Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2016

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, 2016 and 2015, 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 Amount			Total Fair Value			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 (2)	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
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		—			—
Loans	10,658,963			10,658,963			—		—			10,658,963
Derivative assets:
Currency swaps-asset position	80,407			80,407			—		80,407			—
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 (1)	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			—
Total financial liabilities	$	18,182,476		$	19,620,566		$	—	$	11,958,793		$	7,661,773

	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
							Level 1		Level 2			Level 3
December 31, 2015:
Financial assets:
Fixed income securities:
Municipal obligations	$	420,770		$	420,770		$	—	$	420,770		$	—
Corporate obligations	1,593,669			1,593,669			—		1,593,669			—
Foreign obligations	96,306			96,306			87,808		8,498			—
U.S. government obligations	26,687			26,687			26,687		—			—
U.S. agency obligations	4,212			4,212			—		4,212			—
Residential mortgage-backed securities	1,977,338			1,977,338			—		1,488,454			488,884
Collateralized debt obligations	84,267			84,267			—		84,267			—
Other asset-backed securities	840,527			840,527			—		840,527			—
Fixed income securities, pledged as collateral:
U.S. government obligations	64,555			64,555			64,555		—			—
Short term investments	225,789			225,789			197,398		28,391			—
Other investments (2)	310,600			298,095			45,745		—			12,834
Cash and cash equivalents	35,744			35,744			35,744		—			—
Loans	5,206			5,128			—		—			5,128
Derivative assets:
Interest rate swaps—asset position	84,886			84,886			—		21,848			63,038
Interest rate swaps—liability position	—			—			—		—			—
Futures contracts	109			109			109		—			—
Other assets	8,696			8,696			—		—			8,696
Variable interest entity assets:
Fixed income securities:
Corporate obligations	2,588,556			2,588,556			—		—			2,588,556
Restricted cash	5,822			5,822			5,822		—			—
Loans	11,690,324			11,690,324			—		—			11,690,324
Total financial assets	$	20,064,063		$	20,051,480		$	463,868	$	4,490,636		$	14,857,460
Financial liabilities:
Obligations under investment agreements	$	100,358		$	101,400		$	—	$	—		$	101,400
Long term debt, including accrued interest	1,481,045			1,235,721			—		132,837			1,102,884
Derivative liabilities:
Credit derivatives	34,543			34,543			—		—			34,543
Interest rate swaps—asset position	(52,128		)	(52,128		)	—		(52,128		)	—
Interest rate swaps—liability position	370,943			370,943			—		243,256			127,687
Liabilities for net financial guarantees written (1)	2,033,484			2,325,859			—		—			2,325,859
Variable interest entity liabilities:
Long-term debt	12,327,960			12,327,960			—		9,147,790			3,180,170
Derivative liabilities:
Interest rate swaps—liability position	1,965,265			1,965,265			—		1,965,265			—
Currency swaps—liability position	(36,862		)	(36,862		)	—		(36,862		)	—
Total financial liabilities	$	18,224,608		$	18,272,701		$	—	$	11,400,158		$	6,872,543

(1) The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.

(2) Excluded from the fair value measurement categories in the table above are investment funds of $336,513 and $239,516 as of December 31, 2016 and 2015, respectively, which are measured using NAV per share as a practical expedient.

Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3

Information about the above described model inputs used to determine the fair value of each class of credit derivatives, including the CVA as a percentage of the gross mark-to-market liability before considering Ambac credit risk (“CVA percentage”), as of December 31, 2016 and 2015 is summarized below:

	2016						2015
December 31,	CLOs			Other			CLOs			Other (1)
Notional outstanding	$	123,052		$	614,328		$	295,253		$	617,148
Weighted average reference obligation price	99.5			92.3			98.4			85.2
Weighted average life (WAL) in years	1.8			5.9			1.1			6.1
Weighted average credit rating	AA			A-			AA			BBB+
Weighted average relative change ratio	36.6		%	30.6		%	36.3		%	33.3		%
CVA percentage	7.47		%	11.19		%	8.34		%	23.34		%
Fair value of derivative liabilities	$	213		$	15,136		$	1,837		$	32,697

(1) Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. As of December 31, 2015, these contracts had a combined notional outstanding of $58,482, WAL of 0.2 years and liability fair value of $9. Other inputs to the valuation of these transactions at December 31, 2015 include weighted average quotes of less than 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 0.09%.

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 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, 2016	Investments			Other Assets			Derivatives			Investments			Loans			Long-term Debt			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
Issuances	—			—			—			—			—			—			—
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
Deconsolidation 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

										VIE Assets and Liabilities
Year Ended December 31, 2015	Investments			Other Assets			Derivatives			Investments			Loans			Long-term Debt			Total
Balance, beginning of period	$	198,201		$	12,036		$	(215,346	)	$	2,743,050		$	12,371,177		$	(1,263,664	)	$	13,845,454
Total gains/(losses) realized and unrealized:
Included in earnings	30,083			(1,635		)	16,571			(7,263		)	569,617			(1,152,681		)	(545,308		)
Included in other comprehensive income	(73,559		)	—			—			(147,231		)	(612,941		)	93,812			(739,919		)
Purchases	359,193			—			—			—			—			—			359,193
Issuances	—			—			—			—			—			—			—
Sales	—			—			—			—			—			—			—
Settlements	(25,034		)	(1,705		)	11,365			—			(312,406		)	(17,085		)	(344,865		)
Transfers into Level 3	—			—			88,218			—			—			(840,552		)	(752,334		)
Transfers out of Level 3	—			—			—			—			—			—			—
Deconsolidations of VIEs	—			—			—			—			(325,123		)	—			(325,123		)
Balance, end of period	$	488,884		$	8,696		$	(99,192	)	$	2,588,556		$	11,690,324		$	(3,180,170	)	$	11,497,098
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	(1,635	)	$	(25,980	)	$	(7,263	)	$	589,634		$	(1,161,991	)	$	(607,235	)

										VIE Assets and Liabilities
Year Ended December 31, 2014	Investments			Other Assets			Derivatives			Investments			Loans			Long-term Debt			Total
Balance, beginning of period	$	67,783		$	13,384		$	(186,934	)	$	2,475,182		$	13,398,895		$	(1,514,605	)	$	14,253,705
Total gains/(losses) realized and unrealized:
Included in earnings	11,057			(1,348		)	(45,392		)	429,113			1,118,084			(290,457		)	1,221,057
Included in other comprehensive income	(541		)	—			—			(161,245		)	(726,827		)	66,515			(822,098		)
Purchases	54,013			—			—			—			70,000			—			124,013
Issuances	—			—			—			—			—			—			—
Sales	(59,878		)	—			—			—			—			—			(59,878		)
Settlements	(62,266		)	—			16,980			—			(792,186		)	433,896			(403,576		)
Transfers into Level 3	188,241			—			—			—			—			—			188,241
Transfers out of Level 3	(208		)	—			—			—			—			4,096			3,888
Deconsolidation of VIEs	—			—			—			—			(696,789		)	36,891			(659,898		)
Balance, end of period	$	198,201		$	12,036		$	(215,346	)	$	2,743,050		$	12,371,177		$	(1,263,664	)	$	13,845,454
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	(1,348	)	$	(53,509	)	$	429,113		$	1,119,219		$	(286,405	)	$	1,207,070

The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs.

Level-3 Investments by Class

Year Ended December 31, 2016	Other Asset Backed Securities			Non-Agency RMBS			Total Investments
Balance, beginning of period	$	—		$	488,884		$	488,884
Total gains/(losses) realized and unrealized:
Included in earnings	1,908			52,692			54,600
Included in other comprehensive income	(5,597		)	46,115			40,518
Purchases	—			99,018			99,018
Issuances	—			—			—
Sales	—			—			—
Settlements	(1,028		)	(27,654		)	(28,682		)
Transfers into Level 3	70,707			37,658			108,365
Transfers out of Level 3	—			—			—
Balance, end of period	$	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	$	—		$	—		$	—

Year Ended December 31, 2015	Corporate Obligations			Non-Agency RMBS			Total Investments
Balance, beginning of period	$	3,808		$	194,393		$	198,201
Total gains/(losses) realized and unrealized:
Included in earnings	(19		)	30,102			30,083
Included in other comprehensive income	(286		)	(73,273		)	(73,559		)
Purchases	—			359,193			359,193
Issuances	—			—			—
Sales	—			—			—
Settlements	(3,503		)	(21,531		)	(25,034		)
Transfers 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	$	—		$	—		$	—

Year Ended December 31, 2014	Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Non-Agency RMBS			Total Investments
Balance, beginning of period	$	64,073		$	3,502		$	208		$	—		$	67,783
Total gains/(losses) realized and unrealized:
Included in earnings	6,994			(97		)	—			4,160			11,057
Included in other comprehensive income	(8,182		)	403			—			7,238			(541		)
Purchases	—			—			—			54,013			54,013
Issuances	—			—			—			—			—
Sales	(59,878		)	—			—			—			(59,878		)
Settlements	(3,007		)	—			—			(59,259		)	(62,266		)
Transfers into Level 3	—			—			—			188,241			188,241
Transfers out of Level 3	—			—			(208		)	—			(208		)
Balance, end of period	$	—		$	3,808		$	—		$	194,393		$	198,201
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	—		$	—		$	—		$	—

Level-3 Derivatives by Class

	2016									2015
Year Ended December 31,	Interest Rate Swaps			Credit Derivatives			Total Derivatives			Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(64,649	)	$	(34,543	)	$	(99,192	)	$	(141,887	)	$	(73,459	)	$	(215,346	)
Total gains/(losses) realized and unrealized:
Included in earnings	(35,480		)	20,106			(15,374		)	(25,130		)	41,701			16,571
Included in other comprehensive income	—			—			—			—			—			—
Purchases	—			—			—			—			—			—
Issuances	—			—			—			—			—			—
Sales	—			—			—			—			—			—
Settlements	15,196			(912		)	14,284			14,150			(2,785		)	11,365
Transfers into Level 3	—			—			—			88,218			—			88,218
Transfers out of Level 3	—			—			—			—			—			—
Balance, end of period	$	(84,933	)	$	(15,349	)	$	(100,282	)	$	(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	$	(35,480	)	$	19,129		$	(16,351	)	$	(25,130	)	$	(850	)	$	(25,980	)

	2014
Year Ended December 31,	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(92,612	)	$	(94,322	)	$	(186,934	)
Total gains/(losses) realized and unrealized:
Included in earnings	(69,298		)	23,906			(45,392		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	20,023			(3,043		)	16,980
Transfers into Level 3	—			—			—
Transfers out of Level 3	—			—			—
Balance, end of period	$	(141,887	)	$	(73,459	)	$	(215,346	)
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	(69,298	)	$	15,789		$	(53,509	)

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 Investment Income		Realized Gains or (Losses) and Other Settlements on Credit Derivative Contracts		Unrealized Gains or (Losses) on Credit Derivative Contracts			Derivative Products Revenues (Interest Rate Swaps)			Income (Loss) on Variable Interest Entities			Other Income or (Loss)
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		)
Year Ended December 31, 2014
Total gains or losses included in earnings for the period	$	11,057	$	3,043	$	20,863		$	(69,298	)	$	1,256,740		$	(1,348	)
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date	—		—		15,789			(69,298		)	1,261,927			(1,348		)