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Financial Guarantee Insurance Contracts (Tables)
 6 Months Ended
Jun. 30, 2015
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:
 
 
Six Months Ended June 30,
 
 
2015
 
2014
Beginning premium receivable
 
$
1,000,607

 
$
1,453,021

Premium receipts
 
(49,040
)
 
(61,876
)
Adjustments for changes in expected and contractual cash flows
 
(25,513
)
 
(70,464
)
Accretion of premium receivable discount
 
12,576

 
20,247

Changes to uncollectable premiums
 
2,807

 
(1,035
)
Other adjustments (including foreign exchange)
 
(4,513
)
 
16,469

Ending premium receivable
 
$
936,924

 
$
1,356,362
Effect of Reinsurance on Premiums Written and Earned
The effect of reinsurance on premiums written and earned for the respective periods was as follows:
 
Three Months Ended June 30, 2015
 
 
Three Months Ended June 30, 2014
 
Written
 
Earned
 
 
Written
 
Earned
Direct
$
(11,192
)
 
$
65,156

 
 
$
(45,486
)
 
$
68,025

Assumed
—

 
22

 
 
—

 
23

Ceded
(1,142
)
 
4,299

 
 
(4,967
)
 
3,035

Net premiums
$
(10,050
)
 
$
60,879

 
 
$
(40,519
)
 
$
65,013


 
Six Months Ended June 30, 2015
 
 
Six Months Ended June 30, 2014
 
Written
 
Earned
 
 
Written
 
Earned
Direct
$
(10,130
)
 
$
136,806

 
 
$
(51,252
)
 
$
154,209

Assumed
—

 
43

 
 
—

 
91

Ceded
(777
)
 
10,252

 
 
(4,511
)
 
6,740

Net premiums
$
(9,353
)
 
$
126,597

 
 
$
(46,741
)
 
$
147,560
Summarized Future Gross Undiscounted Premiums Expected to be Collected and Future Expected Premiums Earned, Net of Reinsurance
The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at June 30, 2015:
 
Future premiums
to be collected (1)
 
Future
premiums to
be earned net of
reinsurance (1)
Three months ended:
 
 
 
September 30, 2015
$
22,273

 
$
37,587

December 31, 2015
21,471

 
34,681

Twelve months ended:
 
 
 
December 31, 2016
84,330

 
125,263

December 31, 2017
78,696

 
109,613

December 31, 2018
73,574

 
99,333

December 31, 2019
69,741

 
92,422

Five years ended:
 
 
 
December 31, 2024
308,352

 
378,905

December 31, 2029
256,512

 
267,686

December 31, 2034
180,354

 
167,874

December 31, 2039
66,338

 
67,332

December 31, 2044
25,295

 
23,340

December 31, 2049
9,838

 
9,800

December 31, 2054
1,244

 
2,183

December 31, 2059
5

 
3

Total
$
1,198,023

 
$
1,416,022

(1)
Future premiums to be collected is undiscounted and relates to the discounted premium receivable asset recorded on Ambac's balance sheet. Future premiums to be earned, net of reinsurance relate to the unearned premium liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable, as further described in Note 2. Basis of Presentation and Significant Accounting Principles in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2014. 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 results in higher unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing.
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 June 30, 2015 and December 31, 2014:
 
Unpaid Claims
 
Present Value of Expected
Net Cash Flows
 
 
 
 
Balance Sheet Line Item
Claims
 
Accrued
Interest
 
Claims and
Loss Expenses
 
Recoveries
 
Unearned
Premium
Revenue
 
Gross Loss and
Loss Expense
Reserves
June 30, 2015:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,218,211

 
$
299,846

 
$
3,260,860

 
$
(1,226,174
)
 
$
(185,329
)
 
$
4,367,414

Subrogation recoverable
742,807

 
108,803

 
155,281

 
(1,988,293
)
 
—

 
(981,402
)
Totals
$
2,961,018

 
$
408,649

 
$
3,416,141

 
$
(3,214,467
)
 
$
(185,329
)
 
$
3,386,012

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
Loss and loss expense reserves
$
2,172,041

 
$
234,802

 
$
3,792,133

 
$
(1,205,621
)
 
$
(241,348
)
 
$
4,752,007

Subrogation recoverable
772,948

 
94,425

 
197,751

 
(2,018,398
)
 
—

 
(953,274
)
Totals
$
2,944,989

 
$
329,227

 
$
3,989,884

 
$
(3,224,019
)
 
$
(241,348
)
 
$
3,798,733
Summary of 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:
 
Six Months Ended June 30,
 
2015
 
2014
Beginning gross loss and loss expense reserves
$
3,798,733

 
$
5,470,234

Less reinsurance on loss and loss expense reserves
100,355

 
122,357

Beginning balance of net loss and loss expense reserves
$
3,698,378

 
$
5,347,877

Changes in the loss and loss expense reserves due to:
 
 
 
Current year:
 
 
 
Establishment of new loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
737

 
209

Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
—

 
(3
)
Total current year
737

 
206

Prior years:
 
 
 
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
(262,962
)
 
131,124

Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
(88,387
)
 
73,347

(Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance
(32,785
)
 
(74,398
)
Total prior years
(384,134
)
 
130,073

Net change in net loss and loss expense reserves
(383,397
)
 
130,279

Ending net loss and loss expense reserves
3,314,981

 
5,478,156

Add reinsurance on loss and loss expense reserves (1)
71,031

 
110,015

Ending gross loss and loss expense reserves
$
3,386,012

 
$
5,588,171


(1)
Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables (payables) of previously presented loss and loss expenses of $4,974 and $(760) as of June 30, 2015 and 2014, 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 June 30, 2015 and December 31, 2014. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy. The weighted average risk-free rate used to discount loss reserves at June 30, 2015 and December 31, 2014 was 2.5% and 2.3%, respectively.
Surveillance Categories as of June 30, 2015
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
39

 
18

 
33

 
69

 
162

 
3

 
324

Remaining weighted-average contract period (in years)
7

 
16

 
14

 
19

 
13

 
6

 
15

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
2,080,087

 
$
385,118

 
$
1,518,386

 
$
4,065,996

 
$
9,075,142

 
$
54,590

 
$
17,179,319

Interest
733,337

 
158,442

 
425,025

 
3,028,085

 
1,898,244

 
18,166

 
6,261,299

Total
$
2,813,424

 
$
543,560

 
$
1,943,411

 
$
7,094,081

 
$
10,973,386

 
$
72,756

 
$
23,440,618

Gross undiscounted claim liability (1)
$
14,688

 
$
6,265

 
$
47,307

 
$
1,837,013

 
$
6,130,231

 
$
72,749

 
$
8,108,253

Discount, gross claim liability
(833
)
 
(685
)
 
(5,928
)
 
(632,267
)
 
(762,058
)
 
(7,364
)
 
(1,409,135
)
Gross claim liability before all subrogation and before reinsurance
$
13,855

 
$
5,580

 
$
41,379

 
$
1,204,746

 
$
5,368,173

 
$
65,385

 
$
6,699,118

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(2,569,494
)
 
—

 
(2,569,494
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
12,920

 
—

 
12,920

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(2,556,574
)
 
—

 
(2,556,574
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(16,477
)
 
(140,596
)
 
(570,379
)
 
(13,219
)
 
(740,671
)
Discount, other subrogation
—

 
—

 
4,448

 
42,937

 
31,211

 
4,182

 
82,778

Discounted other subrogation, before reinsurance
—

 
—

 
(12,029
)
 
(97,659
)
 
(539,168
)
 
(9,037
)
 
(657,893
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
13,855

 
$
5,580

 
$
29,350

 
$
1,107,087

 
$
2,272,431

 
$
56,348

 
$
3,484,651

Less: Unearned premium revenue
(10,512
)
 
(2,121
)
 
(18,984
)
 
(88,332
)
 
(64,886
)
 
(494
)
 
(185,329
)
Plus: Loss expense reserves
—

 
13

 
714

 
12,399

 
73,528

 
36

 
86,690

Gross loss and loss expense reserves
$
3,343

 
$
3,472

 
$
11,080

 
$
1,031,154

 
$
2,281,073

 
$
55,890

 
$
3,386,012

Reinsurance recoverable reported on Balance Sheet (4)
$
274

 
$
899

 
$
62

 
$
90,351

 
$
(15,581
)
 
$
—

 
$
76,005

 
(1)
Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims.
(2)
RMBS subrogation represents Ambac’s probability-weighted estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches.
(3)
Other subrogation primarily represents subrogation related to excess spread or other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $71,031 related to future loss and loss expenses and $4,974 related to presented loss and loss expenses.
Surveillance Categories as of December 31, 2014
 
I/SL
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
36

 
26

 
33

 
69

 
160

 
1

 
325

Remaining weighted-average contract period (in years)
8

 
12

 
15

 
21

 
12

 
6

 
16

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
1,026,513

 
$
519,291

 
$
3,091,744

 
$
3,792,559

 
$
9,892,760

 
$
47

 
$
18,322,914

Interest
418,746

 
212,296

 
1,878,770

 
2,765,537

 
1,979,627

 
19

 
7,254,995

Total
$
1,445,259

 
$
731,587

 
$
4,970,514

 
$
6,558,096

 
$
11,872,387

 
$
66

 
$
25,577,909

Gross undiscounted claim liability (1)
$
16,360

 
$
11,525

 
$
155,488

 
$
2,040,402

 
$
6,456,139

 
$
60

 
$
8,679,974

Discount, gross claim liability
(1,147
)
 
(937
)
 
(16,438
)
 
(716,812
)
 
(774,611
)
 
(3
)
 
(1,509,948
)
Gross claim liability before all subrogation and before reinsurance
$
15,213

 
$
10,588

 
$
139,050

 
$
1,323,590

 
$
5,681,528

 
$
57

 
$
7,170,026

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(2,541,219
)
 
—

 
(2,541,219
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
17,679

 
—

 
17,679

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(2,523,540
)
 
—

 
(2,523,540
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
(18,034
)
 
(127,143
)
 
(647,110
)
 
—

 
(792,287
)
Discount, other subrogation
—

 
—

 
6,069

 
36,779

 
48,960

 
—

 
91,808

Discounted other subrogation, before reinsurance
—

 
—

 
(11,965
)
 
(90,364
)
 
(598,150
)
 
—

 
(700,479
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
$
15,213

 
$
10,588

 
$
127,085

 
$
1,233,226

 
$
2,559,838

 
$
57

 
$
3,946,007

Less: Unearned premium revenue
(10,945
)
 
(3,432
)
 
(73,749
)
 
(88,332
)
 
(64,890
)
 
—

 
(241,348
)
Plus: Loss expense reserves
3

 
1,303

 
1,968

 
6,470

 
84,330

 
—

 
94,074

Gross loss and loss expense reserves
$
4,271

 
$
8,459

 
$
55,304

 
$
1,151,364

 
$
2,579,278

 
$
57

 
$
3,798,733

Reinsurance recoverable reported on Balance Sheet (4)
$
73

 
$
890

 
$
1,355

 
$
110,957

 
$
(13,437
)
 
$
—

 
$
99,838

(1)
Gross undiscounted claim liability includes unpaid claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account and Ambac's estimate of expected future claims.
(2)
RMBS subrogation represents Ambac’s probability-weighted estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches.
(3)
Other subrogation primarily represents subrogation related to excess spread or other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $100,355 related to future loss and loss expenses and $(517) related to presented loss and loss expenses.
Summary of Balance of Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach
The balance of RMBS subrogation recoveries and the related loss reserves, using random samples as the estimation approach, at June 30, 2015 and December 31, 2014, are as follows:
Random Samples Approach (4)
Gross loss
reserves before
subrogation
recoveries (1)
 
Subrogation
recoveries (2)(3)
 
Gross loss
reserves after
subrogation
recoveries
At June 30, 2015
$
1,869,797

 
$
(2,556,574
)
 
$
(686,777
)
 
 
 
 
 
 
At December 31, 2014
$
1,897,426

 
$
(2,523,540
)
 
$
(626,114
)
(1)
Includes unpaid RMBS claims, including accrued interest on Deferred Amounts, on policies allocated to the Segregated Account.
(2)
The amount of recorded subrogation recoveries related to each securitization is limited to ever-to-date paid and unpaid losses plus the present value of expected cash flows for each policy. To the extent losses have been paid but not yet fully recovered, the recorded amount of RMBS subrogation recoveries may exceed the sum of the unpaid claims and the present value of expected cash flows for a given policy. The net cash inflow for these policies is recorded as a “Subrogation recoverable” asset. For those transactions where the subrogation recovery is less than the sum of unpaid claims and the present value of expected cash flows, the net cash outflow for these policies is recorded as a “Loss and loss expense reserves” liability.
(3)
The sponsor’s repurchase obligation may differ depending on the terms of the particular transaction and the status of the specific loan, such as whether it is performing or has been liquidated or charged off. The estimated subrogation recovery for these transactions is based primarily on loan level data provided through trustee reports received in the normal course of our surveillance activities or provided by the sponsor. While this data may not include all the components of the sponsor’s contractual repurchase obligation we believe it is the best information available to estimate the subrogation recovery.
(4)
From time to time R&W subrogation may include estimates of potential sponsor settlements that are currently in negotiation, but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample section of this table.
Summary of Rollforward of RMBS Subrogation, by Estimation Approach
Below is the rollforward of RMBS subrogation, by estimation approach, for the affected periods:
 
Random
sample
 
Adverse
sample
 
Total
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2015
$
2,523,540

 
$
—

 
$
2,523,540

Changes recognized in 2015:
 
 
 
 
 
Impact of sponsor actions (2)
—

 
—

 
—

All other changes (3)
33,034

 
—

 
33,034

Discounted RMBS subrogation( (gross of reinsurance) at June 30, 2015
$
2,556,574

 
$
—

 
$
2,556,574

 
 
 
 
 
 
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2014
$
953,825

 
$
1,252,773

 
$
2,206,598

Changes recognized in 2014:
 
 
 
 
 
Additional transactions reviewed
24,510

 
—

 
24,510

Changes in estimation approach (1)
1,341,917

 
(1,218,681
)
 
123,236

Impact of sponsor actions (2)
(90,000
)
 
—

 
(90,000
)
All other changes (3)
54,172

 
(34,092
)
 
20,080

Discounted RMBS subrogation (gross of reinsurance) at June 30, 2014
$
2,284,424

 
$
—

 
$
2,284,424

(1)
Represents estimated subrogation for those transactions previously evaluated using the Adverse sample approach, which are evaluated using a Random Sample approach beginning June 30, 2014. The amounts shown in the Random and Adverse Sample columns are different as a result of the differences in estimation approaches.
(2)
Sponsor actions include loan repurchases, direct payments to Ambac and other contributions.
(3)
All other changes which may impact RMBS subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor, and/or the projected timing of recoveries. All other changes may also include estimates of potential sponsor settlements that are currently in negotiation but have not been subject to a sampling approach. However, such estimates are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table.
Insurance Intangible Asset [Member]  
Insurance [Line Items]  
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block]
The estimated future amortization expense for the net insurance intangible asset is as follows:
 
 
2015
 
2016
 
2017
 
2018
 
2019
 
Thereafter
Amortization expense
 
$
60,630

 
$
109,308

 
$
99,248

 
$
91,385

 
$
84,630

 
$
894,226