net of an estimated 6.6% Congressional budget sequestration haircut) related to the repeal of the Alternative Minimum Tax ("AMT") and deferred taxes of $31,418 attributable to Ambac UK, including the effect of the TCJA changes relating to unrealized gains on investments, resulting in an estimated net cost of $1,886 . The AMT credit will be refunded in installments through 2021 or sooner based upon taxable income. Ambac has not completed its accounting analysis of the TCJA's impact on moving to a new quasi-territorial worldwide tax system, the primary effect of which is a mandatory repatriation of Ambac UK's historical earnings. Accordingly, the provisions related to these international tax changes have been recorded as estimates. Ambac has also not completed the accounting analysis on provisions related to executive compensation and, therefore, recorded these amounts as estimates. As of December 31, 2017 Ambac had U.S. federal net operating loss tax carryforwards of approximately $3,694,844 , which, if not utilized, will begin expiring in 2029 , and will fully expire in 2032 . The tax effects of temporary differences that give rise to significant portions of the deferred tax liabilities and deferred tax assets at December 31, 2017 and 2016 are presented below: December 31, 2017 2016 Deferred tax liabilities: Insurance intangible $ 177,864 $ 336,728 Variable interest entities 22,817 46,343 Investments 28,798 38,656 Unearned premiums and credit fees 51,485 68,682 Unremitted foreign earnings — 30,699 Other 9,402 4,276 Total deferred tax liabilities 290,366 525,384 Deferred tax assets: Net operating loss and capital carryforward 775,917 1,409,565 Loss reserves 236,237 224,553 Compensation 5,585 4,759 AMT Credits — 31,532 Other 2,140 11,967 Subtotal deferred tax assets 1,019,879 1,682,376 Valuation allowance 763,172 1,158,712 Total deferred tax assets 256,707 523,664 Net deferred tax (liability) (33,659 ) (1,720 ) 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. With respect to Ambac's domestic subsidiaries subject to U.S. tax, 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 maintains a full valuation allowance. The remaining net deferred tax liability of $33,659 is attributable to Ambac U.K. U.S. and foreign components of pre-tax income (loss) were as follows: Year Ended December 31, 2017 2016 2015 U.S. $ (450,978 ) $ 77,161 $ 337,753 Foreign 166,727 27,865 172,305 Total $ (284,251 ) $ 105,026 $ 510,058 The components of the provision (benefit) for income taxes were as follows: Year Ended December 31, 2017 2016 2015 Current taxes U. S. federal $ (29,581 ) $ 3,934 $ 16,893 U.S. state and local 2,013 707 182 Foreign 40,613 26,088 2 Current taxes 13,045 30,729 17,077 Deferred taxes Deferred taxes - foreign 31,419 (20 ) 287 Provision for income taxes $ 44,464 $ 30,709 $ 17,364 The total effect of income taxes on net income and stockholders’ equity for the years ended December 31, 2017, 2016 and 2015 is as follows: Year Ended December 31, 2017 2016 2015 Total income taxes charged to net income $ 44,464 $ 30,709 $ 17,364 Income taxes charged (credited) to stockholders’ equity: Unrealized gains (losses) on investment securities (30,838 ) 41,602 (55,906 ) Unrealized gains (losses) on foreign currency translations 25,776 (58,527 ) (15,628 ) Change in retirement benefits 446 3,278 (240 ) Valuation allowance to equity 4,616 13,647 71,774 Total effect of income taxes $ 44,464 $ 30,709 $ 17,364 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: 2017 2016 2015 Year Ended December 31, Amount % Amount % Amount % Tax on income from continuing operations at statutory rate $ (99,488 ) 35.0 % $ 36,759 35.0 % $ 178,521 35.0 % Changes in expected tax resulting from: Tax-exempt interest (6,004 ) 2.1 % (1,561 ) (1.5 )% (1,454 ) (0.3 )% Goodwill impairment — — % — — % 180,079 35.3 % Foreign taxes (17,742 ) 6.2 % 26,183 24.9 % 288 0.1 % Substantiation adjustment 36,124 (12.7 )% (171,687 ) (163.5 )% — — % Valuation allowance 127,675 (44.9 )% 139,584 132.9 % (340,133 ) (66.7 )% Change in Tax Law 1,886 (0.7 )% — — % — — % Other, net 2,013 (0.7 )% 1,431 1.4 % 63 — % Tax expense on income from continuing operations $ 44,464 (15.6 )% $ 30,709 29.2 % $ 17,364 3.4 % A reconciliation of the beginning and ending amount of unrecognized tax benefits for 2017 , 2016 and 2015 is as follows: Year Ended December 31, 2017 2016 2015 Balance, beginning of period $ — $ — $ — Increases related to prior year tax positions — — — Decreases related to prior year tax positions — — — Balance, end of period $ — $ — $ — Included in these balances at December 31, 2017 , 2016 and 2015 are $0 , $0 and $0 , respectively, of unrecognized tax benefits that, if recognized, would affect the effective tax rate. During the years ended December 31, 2017 , 2016 and 2015 , Ambac recognized interest of approximately $0 , $0 and $0 , respectively. Ambac had approximately $0 , $0 and $0 , for the payment of interest accrued at December 31, 2017 , 2016 and 2015 , respectively. NOL Usage Pursuant to the amended and restated tax sharing agreement among Ambac, Ambac Assurance and certain affiliates (the “Amended TSA"), to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with "Allocated NOLs" of $3,650,000 , 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. Pursuant to the Closing Agreement between Ambac and the Internal Revenue Service ("IRS"), the IRS will receive 12.5% of Tier C and 17.5% of Tier D payments, if made. NOL Usage Table NOL Usage Tier Allocated NOLs 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% Any post determination date NOLs generated by Ambac Assurance are utilized prior to any Allocated NOLs for which Tolling Payments will be due. Ambac Assurance utilized all of its current post determination date NOLs generated from September 30, 2011 through December 31, 2017 , generating cumulative taxable income of $1,367,795 . 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. For the two years ended December 31, 2016 , Ambac Assurance utilized all of the $479,000 Tier A NOL and $607,124 of the $1,057,000 Tier B NOL resulting in Tolling Payments , net of applicable credits, of $100,145 , of which $71,454 was paid to Ambac in 2016 and $28,691 was paid in 2017. During the year ended December 31, 2017 , Ambac Assurance recorded additional estimated Tolling Payments of $31,133 , which includes $637 of additional tolling resulting from the filing Ambac's 2016 tax return that was paid in December 2017. The balance of $30,496 will be paid to Ambac in May 2018. Beginning on the fifth anniversary date subsequent to Ambac's May 1, 2013, emergence from bankruptcy, and subject to Ambac's consent, not to be unreasonably withheld, to the extent Ambac Assurance generates post-determination date income in excess of the $3,650,000 , Allocated NOLs, Ambac Assurance may utilize the remaining NOLs, previously reserved for usage by Ambac, in exchange for a payment of 25% of the federal income tax liability that Ambac Assurance would have been paid had Ambac's NOLs not been available. After Ambac fully utilizes its Allocated NOLs it may utilize Ambac Assurance's then remaining Allocated NOLs in exchange for a payment of 50% of the federal income tax liability that Ambac would have paid had Ambac Assurance's NOL not been available. As of December 31, 2017 , the remaining balance of the $3,650,000 NOL allocated to Ambac Assurance was $2,282,205 . As of December 31, 2017 Ambac's NOL was $1,412,639 . |
Employment Benefit Plans (Notes
Employment Benefit Plans (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Exercise Price [Abstract] | |
Compensation and Employee Benefit Plans [Text Block] | 15. EMPLOYMENT BENEFIT PLANS Postretirement Health Care and Other Benefits: Ambac provides postretirement and postemployment / severance benefits, including health and life benefits for certain employees who meet certain age and service requirements. None of the plans are currently funded. Postretirement and postemployment benefits expenses, including severance benefits paid, was $4,164 , $8,846 and $2,570 for the years ended December 31, 2017, 2016 and 2015 , respectively. Effective August 1, 2005, new employees were not eligible for postretirement benefits. The current postretirement benefit requires retirees to purchase their own medical insurance policy with a portion of their premium being reimbursed by Ambac. The unfunded accumulated postretirement benefit obligation was $7,820 as of December 31, 2017 . The assumed health care cost trend rates range from 5.6% in 2018 , decreasing ratably to 4.5% in 2025 . 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, 2017 , by $182 and the 2017 benefit expense by $11 . 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, 2017 by $258 and the 2017 benefit expense by $17 . The following table sets forth projected benefit payments from Ambac’s postretirement plan over the next ten years for current retirees: 2018 2019 2020 2021 2022 2023-2027 Total $ 282 $ 311 $ 327 $ 353 $ 387 $ 2,452 $ 4,112 The discount rate used in determining the projected benefit obligations for the postretirement plan is selected by reference to the year-end Citigroup pension liability index with similar duration to that of the benefit plan. The rates used for the projected plan benefit obligations at the measurement date for December 31, 2017 and 2016 were 3.50% 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’ compensation, as defined in the plan, plus 50% of contributions up to an additional 2% of compensation, subject to limits set by the Internal Revenue Code. The total cost of the Savings Incentive Plan was $691 , $911 and $1,042 for the years December 31, 2017, 2016 and 2015 , respectively. Incentive Compensation - Stock Units and Cash: Incentive compensation is a key component of our compensation strategy. Our incentive compensation awards generally have two components: short term incentive compensation or annual bonuses and long term incentive plan awards. Annual decisions with regard to incentive compensation are generally made in the first quarter of each year and are based on Company performance and individual and business unit performance of the previous year. For all employees, an allocation of incentive compensation is made between annual bonuses and LTIP awards. Beginning for the 2016 performance year, the annual bonus was settled via cash and vested restricted stock units for certain employees. 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 2,793,323 shares are available for future grant as of December 31, 2017 . In March 2014, Ambac developed a long term incentive compensation plan (“LTIP”) as a sub-plan of the 2013 Plan. The LTIP is intended to be an annual program that allows for both cash and equity performance awards to certain US employees. Beginning with grants issued in 2017, the entire LTIP award was issued as equity performance awards to 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 $2,159 , $283 and $253 for the years ended December 31, 2017, 2016 and 2015 , respectively. The amount of stock-based compensation expense and corresponding after-tax expense are as follows: Year Ended December 31, 2017 (1) 2016 2015 Stock options $ — $ — $ 956 Restricted stock units 1,640 3,463 1,257 Performance awards (2) (3) 2,653 1,790 892 Total stock-based compensation $ 4,293 $ 5,253 $ 3,105 Total stock-based compensation (after-tax) $ 4,293 $ 5,194 $ 3,105 (1) As discussed in Note 2. Basis of Presentation and Significant Accounting Policies , we adopted ASU 2016-09 as of January 1, 2017. One of the provisions of this ASU requires entities to make an accounting policy election with respect to forfeitures of share-based payment awards. We elected to account for forfeitures as they occur and adopted this provision of ASU 2016-09 using a modified retrospective approach resulting in recording a cumulative-effect adjustment to equity of $137 . (2) Represents expense related to performance stock units portion of performance awards. Certain performance awards are split evenly between performance stock units and cash. Cash based compensation expense related to performance awards granted to US employees was $1,565 , $1,790 and $892 for the years ended December 31, 2017, 2016 and 2015 , respectively. (3) A performance award issued to Ambac's former Chief Executive Officer in the form of performance stock units has yet to be expensed given the performance conditions have not been met. Stock Options: Stock options were awarded to the former Chief Executive Officer in 2015 (vested January 1, 2016), with an expiry term of seven years from the grant date, subject to earlier expiration upon the recipient's departure from the Company. 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 2016 or 2017. 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 awarded in 2015: Year Ended December 31, 2015 Risk-free interest rate 1.283 % Expected volatility 42.8 % Dividend yield 0.0 % Expected life 4.13 years Weighted-average grant-date fair value per share $ 8.69 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 2017 is as follows: Shares Weighted Average Exercise Price Aggregate Intrinsic Value Weighted Average Remaining Contractual Life ( in years) Year Ended December 31, 2017 Outstanding at beginning of period 143,334 $ 23.64 Granted — — Exercised — — Forfeited or expired (16,667 ) 20.63 Outstanding at end of period 126,667 $ 24.03 $ — 1.23 Exercisable 126,667 $ 24.03 $ — 1.23 All stock options granted were fully vested as of December 31, 2017 . Total unrecognized compensation costs related to unvested stock options granted were $0 as of December 31, 2017 . No stock options were exercised during the years ended December 31, 2017 , 2016 and 2015 , respectively. 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. These RSU awards provided for accelerated vesting upon change in control or death or disability. These employee RSUs settled and converted 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. In 2015 and 2016, RSU awards were granted to the former Chief Executive Officer. The 2015 award would vest in three equal installments on January 1, 2016, 2017 and 2018, with certain accelerated vesting features. The 2016 award would vest in three equal installments on December 31, 2016, 2017 and 2018. The former Chief Executive Officer departed the Company in 2016 and pursuant to the terms set forth in his settlement agreements and the RSU award agreements, (i) the service requirement for the entire 2015 award was met and the entire RSU award vested in 2016 and (ii) the service requirement for one-third of the 2016 RSU award was met and vested in 2016 with the remaining two-thirds of the 2016 RSU award forfeited. In 2016, RSU awards were granted to certain Executive Officers. The awards vest in three equal installments on February 21, 2017, 2018 and 2019 ("Time-Based RSUs"). The vesting of the Time-Based RSUs are expressly conditioned upon the respective Executive's continued service with Ambac through the applicable vesting date. In 2017, RSU awards were granted to certain employees as consideration for a portion of their annual bonus. These awards vest upon grant, but settlement, other than for employment tax withholdings, occurs in two equal installments on March 2, 2018 and 2019, or upon termination if earlier. 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. As of December 31, 2017 , 221,803 RSUs remained outstanding, of which (i) 68,654 units required future service as a condition to the delivery of the underlying shares of common stock and (ii) 153,149 units did not require future service and are deferred for future settlement. As of December 31, 2016 , 264,230 RSUs remained outstanding, of which (i) 102,794 units required future service as a condition to the delivery of the underlying shares of common stock, (ii) 103,486 units vested on December 31, 2016 but were not settled until January 3, 2017 and (ii) 57,950 units did not require future service and are deferred for future settlement. A summary of RSU activity for 2017 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 264,230 $ 16.47 Granted 70,432 20.22 Delivered or returned to plan (1) (112,859 ) 13.96 Forfeited — — Outstanding at end of period 221,803 $ 18.93 (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, 2017 , Ambac purchased 56,410 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 2017 , 2016 and 2015 was $20.22 , $14.34 and $23.71 , respectively. As of December 31, 2017 , there was $478 of total unrecognized compensation costs related to unvested RSUs granted. These costs are expected to be recognized over a weighted average period of 0.6 years . The fair value for RSUs vested and delivered during the year ended December 31, 2017, 2016 and 2015 was $2,536 , $2,965 and $864 , respectively. Performance Stock Awards ("PSUs"): Performance awards granted vest in 3 years and 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 pre-tax income. Over the same period, Ambac Assurance performance will be evaluated according to changes in a ratio or value of Ambac Assurance's assets relative 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 (reduced to six months for the 2016 and 2017 grants to employees other than executive officers), 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 the 2015 and 2016 performance awards shall be within 60 days after the end of the performance period, including those with a partial vesting. The 2017 performance awards shall be within 75 days after the end of the performance period, including those with a partial vesting. In 2015, a performance award was granted to the former Chief Executive Officer. This award will vest on February 12, 2018 upon the emergence of the Segregated Account from rehabilitation. A summary of PSU activity for 2017 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 227,073 $ 21.29 Granted (1) 153,317 22.35 Delivered (2) (38,464 ) 29.78 Forfeited (1) (26,378 ) 20.26 Performance adjustment (3) 7,395 29.78 Outstanding at end of period 322,943 $ 21.06 (1) Represents performance share units at 100% of units granted for LTIP Awards. (2) Reflects the number of performance shares attributable to the performance goals attained over the completed performance period and for which service conditions have been met. (3) Represents the increase (decrease) in shares issued for awards granted in 2014 based upon the attainment of performance metrics at the end of the performance period. As of December 31, 2017 there was $3,523 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 1.6 years . |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 16. 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 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 location 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: 2018 2019 2020 2021 2022 Thereafter Total $ 6,794 $ 5,563 $ 1,929 $ 1,566 $ 1,569 $ 11,765 $ 29,186 Ambac rent expense for the aforementioned leases amounted to $2,717 , $3,008 and $5,746 for the years ended December 31, 2017 , 2016 and 2015 , respectively. Beginning in 2016, rent expense is reduced by the reduction in junior surplus notes discussed above. 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 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 was held on March 29, 2016. On April 5, 2016, the Rehabilitation Court entered an order denying the motion, granting the Rehabilitator’s motion to quash a related deposition notice, and requiring interested parties in the proceedings to obtain leave of court before seeking any discovery. On July 15, 2016, the Rehabilitator filed a motion to confirm and declare the nature of the Segregated Account Rehabilitation Proceedings in order to avoid misunderstandings that may arise in litigation involving Ambac Assurance concerning certain military housing projects. Certain parties to these military housing litigations filed an opposition to the Rehabilitator’s motion on September 30, 2016. On October 11, 2016 the Rehabilitation Court held a hearing on the motion and on October 24, 2016, the Rehabilitation Court entered an order granting the Rehabilitator’s motion (the “October 24 Order”). On November 7, 2016, the interested parties that had opposed the Rehabilitator’s motion filed a notice of appeal from the October 24 order, and filed their opening brief in support of this appeal on January 17, 2017. The Rehabilitator filed a response brief in the Wisconsin Court of Appeals on February 15, 2017. On November 21, 2016, the Rehabilitator filed a motion to quash a subpoena served on the Wisconsin Commissioner of Insurance by certain parties to the military housing litigations. The Rehabilitation Court granted the Rehabilitator’s motion to quash on November 23, 2016. The interested parties that had served the subpoena filed an opposition to the Rehabilitator’s motion to quash on November 23, 2016, and filed on November 28, 2016 a motion to reconsider the November 23 order, which the Rehabilitator opposed on December 6, 2016. The Rehabilitation Court held a hearing on January 6, 2017 and entered an order on January 20, 2017 denying the motion to reconsider and clarifying procedures for discovery relating to the Segregated Account Rehabilitation Proceedings. On December 14, 2017, the Wisconsin Court of Appeals, District IV, issued a decision affirming the October 24 Order. On September 25, 2017, the Rehabilitator filed in the Rehabilitation Court a Motion to Further Amend The Plan of Rehabilitation Confirmed on January 24, 2011 To Facilitate An Exit from Rehabilitation. The evidentiary Confirmation Hearing was held on January 4, 2018, and continued on January 22, 2017. On January 22, 2018, the Rehabilitation Court entered an order granting the Rehabilitator’s motion and confirming the Second Amended Plan of Rehabilitation (the "Confirmation Order"), which became effective on February 12, 2018. Pursuant to the Confirmation Order, the Rehabilitation Court also ruled that, contrary to allegations made by certain parties to certain military housing litigations (the "MHPI Projects"), the Rehabilitation Court did not previously enter any order that could form the predicate for a claim of “Ambac Default” and confirmed Section 6.13 of the Second Amended Plan of Rehabilitation which, among other things, provided that any such default is deemed not to have existed or to be cured. On January 25, 2018,the MHPI Projects submitted a letter to the Rehabilitation Court objecting to the Rehabilitator's interpretation of Section 6.8 of the Second Amended Plan of Rehabilitation and requesting briefing on the issue and a conference with the Rehabilitation Court. On February 7, 2018, pursuant to the request of the Rehabilitator, the Rehabilitation Court issued an order denying the request for briefing and a conference and overruled the objection set forth in the letter of January 25th. On February 7, 2018, the Rehabilitator filed a motion with the Rehabilitation Court requesting injunctive relief against the MHPI Projects that would, among other things, enjoin the MHPI Projects from taking further actions or making further arguments, in any court or otherwise, in contravention of the Confirmation Order, the findings contained in the Confirmation Order or the provisions of the Second Amended Plan of Rehabilitation. On the same day, the Rehabilitation Court issued an order granting the Rehabilitator's February 7th motion (the "February 7 Order"). On February 26, 2018, the MHPI Projects filed a Notice of Motion and Motion for Reconsideration as well as a Notice of Motion and Motion for Expedited Hearing in the Rehabilitation Court, requesting reconsideration of the February 7 Order on an expedited basis. Briefing on the motions is expected to be completed by March 29, 2018 with a hearing to follow on a date to be determined. The Company expects the MHPI Projects to appeal the Confirmation Order and one or both of the orders issued by the Rehabilitation Court on February 7, 2018. Litigation Against Ambac 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. On April 26, 2017, the court granted a motion by Meade to amend its complaint to add a new count that Ambac had allegedly "unreasonably withheld" consent to a proposed Out-Year Development plan submitted by Meade to Ambac for approval. On April 28, 2017, Ambac Assurance filed a motion for summary judgment on all counts of the original Meade complaint. On April 28, 2017, Meade filed a motion for partial summary judgment on two counts of the complaint and certain Ambac Assurance affirmative defenses. On June 2, 2017, the parties filed oppositions to the summary judgment motions. The parties filed reply briefs in support of their motions on June 16, 2017. On July 14, 2017, the parties cross-moved for summary judgment on the additional count added to the amended complaint on April 26, 2017. The court heard oral argument on all motions for summary judgment on September 1, 2017. On October 20, 2017, the court granted Meade's motion for summary judgment that the statute of limitations had run on Ambac Assurance's counterclaim for specific performance and that this ruling was sufficient to fully resolve Meade's claims and Ambac's counterclaims concerning the debt service reserve surety bond. On November 27, 2017, Ambac Assurance filed a notice of appeal of the circuit court’s decision. On January 22, 2018, the court granted Meade's motion for summary judgment finding that Ambac Assurance lacked standing on the basis that there had been an "Ambac Default" by virtue of certain orders of the Rehabilitation Court. On January 26, 2018, Ambac Assurance filed a Motion to Alter or Amend Judgment with the Maryland Court arguing that the Rehabilitation Court's January 22 Confirmation Order constituted grounds for altering the judgment to award summary judgment on the "Ambac Default" issue for Ambac Assurance. On February 7, 2018, the Rehabilitation Court entered a further order enjoining Meade from continuing to argue that an Ambac Default occurred by virtue of the Rehabilitation Court's prior orders and requiring Meade to file that order with the Maryland Court. On February 8, 2018, Meade complied and filed the January 22nd and February 7th Rehabilitation Court orders with the Maryland court. On February 12, 2018, the Maryland Court granted Ambac's motion to stay enforcement of the Court's January 22nd amended order concerning "Ambac Default" and granting Meade an extension until March 14, 2018 to oppose Ambac's Motion to Alter or Amend Judgment. • 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. On March 30, 2017, Ambac Assurance filed a motion for summary judgment on all counts of the Monterey Bay complaint. On March 30, 2017, Monterey Bay filed a motion for partial summary judgment on two counts of the complaint and certain Ambac Assurance affirmative defenses. The parties filed their opposition briefs on June 2, 2017 and reply briefs on June 9, 2017. On June 19, 2017, the court issued a preliminary order that partially granted Monterey Bay's motion for summary judgment and ruled that the California statute of limitations had run on Ambac Assurance's claim for specific performance, subject to Ambac Assurance's defense of equitable tolling. The court also partially granted Ambac Assurance's motion for summary judgment on certain of Monterey Bay's declaratory judgment claims. On June 23, 2017, Ambac Assurance withdrew its defense of equitable tolling. The parties agreed that the court's summary judgment ruling on the statute of limitations was sufficient to end the case at the trial court level and submitted final orders to the court for approval. The court signed the final orders on July 13, 2017. On September 14, 2017, Ambac Assurance filed a notice of appeal. The Company believes that it has substantial defenses to the claims raised in these lawsuits and intends to defend itself vigorously; however, the Company is not able to predict the outcome of these actions. Monterey Bay Military Housing, LLC, et al. v. Ambac Assurance Corporation, et al. (United States District Court, Northern District of California, San Jose Division, Case No. 17-cv-04992-BLF, filed August 28, 2017) . Plaintiffs-the corporate developers of various military housing projects-filed an amended complaint on October 27, 2017 asserting claims for (i) violation of 18 U.S.C §§ 1962(c) and 1962(d) (civil Racketeer Influenced and Corrupt Organizations Act (“RICO”) and conspiracy to commit civil RICO), (ii) breach of fiduciary duty, (iii) aiding and abetting breach of fiduciary duty, (iv) fraudulent misrepresentation, (v) fraudulent concealment and (vi) conspiracy to commit fraud. Ambac Assurance and a former employee of Ambac Assurance are included in the named defendants. The claims relate to bonds and debt certificates (insured by Ambac Assurance) that were issued to finance the renovation and construction of housing at certain military bases. Plaintiffs allege that defendants secretly conspired to overcharge plaintiffs for the financing of the projects and directed the excess profits to themselves. Plaintiffs allege defendants generated these excess profits by supposedly charging inflated interest rates, manipulating “shadow ratings,” charging unnecessary fees, rigging the Guaranteed Investment Contract (“GIC”) bidding process, and hiding evidence of their alleged wrongdoing. Plaintiffs seek, among other things, compensatory damages, disgorgement of profits and fees, punitive damages, trebled damages and attorneys’ fees. On September 21, 2017, Ambac Assurance filed a motion to transfer venue to the United States District Court for the Southern District of New York, which motion plaintiffs opposed on October 5, 2017. The Court heard oral argument on November 30, 2017 and requested additional briefing from both parties. After the submission of the additional briefing, the Court denied Ambac’s motion to transfer on January 2, 2018. Ambac and the other defendants filed motions to dismiss the amended complaint on November 13, 2017, which Plaintiffs opposed on December 15, 2017. The motions are fully briefed and a hearing is scheduled on the motions for April 12, 2018. Ambac believes the lawsuit is without merit. 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. 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 or Joined 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. 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, Docket No. 15-1185, 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. The parties have reached a settlement and pursuant to the settlement agreement dated March 28, 2016, the plaintiffs have agreed to dismiss the appeal with prejudice upon confirmation of the City’s plan of adjustment by the bankruptcy judge and the plan of adjustment becoming effective. The plan of adjustment was confirmed on February 7, 2017 and became effective on June 15, 2017. Accordingly, the parties filed a stipulation agreeing to dismiss the appeal with prejudice with the Bankruptcy Appellate Panel on June 25, 2017. The bankruptcy appellate panel dismissed the appeal on July 13, 2017. Puerto Rico: 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, filed January 7, 2016) . 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. Defendants (including the Government Development Bank (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. The GDB President, in her official capacity, moved to dismiss for failure to state a claim upon which relief can be granted on January 29, 2016. Plaintiffs filed their oppositions to the motions on February 16, 2016 and Defendants filed replies on February 23, 2016. This case was administratively consolidated with a similar case before the same judge, Financial Guaranty Insurance Company v. Alejandro Garcia Padilla, et al. (United States District Court, District of Puerto Rico No. 3:16- cv-01095). On October 4, 2016, the court denied the Defendants’ and GDB President’s motions to dismiss with respect to all claims asserted by Ambac Assurance and Assured. On October 14, 2016, Defendants filed a Notice of Automatic Stay, asserting that Plaintiffs’ claims have been rendered moot and further asserting that the case is automatically stayed under section 405 of the Puerto Rico Oversight, Management and Economic Stability Act (PROMESA). On October 28, 2016, Plaintiffs informed the court that neither party was currently challenging the stay, and expressly reserved their right to seek to lift the stay at any time. Plaintiffs also objected to Defendants’ assertion that the case should be dismissed as moot. PROMESA’s litigation stay expired on May 2, 2017. On May 3, 2017, a petition under Title III of PROMESA was filed on behalf of the Commonwealth of Puerto Rico. On May 16, 2017, Defendants filed a statement requesting that the court take notice of the stay resulting from the Commonwealth’s Title III filing. On May 17, 2017, the court issued an order staying this case until further order of the court. Ambac Assurance Corporation v. Puerto Rico Highways and Transportation Authority (United States District Court, District of Puerto Rico, No. 16-cv-1893, filed May 10, 2016) . Ambac Assurance filed a complaint against the Puerto Rico Highways and Transportation Authority (PRHTA) on May 10, 2016, alleging breach of fiduciary duty and breach of contract in connection with PRHTA’s extension of an existing toll road concession agreement. The complaint alleges that it was inappropriate for PRHTA to enter into the extension agreement in its current state of financial distress because PRHTA has no control over, and is unlikely to receive, the proceeds of the transaction. The complaint also seeks specific performance of PRHTA’s contractual duty to provide information requested by Ambac Assurance under documents related to PRHTA bonds insured by Ambac Assurance. Ambac Assurance filed related motions seeking the appointment of a provisional receiver for PRHTA and expedited discovery. In addition to those remedies, Ambac Assurance seeks an order of the court that would, among other things, compel PRHTA to allow Ambac Assurance to inspect PRHTA’s financial records on an ongoing basis and permanently enjoin PRHTA from committing further breaches of its fiduciary and contractual duties. On July 1, 2016, PRHTA filed an Emergency Notice of Stay, asserting that the case was automatically stayed under section 405 of PROMESA. Ambac Assurance filed a response on July 11, 2016, disagreeing that the PROMESA stay applies but electing not to contest the stay at such time and reserving the right to challenge it or to seek to lift the stay in the future. Ambac Assurance also asserted that PRHTA still is obligated to make available to Ambac Assurance certain information, notwithstanding the stay on litigation and provided a proposed order for the court to issue. PRHTA filed a reply on July 18, 2016, contesting Ambac Assurance’s characterization, and provided an alternative order for the court to issue. Ambac Assurance’s response was filed July 25, 2016. PRHTA also filed an Urgent Motion to Exempt PRHTA from Outstanding Filings in the case during the pendency of the stay, which was granted. On August 23, 2016 the court issued an order staying the case. PROMESA’s litigation stay expired on May 2, 2017. The Commonwealth and Oversight Board have stated to Ambac Assurance that they believe this action is stayed due to the Commonwealth’s Title III filing. Subsequent to that statement, on May 21, 2017, a petition under Title III of PROMESA was filed on behalf of PRHTA. On May 24, 2017, the court issued an order staying this case until further order of the court. Lex Claims, LLC et al. v. Alejandro Garcia Padilla et al. (United States District Court, District of Puerto Rico, No. 16-2374, filed July 20, 2016) . On October 7, 2016, certain General Obligation bondholder Plaintiffs in an action to which Ambac Assurance was not then a party filed a motion for leave to amend their complaint and for partial relief from the PROMESA stay. Plaintiffs’ proposed second amended complaint added the Puerto Rico Sales Tax Financing Corporation (COFINA), COFINA’s executive director, and the trustee for the COFINA bonds as Defendants, and asserted numerous claims that challenge the legal validity of the COFINA structure and seek injunctive relief requiring the sales and use tax proceeds securing COFINA’s bonds to be transferred to the Puerto Rico Treasury. Plaintiffs contended that many of the claims challenging COFINA are not subject to PROMESA’s litigation stay provisions. On October 24, 2016, Defendants filed an opposition to the motion for leave to amend, arguing that the entire action is subject to the PROMESA stay. On October 26, 2016, Ambac Assurance filed a motion for leave to intervene and in support of the PROMESA stay. Ambac Assurance seeks to intervene principally to argue that the claims challenging COFINA are stayed by PROMESA, but also reserves the right to move to dismiss or otherwise defend against those claims should the court determine they are not stayed. On November 4, 2016, the Court granted Plaintiffs’ motion for leave to amend. Plaintiffs filed their second amended complaint that same day. On November 7, 2016, government Defendants sought to stay the case. On February 17, 2017, the court granted the motions to intervene of Ambac Assurance and certain other parties. The court also denied Defendants’ motion to stay, rejecting the arguments in support of the stay filed by Defendants and the intervenors, including Ambac Assurance. On March 20, 2017, Ambac Assurance filed in the district court an answer to the second amended complaint and a motion to dismiss Plaintiffs’ claim against COFINA, to strike certain portions of the second amended complaint, or, in the alternative, to certify the question of COFINA’s constitutionality to the Supreme Court of Puerto Rico. Certain other intervenors also filed answers and various motions in the district court. On April 4, 2017, the U.S. Court of Appeals for the First Circuit reversed the district court’s decision concerning the application of the PROMESA stay, which had the effect of reinstating the stay. PROMESA’s litigation stay expired on May 2, 2017. On May 3, 2017, a petition under Title III of PROMESA was filed on behalf of the Commonwealth of Puerto Rico. On May 16, 2017, Defendants filed a statement requesting that the court take notice of the stay resulting from the Commonwealth’s Title III filing. On May 17, 2017, the court issued an order staying this case until further order of the court. Ambac Assurance Corporation v. Puerto Rico, et al. (United States District Court, District of Puerto Rico, No. 17-1567, filed May 2, 2017) . On May 2, 2017, Ambac Assurance filed a complaint seeking a declaration that the Commonwealth’s Fiscal and Economic Growth Plan (the FEGP) and a recently enacted statute called the “Fiscal Plan Compliance Law” are unconstitutional and unlawful because they violate the Contracts, Takings, and Due Process Clauses of the U.S. Constitution, are preempted by PROMESA, and are unlawful transfers of property from COFINA to the Commonwealth in violation of PROMESA. The complaint further seeks an injunction against the filing of any Title III petitions, an injunction against the enactment or enforcement of any future legislation, rules, budgets, or restructuring plans premised on the FEGP, and a declaration that the Commonwealth is liable for any funds unlawfully transferred to it from COFINA. The complaint also seeks a declaration that the FEGP and Fiscal Plan Compliance Law violate covenants made by the Commonwealth and COFINA in the COFINA Resolution, which constitute Events of Default under the COFINA Resolution. On May 3, 2017, a petition under Title III of PROMESA was filed on behalf of the Commonwealth of Puerto Rico, and on May 5, 2017, a petition under Title III of PROMESA was filed on behalf of COFINA. On May 15, 2017, the Oversight Board filed a statement requesting that the court take notice of the stays resulting from these Title III filings. On May 17, 2017, the court issued an order staying this case until further order of the court. Ambac Assurance Corporation v. Puerto Rico, et al. (United States District Court, District of Puerto Rico, No. 17-1568, filed May 2, 2017) . On May 2, 2017, Ambac Assurance filed a complaint alleging that various moratorium laws and executive orders enacted by the Commonwealth to claw back funds from the PRIFA, PRHTA, and PRCCDA bonds violate the Contracts, Takings, and Due Process Clauses of the U.S. Constitution, are preempted by PROMESA, and unlawfully transfer PRHTA, PRCCDA, and PRIFA property to the Commonwealth. The complaint further seeks a declaration that the Commonwealth is liable for any funds unlawfully transferred to it from COFINA, an injunction against enforcement of the moratorium laws and executive orders, an injunction against the filing of any Title III petitions, and an injunction against the enactment or enforcement of any future legislation, rules, budgets, or restructuring plans pre |
Quarterly Information (unaudite
Quarterly Information (unaudited) (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Data [Abstract] | |
Quarterly Financial Information (unaudited) | 2017 2016 ($ in thousands) First Second Third Fourth First Second Third Fourth Gross premiums written $ 5,584 $ 6,928 $ (24,696 ) $ (2,129 ) $ (24,780 ) $ (4,041 ) $ (10,543 ) $ (14,473 ) Net premiums earned 47,613 43,152 52,989 31,523 52,800 41,402 53,218 49,867 Net investment income 81,559 85,160 87,177 107,057 60,821 70,758 90,917 90,871 Net other than temporary impairment losses (3,942 ) (1,763 ) (13,510 ) (956 ) (9,334 ) (7,441 ) (2,853 ) (2,191 ) Net realized investment gains (losses) (4,896 ) 4,180 6,150 (68 ) 1,102 14,897 11,749 11,536 Net change in fair value of credit derivatives 1,052 6,624 179 8,517 12,866 3,955 1,733 1,552 Net gains (losses) on interest rate derivatives (1,514 ) 34,068 3,984 23,027 (83,424 ) (36,331 ) (14,510 ) 83,992 Net realized gains (losses) on extinguishment of debt 2,741 2,179 — — 1,235 3,586 24 — Income (loss) on Variable Interest Entities 3,701 (1,219 ) (4,049 ) 21,237 (27,163 ) 8,987 2,057 2,026 Losses and loss expenses (benefit) 135,011 66,100 209,806 102,269 (105,281 ) (52,496 ) (69,204 ) 215,492 Insurance intangible amortization 37,525 33,471 45,690 34,168 50,890 39,013 44,553 40,152 Operating expenses 27,980 31,051 33,791 28,694 28,009 27,995 21,466 36,190 Interest expense 31,572 28,234 29,145 30,990 30,430 30,709 31,493 31,712 Pre-tax income (loss) (105,860 ) 13,992 (185,466 ) (6,917 ) 12,854 61,511 116,720 (86,059 ) Net income (loss) attributable to Common Shareholders $ (125,441 ) $ 7,110 $ (190,905 ) $ (19,479 ) $ 9,415 $ 58,647 $ 101,474 $ (94,693 ) Net income (loss) per share: Basic $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.30 $ 2.24 $ (2.09 ) Diluted $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.29 $ 2.22 $ (2.09 ) |
Schedule II - Condensed Financi
Schedule II - Condensed Financial Information of Registrant - Condensed Balance Sheet Schedule II - Condensed Financial Information of Registrant - Additional Information (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Condensed Financial Information of Parent Company Only Disclosure [Text Block] | 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, 2017 and 2016 and for the three years in the period ended December 31, 2017 , should be read in conjunction with the consolidated financial statements of Ambac Financial Group, Inc. and Subsidiaries and the notes thereto included in this 2017 Annual Report on Form 10-K for the year ended December 31, 2017 . 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, Ambac emerged from Chapter 11 bankruptcy protection when the Second Modified Fifth Amended Plan of Reorganization of Ambac (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. Income Taxes Ambac files a consolidated Federal income tax return with its U.S. subsidiaries. Ambac and its subsidiaries also file separate or combined income tax returns in various states, local and foreign jurisdictions. As of December 31, 2017 Ambac had a U.S. loss carryforwards totaling $3,694,844 , which, if not utilized, will begin expiring in 2029 , and will fully expire in 2032 . The NOL allocable to AFG as of December 31, 2017 is $1,412,639 . 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, 2017 (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 $1,367,795 , which utilized all of the $479,000 allocated Tier A NOL and $888,795 of the $1,057,000 allocated Tier B NOL and resulted in accrued Tolling Payments, net of applicable credits. At December 31, 2017 , $30,496 of Tolling Payments are due to Ambac no later than forty-five days after April 15, 2018. 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 $10,000 of Tier A and Tier B credits. |
Schedule IV - Reinsurance _Disc
Schedule IV - Reinsurance [Disclosure] Schedule IV - Reinsurance (Notes) | 12 Months Ended |
Dec. 31, 2017 | |
Supplemental Schedule of Reinsurance Premiums for Insurance Companies [Abstract] | |
Supplemental Schedule of Reinsurance Premiums for Insurance Companies [Text Block] | AMBAC FINANCIAL GROUP, INC. AND SUBSIDIARIES SCHEDULE IV— REINSURANCE Years Ended December 31, 2017, 2016 and 2015 Insurance Premiums Written ($ in Thousands) Gross Amount Ceded to Other Companies Assumed from Other Companies Net Amount Percentage of Amount Assumed to Net Year Ended December 31, 2017 $ (14,313 ) $ (2,104 ) $ — $ (12,209 ) —% Year Ended December 31, 2016 (53,837 ) (8,772 ) $ — (45,065 ) —% Year Ended December 31, 2015 (37,572 ) (3,001 ) — (34,571 ) —% |
Basis of Presentation and Sig27
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
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 Accounting Standards Codification ("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. 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. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. Refer to Note 3. 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. | |
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, 2017 and 2016 and for the years ended December 31, 2017, 2016 and 2015 . Investments in subsidiaries are accounted for using the equity method of accounting. | |
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 structured securities with a large underlying pool of homogenous loans, such as mortgage-backed and asset-backed securities, premiums and discounts are adjusted for the effects of actual and anticipated prepayments on a retrospective basis. For other fixed income securities, 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. Ambac’s non-VIE investment portfolio also includes 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 in accordance with the Financial Instruments Topic of the ASC. 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. For additional information about VIE investments, including fair value by asset-type, see Note 3. Special Purpose Entities, Including Variable Interest Entities . Ambac has a formal impairment review process for fixed income available for sale securities in its investment portfolio. Ambac conducts a review each quarter to identify and evaluate investments that have indications of impairment that may be other than temporary in accordance with the Investments - Debt and Equity Securities Topic of the ASC. Factors considered to identify and assess securities for other than temporary 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 is 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 impact 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 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 and guaranteed under policies that were allocated to the Segregated Account, the estimate of Ambac Assurance claim payments included interest on Deferred Amounts, which were discharged on February 12, 2018. Ambac estimated the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities was at the sole discretion of the Rehabilitator. Refer to Note 1. Background and Business Description for more information on the Segregated Account and the Segregated Account Rehabilitation Proceedings. 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. | |
Net Premiums Earned | Net Premiums: Gross premiums are received either upfront or in installments. 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, 2017 and 2016 , was 2.5% . and 2.6% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2017 and 2016 , was 9.8 years and 9.0 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 corresponding to the initial weighted average life of the related policy. 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 upfront 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 has been retired early, typically due to an issuer call, 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. 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 (a refunding) or a specified call date (a pre-refunding). Ambac has evaluated the provisions in policies issued on these obligations and determined those insurance policies have not been legally extinguished. 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. | |
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. | |
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. None of Ambac’s derivative contracts are designated as hedges under the Derivatives and Hedging Topic of the ASC. Ambac's derivatives consist primarily of credit derivatives, interest rate swaps and futures contracts. 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. Ambac maintains a derivatives portfolio consisting primarily of interest rate swaps and futures contracts to economically hedge interest rate risk in the financial guarantee and investment portfolios. This portfolio also includes legacy interest rate swaps with asset-backed securitization issuers, states, municipalities and their authorities which were written in connection with their financings. Changes in fair value of all interest rate derivatives are recorded in net gains (losses) on interest rate derivatives on the Consolidated Statements of Total Comprehensive Income. 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. All derivatives are recorded on the Consolidated Balance Sheets at fair value on a gross basis; assets and liabilities are netted by counterparty 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. Effective January 3, 2017, as a result of rule changes by the central clearing party ("CCP"), variation payments are considered settlements of the associated derivative balance and are reflected as a reduction to derivative liabilities on the Consolidated Balance Sheet at December 31, 2017. For periods presented prior to this rule change, variation payments were included in "Other assets" on the Consolidated Balance Sheet. Refer to Note 11. Derivative Instruments for further discussion of the Company’s use of derivative instruments and their impact of the consolidated financial statements, including details of the CCP rule change. Refer to Note 9. 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. | |
Goodwill | Goodwill: 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 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. 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 tested 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. During the third quarter of 2015, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation for the reporting unit to which goodwill was assigned. Those indicators included the trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis, we performed step one of the goodwill impairment test where we estimated the fair value of the reporting unit using a market approach, which was 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 reporting unit's carrying value exceeded its fair value. Accordingly, the Company performed step two of the impairment test, which indicated the implied fair value of goodwill was zero. This was the result of substantial decreases in the reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The 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 9. 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 in 2015. | |
Intangible Assets | Insurance Intangible Asset: 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 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 is amortized using a level yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts and is applied to groups of contracts with similar characteristics. | |
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. | |
Loss Reserves | Loss and Loss Expenses: The loss and loss expense reserve (“loss reserve”) policy relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including VIEs, for which we do not consolidate the VIE. Losses and loss expenses 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 above. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include unpaid claims and the present value ("PV") of expected net cash flows 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 Segregated Account Rehabilitation Plan. Refer to Note 1. Background and Business Description for further discussion of the 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 net cash flows represents the PV of expected cash outflows less the PV of expected cash inflows. The PV of expected net cash flows are impacted by: (i) expected future claims to be paid 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, which is discussed further in the “RMBS Representation and Warranty Subrogation Recoveries” section below, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries, including expected receipts from third parties within the underlying transaction's cash flow structure. 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 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 cash outflows are greater than the PV of expected cash inflows. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of: (i) unpaid claims plus (ii) the excess of the PV of expected net cash outflows over the unearned premium revenue. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected cash inflows are greater than the sum of unpaid claims plus the PV of expected cash outflows. For such policies, a “Subrogation recoverable” asset is recorded for the difference between (i) the PV of expected net cash inflows and (ii) unpaid claims. 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 ongoing review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Risk Management Group ("RMG") 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 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 RMG 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. Through ongoing surveillance, Ambac may also designate Class I credits into one or more of the following categories: • Survey list - credits that may lack information or demonstrate a weakness but further deterioration is not expected. • Watch list - credits that demonstrate the potential for future material adverse development due to such factors as long-term uncertainty about a particular sector, a certain structural element related to the issuer or transaction or overall financial and economic sustainability. 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 certain of 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 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 RMG officers. 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 RMG 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 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 a RMBS transaction provided representations and warranties with respect to the securitized loans, including representations and warranties with respect to loan characteristics, the absence of borrower fraud in the underlying loan pools and 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 or 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. 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. 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. 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. The approach used 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. 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 are 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. | |
Obligations Under Investment Agreements and Investment Repurchase Agreements | Obligations under Investment Agreements: Ambac's investment agreements were written principally to asset-backed and structured finance issuers, states, municipalities and municipal authorities, and required Ambac to pay an agreed-upon rate of interest based on funds deposited. Proceeds from these investment agreement obligations were used to invest in fixed income investments. Interest income from these investments was included in Net investment income on the Consolidated Statements of Total Comprehensive Income. The principal amount outstanding under investment agreements of $82,358 , with a variable interest rate of 0.94% , at December 31, 2016 was repaid during the first quarter of 2017. 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, and is included in Interest expense on the Consolidated Statements of Total Comprehensive Income. | |
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. To the extent Ambac repurchases or redeems its long-term debt, 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. Long-term debt issued by VIEs consolidated as a result of Ambac's variable interest arising from financial guarantees written by Ambac's subsidiaries, 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. | |
Noncontrolling Interest Policy [Policy Text Block] | Noncontrolling Interest: At December 31, 2016 and 2017, Ambac Assurance had 26,411 shares of issued and outstanding auction rate preferred shares with a liquidation preference of $660,300 (reported as noncontrolling interest of $264,110 on Ambac's balance sheet). The auction occurs every 28 days. Due to the dislocation in the auction rate markets and the Company’s financial condition, the dividend rate on the auction market preferred has continuously been reset at the maximum rate of one-month LIBOR plus 200 basis points. Under the terms of the preferred stock, dividends may not be paid on the common stock of Ambac Assurance unless all accrued and unpaid dividends on the preferred stock 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 preferred stock become cumulative until the date that all accumulated and unpaid dividends have been paid on the preferred stock. Ambac Assurance has not paid dividends on its preferred stock since 2010. | |
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. | |
Long Term Incentive and Stock Compensation Plan | Incentive Compensation: Incentive compensation is a key component of our compensation strategy. Our incentive compensation awards generally have two components: short term incentive compensation (consisting of an annual cash bonus and deferred stock units for certain officers) and long term incentive plan awards (consisting of cash awards and performance stock units). Annual decisions with regard to incentive compensation are generally made in the first quarter of each year and are based on Company performance and individual and business unit performance of the prior year. 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. Prior to the adoption of ASU 2016-09 (as noted below), Ambac recognized compensation costs for all equity classified awards granted at fair value with an estimation of forfeitures for all unvested shares. As a result of the adoption of ASU 2016-09 in 2017, Ambac recognizes compensation costs for all equity classified awards granted at fair value and records forfeitures for unvested shares only when they occur. • Deferred stock units granted vest upon grant and will settle and convert to Ambac common stock annually over a two-year period ( 50% on the first anniversary of the grant date and 50% on the second anniversary of the grant date). The fair value of these grants is recognized as compensation expense on the date of grant since no future service is required. • Restricted stock units granted only require future service and accordingly the respective fair value is amortized into compensation expense 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. The functional currencies of Ambac's subsidiaries are the local currencies of the country where the respective subsidiaries are based, which are also the primary operating environments in which the subsidiaries operate. Foreign currency translation : 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. Consolidated Statements of Total Comprehensive Income (Loss) accounts expressed in functional currencies are translated using average exchange rates. Foreign currency transactions : The impact of non-functional currency transactions and the remeasurement of non-functional currency assets and liabilities into the respective subsidiaries' functional currency (collectively "foreign currency transactions gains/(losses)") are $21,116 , $(39,128) and $(17,010) for the years ended December 31, 2017, 2016 and 2015 , respectively. Foreign currency transactions gains/(losses) are primarily the result of remeasuring Ambac UK's assets and liabilities denominated in currencies other than its functional currency, primarily the U.S. dollar and the Euro. The significant components of foreign currency transaction gains/(losses), including the respective classifications in the Consolidated Statement of Total Comprehensive Income, are as follows: • Remeasurement of loss reserves, classified in Loss and loss expenses, in the amount of $28,939 , $(77,578) and $(24,838) for the years ended December 31, 2017, 2016 and 2015 , respectively; • Realized gain (loss) from the sale of investment securities and the unrealized gains (losses) of trading and short-term investment securities, classified in Net realized investment gains, in the amount of $(4,769) , $30,179 and $5,816 for the years ended December 31, 2017, 2016 and 2015 , respectively; • Remeasurement of premium receivables, classified in Other income, in the amount of $(1,904) , $8,003 and $(2,555) for the years ended December 31, 2017, 2016 and 2015 , respectively; and • Remeasurement of credit derivative liabilities, classified in Net change in fair value of credit derivative, in the amount of $(1,150) , $32 and $3,981 for the years ended December 31, 2017, 2016 and 2015 , respectivel | |
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). Current tax assets and liabilities are recognized for taxes refundable or payable for the current year. 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 current and deferred tax assets and liabilities of a change in tax rates is recognized in the period that includes the enactment date. In December 2017, the Tax Cut and Jobs Act ("TCJA") was enacted that introduces significant changes that impact U.S. corporate tax rates, business-related exclusions, and deductions and credits effective January 1, 2018. As such, we incorporated the effects of the TCJA in our current and deferred tax evaluation for the year ended December 31, 2017. 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 forward periods available under the tax law. We determined that we would not be able to realize all of our deferred tax assets in the future, and therefore we reduced such amounts through a charge to the Statement of Total Comprehensive Income in the period in which that determination was made. Refer to Note 14. Income Taxes for further discussion of the Company's tax positions, including the impact of the TCJA. 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. | |
Net Income Per Share | Net Income Per Share: Basic net income per share is computed by dividing net income attributable to common stockholders by the weighted-average number of common shares outstanding and vested restricted stock units. Diluted net income per share is computed by dividing net income attributable to common stockholders by the weighted-average number of common shares used for basic earnings per share 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, vested and unvested options, unvested restricted stock units and unvested performance stock units granted under employee and director compensation plans. | |
Reclassifications | Reclassifications: Reclassifications may have been made to prior years' amounts to conform to the current year's presentation. | |
Adoption of New Accounting Standards | Recently Adopted Accounting Standards: Effective December 31, 2017, Ambac early adopted the following accounting standard: Reclassification of Shareholders' Equity items related to the TCJA In February 2018, the FASB issued ASU 2018-02, Income Statement-Reporting Comprehensive Income (Topic 220) - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income . Current GAAP requires the effect of a change in tax laws or rates which impact deferred tax assets and liabilities to be recorded as income tax expense within net income. This guidance is applicable even in situations where the related income tax effects of items in accumulated other comprehensive income ("AOCI") were originally charged or credited directly to AOCI as required by GAAP. As a result, when tax laws or rates change, the tax effects of certain items (referred to as "stranded tax effects") in AOCI may not reflect the appropriate tax rate. This ASU eliminates the stranded tax effects by allowing a reclassification of those items from AOCI to retained earnings that resulted from the recently enacted TCJA. Ambac early adopted this standard effective December 31, 2017. Adoption of this ASU resulted in a decrease to AOCI of $6,588 and offsetting increase to retained earnings of $6,588 with no change to total shareholders' equity. Effective January 1, 2017 , Ambac adopted the following accounting standards: Consolidation of Variable Interest Entities - Decision Makers In October 2016, the FASB issued ASU 2016-17, Consolidation (Topic 810) - Interests Held through Related Parties That Are under Common Control . The new guidance changes how a reporting entity that is a single decision maker for a VIE will consider its indirect interests in that VIE when determining whether the reporting entity is the primary beneficiary and should consolidate the VIE. Under previous GAAP, a single decision maker in a VIE is required to consider an indirect interest held by a related party under common control in its entirety. Under the new ASU, the single decision maker will consider the indirect interest on a proportionate basis. Adoption of this ASU did not have an impact on Ambac's financial statements. Improvements to Employee Share-Based Payment Accounting In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment Accounting . The objective of this ASU is to improve and simplify the accounting for employee share-based payment accounting. The amendments are as follows: (i) recognizing excess tax benefits and tax deficiencies as income tax expense, (ii) recognizing excess tax benefits regardless of whether it reduces taxes payable in the current period, (iii) classifying excess tax benefits related to share-based payments along with other income tax cash flows as an operating activity on the statement of cash flows, (iv) for purposes of accruing compensation costs, allowing companies to make an accounting policy election to either: a) estimate forfeitures or b) account for forfeitures as they occur, which Ambac elected to do upon adoption, (v) to qualify for equity classification treatment, permitting tax withholding by employees up to the maximum statutory tax rate and (vi) classifying cash paid by an employer to a taxing authority when directly withholding shares as a financing activity on the statement of cash flows. Adoption of this ASU did not have a material impact on Ambac's financial statements. Equity Method of Accounting In March 2016, the FASB issued ASU 2016-07, Investments-Equity Method and Joint Ventures (Topic 323) - Simplifying the Transition to the Equity Method of Accounting . This ASU eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively as if the equity method had been in effect during all previous periods that the investment had been owned. The ASU will now require that at the date an available-for-sale equity security becomes qualified for the equity method of accounting, the reporting entity will recognize through earnings the unrealized holding gain or loss in accumulated other comprehensive income. Adoption of this ASU did not have an impact on Ambac's financial statements. Contingent Put and Call Options in Debt Instruments In March 2016, the FASB issued ASU 2016-06, Derivatives and Hedging (Topic 815) - Contingent Put and Call Options in Debt Instruments . Previous accounting rules required that embedded derivatives be separated from the host contract in a financial instrument and accounted for separately as derivatives if certain criteria are met. One of these criteria is that the economic characteristics and risks of the embedded derivatives are not "clearly and closely related" to the host contract. The objective of the ASU is to resolve diversity in practice in assessing embedded contingent put and call options. The ASU clarifies what steps are required when assessing whether the economic characteristics and risk of put and call options are clearly and closely related to their debt host contracts. Adoption of this ASU did not have an impact on Ambac's financial statements. |
Basis of Presentation and Sig28
Basis of Presentation and Significant Accounting Policies Recently Adopted and Recently Issued Accounting Standards (Policies) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Accounting Policies [Abstract] | ||
New Accounting Pronouncements, Policy [Policy Text Block] | Recently Adopted Accounting Standards: Effective December 31, 2017, Ambac early adopted the following accounting standard: Reclassification of Shareholders' Equity items related to the TCJA In February 2018, the FASB issued ASU 2018-02, Income Statement-Reporting Comprehensive Income (Topic 220) - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income . Current GAAP requires the effect of a change in tax laws or rates which impact deferred tax assets and liabilities to be recorded as income tax expense within net income. This guidance is applicable even in situations where the related income tax effects of items in accumulated other comprehensive income ("AOCI") were originally charged or credited directly to AOCI as required by GAAP. As a result, when tax laws or rates change, the tax effects of certain items (referred to as "stranded tax effects") in AOCI may not reflect the appropriate tax rate. This ASU eliminates the stranded tax effects by allowing a reclassification of those items from AOCI to retained earnings that resulted from the recently enacted TCJA. Ambac early adopted this standard effective December 31, 2017. Adoption of this ASU resulted in a decrease to AOCI of $6,588 and offsetting increase to retained earnings of $6,588 with no change to total shareholders' equity. Effective January 1, 2017 , Ambac adopted the following accounting standards: Consolidation of Variable Interest Entities - Decision Makers In October 2016, the FASB issued ASU 2016-17, Consolidation (Topic 810) - Interests Held through Related Parties That Are under Common Control . The new guidance changes how a reporting entity that is a single decision maker for a VIE will consider its indirect interests in that VIE when determining whether the reporting entity is the primary beneficiary and should consolidate the VIE. Under previous GAAP, a single decision maker in a VIE is required to consider an indirect interest held by a related party under common control in its entirety. Under the new ASU, the single decision maker will consider the indirect interest on a proportionate basis. Adoption of this ASU did not have an impact on Ambac's financial statements. Improvements to Employee Share-Based Payment Accounting In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation (Topic 718) - Improvements to Employee Share-Based Payment Accounting . The objective of this ASU is to improve and simplify the accounting for employee share-based payment accounting. The amendments are as follows: (i) recognizing excess tax benefits and tax deficiencies as income tax expense, (ii) recognizing excess tax benefits regardless of whether it reduces taxes payable in the current period, (iii) classifying excess tax benefits related to share-based payments along with other income tax cash flows as an operating activity on the statement of cash flows, (iv) for purposes of accruing compensation costs, allowing companies to make an accounting policy election to either: a) estimate forfeitures or b) account for forfeitures as they occur, which Ambac elected to do upon adoption, (v) to qualify for equity classification treatment, permitting tax withholding by employees up to the maximum statutory tax rate and (vi) classifying cash paid by an employer to a taxing authority when directly withholding shares as a financing activity on the statement of cash flows. Adoption of this ASU did not have a material impact on Ambac's financial statements. Equity Method of Accounting In March 2016, the FASB issued ASU 2016-07, Investments-Equity Method and Joint Ventures (Topic 323) - Simplifying the Transition to the Equity Method of Accounting . This ASU eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively as if the equity method had been in effect during all previous periods that the investment had been owned. The ASU will now require that at the date an available-for-sale equity security becomes qualified for the equity method of accounting, the reporting entity will recognize through earnings the unrealized holding gain or loss in accumulated other comprehensive income. Adoption of this ASU did not have an impact on Ambac's financial statements. Contingent Put and Call Options in Debt Instruments In March 2016, the FASB issued ASU 2016-06, Derivatives and Hedging (Topic 815) - Contingent Put and Call Options in Debt Instruments . Previous accounting rules required that embedded derivatives be separated from the host contract in a financial instrument and accounted for separately as derivatives if certain criteria are met. One of these criteria is that the economic characteristics and risks of the embedded derivatives are not "clearly and closely related" to the host contract. The objective of the ASU is to resolve diversity in practice in assessing embedded contingent put and call options. The ASU clarifies what steps are required when assessing whether the economic characteristics and risk of put and call options are clearly and closely related to their debt host contracts. Adoption of this ASU did not have an impact 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 or valuation allowance on the deferred tax asset, any of which individually could be material. 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 Accounting Standards Codification ("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. 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. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. Refer to Note 3. 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. Ambac Unconsolidated Financial Information: Financial information of Ambac is presented in Schedule II to this Form 10-K as of December 31, 2017 and 2016 and for the years ended December 31, 2017, 2016 and 2015 . Investments in subsidiaries are accounted for using the equity method of accounting. 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 structured securities with a large underlying pool of homogenous loans, such as mortgage-backed and asset-backed securities, premiums and discounts are adjusted for the effects of actual and anticipated prepayments on a retrospective basis. For other fixed income securities, 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. Ambac’s non-VIE investment portfolio also includes 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 in accordance with the Financial Instruments Topic of the ASC. 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. For additional information about VIE investments, including fair value by asset-type, see Note 3. Special Purpose Entities, Including Variable Interest Entities . Ambac has a formal impairment review process for fixed income available for sale securities in its investment portfolio. Ambac conducts a review each quarter to identify and evaluate investments that have indications of impairment that may be other than temporary in accordance with the Investments - Debt and Equity Securities Topic of the ASC. Factors considered to identify and assess securities for other than temporary 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 is 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 impact 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 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 and guaranteed under policies that were allocated to the Segregated Account, the estimate of Ambac Assurance claim payments included interest on Deferred Amounts, which were discharged on February 12, 2018. Ambac estimated the timing of claim payment receipts on all Ambac-insured securities owned, but the actual timing of such amounts for Segregated Account securities was at the sole discretion of the Rehabilitator. Refer to Note 1. Background and Business Description for more information on the Segregated Account and the Segregated Account Rehabilitation Proceedings. 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. Net Premiums: Gross premiums are received either upfront or in installments. 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, 2017 and 2016 , was 2.5% . and 2.6% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at December 31, 2017 and 2016 , was 9.8 years and 9.0 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 corresponding to the initial weighted average life of the related policy. 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 upfront 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 has been retired early, typically due to an issuer call, 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. 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 (a refunding) or a specified call date (a pre-refunding). Ambac has evaluated the provisions in policies issued on these obligations and determined those insurance policies have not been legally extinguished. 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. 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. 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. None of Ambac’s derivative contracts are designated as hedges under the Derivatives and Hedging Topic of the ASC. Ambac's derivatives consist primarily of credit derivatives, interest rate swaps and futures contracts. 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. Ambac maintains a derivatives portfolio consisting primarily of interest rate swaps and futures contracts to economically hedge interest rate risk in the financial guarantee and investment portfolios. This portfolio also includes legacy interest rate swaps with asset-backed securitization issuers, states, municipalities and their authorities which were written in connection with their financings. Changes in fair value of all interest rate derivatives are recorded in net gains (losses) on interest rate derivatives on the Consolidated Statements of Total Comprehensive Income. 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. All derivatives are recorded on the Consolidated Balance Sheets at fair value on a gross basis; assets and liabilities are netted by counterparty 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. Effective January 3, 2017, as a result of rule changes by the central clearing party ("CCP"), variation payments are considered settlements of the associated derivative balance and are reflected as a reduction to derivative liabilities on the Consolidated Balance Sheet at December 31, 2017. For periods presented prior to this rule change, variation payments were included in "Other assets" on the Consolidated Balance Sheet. Refer to Note 11. Derivative Instruments for further discussion of the Company’s use of derivative instruments and their impact of the consolidated financial statements, including details of the CCP rule change. Refer to Note 9. 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. Goodwill: 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 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. 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 tested 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. During the third quarter of 2015, Ambac determined sufficient indicators of potential impairment existed to perform an interim goodwill impairment evaluation for the reporting unit to which goodwill was assigned. Those indicators included the trading values of Ambac stock and changes in Ambac credit spreads. In conducting the goodwill impairment analysis, we performed step one of the goodwill impairment test where we estimated the fair value of the reporting unit using a market approach, which was 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 reporting unit's carrying value exceeded its fair value. Accordingly, the Company performed step two of the impairment test, which indicated the implied fair value of goodwill was zero. This was the result of substantial decreases in the reporting unit's fair value and substantial increases in the fair value of its net assets. The fair value of the reporting unit decreased significantly due to a material decrease in Ambac's market capitalization components (described above). The 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 9. 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 in 2015. Insurance Intangible Asset: 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 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 is amortized using a level yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts and is applied to groups of contracts with similar characteristics. 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. Loss and Loss Expenses: The loss and loss expense reserve (“loss reserve”) policy relates only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including VIEs, for which we do not consolidate the VIE. Losses and loss expenses 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 above. A loss reserve is recorded on the balance sheet on a policy-by-policy basis. Loss reserve components of an insurance policy include unpaid claims and the present value ("PV") of expected net cash flows 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 Segregated Account Rehabilitation Plan. Refer to Note 1. Background and Business Description for further discussion of the 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 net cash flows represents the PV of expected cash outflows less the PV of expected cash inflows. The PV of expected net cash flows are impacted by: (i) expected future claims to be paid 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, which is discussed further in the “RMBS Representation and Warranty Subrogation Recoveries” section below, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries, including expected receipts from third parties within the underlying transaction's cash flow structure. 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 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 cash outflows are greater than the PV of expected cash inflows. For such policies, a “Loss and loss expense reserves” liability is recorded for the sum of: (i) unpaid claims plus (ii) the excess of the PV of expected net cash outflows over the unearned premium revenue. Net cash inflow policies represent contracts where losses have been paid, but not yet recovered, such that the PV of expected cash inflows are greater than the sum of unpaid claims plus the PV of expected cash outflows. For such policies, a “Subrogation recoverable” asset is recorded for the difference between (i) the PV of expected net cash inflows and (ii) unpaid claims. 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 ongoing review of the financial guarantee credit portfolio. Active surveillance of the insured portfolio enables Ambac’s Risk Management Group ("RMG") 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 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 RMG 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. Through ongoing surveillance, Ambac may also designate Class I credits into one or more of the following categories: • Survey list - credits that may lack information or demonstrate a weakness but further deterioration is not expected. • Watch list - credits that demonstrate the potential for future material adverse development due to such factors as long-term uncertainty about a particular sector, a certain structural element related to the issuer or transaction or overall financial and economic sustainability. 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 certain of 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 | |
Description of New Accounting Pronouncements Not yet Adopted [Text Block] | Future Application of Accounting Standards: Equity-linked instruments with down round features In July 2017, the FASB issued ASU 2017-11, Earnings Per Share (Topic 260) and Derivatives and Hedging (Topic 815) - Accounting for Certain Financial Instruments with Down Round Features . Equity-linked instruments, such as warrants and convertible instruments may contain down round features that result in the strike price being reduced on the basis of the pricing of future equity offerings. Under the ASU, a down round feature will no longer require a freestanding equity-linked instrument (or embedded conversion option) to be classified as a liability that is remeasured at fair value through the income statement (i.e. marked-to-market). However, other features of the equity-linked instrument (or embedded conversion option) must still be evaluated to determine whether liability or equity classification is appropriate. Equity classified instruments are not marked-to-market. For earnings per share ("EPS") reporting, the ASU requires companies to recognize the effect of the down round feature only when it is triggered by treating it as a dividend and as a reduction of income available to common shareholders in basic EPS. The amendments in this ASU are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Early adoption is permitted, including adoption in any interim period. Ambac will adopt this ASU on January 1, 2019. The adoption of this ASU is not expected to have a consequential impact on Ambac's financial statements. Stock Compensation--Scope of Modification Accounting In May 2017, the FASB issued ASU 2017-09, Compensation-Stock Compensation (Topic 718) - Scope of Modification Accounting . The ASU provides guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting. Entities will apply the modification accounting guidance if the value, vesting conditions or classification of the award changes. The current disclosure requirements in Topic 718 apply regardless of whether an entity is required to apply modification accounting under the amendments in this ASU. The amendments in this ASU are effective for all entities for annual periods, and interim periods within those annual periods, beginning after December 15, 2017. Early adoption is permitted, including adoption in any interim period for which financial statements have not yet been issued. Ambac will adopt this ASU on January 1, 2018. The adoption of this ASU is not expected to have a consequential impact on Ambac's financial statements. Premium Amortization on Callable Debt Securities In March 2017, the FASB issued ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20) - Premium Amortization on Purchased Callable Debt Securities . The ASU shortens the amortization period for the premium on callable debt securities to the earliest call date. Under current GAAP, a reporting entity generally amortizes the premium as yield adjustment over the contractual life (i.e. maturity) of the debt security and if that debt security is called, the entity would record a loss equal to the unamortized premium. The ASU does not change the accounting for callable debt securities held at a discount, which will continue to be amortized to maturity. ASU 2017-08 is effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years, with early adoption permitted. The ASU must be applied on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. Ambac will adopt this ASU on January 1, 2019 and we are evaluating its impact on Ambac's financial statements. Net Periodic Pension and Postretirement Costs In March 2017, the FASB issued ASU 2017-07, Compensation-Retirement Benefits (Topic 715) - Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost . The objective of the ASU is to increase transparency in the reporting of net pension cost and net postretirement cost (collectively "net benefit cost"). The ASU requires that the service cost component of net benefit cost be reported on the same line item as other compensation costs arising from services rendered by employees. It further requires that the other components of net benefit costs (i.e. interest costs, amortization of prior service cost, etc.) be presented separately from the service cost component and outside the subtotal of income from operations, if one is presented. ASU 2017-09 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years, with early adoption permitted. Ambac will adopt this ASU on January 1, 2018. The adoption of this ASU is not expected to have a consequential impact on Ambac's financial statements. Restricted Cash In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230) - Restricted Cash . Current GAAP does not include specific guidance on the cash flow classification and presentation of changes in restricted cash and restricted cash flow equivalents other than limited guidance for non-for-profit entities. This ASU is intended to resolve diversity in practice in the classification of changes in restricted cash and restricted cash flow equivalents on the statement of cash flows. The new guidance requires that restricted cash and restricted cash equivalents be included with cash and cash equivalents when reconciling the beginning and ending period amounts on the statement of cash flows, along with certain disclosures. ASU 2016-18 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. Amendments in the ASU should be applied retrospectively to all periods presented. Ambac will adopt this ASU on January 1, 2018. The adoption of this ASU is not expected to have a consequential impact on Ambac's financial statements. Income Taxes In October 2016, the FASB issued ASU 2016-16, Income Taxes (Topic 740) - Intra-Entity Transfers of Assets Other Than Inventory . Current GAAP prohibits the recognition of current and deferred income taxes for intercompany transfers of assets until the asset has been sold to an outside party. The ASU will require companies to recognize the income tax effects of intercompany sales and transfers of assets other than inventory, as income tax expense (or benefit) in the period in which the transfer occurs. ASU 2016-16 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption is permitted as of the beginning of an annual reporting period for which financial statements (interim or annual) have not been issued. Ambac will adopt this ASU on January 1, 2018 and we are evaluating its impact on Ambac's financial statements. Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230) - Classification of Certain Cash Receipts and Cash Payments . The ASU resolves diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. Transactions addressed in the ASU that may impact Ambac are as follows: • Debt prepayment or debt extinguishment costs - Such payments will be classified as a financing cash outflow. • Settlement of zero-coupon debt or other debt with coupon rates that are insignificant in relation to the effective interest rate of the borrowing - The portion of the cash payment attributable to accreted interest will be classified as an operating cash outflow and the portion attributable to the principal will be classified as a financing cash outflow. • Distributions from equity-method investees - An entity will elect one of the two following approaches. Under the "cumulative earnings approach": i) distributions received up to the amount of cumulative earnings recognized will be treated as returns on investments and classified as cash inflows from operating activities and ii) distributions received in excess of earnings recognized will be treated as returns of investments and classified as cash inflows from investing activities. Under the "nature of the distribution" approach, distributions received will be classified based on the nature of the activity that generated the distribution (i.e. classified as a return on investment or return of investment), when such information is available to the investor. • Beneficial interests in securitization transactions - Any beneficial interests obtained in financial assets transferred to an unconsolidated securitization entity will be disclosed as a non-cash investing activity. Subsequent cash receipts from the beneficial interests in previously transferred trade receivables will be classified as cash inflows from investing activities. ASU 2016-15 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years. Early adoption is permitted, including adoptions within an interim period. Ambac will adopt this ASU on January 1, 2018. Adoption of this ASU is not expected to have a consequential impact on Ambac's financial statements. Measurement of Credit Losses on Financial Instruments In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments . This ASU significantly affects how reporting entities will measure credit losses for financial assets that are not accounted for at fair value through net income, which include loans, debt securities, trade receivables, net investments in leases, and certain off-balance sheet credit exposures. For financial assets measured at amortized cost, the ASU replaces the "incurred loss" model, which generally delayed recognition of the full amount of credit losses until the loss was probable of occurring, with an "expected loss" model, which reflects an entity's current estimate of all expected credit losses. Expected credit losses for amortized cost assets will be recorded as a valuation allowance, with subsequent increases or decreases in the allowance reflected in the income statement each period. For available-for-sale debt securities, credit losses under the ASU will be measured similarly to current GAAP. However, under the ASU, credit losses for available-for-sale securities will be recorded as a valuation allowance (similar to the amortized cost assets approach described above), rather than as a direct write-down of the security as is required under current GAAP. As a result, improvements to estimated credit losses for available-for-sale debt securities will be recognized immediately in the income statement rather than as interest income over time. The ASU is effective for annual periods beginning after December 15, 2019, including interim periods within those fiscal years. Early adoption is permitted as of the fiscal year beginning after December 15, 2018. Ambac has not determined whether it will early adopt this ASU and we are currently evaluating its impact on Ambac's financial statements. The significant implementation matters to be addressed include identifying the inventory of financial assets that will be affected by this standard, identifying new data requirements and data sources for implementing the expected loss model for those instruments not already using this model and identifying and documenting accounting process changes, including related controls. Leases 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. We believe Ambac's office leases will be the most significantly impacted by this ASU. The significant implementation matters to be addressed include identifying the remaining inventory of leases (i.e. equipment and other) that will be affected by this standard and identifying and documenting accounting process changes, including related controls. Recognition and Measurement of Financial Assets and Liabilities 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. Ambac will adopt all provisions of this ASU on January 1, 2018. Ambac has elected the fair value option for all VIE financial assets and financial liabilities with net fair value changes reported in Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income. Upon implementation of ASU 2016-01, the credit component of fair value changes in VIE liabilities will be reported in Accumulated other comprehensive income. We are still evaluating the transition adjustment impact of the ASU, which will be a reclassification between Retained earnings and Accumulated other comprehensive income, with no net change to Total stockholders' equity. Subsequent to adoption, because the credit component of fair value changes in VIE liabilities will be reported in other comprehensive income, we will likely have greater volatility in net income (specifically the Income (loss) on variable interest entities line item). Revenue recognition In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606) that amends the accounting guidance for recognizing revenue for contracts with customers to transfer goods and contracts for the transfer of non-financial assets unless those contracts are within the scope of other accounting standards. ASU 2015-14 deferred the effective date of ASU 2014-09 to annual periods beginning after December 15, 2017, including interim periods within that reporting period. Ambac will adopt this ASU on January 1, 2018. This ASU does not apply to insurance contracts and most financial instruments and therefore did not have an impact on Ambac's financial statements. |
Basis of Presentation and Sig29
Basis of Presentation and Significant Accounting Policies Supplemental Cash Flow Information (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Schedule of Cash Flow Supplemental Information [Line Items] | |
Schedule of Supplemental Cash Flow Information [Table Text Block] | Supplemental Disclosure of Cash Flow Information: (Dollars in thousands) Year Ended December 31, 2017 2016 2015 Cash paid during the period for: Income taxes $ 40,334 $ 21,437 $ 16,969 Interest on long-term debt and investment agreements 39,112 4,537 1,847 Non-cash financing activities: Decrease in long-term debt as a result of an exchange for investment securities 55,426 — — |
Special Purpose Entities, Inc30
Special Purpose Entities, Including Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets and Liabilities, Net [Abstract] | |
Components of VIE Gain (Loss) [Table Text Block] | Below is a schedule detailing the change in fair value of the various financial instruments within the consolidated FG VIEs, along with gains (losses) from consolidating and deconsolidating FG VIEs, that together comprise Income (loss) on variable interest entities for for the affected periods: Year Ended December 31, 2017 2016 2015 Income (loss) on changes related to: Net fair value of VIE assets and liabilities $ 19,670 $ (14,093 ) $ 30,997 Deconsolidation — — 572 Income (loss) on Variable Interest Entities $ 19,670 $ (14,093 ) $ 31,569 |
Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by 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, 2017 and 2016 : Estimated fair value Unpaid principal balance December 31, 2017: Loans $ 11,529,384 $ 8,168,651 Long-term debt 12,160,544 9,387,884 December 31, 2016: Loans 10,658,963 7,641,756 Long-term debt $ 11,155,936 $ 8,854,530 |
Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with 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, 2017 and 2016 : December 31, 2017 2016 Investments: Corporate obligations $ 2,914,145 $ 2,622,566 Total variable interest entity assets: fixed income securities $ 2,914,145 $ 2,622,566 |
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, 2017 and 2016 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) December 31, 2017: Global structured finance: Collateralized debt obligations $ 35,555 $ 169 $ 1 $ (15 ) Mortgage-backed—residential 12,766,685 619,848 3,218,356 — Other consumer asset-backed 2,266,610 23,405 328,732 — Other commercial asset-backed 987,797 30,413 35,976 — Other 2,513,304 60,086 306,457 10,311 Total global structured finance 18,569,951 733,921 3,889,522 10,296 Global public finance 25,629,816 335,347 371,056 (551 ) Total $ 44,199,767 $ 1,069,268 $ 4,260,578 $ 9,745 December 31, 2016: Global structured finance: Collateralized debt obligations $ 761,451 $ 218 $ 3,319 $ (145,402 ) Mortgage-backed—residential 14,859,909 725,106 3,118,892 — Other consumer asset-backed 2,391,604 26,758 302,335 — Other commercial asset-backed 1,686,256 66,277 64,961 — Other 2,963,521 66,091 412,929 13,347 Total global structured finance 22,662,741 884,450 3,902,436 (132,055 ) Global public finance 25,608,471 338,587 359,142 (8,827 ) Total $ 48,271,212 $ 1,223,037 $ 4,261,578 $ (140,882 ) (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, 2017 | |
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, 2017: Beginning Balance $ 118,863 $ 9,367 $ (167,220 ) $ (38,990 ) Other comprehensive income before reclassifications (96,325 ) 2,625 73,586 (20,114 ) Amounts reclassified from accumulated other comprehensive income 14,805 (1,352 ) — 13,453 Adjustment to initially adopt ASU 2018-02 (6,588 ) — — (6,588 ) Net current period other comprehensive income (88,108 ) 1,273 73,586 (13,249 ) Balance at December 31, 2017 $ 30,755 $ 10,640 $ (93,634 ) $ (52,239 ) Year ended December 31, 2016: Beginning Balance $ 50,963 $ 9,344 $ (45,092 ) $ 15,215 Other comprehensive income before reclassifications 85,378 1,041 (122,128 ) (35,709 ) Amounts reclassified from accumulated other comprehensive income (17,478 ) (1,018 ) — (18,496 ) Net current period other comprehensive income (loss) 67,900 23 (122,128 ) (54,205 ) Balance at December 31, 2016 $ 118,863 $ 9,367 $ (167,220 ) $ (38,990 ) (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: Details about Accumulated Other Comprehensive Income Components Amount Reclassified from Accumulated (1) Affected Line Item in the Consolidated Statement of Total Comprehensive Income Year Ended December 31, 2017 2016 Unrealized Gains (Losses) on Available-for-Sale Securities $ 14,805 $ (17,478 ) Net realized investment gains — — Tax (expense) benefit $ 14,805 $ (17,478 ) Net of tax and noncontrolling interest (3) Amortization of Postretirement Benefit Prior service cost $ (963 ) $ (666 ) Underwriting and operating expenses (2) Actuarial gains (losses) (389 ) (352 ) Underwriting and operating expenses (2) (1,352 ) (1,018 ) Total before tax — — Tax (expense) benefit (1,352 ) (1,018 ) Net of tax and noncontrolling interest (3) Total reclassifications for the period $ 13,453 $ (18,496 ) 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, 2017 | |
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: Year Ended December 31, 2017 2016 2015 Basic weighted average shares outstanding 45,367,932 45,212,414 45,173,542 Effect of potential dilutive shares (1) : Warrants — 312,619 809,834 Stock options — 447 5,313 Restricted stock units — 116,105 14,221 Performance stock units — 81,939 3,117 Diluted weighted average shares outstanding 45,367,932 45,723,524 46,006,027 Anti-dilutive shares excluded from the above reconciliation Stock options 126,667 110,000 110,000 Warrants 4,053,670 — — Restricted stock units 68,654 — — Performance stock units (2) 322,943 — — |
Financial Guarantees in Force33
Financial Guarantees in Force (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Guarantees [Abstract] | |
Schedule of Financial Guarantee Insurance In Force By Bond Type | As of December 31, 2017 and 2016 , the guarantee portfolio was diversified by type of guaranteed bond as shown in the following table: Net Par Outstanding December 31, 2017 2016 Public Finance: Lease and tax-backed revenue $ 11,893,000 $ 15,688,000 Housing revenue 6,312,000 6,508,000 General obligation 6,257,000 9,867,000 Utility revenue 2,212,000 4,298,000 Transportation revenue 2,002,000 3,860,000 Higher education 1,642,000 2,339,000 Health care revenue 807,000 1,484,000 Other 963,000 1,018,000 Total Public Finance 32,088,000 45,062,000 Structured Finance: Mortgage-backed and home equity 7,267,000 9,383,000 Investor-owned utilities 3,274,000 3,833,000 Student loan 1,238,000 1,388,000 Asset-backed (1) 443,000 565,000 CDOs 33,000 132,000 Other 1,561,000 1,650,000 Total Structured Finance 13,816,000 16,951,000 International Finance: Investor-owned and public utilities 5,696,000 6,168,000 Sovereign/sub-sovereign 5,664,000 5,211,000 Asset-backed (1) 2,609,000 2,951,000 Transportation 1,777,000 1,700,000 Mortgage-backed and home equity 246,000 254,000 CDOs — 186,000 Other 820,000 863,000 Total International Finance 16,812,000 17,333,000 Total $ 62,716,000 $ 79,346,000 (1) At December 31, 2017 and 2016 , 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, 2017 and 2016 , the International Finance guaranteed portfolio by location of risk was as outlined in the table below: Net Par Outstanding December 31, 2017 2016 United Kingdom $ 13,554,000 $ 12,798,000 Italy 877,000 898,000 Austria 770,000 696,000 Australia 608,000 1,393,000 France 329,000 286,000 Internationally diversified (1) 368,000 648,000 Other international 306,000 614,000 Total International Finance $ 16,812,000 $ 17,333,000 (1) Internationally diversified obligations represent pools of geographically diversified exposures which may include components of U.S. exposure. |
Financial Guarantee Insurance34
Financial Guarantee Insurance Contracts (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Insurance [Line Items] | |
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) | Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: Year Ended December 31, 2017 2016 2015 Beginning premium receivable $ 661,337 $ 831,575 $ 1,000,607 Premium receipts (81,597 ) (77,038 ) (108,029 ) Adjustments for changes in expected and contractual cash flows (30,334 ) (78,528 ) (64,740 ) Accretion of premium receivable discount 16,162 18,637 24,628 Changes to uncollectable premiums (141 ) 6,054 2,540 Other adjustments (including foreign exchange) 20,885 (39,363 ) (23,431 ) Ending premium receivable (1) $ 586,312 $ 661,337 $ 831,575 |
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, 2017 and its rating levels obtained from each reinsurers website as of February 27, 2018 : Reinsurers Moody’s Rating Percentage Ceded Par Net Unsecured Reinsurance Recoverable (1) Assured Guaranty Re Ltd NR 82.9% $ — Assured Guaranty Corporation A3 9.2 — Sompo Japan Nipponkoa Insurance, Inc. A1 7.9 — Total 100% $ — (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. |
Effect of Reinsurance on Premiums Written and Earned | The effect of reinsurance on premiums written and earned was as follows: 2017 2016 2015 Year Ended December 31, Written Earned Written Earned Written Earned Direct $ (14,313 ) $ 190,496 $ (53,837 ) $ 215,564 $ (37,572 ) $ 336,025 Assumed — 106 — 85 — 87 Ceded (2,104 ) 15,325 (8,772 ) 18,362 (3,001 ) 23,517 Net premiums $ (12,209 ) $ 175,277 $ (45,065 ) $ 197,287 $ (34,571 ) $ 312,595 |
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, 2017 : Future Premiums Collected (1) Future to be Earned Net of (1) Three months ended: March 31, 2018 $ 16,923 $ 17,561 June 30, 2018 13,801 17,294 September 30, 2018 14,779 16,604 December 31, 2018 13,282 16,150 Twelve months ended: December 31, 2019 55,203 61,368 December 31, 2020 52,282 57,263 December 31, 2021 45,848 52,149 December 31, 2022 43,678 48,447 Five years ended: December 31, 2027 193,190 197,446 December 31, 2032 150,385 131,682 December 31, 2037 82,597 72,520 December 31, 2042 29,169 24,833 December 31, 2047 13,599 12,694 December 31, 2052 3,586 4,651 December 31, 2057 92 298 Total $ 728,414 $ 730,960 (1) Future premiums to be collected are undiscounted and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable as further described in Note 2. Basis of Presentation and Significant Accounting Policies . This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing. |
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, 2017 and 2016 : Unpaid Claims Present Value of Expected Balance Sheet Line Item Claims Accrued Claims and Recoveries Unearned Gross Loss and December 31, 2017: Loss and loss expense reserves $ 2,411,632 $ 667,988 $ 2,855,010 $ (1,054,113 ) $ (135,502 ) $ 4,745,015 Subrogation recoverable 615,391 171,755 102,171 (1,520,530 ) — (631,213 ) Totals $ 3,027,023 $ 839,743 $ 2,957,181 $ (2,574,643 ) $ (135,502 ) $ 4,113,802 December 31, 2016: Loss and loss expense reserves $ 2,411,105 $ 529,703 $ 2,681,198 $ (1,098,096 ) $ (143,141 ) $ 4,380,769 Subrogation recoverable 583,042 132,139 68,419 (1,468,331 ) — (684,731 ) Totals $ 2,994,147 $ 661,842 $ 2,749,617 $ (2,566,427 ) $ (143,141 ) $ 3,696,038 |
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. Year Ended December 31, 2017 2016 2015 Beginning gross loss and loss expense reserves $ 3,696,038 $ 2,858,813 $ 3,798,733 Reinsurance recoverable 30,767 44,059 100,355 Beginning balance of net loss and loss expense reserves $ 3,665,271 $ 2,814,754 $ 3,698,378 Losses and loss expenses (benefit) incurred: Current year 5,691 6,675 1,183 Prior years 507,495 (18,164 ) (769,890 ) Total (1)(2) 513,186 (11,489 ) (768,707 ) Loss and loss expenses (recovered) paid: Current year 825 5,371 — Prior years 133,427 (944,955 ) 90,086 Total 134,252 (939,584 ) 90,086 Foreign exchange effect 28,939 (77,578 ) (24,831 ) Ending net loss and loss expense reserves $ 4,073,144 $ 3,665,271 $ 2,814,754 Reinsurance recoverable (3) 40,658 30,767 44,059 Ending gross loss and loss expense reserves (4) $ 4,113,802 $ 3,696,038 $ 2,858,813 (1) Total losses and loss expenses (benefit) includes $(20,348) , $5,421 and $47,085 for the years ended December 31, 2017, 2016 and 2015 , respectively, related to ceded reinsurance. (2) Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain R&Ws within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated representation and warranties for the year ended December 31, 2017, 2016 and 2015 was $72,003 , $(71,369) and $(303,633) , respectively. (3) Represents reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line " Reinsurance recoverable on paid and unpaid losses " includes reinsurance recoverables (payables) of $339 , $(349) and $(60) as of December 31, 2017, 2016 and 2015 , respectively, related to previously presented loss and loss expenses and subrogation. (4) Includes Euro denominated gross loss and loss expense reserves of $21,116 ( €17,582 ), $21,375 ( €20,297 ) and $19,019 ( €17,515 ) at December 31, 2017, 2016 and 2015 , respectively. |
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable | The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at December 31, 2017 and 2016 . Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at December 31, 2017 and 2016 was 2.5% and 2.7% , respectively. Surveillance Categories as of December 31, 2017 I IA II III IV V Total Number of policies 26 20 26 22 179 4 277 Remaining weighted-average contract period (in years) (1) 10 23 10 24 13 4 17 Gross insured contractual payments outstanding: Principal $ 1,046,267 $ 531,190 $ 1,199,909 $ 1,998,861 $ 6,862,281 $ 48,562 $ 11,687,070 Interest 531,657 584,098 413,045 7,182,715 2,469,765 16,332 11,197,612 Total $ 1,577,924 $ 1,115,288 $ 1,612,954 $ 9,181,576 $ 9,332,046 $ 64,894 $ 22,884,682 Gross undiscounted claim liability (2) $ 4,434 $ 56,659 $ 77,289 $ 1,412,976 $ 6,409,340 $ 64,863 $ 8,025,561 Discount, gross claim liability (465 ) (13,095 ) (12,250 ) (643,897 ) (616,559 ) (4,739 ) (1,291,005 ) Gross claim liability before all subrogation and before reinsurance $ 3,969 $ 43,564 $ 65,039 $ 769,079 $ 5,792,781 $ 60,124 $ 6,734,556 Less: Gross RMBS subrogation (3) — — — — (1,857,502 ) — (1,857,502 ) Discount, RMBS subrogation — — — — 23,115 — 23,115 Discounted RMBS subrogation, before reinsurance — — — — (1,834,387 ) — (1,834,387 ) Less: Gross other subrogation (4) — (7,990 ) (9,371 ) (53,070 ) (743,456 ) (13,191 ) (827,078 ) Discount, other subrogation — 5,169 2,550 8,349 67,045 3,709 86,822 Discounted other subrogation, before reinsurance — (2,821 ) (6,821 ) (44,721 ) (676,411 ) (9,482 ) (740,256 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 3,969 $ 40,743 $ 58,218 $ 724,358 $ 3,281,983 $ 50,642 $ 4,159,913 Less: Unearned premium revenue (2,126 ) (9,990 ) (12,238 ) (46,086 ) (64,786 ) (276 ) (135,502 ) Plus: Loss expense reserves 16,116 3,242 665 13,331 56,037 — 89,391 Gross loss and loss expense reserves $ 17,959 $ 33,995 $ 46,645 $ 691,603 $ 3,273,234 $ 50,366 $ 4,113,802 Reinsurance recoverable reported on Balance Sheet (5) $ 202 $ 4,894 $ 9,424 $ 38,465 $ (11,988 ) $ — $ 40,997 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) 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. (3) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (4) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions including RMBS. (5) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $40,658 related to future loss and loss expenses and $339 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2016 I IA II III IV V Total Number of policies 19 22 26 43 169 3 282 Remaining weighted-average contract period (in years) (1) 9 8 30 17 14 5 16 Gross insured contractual payments outstanding: Principal $ 918,456 $ 733,036 $ 1,992,543 $ 1,779,889 $ 7,926,991 $ 49,247 $ 13,400,162 Interest 345,802 199,631 7,080,969 1,110,051 2,275,421 14,185 11,026,059 Total $ 1,264,258 $ 932,667 $ 9,073,512 $ 2,889,940 $ 10,202,412 $ 63,432 $ 24,426,221 Gross undiscounted claim liability (2) $ 3,439 $ 21,175 $ 547,550 $ 861,455 $ 6,139,060 $ 63,431 $ 7,636,110 Discount, gross claim liability (314 ) (1,243 ) (331,234 ) (256,108 ) (710,608 ) (5,859 ) (1,305,366 ) Gross claim liability before all subrogation and before reinsurance $ 3,125 $ 19,932 $ 216,316 $ 605,347 $ 5,428,452 $ 57,572 $ 6,330,744 Less: Gross RMBS subrogation (3) — — — — (1,926,165 ) — (1,926,165 ) Discount, RMBS subrogation — — — — 19,130 — 19,130 Discounted RMBS subrogation, before reinsurance — — — — (1,907,035 ) — (1,907,035 ) Less: Gross other subrogation (4) — — (14,529 ) (118,272 ) (593,919 ) (12,751 ) (739,471 ) Discount, other subrogation — — 6,526 13,426 56,273 3,854 80,079 Discounted other subrogation, before reinsurance — — (8,003 ) (104,846 ) (537,646 ) (8,897 ) (659,392 ) Gross claim liability, net of all subrogation and discounts, before reinsurance $ 3,125 $ 19,932 $ 208,313 $ 500,501 $ 2,983,771 $ 48,675 $ 3,764,317 Less: Unearned premium revenue (2,394 ) (1,807 ) (49,578 ) (31,785 ) (57,194 ) (383 ) (143,141 ) Plus: Loss expense reserves 6,621 339 777 11,036 56,089 — 74,862 Gross loss and loss expense reserves $ 7,352 $ 18,464 $ 159,512 $ 479,752 $ 2,982,666 $ 48,292 $ 3,696,038 Reinsurance recoverable reported on Balance Sheet (5) $ 120 $ 6,063 $ 2,737 $ 39,352 $ (17,854 ) $ — $ 30,418 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) 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. (3) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. (4) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS. (5) Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $30,767 related to future loss and loss expenses and $(349) related to presented loss and loss expenses and subrogation. |
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach | The balance of R&W subrogation recoveries and the related loss reserves at December 31, 2017 and 2016 , are as follows: Gross loss (1) Subrogation (2)(3) Gross loss At December 31, 2017 $ 1,366,483 $ (1,834,387 ) $ (467,904 ) At December 31, 2016 $ 1,351,640 $ (1,907,035 ) $ (555,395 ) (1) Amount represents gross loss reserves for policies that have established a representation and warranty subrogation recovery. 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 future cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of R&W subrogation recoveries may exceed the sum of the unpaid claims and the present value of expected cash flows for a given policy. The net cash inflow for these policies is recorded as a “Subrogation recoverable” asset. For those transactions where the subrogation recovery is less than the sum of unpaid claims and the present value of expected cash flows, the net cash outflow for these policies is recorded as a “Loss and loss expense reserves” liability. (3) The sponsor’s repurchase obligation may differ depending on the terms of the particular transaction and the status of the specific loan, such as whether it is performing or has been liquidated or charged off. |
Summary of Rollforward of RMBS Subrogation, by Estimation Approach | Below is the rollforward of R&W subrogation for the affected periods: Year ended December 31, 2017 2016 2015 Discounted RMBS subrogation (gross of reinsurance) at beginning of year $ 1,907,035 $ 2,829,575 $ 2,523,540 Impact of sponsor actions (1) — (995,000 ) — All other changes (2) (72,648 ) 72,460 306,035 Discounted RMBS subrogation (gross of reinsurance) at end of year $ 1,834,387 $ 1,907,035 $ 2,829,575 (1) Sponsor actions include loan repurchases, direct payments to Ambac and other contributions from sponsors. In January 2016, Ambac Assurance settled its RMBS-related disputes and litigation against JP Morgan Chase & Co. and certain of its affiliates (collectively "JP Morgan"). Pursuant to the settlement, JP Morgan paid Ambac Assurance $995,000 in cash in return for releases of all of Ambac Assurance's claims against JP Morgan arising from certain RMBS transactions insured by Ambac Assurance. Ambac Assurance also agreed to withdraw its objections to JP Morgan's global RMBS settlement with RMBS trustees. (2) All other changes which may impact R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries. All other changes may also include estimates of potential sponsor settlements that may not have been subject to a sampling approach or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in this table. |
Insurance Intangible Asset [Member] | |
Insurance [Line Items] | |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block] | The estimated future amortization expense for the net insurance intangible asset is as follows: Future Insurance Intangible Amortization (1) 2018 2019 2020 2021 2022 Thereafter $ 76,638 $ 69,082 $ 63,892 $ 58,207 $ 53,908 $ 525,246 (1) 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 as described in Note 2. Basis of Presentation and Significant Accounting Policies . As exposures are called or prepay, amortization of the insurance intangible asset will be recognized earlier and the timing will differ from the amounts provided in the table above. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
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, 2017 and 2016 , 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, 2017: Financial assets: Fixed income securities: Municipal obligations $ 779,834 $ 779,834 $ — $ 779,834 $ — Corporate obligations 860,075 860,075 450 859,625 — Foreign obligations 26,543 26,543 25,615 928 — U.S. government obligations 85,408 85,408 85,408 — — Residential mortgage-backed securities 2,251,333 2,251,333 — 1,515,316 736,017 Collateralized debt obligations 51,037 51,037 — 51,037 — Other asset-backed securities 597,942 597,942 — 525,402 72,540 Fixed income securities, pledged as collateral: U.S. government obligations 99,719 99,719 99,719 — — Short term investments 557,270 557,270 389,299 167,971 — Other investments (1) 431,630 413,977 56,498 29,750 17,288 Cash and cash equivalents 623,703 623,703 615,073 8,630 — Loans 10,358 10,284 — — 10,284 Derivative assets: Interest rate swaps—asset position 73,199 73,199 — 11,825 61,374 Other assets 5,979 5,979 — — 5,979 Variable interest entity assets: Fixed income securities: Corporate obligations 2,914,145 2,914,145 — — 2,914,145 Restricted cash 978 978 978 — — Loans 11,529,384 11,529,384 — — 11,529,384 Derivative assets: Currency swaps-asset position 54,877 54,877 — 54,877 — Total financial assets $ 20,853,695 $ 20,835,968 $ 1,173,321 $ 4,005,195 $ 15,347,011 Financial liabilities: Long term debt, including accrued interest 1,428,680 1,369,499 — 1,046,511 322,988 Derivative liabilities: Credit derivatives 566 566 — — 566 Interest rate swaps—asset position (627 ) (627 ) — (627 ) — Interest rate swaps—liability position 81,495 81,495 — 81,495 — Futures contracts 1,348 1,348 1,348 — — Liabilities for net financial guarantees written (2) 3,435,438 4,842,402 — — 4,842,402 Variable interest entity liabilities: Long-term debt 12,160,544 12,160,544 — 9,402,856 2,757,688 Derivative liabilities: Interest rate swaps—liability position 2,205,264 2,205,264 — 2,205,264 — Total financial liabilities $ 19,312,708 $ 20,660,491 $ 1,348 $ 12,735,499 $ 7,923,644 Carrying Total Fair Fair Value Measurements Categorized as: Level 1 Level 2 Level 3 December 31, 2016: Financial assets: Fixed income securities: Municipal obligations $ 374,368 $ 374,368 $ — $ 374,368 $ — Corporate obligations 1,802,165 1,802,165 — 1,802,165 — Foreign obligations 43,135 43,135 42,212 923 — U.S. government obligations 36,186 36,186 36,186 — — U.S. agency obligations 4,060 4,060 — 4,060 — Residential mortgage-backed securities 2,351,595 2,351,595 — 1,654,882 696,713 Collateralized debt obligations 113,923 113,923 — 113,923 — Other asset-backed securities 828,783 828,783 — 762,793 65,990 Fixed income securities, pledged as collateral: U.S. government obligations 64,905 64,905 64,905 — — Short term investments 430,788 430,788 371,367 59,421 — Other investments (1) 450,307 435,237 83,791 — 14,934 Cash and cash equivalents 91,025 91,025 46,587 44,438 — Loans 4,160 4,066 — — 4,066 Derivative assets: Interest rate swaps—asset position 77,206 77,206 — 16,950 60,256 Interest rate swaps—liability position — — — — — Futures contracts 536 536 536 — — Other assets 7,382 7,382 — — 7,382 Variable interest entity assets: Fixed income securities: Corporate obligations 2,622,566 2,622,566 — — 2,622,566 Restricted cash 4,873 4,873 4,873 — — Derivative assets: Currency swaps-asset position 80,407 80,407 — 80,407 — Loans 10,658,963 10,658,963 — — 10,658,963 Total financial assets $ 20,047,333 $ 20,032,169 $ 650,457 $ 4,914,330 $ 14,130,870 Financial liabilities: Obligations under investment agreements $ 82,358 $ 82,333 $ — $ — $ 82,333 Long term debt, including accrued interest 1,536,352 1,494,340 — 1,147,728 346,612 Derivative liabilities: Credit derivatives 15,349 15,349 — — 15,349 Interest rate swaps—asset position (61,839 ) (61,839 ) — (61,839 ) — Interest rate swaps—liability position 365,776 365,776 — 220,587 145,189 Liabilities for net financial guarantees written (2) 3,009,943 4,490,070 — — 4,490,070 Variable interest entity liabilities: Long-term debt 11,155,936 11,155,936 — 8,573,716 2,582,220 Derivative liabilities: Interest rate swaps—liability position 2,078,601 2,078,601 — 2,078,601 — Currency swaps—liability position — — — — — Total financial liabilities $ 18,182,476 $ 19,620,566 $ — $ 11,958,793 $ 7,661,773 (1) Excluded from the fair value measurement categories in the table above are investment funds of $310,441 and $336,513 as of December 31, 2017 and 2016 , respectively, which are measured using NAV per share as a practical expedient. (2) 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 | December 31, 2017 2016 Number of CDS transactions 2 8 Notional outstanding $ 325,890 $ 737,380 Weighted average reference obligation price 99.3 93.5 Weighted average life (WAL) in years 6.5 5.2 Weighted average credit rating A A- Weighted average relative change ratio 23.6 % 31.6 % CVA percentage 9.64 % 11.14 % Fair value of derivative liabilities $ 566 $ 15,349 |
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 2017 , 2016 and 2015. 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 Year Ended December 31, 2017 Investments Other Derivatives Investments Loans Long-term Total Balance, beginning of period $ 762,703 $ 7,382 $ (100,282 ) $ 2,622,566 $ 10,658,963 $ (2,582,220 ) $ 11,369,112 Total gains/(losses) realized and unrealized: Included in earnings 65,195 (1,403 ) 62,847 70,928 550,021 35,009 782,597 Included in other comprehensive income 6,392 — — 253,429 1,004,284 (254,093 ) 1,010,012 Purchases 35,781 — — — — — 35,781 Sales (79,319 ) — — — — — (79,319 ) Settlements (29,963 ) — 98,243 (32,778 ) (683,884 ) 43,616 (604,766 ) Transfers into Level 3 47,768 — — — — — 47,768 Transfers out of Level 3 — — — — — — — Deconsolidation of VIEs — — — — — — — Balance, end of period $ 808,557 $ 5,979 $ 60,808 $ 2,914,145 $ 11,529,384 $ (2,757,688 ) $ 12,561,185 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 $ — $ (1,403 ) $ 8,913 $ 70,928 $ 547,004 $ 36,851 $ 662,293 Level-3 Financial Assets and Liabilities Accounted for at Fair Value VIE Assets and Liabilities Year Ended December 31, 2016 Investments Other Derivatives Investments Loans Long-term Total Balance, beginning of period $ 488,884 $ 8,696 $ (99,192 ) $ 2,588,556 $ 11,690,324 $ (3,180,170 ) $ 11,497,098 Total gains/(losses) realized and unrealized: Included in earnings 54,600 (1,314 ) (15,374 ) 508,873 1,166,898 (842,748 ) 870,935 Included in other comprehensive income 40,518 — — (474,863 ) (1,944,821 ) 486,218 (1,892,948 ) Purchases 99,018 — — — — — 99,018 Sales — — — — — — — Settlements (28,682 ) — 14,284 — (253,438 ) 216,582 (51,254 ) Transfers into Level 3 108,365 — — — — — 108,365 Transfers out of Level 3 — — — — — 737,898 737,898 Deconsolidations of VIEs — — — — — — — Balance, end of period $ 762,703 $ 7,382 $ (100,282 ) $ 2,622,566 $ 10,658,963 $ (2,582,220 ) $ 11,369,112 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 $ — $ (1,314 ) $ (16,351 ) $ 508,873 $ 1,166,898 $ (842,748 ) $ 815,358 Level-3 Financial Assets and Liabilities Accounted for at Fair Value VIE Assets and Liabilities Year Ended December 31, 2015 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 Sales — — — — — — — Settlements (25,034 ) (1,705 ) 11,365 — (312,406 ) (17,085 ) (344,865 ) Transfers into 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 ) The tables below provide roll-forward information by class of investments and derivatives measured using si gnificant unobservable inputs. Level-3 Investments by Class 2017 2016 Year Ended December 31, Other asset Non-Agency RMBS Total Other asset Non-Agency RMBS Total Balance, beginning of period $ 65,990 $ 696,713 $ 762,703 $ — $ 488,884 $ 488,884 Total gains/(losses) realized and unrealized: Included in earnings 1,433 63,762 65,195 1,908 52,692 54,600 Included in other comprehensive income 6,130 262 6,392 (5,597 ) 46,115 40,518 Purchases — 35,781 35,781 — 99,018 99,018 Sales — (79,319 ) (79,319 ) — — — Settlements (1,013 ) (28,950 ) (29,963 ) (1,028 ) (27,654 ) (28,682 ) Transfers into Level 3 — 47,768 47,768 70,707 37,658 108,365 Transfers out of Level 3 — — — — — — Balance, end of period $ 72,540 $ 736,017 $ 808,557 $ 65,990 $ 696,713 $ 762,703 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 Investments by Class 2015 Year Ended December 31, 2015 Other asset Corporate 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 Sales — — — — Settlements — (3,503 ) (21,531 ) (25,034 ) Transfers into 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 $ — $ — $ — $ — Level-3 Derivatives by Class 2017 2016 Year Ended December 31, Interest Credit Total Interest Credit Total Balance, beginning of period $ (84,933 ) $ (15,349 ) $ (100,282 ) $ (64,649 ) $ (34,543 ) $ (99,192 ) Total gains/(losses) realized and unrealized: Included in earnings 46,475 16,372 62,847 (35,480 ) 20,106 (15,374 ) Included in other comprehensive income — — — — — — Purchases — — — — — — Sales — — — — — — Settlements 99,832 (1,589 ) 98,243 15,196 (912 ) 14,284 Transfers into Level 3 — — — — — — Transfers out of Level 3 — — — — — — Balance, end of period $ 61,374 $ (566 ) $ 60,808 $ (84,933 ) $ (15,349 ) $ (100,282 ) 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 $ 6,716 $ 2,197 $ 8,913 $ (35,480 ) $ 19,129 $ (16,351 ) Level-3 Derivatives by Class 2015 Year Ended December 31, Interest Credit Total Balance, beginning of period $ (141,887 ) $ (73,459 ) $ (215,346 ) Total gains/(losses) realized and unrealized: Included in earnings (25,130 ) 41,701 16,571 Included in other comprehensive income — — — Purchases — — — Sales — — — Settlements 14,150 (2,785 ) 11,365 Transfers into Level 3 88,218 — 88,218 Transfers out of Level 3 — — — Balance, end of period $ (64,649 ) $ (34,543 ) $ (99,192 ) 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 ) |
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 Interest Income Other Year Ended December 31, 2017 Total gains or losses included in earnings for the period 65,195 1,589 14,783 46,475 655,956 (1,403 ) Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date — — 2,197 6,716 654,783 (1,403 ) Year Ended December 31, 2016 Total gains or losses included in earnings for the period $ 54,600 $ 912 $ 19,194 $ (35,480 ) $ 833,023 $ (1,314 ) Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date — — 19,129 (35,480 ) 833,023 (1,314 ) 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 ) |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Equity Method Investments [Table Text Block] | There are no unfunded commitments applicable to any of these investments for the periods disclosed. Class of Funds December 31, 2017 December 31, 2016 Redemption frequency Redemption notice period Real estate properties (1) $ 33,154 $ 33,303 quarterly 10 business days Diversified hedge fund strategies (2) 53,054 53,985 semi-monthly 15 - 30 days Interest rate products (3) (7) 136,603 261,315 daily, weekly or monthly 0 - 30 days Illiquid investments (4) 67,787 39,068 quarterly 180 days Insurance-linked investments (5) 22,666 — quarterly 90-120 days Equity market investments (6) (7) 53,675 32,633 daily 0 days Total equity investments in pooled funds $ 366,939 $ 420,304 (1) Investments consist of UK property to generate income and capital growth. (2) Investments seek diversified exposure to hedge fund core strategies to produce high risk-adjusted returns, with low long-term correlation to traditional markets and with targeted volatility levels. Funds may have the right to defer redemptions under certain circumstances. (3) This class of funds includes investments in a range of instruments including leveraged loans, CLOs, asset-backed securities and floating rate notes to generate income and capital appreciation. Funds with less frequent redemption periods limit redemptions to as little as 15% per period. Funds with a same day redemption notice period are redeemable only weekly, while funds that may be redeemed any business day have notice periods of 15-30 days. (4) This class seeks to obtain high long-term total return through investments with low liquidity and defined term, resulting in expected capital distributions to subscribers between 2020 and 2023. Redemptions cannot occur prior to the expiration of the investment lock-up period in May 2018. (5) This class aims to provide returns from the insurance and reinsurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. Redemption periods are quarterly, subject to 90-day notice for January/July redemption dates and 120-day notice for April/October redemption dates with redemptions greater than 3.5% during the first five years following share issuance subject to redemption fees. (6) Investments represent a diversified exposure to global equity market returns through holdings of various regional market index funds. (7) Interest rate products include $2,823 at December 31, 2017 and $51,158 at December 31, 2016 and equity market investments include $53,675 at December 31, 2017 and $32,633 at December 31, 2016 that have readily determinable fair |
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, 2017 and 2016 were as follows: Amortized Gross Gross Estimated Non-Credit Other- (1) December 31, 2017 Fixed income securities: Municipal obligations $ 845,778 $ 3,456 $ 69,400 $ 779,834 $ — Corporate obligations 858,774 6,772 5,471 860,075 — Foreign obligations 26,245 409 111 26,543 — U.S. government obligations 86,900 261 1,753 85,408 — Residential mortgage-backed securities 2,214,512 67,303 30,482 2,251,333 23,832 Collateralized debt obligations 50,754 283 — 51,037 — Other asset-backed securities 531,660 66,899 617 597,942 — 4,614,623 145,383 107,834 4,652,172 23,832 Short-term 557,476 3 209 557,270 — 5,172,099 145,386 108,043 5,209,442 23,832 Fixed income securities pledged as collateral: U.S. government obligations 99,719 — — 99,719 — Total collateralized investments 99,719 — — 99,719 — Total available-for-sale investments $ 5,271,818 $ 145,386 $ 108,043 $ 5,309,161 $ 23,832 December 31, 2016 Fixed income securities: Municipal obligations $ 376,064 $ 5,509 $ 7,205 $ 374,368 $ — Corporate obligations 1,803,136 19,589 20,560 1,802,165 — Foreign obligations 41,932 1,303 100 43,135 — U.S. government obligations 33,732 2,551 97 36,186 — U.S. agency obligations 4,063 — 3 4,060 — Residential mortgage-backed securities 2,284,425 110,955 43,785 2,351,595 35,232 Collateralized debt obligations 113,650 493 220 113,923 — Other asset-backed securities 778,383 58,028 7,628 828,783 — 5,435,385 198,428 79,598 5,554,215 35,232 Short-term 430,827 5 44 430,788 — 5,866,212 198,433 79,642 5,985,003 35,232 Fixed income securities pledged as collateral: U.S. government obligations 64,833 72 — 64,905 — Total collateralized investments 64,833 72 — 64,905 — Total available-for-sale investments $ 5,931,045 $ 198,505 $ 79,642 $ 6,049,908 $ 35,232 (1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2017 and 2016 . |
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, 2017 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 714,761 $ 714,507 Due after one year through five years 556,370 556,387 Due after five years through ten years 376,420 376,686 Due after ten years 827,341 761,269 2,474,892 2,408,849 Residential mortgage-backed securities 2,214,512 2,251,333 Collateralized debt obligations 50,754 51,037 Other asset-backed securities 531,660 597,942 Total $ 5,271,818 $ 5,309,161 |
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, 2017 and 2016 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2017 Fixed income securities: Municipal obligations $ 667,335 $ 68,578 $ 32,525 $ 822 $ 699,860 $ 69,400 Corporate obligations 292,028 3,377 87,272 2,094 379,300 5,471 Foreign obligations 8,122 81 1,700 30 9,822 111 U.S. government obligations 74,188 1,653 5,525 100 79,713 1,753 Residential mortgage-backed securities 668,524 12,524 418,617 17,958 1,087,141 30,482 Other asset-backed securities 26,655 58 88,023 559 114,678 617 1,736,852 86,271 633,662 21,563 2,370,514 107,834 Short-term 251,926 209 — — 251,926 209 Total temporarily impaired securities $ 1,988,778 $ 86,480 $ 633,662 $ 21,563 $ 2,622,440 $ 108,043 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2016 Fixed income securities: Municipal obligations $ 98,147 $ 2,045 $ 122,928 $ 5,160 $ 221,075 $ 7,205 Corporate obligations 963,513 20,232 6,492 328 970,005 20,560 Foreign obligations 5,063 100 — — 5,063 100 U.S. government obligations 6,037 93 5,045 4 11,082 97 U.S. agency obligations 4,060 3 — — 4,060 3 Residential mortgage-backed securities 226,889 7,201 550,807 36,584 777,696 43,785 Collateralized debt obligations 6,986 23 25,780 197 32,766 220 Other asset-backed securities 115,622 203 77,712 7,425 193,334 7,628 1,426,317 29,900 788,764 49,698 2,215,081 79,598 Short-term 65,176 44 — — 65,176 44 Total temporarily impaired securities $ 1,491,493 $ 29,944 $ 788,764 $ 49,698 $ 2,280,257 $ 79,642 |
Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments | The following table details amounts included in net realized gains (losses) and other-than-temporary impairments included in earnings for the affected periods: Year Ended December 31, 2017 2016 2015 Gross realized gains on securities $ 29,080 $ 17,344 $ 58,218 Gross realized losses on securities (18,945 ) (8,239 ) (10,558 ) Foreign exchange (losses) gains (4,769 ) 30,179 5,816 Net realized gains $ 5,366 $ 39,284 $ 53,476 Net other-than-temporary impairments (1) $ (20,171 ) $ (21,819 ) $ (25,659 ) (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, 2017 and 2016 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income: Year Ended December 31, 2017 2016 2015 Balance, beginning of period $ 52,070 $ 31,176 $ 14,062 Additions for credit impairments recognized on: Securities not previously impaired 3,310 3,572 10,900 Securities previously impaired 11,705 17,322 6,214 Balance, end of period $ 67,085 $ 52,070 $ 31,176 |
Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged | The following table presents collateral owned by Ambac that was pledged to investment agreement and derivative counterparties at December 31, 2017 and 2016 : Fair value of Fair value of Fair value of December 31, 2017: Pledged cash and securities owned by Ambac $ 120,645 $ — $ 120,645 December 31, 2016: Pledged cash and securities owned by Ambac $ 291,545 $ 88,940 $ 202,605 |
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, 2017 and 2016 , respectively: Municipal Corporate Mortgage Total Weighted (1) December 31, 2017: Ambac Assurance Corporation (2) $ 706,715 $ 32,660 $ 2,702,887 $ 3,442,262 CC National Public Finance Guarantee Corporation 20,733 — — 20,733 BBB- Assured Guaranty Municipal Corporation 5,998 — — 5,998 BBB+ Total $ 733,446 $ 32,660 $ 2,702,887 $ 3,468,993 CC December 31, 2016: Ambac Assurance Corporation (2) $ 81,651 $ — $ 2,739,073 $ 2,820,724 CC National Public Finance Guarantee Corporation 38,687 — — 38,687 A- Assured Guaranty Municipal Corporation 25,660 — — 25,660 AA MBIA Insurance Corporation — 2,630 — 2,630 BBB+ Total $ 145,998 $ 2,630 $ 2,739,073 $ 2,887,701 CC (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Includes corporate obligations and asset-backed securities with a fair value of $170,280 and $118,813 at December 31, 2017 and 2016 , respectively, insured by Ambac UK . |
Summary of Net Investment Income | Net investment income was comprised of the following for the affected periods: Year Ended December 31, 2017 2016 2015 Fixed income securities $ 337,454 $ 288,554 $ 257,404 Short-term investments 7,898 1,505 299 Loans 520 337 420 Investment expense (8,098 ) (9,347 ) (8,786 ) Securities available-for-sale and short-term 337,774 281,049 249,337 Other investments 23,179 32,318 16,952 Total net investment income $ 360,953 $ 313,367 $ 266,289 Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, income from Ambac's interests in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Year Ended December 31, 2017 2016 2015 Net gains (losses) recognized during the period on trading securities $ 18,242 $ 27,654 $ 12,615 Less: net gains (losses) recognized during the reporting period on trading securities sold during the period 4,854 7,474 4,966 Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date $ 13,388 $ 20,180 $ 7,649 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
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, 2017 and 2016 . Gross Gross Net amounts Gross amount Net amount December 31, 2017: Derivative Assets: Interest rate swaps 73,826 627 73,199 — 73,199 Total non-VIE derivative assets $ 73,826 $ 627 $ 73,199 $ — $ 73,199 Derivative Liabilities: Credit derivatives $ 566 $ — $ 566 $ — $ 566 Interest rate swaps 81,495 627 80,868 79,912 956 Futures contracts 1,348 — 1,348 1,348 — Total non-VIE derivative liabilities $ 83,409 $ 627 $ 82,782 $ 81,260 $ 1,522 Variable Interest Entities Derivative Assets: Currency swaps 54,877 — 54,877 — 54,877 Total VIE derivative assets $ 54,877 $ — $ 54,877 $ — $ 54,877 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,205,264 $ — $ 2,205,264 $ — $ 2,205,264 Total VIE derivative liabilities $ 2,205,264 $ — $ 2,205,264 $ — $ 2,205,264 December 31, 2016: Derivative Assets: Interest rate swaps $ 139,045 $ 61,839 $ 77,206 $ — $ 77,206 Futures contracts 536 — 536 — 536 Total non-VIE derivative assets $ 139,581 $ 61,839 $ 77,742 $ — $ 77,742 Derivative Liabilities: Credit derivatives $ 15,349 $ — $ 15,349 $ — $ 15,349 Interest rate swaps 365,776 61,839 303,937 156,925 147,012 Total non-VIE derivative liabilities $ 381,125 $ 61,839 $ 319,286 $ 156,925 $ 162,361 Variable Interest Entities Derivative Assets: Currency swaps $ 80,407 $ — $ 80,407 $ — $ 80,407 Total VIE derivative assets $ 80,407 $ — $ 80,407 $ — $ 80,407 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 2,078,601 $ — $ 2,078,601 $ — $ 2,078,601 Total VIE derivative liabilities $ 2,078,601 $ — $ 2,078,601 $ — $ 2,078,601 |
Summary of Location and Amount of Gains and Losses of Derivative Contracts | Location of gain (loss) recognized Amount of gain (loss) recognized in Consolidated Statement of Total Comprehensive Income (Loss) – 2017 2016 2015 Non-VIEs: Credit derivatives Net change in fair value of credit derivatives $ 16,372 $ 20,106 $ 41,701 Non VIE derivatives: Interest rate swaps Net gains (losses) on interest rate derivatives 48,870 (50,082 ) (41,177 ) Futures contracts Net gains (losses) on interest rate derivatives 10,695 (191 ) (1,367 ) Total non-VIE derivatives 59,565 (50,273 ) (42,544 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities (25,530 ) 58,990 103,757 Interest rate swaps Income (loss) on variable interest entities (126,664 ) (574,554 ) 168,003 Total Variable Interest Entities (152,194 ) (515,564 ) 271,760 Total derivative contracts $ (76,257 ) $ (545,731 ) $ 270,917 |
Summary of Gross Principal Notional Outstanding for CDS Contracts | The following summarizes the gross principal notional outstanding for CDS contracts, by Ambac rating as of December 31, 2017 and 2016 : Ambac Rating December 31, 2017 2016 AAA $ — $ — AA 175,765 315,201 A — 227,146 BBB (1) 150,125 127,250 Below investment grade (2) — 67,783 Total $ 325,890 $ 737,380 (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. |
Summary of Notional Amounts of AFS's Trading Derivative Products | s of December 31, 2017 and 2016 the notional amounts of its derivatives are as follows: Notional - December 31, Type of derivative 2017 2016 Interest rate swaps—receive-fixed/pay-variable $ 379,497 $ 973,130 Interest rate swaps—pay-fixed/receive-variable 1,428,264 1,874,678 US Treasury futures contracts—short 1,655,000 195,000 |
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, 2017 and 2016 are as follows: Notional - December 31, Type of VIE derivative 2017 2016 Interest rate swaps—receive-fixed/pay-variable $ 1,483,491 $ 1,352,010 Interest rate swaps—pay-fixed/receive-variable 2,479,244 2,300,584 Currency swaps 394,541 312,357 Credit derivatives 12,100 12,059 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Debt Instruments | The carrying value of long-term debt was as follows: December 31, 2017 2016 Ambac Assurance: 5.1% surplus notes, general account, due 2020 $ 668,667 $ 730,648 5.1% surplus notes, segregated account, due 2020 — 33,107 5.1% junior surplus notes, segregated account, due 2020 249,036 248,247 Secured borrowing 73,993 102,403 Ambac Assurance long-term debt $ 991,696 $ 1,114,405 Variable Interest Entities long-term debt $ 12,160,544 $ 11,155,936 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Major Jurisdictions | The following are the major jurisdictions in which Ambac and its subsidiaries operate and the earliest tax years subject to examination: Jurisdiction Tax Year United States 2010 New York State 2013 New York City 2014 United Kingdom 2014 Italy 2013 |
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, 2017 and 2016 are presented below: December 31, 2017 2016 Deferred tax liabilities: Insurance intangible $ 177,864 $ 336,728 Variable interest entities 22,817 46,343 Investments 28,798 38,656 Unearned premiums and credit fees 51,485 68,682 Unremitted foreign earnings — 30,699 Other 9,402 4,276 Total deferred tax liabilities 290,366 525,384 Deferred tax assets: Net operating loss and capital carryforward 775,917 1,409,565 Loss reserves 236,237 224,553 Compensation 5,585 4,759 AMT Credits — 31,532 Other 2,140 11,967 Subtotal deferred tax assets 1,019,879 1,682,376 Valuation allowance 763,172 1,158,712 Total deferred tax assets 256,707 523,664 Net deferred tax (liability) (33,659 ) (1,720 ) |
Schedule of Income before Income Tax, Domestic and Foreign [Table Text Block] | U.S. and foreign components of pre-tax income (loss) were as follows: Year Ended December 31, 2017 2016 2015 U.S. $ (450,978 ) $ 77,161 $ 337,753 Foreign 166,727 27,865 172,305 Total $ (284,251 ) $ 105,026 $ 510,058 |
Schedule of Components of Income Tax Expense (Benefit) | The components of the provision (benefit) for income taxes were as follows: Year Ended December 31, 2017 2016 2015 Current taxes U. S. federal $ (29,581 ) $ 3,934 $ 16,893 U.S. state and local 2,013 707 182 Foreign 40,613 26,088 2 Current taxes 13,045 30,729 17,077 Deferred taxes Deferred taxes - foreign 31,419 (20 ) 287 Provision for income taxes $ 44,464 $ 30,709 $ 17,364 |
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, 2017, 2016 and 2015 is as follows: Year Ended December 31, 2017 2016 2015 Total income taxes charged to net income $ 44,464 $ 30,709 $ 17,364 Income taxes charged (credited) to stockholders’ equity: Unrealized gains (losses) on investment securities (30,838 ) 41,602 (55,906 ) Unrealized gains (losses) on foreign currency translations 25,776 (58,527 ) (15,628 ) Change in retirement benefits 446 3,278 (240 ) Valuation allowance to equity 4,616 13,647 71,774 Total effect of income taxes $ 44,464 $ 30,709 $ 17,364 |
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: 2017 2016 2015 Year Ended December 31, Amount % Amount % Amount % Tax on income from continuing operations at statutory rate $ (99,488 ) 35.0 % $ 36,759 35.0 % $ 178,521 35.0 % Changes in expected tax resulting from: Tax-exempt interest (6,004 ) 2.1 % (1,561 ) (1.5 )% (1,454 ) (0.3 )% Goodwill impairment — — % — — % 180,079 35.3 % Foreign taxes (17,742 ) 6.2 % 26,183 24.9 % 288 0.1 % Substantiation adjustment 36,124 (12.7 )% (171,687 ) (163.5 )% — — % Valuation allowance 127,675 (44.9 )% 139,584 132.9 % (340,133 ) (66.7 )% Change in Tax Law 1,886 (0.7 )% — — % — — % Other, net 2,013 (0.7 )% 1,431 1.4 % 63 — % Tax expense on income from continuing operations $ 44,464 (15.6 )% $ 30,709 29.2 % $ 17,364 3.4 % |
Schedule of Unrecognized Tax Benefits Roll Forward | A reconciliation of the beginning and ending amount of unrecognized tax benefits for 2017 , 2016 and 2015 is as follows: Year Ended December 31, 2017 2016 2015 Balance, beginning of period $ — $ — $ — Increases related to prior year tax positions — — — Decreases related to prior year tax positions — — — Balance, end of period $ — $ — $ — |
Schedule of Net Operating Loss And Tax Credit Carryovers | Pursuant to the amended and restated tax sharing agreement among Ambac, Ambac Assurance and certain affiliates (the “Amended TSA"), to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with "Allocated NOLs" of $3,650,000 , 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. Pursuant to the Closing Agreement between Ambac and the Internal Revenue Service ("IRS"), the IRS will receive 12.5% of Tier C and 17.5% of Tier D payments, if made. NOL Usage Table NOL Usage Tier Allocated NOLs 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% |
Employment Benefit Plans (Table
Employment Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
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: 2018 2019 2020 2021 2022 2023-2027 Total $ 282 $ 311 $ 327 $ 353 $ 387 $ 2,452 $ 4,112 |
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: Year Ended December 31, 2017 (1) 2016 2015 Stock options $ — $ — $ 956 Restricted stock units 1,640 3,463 1,257 Performance awards (2) (3) 2,653 1,790 892 Total stock-based compensation $ 4,293 $ 5,253 $ 3,105 Total stock-based compensation (after-tax) $ 4,293 $ 5,194 $ 3,105 (1) As discussed in Note 2. Basis of Presentation and Significant Accounting Policies , we adopted ASU 2016-09 as of January 1, 2017. One of the provisions of this ASU requires entities to make an accounting policy election with respect to forfeitures of share-based payment awards. We elected to account for forfeitures as they occur and adopted this provision of ASU 2016-09 using a modified retrospective approach resulting in recording a cumulative-effect adjustment to equity of $137 . (2) Represents expense related to performance stock units portion of performance awards. Certain performance awards are split evenly between performance stock units and cash. Cash based compensation expense related to performance awards granted to US employees was $1,565 , $1,790 and $892 for the years ended December 31, 2017, 2016 and 2015 , 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 awarded in 2015: Year Ended December 31, 2015 Risk-free interest rate 1.283 % Expected volatility 42.8 % Dividend yield 0.0 % Expected life 4.13 years Weighted-average grant-date fair value per share $ 8.69 |
Share-based Compensation, Stock Options, Activity [Table Text Block] | A summary of option activity for 2017 is as follows: Shares Weighted Average Exercise Price Aggregate Intrinsic Value Weighted Average Remaining Contractual Life ( in years) Year Ended December 31, 2017 Outstanding at beginning of period 143,334 $ 23.64 Granted — — Exercised — — Forfeited or expired (16,667 ) 20.63 Outstanding at end of period 126,667 $ 24.03 $ — 1.23 Exercisable 126,667 $ 24.03 $ — 1.23 |
Schedule of Share-based Compensation, Restricted Stock Units Award Activity [Table Text Block] | A summary of RSU activity for 2017 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 264,230 $ 16.47 Granted 70,432 20.22 Delivered or returned to plan (1) (112,859 ) 13.96 Forfeited — — Outstanding at end of period 221,803 $ 18.93 (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, 2017 , Ambac purchased 56,410 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 2017 is as follows: Shares Weighted Average Grant Date Fair Value Outstanding at beginning of period 227,073 $ 21.29 Granted (1) 153,317 22.35 Delivered (2) (38,464 ) 29.78 Forfeited (1) (26,378 ) 20.26 Performance adjustment (3) 7,395 29.78 Outstanding at end of period 322,943 $ 21.06 (1) Represents performance share units at 100% of units granted for LTIP Awards. (2) Reflects the number of performance shares attributable to the performance goals attained over the completed performance period and for which service conditions have been met. (3) Represents the increase (decrease) in shares issued for awards granted in 2014 based upon the attainment of performance metrics at the end of the performance period. |
Commitments and Contingencies E
Commitments and Contingencies Estimate of Future Net Minimum Lease Payments (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
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: 2018 2019 2020 2021 2022 Thereafter Total $ 6,794 $ 5,563 $ 1,929 $ 1,566 $ 1,569 $ 11,765 $ 29,186 |
Quarterly Information (unaudi42
Quarterly Information (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Data [Abstract] | |
Quarterly Financial Information (unaudited) | 2017 2016 ($ in thousands) First Second Third Fourth First Second Third Fourth Gross premiums written $ 5,584 $ 6,928 $ (24,696 ) $ (2,129 ) $ (24,780 ) $ (4,041 ) $ (10,543 ) $ (14,473 ) Net premiums earned 47,613 43,152 52,989 31,523 52,800 41,402 53,218 49,867 Net investment income 81,559 85,160 87,177 107,057 60,821 70,758 90,917 90,871 Net other than temporary impairment losses (3,942 ) (1,763 ) (13,510 ) (956 ) (9,334 ) (7,441 ) (2,853 ) (2,191 ) Net realized investment gains (losses) (4,896 ) 4,180 6,150 (68 ) 1,102 14,897 11,749 11,536 Net change in fair value of credit derivatives 1,052 6,624 179 8,517 12,866 3,955 1,733 1,552 Net gains (losses) on interest rate derivatives (1,514 ) 34,068 3,984 23,027 (83,424 ) (36,331 ) (14,510 ) 83,992 Net realized gains (losses) on extinguishment of debt 2,741 2,179 — — 1,235 3,586 24 — Income (loss) on Variable Interest Entities 3,701 (1,219 ) (4,049 ) 21,237 (27,163 ) 8,987 2,057 2,026 Losses and loss expenses (benefit) 135,011 66,100 209,806 102,269 (105,281 ) (52,496 ) (69,204 ) 215,492 Insurance intangible amortization 37,525 33,471 45,690 34,168 50,890 39,013 44,553 40,152 Operating expenses 27,980 31,051 33,791 28,694 28,009 27,995 21,466 36,190 Interest expense 31,572 28,234 29,145 30,990 30,430 30,709 31,493 31,712 Pre-tax income (loss) (105,860 ) 13,992 (185,466 ) (6,917 ) 12,854 61,511 116,720 (86,059 ) Net income (loss) attributable to Common Shareholders $ (125,441 ) $ 7,110 $ (190,905 ) $ (19,479 ) $ 9,415 $ 58,647 $ 101,474 $ (94,693 ) Net income (loss) per share: Basic $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.30 $ 2.24 $ (2.09 ) Diluted $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.29 $ 2.22 $ (2.09 ) |
Schedule of Quarterly Financial Information | 18. QUARTERLY INFORMATION (Unaudited) 2017 2016 ($ in thousands) First Second Third Fourth First Second Third Fourth Gross premiums written $ 5,584 $ 6,928 $ (24,696 ) $ (2,129 ) $ (24,780 ) $ (4,041 ) $ (10,543 ) $ (14,473 ) Net premiums earned 47,613 43,152 52,989 31,523 52,800 41,402 53,218 49,867 Net investment income 81,559 85,160 87,177 107,057 60,821 70,758 90,917 90,871 Net other than temporary impairment losses (3,942 ) (1,763 ) (13,510 ) (956 ) (9,334 ) (7,441 ) (2,853 ) (2,191 ) Net realized investment gains (losses) (4,896 ) 4,180 6,150 (68 ) 1,102 14,897 11,749 11,536 Net change in fair value of credit derivatives 1,052 6,624 179 8,517 12,866 3,955 1,733 1,552 Net gains (losses) on interest rate derivatives (1,514 ) 34,068 3,984 23,027 (83,424 ) (36,331 ) (14,510 ) 83,992 Net realized gains (losses) on extinguishment of debt 2,741 2,179 — — 1,235 3,586 24 — Income (loss) on Variable Interest Entities 3,701 (1,219 ) (4,049 ) 21,237 (27,163 ) 8,987 2,057 2,026 Losses and loss expenses (benefit) 135,011 66,100 209,806 102,269 (105,281 ) (52,496 ) (69,204 ) 215,492 Insurance intangible amortization 37,525 33,471 45,690 34,168 50,890 39,013 44,553 40,152 Operating expenses 27,980 31,051 33,791 28,694 28,009 27,995 21,466 36,190 Interest expense 31,572 28,234 29,145 30,990 30,430 30,709 31,493 31,712 Pre-tax income (loss) (105,860 ) 13,992 (185,466 ) (6,917 ) 12,854 61,511 116,720 (86,059 ) Net income (loss) attributable to Common Shareholders $ (125,441 ) $ 7,110 $ (190,905 ) $ (19,479 ) $ 9,415 $ 58,647 $ 101,474 $ (94,693 ) Net income (loss) per share: Basic $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.30 $ 2.24 $ (2.09 ) Diluted $ (2.77 ) $ 0.16 $ (4.20 ) $ (0.43 ) $ 0.21 $ 1.29 $ 2.22 $ (2.09 ) |
Background and Business Descr43
Background and Business Description - Additional Information (Detail) $ / shares in Units, $ in Thousands | 3 Months Ended | 4 Months Ended | 12 Months Ended | ||||
Mar. 31, 2017Segment | Apr. 30, 2013$ / sharesshares | Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($) | Dec. 31, 2014 | May 01, 2013USD ($)$ / sharesshares | |
Background And Basis Of Presentation [Line Items] | |||||||
Business Acquisition, Percentage of Voting Interests Acquired | 50.00% | ||||||
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 | ||||||
Investment Warrants Expiration Date | Apr. 30, 2023 | ||||||
Gain Contingency, Unrecorded Amount | $ 1,400,000 | ||||||
AAC Note Secured by RMBS Securities Value Not Less Than | $ 350,000 | ||||||
Amount of Senior Surplus Notes Outstanding on June 8, 2020 | 25.00% | ||||||
OCIApprovalLimmitwithNonAffiliatedCounterparties | $ 100,000 | ||||||
MatieralAdverseEffectThreshold | 10.00% | ||||||
ChangeinLossReserveAssumptionsThresholdDollars | $ 200,000 | ||||||
ChangeinLossReserveAssumptionsThresholdPercent | 10.00% | ||||||
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | ||||||
Capital Stock Authorized | shares | 150,000,000 | ||||||
Common stock, shares authorized | shares | 130,000,000 | ||||||
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | ||||||
Preferred stock, shares authorized | shares | 20,000,000 | ||||||
Preferred Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | ||||||
Common stock, shares issued | shares | 45,000,000 | ||||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $ / shares | $ 16.67 | ||||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | ||||||
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% | ||||||
Litigation Settlement, Amount Awarded from Other Party | $ 995,000 | ||||||
Possible Increase in Loss Reserves Related to Puerto Rico | $ 1,500,000 | ||||||
Ambac Assurance [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Net par exposure for policies allocated to the Segregated Account | $ 9,246,357 | ||||||
Successor [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Number of reportable segments | Segment | 2 | ||||||
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 | 45,000,000 | ||||||
Warrants Distributed In Bankruptcy | shares | 5,047,138 | 5,047,138 | |||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $ / shares | $ 16.67 | ||||||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | $ 64,494 | $ 52,416 | $ 137,400 | ||||
Successor [Member] | Ambac UK [Member] | |||||||
Background And Basis Of Presentation [Line Items] | |||||||
Ballantyne Settlement with JPMIM | 325,600 | ||||||
Ambac UK Benefit Through Loss Reduction | 91,600 | ||||||
Previous Benefit Through Reduction of Loss and LAE | 53,000 | ||||||
Total Benefit Related to Ballantyne Settlement | $ 144,600 |
Background and Business Descr44
Background and Business Description Rehabilitation Exit Support Agreement (Details) | 3 Months Ended | 4 Months Ended | 12 Months Ended | |||||
Mar. 31, 2018 | Mar. 31, 2017Segment | Apr. 30, 2013$ / sharesshares | Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2014 | Feb. 12, 2018USD ($) | Dec. 31, 2016$ / sharesshares | May 01, 2013$ / sharesshares | |
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 | |||||||
Gain Contingency, Unrecorded Amount | $ 1,400,000,000 | |||||||
AAC Note Secured by RMBS Securities Value Not Less Than | $ 350,000,000 | |||||||
Amount of Senior Surplus Notes Outstanding on June 8, 2020 | 25.00% | |||||||
Capital Stock Authorized | shares | 150,000,000 | |||||||
Common stock, shares authorized | shares | 130,000,000 | |||||||
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | |||||||
Preferred stock, shares authorized | shares | 20,000,000 | |||||||
Preferred Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | |||||||
Common stock, shares issued | shares | 45,000,000 | |||||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $ / shares | $ 16.67 | |||||||
Investment Warrants Expiration Date | Apr. 30, 2023 | |||||||
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% | |||||||
Successor [Member] | ||||||||
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 | 45,000,000 | |||||||
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | shares | 5,047,138 | 5,047,138 | ||||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $ / shares | $ 16.67 | |||||||
Number of reportable segments | Segment | 2 | |||||||
Ambac Assurance [Member] | ||||||||
Net par exposure for policies allocated to the Segregated Account | $ 9,246,357,000 | |||||||
AFG [Member] | ||||||||
Amount of Remaining Senior Suplus Notes | $ 60,000,000 | |||||||
Subsequent Event [Member] | ||||||||
Supporting Holders Participation Rate | 99.60% | |||||||
One Time Interest Payment on Surplus Notes | $ 13,501,000 | |||||||
Subsequent Event [Member] | Deferred Payment Obligation [Member] | ||||||||
One Dollar Outstanding | 1 | |||||||
Discount Amount | 0.065 | |||||||
Cash Payment Amount | 0.40 | |||||||
Payment Amount in New Secured Notes | 0.41 | |||||||
Payment Amount in Existing Surplus Notes | 0.125 | |||||||
Subsequent Event [Member] | Surplus Notes [Member] | ||||||||
One Dollar Outstanding | 1 | |||||||
Discount Amount | 0.065 | |||||||
Cash Payment Amount | 0.40 | |||||||
Payment Amount in New Secured Notes | 0.41 | |||||||
Payment Amount in Existing Surplus Notes | 0.125 | |||||||
Subsequent Event [Member] | Ambac [Member] | Deferred Payment Obligation [Member] | ||||||||
One Dollar Outstanding | 1 | |||||||
Discount Amount | 0.09 | |||||||
Payment Amount in New Secured Notes | $ 0.91 |
Background and Business Descr45
Background and Business Description Tier 2 Commitment (Details) $ in Thousands | Feb. 12, 2018USD ($) |
Subsequent Event [Member] | |
Tier 2 Note Security in RMBS Litigation Settlement Proceeds | $ 1,600,000 |
Basis of Presentation and Sig46
Basis of Presentation and Significant Accounting Policies Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | May 01, 2013 | Apr. 30, 2013 | |
Finite-Lived Intangible Assets [Line Items] | ||||||
Common Stock Voting Restrictions | 10.00% | |||||
Common Stock, Par or Stated Value Per Share | $ 0.01 | |||||
Entity Incorporation, Date of Incorporation | 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 | |||||
Junior surplus note of Ambac Assurance Segregated Account | $ 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] | ||||||
Obligations under investment agreements | $ 0 | $ 82,358 | ||||
Income Taxes Paid | 40,334 | 21,437 | $ 16,969 | |||
Decrease in long-term debt as a result of an exchange for investment securities | 55,426 | 0 | 0 | |||
Goodwill, Impairment Loss | $ 0 | $ 0 | $ 514,511 | |||
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 | 45,000,000 | |||||
Warrant Exercised During Period Shares | 0 | 136 | 740 | |||
Successor [Member] | Maximum [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
Debt Instrument, Interest Rate, Basis for Effective Rate | .0094 | |||||
Long-term Debt [Member] | Successor [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
Interest Paid | $ 39,112 | $ 4,537 | $ 1,847 | |||
Accounting Standards Update 2018-02 [Domain] | Successor [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | |||||
Accounting Standards Update 2018-02 [Domain] | AOCI Attributable to Parent [Member] | Successor [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | (6,588) | |||||
Accounting Standards Update 2018-02 [Domain] | Retained Earnings [Member] | Successor [Member] | ||||||
Finite-Lived Intangible Assets [Line Items] | ||||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ 6,588 |
Basis of Presentation and Sig47
Basis of Presentation and Significant Accounting Policies FX gain (loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Foreign Currency Transaction Gain (Loss), before Tax | $ 21,116 | $ (39,128) | $ (17,010) | |
Successor [Member] | ||||
Foreign Currency Transaction Gain (Loss), before Tax | $ (4,769) | 30,179 | 5,816 | |
Lossandlossreserves [Member] | ||||
Foreign Currency Transaction Gain (Loss), before Tax | 28,939 | (77,578) | (24,838) | |
Gain (Loss) on Investments [Member] | ||||
Foreign Currency Transaction Gain (Loss), before Tax | (4,769) | 30,179 | 5,816 | |
Premiums Receivable [Member] | ||||
Foreign Currency Transaction Gain (Loss), before Tax | $ (1,904) | 8,003 | (2,555) | |
Unrealized Gains Or Losses On Credit Derivative Contracts [Member] | ||||
Foreign Currency Transaction Gain (Loss), before Tax | $ (1,150) | $ 32 | $ 3,981 |
Basis of Presentation and Sig48
Basis of Presentation and Significant Accounting Policies Goodwill (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Successor [Member] | |||
Goodwill, Impairment Loss | $ 0 | $ 0 | $ (514,511) |
Basis of Presentation and Sig49
Basis of Presentation and Significant Accounting Policies Noncontrolling Interest (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017USD ($)shares | Dec. 31, 2016USD ($)shares | |
Successor [Member] | ||
Stockholders' Equity Attributable to Noncontrolling Interest | $ | $ 264,110 | $ 264,110 |
Preferred Stock, Shares Outstanding | shares | 0 | 0 |
Ambac Assurance Corporation [Member] | ||
Preferred Stock, Shares Outstanding | shares | 26,411 | |
Preferred Stock, Liquidation Preference, Value | $ | $ 660,300 | |
London Interbank Offered Rate (LIBOR) [Member] | ||
Dividend Rate on Auction Rate Preferred Shares | 200 |
Basis of Presentation and Sig50
Basis of Presentation and Significant Accounting Policies Incentive Compensation (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Twelve Months from Award Date [Domain] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights, Percentage | 50.00% |
Twenty Four Months from Award Date [Domain] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Rights, Percentage | 50.00% |
Basis of Presentation and Sig51
Basis of Presentation and Significant Accounting Policies Adoption of New Accounting Standards (Details) - Accounting Standards Update 2016-09 [Member] - Successor [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ (137) |
AOCI Attributable to Parent [Member] | |
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 |
Retained Earnings [Member] | |
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ (137) |
Special Purpose Entities, Inc52
Special Purpose Entities, Including Variable Interest Entities - Additional Information (Detail) | 1 Months Ended | 12 Months Ended | ||
Jul. 31, 2015USD ($) | Dec. 31, 2017USD ($)Entity | Dec. 31, 2016USD ($)Entity | Dec. 31, 2015USD ($) | |
Variable Interest Entities [Line Items] | ||||
Secured Debt | $ 73,993,000 | $ 102,403,000 | ||
Consolidated VIE assets | 14,500,507,000 | 13,367,834,000 | ||
Consolidated VIE liabilities | 14,366,434,000 | 13,235,425,000 | ||
Number of RMBS Sold | 17 | |||
Cash Received From Delaware Trust | $ 146,000,000 | |||
Par Value of Securities Placed in Trust | 293,409,000 | |||
Fair Value of Securities Placed in Trust | 346,212,000 | |||
Securities Issued by Delaware Trust | $ 146,000,000 | |||
Equity Method Investments | 34,941,000 | 30,003,000 | ||
Loans, Unpaid principal balance | 20,184,000 | 4,873,000 | ||
Successor [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Variable Interest Entity Change in Fair Value of Assets and Liabilities | 19,670,000 | (14,093,000) | $ 30,997,000 | |
Available-for-sale Securities | 5,309,161,000 | 6,049,908,000 | ||
variable interest entities deconsolidation gain loss | 0 | 0 | 572,000 | |
Variable Interest Entity, Measure of Activity, Income or Loss before Tax | 19,670,000 | (14,093,000) | $ 31,569,000 | |
Fair value of special purpose entities | 5,979,000 | 7,382,000 | ||
Other Investments | $ 431,630,000 | 450,307,000 | ||
Asset-Backed Securities and Utility Obligations [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Weighted average life | 3 years 1 month 15 days | |||
Average rating of assets held by sponsored special purpose entities | BBB+ | |||
Sponsored Variable Interest Entities [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Total principal amount of debt outstanding | $ 420,600,000 | 388,950,000 | ||
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] | ||||
Available-for-sale Securities | 2,914,145,000 | 2,622,566,000 | ||
Loans, Estimated fair value | 11,529,384,000 | 10,658,963,000 | ||
Loans, Unpaid principal balance | 8,168,651,000 | 7,641,756,000 | ||
Long-term Debt, Fair Value | 12,160,544,000 | 11,155,936,000 | ||
Long-term debt, Unpaid principal balance | $ 9,387,884,000 | $ 8,854,530,000 | ||
Consolidated Entities [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Number of DeConsolidated Variable Interest Entities | 1 | 1 | 2 | |
Number of consolidated Variable Interest Entities | Entity | 11 | 12 | ||
Ambac UK [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Number of consolidated Variable Interest Entities | Entity | 8 | 8 | ||
Consolidated VIE assets | $ 14,160,152,000 | $ 12,950,009,000 | ||
Consolidated VIE liabilities | $ 14,026,704,000 | $ 12,833,466,000 | ||
Ambac Assurance [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Number of consolidated Variable Interest Entities | Entity | 3 | 4 | ||
London Interbank Offered Rate (LIBOR) [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Interest Rate on Securities Issued by Delaware Trust | 2.80% | |||
Corporate Debt Securities [Member] | Successor [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Available-for-sale Securities | $ 2,914,145,000 | $ 2,622,566,000 | ||
Variable Interest Entity Purchased Debt [Member] | ||||
Variable Interest Entities [Line Items] | ||||
Other Investments | $ 35,000,000 |
Special Purpose Entities, Inc53
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, 2017 | Dec. 31, 2016 |
Investments: | ||
Fixed income securities | $ 5,309,161 | $ 6,049,908 |
Variable Interest Entities [Member] | ||
Investments: | ||
Fixed income securities | 2,914,145 | 2,622,566 |
Corporate Obligations [Member] | ||
Investments: | ||
Fixed income securities | $ 2,914,145 | $ 2,622,566 |
Special Purpose Entities, Inc54
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, 2017 | Dec. 31, 2016 |
Variable Interest Entities [Line Items] | ||
Loans, Unpaid principal balance | $ 20,184 | $ 4,873 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 14,366,434 | 13,235,425 |
Variable Interest Entities [Member] | Successor [Member] | ||
Variable Interest Entities [Line Items] | ||
Loans, Estimated fair value | 11,529,384 | 10,658,963 |
Long-term Debt, Fair Value | 12,160,544 | 11,155,936 |
Loans, Unpaid principal balance | 8,168,651 | 7,641,756 |
Long-term debt, Unpaid principal balance | $ 9,387,884 | $ 8,854,530 |
Special Purpose Entities, Inc55
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, 2017 | Dec. 31, 2016 |
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | $ 44,199,767 | $ 48,271,212 |
Insurance Assets | 1,069,268 | 1,223,037 |
Insurance Liabilities | 4,260,578 | 4,261,578 |
Derivative Liabilities | 9,745 | (140,882) |
Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 18,569,951 | 22,662,741 |
Insurance Assets | 733,921 | 884,450 |
Insurance Liabilities | 3,889,522 | 3,902,436 |
Derivative Liabilities | 10,296 | (132,055) |
Global Public Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 25,629,816 | 25,608,471 |
Insurance Assets | 335,347 | 338,587 |
Insurance Liabilities | 371,056 | 359,142 |
Derivative Liabilities | (551) | (8,827) |
Collateralized Debt Obligations [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 35,555 | 761,451 |
Insurance Assets | 169 | 218 |
Insurance Liabilities | 1 | 3,319 |
Derivative Liabilities | (15) | (145,402) |
Residential Mortgage-Backed Securities [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 12,766,685 | 14,859,909 |
Insurance Assets | 619,848 | 725,106 |
Insurance Liabilities | 3,218,356 | 3,118,892 |
Other Consumer Asset-Backed [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 2,266,610 | 2,391,604 |
Insurance Assets | 23,405 | 26,758 |
Insurance Liabilities | 328,732 | 302,335 |
Derivative Liabilities | 0 | 0 |
Other Commercial Asset-Backed [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 987,797 | 1,686,256 |
Insurance Assets | 30,413 | 66,277 |
Insurance Liabilities | 35,976 | 64,961 |
Derivative Liabilities | 0 | 0 |
Other [Member] | Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 2,513,304 | 2,963,521 |
Insurance Assets | 60,086 | 66,091 |
Insurance Liabilities | 306,457 | 412,929 |
Derivative Liabilities | $ 10,311 | $ 13,347 |
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, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | $ (38,990) | $ 15,215 | |
Other comprehensive income before reclassifications | (20,114) | (35,709) | |
Amounts reclassified from accumulated other comprehensive income | 13,453 | (18,496) | |
Income Tax Expense (Benefit) | (44,464) | (30,709) | $ (17,364) |
Net current period other comprehensive income | (13,249) | (54,205) | |
Ending Balance | (52,239) | (38,990) | 15,215 |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | |||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 118,863 | 50,963 | |
Other comprehensive income before reclassifications | (96,325) | 85,378 | |
Amounts reclassified from accumulated other comprehensive income | 14,805 | (17,478) | |
Net current period other comprehensive income | (88,108) | 67,900 | |
Ending Balance | 30,755 | 118,863 | 50,963 |
Accumulated Translation Adjustment [Member] | |||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (167,220) | (45,092) | |
Other comprehensive income before reclassifications | 73,586 | (122,128) | |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 | |
Net current period other comprehensive income | 73,586 | (122,128) | |
Ending Balance | (93,634) | (167,220) | (45,092) |
Other Postretirement Benefits Plan [Member] | |||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 9,367 | 9,344 | |
Other comprehensive income before reclassifications | 2,625 | 1,041 | |
Amounts reclassified from accumulated other comprehensive income | (1,352) | (1,018) | |
Net current period other comprehensive income | 1,273 | 23 | |
Ending Balance | 10,640 | $ 9,367 | $ 9,344 |
Accounting Standards Update 2016-09 [Member] | |||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||
Accounting Standards Update 2016-09 [Member] | Retained Earnings [Member] | |||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | |||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ (6,588) |
Comprehensive Income - Schedu57
Comprehensive Income - Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Income tax expense (benefit) | $ (44,464) | $ (30,709) | $ (17,364) |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 13,453 | (18,496) | |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Net realized investment gains | 14,805 | (17,478) | |
Net of tax and noncontrolling interest | 14,805 | (17,478) | |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 14,805 | (17,478) | |
Reclassification out of Accumulated Other Comprehensive Income [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Net of tax and noncontrolling interest | 13,453 | (18,496) | |
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 | |
Other Postretirement Benefits Plan [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (1,352) | (1,018) | |
Other Postretirement Benefits Plan [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Income tax expense (benefit) | 0 | 0 | |
Prior service cost | (963) | (666) | |
Actuarial gains (losses) | (389) | (352) | |
Total before tax | (1,352) | (1,018) | |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | $ (1,352) | $ (1,018) |
Net Income Per Share - Addition
Net Income Per Share - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | 4 Months Ended | 12 Months Ended | 30 Months Ended | |||||
Apr. 30, 2013 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2017 | Nov. 02, 2016 | Jun. 30, 2015 | 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 | |||||||
Warrants Repurchased Average Cost per Warrant | $ 8.21 | |||||||
RemainingWarrantBuyBackAuthorizedDollars | $ 11,939 | $ 11,939 | ||||||
Successor [Member] | ||||||||
Schedule Of Earnings Per Share [Line Items] | ||||||||
Number of new common stock issued | 45,000,000 | |||||||
Par value of common stock issued | $ 0.01 | $ 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 | 0 | 136 | 740 | |||||
Stock Issued During Period, Shares, New Issues | 0 | 136 | 236 | |||||
First Warrant Buyback Authorization Dollars | $ 10,000 | |||||||
Warrants outstanding | 4,053,670 | 4,053,670 | ||||||
Warrants Purchased During Period Shares | 985,331 | |||||||
Payments for Repurchase of Warrants | $ 0 | $ 2,717 | $ 5,375 | $ 8,092 | ||||
SecondWarrantBuyBackAuthorizedDollars | $ 10,000 | |||||||
Warrants Purchased During Period Shares | 0 | |||||||
Warrants Purchased During Period Dollars | $ 0 |
Net Income Per Share - Reconcil
Net Income Per Share - Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share (Detail) - Successor [Member] - shares | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 45,367,932 | 45,723,524 | 46,006,027 |
Weighted average number of common shares used for basic earnings per share | 45,367,932 | 45,212,414 | 45,173,542 |
Warrant [Member] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 4,053,670 | 0 | 0 |
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 0 | 312,619 | |
Employee Stock Option [Member] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 126,667 | 110,000 | 110,000 |
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 0 | 447 | |
Restricted Stock Units (RSUs) [Member] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 68,654 | 0 | 0 |
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 0 | 116,105 | |
Performance Shares [Member] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 322,943 | 0 | 0 |
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 0 | 81,939 | |
Warrant [Member] | |||
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 5,313 | ||
Employee Stock Option [Member] | |||
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 809,834 | ||
Performance Shares [Member] | |||
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 3,117 | ||
Restricted Stock Units (RSUs) [Member] | |||
Effect of potential dilutive shares: | |||
Effect of potential dilutive shares | 14,221 |
Financial Guarantees in Force -
Financial Guarantees in Force - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Guarantor Obligations [Line Items] | |||
Gross par amount of financial guarantees outstanding | $ 67,140,000 | $ 86,373,000 | |
Net par amount of financial guarantees | 62,716,000 | 79,346,000 | |
Gross financial guarantees in force | 108,550,000 | 137,745,000 | |
Net financial guarantees in force | $ 101,223,000 | 126,306,000 | |
Highest single insured risk of aggregate net par amount guaranteed | 2.60% | ||
California [Member] | |||
Guarantor Obligations [Line Items] | |||
Aggregate net par amounts in force | 10.10% | ||
New York [Member] | |||
Guarantor Obligations [Line Items] | |||
Aggregate net par amounts in force | 5.80% | ||
NEW JERSEY | |||
Guarantor Obligations [Line Items] | |||
Aggregate net par amounts in force | 5.20% | ||
No other state [Member] | Maximum [Member] | |||
Guarantor Obligations [Line Items] | |||
Aggregate net par amounts in force | 5.00% | ||
Successor [Member] | |||
Guarantor Obligations [Line Items] | |||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | $ 64,494 | $ 52,416 | $ 137,400 |
Financial Guarantees in Force61
Financial Guarantees in Force - Summary of Financial Guarantee Portfolio Diversification by Type of Guaranteed Bond (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 62,716,000 | $ 79,346,000 |
Public Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 32,088,000 | 45,062,000 |
Public Finance [Member] | Lease and Tax-backed Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 11,893,000 | 15,688,000 |
Public Finance [Member] | General Obligation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 6,257,000 | 9,867,000 |
Public Finance [Member] | Utility Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,212,000 | 4,298,000 |
Public Finance [Member] | Higher Education [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,642,000 | 2,339,000 |
Public Finance [Member] | Housing Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 6,312,000 | 6,508,000 |
Public Finance [Member] | Health Care Revenue [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 807,000 | 1,484,000 |
Public Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 963,000 | 1,018,000 |
Public Finance [Member] | Transportation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,002,000 | 3,860,000 |
Structured Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 13,816,000 | 16,951,000 |
Structured Finance [Member] | Mortgage-backed and Home Equity [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 7,267,000 | 9,383,000 |
Structured Finance [Member] | Investor-owned Utilities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 3,274,000 | 3,833,000 |
Structured Finance [Member] | Student Loan [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,238,000 | 1,388,000 |
Structured Finance [Member] | Asset-backed Securities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 443,000 | 565,000 |
Structured Finance [Member] | Collateralized Debt Obligations [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 33,000 | 132,000 |
Structured Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,561,000 | 1,650,000 |
International Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 16,812,000 | 17,333,000 |
International Finance [Member] | Mortgage-backed and Home Equity [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 246,000 | 254,000 |
International Finance [Member] | Asset-backed Securities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 2,609,000 | 2,951,000 |
International Finance [Member] | Collateralized Debt Obligations [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 0 | 186,000 |
International Finance [Member] | Investor-owned and Public Utilities [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 5,696,000 | 6,168,000 |
International Finance [Member] | Sovereign/Sub-sovereign [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 5,664,000 | 5,211,000 |
International Finance [Member] | Transportation [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 1,777,000 | 1,700,000 |
International Finance [Member] | Other [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 820,000 | $ 863,000 |
Financial Guarantees in Force62
Financial Guarantees in Force - Summary of International Finance Guaranteed Portfolio (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 62,716,000 | $ 79,346,000 |
International Finance [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 16,812,000 | 17,333,000 |
International Finance [Member] | United Kingdom [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 13,554,000 | 12,798,000 |
International Finance [Member] | Australia [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 608,000 | 1,393,000 |
International Finance [Member] | Italy [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 877,000 | 898,000 |
International Finance [Member] | Austria [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 770,000 | 696,000 |
International Finance [Member] | FRANCE | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 329,000 | 286,000 |
International Finance [Member] | Internationally Diversified [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | 368,000 | 648,000 |
International Finance [Member] | Other International [Member] | ||
Guarantor Obligations [Line Items] | ||
Net Par Amount Outstanding | $ 306,000 | $ 614,000 |
Financial Guarantee Insurance63
Financial Guarantee Insurance Contracts - Additional Information (Detail) £ in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||||
Dec. 31, 2017USD ($) | Sep. 30, 2017USD ($) | Jun. 30, 2017USD ($) | Mar. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2017GBP (£) | Dec. 31, 2016GBP (£) | Dec. 31, 2015GBP (£) | Dec. 31, 2014USD ($) | |
Insurance [Line Items] | |||||||||||||||
Possible Increase in Loss Reserves Related to Puerto Rico | $ 1,500,000 | ||||||||||||||
Estimated Future Premium Payments Weighted Average Discounted Rate | 2.50% | 2.60% | 2.50% | 2.60% | 2.50% | 2.60% | |||||||||
Amount Of Insured Par Outstanding Ceded To Reinsurer | $ 3,668,000 | $ 3,668,000 | |||||||||||||
Ceded Principal Outstanding Major Reinsurer Percentage | 5.50% | ||||||||||||||
Deferred Ceded Premiums And Reinsurance Recoverables | 93,192 | $ 93,192 | |||||||||||||
Accrued rate of interest on outstanding policy obligations (percent) | 5.10% | ||||||||||||||
Weighted average period of future premiums | 9 years 9 months 18 days | 9 years | |||||||||||||
Losses and loss expense reserves ceded to reinsurers | 40,658 | $ 30,767 | $ 40,658 | $ 30,767 | |||||||||||
Subrogation recoveries, net of reinsurance | (1,806,736) | (1,878,740) | (1,806,736) | (1,878,740) | |||||||||||
Letters of Credit Outstanding, Amount | 115,561 | 115,561 | |||||||||||||
Financial Guarantee Outstanding Principal Ceded To Third Parties | 4,424,000 | 4,424,000 | |||||||||||||
Successor [Member] | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | 339 | (349) | 339 | (349) | $ (60) | ||||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | 586,312 | 661,337 | 586,312 | 661,337 | 831,575 | $ 1,000,607 | |||||||||
Financial Guarantee Gross Outstanding Principal Assumed From Third Parties | 219,100 | 243,700 | 219,100 | 243,700 | |||||||||||
Reinsurance Payable | 37,876 | 42,529 | $ 37,876 | $ 42,529 | |||||||||||
Transactions with non-investment grade internal ratings | 22.00% | 25.00% | |||||||||||||
Percentage of Premiums Receivable Related to Non Investment Grade Structured Finance Transactions | 16.00% | 16.00% | |||||||||||||
Uncollectable premium receivables | 9,331 | 9,186 | $ 9,331 | $ 9,186 | |||||||||||
Accelerated premium revenue for retired obligations | 64,494 | 52,416 | 137,400 | ||||||||||||
Reinsurance recoveries of losses included in losses and loss expenses | (20,348) | 5,421 | 47,085 | ||||||||||||
Losses and loss expense reserves ceded to reinsurers | 40,658 | 30,767 | 40,658 | 30,767 | 44,059 | $ 100,355 | |||||||||
Intangible amortization expense | 34,168 | $ 45,690 | $ 33,471 | $ 37,525 | 40,152 | $ 44,553 | $ 39,013 | $ 50,890 | 150,854 | 174,608 | 169,557 | ||||
Intangible Assets, Gross (Excluding Goodwill) | 1,581,156 | 1,534,419 | 1,581,156 | 1,534,419 | |||||||||||
Insurance intangible asset | 846,973 | 962,080 | 846,973 | 962,080 | |||||||||||
Accumulated amortization on insurance intangible asset | 734,183 | 572,339 | 734,183 | 572,339 | |||||||||||
Premiums Past Due On Non Investment Grade Obligation | 500 | ||||||||||||||
Successor [Member] | Insurance Intangible Asset [Member] | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Intangible amortization expense | $ 150,854 | $ 174,608 | 169,557 | ||||||||||||
Loss Reserves [Member] | Successor [Member] | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Weighted average risk-free rate used to discount loss reserves | 2.50% | 2.70% | |||||||||||||
United Kingdom, Pounds | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | $ 151,852 | $ 177,878 | $ 151,852 | $ 177,878 | $ 226,994 | £ 112,342 | £ 144,393 | £ 154,135 | |||||||
Ambac UK [Member] | Successor [Member] | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Ballantyne Settlement with JPMIM | 325,600 | ||||||||||||||
Ambac UK Benefit Through Loss Reduction | 91,600 | ||||||||||||||
Previous Benefit Through Reduction of Loss and LAE | 53,000 | ||||||||||||||
Total Benefit Related to Ballantyne Settlement | 144,600 | ||||||||||||||
Commonwealth of Puerto Rico [Member] | |||||||||||||||
Insurance [Line Items] | |||||||||||||||
Domestic Public Finance Losses | $ 476,303 |
Financial Guarantee Insurance64
Financial Guarantee Insurance Contracts - Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Detail) € in Thousands, £ in Thousands, $ in Thousands | 12 Months Ended | ||||||
Dec. 31, 2017USD ($) | Dec. 31, 2017EUR (€) | Dec. 31, 2017GBP (£) | Dec. 31, 2016USD ($) | Dec. 31, 2016EUR (€) | Dec. 31, 2016GBP (£) | Dec. 31, 2015USD ($) | |
Successor [Member] | |||||||
Insurance [Line Items] | |||||||
Premiums Receivable, Allowance for Doubtful Accounts | $ 9,331 | $ 9,186 | |||||
Percentage Premiums Receivable Related To Transactions With Non Investment Grade Internal Ratings | 22.00% | 22.00% | 22.00% | 25.00% | 25.00% | 25.00% | |
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | |||||||
Beginning premium receivable | $ 661,337 | $ 831,575 | $ 1,000,607 | ||||
Premium receipts | 81,597 | 77,038 | (108,029) | ||||
Adjustments for changes in expected and contractual cash flows | (30,334) | (78,528) | (64,740) | ||||
Accretion of premium receivable discount | 16,162 | 18,637 | 24,628 | ||||
Uncollectable premiums | (141) | 6,054 | 2,540 | ||||
Other adjustments (including foreign exchange) | 20,885 | (39,363) | (23,431) | ||||
Ending premium receivable | $ 586,312 | $ 661,337 | 831,575 | ||||
Percentage of Premiums Receivable Related to Non Investment Grade Structured Finance Transactions | 16.00% | 16.00% | 16.00% | 16.00% | 16.00% | 16.00% | |
Premiums Past Due On Non Investment Grade Obligation | $ 500 | ||||||
United Kingdom, Pounds | |||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | |||||||
Beginning premium receivable | 177,878 | £ 144,393 | $ 226,994 | £ 154,135 | |||
Ending premium receivable | 151,852 | £ 112,342 | 177,878 | £ 144,393 | 226,994 | ||
Euro Member Countries, Euro | |||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | |||||||
Beginning premium receivable | 34,866 | € 33,108 | 43,451 | € 40,014 | |||
Ending premium receivable | $ 36,001 | € 29,976 | $ 34,866 | € 33,108 | $ 43,451 |
Financial Guarantee Insurance65
Financial Guarantee Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Detail) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Reinsurance Premiums for Insurance Companies, by Product Segment [Line Items] | |||||||||||
Direct Premiums Written | $ 14,313 | $ 53,837 | $ 37,572 | ||||||||
Assumed Reinsurance Premiums Written | 0 | 0 | 0 | ||||||||
Ceded Reinsurance Premiums Written | 2,104 | 8,772 | 3,001 | ||||||||
Premiums written, net of reinsurance | 12,209 | 45,065 | 34,571 | ||||||||
Direct Premiums Earned | 190,496 | 215,564 | 336,025 | ||||||||
Assumed Reinsurance Premiums Earned | 106 | 85 | 87 | ||||||||
Ceded Reinsurance Premiums Earned | 15,325 | 18,362 | 23,517 | ||||||||
Reinsurance on premiums earned, Net | $ 31,523 | $ 52,989 | $ 43,152 | $ 47,613 | $ 49,867 | $ 53,218 | $ 41,402 | $ 52,800 | $ 175,277 | $ 197,287 | $ 312,595 |
Financial Guarantee Insurance66
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, 2017USD ($) |
Future premiums expected to be collected, March 31, 2018 | $ 16,923 |
Future premiums expected to be collected, June 30. 2018 | 13,801 |
Future premiums expected to be collected, September 30, 2018 | 14,779 |
Future premiums expected to be collected, December 31, 2018 | 13,282 |
Future premiums expected to be collected, December 31, 2019 | 55,203 |
Future premiums expected to be collected, December 31, 2020 | 52,282 |
Future premiums expected to be collected, December 31, 2021 | 45,848 |
Future premiums expected to be collected, December 31, 2022 | 43,678 |
Future premiums expected to be collected, December 31, 2027 | 193,190 |
Future premiums expected to be collected, December 31, 2032 | 150,385 |
Future premiums expected to be collected, December 31, 2037 | 82,597 |
Future premiums expected to be collected, December 31, 2042 | 29,169 |
Future premiums expected to be collected, December 31, 2047 | 13,599 |
Future premiums expected to be collected, December 31, 2052 | 3,586 |
Future premiums expected to be collected, December 31, 2057 | 92 |
Future premiums expected to be collected, Total | 728,414 |
Future expected premium to be earned, net of reinsurance, March 31, 2018 | 17,561 |
Future expected premiums to be earned, net of reinsurance, June 30, 2018 | 17,294 |
Future expected premiums to be earned, net of reinsurance, September 30, 2018 | 16,604 |
Future expected premiums to be earned, net of reinsurance, December 31, 2018 | 16,150 |
Future expected premiums to be earned, net of reinsurance, December 31, 2019 | 61,368 |
Future expected premiums to be earned, net of reinsurance, December 31, 2020 | 57,263 |
Future expected premiums to be earned, net of reinsurance, December 31, 2021 | 52,149 |
Future expected premiums to be earned, net of reinsurance, December 31, 2022 | 48,447 |
Future expected premiums to be earned, net of reinsurance, December 31, 2027 | 197,446 |
Future expected premiums to be earned, net of reinsurance, December 31, 2032 | 131,682 |
Future expected premiums to be earned, net of reinsurance, December 31, 2037 | 72,520 |
Future expected premiums to be earned, net of reinsurance, December 31, 2042 | 24,833 |
Future expected premiums to be earned, net of reinsurance, December 31, 2047 | 12,694 |
Future expected premiums to be earned, net of reinsurance, December 31, 2052 | 4,651 |
Future expected premiums to be earned, net of reinsurance, December 31, 2057 | 298 |
Future expected premiums to be earned, net of reinsurance, Total | $ 730,960 |
Financial Guarantee Insurance67
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Policyholder Benefits and Claims Incurred, Ceded | $ 20,348 | $ (5,421) | $ (47,085) | |
Liability for Unpaid Claims and Claims Adjustment Expense, Net | 4,073,144 | 3,665,271 | $ 2,814,754 | $ 3,698,378 |
Loss and loss expense reserves | 4,745,015 | 4,380,769 | ||
Subrogation recoverable | (631,213) | (684,731) | ||
Claim liability reported on Balance Sheet, before reinsurance | 4,113,802 | 3,696,038 | ||
Unpaid Claims-Claims [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | 2,411,632 | 2,411,105 | ||
Subrogation recoverable | 615,391 | 583,042 | ||
Claim liability reported on Balance Sheet, before reinsurance | 3,027,023 | 2,994,147 | ||
Unpaid Claims-Accrued Interest [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | 667,988 | 529,703 | ||
Subrogation recoverable | 171,755 | 132,139 | ||
Claim liability reported on Balance Sheet, before reinsurance | 839,743 | 661,842 | ||
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 | 2,855,010 | 2,681,198 | ||
Subrogation recoverable | 102,171 | 68,419 | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,957,181 | 2,749,617 | ||
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 | (1,054,113) | (1,098,096) | ||
Subrogation recoverable | (1,520,530) | (1,468,331) | ||
Claim liability reported on Balance Sheet, before reinsurance | (2,574,643) | (2,566,427) | ||
Unearned Premium Reserve [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | (135,502) | (143,141) | ||
Subrogation recoverable | 0 | 0 | ||
Claim liability reported on Balance Sheet, before reinsurance | $ (135,502) | $ (143,141) |
Financial Guarantee Insurance68
Financial Guarantee Insurance Contracts - Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Detail) € in Thousands, $ in Thousands | 12 Months Ended | |||||||
Dec. 31, 2017USD ($) | Dec. 31, 2017EUR (€) | Dec. 31, 2016USD ($) | Dec. 31, 2016EUR (€) | Dec. 31, 2015USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Less reinsurance on loss and loss expense reserves | $ 30,767 | |||||||
Prior years: | ||||||||
Add reinsurance on loss and loss expense reserves | 40,658 | $ 30,767 | ||||||
Balance Of Rmbs Subrogation Recoveries Net Of Reinsurance | $ (1,806,736) | $ (1,878,740) | ||||||
Successor [Member] | ||||||||
Loss And Loss Adjustment Expense Reserves [Line Items] | ||||||||
Liability for Unpaid Claims and Claims Adjustment Expense, Foreign Currency Translation Gain (Loss) | 28,939 | (77,578) | $ (24,831) | |||||
Liability for Unpaid Claims and Claims Adjustment Expense, Incurred Claims | 513,186 | (11,489) | (768,707) | |||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | 339 | (349) | $ (60) | |||||
Schedule Of Insured Financial Obligations With Credit Deterioration Reductions Of Gross Claim Liability Rmbs Subrogation | (1,834,387) | (1,907,035) | ||||||
Policyholder Benefits and Claims Incurred, Ceded | 20,348 | (5,421) | (47,085) | |||||
Net Incurred RMBS Subrogation Recoveries | (72,003) | 71,369 | 303,633 | |||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Beginning gross loss and loss expense reserves | 3,696,038 | 2,858,813 | 3,798,733 | |||||
Less reinsurance on loss and loss expense reserves | 30,767 | 44,059 | 100,355 | |||||
Beginning balance of net loss and loss expense reserves | 3,665,271 | 2,814,754 | 3,698,378 | |||||
Current year: | ||||||||
Claim and loss expense payments, net of subrogation and reinsurance | (825) | (5,371) | 0 | |||||
Prior years: | ||||||||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance | (133,427) | 944,955 | (90,086) | |||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | 3,665,271 | 2,814,754 | 3,698,378 | $ 4,073,144 | $ 3,665,271 | $ 2,814,754 | ||
Add reinsurance on loss and loss expense reserves | 40,658 | 30,767 | 44,059 | |||||
Ending gross loss and loss expense reserves | 4,113,802 | 3,696,038 | 2,858,813 | |||||
Current Year Claims and Claims Adjustment Expense | 5,691 | 6,675 | 1,183 | |||||
Prior Year Claims and Claims Adjustment Expense | 507,495 | (18,164) | (769,890) | |||||
Liability for Unpaid Claims and Claims Adjustment Expense, Claims Paid | 134,252 | (939,584) | 90,086 | |||||
Euro Member Countries, Euro | ||||||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||||
Beginning gross loss and loss expense reserves | 21,375 | € 20,297 | 19,019 | € 17,515 | ||||
Prior years: | ||||||||
Ending gross loss and loss expense reserves | $ 21,116 | € 17,582 | $ 21,375 | € 20,297 | $ 19,019 |
Financial Guarantee Insurance69
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, 2017USD ($)Policies | Dec. 31, 2016USD ($)Policies | Dec. 31, 2015USD ($) | |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 277 | 282 | |
Remaining weighted-average contract period (in years) | 17 years | 16 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 11,687,070 | $ 13,400,162 | |
Interest | 11,197,612 | 11,026,059 | |
Total | 22,884,682 | 24,426,221 | |
Gross undiscounted claim liability | 8,025,561 | 7,636,110 | |
Discount, gross claim liability | 1,291,005 | 1,305,366 | |
Gross claim liability before all subrogation and before reinsurance | 6,734,556 | 6,330,744 | |
Less: | |||
Gross RMBS subrogation | (1,857,502) | (1,926,165) | |
Discount, RMBS subrogation | 23,115 | 19,130 | |
Discounted RMBS subrogation, before reinsurance | (1,834,387) | (1,907,035) | |
Less: | |||
Gross other subrogation | (827,078) | (739,471) | |
Discount, other subrogation | 86,822 | 80,079 | |
Discounted other subrogation, before reinsurance | (740,256) | (659,392) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 4,159,913 | 3,764,317 | |
Less: Unearned premium reserves | (135,502) | (143,141) | |
Plus: Loss adjustment expenses reserves | 89,391 | 74,862 | |
Claim liability reported on Balance Sheet, before reinsurance | 4,113,802 | 3,696,038 | |
Reinsurance recoverable reported on Balance Sheet | 40,997 | 30,418 | |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 339 | $ (349) | $ (60) |
I/SL [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 26 | 19 | |
Remaining weighted-average contract period (in years) | 10 years | 9 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 1,046,267 | $ 918,456 | |
Interest | 531,657 | 345,802 | |
Total | 1,577,924 | 1,264,258 | |
Gross undiscounted claim liability | 4,434 | 3,439 | |
Discount, gross claim liability | 465 | 314 | |
Gross claim liability before all subrogation and before reinsurance | 3,969 | 3,125 | |
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 | 3,969 | 3,125 | |
Less: Unearned premium reserves | (2,126) | (2,394) | |
Plus: Loss adjustment expenses reserves | 16,116 | 6,621 | |
Claim liability reported on Balance Sheet, before reinsurance | 17,959 | 7,352 | |
Reinsurance recoverable reported on Balance Sheet | $ 202 | $ 120 | |
IA [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 20 | 22 | |
Remaining weighted-average contract period (in years) | 23 years | 8 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 531,190 | $ 733,036 | |
Interest | 584,098 | 199,631 | |
Total | 1,115,288 | 932,667 | |
Gross undiscounted claim liability | 56,659 | 21,175 | |
Discount, gross claim liability | 13,095 | 1,243 | |
Gross claim liability before all subrogation and before reinsurance | 43,564 | 19,932 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (7,990) | 0 | |
Discount, other subrogation | 5,169 | 0 | |
Discounted other subrogation, before reinsurance | (2,821) | 0 | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 40,743 | 19,932 | |
Less: Unearned premium reserves | (9,990) | (1,807) | |
Plus: Loss adjustment expenses reserves | 3,242 | 339 | |
Claim liability reported on Balance Sheet, before reinsurance | 33,995 | 18,464 | |
Reinsurance recoverable reported on Balance Sheet | $ 4,894 | $ 6,063 | |
II [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 26 | 26 | |
Remaining weighted-average contract period (in years) | 10 years | 30 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 1,199,909 | $ 1,992,543 | |
Interest | 413,045 | 7,080,969 | |
Total | 1,612,954 | 9,073,512 | |
Gross undiscounted claim liability | 77,289 | 547,550 | |
Discount, gross claim liability | 12,250 | 331,234 | |
Gross claim liability before all subrogation and before reinsurance | 65,039 | 216,316 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (9,371) | (14,529) | |
Discount, other subrogation | 2,550 | 6,526 | |
Discounted other subrogation, before reinsurance | (6,821) | (8,003) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 58,218 | 208,313 | |
Less: Unearned premium reserves | (12,238) | (49,578) | |
Plus: Loss adjustment expenses reserves | 665 | 777 | |
Claim liability reported on Balance Sheet, before reinsurance | 46,645 | 159,512 | |
Reinsurance recoverable reported on Balance Sheet | $ 9,424 | $ 2,737 | |
III [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 22 | 43 | |
Remaining weighted-average contract period (in years) | 24 years | 17 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 1,998,861 | $ 1,779,889 | |
Interest | 7,182,715 | 1,110,051 | |
Total | 9,181,576 | 2,889,940 | |
Gross undiscounted claim liability | 1,412,976 | 861,455 | |
Discount, gross claim liability | 643,897 | 256,108 | |
Gross claim liability before all subrogation and before reinsurance | 769,079 | 605,347 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (53,070) | (118,272) | |
Discount, other subrogation | 8,349 | 13,426 | |
Discounted other subrogation, before reinsurance | (44,721) | (104,846) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 724,358 | 500,501 | |
Less: Unearned premium reserves | (46,086) | (31,785) | |
Plus: Loss adjustment expenses reserves | 13,331 | 11,036 | |
Claim liability reported on Balance Sheet, before reinsurance | 691,603 | 479,752 | |
Reinsurance recoverable reported on Balance Sheet | $ 38,465 | $ 39,352 | |
IV [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 179 | 169 | |
Remaining weighted-average contract period (in years) | 13 years | 14 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 6,862,281 | $ 7,926,991 | |
Interest | 2,469,765 | 2,275,421 | |
Total | 9,332,046 | 10,202,412 | |
Gross undiscounted claim liability | 6,409,340 | 6,139,060 | |
Discount, gross claim liability | 616,559 | 710,608 | |
Gross claim liability before all subrogation and before reinsurance | 5,792,781 | 5,428,452 | |
Less: | |||
Gross RMBS subrogation | (1,857,502) | (1,926,165) | |
Discount, RMBS subrogation | 23,115 | 19,130 | |
Discounted RMBS subrogation, before reinsurance | (1,834,387) | (1,907,035) | |
Less: | |||
Gross other subrogation | (743,456) | (593,919) | |
Discount, other subrogation | 67,045 | 56,273 | |
Discounted other subrogation, before reinsurance | (676,411) | (537,646) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 3,281,983 | 2,983,771 | |
Less: Unearned premium reserves | (64,786) | (57,194) | |
Plus: Loss adjustment expenses reserves | 56,037 | 56,089 | |
Claim liability reported on Balance Sheet, before reinsurance | 3,273,234 | 2,982,666 | |
Reinsurance recoverable reported on Balance Sheet | $ (11,988) | $ (17,854) | |
V [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 4 | 3 | |
Remaining weighted-average contract period (in years) | 4 years | 5 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 48,562 | $ 49,247 | |
Interest | 16,332 | 14,185 | |
Total | 64,894 | 63,432 | |
Gross undiscounted claim liability | 64,863 | 63,431 | |
Discount, gross claim liability | 4,739 | 5,859 | |
Gross claim liability before all subrogation and before reinsurance | 60,124 | 57,572 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (13,191) | (12,751) | |
Discount, other subrogation | 3,709 | 3,854 | |
Discounted other subrogation, before reinsurance | (9,482) | (8,897) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 50,642 | 48,675 | |
Less: Unearned premium reserves | (276) | (383) | |
Plus: Loss adjustment expenses reserves | 0 | 0 | |
Claim liability reported on Balance Sheet, before reinsurance | 50,366 | 48,292 | |
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 0 |
Financial Guarantee Insurance70
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, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | $ 40,658 | $ 30,767 | ||
Successor [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | 40,658 | 30,767 | $ 44,059 | $ 100,355 |
Loss and loss expense reserves | 4,745,015 | 4,380,769 | ||
Subrogation recoverable | (631,213) | (684,731) | ||
Liability for Claims | 4,113,802 | 3,696,038 | 2,858,813 | $ 3,798,733 |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 339 | $ (349) | $ (60) |
Financial Guarantee Insurance71
Financial Guarantee Insurance Contracts - Summary of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||||
Litigation Settlement, Amount Awarded from Other Party | $ 995,000 | |||
Successor [Member] | ||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||||
Subrogation recoveries | $ 1,834,387 | 1,907,035 | ||
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | $ 0 | |||
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 | 1,366,483 | 1,351,640 | ||
Subrogation recoveries | 1,834,387 | 1,907,035 | ||
Gross loss reserve after subrogation recoveries | (467,904) | (555,395) | ||
Random Samples [Member] | Successor [Member] | ||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||||
Subrogation recoveries | 1,834,387 | 1,907,035 | 2,829,575 | $ 2,523,540 |
Impact Of Sponsor Actions In Residential Mortgage Backed Securities Subrogation | 0 | (995,000) | ||
Other Changes Rmbs Subrogation | $ (72,648) | $ 72,460 | $ 306,035 |
Financial Guarantee Insurance72
Financial Guarantee Insurance Contracts - Summary of Rollforward of RMBS Subrogation, by Estimation Approach (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Subrogation By Estimation Approach [Roll Forward] | |||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | $ 1,907,035 | ||
Changes recognized | |||
Impact of sponsor actions | $ 0 | ||
Discounted RMBS subrogation (gross of reinsurance), ending balance | 1,834,387 | $ 1,907,035 | |
Random Samples [Member] | |||
Subrogation By Estimation Approach [Roll Forward] | |||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,907,035 | 2,829,575 | 2,523,540 |
Changes recognized | |||
Impact of sponsor actions | 0 | (995,000) | |
Other Changes Rmbs Subrogation | (72,648) | 72,460 | 306,035 |
Discounted RMBS subrogation (gross of reinsurance), ending balance | $ 1,834,387 | $ 1,907,035 | $ 2,829,575 |
Financial Guarantee Insurance73
Financial Guarantee Insurance Contracts - Estimated Future Amortization Expense for Insurance Intangible Asset (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Insurance Intangible Asset [Member] | |||||||||||
Amortization Of Intangible Assets [Line Items] | |||||||||||
2,018 | $ 76,638 | $ 76,638 | |||||||||
2,019 | 69,082 | 69,082 | |||||||||
2,020 | 63,892 | 63,892 | |||||||||
2,021 | 58,207 | 58,207 | |||||||||
2,022 | 53,908 | 53,908 | |||||||||
Thereafter | 525,246 | 525,246 | |||||||||
Successor [Member] | |||||||||||
Amortization Of Intangible Assets [Line Items] | |||||||||||
Amortization of insurance intangible assets | 34,168 | $ 45,690 | $ 33,471 | $ 37,525 | $ 40,152 | $ 44,553 | $ 39,013 | $ 50,890 | 150,854 | $ 174,608 | $ 169,557 |
Intangible Assets, Gross (Excluding Goodwill) | 1,581,156 | 1,534,419 | 1,581,156 | 1,534,419 | |||||||
Accumulated amortization on insurance intangible asset | $ 734,183 | $ 572,339 | 734,183 | 572,339 | |||||||
Successor [Member] | Insurance Asset [Member] | |||||||||||
Amortization Of Intangible Assets [Line Items] | |||||||||||
Amortization of insurance intangible assets | $ 150,854 | $ 174,608 | $ 169,557 |
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, 2017USD ($) | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 100.00% |
Net unsecured reinsurance recoverable | $ 0 |
Assured Guaranty Re Ltd [Member] | Moody's NR Rating [Member] | |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |
Percentage ceded Par | 82.90% |
Net unsecured reinsurance recoverable | $ 0 |
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 | 7.90% |
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 | 9.20% |
Net unsecured reinsurance recoverable | $ 0 |
Financial Guarantee Insurance75
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts Earned Premiums by Geographic Location (Details) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Premiums Earned, Net, Financial Guarantee Insurance Contracts | $ 31,523 | $ 52,989 | $ 43,152 | $ 47,613 | $ 49,867 | $ 53,218 | $ 41,402 | $ 52,800 | $ 175,277 | $ 197,287 | $ 312,595 |
Reportable Geographical Components [Member] | UNITED STATES | |||||||||||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 134,099 | 168,646 | 229,658 | ||||||||
Reportable Geographical Components [Member] | UNITED KINGDOM | |||||||||||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 32,928 | 24,470 | 68,799 | ||||||||
Reportable Geographical Components [Member] | Other International [Member] | |||||||||||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | $ 8,250 | $ 4,171 | $ 14,138 |
Insurance Regulatory Restrict76
Insurance Regulatory Restrictions Additional Details (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Average Annual Rate Of Return | 9.52% | 7.63% |
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 | 699,614 | $ 976,477 |
Ambac Assurance [Member] | Prescribed Or Permitted Additional Accounting Practices [Member] | ||
Statutory Accounting Practices, Prescribed Practice, Amount | (104,097) | $ 17,290 |
Post Rehabilitation [Member] | ||
Statutory Accounting Practices, Statutory Capital and Surplus Required | $ 100,000 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) - Successor [Member] - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Financial assets: | ||
Fixed income securities | $ 5,309,161,000 | $ 6,049,908,000 |
Short term investments | 557,270,000 | 430,788,000 |
Other Investments | 431,630,000 | 450,307,000 |
Other assets | 5,979,000 | 7,382,000 |
Financial liabilities: | ||
Borrowings under Guaranteed Investment Agreements | 0 | 82,358,000 |
Long term debt, including accrued interest | 991,696,000 | 1,114,405,000 |
Variable Interest Entity [Member] | ||
Financial assets: | ||
Loans at Carrying Amount | 11,529,384,000 | 10,658,963,000 |
Financial liabilities: | ||
Long term debt, including accrued interest | 12,160,544,000 | 11,155,936,000 |
Carrying Amount [Member] | ||
Financial assets: | ||
Cash | 623,703,000 | 91,025,000 |
Loans | 10,358,000 | 4,160,000 |
Other assets | 5,979,000 | 7,382,000 |
Total financial assets | 20,853,695,000 | 20,047,333,000 |
Financial liabilities: | ||
Borrowings under Guaranteed Investment Agreements | 82,358,000 | |
Long term debt, including accrued interest | 1,536,352,000 | |
Liabilities for net financial guarantees written | 3,435,438,000 | 3,009,943,000 |
Long-term debt | 1,428,680,000 | |
Total financial liabilities | 19,312,708,000 | 18,182,476,000 |
Carrying Amount [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Restricted cash | 978,000 | 4,873,000 |
Loans at Carrying Amount | 11,529,384,000 | 10,658,963,000 |
Financial liabilities: | ||
Long-term debt | 12,160,544,000 | 11,155,936,000 |
Carrying Amount [Member] | Futures Contracts [Member] | ||
Financial assets: | ||
Derivative assets | 536,000 | |
Carrying Amount [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 15,349,000 | |
Total Fair Value [Member] | ||
Financial assets: | ||
Cash | 623,703,000 | 91,025,000 |
Loans | 10,284,000 | 4,066,000 |
Other assets | 5,979,000 | 7,382,000 |
Total financial assets | 20,835,968,000 | 20,032,169,000 |
Financial liabilities: | ||
Obligations under investment and repurchase agreements | 82,333,000 | |
Long term debt, including accrued interest | 1,494,340,000 | |
Liabilities for net financial guarantees written | 4,842,402,000 | 4,490,070,000 |
Long-term debt | 1,369,499,000 | |
Total financial liabilities | 20,660,491,000 | 19,620,566,000 |
Total Fair Value [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Restricted cash | 978,000 | 4,873,000 |
Loans | 11,529,384,000 | 10,658,963,000 |
Financial liabilities: | ||
Long-term debt | 12,160,544,000 | 11,155,936,000 |
Total Fair Value [Member] | Futures Contracts [Member] | ||
Financial assets: | ||
Derivative assets | 536,000 | |
Total Fair Value [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 15,349,000 | |
Other Assets [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 73,199,000 | 77,206,000 |
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | (61,839,000) | |
Other Assets [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 73,199,000 | 77,206,000 |
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | (61,839,000) | |
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 | 365,776,000 | |
Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,078,601,000 | |
Interest Rate Swaps - Liability Position [Member] | Carrying Amount [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Derivative assets | 54,877,000 | 80,407,000 |
Financial liabilities: | ||
Derivative liabilities | 0 | |
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 | 365,776,000 | |
Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,078,601,000 | |
Interest Rate Swaps - Liability Position [Member] | Total Fair Value [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Derivative assets | 54,877,000 | 80,407,000 |
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 1 [Member] | ||
Financial assets: | ||
Cash | 615,073,000 | 46,587,000 |
Loans | 0 | 0 |
Other assets | 0 | 0 |
Total financial assets | 1,173,321,000 | 650,457,000 |
Financial liabilities: | ||
Obligations under investment and repurchase agreements | 0 | |
Long term debt, including accrued interest | 0 | |
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 0 | |
Total financial liabilities | 1,348,000 | 0 |
Level 1 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Restricted cash | 978,000 | 4,873,000 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 0 | 0 |
Level 1 [Member] | Futures Contracts [Member] | ||
Financial assets: | ||
Derivative assets | 536,000 | |
Level 1 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 1 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
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 | |
Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 2 [Member] | ||
Financial assets: | ||
Cash | 8,630,000 | 44,438,000 |
Loans | 0 | 0 |
Other assets | 0 | 0 |
Total financial assets | 4,005,195,000 | 4,914,330,000 |
Financial liabilities: | ||
Obligations under investment and repurchase agreements | 0 | |
Long term debt, including accrued interest | 1,147,728,000 | |
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 1,046,511,000 | |
Total financial liabilities | 12,735,499,000 | 11,958,793,000 |
Level 2 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Restricted cash | 0 | 0 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 9,402,856,000 | 8,573,716,000 |
Level 2 [Member] | Futures Contracts [Member] | ||
Financial assets: | ||
Derivative assets | 0 | |
Level 2 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 2 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 11,825,000 | 16,950,000 |
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | (61,839,000) | |
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 | 220,587,000 | |
Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,078,601,000 | |
Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Derivative assets | 54,877,000 | 80,407,000 |
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 3 [Member] | ||
Financial assets: | ||
Cash | 0 | 0 |
Loans | 10,284,000 | 4,066,000 |
Other assets | 5,979,000 | 7,382,000 |
Total financial assets | 15,347,011,000 | 14,130,870,000 |
Financial liabilities: | ||
Obligations under investment and repurchase agreements | 82,333,000 | |
Long term debt, including accrued interest | 346,612,000 | |
Liabilities for net financial guarantees written | 4,842,402,000 | 4,490,070,000 |
Long-term debt | 322,988,000 | |
Total financial liabilities | 7,923,644,000 | 7,661,773,000 |
Level 3 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Restricted cash | 0 | 0 |
Loans | 11,529,384,000 | 10,658,963,000 |
Financial liabilities: | ||
Long-term debt | 2,757,688,000 | 2,582,220,000 |
Level 3 [Member] | Futures Contracts [Member] | ||
Financial assets: | ||
Derivative assets | 0 | |
Level 3 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 15,349,000 | |
Level 3 [Member] | Other Assets [Member] | Interest Rate Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 61,374,000 | 60,256,000 |
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
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 | 145,189,000 | |
Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Financial liabilities: | ||
Derivative liabilities | 0 | |
Ambac insured Re-remic [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | |
Municipal Bonds [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 779,834,000 | 374,368,000 |
Municipal Bonds [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 779,834,000 | 374,368,000 |
Municipal Bonds [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Municipal Bonds [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 779,834,000 | 374,368,000 |
Municipal Bonds [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Corporate Obligations [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 860,075,000 | 1,802,165,000 |
Corporate Obligations [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Fixed income securities | 2,914,145,000 | 2,622,566,000 |
Corporate Obligations [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 860,075,000 | 1,802,165,000 |
Corporate Obligations [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Fixed income securities | 2,914,145,000 | 2,622,566,000 |
Corporate Obligations [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 450,000 | 0 |
Corporate Obligations [Member] | Level 1 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Corporate Obligations [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 859,625,000 | 1,802,165,000 |
Corporate Obligations [Member] | Level 2 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Corporate Obligations [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Corporate Obligations [Member] | Level 3 [Member] | Variable Interest Entity [Member] | ||
Financial assets: | ||
Fixed income securities | 2,914,145,000 | 2,622,566,000 |
Foreign Obligations [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 26,543,000 | 43,135,000 |
Foreign Obligations [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 26,543,000 | 43,135,000 |
Foreign Obligations [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 25,615,000 | 42,212,000 |
Foreign Obligations [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 928,000 | 923,000 |
Foreign Obligations [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
US Government Debt Securities [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 85,408,000 | 36,186,000 |
Fixed income securities, pledged as collateral | 99,719,000 | 64,905,000 |
US Government Debt Securities [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 85,408,000 | 36,186,000 |
Fixed income securities, pledged as collateral | 99,719,000 | 64,905,000 |
US Government Debt Securities [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 85,408,000 | 36,186,000 |
Fixed income securities, pledged as collateral | 99,719,000 | 64,905,000 |
US Government Debt Securities [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Fixed income securities, pledged as collateral | 0 | 0 |
US Government Debt Securities [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Fixed income securities, pledged as collateral | 0 | 0 |
U.S. Agency Obligations [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 4,060,000 | |
U.S. Agency Obligations [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 4,060,000 | |
U.S. Agency Obligations [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | |
U.S. Agency Obligations [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 4,060,000 | |
U.S. Agency Obligations [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | |
Residential Mortgage-Backed Securities [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 2,251,333,000 | 2,351,595,000 |
Residential Mortgage-Backed Securities [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 2,251,333,000 | 2,351,595,000 |
Residential Mortgage-Backed Securities [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Residential Mortgage-Backed Securities [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 1,515,316,000 | 1,654,882,000 |
Residential Mortgage-Backed Securities [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 736,017,000 | 696,713,000 |
RMBS Priced Using Discounted Cash Flow Approach [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 26,067,000 | |
Collateralized Debt Obligations [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 51,037,000 | 113,923,000 |
Collateralized Debt Obligations [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 51,037,000 | 113,923,000 |
Collateralized Debt Obligations [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Collateralized Debt Obligations [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 51,037,000 | 113,923,000 |
Collateralized Debt Obligations [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Asset-backed Securities [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Fixed income securities | 597,942,000 | 828,783,000 |
Asset-backed Securities [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Fixed income securities | 597,942,000 | 828,783,000 |
Asset-backed Securities [Member] | Level 1 [Member] | ||
Financial assets: | ||
Fixed income securities | 0 | 0 |
Asset-backed Securities [Member] | Level 2 [Member] | ||
Financial assets: | ||
Fixed income securities | 525,402,000 | 762,793,000 |
Asset-backed Securities [Member] | Level 3 [Member] | ||
Financial assets: | ||
Fixed income securities | 72,540,000 | 65,990,000 |
Short-Term [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Short term investments | 557,270,000 | 430,788,000 |
Short-Term [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Short term investments | 557,270,000 | 430,788,000 |
Short-Term [Member] | Level 1 [Member] | ||
Financial assets: | ||
Short term investments | 389,299,000 | 371,367,000 |
Short-Term [Member] | Level 2 [Member] | ||
Financial assets: | ||
Short term investments | 167,971,000 | 59,421,000 |
Short-Term [Member] | Level 3 [Member] | ||
Financial assets: | ||
Short term investments | 0 | 0 |
Other [Member] | Carrying Amount [Member] | ||
Financial assets: | ||
Other Investments | 431,630,000 | 450,307,000 |
Other [Member] | Total Fair Value [Member] | ||
Financial assets: | ||
Other Investments | 413,977,000 | 435,237,000 |
Other [Member] | Level 1 [Member] | ||
Financial assets: | ||
Other Investments | 56,498,000 | 83,791,000 |
Other [Member] | Level 2 [Member] | ||
Financial assets: | ||
Other Investments | 29,750,000 | 0 |
Other [Member] | Level 3 [Member] | ||
Financial assets: | ||
Other Investments | 17,288,000 | 14,934,000 |
Investments Measured at NAV as a Practical Expedient [Member] | ||
Financial assets: | ||
Other Investments | 310,441,000 | $ 336,513,000 |
Futures Contracts [Member] | Carrying Amount [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,348,000 | |
Futures Contracts [Member] | Total Fair Value [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,348,000 | |
Futures Contracts [Member] | Level 1 [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,348,000 | |
Futures Contracts [Member] | Level 2 [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Futures Contracts [Member] | Level 3 [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Interest Rate Swaps [Member] | Carrying Amount [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 627,000 | |
Derivative liabilities | 81,495,000 | |
Interest Rate Swaps [Member] | Carrying Amount [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,205,264,000 | |
Interest Rate Swaps [Member] | Total Fair Value [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 627,000 | |
Derivative liabilities | 81,495,000 | |
Interest Rate Swaps [Member] | Total Fair Value [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,205,264,000 | |
Interest Rate Swaps [Member] | Level 1 [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
Derivative liabilities | 0 | |
Interest Rate Swaps [Member] | Level 1 [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Interest Rate Swaps [Member] | Level 2 [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 627,000 | |
Derivative liabilities | 81,495,000 | |
Interest Rate Swaps [Member] | Level 2 [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2,205,264,000 | |
Interest Rate Swaps [Member] | Level 3 [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
Derivative liabilities | 0 | |
Interest Rate Swaps [Member] | Level 3 [Member] | Variable Interest Entity [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Credit Derivatives [Member] | Carrying Amount [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 566,000 | |
Credit Derivatives [Member] | Total Fair Value [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 566,000 | |
Credit Derivatives [Member] | Level 1 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Credit Derivatives [Member] | Level 2 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Credit Derivatives [Member] | Level 3 [Member] | Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | $ 566,000 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017USD ($)Contract$ / shares | Dec. 31, 2016USD ($)Contract$ / shares | Dec. 31, 2015 | |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Credit valuation adjustment included in fair value of credit derivative liabilities | $ 60 | $ 1,924 | |
Credit valuation adjustment included in fair value of derivative liabilities other than credit derivatives | $ 44,973 | ||
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% | ||
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 2.50% | 2.60% | |
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% | ||
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% | ||
Credit spread of reference obligation of revised transaction | 1.00% | ||
Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other Investments | $ 431,630 | $ 450,307 | |
Available-for-sale Securities | $ 5,309,161 | $ 6,049,908 | |
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 | 6.00% | 5.00% | |
PercentageofInvestedPortfiliowhereProjectedCashFlowsConsistSolelyofDeferredAmountsandInterest | 13.00% | 12.00% | |
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 | ||
Successor [Member] | Asset-backed Securities [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Coupon rate | 5.97% | 5.93% | |
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 | $ 72,540 | $ 65,990 | |
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 | 736,017 | 696,713 | |
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 | 0 | 0 | |
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] | 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 | 2,757,688 | 2,551,278 | |
Successor [Member] | 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 | $ 0 | $ 30,942 | |
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 | 15.00% | 13.00% | |
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 | 79.00% | 82.00% | |
Underlying, Other [Member] | Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
CVA percentage | 9.64% | 11.14% | |
Fair value of derivative liabilities | $ 566 | $ 15,349 | |
Notional outstanding | $ 325,890 | $ 737,380 | |
Fair Value Input Weighted Average Obligation Price | $ / shares | $ 99.3 | $ 93.5 | |
Fair Value Input Weighted Average Life | 6 years 6 months | 5 years 2 months | |
Fair Value Input Weighted Average Credit Rating | A | A- | |
Fair Value Input Weighted Average Relative Change Ratio | 23.60% | 31.60% | |
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 | 3.10% | 3.60% | |
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 | $ 2,914,145 | $ 2,622,566 | |
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 | 0.40% | 0.46% | |
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% | ||
Real Estate [Member] | Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other Investments | $ 33,154 | $ 33,303 | |
Hedge Funds, Multi-strategy [Member] | Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other Investments | 53,054 | 53,985 | |
Interest Rate Contract [Member] | Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other Investments | 136,603 | 261,315 | |
Illiquid Investments [Member] | Successor [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other Investments | $ 67,787 | $ 39,068 | |
Credit Derivatives [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Number Of Credit Derivative Contracts On Adversely Classified Credit Listing | Contract | 0 | 2 | |
Derivative Liability Fair Value For Credit Derivative Contracts On Adversely Classified Credit Listing | $ 6,123 | ||
Notional Principal Outstanding Of Credit Derivative Contracts On Adversely Classified Credit Listing | $ 67,783 |
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, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Other Investments | $ 431,630 | $ 450,307 | ||
Available-for-sale Securities | $ 5,309,161 | $ 6,049,908 | ||
Ambac insured Re-remic [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Coupon rate | 2.05% | |||
Fair Value Inputs Maturity | 7 months 24 days | |||
Yield | 0.00% | |||
Asset-backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Coupon rate | 5.97% | 5.93% | ||
Fair Value Inputs Maturity | 17 years 9 days | 17 years 8 months 25 days | ||
Yield | 12.00% | 13.50% | ||
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | $ 12,561,185 | $ 11,369,112 | $ 11,497,098 | $ 13,845,454 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 782,597 | 870,935 | (545,308) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 1,010,012 | (1,892,948) | (739,919) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | (79,319) | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (604,766) | (51,254) | (344,865) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | (752,334) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 737,898 | 0 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 662,293 | 815,358 | (607,235) | |
Fair Value, Inputs, Level 3 [Member] | Ambac insured Re-remic [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Available-for-sale Securities | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Corporate Obligations [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Available-for-sale Securities | 0 | 0 | ||
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage-Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Available-for-sale Securities | 736,017 | 696,713 | ||
Fair Value, Inputs, Level 3 [Member] | RMBS Priced Using Discounted Cash Flow Approach [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Available-for-sale Securities | 26,067 | |||
Fair Value, Inputs, Level 3 [Member] | Asset-backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Available-for-sale Securities | $ 72,540 | $ 65,990 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ (579,620) | |||
Variable Interest Entity, Primary Beneficiary [Member] | United States Transactions [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Coupon rate | 5.88% | |||
Fair Value Inputs Maturity | 20 years 8 months 68 days | |||
Yield | 5.86% | |||
Variable Interest Entity, Primary Beneficiary [Member] | European Transactions [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Coupon rate | 0.40% | 0.46% | ||
Fair Value Inputs Maturity | 15 years 3 months 11 days | 16 years 1 month 28 days | ||
Yield | 4.82% | 4.95% | ||
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 | $ 2,914,145 | $ 2,622,566 | ||
Real Estate [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Other Investments | 33,154 | 33,303 | ||
Hedge Funds, Multi-strategy [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Other Investments | 53,054 | 53,985 | ||
Interest Rate Contract [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Other Investments | 136,603 | 261,315 | ||
Illiquid Investments [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Other Investments | $ 67,787 | $ 39,068 |
Fair Value Measurements - Sum80
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) - Successor [Member] $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2017USD ($)Transactions$ / shares | Dec. 31, 2016USD ($)Transactions$ / shares | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Derivative, Number of Instruments Held | Transactions | 2 | 8 |
Other [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Notional outstanding | $ 325,890 | $ 737,380 |
Weighted average reference obligation price | $ / shares | $ 99.3 | $ 93.5 |
Weighted average life (WAL) in years | 6 years 6 months | 5 years 2 months |
Weighted average credit rating | A | A- |
Weighted average relative change ratio | 23.60% | 31.60% |
CVA percentage | 9.64% | 11.14% |
Fair value of derivative liabilities | $ 566 | $ 15,349 |
Fair Value Measurements - Sum81
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Parenthetical) (Detail) | 12 Months Ended |
Dec. 31, 2017 | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |
Fair Value Measurement Process Description For Credit Derivatives Hypothetical Incremental Fee | 0.05% |
Fair Value Measurement Process Description For Credit Derivatives Hypothetical Incremental Fee With Credit Deterioration | 0.15% |
Minimum [Member] | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |
Fair Value Measurement Process Description For Credit Derivatives Base Fee | 0.20% |
Fair Value Measurement Process Description For Credit Derivatives Base Reference Obligation Spread | 0.80% |
Maximum [Member] | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | |
Fair Value Measurement Process Description For Credit Derivatives Revised Hypothetical Fee | 0.25% |
Fair Value Measurement Process Description For Credit Derivatives Revised Hypothetical Reference Obligation Spread Two | 1.00% |
Fair Value Measurements - Inf82
Fair Value Measurements - Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Estimated Future Premium Payments Weighted Average Discounted Rate | 2.50% | 2.60% | ||
Successor [Member] | Asset-backed Securities [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Fair Value Inputs Coupon Rate | 5.97% | 5.93% | ||
Fair Value Inputs Maturity | 17 years 9 days | 17 years 8 months 25 days | ||
Fair Value Inputs Yield | 12.00% | 13.50% | ||
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 | $ 12,561,185 | $ 11,369,112 | $ 11,497,098 | $ 13,845,454 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 782,597 | 870,935 | (545,308) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 1,010,012 | (1,892,948) | (739,919) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 604,766 | 51,254 | 344,865 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | (752,334) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (737,898) | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | 325,123 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 662,293 | 815,358 | (607,235) | |
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 | 808,557 | 762,703 | 488,884 | 198,201 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 65,195 | 54,600 | 30,083 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 6,392 | 40,518 | (73,559) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 29,963 | 28,682 | 25,034 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | 0 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | European ABS Transactions [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Fair Value Of Consolidated Variable Interest Entity Debt Obligations Valued Using Unobservable Inputs By Asset Class | 2,757,688 | 2,551,278 | ||
Fair Value, Inputs, Level 3 [Member] | Successor [Member] | US Commercial ABS Transaction [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Fair Value Of Consolidated Variable Interest Entity Debt Obligations Valued Using Unobservable Inputs By Asset Class | 0 | 30,942 | ||
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 | 5,979 | 7,382 | 8,696 | 12,036 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (1,403) | (1,314) | (1,635) | |
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 Sales | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | 1,705 | |
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 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Deconsolidation Of Vies | 0 | 0 | 0 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (1,403) | (1,314) | (1,635) | |
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 | (99,192) | (215,346) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 16,571 | |||
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 Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (11,365) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 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 | 0 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (25,980) | |||
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 | 0 | |||
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] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Estimated Future Premium Payments Weighted Average Discounted Rate | 3.10% | 3.60% | ||
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 | $ (579,620) | |||
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 | 0.40% | 0.46% | ||
Fair Value Inputs Maturity | 15 years 3 months 11 days | 16 years 1 month 28 days | ||
Fair Value Inputs Yield | 4.82% | 4.95% | ||
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% | |||
Fair Value Inputs Maturity | 20 years 8 months 68 days | |||
Fair Value Inputs Yield | 5.86% | |||
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 | $ 11,690,324 | 12,371,177 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 569,617 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (612,941) | |||
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 Sales | 0 | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 312,406 | |||
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 | 325,123 | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 589,634 | |||
Variable Interest Entity, Primary Beneficiary [Member] | Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | Loans Receivable [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | $ 11,529,384 | 10,658,963 | 11,690,324 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 550,021 | 1,166,898 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 1,004,284 | (1,944,821) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 683,884 | 253,438 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 547,004 | 1,166,898 | ||
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 | (2,757,688) | (2,582,220) | (3,180,170) | (1,263,664) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 35,009 | (842,748) | (1,152,681) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (254,093) | 486,218 | 93,812 | |
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 Sales | 0 | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (43,616) | (216,582) | 17,085 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | (840,552) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (737,898) | 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 | 36,851 | (842,748) | (1,161,991) | |
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 | 2,588,556 | $ 2,743,050 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (7,263) | |||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (147,231) | |||
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 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 | 0 | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (7,263) | |||
Variable Interest Entity, Primary Beneficiary [Member] | Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Successor [Member] | Corporate Debt Securities [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,914,145 | 2,622,566 | $ 2,588,556 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 70,928 | 508,873 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 253,429 | (474,863) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 32,778 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ 70,928 | $ 508,873 |
Fair Value Measurements - Sum83
Fair Value Measurements - Summary of Changes in Level 3 Fair Value Category (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivatives by Class [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | $ (100,282) | $ (99,192) | $ (215,346) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 62,847 | (15,374) | 16,571 |
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 Sales | 0 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (98,243) | (14,284) | (11,365) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | 88,218 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 |
Balance, end of period | 60,808 | (100,282) | (99,192) |
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 | (8,913) | 16,351 | 25,980 |
Investment Type [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 762,703 | 488,884 | 198,201 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 65,195 | 54,600 | 30,083 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 6,392 | 40,518 | (73,559) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 29,963 | 28,682 | 25,034 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | 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 | 808,557 | 762,703 | 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 | 0 | 0 | 0 |
Residential Mortgage-Backed Securities [Member] | Investment Type [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 696,713 | 488,884 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 262 | 46,115 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 28,950 | 27,654 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 37,658 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | 736,017 | 696,713 | 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 | 0 | 0 | |
Non-Agency RMBS [Member] | Investment Type [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 488,884 | 194,393 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 63,762 | 52,692 | 30,102 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (73,273) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 359,193 | ||
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 | 21,531 | ||
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 | 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 | 0 | ||
Corporate Debt Securities [Member] | Investment Type [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 0 | 3,808 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (19) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (286) | ||
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 Sales | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 3,503 | ||
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 | 0 | ||
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 | ||
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 | (64,649) | (141,887) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (25,130) | ||
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 Sales | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (14,150) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 88,218 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | ||
Balance, end of period | (64,649) | ||
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 | ||
Interest Rate Swaps [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 | (84,933) | (64,649) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 46,475 | (35,480) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (99,832) | (15,196) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | 61,374 | (84,933) | (64,649) |
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 | (6,716) | 35,480 | |
Credit Derivative [Member] | Derivatives by Class [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | (34,543) | (73,459) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 41,701 | ||
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 Sales | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 2,785 | ||
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 | (34,543) | ||
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 | 850 | ||
Credit Derivative [Member] | Credit Derivative [Member] | Derivatives by Class [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | (15,349) | (34,543) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 16,372 | 20,106 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 1,589 | 912 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | (566) | (15,349) | (34,543) |
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 | (2,197) | (19,129) | |
Asset-backed Securities [Member] | Investment Type [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 65,990 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 1,433 | 1,908 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 6,130 | (5,597) | 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 Sales | 0 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 1,013 | 1,028 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 70,707 | 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 | 72,540 | 65,990 | 0 |
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 | 0 | 0 |
Level 3 [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 11,369,112 | 11,497,098 | 13,845,454 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 782,597 | 870,935 | (545,308) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 1,010,012 | (1,892,948) | (739,919) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 604,766 | 51,254 | 344,865 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | (752,334) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (737,898) | 0 |
Deconsolidation of VIEs | 0 | 0 | 325,123 |
Balance, end of period | 12,561,185 | 11,369,112 | 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 | (662,293) | (815,358) | 607,235 |
Level 3 [Member] | Investments Contract [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Deconsolidation of VIEs | 0 | ||
Level 3 [Member] | Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Deconsolidation of VIEs | 0 | ||
Level 3 [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] | Investments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 762,703 | 488,884 | 198,201 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 65,195 | 54,600 | 30,083 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 6,392 | 40,518 | (73,559) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 35,781 | 99,018 | 359,193 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 79,319 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 29,963 | 28,682 | 25,034 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 47,768 | 108,365 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | 0 |
Deconsolidation of VIEs | 0 | 0 | 0 |
Balance, end of period | 808,557 | 762,703 | 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 | 0 | 0 | 0 |
Level 3 [Member] | Other Assets [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 7,382 | 8,696 | 12,036 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (1,403) | (1,314) | (1,635) |
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 Sales | 0 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | 1,705 |
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 |
Deconsolidation of VIEs | 0 | 0 | 0 |
Balance, end of period | 5,979 | 7,382 | 8,696 |
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 | 1,403 | 1,314 | 1,635 |
Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | (99,192) | (215,346) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 16,571 | ||
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 Sales | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (11,365) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 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 | 0 |
Balance, end of period | (99,192) | ||
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 | 25,980 | ||
Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | (100,282) | (99,192) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 62,847 | (15,374) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (98,243) | (14,284) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | 60,808 | (100,282) | (99,192) |
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 | (8,913) | 16,351 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
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 | 579,620 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Investments Contract [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 2,588,556 | 2,743,050 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (7,263) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (147,231) | ||
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 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 | ||
Deconsolidation of VIEs | 0 | 0 | |
Balance, end of period | 2,588,556 | ||
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 | 7,263 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 11,690,324 | 12,371,177 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 569,617 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (612,941) | ||
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 Sales | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 312,406 | ||
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 | 325,123 | |
Balance, end of period | 11,690,324 | ||
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 | (589,634) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Long-term Debt [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | (2,582,220) | (3,180,170) | (1,263,664) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 35,009 | (842,748) | (1,152,681) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (254,093) | 486,218 | 93,812 |
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 Sales | 0 | 0 | 0 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (43,616) | (216,582) | 17,085 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | (840,552) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | (737,898) | 0 |
Deconsolidation of VIEs | 0 | 0 | |
Balance, end of period | (2,757,688) | (2,582,220) | (3,180,170) |
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 | (36,851) | 842,748 | 1,161,991 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Loans Receivable [Member] | Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 10,658,963 | 11,690,324 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 550,021 | 1,166,898 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 1,004,284 | (1,944,821) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 683,884 | 253,438 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | 11,529,384 | 10,658,963 | 11,690,324 |
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 | (547,004) | (1,166,898) | |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Corporate Debt Securities [Member] | Investments Contract [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 2,622,566 | 2,588,556 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 70,928 | 508,873 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 253,429 | (474,863) | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 32,778 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Into Level Three | 0 | 0 | |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Transfers Out Of Level Three | 0 | 0 | |
Balance, end of period | 2,914,145 | 2,622,566 | $ 2,588,556 |
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 | $ (70,928) | $ (508,873) |
Fair Value Measurements - Sum84
Fair Value Measurements - Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
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 | $ (590,327) | ||
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (579,620) | ||
Net Investment Income [Member] | |||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | $ 65,195 | $ 54,600 | 30,083 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
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] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total gains or losses included in earnings for the period | 1,589 | 912 | 2,785 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | 0 | 0 |
Unrealized Gains Or Losses On Credit Derivative Contracts [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total gains or losses included in earnings for the period | 14,783 | 19,194 | 38,916 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 2,197 | 19,129 | (850) |
Interest Rate Swaps [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total gains or losses included in earnings for the period | 46,475 | (35,480) | (25,130) |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 6,716 | (35,480) | (25,130) |
Income Loss On Variable Interest Entities [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 | 655,956 | 833,023 | |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 654,783 | 833,023 | |
Other Income or (Loss) [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total gains or losses included in earnings for the period | (1,403) | (1,314) | (1,635) |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ (1,403) | $ (1,314) | $ (1,635) |
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, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | $ 5,271,818 | $ 5,931,045 |
Gross Unrealized Gains | 145,386 | 198,505 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 108,043 | 79,642 |
Estimated Fair Value | 5,309,161 | 6,049,908 |
Non - credit other - than - temporary Impairments | 23,832 | 35,232 |
Below Investment Grade Securities and Non-Rated Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Below Investment Grade Securities And Non Rated Securities Continuous Unrealized Loss Position Aggregate Losses | 100,503 | 53,273 |
Below Investment Grade Securities And Non Rated Securities Continuous Unrealized Loss Position Fair Value | 1,855,694 | 890,952 |
Corporate Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Estimated Fair Value | 2,914,145 | 2,622,566 |
Short-Term [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 557,476 | 430,827 |
Gross Unrealized Gains | 3 | 5 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 209 | 44 |
Estimated Fair Value | 557,270 | 430,788 |
Non - credit other - than - temporary Impairments | 0 | 0 |
Ambac Wrapped Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,482 | |
Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 4,614,623 | 5,435,385 |
Gross Unrealized Gains | 145,383 | 198,428 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 107,834 | 79,598 |
Estimated Fair Value | 4,652,172 | 5,554,215 |
Non - credit other - than - temporary Impairments | 23,832 | 35,232 |
Fixed Income Securities [Member] | Securities Pledged as Collateral [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 99,719 | 64,833 |
Gross Unrealized Gains | 0 | 72 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 0 |
Estimated Fair Value | 99,719 | 64,905 |
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 | 845,778 | 376,064 |
Gross Unrealized Gains | 3,456 | 5,509 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 69,400 | 7,205 |
Estimated Fair Value | 779,834 | 374,368 |
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 | 858,774 | 1,803,136 |
Gross Unrealized Gains | 6,772 | 19,589 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 5,471 | 20,560 |
Estimated Fair Value | 860,075 | 1,802,165 |
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 | 26,245 | 41,932 |
Gross Unrealized Gains | 409 | 1,303 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 111 | 100 |
Estimated Fair Value | 26,543 | 43,135 |
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 | 86,900 | 33,732 |
Gross Unrealized Gains | 261 | 2,551 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,753 | 97 |
Estimated Fair Value | 85,408 | 36,186 |
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 | 99,719 | 64,833 |
Gross Unrealized Gains | 0 | 72 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 0 |
Estimated Fair Value | 99,719 | 64,905 |
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 | 4,063 | |
Gross Unrealized Gains | 0 | |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 3 | |
Estimated Fair Value | 4,060 | |
Non - credit other - than - temporary Impairments | 0 | |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 2,214,512 | 2,284,425 |
Gross Unrealized Gains | 67,303 | 110,955 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,482 | 43,785 |
Estimated Fair Value | 2,251,333 | 2,351,595 |
Non - credit other - than - temporary Impairments | 23,832 | 35,232 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 50,754 | 113,650 |
Gross Unrealized Gains | 283 | 493 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 220 |
Estimated Fair Value | 51,037 | 113,923 |
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 | 531,660 | 778,383 |
Gross Unrealized Gains | 66,899 | 58,028 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 617 | 7,628 |
Estimated Fair Value | 597,942 | 828,783 |
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 | 5,172,099 | 5,866,212 |
Gross Unrealized Gains | 145,386 | 198,433 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 108,043 | 79,642 |
Estimated Fair Value | 5,209,442 | 5,985,003 |
Non - credit other - than - temporary Impairments | $ 23,832 | $ 35,232 |
Investments - Summary of Amor86
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, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost, Due in one year or less | $ 714,761 | |
Amortized Cost, Due after one year through five years | 556,370 | |
Amortized Cost, Due after five years through ten years | 376,420 | |
Amortized Cost, Due after ten years | 827,341 | |
Amortized Cost, Total | 2,474,892 | |
Amortized Cost | 5,271,818 | $ 5,931,045 |
Estimated Fair Value, Due in one year or less | 714,507 | |
Estimated Fair Value, Due after one year through five years | 556,387 | |
Estimated Fair Value, Due after five years through ten years | 376,686 | |
Estimated Fair Value, Due after ten years | 761,269 | |
Estimated Fair Value due, Total | 2,408,849 | |
Fixed income securities | $ 5,309,161 | $ 6,049,908 |
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, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 1,988,778 | $ 1,491,493 |
Less than 12 Months, Gross Unrealized Loss | 86,480 | 29,944 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 633,662 | 788,764 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 21,563 | 49,698 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,622,440 | 2,280,257 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 108,043 | 79,642 |
Short-Term [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 251,926 | 65,176 |
Less than 12 Months, Gross Unrealized Loss | 209 | 44 |
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 | 251,926 | 65,176 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 209 | 44 |
Fixed Income Investments And Other Investments [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 108,043 | 79,642 |
Fixed Income Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 1,736,852 | 1,426,317 |
Less than 12 Months, Gross Unrealized Loss | 86,271 | 29,900 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 633,662 | 788,764 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 21,563 | 49,698 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,370,514 | 2,215,081 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 107,834 | 79,598 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 667,335 | 98,147 |
Less than 12 Months, Gross Unrealized Loss | 68,578 | 2,045 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 32,525 | 122,928 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 822 | 5,160 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 699,860 | 221,075 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 69,400 | 7,205 |
Fixed Income Securities [Member] | Corporate Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 292,028 | 963,513 |
Less than 12 Months, Gross Unrealized Loss | 3,377 | 20,232 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 87,272 | 6,492 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 2,094 | 328 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 379,300 | 970,005 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 5,471 | 20,560 |
Fixed Income Securities [Member] | Foreign Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 8,122 | 5,063 |
Less than 12 Months, Gross Unrealized Loss | 81 | 100 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,700 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 30 | 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 9,822 | 5,063 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 111 | 100 |
Fixed Income Securities [Member] | U.S. Government Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 74,188 | 6,037 |
Less than 12 Months, Gross Unrealized Loss | 1,653 | 93 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 5,525 | 5,045 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 100 | 4 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 79,713 | 11,082 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 1,753 | 97 |
Fixed Income Securities [Member] | U.S. Agency Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 4,060 | |
Less than 12 Months, Gross Unrealized Loss | 3 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 0 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 4,060 | |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 3 | |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 668,524 | 226,889 |
Less than 12 Months, Gross Unrealized Loss | 12,524 | 7,201 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 418,617 | 550,807 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 17,958 | 36,584 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,087,141 | 777,696 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,482 | 43,785 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 6,986 | |
Less than 12 Months, Gross Unrealized Loss | 23 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 25,780 | |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 197 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 32,766 | |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 0 | 220 |
Fixed Income Securities [Member] | Other Asset-Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 26,655 | 115,622 |
Less than 12 Months, Gross Unrealized Loss | 58 | 203 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 88,023 | 77,712 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 559 | 7,425 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 114,678 | 193,334 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 617 | 7,628 |
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 | 0 | 0 |
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 | $ 0 | $ 0 |
Investments - Additional Inform
Investments - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Investment [Line Items] | |||
Cash recoveries | $ 995,000 | ||
Securities fair value | $ 5,974 | 5,872 | |
Fair value of securities held by bankruptcy remote trust | 346,212 | 360,759 | |
Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 431,630 | 450,307 | |
Unrealized losses on securities | 86,480 | 29,944 | |
Other investments | 23,179 | 32,318 | $ 16,952 |
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 108,043 | 79,642 | |
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 | 1,855,694 | 890,952 | |
Gross unrealized loss | 100,503 | 53,273 | |
Ambac Wrapped Securities [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Available For Sale Securities Gross Unrealized Loss Accumulated In Investments | 30,482 | ||
Gains (losses) on securities held as of reporting date [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other investments | 13,388 | 20,180 | $ 7,649 |
Real Estate [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 33,154 | 33,303 | |
Hedge Funds, Multi-strategy [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 53,054 | 53,985 | |
Interest Rate Contract [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 136,603 | 261,315 | |
Illiquid Investments [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 67,787 | 39,068 | |
Insurance Linked [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 22,666 | 0 | |
Equity [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 53,675 | 32,633 | |
Equity investments in pooled funds [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | 366,939 | 420,304 | |
Reported Value Measurement [Member] | Interest Rate Contract [Member] | Successor [Member] | |||
Investment [Line Items] | |||
Other Investments | $ 2,823 | $ 51,158 |
Investments - Summary of Amount
Investments - Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Investment [Line Items] | ||||||||||||
Foreign exchange (losses) gains | $ 21,116 | $ (39,128) | $ (17,010) | |||||||||
Successor [Member] | ||||||||||||
Investment [Line Items] | ||||||||||||
Gross realized gains on securities | $ 29,080 | 17,344 | 58,218 | |||||||||
Gross realized losses on securities | (18,945) | (8,239) | (10,558) | |||||||||
Foreign exchange (losses) gains | (4,769) | 30,179 | 5,816 | |||||||||
Net realized (losses) gains | 5,366 | 39,284 | 53,476 | |||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | $ 956 | $ 13,510 | $ 1,763 | $ 3,942 | $ 2,191 | $ 2,853 | $ 7,441 | $ 9,334 | $ (20,171) | $ (21,819) | $ (25,659) |
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) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Balance at beginning | $ 52,070 | $ 31,176 | $ 14,062 |
Additions for credit impairments recognized on: | |||
Securities not previously impaired | 3,310 | 3,572 | 10,900 |
Securities previously impaired | 11,705 | 17,322 | 6,214 |
Reductions for credit impairments previously recognized on: | |||
Balance at end | $ 67,085 | $ 52,070 | $ 31,176 |
Investments - Summary of Source
Investments - Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Investment [Line Items] | ||
Fair Value Of Securities Deposited With Governmental Authorities | $ 5,974 | $ 5,872 |
Securities Held To Collateralize And Fund Repayment Of Debt Issued Through Resecuritization Transaction Fair Value | 346,212 | 360,759 |
Successor [Member] | Cash and Securities Pledged Directly from Investment Portfolio [Member] | ||
Investment [Line Items] | ||
Fair Value of Cash and Underlying Securities | 120,645 | 291,545 |
Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties | 0 | 88,940 |
Fair Value of Cash and Securities Pledged to Derivative Counterparties | $ 120,645 | $ 202,605 |
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, 2017 | Dec. 31, 2016 |
Standard & Poor's, AA Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 5,998 | $ 25,660 |
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 | 20,733 | 38,687 |
Standard & Poor's, BBB+ Rating [Member] | MBIA Insurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,630 | |
Standard & Poor's, CC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 3,468,993 | |
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 | 3,442,262 | 2,820,724 |
Standard & Poor's, CCC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,887,701 | |
Municipal Bonds [Member] | Standard & Poor's, AA Rating [Member] | Assured Guaranty Municipal Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 5,998 | 25,660 |
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 | 20,733 | 38,687 |
Municipal Bonds [Member] | Standard & Poor's, CC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 733,446 | |
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 | 706,715 | 81,651 |
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 | 145,998 | |
Corporate Debt Securities [Member] | Standard & Poor's, AA Rating [Member] | Assured Guaranty Municipal 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, 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, BBB+ Rating [Member] | MBIA Insurance Corporation [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,630 | |
Corporate Debt Securities [Member] | Standard & Poor's, CC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 32,660 | |
Corporate Debt 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 | 32,660 | |
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 | 2,630 | |
Mortgage and Asset-Backed Securities [Member] | Standard & Poor's, CC Rating [Member] | ||
Investment [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2,702,887 | |
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 | $ 2,702,887 | 2,739,073 |
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 | $ 2,739,073 |
Investments - Summary of Fair93
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, 2017 | Dec. 31, 2016 |
Ambac UK [Member] | ||
Investment [Line Items] | ||
Asset-backed securities fair value | $ 170,280 | $ 118,813 |
Investments - Summary of Net In
Investments - Summary of Net Investment Income (Detail) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Investment [Line Items] | |||||||||||
Net Realized and Unrealized Gain (Loss) on Trading Securities | $ 18,242 | $ 27,654 | $ 12,615 | ||||||||
Trading Securities, Realized Gain (Loss) | 4,854 | 7,474 | 4,966 | ||||||||
Fixed income securities | 337,454 | 288,554 | 257,404 | ||||||||
Short-term investments | 7,898 | 1,505 | 299 | ||||||||
Loans | 520 | 337 | 420 | ||||||||
Investment expense | (8,098) | (9,347) | (8,786) | ||||||||
Securities available-for-sale and short-term | 337,774 | 281,049 | 249,337 | ||||||||
Other investments | 23,179 | 32,318 | 16,952 | ||||||||
Total net investment income | $ 107,057 | $ 87,177 | $ 85,160 | $ 81,559 | $ 90,871 | $ 90,917 | $ 70,758 | $ 60,821 | 360,953 | 313,367 | 266,289 |
Gains (losses) on securities held as of reporting date [Member] | |||||||||||
Investment [Line Items] | |||||||||||
Other investments | $ 13,388 | $ 20,180 | $ 7,649 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Gross Fair Values of Individual Derivative Instruments (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||
Collateral Variation Margin | $ 71,023 | |
Gross Amounts of Recognized Assets, Derivative Assets | 73,826 | $ 139,581 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 83,409 | 381,125 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 627 | 61,839 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 627 | 61,839 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 73,199 | 77,742 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 82,782 | 319,286 |
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 | 81,260 | 156,925 |
Net Amount, Derivative Assets | 73,199 | 77,742 |
Net Amount, Derivative Liabilities | 1,522 | 162,361 |
Variable Interest Entities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets, Derivative Assets | 54,877 | 80,407 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 2,205,264 | 2,078,601 |
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 | 54,877 | 80,407 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 2,205,264 | 2,078,601 |
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 | 0 | 0 |
Net Amount, Derivative Assets | 54,877 | 80,407 |
Net Amount, Derivative Liabilities | 2,205,264 | 2,078,601 |
Interest Rate Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets, Derivative Assets | 73,826 | 139,045 |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 81,495 | 365,776 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 627 | 61,839 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 627 | 61,839 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 73,199 | 77,206 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 80,868 | 303,937 |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 79,912 | 156,925 |
Net Amount, Derivative Assets | 73,199 | 77,206 |
Net Amount, Derivative Liabilities | 956 | 147,012 |
Interest Rate Swaps [Member] | Variable Interest Entities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 2,205,264 | 2,078,601 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 2,205,264 | 2,078,601 |
Net Amount, Derivative Liabilities | 2,205,264 | 2,078,601 |
Futures Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets, Derivative Assets | 536 | |
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 1,348 | |
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 | 536 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,348 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 1,348 | |
Net Amount, Derivative Assets | 536 | |
Net Amount, Derivative Liabilities | 0 | |
Credit Derivatives [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Liabilities, Derivative Liabilities | 566 | 15,349 |
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 Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 566 | 15,349 |
Net Amount, Derivative Liabilities | 566 | 15,349 |
Currency Swaps [Member] | Variable Interest Entities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets, Derivative Assets | 54,877 | 80,407 |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | |
Gross Amounts Offset in the Consolidated Balance Sheet, Derivative Assets / Liabilities | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 54,877 | 80,407 |
Net Amount, Derivative Assets | $ 54,877 | $ 80,407 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Derivative, Net Liability Position, Aggregate Fair Value | $ 79,912 | $ 82,944 |
Derivative, Collateral, Right to Reclaim Cash | 20,926 | 137,701 |
Collateral Already Posted, Aggregate Fair Value | $ 111,391 | $ 128,754 |
Derivative Instruments - Summ97
Derivative Instruments - Summary of Location and Amount of Gains and Losses of Derivative Contracts (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ (76,257) | $ (545,731) | $ 270,917 |
Net Change in Fair Value of Credit Derivatives [Member] | Credit Derivatives [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 16,372 | 20,106 | 41,701 |
Derivative Products [Member] | Interest Rate Swaps [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 48,870 | (50,082) | (41,177) |
Derivative Products [Member] | Futures Contracts [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 10,695 | (191) | (1,367) |
Derivative Products [Member] | Financial Services Derivatives Products [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 59,565 | (50,273) | (42,544) |
Income Loss On Variable Interest Entities [Member] | Variable Interest Entity [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | (152,194) | (515,564) | 271,760 |
Income Loss On Variable Interest Entities [Member] | Interest Rate Swaps [Member] | Variable Interest Entity [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | (126,664) | (574,554) | 168,003 |
Income Loss On Variable Interest Entities [Member] | Currency Swaps [Member] | Variable Interest Entity [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ (25,530) | $ 58,990 | $ 103,757 |
Derivative Instruments - Summ98
Derivative Instruments - Summary of Gross Principal Notional Outstanding for CDS Contracts (Detail) - Other Derivatives [Member] - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Ambac Rating | ||
Notional outstanding | $ 325,890 | $ 737,380 |
AAA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 0 |
AA Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 175,765 | 315,201 |
A Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 0 | 227,146 |
BBB Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | 150,125 | 127,250 |
Below Investment Grade Rating [Member] | ||
Ambac Rating | ||
Notional outstanding | $ 0 | $ 67,783 |
Derivative Instruments - Summ99
Derivative Instruments - Summarize Information by Major Category of CDS Contracts (Detail) - Transactions | Dec. 31, 2017 | Dec. 31, 2016 |
Successor [Member] | ||
Summary of information by major category of CDS contracts | ||
Number of CDS transactions | 2 | 8 |
Derivative Instruments - Sum100
Derivative Instruments - Summary of Notional Amounts of AFS's Trading Derivative Products (Detail) - AFS [Member] - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
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 | $ 379,497 | $ 973,130 |
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 | 1,428,264 | 1,874,678 |
Futures Contracts [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 1,655,000 | $ 195,000 |
Derivative Instruments - Sum101
Derivative Instruments - Summary of Notional for VIE Derivatives Outstanding (Detail) - Variable Interest Entity, Primary Beneficiary [Member] - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
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 | $ 1,483,491 | $ 1,352,010 |
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 | 2,479,244 | 2,300,584 |
Currency Swaps [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 394,541 | 312,357 |
Credit Derivatives [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 12,100 | $ 12,059 |
Loans (Details)
Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate On Term Loan | 4.53% | |
Loan Maturity Date | Jun. 30, 2026 | |
Loans, Unpaid principal balance | $ 20,184 | $ 4,873 |
Minimum [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate On Term Loan | 0.00% | |
Maximum [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate On Term Loan | 4.58% | |
Loan Maturity Date | Dec. 15, 2046 |
Long-Term Debt (Details)
Long-Term Debt (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||||
Jul. 31, 2015 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | May 01, 2013 | May 19, 2011 | |
Debt Instrument [Line Items] | ||||||||||||||
Secured Debt | $ 73,993 | $ 102,403 | $ 73,993 | $ 102,403 | ||||||||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | |||||||||||||
Secured Debt [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Face Amount | $ 73,993 | 102,986 | $ 73,993 | 102,986 | ||||||||||
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 | $ 108,134 | 11,804 | $ 108,134 | 11,804 | ||||||||||
Net realized gains (losses) on extinguishment of debt | 3,603 | 1,677 | ||||||||||||
Debt Instrument, Face Amount | $ 754,811 | 862,945 | $ 754,811 | 862,945 | ||||||||||
5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 10.50% | 10.50% | ||||||||||||
Debt Instrument, Repurchased Face Amount | $ 39,102 | $ 39,102 | ||||||||||||
Net realized gains (losses) on extinguishment of debt | 212 | |||||||||||||
Debt Instrument, Face Amount | 0 | $ 39,102 | 0 | $ 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 | 370,237 | $ 374,036 | 370,237 | $ 374,036 | ||||||||||
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 | |||||||||||||
Debt Instrument, Face Amount | 20,237 | $ 24,037 | 20,237 | 24,037 | ||||||||||
Extinguishment of Debt, Amount | 3,799 | $ 4,002 | ||||||||||||
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% | ||||||||||||
Successor [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 991,696 | $ 1,114,405 | 991,696 | $ 1,114,405 | ||||||||||
Net realized gains (losses) on extinguishment of debt | 0 | $ 0 | $ 2,179 | $ 2,741 | 0 | $ 24 | $ 3,586 | $ 1,235 | 4,920 | 4,845 | $ 81 | |||
Successor [Member] | Ambac Assurance Corporation [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 991,696 | 1,114,405 | 991,696 | 1,114,405 | ||||||||||
Secured Debt | 73,993 | 102,403 | 73,993 | 102,403 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Surplus Notes, General Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 668,667 | 730,648 | 668,667 | 730,648 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Surplus Notes, Segregated Account, Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 0 | 33,107 | 0 | 33,107 | ||||||||||
Successor [Member] | Ambac Assurance Corporation [Member] | 5.1% Junior Surplus Notes, Segregated Account Due 2020 [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Long-term debt | 249,036 | $ 248,247 | 249,036 | $ 248,247 | ||||||||||
Successor [Member] | Variable Interest Entities [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Stated Percentage | 6.65% | 6.65% | ||||||||||||
Long-term debt | $ 12,160,544 | $ 11,155,936 | $ 12,160,544 | $ 11,155,936 | ||||||||||
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 | $ 9,387,884 | $ 8,854,530 | $ 9,387,884 | $ 8,854,530 | ||||||||||
Long-term Debt, Maturities, Repayments of Principal in Next Twelve Months | 141,327 | 141,327 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 307,915 | 307,915 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 44,100 | 44,100 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 94,024 | 94,024 | ||||||||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | $ 0 | $ 0 | ||||||||||||
Consolidated Variable Interest Entities [Member] | Minimum [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 0.96% | 0.82% | 0.96% | 0.82% | ||||||||||
Consolidated Variable Interest Entities [Member] | Maximum [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Debt Instrument, Interest Rate, Effective Percentage | 8.35% | 13.00% | 8.35% | 13.00% | ||||||||||
London Interbank Offered Rate (LIBOR) [Member] | ||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||
Interest Rate on Securities Issued by Delaware Trust | 2.80% |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2011 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Tax Credit Carryforward [Line Items] | ||||
Tolling Payment Payable to AFG | $ 30,496 | $ 28,691 | ||
Impact of AMT Repeal on Current Taxes | $ 29,581 | |||
Congressional Budget Sequestration Haircut | 6.60% | |||
Impact of new Tax Law on Deferred Taxes | $ 31,418 | |||
Net Impact of New Tax Law | $ 1,886 | |||
AMT Installment Payment End Date | Dec. 31, 2021 | |||
Tolling Payment Payable to AFG | $ 31,133 | 28,691 | ||
Unrecognized Tax Benefits, Interest on Income Taxes Accrued | 0 | $ 0 | $ 0 | |
NOL allocated amount | $ 3,650,000 | 3,694,844 | ||
AFG [Member] | ||||
Tax Credit Carryforward [Line Items] | ||||
NOL allocated amount | 1,412,639 | |||
Percentage Of Notional Federal Tax Liability | 50.00% | |||
U. S. Federal Net Operating Tax [Member] | ||||
Tax Credit Carryforward [Line Items] | ||||
NOL allocated amount | $ 3,694,844 | |||
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, 2032 |
Income Taxes - Significant Port
Income Taxes - Significant Portions of Deferred Tax Liabilities and Deferred Tax Assets (Detail) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Schedule of Deferred Income Tax Assets and Liabilities [Line Items] | ||
Deferred Tax Assets, Net of Valuation Allowance | $ 256,707 | $ 523,664 |
Deferred tax assets: | ||
Net operating loss and capital carryforward | 775,917 | 1,409,565 |
Loss reserves | 236,237 | 224,553 |
Deferred Tax Assets, Tax Deferred Expense, Compensation and Benefits, Employee Compensation | 5,585 | 4,759 |
Deferred Tax Assets, Tax Credit Carryforwards | 0 | 31,532 |
Other | 2,140 | 11,967 |
Sub total deferred tax assets | 1,019,879 | 1,682,376 |
Valuation allowance | 763,172 | 1,158,712 |
Total deferred tax assets | (33,659) | (1,720) |
Insurance intangible | 177,864 | 336,728 |
Variable interest entities | 22,817 | 46,343 |
Investments | 28,798 | 38,656 |
Unearned premiums and credit fees | 51,485 | 68,682 |
Undistributed Earnings of Foreign Subsidiaries | 0 | 30,699 |
Other | 9,402 | 4,276 |
Deferred Tax Liabilities, Gross, Noncurrent | $ 290,366 | $ 525,384 |
Income Taxes Income Taxes - Pro
Income Taxes Income Taxes - Provision for Income Taxes Charged To Income From Continuing Operations (Details) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Provision for Income Taxes [Line Items] | |||
Current Income Tax Expense (Benefit) | $ 13,045 | $ 30,729 | $ 17,077 |
Current Federal Tax Expense (Benefit) | (29,581) | 3,934 | 16,893 |
Current State and Local Tax Expense (Benefit) | 2,013 | 707 | 182 |
Current Foreign Tax Expense (Benefit) | 40,613 | 26,088 | 2 |
Deferred Income Tax Expense (Benefit) | 31,419 | (20) | 287 |
Income tax expense (benefit) | $ 44,464 | $ 30,709 | $ 17,364 |
Income Taxes Income Taxes - Eff
Income Taxes Income Taxes - Effect of Income Taxes on Net Income and Stockholders' Equity (Details) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Income Tax Expense (Benefit) [Roll Forward] | |||
Income tax expense (benefit) | $ 44,464 | $ 30,709 | $ 17,364 |
Net Unrealized Losses On Securities Tax Effect | (30,838) | 41,602 | (55,906) |
Valuation Allowances And Reserves Charged To Equity | 4,616 | 13,647 | (71,774) |
Income Tax Effects Allocated Directly to Equity | 44,464 | 30,709 | 17,364 |
Unrealized Loss on FX Tax Effect | 25,776 | (58,527) | (15,628) |
Change in Retirement Benefits Tax Effect | $ 446 | $ 3,278 | $ (240) |
Income Taxes Income Taxes - 108
Income Taxes Income Taxes - Effective Tax Rates Differing From Prevailing Federal Corporate Income Tax Rates (Details) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Reconciliation of Effective Tax Rates [Line Items] | ||||
Tax on income from continuing operations at statutory rate | $ (99,488) | $ 36,759 | $ 178,521 | |
Tax on income from continuing operations at statutory rate,tax rate | 35.00% | 35.00% | 35.00% | |
Tax-exempt interest | $ (6,004) | $ (1,561) | $ (1,454) | |
Tax-exempt interest, tax rate | 2.10% | (1.50%) | (0.30%) | |
Effective Income Tax Rate Reconciliation, Nondeductible Expense, Amortization, Amount | $ 0 | $ 0 | $ 180,079 | |
Effective Income Tax Rate Reconciliation, Nondeductible Expense, Amortization, Percent | 0.00% | 0.00% | 35.30% | |
Derivative, Gain (Loss) on Derivative, Net | $ (76,257) | $ (545,731) | $ 270,917 | |
Valuation allowance | $ 127,675 | $ 139,584 | $ (340,133) | |
Valuation allowance, tax rate | (44.90%) | 132.90% | (66.70%) | |
Foreign taxes | $ (17,742) | $ 26,183 | $ 288 | |
Foreign taxes, tax rate | 6.20% | 24.90% | 0.10% | |
Effective Income Tax Rate Reconciliation, Prior Year Income Taxes, Amount | $ 36,124 | $ (171,687) | $ 0 | |
Effective Income Tax Rate Reconciliation, Prior Year Income Taxes, Percent | (12.70%) | (163.50%) | 0.00% | |
Other, net | $ 2,013 | $ 1,431 | $ 63 | |
Other, net, tax rate | (0.70%) | 1.40% | 0.00% | |
Income tax expense (benefit) | $ 44,464 | $ 30,709 | $ 17,364 | |
Effective Income Tax Rate Reconciliation, Percent | (15.60%) | 29.20% | 3.40% | |
Income Tax Reconciliation Tax Bankruptcy Adjustments | $ 1,886 | $ 0 | $ 0 | |
Effective income Tax Reconciliation Tax Bankruptcy Adjustments | (0.70%) | 0.00% | 0.00% | |
Financial Services Derivatives Products [Member] | Derivative Products [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ 59,565 | $ (50,273) | $ (42,544) | |
Futures Contracts [Member] | Derivative Products [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | 10,695 | (191) | (1,367) | |
Credit Derivatives [Member] | Net Change in Fair Value of Credit Derivatives [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | 16,372 | 20,106 | 41,701 | |
Interest Rate Swaps [Member] | Derivative Products [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | 48,870 | (50,082) | (41,177) | |
Variable Interest Entity, Primary Beneficiary [Member] | Income Loss On Variable Interest Entities [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | (152,194) | (515,564) | 271,760 | |
Variable Interest Entity, Primary Beneficiary [Member] | Currency Swaps [Member] | Income Loss On Variable Interest Entities [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | (25,530) | 58,990 | 103,757 | |
Variable Interest Entity, Primary Beneficiary [Member] | Interest Rate Swaps [Member] | Income Loss On Variable Interest Entities [Member] | ||||
Reconciliation of Effective Tax Rates [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ (126,664) | $ (574,554) | $ 168,003 |
Income Taxes Income Taxes - Rec
Income Taxes Income Taxes - Reconciliation of Unrecognized Tax Benefits (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Reconciliation of Unrecognized Tax Benefits [Line Items] | |||
Unrecognized Tax Benefits, Interest on Income Taxes Accrued | $ 0 | $ 0 | $ 0 |
Reconciliation of Unrecognized Tax Benefits [Roll Forward] | |||
UnrecognizedTaxBenefitsInterestOnIncomeTaxesPaid | 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 |
Income Taxes Income Taxes - NOL
Income Taxes Income Taxes - NOL Usage Table (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | 24 Months Ended | 36 Months Ended | |
Sep. 30, 2011 | Dec. 31, 2017 | Dec. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2017 | |
Net Income Loss Reconciliation [Line Items] | |||||
TierABCCredit | $ 5,000 | $ 5,000 | |||
TierABCredit | (10,000) | ||||
NOL allocated amount | $ 3,650,000 | 3,694,844 | $ 3,694,844 | ||
Tolling Payment to AFG | 637 | $ 71,454 | $ 100,145 | 637 | |
Tolling Payment Payable to AFG | 30,496 | 28,691 | 30,496 | ||
Tolling Payment Payable to AFG | $ 31,133 | 28,691 | $ 31,133 | ||
Tier C Tolling Payment Payable to IRS | 12.50% | 12.50% | |||
Tier D Tolling Payments Payable to IRS | 17.50% | 17.50% | |||
Ambac Assurance [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
AACNetTaxableIncome | $ 1,367,795 | ||||
NOL allocated amount | $ 2,282,205 | 2,282,205 | |||
AACNetTaxableIncomeFromTierB | $ 607,124 | 888,795 | |||
Percentage Of Notional Federal Tax Liability | 25.00% | ||||
AFG [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
NOL allocated amount | 1,412,639 | 1,412,639 | |||
Percentage Of Notional Federal Tax Liability | 50.00% | ||||
Tier A [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
NOL allocated amount | $ 479,000 | $ 479,000 | 479,000 | ||
NOL applicable percentage | 15.00% | ||||
Tier B [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
NOL allocated amount | $ 1,057,000 | $ 1,057,000 | 1,057,000 | ||
NOL applicable percentage | 40.00% | ||||
Tier C [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
NOL allocated amount | $ 1,057,000 | 1,057,000 | |||
NOL applicable percentage | 10.00% | ||||
Tier D [Member] | |||||
Net Income Loss Reconciliation [Line Items] | |||||
NOL allocated amount | $ 1,057,000 | $ 1,057,000 | |||
NOL applicable percentage | 15.00% |
Income Taxes Schedule of Income
Income Taxes Schedule of Income Before Income Taxes (Details) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Income Before Income Tax, Domestic and Foreign [Line Items] | |||||||||||
Income (Loss) from Continuing Operations before Income Taxes, Domestic | $ (450,978) | $ 77,161 | $ 337,753 | ||||||||
Income (Loss) from Continuing Operations before Income Taxes, Foreign | 166,727 | 27,865 | 172,305 | ||||||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | $ (6,917) | $ (185,466) | $ 13,992 | $ (105,860) | $ (86,059) | $ 116,720 | $ 61,511 | $ 12,854 | $ (284,251) | $ 105,026 | $ 510,058 |
Income Taxes Impact of New Tax
Income Taxes Impact of New Tax Legislation (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
Impact of AMT Repeal on Current Taxes | $ 29,581 |
Employment Benefit Plans Postre
Employment Benefit Plans Postretirement Health Care and Other Benefits (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Unfunded Accumulated Postretirement Benefit Obligations Determined By Company | $ 7,820 | ||
Defined Benefit Plan, Effect of One Percentage Point Increase on Accumulated Postretirement Benefit Obligation | 182 | ||
Defined Benefit Plan, Effect of One Percentage Point Increase on Service and Interest Cost Components | 11 | ||
Defined Benefit Plan, Effect of One Percentage Point Decrease on Accumulated Postretirement Benefit Obligation | 258 | ||
Defined Benefit Plan, Effect of One Percentage Point Decrease on Service and Interest Cost Components | $ 17 | ||
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Discount Rate | 3.50% | 4.00% | |
Defined Benefit Plan, Expected Future Benefit Payment, Next Twelve Months | $ 282 | ||
Defined Benefit Plan, Expected Future Benefit Payment, Year Two | 311 | ||
Defined Benefit Plan, Expected Future Benefit Payment, Year Three | 327 | ||
Defined Benefit Plan, Expected Future Benefit Payment, Year Four | 353 | ||
Defined Benefit Plan, Expected Future Benefit Payment, Year Five | 387 | ||
Defined Benefit Plan, Expected Future Benefit Payment, Five Fiscal Years Thereafter | 2,452 | ||
Defined Benefit Plan, Benefit Obligation | $ 4,112 | ||
Maximum [Member] | |||
Defined Benefit Plan, Health Care Cost Trend Rate Assumed, Next Fiscal Year | 5.60% | ||
Minimum [Member] | |||
Defined Benefit Plan, Health Care Cost Trend Rate Assumed, Next Fiscal Year | 4.50% | ||
Successor [Member] | |||
Postemployment Benefits, Period Expense | $ 4,164 | $ 8,846 | $ 2,570 |
Employment Benefit Plans Saving
Employment Benefit Plans Savings Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Defined Contribution Plan, Maximum Annual Contributions Per Employee, Percent | 3.00% | ||
Defined Contribution Plan, Cost | $ 691 | $ 911 | $ 1,042 |
Minimum [Member] | |||
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay | 100.00% | ||
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% |
Employment Benefit Plans Stock
Employment Benefit Plans Stock Compensation (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
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 | 2,793,323 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Other Labor-related Expenses | $ 1,565 | $ 1,790 | $ 892 |
Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Allocated Share-based Compensation Expense | 4,293 | 5,253 | 3,105 |
Total stock-based compensation (after-tax) | 4,293 | 5,194 | 3,105 |
Employee Stock Option [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Allocated Share-based Compensation Expense | 0 | 0 | 956 |
Restricted Stock Units (RSUs) [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Allocated Share-based Compensation Expense | 1,640 | 3,463 | 1,257 |
Performance Shares [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Allocated Share-based Compensation Expense | 2,653 | 1,790 | 892 |
Ambac UK [Member] | Performance Shares [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Other Labor-related Expenses | 2,159 | 283 | 253 |
Accounting Standards Update 2016-09 [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | (137) | ||
Retained Earnings [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Allocated Share-based Compensation Expense | 0 | $ 0 | $ 0 |
Retained Earnings [Member] | Accounting Standards Update 2016-09 [Member] | Successor [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ (137) |
Employment Benefit Plans Sto116
Employment Benefit Plans Stock Options (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2015 | Dec. 31, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Expiration Period | 7 years | ||
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 | 1 year 2 months 23 days | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Weighted Average Remaining Contractual Term | 1 year 2 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 | 126,667 | 143,334 | |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Net of Forfeitures | 0 | ||
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 | (16,667) | ||
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 | $ 24.03 | $ 23.64 | |
Share-based Compensation Arrangements by Share-based Payment Award, Options, Grants in Period, Weighted Average Exercise Price | 0 | ||
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 | $ 20.63 | ||
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 | 126,667 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Weighted Average Exercise Price | $ 24.03 | ||
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% | ||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Volatility Rate | 42.80% | ||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Dividend Rate | 0.00% | ||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Term | 4 years 1 month 17 days | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Nonvested, Weighted Average Grant Date Fair Value | $ 8.69 |
Employment Benefit Plans Restri
Employment Benefit Plans Restricted Stock Units (Details) | 12 Months Ended | |||
Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($)$ / shares | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
2013 RSU Award First Vesting Percent | 50.00% | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | ||||
2013 RSU Award Second Vesting Percent | 50.00% | |||
2015 CEO RSU Award Vesting Period | 3 | |||
2016 CEO RSU Award Vesting Period | 3 | |||
2016 RSU Award Vesting Periods | 3 | |||
2017 RSU Award Vesting Periods | 2 | |||
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 | $ | $ 478,000 | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition | 7 months | |||
Successor [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsRestrictedStockUnitsVestedNumberSettledNextYear | 103,486 | |||
Payments Related to Tax Withholding for Share-based Compensation | $ | $ 1,268,000 | $ 0 | $ 0 | |
Share Based Compensation Arrangement By Share Based Payment Award Equity Instruments Restricted Stock Units Vested Number | 153,149 | 57,950 | ||
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 | 102,794 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 68,654 | 102,794 | ||
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 | $ | $ 56,410 | |||
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 | 264,230 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 70,432 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 112,859 | |||
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 | 221,803 | 264,230 | ||
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 | $ 16.47 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ / shares | 20.22 | $ 14.34 | $ 23.71 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ / shares | 13.96 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ / shares | 0 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ / shares | $ 18.93 | $ 16.47 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ | $ 2,536,000 | $ 2,965,000 | $ 864,000 |
Employment Benefit Plans Perfor
Employment Benefit Plans Performance Units (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
PSUUnrecognizedCompensationYearstoGo | 1 year 7 months 5 days | |
PerformanceStockUnitsUnrecognizedCompensationExpense | $ 3,523 | |
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 | 75 days | 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] | ||
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 | 102,794 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 68,654 | |
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 | 227,073 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 153,317 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (38,464) | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (26,378) | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 322,943 | |
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 | $ 21.29 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | 22.35 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | 29.78 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | 20.26 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 21.06 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Period Increase (Decrease) | 7,395 | |
ShareBasedCompensationArrangementByShareBasedPaymentAwardEquityInstrumentsOtherThanOptionsIncrease(Decrease)WeightedAverageGrantDateFairValue | $ 29.78 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Loss Contingencies [Line Items] | |||
Litigation Settlement, Amount Awarded from Other Party | $ 995,000 | ||
Gain Contingency, Unrecorded Amount | $ 1,400,000 | ||
CITIGROUP GLOBAL MARKETS [Member] | |||
Loss Contingencies [Line Items] | |||
Gain Contingency, Unrecorded Amount | 285,000 | ||
Other Party [Domain] | |||
Loss Contingencies [Line Items] | |||
Gain Contingency, Unrecorded Amount | 2,550 | ||
Successor [Member] | |||
Loss Contingencies [Line Items] | |||
Operating Leases, Rent Expense | 2,717 | $ 3,008 | $ 5,746 |
Operating Leases, Future Minimum Payments Due, Next Twelve Months | 6,794 | ||
Operating Leases, Future Minimum Payments, Due in Two Years | 5,563 | ||
Operating Leases, Future Minimum Payments, Due in Three Years | 1,929 | ||
Operating Leases, Future Minimum Payments, Due in Four Years | 1,566 | ||
Operating Leases, Future Minimum Payments, Due in Five Years | 1,569 | ||
Operating Leases, Future Minimum Payments, Due Thereafter | 11,765 | ||
Operating Leases, Future Minimum Payments Due | 29,186 | ||
Minimum [Member] | |||
Loss Contingencies [Line Items] | |||
Loan from Commonwealth of Puerto Rico to PREPA | 550,000 | ||
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Loan from Commonwealth of Puerto Rico to PREPA | 1,300,000 | ||
Amended Amount [Domain] | |||
Loss Contingencies [Line Items] | |||
Loan from Commonwealth of Puerto Rico to PREPA | 1,000,000 | ||
Final Amount [Domain] | |||
Loss Contingencies [Line Items] | |||
Loan from Commonwealth of Puerto Rico to PREPA | $ 300,000 |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] - USD ($) | 3 Months Ended | |
Mar. 31, 2018 | Feb. 12, 2018 | |
Discount on Deferred Amounts Resulting in Adjustment to Loss Reserves | $ 288,000,000 | |
Cancellation of Surplus Notes and Accrued Interest | 809,520,000 | |
Debt Modification Criteria, Change in Cash Flows | 10.00% | |
Deferred Payment Obligation [Member] | ||
One Dollar Outstanding | 1 | |
Cash Payment Amount | 0.40 | |
Payment Amount in New Secured Notes | 0.41 | |
Payment Amount in Existing Surplus Notes | 0.125 | |
Discount Amount | 0.065 | |
Ambac [Member] | Deferred Payment Obligation [Member] | ||
One Dollar Outstanding | 1 | |
Payment Amount in New Secured Notes | 0.91 | |
Discount Amount | $ 0.09 |
Subsequent Events Rehabilitatio
Subsequent Events Rehabilitation Exit Transaction (Details) - Subsequent Event [Member] | Feb. 12, 2018USD ($) |
One Time Interest Payment on Surplus Notes | $ 13,501,000 |
Deferred Payment Obligation [Member] | |
One Dollar Outstanding | 1 |
Cash Payment Amount | 0.40 |
Payment Amount in New Secured Notes | 0.41 |
Payment Amount in Existing Surplus Notes | 0.125 |
Discount Amount | 0.065 |
Ambac [Member] | Deferred Payment Obligation [Member] | |
One Dollar Outstanding | 1 |
Payment Amount in New Secured Notes | 0.91 |
Discount Amount | 0.09 |
Ambac [Member] | |
One Time Interest Payment on Surplus Notes | $ 2,618,000 |
Subsequent Events Tier 2 Financ
Subsequent Events Tier 2 Financing (Details) - Subsequent Event [Member] $ in Thousands | Feb. 12, 2018USD ($) |
Tier 2 Notes | $ 240,000 |
Tier 2 Note Security in RMBS Litigation Settlement Proceeds | $ 1,600,000 |
Subsequent Events Ambac Long-te
Subsequent Events Ambac Long-term Debt Note (Details) - Subsequent Event [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Feb. 12, 2018 | |
Ambac Note [Domain] | ||
Long-term debt | $ 2,154,351 | |
OCI [Member] | ||
Operating Expenses | $ 14,000 |
Subsequent Events 2018 Balance
Subsequent Events 2018 Balance Sheet Impact (Details) - Subsequent Event [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Feb. 12, 2018 | |
Second Amended Plan of Rehab 2018 Expected Cash Outflow Impact | $ 1,353,560 | |
Secured Notes Received by Ambac LSNI and Ambac Assurance | $ 768,464 | |
Ambac Assurance Corporation [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||
Interest Rate on Ambac Note | 5.00% | |
Ambac Assurance Corporation [Member] | Minimum [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||
Interest Rate on Ambac Note | 1.00% | |
Ambac [Member] | Ambac Assurance Corporation [Member] | ||
Debt Instrument, Maturity Date | Feb. 12, 2023 | |
Tier 2 Notes [Member] | Ambac Assurance Corporation [Member] | ||
Debt Instrument, Maturity Date | Feb. 12, 2055 | |
Debt Instrument, Interest Rate, Stated Percentage | 8.50% | |
Redemption Price After 12/17/2020 Including Principal and Interest | 100.00% | |
Tier 2 Notes [Member] | Ambac Assurance Corporation [Member] | Minimum [Member] | ||
Debt Instrument, Maturity Date | Dec. 17, 2020 | |
Ambac Note [Domain] | ||
Long-term debt | $ 2,154,351 |
Quarterly Information (unaud125
Quarterly Information (unaudited) Quarterly Information (unaudited) (Details) - Successor [Member] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Gross Premiums Written | $ 2,129 | $ (24,696) | $ (6,928) | $ (5,584) | $ (14,473) | $ (10,543) | $ (4,041) | $ (24,780) | |||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 31,523 | 52,989 | 43,152 | 47,613 | 49,867 | 53,218 | 41,402 | 52,800 | $ 175,277 | $ 197,287 | $ 312,595 |
Net Investment Income | 107,057 | 87,177 | 85,160 | 81,559 | 90,871 | 90,917 | 70,758 | 60,821 | 360,953 | 313,367 | 266,289 |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (956) | (13,510) | (1,763) | (3,942) | (2,191) | (2,853) | (7,441) | (9,334) | 20,171 | 21,819 | 25,659 |
Realized Investment Gains (Losses) | (68) | 6,150 | 4,180 | (4,896) | 11,536 | 11,749 | 14,897 | 1,102 | 5,366 | 39,284 | 53,476 |
Gain (Loss) on Derivative Instruments, Net, Pretax | 8,517 | 179 | 6,624 | 1,052 | 1,552 | 1,733 | 3,955 | 12,866 | 16,372 | 20,106 | 41,701 |
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net | 23,027 | 3,984 | 34,068 | (1,514) | 83,992 | (14,510) | (36,331) | (83,424) | 59,565 | (50,273) | (42,544) |
Net realized gains (losses) on extinguishment of debt | 0 | 0 | 2,179 | 2,741 | 0 | 24 | 3,586 | 1,235 | 4,920 | 4,845 | 81 |
Variable Interest Entity, Measure of Activity, Operating Income or Loss | 21,237 | (4,049) | (1,219) | 3,701 | 2,026 | 2,057 | 8,987 | (27,163) | 19,670 | (14,093) | 31,569 |
Policyholder Benefits and Claims Incurred, Net, Financial Guarantee | 102,269 | 209,806 | 66,100 | 135,011 | 215,492 | (69,204) | (52,496) | (105,281) | 513,186 | (11,489) | (768,707) |
Amortization of insurance intangible assets | 34,168 | 45,690 | 33,471 | 37,525 | 40,152 | 44,553 | 39,013 | 50,890 | 150,854 | 174,608 | 169,557 |
Other Underwriting Expense | 28,694 | 33,791 | 31,051 | 27,980 | 36,190 | 21,466 | 27,995 | 28,009 | 121,516 | 113,660 | 102,702 |
Interest Expense, Debt | 30,990 | 29,145 | 28,234 | 31,572 | 31,712 | 31,493 | 30,709 | 30,430 | 119,941 | 124,344 | 116,537 |
Goodwill, Impairment Loss | 0 | 0 | 514,511 | ||||||||
Pre-tax (loss) income from continuing operations | (6,917) | (185,466) | 13,992 | (105,860) | (86,059) | 116,720 | 61,511 | 12,854 | (284,251) | 105,026 | 510,058 |
Net Income (Loss) Attributable to Parent | $ (19,479) | $ (190,905) | $ 7,110 | $ (125,441) | $ (94,693) | $ 101,474 | $ 58,647 | $ 9,415 | $ (328,715) | $ 74,843 | $ 493,403 |
Earnings Per Share, Basic | $ (0.43) | $ (4.20) | $ 0.16 | $ (2.77) | $ (2.09) | $ 2.24 | $ 1.30 | $ 0.21 | $ (7.25) | $ 1.66 | $ 10.92 |
Earnings Per Share, Diluted | $ (0.43) | $ (4.20) | $ 0.16 | $ (2.77) | $ (2.09) | $ 2.22 | $ 1.29 | $ 0.21 | $ (7.25) | $ 1.64 | $ 10.72 |
Schedule I - Summary Of Investm
Schedule I - Summary Of Investments (Details) - Successor [Member] - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ||
Summary of Investments, Other than Investments in Related Parties, Cost | $ 5,668,507 | |
Investments | 5,740,791 | $ 6,500,215 |
Available-for-sale Securities, Amortized Cost Basis | 5,271,818 | 5,931,045 |
Available-for-sale Securities | 5,309,161 | 6,049,908 |
Other Investments and Securities, at Cost | 396,689 | |
Other Investments | 431,630 | 450,307 |
Corporate Debt Securities [Member] | ||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ||
Available-for-sale Securities | 2,914,145 | 2,622,566 |
U.S. Government Obligations [Member] | ||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ||
Available-for-sale Securities | 185,127 | |
Short-term Investments [Member] | ||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 557,476 | 430,827 |
Available-for-sale Securities | 557,270 | 430,788 |
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 | 186,619 | |
Fixed Income Securities [Member] | ||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ||
Available-for-sale Securities, Amortized Cost Basis | 4,614,623 | 5,435,385 |
Available-for-sale Securities | 4,652,172 | 5,554,215 |
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 | 845,778 | 376,064 |
Available-for-sale Securities | 779,834 | 374,368 |
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 | 858,774 | 1,803,136 |
Available-for-sale Securities | 860,075 | 1,802,165 |
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 | 26,245 | 41,932 |
Available-for-sale Securities | 26,543 | 43,135 |
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 | 4,063 | |
Available-for-sale Securities | 4,060 | |
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 | 2,214,512 | 2,284,425 |
Available-for-sale Securities | 2,251,333 | 2,351,595 |
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 | 50,754 | 113,650 |
Available-for-sale Securities | 51,037 | 113,923 |
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 | 531,660 | 778,383 |
Available-for-sale Securities | $ 597,942 | $ 828,783 |
Schedule II - Condensed Fina127
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Balance Sheet (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | May 01, 2013 |
Assets: | |||||
Junior surplus note of Ambac Assurance Segregated Account | $ 350,000 | ||||
Tolling Payment Payable to AFG | $ 30,496 | $ 28,691 | |||
Successor [Member] | |||||
Assets: | |||||
Fixed income securities, at fair value | 4,652,172 | 5,554,215 | |||
Other Investments | 431,630 | 450,307 | |||
Total investments | 5,740,791 | 6,500,215 | |||
Investment income due and accrued | 16,532 | 26,023 | |||
Other assets | 46,614 | 158,423 | |||
Total assets | 23,192,374 | 22,635,702 | |||
Liabilities: | |||||
Current taxes | 0 | 14,280 | |||
Total liabilities | 21,547,116 | 20,657,678 | |||
Stockholders' equity (deficit): | |||||
Preferred stock | 0 | 0 | |||
Common stock | 453 | 452 | |||
Additional paid-in capital | 199,560 | 195,267 | |||
Accumulated other comprehensive income (loss) | (52,239) | (38,990) | $ 15,215 | ||
Retained earnings | 1,233,845 | 1,557,681 | |||
Common stock held in treasury at cost | (471) | (496) | |||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,381,148 | 1,713,914 | |||
Total liabilities and stockholders’ equity | 23,192,374 | 22,635,702 | |||
Ambac Financial Group, Inc Parent Company Only [Member] | Successor [Member] | |||||
Assets: | |||||
Fixed income securities, at fair value | 230,055 | 214,023 | |||
Short-term investments, at cost (approximates fair value) | 69,531 | 66,570 | |||
Other Investments | 64,691 | 30,003 | |||
Total investments | 364,277 | 310,596 | |||
Cash | 3,949 | 32,251 | |||
Investment in subsidiaries | 968,392 | 1,340,442 | |||
Investment income due and accrued | 329 | 272 | |||
Current taxes receivable | 29,576 | 28,722 | |||
Other assets | 14,946 | 4,132 | |||
Total assets | 1,381,469 | 1,716,415 | |||
Liabilities: | |||||
Accounts payable and other liabilities | 321 | 2,501 | |||
Total liabilities | 321 | 2,501 | |||
Stockholders' equity (deficit): | |||||
Preferred stock | 0 | 0 | |||
Common stock | 453 | 452 | |||
Additional paid-in capital | 199,560 | 195,267 | |||
Accumulated other comprehensive income (loss) | (52,239) | (38,990) | |||
Retained earnings | 1,233,845 | 1,557,681 | |||
Common stock held in treasury at cost | (471) | (496) | |||
Total Ambac Financial Group, Inc. stockholders’ equity | 1,381,148 | 1,713,914 | $ 1,684,799 | $ 1,399,105 | |
Total liabilities and stockholders’ equity | $ 1,381,469 | $ 1,716,415 |
Schedule II - Condensed Fina128
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statement of Total Comprehensive Income (Detail) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Revenues: | |||||||||||
Other income (expense) | $ (706) | $ 17,445 | $ 7,150 | ||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | $ 956 | $ 13,510 | $ 1,763 | $ 3,942 | $ 2,191 | $ 2,853 | $ 7,441 | $ 9,334 | (20,171) | (21,819) | (25,659) |
Net realized investment gains | 68 | (6,150) | (4,180) | 4,896 | (11,536) | (11,749) | (14,897) | (1,102) | (5,366) | (39,284) | (53,476) |
Total revenues | 621,246 | 506,149 | 644,658 | ||||||||
Expenses: | |||||||||||
Pre-tax income (loss) | $ (6,917) | $ (185,466) | $ 13,992 | $ (105,860) | $ (86,059) | $ 116,720 | $ 61,511 | $ 12,854 | (284,251) | 105,026 | 510,058 |
Income tax expense (benefit) | (44,464) | (30,709) | (17,364) | ||||||||
Net income (loss) | (328,715) | 74,317 | 492,694 | ||||||||
Other comprehensive income, after tax: | |||||||||||
Net income (loss) | (328,715) | 74,317 | 492,694 | ||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (81,520) | 67,900 | (159,730) | ||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 73,586 | (122,128) | (45,025) | ||||||||
Total other comprehensive income (loss), net of tax | (6,661) | (54,205) | (205,442) | ||||||||
Total comprehensive income (loss) attributable to Ambac Financial Group, Inc. | (335,376) | 20,638 | 288,335 | ||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | |||||||||||
Revenues: | |||||||||||
Investment income | 24,411 | 13,493 | 9,826 | ||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | (550) | (289) | (155) | ||||||||
Net realized investment gains | 6,575 | 7 | 27 | ||||||||
Total revenues | 17,286 | 13,197 | 9,644 | ||||||||
Expenses: | |||||||||||
Operating Expenses | 3,913 | 11,486 | 8,922 | ||||||||
Total expenses | 3,913 | 11,486 | 8,922 | ||||||||
Pre-tax income (loss) | 13,373 | 1,711 | 722 | ||||||||
Income tax expense (benefit) | 29,398 | 28,739 | 70,811 | ||||||||
Income before equity in undistributed net income of subsidiaries | (42,771) | (30,450) | (71,533) | ||||||||
Equity in undistributed net income (loss) of subsidiaries | (371,486) | 44,393 | 421,870 | ||||||||
Net income (loss) | (328,715) | 74,843 | 493,403 | ||||||||
Other comprehensive income, after tax: | |||||||||||
Net income (loss) | (328,715) | 74,843 | 493,403 | ||||||||
Unrealized gains (losses) on securities, net of deferred income taxes of $0 | (81,520) | 67,900 | (159,730) | ||||||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0 | 73,586 | (122,128) | (44,651) | ||||||||
Changes to postretirement benefit, net of tax | 1,273 | 23 | (687) | ||||||||
Total other comprehensive income (loss), net of tax | (6,661) | (54,205) | (205,068) | ||||||||
Total comprehensive income (loss) attributable to Ambac Financial Group, Inc. | $ (335,376) | $ 20,638 | $ 288,335 |
Schedule II - Condensed Fina129
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statements of Stockholders' Equity (Detail) - Successor [Member] - USD ($) | 12 Months Ended | 30 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2017 | Dec. 31, 2014 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | $ (335,376,000) | $ 20,112,000 | $ 287,252,000 | ||
Stock-based compensation | (4,293,000) | (5,253,000) | (3,105,000) | ||
Cost of shares (acquired) issued under equity plan | (1,547,000) | (505,000) | (374,000) | ||
Payments for Repurchase of Warrants | 0 | 2,717,000 | 5,375,000 | $ 8,092,000 | |
Stock Issued During Period, Value, New Issues | 1,000 | 2,000 | |||
Noncontrolling Interest, Decrease from Deconsolidation | (2,469,000) | ||||
Proceeds from Warrant Exercises | 0 | 2,000 | 3,000 | ||
Warrants exercised | 2,000 | 3,000 | |||
Ending balance | 1,645,258,000 | 1,978,024,000 | 1,958,346,000 | 1,645,258,000 | |
Stockholders' Equity Attributable to Parent | 1,381,148,000 | 1,713,914,000 | 1,381,148,000 | ||
Retained Earnings [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | (328,715,000) | 74,843,000 | 493,403,000 | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | (1,572,000) | (127,000) | (312,000) | ||
Payments for Repurchase of Warrants | 0 | 1,916,000 | 3,942,000 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | 1,233,845,000 | 1,557,681,000 | 1,478,439,000 | 1,233,845,000 | |
AOCI Attributable to Parent [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | (6,661,000) | (54,205,000) | (205,068,000) | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | 0 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | (52,239,000) | (38,990,000) | 15,215,000 | (52,239,000) | |
Preferred Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | 0 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | 0 | 0 | 0 | 0 | |
Common Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | 0 | ||
Stock Issued During Period, Value, New Issues | 1,000 | 2,000 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | 453,000 | 452,000 | 450,000 | 453,000 | |
Additional Paid-in Capital [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
Stock-based compensation | (4,293,000) | (5,253,000) | (3,105,000) | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 801,000 | 1,433,000 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 2,000 | 3,000 | |||
Ending balance | 199,560,000 | 195,267,000 | 190,813,000 | 199,560,000 | |
Common Stock Held in Treasury, at Cost [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 25,000 | (378,000) | (62,000) | ||
Payments for Repurchase of Warrants | 0 | 0 | 0 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | 0 | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | (471,000) | (496,000) | (118,000) | (471,000) | |
Noncontrolling Interest [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | (526,000) | (1,083,000) | ||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | 0 | ||
Stock Issued During Period, Value, New Issues | 0 | 0 | |||
Noncontrolling Interest, Decrease from Deconsolidation | (2,469,000) | ||||
Warrants exercised | 0 | 0 | |||
Ending balance | 264,110,000 | 264,110,000 | 273,547,000 | 264,110,000 | |
Ambac Financial Group, Inc Parent Company Only [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | (335,376,000) | 20,638,000 | 288,335,000 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | (137,000) | 6,442,000 | |||
Stock-based compensation | (4,293,000) | (5,253,000) | (3,105,000) | ||
Cost of shares (acquired) issued under equity plan | (1,547,000) | (505,000) | (374,000) | ||
Payments for Repurchase of Warrants | 0 | (2,717,000) | (5,375,000) | ||
Stock Issued During Period, Value, New Issues | 1,000 | 2,000 | |||
Proceeds from Warrant Exercises | 0 | 2,000 | 3,000 | ||
Warrants exercised | 2,000 | 3,000 | |||
Stockholders' Equity Attributable to Parent | 1,381,148,000 | 1,713,914,000 | 1,684,799,000 | 1,381,148,000 | $ 1,399,105,000 |
Ambac Financial Group, Inc Parent Company Only [Member] | Retained Earnings [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | (328,715,000) | 74,843,000 | 493,403,000 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | (137,000) | 6,442,000 | |||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | (1,572,000) | (127,000) | (312,000) | ||
Payments for Repurchase of Warrants | (1,916,000) | (3,942,000) | |||
Stock Issued During Period, Value, New Issues | 0 | ||||
Warrants exercised | 0 | 0 | |||
Stockholders' Equity Attributable to Parent | 1,233,845,000 | 1,557,681,000 | 1,478,439,000 | 1,233,845,000 | 989,290,000 |
Ambac Financial Group, Inc Parent Company Only [Member] | AOCI Attributable to Parent [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | (6,661,000) | (54,205,000) | (205,068,000) | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | |||
Stock Issued During Period, Value, New Issues | 0 | ||||
Warrants exercised | 0 | 0 | |||
Stockholders' Equity Attributable to Parent | (52,239,000) | (38,990,000) | 15,215,000 | (52,239,000) | 220,283,000 |
Ambac Financial Group, Inc Parent Company Only [Member] | Preferred Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | |||
Stock Issued During Period, Value, New Issues | 0 | ||||
Warrants exercised | 0 | 0 | |||
Stockholders' Equity Attributable to Parent | 0 | 0 | 0 | 0 | 0 |
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | 0 | 0 | |||
Stock Issued During Period, Value, New Issues | 1,000 | 2,000 | |||
Warrants exercised | 0 | 0 | |||
Stockholders' Equity Attributable to Parent | 453,000 | 452,000 | 450,000 | 453,000 | 450,000 |
Ambac Financial Group, Inc Parent Company Only [Member] | Additional Paid-in Capital [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Stock-based compensation | (4,293,000) | (5,253,000) | (3,105,000) | ||
Cost of shares (acquired) issued under equity plan | 0 | 0 | 0 | ||
Payments for Repurchase of Warrants | (801,000) | (1,433,000) | |||
Stock Issued During Period, Value, New Issues | 0 | ||||
Warrants exercised | 2,000 | 3,000 | |||
Stockholders' Equity Attributable to Parent | 199,560,000 | 195,267,000 | 190,813,000 | 199,560,000 | 189,138,000 |
Ambac Financial Group, Inc Parent Company Only [Member] | Common Stock Held in Treasury, at Cost [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Total comprehensive income (loss) | 0 | 0 | 0 | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Stock-based compensation | 0 | 0 | 0 | ||
Cost of shares (acquired) issued under equity plan | 25,000 | (378,000) | (62,000) | ||
Payments for Repurchase of Warrants | 0 | 0 | |||
Stock Issued During Period, Value, New Issues | 0 | ||||
Warrants exercised | 0 | 0 | |||
Stockholders' Equity Attributable to Parent | (471,000) | $ (496,000) | $ (118,000) | $ (471,000) | $ (56,000) |
Accounting Standards Update 2018-02 [Domain] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Accounting Standards Update 2018-02 [Domain] | Retained Earnings [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 6,588,000 | ||||
Accounting Standards Update 2018-02 [Domain] | AOCI Attributable to Parent [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | (6,588,000) | ||||
Accounting Standards Update 2018-02 [Domain] | Ambac Financial Group, Inc Parent Company Only [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 0 | ||||
Accounting Standards Update 2018-02 [Domain] | Ambac Financial Group, Inc Parent Company Only [Member] | Retained Earnings [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | 6,588,000 | ||||
Accounting Standards Update 2018-02 [Domain] | Ambac Financial Group, Inc Parent Company Only [Member] | AOCI Attributable to Parent [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ (6,588,000) |
Schedule II - Condensed Fina130
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statements of Cash Flows (Detail) - Successor [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | 30 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2017 | |
Cash flows from operating activities: | ||||||||||||
Net income (loss) | $ (328,715) | $ 74,317 | $ 492,694 | |||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Accretion (Amortization) of Discounts and Premiums, Investments | (182,997) | (150,061) | (129,584) | |||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | $ (956) | $ (13,510) | $ (1,763) | $ (3,942) | $ (2,191) | $ (2,853) | $ (7,441) | $ (9,334) | 20,171 | 21,819 | 25,659 | |
Net realized investment gains | 68 | $ (6,150) | $ (4,180) | 4,896 | (11,536) | $ (11,749) | $ (14,897) | (1,102) | (5,366) | (39,284) | (53,476) | |
Decrease in current income taxes payable | (26,272) | 9,727 | 134 | |||||||||
Share-based compensation | 4,293 | 5,253 | 3,104 | |||||||||
Investment income due and accrued | 9,425 | (750) | (280) | |||||||||
Other, net | 21,538 | (27,896) | 80,296 | |||||||||
Net cash provided by (used in) operating activities | (212,768) | 843,540 | 91,809 | |||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 813,990 | 1,317,215 | 1,029,026 | |||||||||
Purchases of bonds | (2,053,693) | (2,574,285) | (2,374,441) | |||||||||
Change in short-term investments | (126,891) | (206,002) | 134,423 | |||||||||
Proceeds from Sale and Maturity of Other Investments | 349,799 | 131,703 | 178,474 | |||||||||
Payments for (Proceeds from) Other Investing Activities | (10,594) | 1,996 | (5,143) | |||||||||
Net cash provided by (used in) investing activities | 928,769 | (714,643) | (175,745) | |||||||||
Cash flows from financing activities: | ||||||||||||
Payments for Repurchase of Warrants | 0 | 2,717 | 5,375 | $ 8,092 | ||||||||
Proceeds from Warrant Exercises | 0 | 2 | 3 | |||||||||
Net Cash Provided by (Used in) Financing Activities | (182,117) | (69,711) | 46,901 | |||||||||
Cash and Cash Equivalents, Period Increase (Decrease) | 532,678 | 55,281 | (38,159) | |||||||||
Cash and cash equivalents at beginning of period | 91,025 | 35,744 | 91,025 | 35,744 | 73,903 | |||||||
Cash and cash equivalents end of period | 623,703 | 91,025 | 623,703 | 91,025 | 35,744 | 623,703 | ||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 40,334 | 21,437 | 16,969 | |||||||||
Ambac Financial Group, Inc Parent Company Only [Member] | ||||||||||||
Cash flows from operating activities: | ||||||||||||
Net income (loss) | (328,715) | 74,843 | 493,403 | |||||||||
Adjustments to reconcile net income loss to net cash used in operating activities: | ||||||||||||
Equity in undistributed net (income) loss of non-debtor subsidiaries | 371,486 | (44,393) | (421,870) | |||||||||
Accretion (Amortization) of Discounts and Premiums, Investments | (16,724) | (7,208) | (4,690) | |||||||||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | 550 | 289 | 155 | |||||||||
Net realized investment gains | 6,575 | 7 | 27 | |||||||||
Decrease in current income taxes payable | (854) | 42,126 | (71,069) | |||||||||
Share-based compensation | 4,293 | 5,253 | 3,105 | |||||||||
Investment income due and accrued | (57) | (149) | (69) | |||||||||
Decrease in other assets | (10,814) | 646 | 991 | |||||||||
Other, net | (9,960) | 5,814 | 549 | |||||||||
Net cash provided by (used in) operating activities | 15,780 | 77,228 | 532 | |||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from matured bonds | 186,747 | 269,459 | 347,539 | |||||||||
Purchases of bonds | (195,853) | (279,582) | (312,419) | |||||||||
Change in short-term investments | (2,961) | (18,491) | (25,143) | |||||||||
Net cash provided by (used in) investing activities | (44,082) | (42,287) | 4,724 | |||||||||
Cash flows from financing activities: | ||||||||||||
Payments for Repurchase of Warrants | 0 | (2,717) | (5,375) | |||||||||
Proceeds from Warrant Exercises | 0 | 2 | 3 | |||||||||
Net Cash Provided by (Used in) Financing Activities | 0 | (2,715) | (5,372) | |||||||||
Cash and Cash Equivalents, Period Increase (Decrease) | (28,302) | 32,226 | (116) | |||||||||
Cash and cash equivalents at beginning of period | $ 32,251 | $ 25 | 32,251 | 25 | 141 | |||||||
Cash and cash equivalents end of period | $ 3,949 | $ 32,251 | 3,949 | 32,251 | 25 | $ 3,949 | ||||||
Cash paid during the period for: | ||||||||||||
Income taxes | 784 | 635 | 394 | |||||||||
Parent [Member] | ||||||||||||
Cash flows from investing activities: | ||||||||||||
Proceeds from Sale and Maturity of Other Investments | (34,688) | (4,664) | (5,253) | |||||||||
Payments for (Proceeds from) Other Investing Activities | $ 2,673 | $ (9,009) | $ 0 |
Schedule II - Condensed Fina131
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) Schedule II - Condensed Financial Information of Registrant - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2017 | |
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 |
Schedule II - Condensed Fina132
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Balance Sheet (Parenthetical) (Detail) - USD ($) $ / shares in Units, $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | May 01, 2013 | Apr. 30, 2013 |
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Tolling Payment Payable to AFG | $ 30,496 | $ 28,691 | ||
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 | $ 4,614,623 | $ 5,435,385 | ||
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 | 45,000,000 | |||
Parent Company [Member] | ||||
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Fixed income securities, amortized cost | $ 239,476 | $ 220,749 | ||
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 | ||
Parent Company [Member] | Successor [Member] | ||||
Condensed Balance Sheet Statements, Captions [Line Items] | ||||
Common stock, shares issued | 45,275,982 | 45,194,954 | ||
Common stock, shares outstanding | 45,275,982 | 45,194,954 | ||
Treasury stock, shares | 24,816 | 22,458 |
Schedule II - Condensed Fina133
Schedule II - Condensed Financial Information of Registrant (Parent Company Only) - Condensed Statement of Total Comprehensive Income (Parenthetical) (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
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 - Income Taxes Sche
Schedule II - Income Taxes Schedule II Income Taxes (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | 24 Months Ended | 36 Months Ended | ||
Sep. 30, 2011 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2017 | |
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards | $ 3,650,000 | $ 3,694,844 | $ 3,694,844 | |||
Tolling Payment Payable to AFG | 30,496 | $ 28,691 | $ 28,691 | 30,496 | ||
TierABCCredit | 5,000 | $ 5,000 | ||||
Domestic Tax Authority [Member] | ||||||
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards | 3,694,844 | 3,694,844 | ||||
Ambac Assurance [Member] | ||||||
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards | 2,282,205 | 2,282,205 | ||||
Percentage Of Notional Federal Tax Liability | 25.00% | |||||
AACNetTaxableIncome | 1,367,795 | |||||
AACNetTaxableIncomeFromTierA | $ 479,000 | |||||
AACNetTaxableIncomeFromTierB | $ 607,124 | 888,795 | ||||
AFG [Member] | ||||||
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards | 1,412,639 | 1,412,639 | ||||
Percentage Of Notional Federal Tax Liability | 50.00% | |||||
Tier B [Member] | ||||||
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards | $ 1,057,000 | $ 1,057,000 | $ 1,057,000 | |||
Maximum [Member] | ||||||
Operating Loss Carryforwards [Line Items] | ||||||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2032 |
Schedule IV - Reinsurance (Deta
Schedule IV - Reinsurance (Detail) - Successor [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Condensed Financial Statements, Captions [Line Items] | |||
Direct Premiums Written | $ (14,313) | $ (53,837) | $ (37,572) |
Ceded Premiums Written | (2,104) | (8,772) | (3,001) |
Assumed Premiums Written | 0 | 0 | 0 |
Premiums Written, Net | $ (12,209) | $ (45,065) | $ (34,571) |
Percentage of Amount Assumed to Net | 0.00% | 0.00% | 0.00% |