Investments (Tables)

3 Months Ended

Mar. 31, 2015

Investments, Debt and Equity Securities [Abstract]

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2015 and December 31, 2014 were as follows:



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Non-credit other- than-temporary Impairments ⁽¹⁾
March 31, 2015
Fixed income securities:
Municipal obligations	$	517,256	$	12,136	$	4,204	$	525,188	$	—
Corporate obligations	1,588,962		24,097		3,290		1,609,769		—
Foreign obligations	123,601		4,038		2,475		125,164		—
U.S. government obligations	28,983		1,418		104		30,297		—
U.S. agency obligations	4,438		—		11		4,427		—
Residential mortgage-backed securities	1,705,246		159,388		18,157		1,846,477		9,844
Collateralized debt obligations	88,569		102		433		88,238		—
Other asset-backed securities	615,831		21,048		689		636,190		—
	4,672,886		222,227		29,363		4,865,750		9,844
Short-term	220,980		—		—		220,980		—
	4,893,866		222,227		29,363		5,086,730		9,844
Fixed income securities pledged as collateral:
U.S. government obligations	64,432		381		—		64,813		—
Total collateralized investments	64,432		381		—		64,813		—
Total available-for-sale investments	$	4,958,298	$	222,608	$	29,363	$	5,151,543	$	9,844

December 31, 2014
Fixed income securities:
Municipal obligations	$	523,019	$	9,769	$	6,996	$	525,792	$	—
Corporate obligations	1,382,195		12,815		9,416		1,385,594		—
Foreign obligations	126,041		3,060		1,344		127,757		—
U.S. government obligations	42,328		1,078		427		42,979		—
U.S. agency obligations	29,524		—		38		29,486		—
Residential mortgage-backed securities	1,557,059		167,396		13,500		1,710,955		7,773
Collateralized debt obligations	21,346		50		274		21,122		—
Other asset-backed securities	833,366		48,794		159		882,001		—
	4,514,878		242,962		32,154		4,725,686		7,773
Short-term	360,069		—		4		360,065		—
	4,874,947		242,962		32,158		5,085,751		7,773
Fixed income securities pledged as collateral:
U.S. government obligations	64,378		—		111		64,267		—
Total collateralized investments	64,378		—		111		64,267		—
Total available-for-sale investments	$	4,939,325	$	242,962	$	32,269	$	5,150,018	$	7,773


(1)	Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive loss on securities that also had a credit impairment. These losses are included in gross unrealized losses as of March 31, 2015 and December 31, 2014.

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2015, by contractual maturity, were as follows:



	Amortized Cost		Estimated Fair Value
Due in one year or less	$	413,150	$	413,291
Due after one year through five years	927,630		935,442
Due after five years through ten years	994,286		1,013,939
Due after ten years	213,586		217,966
	2,548,652		2,580,638
Residential mortgage-backed securities	1,705,246		1,846,477
Collateralized debt obligations	88,569		88,238
Other asset-backed securities	615,831		636,190
Total	$	4,958,298	$	5,151,543

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 March 31, 2015 and December 31, 2014:



	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
March 31, 2015
Fixed income securities:
Municipal obligations	$	46,461	$	412	$	119,412	$	3,792	$	165,873	$	4,204
Corporate obligations	278,044		2,081		81,739		1,209		359,783		3,290
Foreign government obligations	32,206		1,864		8,900		611		41,106		2,475
U.S. government obligations	1,661		2		10,814		102		12,475		104
U.S. agency obligations	—		—		4,359		11		4,359		11
Residential mortgage-backed securities	547,706		17,336		10,266		821		557,972		18,157
Collateralized debt obligations	63,834		289		4,434		144		68,268		433
Other asset-backed securities	163,243		687		68		2		163,311		689
	1,133,155		22,671		239,992		6,692		1,373,147		29,363
Short-term	—		—		—		—		—		—
	1,133,155		22,671		239,992		6,692		1,373,147		29,363
Fixed income securities, pledged as collateral:
U. S. government obligations	—		—		—		—		—		—
Total collateralized investments	—		—		—		—		—		—
Total temporarily impaired securities	$	1,133,155	$	22,671	$	239,992	$	6,692	$	1,373,147	$	29,363



	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
December 31, 2014:
Fixed income securities:
Municipal obligations	$	77,788	$	1,244	$	135,076	$	5,752	$	212,864	$	6,996
Corporate obligations	453,504		4,998		172,045		4,418		625,549		9,416
Foreign government obligations	20,827		748		14,277		596		35,104		1,344
U.S. government obligations	7,223		154		14,735		273		21,958		427
U.S. agency obligations	25,039		2		4,378		36		29,417		38
Residential mortgage-backed securities	413,203		12,391		10,076		1,109		423,279		13,500
Collateralized debt obligations	5,012		274		—		—		5,012		274
Other asset-backed securities	248,823		155		68		4		248,891		159
	1,251,419		19,966		350,655		12,188		1,602,074		32,154
Short-term	8,803		4		—		—		8,803		4
	1,260,222		19,970		350,655		12,188		1,610,877		32,158
Fixed income securities, pledged as collateral:
U. S. government obligations	64,267		111		—		—		64,267		111
Total collateralized investments	64,267		111		—		—		64,267		111
Total temporarily impaired securities	$	1,324,489	$	20,081	$	350,655	$	12,188	$	1,675,144	$	32,269

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

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



	Three Months Ended March 31,
	2015			2014
Gross realized gains on securities	$	50,654		$	19,576
Gross realized losses on securities	(3,737		)	(1,128		)
Foreign exchange gains (losses)	7,184			(2,159		)
Net realized gains	$	54,101		$	16,289
Net other-than-temporary impairments ⁽¹⁾	$	(3,119	)	$	(10,392	)


(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 Ambac 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 March 31, 2015 and 2014 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:



	Credit Impairment
Balance at January 1, 2015	$	14,062
Additions for credit impairments recognized on:
Securities not previously impaired	1,660
Securities previously impaired	1,457
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period	—
Balance at March 31, 2015	$	17,179

Balance at January 1, 2014	$	1,182
Additions for credit impairments recognized on:
Securities not previously impaired	4,767
Securities previously impaired	—
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period	—
Balance at March 31, 2014	$	5,949

Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged

The following table presents (i) the sources of collateral either received from various counterparties where Ambac is permitted to sell or re-pledge the collateral or collateral held directly in the investment portfolio and (ii) how that collateral was pledged to various investment agreement, derivative and repurchase agreement counterparties at March 31, 2015 and December 31, 2014:



	Fair Value of Cash and Underlying Securities		Fair Value of Cash and Securities Pledged to Investment Agreement Counterparties		Fair Value of Cash and Securities Pledged to Derivative Counterparties
March 31, 2015:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	368,979	$	108,469	$	260,510

December 31, 2014:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	379,423	$	156,916	$	222,507

Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities

The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at March 31, 2015 and December 31, 2014, respectively:



	Municipal obligations		Corporate obligations		Mortgage and asset- backed securities		Total		Weighted Average Underlying Rating ⁽¹⁾
March 31, 2015:
Ambac Assurance Corporation ⁽²⁾	$	54,124	$	—	$	2,078,084	$	2,132,208	CCC-
Assured Guaranty Municipal Corporation	121,519		—		—		121,519		A
National Public Finance Guarantee Corporation	64,693		—		—		64,693		A-
MBIA Insurance Corporation	—		32,265		—		32,265		A+
Total	$	240,336	$	32,265	$	2,078,084	$	2,350,685	CCC

December 31, 2014:
Ambac Assurance Corporation ⁽²⁾	$	53,164	$	—	$	2,146,555	$	2,199,719	CCC-
Assured Guaranty Municipal Corporation	119,492		—		—		119,492		A
National Public Finance Guarantee Corporation	67,895		—		—		67,895		A-
MBIA Insurance Corporation	—		32,460		—		32,460		A+
Total	$	240,551	$	32,460	$	2,146,555	$	2,419,566	CCC


(1)	Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used.


(2)	Includes asset-backed securities with a fair value of $51,395 at March 31, 2015 and December 31, 2014, insured by Ambac UK.

Summary of Net Investment Income

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



	Three Months Ended March 31,
	2015			2014
Fixed income securities	$	65,585		$	71,231
Short-term investments	42			57
Loans	132			117
Investment expense	(2,427		)	(2,598		)
Securities available-for-sale and short-term	63,332			68,807
Other investments	9,651			1,994
Total net investment income	$	72,983		$	70,801

Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option. The portion of net unrealized gains related to such securities still held at the end of each period is as follows:



	Three Months Ended March 31,
	2015		2014
Net gains recognized during the period on trading securities	$	7,819	$	1,994
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period	1,564		(455		)
Unrealized gains recognized during the reporting period on trading securities still held at the reporting date	$	6,255	$	2,449

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

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- Definition

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

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- Definition

Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments.

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- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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