Investments (Tables)

12 Months Ended

Dec. 31, 2016

Investments, Debt and Equity Securities [Abstract]

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

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2016 and 2015 were as follows:



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Non-Credit Other- than-temporary Impairments ⁽¹⁾
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

December 31, 2015
Fixed income securities:
Municipal obligations	$	424,048	$	4,910	$	8,188	$	420,770	$	—
Corporate obligations	1,610,912		7,089		24,332		1,593,669		—
Foreign obligations	96,638		1,491		1,823		96,306		—
U.S. government obligations	26,086		789		188		26,687		—
U.S. agency obligations	4,239		—		27		4,212		—
Residential mortgage-backed securities	1,942,285		99,670		64,617		1,977,338		41,673
Collateralized debt obligations	85,706		42		1,481		84,267		—
Other asset-backed securities	802,842		41,177		3,492		840,527		—
	4,992,756		155,168		104,148		5,043,776		41,673
Short-term	225,789		1		1		225,789		—
	5,218,545		155,169		104,149		5,269,565		41,673
Fixed income securities pledged as collateral:
U.S. government obligations	64,612		—		57		64,555		—
Total collateralized investments	64,612		—		57		64,555		—
Total available-for-sale investments	$	5,283,157	$	155,169	$	104,206	$	5,334,120	$	41,673


(1)	Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive loss on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2016 and 2015.

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, 2016, by contractual maturity, were as follows:



	Amortized Cost		Estimated Fair Value
Due in one year or less	$	553,892	$	554,454
Due after one year through five years	1,216,940		1,220,450
Due after five years through ten years	837,225		834,775
Due after ten years	146,530		145,928
	2,754,587		2,755,607
Residential mortgage-backed securities	2,284,425		2,351,595
Collateralized debt obligations	113,650		113,923
Other asset-backed securities	778,383		828,783
Total	$	5,931,045	$	6,049,908

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, 2016 and 2015:



	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, 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 government 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



	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, 2015
Fixed income securities:
Municipal obligations	$	117,008	$	2,070	$	114,708	$	6,118	$	231,716	$	8,188
Corporate obligations	938,916		21,331		92,581		3,001		1,031,497		24,332
Foreign government obligations	34,904		1,018		8,584		805		43,488		1,823
U.S. government obligations	2,938		18		10,658		170		13,596		188
U.S. agency obligations	—		—		4,212		27		4,212		27
Residential mortgage-backed securities	584,699		53,367		213,303		11,250		798,002		64,617
Collateralized debt obligations	77,538		1,481		—		—		77,538		1,481
Other asset-backed securities	450,690		3,456		19,274		36		469,964		3,492
	2,206,693		82,741		463,320		21,407		2,670,013		104,148
Short-term	9,982		1		—		—		9,982		1
	2,216,675		82,742		463,320		21,407		2,679,995		104,149
Fixed Income securities, pledged as collateral:
U.S. government obligations	64,555		57		—		—		64,555		57
Total collateralized investments	64,555		57		—		—		64,555		57
Total temporarily impaired securities	$	2,281,230	$	82,799	$	463,320	$	21,407	$	2,744,550	$	104,206

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:



Year Ended December 31,	2016			2015			2014
Gross realized gains on securities	$	17,344		$	58,218		$	63,366
Gross realized losses on securities	(8,239		)	(10,558		)	(9,824		)
Foreign exchange (losses) gains	30,179			5,816			5,235
Net realized gains	$	39,284		$	53,476		$	58,777
Net other-than-temporary impairments ⁽¹⁾	$	(21,819	)	$	(25,659	)	$	(25,794	)


(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, 2016 and 2015 for which a portion of an other-than-temporary impairment was recognized in other comprehensive income:



Year Ended December 31,	2016		2015		2014
Balance, beginning of period	$	31,176	$	14,062	$	1,182
Additions for credit impairments recognized on:
Securities not previously impaired	3,572		10,900		12,873
Securities previously impaired	17,322		6,214		7
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period	—		—		—
Balance, end of period	$	52,070	$	31,176	$	14,062

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

The following table presents (i) the sources of collateral either received from various counterparties where Ambac is permitted to sell or re-pledge the collateral or collateral held directly in the investment portfolio and (ii) how that collateral was pledged to various investment agreement, derivative and repurchase agreement counterparties at December 31, 2016 and 2015:



	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
December 31, 2016:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	291,545	$	88,940	$	202,605

December 31, 2015:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	338,007	$	108,379	$	229,628

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, 2016 and 2015, respectively:



	Municipal Obligations		Corporate Obligations		Mortgage and Asset- backed Securities		Short-term		Total		Weighted Average Underlying Rating ⁽¹⁾
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

December 31, 2015:
Ambac Assurance Corporation ⁽²⁾	$	60,836	$	—	$	2,216,317	$	—	$	2,277,153	CC
National Public Finance Guarantee Corporation	47,846		—		—		—		47,846		A-
Assured Guaranty Municipal Corporation	57,715		—		—		—		57,715		A+
MBIA Insurance Corporation	—		25,645		—		—		25,645		A+
Total	$	166,397	$	25,645	$	2,216,317	$	—	$	2,408,359	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 $118,813 and $119,802 at December 31, 2016 and 2015, 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,	2016			2015			2014
Fixed income securities	$	288,554		$	257,404		$	299,694
Short-term investments	1,505			299			3,092
Loans	337			420			529
Investment expense	(9,347		)	(8,786		)	(10,477		)
Securities available-for-sale and short-term	281,049			249,337			292,838
Other investments	32,318			16,952			8,108
Total net investment income	$	313,367		$	266,289		$	300,946

Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option plus, for periods after August 28, 2014, income from Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on that date. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:



Year Ended December 31,	2016		2015		2014
Net gains recognized during the period on trading securities	$	27,654	$	12,615	$	6,713
Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period	7,474		4,966		(487		)
Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date	$	20,180	$	7,649	$	7,200

- 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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