Investments (Tables)

6 Months Ended

Jun. 30, 2012

Investments [Abstract]

Summary of amortized cost and estimated fair value of investments, excluding VIE investments

The amortized cost and estimated fair value of investments, excluding VIE investments, at June 30, 2012 and December 31, 2011 were as follows:

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Non-credit other- than-temporary Impairments (1)
June 30, 2012
Fixed income securities:
Municipal obligations	$	1,768,713	$	166,950	$	80	$	1,935,583	$	—
Corporate obligations		1,040,010		76,454		13,769		1,102,695		—
Foreign obligations		65,089		3,753		—		68,842		—
U.S. government obligations		109,927		1,507		45		111,389		—
U.S. agency obligations		80,053		4,647		—		84,700		—
Residential mortgage-backed securities		1,065,132		249,879		40,487		1,274,524		9,802
Collateralized debt obligations		42,099		481		1,214		41,366		—
Other asset-backed securities		774,898		44,910		48,617		771,191		—
		4,945,921		548,581		104,212		5,390,290		9,802
Short-term		1,009,868		193		2		1,010,059		—
Other		100		—		—		100		—
		5,955,889		548,774		104,214		6,400,449		9,802
Fixed income securities pledged as collateral:
U.S. government obligations		285,349		741		252		285,838		—
Residential mortgage-backed securities		766		56		—		822		—
Total collateralized investments		286,115		797		252		286,660		—
Total investments	$	6,242,004	$	549,571	$	104,466	$	6,687,109	$	9,802
December 31, 2011
Fixed income securities:
Municipal obligations	$	1,858,493	$	144,989	$	483	$	2,002,999	$	—
Corporate obligations		1,087,629		63,074		23,203		1,127,500		—
Foreign obligations		89,951		4,844		—		94,795		—
U.S. government obligations		107,717		3,847		2		111,562		—
U.S. agency obligations		80,960		5,911		—		86,871		—
Residential mortgage-backed securities		1,119,517		350,816		57,816		1,412,517		20,907
Collateralized debt obligations		48,686		142		2,591		46,237		—
Other asset-backed securities		953,944		53,965		60,101		947,808		—
		5,346,897		627,588		144,196		5,830,289		20,907
Short-term		783,015		57		1		783,071		—
Other		100		—		—		100		—
		6,130,012		627,645		144,197		6,613,460		20,907
Fixed income securities pledged as collateral:
U.S. government obligations		259,401		1,525		124		260,802		—
Residential mortgage-backed securities		2,557		171		—		2,728		—
Total collateralized investments		261,958		1,696		124		263,530		—
Total investments	$	6,391,970	$	629,341	$	144,321	$	6,876,990	$	20,907

(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 June 30, 2012 and December 31, 2011.

Summary of amortized cost and estimated fair value of investments excluding VIE investments by contractual maturity

The amortized cost and estimated fair value of investments, excluding VIE investments, at June 30, 2012, by contractual maturity, were as follows:

	Amortized Cost		Estimated Fair Value
Due in one year or less	$	806,147	$	809,446
Due after one year through five years		964,876		1,010,276
Due after five years through ten years		1,139,323		1,235,519
Due after ten years		1,448,763		1,543,965
		4,359,109		4,599,206
Residential mortgage-backed securities		1,065,898		1,275,346
Collateralized debt obligations		42,099		41,366
Other asset-backed securities		774,898		771,191
	$	6,242,004	$	6,687,109

Summary of gross unrealized losses and fair values of Ambac's investments

The following table shows gross unrealized losses and fair values of Ambac’s investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at June 30, 2012 and December 31, 2011:

	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
June 30, 2012:
Fixed income securities:
Municipal obligations	$	8,205	$	6	$	7,333	$	74	$	15,538	$	80
Corporate obligations		47,050		1,122		143,704		12,647		190,754		13,769
U.S. government obligations		297,450		297		—		—		297,450		297
Residential mortgage-backed securities		136,572		7,919		111,500		32,568		248,072		40,487
Collateralized debt obligations		18,279		197		9,558		1,017		27,837		1,214
Other asset-backed securities		19,020		4		195,525		48,613		214,545		48,617
		526,576		9,545		467,620		94,919		994,196		104,464
Short-term		6,285		2		—		—		6,285		2
Total temporarily impaired securities	$	532,861	$	9,547	$	467,620	$	94,919	$	1,000,481	$	104,466

	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, 2011:
Fixed income securities:
Municipal obligations	$	9,359	$	309	$	14,635	$	174	$	23,994	$	483
Corporate obligations		155,528		6,220		178,861		16,983		334,389		23,203
U.S. government obligations		130,422		126		—		—		130,422		126
Residential mortgage-backed securities		125,826		14,495		105,705		43,321		231,531		57,816
Collateralized debt obligations		33,037		840		12,482		1,751		45,519		2,591
Other asset-backed securities		181,792		8,319		204,855		51,782		386,647		60,101
		635,964		30,309		516,538		114,011		1,152,502		144,320
Short-term		5,773		1		—		—		5,773		1
Total temporarily impaired securities	$	641,737	$	30,310	$	516,538	$	114,011	$	1,158,275	$	144,321

Summary of amounts included in net realized gains (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 three and six month periods ended June 30, 2012 and 2011:

	Three-months ended June 30,						Six-months ended June 30,
	2012			2011			2012			2011
Gross realized gains on securities	$	67,681		$	645		$	68,505		$	4,254
Gross realized losses on securities		(570	)		(3,487	)		(891	)		(4,349	)
Foreign exchange gains (losses)		(44	)		314			(155	)		17
Net realized gains excluding other-than-temporary impairments	$	67,067		$	(2,528	)	$	67,459		$	(78	)
Net other-than-temporary impairments (1)	$	(2,328	)	$	(17,578	)	$	(5,399	)	$	(19,291	)

(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 impairments that were recognized in earnings on securities held

The following table presents a roll-forward of Ambac’s cumulative credit impairments that were recognized in earnings on securities held as of June 30, 2012 and 2011:

	Credit Impairment
	2012			2011
Balance as of January 1	$	201,317		$	139,766
Additions for credit impairments recognized on:
Securities not previously impaired		466			18,433
Securities previously impaired		4,933			858
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period		(24,007	)		—
Balance as of June 30	$	182,709		$	159,057

Summary of the sources of collateral received and various investment agreement in which collateral pledged

	Fair Value of Cash and Underlying Securities		Fair Value of Cash and Securities Pledged to Investment and Repurchase Agreement Counterparties		Fair Value of Cash and Securities Pledged to Derivative Counterparties
June 30, 2012:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	776,523	$	461,408	$	315,115
Cash and securities pledged from its derivative counterparties		—		—		—
December 31, 2011:
Sources of Collateral:
Cash and securities pledged directly from the investment portfolio	$	874,987	$	564,036	$	310,951
Cash and securities pledged from its derivative counterparties		—		—		—