FORM 10-K
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x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Ambac Financial Group, Inc.
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(Exact name of Registrant as specified in its charter)
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Delaware
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13-3621676
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(State of incorporation)
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(I.R.S. employer identification no.)
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One State Street Plaza, New York, New York
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10004
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(Address of principal executive offices)
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(Zip code)
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212-658-7470
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(Registrant’s telephone number, including area code)
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Large accelerated filer
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x
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Accelerated filer
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¨
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Non-accelerated filer
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¨
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Smaller reporting company
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¨
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PAGE
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Cautionary Statement Pursuant to the Private Securities Litigation Reform Act of 1995
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PART I
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Item 1.
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Business
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Introduction
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Financial Guaranty Segment
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Financial Services Segment
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Investments and Investment Policy
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Employees
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Item 1A.
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Risk Factors
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Item 1B.
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Unresolved Staff Comments
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Item 2.
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Properties
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Item 3.
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Legal Proceedings
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Item 4.
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Mine Safety Disclosures
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PART II
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Item 5.
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Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
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Item 6.
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Selected Financial Data
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Item 7.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations
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Company Overview
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Critical Accounting Policies and Estimates
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Results of Operations
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Liquidity and Capital Resources
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Balance Sheet
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Special Purpose Entities Including Variable Interest Entities
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Accounting Standards
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Ambac Assurance Statutory Basis Financial Results
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Ambac Assurance UK Limited Financial Results Under UK Accounting Principles
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Non-GAAP Financial Measures
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Item 7A.
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Quantitative and Qualitative Disclosures About Market Risk
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Item 8.
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Financial Statements and Supplementary Data
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Item 9.
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Changes in and Disagreements With Accountants on Accounting and Financial Disclosure
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Item 9A.
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Controls and Procedures
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Item 9B.
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Other Information
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PART III
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Item 10.
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Directors, Executive Officers and Corporate Governance
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Item 11.
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Executive Compensation
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Item 12.
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Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
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Item 13.
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Certain Relationships and Related Transactions, and Director Independence
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Item 14.
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Principal Accountant Fees and Services
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PART IV
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Item 15.
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Exhibits, Financial Statement Schedules
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Schedule I—Summary of Investments Other Than Investments in Related Parties
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Schedule II—Condensed Financial Information of Registrant (Parent Company Only)
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Schedule IV—Reinsurance
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SIGNATURES
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•
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Increasing the value of its investment in Ambac Assurance Corporation ("Ambac Assurance") by actively managing its assets and liabilities with a focus on maximizing risk-adjusted investment portfolio returns and mitigating or remediating losses on poorly performing insured transactions through executing policy commutations, repurchasing liabilities at a discount, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions, and other means; and
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•
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Selectively growing and diversifying Ambac, through the development or acquisition of financial services businesses such as advisory, asset servicing, asset management, and/or insurance.
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December 31 ($ in millions)
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2015
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2014
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||||
Public Finance
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$
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65,436
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$
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93,448
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Structured Finance
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21,814
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26,334
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International Finance
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21,049
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24,952
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Total net par outstanding
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$
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108,299
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$
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144,734
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($ in millions)
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Ambac
Ratings (1) |
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Net Par
Outstanding (2) |
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Net Par and Interest Outstanding
(2)
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||||
Exposures Subject to Priority Debt Provision
(3)
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||||
PR Highways and Transportation Authority (1968 Resolution - Highway Revenue)
(4)
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BIG
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$
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26
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$
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35
|
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PR Highways and Transportation Authority (1998 Resolution - Senior Lien Transportation Revenue)
(4)
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BIG
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445
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|
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852
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PR Infrastructure Financing Authority (Special Tax Revenue)
(5)
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BIG
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503
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1,074
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PR Convention Center District Authority (Hotel Occupancy Tax)
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BIG
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137
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|
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209
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Total
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1,111
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2,170
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Exposures Not Subject to Priority Debt Provision
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Commonwealth of Puerto Rico - General Obligation Bonds
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BIG
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56
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73
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PR Public Buildings Authority - Guaranteed by the Commonwealth of Puerto Rico
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BIG
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191
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299
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PR Sales Tax Financing Corporation - Senior Sales Tax Revenue
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BIG
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805
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7,321
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Total
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1,052
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7,693
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Total Net Exposure to The Commonwealth of Puerto Rico and Related Entities
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$
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2,163
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$
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9,863
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(1)
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Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance. In cases where Ambac Assurance has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance credit ratings are subject to revision at any time and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has guaranteed the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac Assurance may have received premiums or fees. “BIG” denotes credits deemed below investment grade.
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(2)
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Net Par includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy.
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(3)
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Commonly known as "clawback" provision pursuant to Section 8 of Article VI of the Constitution of the Commonwealth of Puerto Rico.
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(4)
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Pledged Revenues for Highway and Transportation Revenue Bonds include Toll Revenues and Investment Earnings which are not subject to the Priority Debt Provision.
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(5)
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Payable from and secured by proceeds from a federal excise tax imposed on all items produced in Puerto Rico and sold on the mainland of the United States. Currently, rum is the only product from Puerto Rico subject to this federal excise tax.
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($ in millions)
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Ambac
Ratings
(1)
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Net Par
Outstanding
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% of Total
Net Par
Outstanding
|
|||
New Jersey Transportation Trust Fund Authority - Transportation System
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BBB+
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$
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1,650
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1.5
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%
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California State - GO
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A
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1,623
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1.5
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%
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NYS Thruway Authority, Highway & Bridge Revenue
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AA-
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834
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0.8
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%
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Puerto Rico Sales Tax Financing Corporation - Senior Sales Tax Revenue
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BIG
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805
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0.7
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%
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Massachusetts Commonwealth - GO
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AA
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802
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0.7
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%
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Chicago, IL - GO
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BBB-
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625
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0.6
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%
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Mets Queens Baseball Stadium Project, NY, Lease Revenue
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BIG
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579
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0.5
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%
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Alameda Corridor Transportation Authority, Transportation Revenue
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BBB
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508
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0.5
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%
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Puerto Rico Infrastructure Financing Authority, Special Tax Revenue
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BIG
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503
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0.5
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%
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Hickam Community Housing LLC
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BBB
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480
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0.4
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%
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Total
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$
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8,409
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7.8
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%
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(1)
|
Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance. In cases where Ambac Assurance has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal
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Servicer
($ in millions)
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Bond Type
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Net Par
Outstanding
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% of Total
Net Par
Outstanding
|
|||
Specialized Loan Servicing, LLC
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Mortgage-backed
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$
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2,621
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2.4
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%
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Bank of America N.A.
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Mortgage-backed
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2,608
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2.4
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%
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Ocwen Loan Servicing, LLC
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Mortgage-backed
|
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1,581
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|
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1.5
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%
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Pennsylvania Higher Education Assistance Agency
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Student Loan
|
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1,522
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1.4
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%
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Wells Fargo Bank
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Mortgage-backed
|
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1,374
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1.3
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%
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($ in millions)
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Bond Type
|
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Ambac
Rating
(1)
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Net Par
Outstanding
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% of Total
Net Par
Outstanding
|
|||
Ballantyne Re Plc
(2)
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Structured Insurance
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BIG
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$
|
900
|
|
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0.8
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%
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Wachovia Asset Securitization Issuance II, LLC 2007-HE2
(3)
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Mortgage Backed Securities
|
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BIG
|
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740
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|
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0.7
|
%
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Timberlake Financial, LLC
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Structured Insurance
|
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BBB
|
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606
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|
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0.6
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%
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The National Collegiate Student Loan Trust 2007-4
(3)
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Student Loans
|
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BIG
|
|
581
|
|
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0.5
|
%
|
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Progress Energy Carolinas, Inc.
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Investor Owned Utility
|
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A-
|
|
558
|
|
|
0.5
|
%
|
|
Wachovia Asset Securitization Issuance II, LLC 2007-HE1
(3)
|
Mortgage Backed Securities
|
|
BIG
|
|
524
|
|
|
0.5
|
%
|
|
Local Insight Media Finance LLC
|
Asset Backed
|
|
BIG
|
|
489
|
|
|
0.5
|
%
|
|
CenterPoint Energy Inc.
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Investor Owned Utility
|
|
BBB+
|
|
376
|
|
|
0.3
|
%
|
|
Consolidated Edison Company of New York
|
Investor Owned Utility
|
|
A
|
|
347
|
|
|
0.3
|
%
|
|
Option One Mortgage Loan Trust 2007-FXD1
(3)
|
Mortgage Backed Securities
|
|
BIG
|
|
336
|
|
|
0.3
|
%
|
|
Total
|
|
|
|
|
$
|
5,457
|
|
|
5.0
|
%
|
(1)
|
Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance, and for Ambac UK related transactions, based on the view of Ambac UK. In cases where Ambac Assurance or Ambac UK has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance and Ambac UK credit ratings are subject to revision at any time and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has guaranteed the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac may have received premiums or fees. “BIG” denotes credits deemed below investment grade.
|
(2)
|
Insurance policy issued by Ambac UK.
|
(3)
|
Ambac Assurance has allocated this transaction to the Segregated Account.
|
($ in millions)
|
|
Country-Bond Type
|
|
Ambac
Rating
(1)
|
|
Net Par
Outstanding
|
|
% of Total
Net Par
Outstanding
|
|||
Mitchells & Butlers Finance plc-UK Pub Securitisation
|
|
UK-Asset Securitizations
|
|
A+
|
|
$
|
1,728
|
|
|
1.6
|
%
|
National Grid Electricity Transmission
|
|
UK-Utility
|
|
A-
|
|
1,168
|
|
|
1.1
|
%
|
|
Aspire Defence Finance plc
|
|
UK-Infrastructure
|
|
BBB+
|
|
1,052
|
|
|
1.0
|
%
|
|
Capital Hospitals plc
(2)
|
|
UK-Infrastructure
|
|
BBB
|
|
989
|
|
|
0.9
|
%
|
|
Telereal Securitisation plc
|
|
UK-Asset Securitizations
|
|
AA
|
|
928
|
|
|
0.9
|
%
|
|
Anglian Water
|
|
UK-Utility
|
|
A-
|
|
814
|
|
|
0.8
|
%
|
|
Posillipo Finance II S.r.l.
|
|
Italy-Sub-Sovereign
|
|
BBB-
|
|
785
|
|
|
0.7
|
%
|
|
National Grid Gas
|
|
UK-Utility
|
|
A-
|
|
751
|
|
|
0.7
|
%
|
|
Ostregion Investmentgesellschaft NR 1 SA
(2)
|
|
Austria-Infrastructure
|
|
BIG
|
|
737
|
|
|
0.7
|
%
|
|
RMPA Services plc
|
|
UK-Infrastructure
|
|
BBB+
|
|
710
|
|
|
0.7
|
%
|
|
Total
|
|
|
|
|
|
$
|
9,662
|
|
|
8.9
|
%
|
(1)
|
Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance, and for Ambac UK related transactions, based on the view of Ambac UK. In cases where Ambac Assurance or Ambac UK has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance and Ambac UK credit ratings are subject to revision at any time and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has guaranteed the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac may have received premiums or fees. “BIG” denotes credits deemed below investment grade.
|
(2)
|
A portion of this transaction is insured by an insurance policy issued by Ambac Assurance.
|
|
|
|
|
|
Net Par Amount as of
December 31, 2015
|
|||||||
Current Par Amount
($ in millions)
|
Number of
Issues
|
|
% of Total
Number of Issues
|
|
Amount
Outstanding
|
|
% of Total
|
|||||
Less than $10 million
|
3,443
|
|
|
68
|
%
|
|
$
|
9,119
|
|
|
8
|
%
|
$10—less than $50 million
|
1,114
|
|
|
22
|
%
|
|
24,959
|
|
|
23
|
%
|
|
$50—$250 million
|
409
|
|
|
8
|
%
|
|
42,756
|
|
|
40
|
%
|
|
Greater than $250 million
|
79
|
|
|
2
|
%
|
|
31,465
|
|
|
29
|
%
|
|
Total
|
5,045
|
|
|
100
|
%
|
|
$
|
108,299
|
|
|
100
|
%
|
Geographic Area
($ in millions)
|
Net Par
Amount
Outstanding
|
|
% of Total
Net Par Amount
Outstanding
|
|||
Domestic:
|
|
|
|
|||
California
|
$
|
15,461
|
|
|
14.3
|
%
|
New York
|
5,719
|
|
|
5.3
|
%
|
|
Florida
|
4,481
|
|
|
4.1
|
%
|
|
New Jersey
|
4,422
|
|
|
4.1
|
%
|
|
Texas
|
3,916
|
|
|
3.6
|
%
|
|
Illinois
|
3,599
|
|
|
3.3
|
%
|
|
Colorado
|
3,313
|
|
|
3.1
|
%
|
|
Pennsylvania
|
2,414
|
|
|
2.2
|
%
|
|
Puerto Rico
|
2,163
|
|
|
2.0
|
%
|
|
Massachusetts
|
2,157
|
|
|
2.0
|
%
|
|
Mortgage and asset-backed
(1)
|
12,527
|
|
|
11.6
|
%
|
|
Other domestic
|
27,078
|
|
|
25.0
|
%
|
|
Total Domestic
|
87,250
|
|
|
80.5
|
%
|
|
International:
|
|
|
|
|||
United Kingdom
|
15,494
|
|
|
14.3
|
%
|
|
Australia
|
1,851
|
|
|
1.7
|
%
|
|
Italy
|
948
|
|
|
0.9
|
%
|
|
Austria
|
737
|
|
|
0.7
|
%
|
|
France
|
288
|
|
|
0.3
|
%
|
|
Internationally diversified
(2)
|
974
|
|
|
0.9
|
%
|
|
Other international
|
757
|
|
|
0.7
|
%
|
|
Total International Finance
|
21,049
|
|
|
19.5
|
%
|
|
Total
|
$
|
108,299
|
|
|
100.0
|
%
|
(1)
|
Mortgage and asset-backed obligations includes guarantees with multiple locations of risk within the United States and is primarily comprised of residential mortgage and commercial asset-backed securitizations.
|
(2)
|
Internationally diversified may include components of U.S. exposure.
|
($ in Millions)
|
|
Austria
|
|
France
|
|
Germany
|
|
Ireland
|
|
Italy
|
|
Spain
|
|
Total
|
||||||||||||||
Sub-sovereign
|
|
$
|
—
|
|
|
$
|
35
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
785
|
|
|
$
|
—
|
|
|
$
|
820
|
|
Infrastructure / operating ABS
|
|
737
|
|
|
253
|
|
|
—
|
|
|
—
|
|
|
163
|
|
|
—
|
|
|
1,153
|
|
|||||||
Structured insurance
|
|
—
|
|
|
—
|
|
|
—
|
|
|
79
|
|
|
—
|
|
|
—
|
|
|
79
|
|
|||||||
Investor-owned utility
|
|
—
|
|
|
—
|
|
|
50
|
|
|
—
|
|
|
—
|
|
|
43
|
|
|
93
|
|
|||||||
Total
|
|
$
|
737
|
|
|
$
|
288
|
|
|
$
|
50
|
|
|
$
|
79
|
|
|
$
|
948
|
|
|
$
|
43
|
|
|
$
|
2,145
|
|
Total below investment grade
|
|
$
|
737
|
|
|
$
|
—
|
|
|
$
|
50
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
43
|
|
|
$
|
830
|
|
Currency
($ in millions)
|
Net Par Amount
Outstanding in
Base Currency
|
|
Net Par Amount
Outstanding in
U.S. Dollars
|
||||
U.S. Dollars
|
$
|
89,114
|
|
|
$
|
89,114
|
|
British Pounds
|
£
|
10,295
|
|
|
15,162
|
|
|
Euros
|
€
|
1,943
|
|
|
2,110
|
|
|
Australian Dollars
|
A$
|
2,261
|
|
|
1,648
|
|
|
New Zealand Dollars
|
NZ$
|
389
|
|
|
265
|
|
|
Total
|
|
|
$
|
108,299
|
|
December 31
|
2015
|
|
2014
|
||
Ambac Rating
(1)
|
|
|
|
||
AAA
|
<1%
|
|
|
<1%
|
|
AA
|
16
|
|
|
19
|
|
A
|
39
|
|
|
42
|
|
BBB
|
27
|
|
|
22
|
|
BIG
|
18
|
|
|
17
|
|
Total
|
100
|
%
|
|
100
|
%
|
(1)
|
Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance, and for Ambac UK related transactions, based on the view of Ambac UK. In cases where Ambac Assurance or Ambac UK has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance and Ambac UK credit ratings are subject to revision at any time and do not constitute investment advice.
|
Bond Type
|
Net Par Outstanding - December 31,
|
||||||
($ in millions)
|
2015
|
|
2014
|
||||
Public Finance:
|
|
|
|
||||
Tax-backed
(1)
|
$
|
2,017
|
|
|
$
|
2,512
|
|
General obligation
(1)
|
746
|
|
|
564
|
|
||
Transportation
|
432
|
|
|
453
|
|
||
Housing
(2)
|
126
|
|
|
841
|
|
||
Health care
|
6
|
|
|
27
|
|
||
Other
|
917
|
|
|
1,293
|
|
||
Total Public Finance
|
4,244
|
|
|
5,690
|
|
||
Structured Finance:
|
|
|
|
||||
Residential mortgage-backed and home equity—first lien
|
6,055
|
|
|
7,003
|
|
||
Residential mortgage-backed and home equity—second lien
|
4,374
|
|
|
5,466
|
|
||
Student loans
|
1,426
|
|
|
3,092
|
|
||
Structured Insurance
|
1,037
|
|
|
1,037
|
|
||
Mortgage-backed and home equity—other
|
251
|
|
|
299
|
|
||
Other
|
525
|
|
|
536
|
|
||
Total Structured Finance
|
13,668
|
|
|
17,433
|
|
||
International Finance:
|
|
|
|
||||
Other
|
1,880
|
|
|
2,214
|
|
||
Total International Finance
|
1,880
|
|
|
2,214
|
|
||
Total
|
$
|
19,792
|
|
|
$
|
25,337
|
|
(1)
|
Tax-backed includes $1,916 and $2,187 of Puerto Rico net par at
December 31, 2015 and 2014
, respectively. General obligation includes $247 and $250 of Puerto Rico net par at
December 31, 2015 and 2014
, respectively. Puerto Rico net par outstanding includes capital appreciation bonds which are reported at the par amount at the time of issuance of the related insurance policy.
|
(2)
|
Includes $125 and $609 of military housing net par at
December 31, 2015 and 2014
, respectively.
|
•
|
Loans with specific payment features that afforded borrowers the option to have lower payments in the early years with potential resets after several years. For example, so-called interest only loans have monthly payments comprised of interest but no principal. So called negative amortization loans permit borrowers to defer interest and principal in the early years and then make higher payments in the period after the reset. Both types may also have lower interest rates in the early years. Increases in monthly payments, commonly called payment shock, raise the probability of delinquencies and defaults given the decline in house prices that has caused many borrowers’ loan balances to exceed their homes’ market value.
|
•
|
Loans backed by borrowers who typically did not meet standard agency guidelines for documentation requirement,
|
|
Total Net Par Outstanding - December 31, 2015
|
|
Total Net Par Outstanding - December 31, 2014
|
||||||||||||||||||||||||||||||||||||
Year of Issue
($ in millions)
|
Second
Lien
|
|
First-lien
Sub-prime
|
|
First-lien
Mid-prime
|
|
Other
(1)
|
|
Total
|
|
Second
Lien
|
|
First-lien
Sub-prime |
|
First-lien
Mid-prime |
|
Other
(1)
|
|
Total
|
||||||||||||||||||||
1998-2001
|
$
|
11
|
|
|
$
|
386
|
|
|
$
|
1
|
|
|
$
|
236
|
|
|
$
|
634
|
|
|
$
|
23
|
|
|
$
|
450
|
|
|
$
|
2
|
|
|
$
|
293
|
|
|
$
|
768
|
|
2002
|
7
|
|
|
340
|
|
|
31
|
|
|
5
|
|
|
383
|
|
|
14
|
|
|
391
|
|
|
39
|
|
|
8
|
|
|
452
|
|
||||||||||
2003
|
10
|
|
|
488
|
|
|
187
|
|
|
104
|
|
|
789
|
|
|
13
|
|
|
565
|
|
|
227
|
|
|
127
|
|
|
932
|
|
||||||||||
2004
|
451
|
|
|
289
|
|
|
336
|
|
|
7
|
|
|
1,083
|
|
|
625
|
|
|
329
|
|
|
408
|
|
|
15
|
|
|
1,377
|
|
||||||||||
2005
|
544
|
|
|
664
|
|
|
1,211
|
|
|
44
|
|
|
2,463
|
|
|
724
|
|
|
767
|
|
|
1,394
|
|
|
49
|
|
|
2,934
|
|
||||||||||
2006
|
1,615
|
|
|
438
|
|
|
617
|
|
|
65
|
|
|
2,735
|
|
|
2,042
|
|
|
518
|
|
|
700
|
|
|
75
|
|
|
3,335
|
|
||||||||||
2007
|
1,765
|
|
|
336
|
|
|
1,055
|
|
|
144
|
|
|
3,300
|
|
|
2,070
|
|
|
398
|
|
|
1,252
|
|
|
168
|
|
|
3,888
|
|
||||||||||
Total
|
$
|
4,403
|
|
|
$
|
2,941
|
|
|
$
|
3,438
|
|
|
$
|
605
|
|
|
$
|
11,387
|
|
|
$
|
5,511
|
|
|
$
|
3,418
|
|
|
$
|
4,022
|
|
|
$
|
735
|
|
|
$
|
13,686
|
|
% of Total RMBS Portfolio
|
38.7
|
%
|
|
25.8
|
%
|
|
30.2
|
%
|
|
5.3
|
%
|
|
100.0
|
%
|
|
40.2
|
%
|
|
25.0
|
%
|
|
29.4
|
%
|
|
5.4
|
%
|
|
100.0
|
%
|
||||||||||
% of Related Par Outstanding rated below investment grade
(2)
|
99.4
|
%
|
|
93.1
|
%
|
|
95.9
|
%
|
|
45.1
|
%
|
|
93.8
|
%
|
|
99.2
|
%
|
|
91.7
|
%
|
|
95.6
|
%
|
|
43.9
|
%
|
|
93.3
|
%
|
(1)
|
Other primarily includes manufactured housing and lot loan exposures
|
(2)
|
Ambac’s below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions. Ambac Assurance’s below investment grade category includes transactions on which claims have been submitted.
|
December 31 ($ in million)
|
2015
|
|
2014
|
||||||||||
Debt Type
|
Net Par
|
|
% of Net Par
|
|
Net Par
|
|
% of Net Par
|
||||||
Auction Rate
|
$
|
464
|
|
|
20
|
%
|
|
$
|
1,022
|
|
|
30
|
%
|
Fixed Rate
|
139
|
|
|
6
|
%
|
|
181
|
|
|
5
|
%
|
||
Floating Rate Notes
|
1,715
|
|
|
74
|
%
|
|
2,163
|
|
|
64
|
%
|
||
Debt Service Reserve
|
5
|
|
|
—
|
%
|
|
24
|
|
|
1
|
%
|
||
Total
|
$
|
2,323
|
|
|
100
|
%
|
|
$
|
3,390
|
|
|
100
|
%
|
December 31 ($ in millions)
|
2015
|
|
2014
|
||||
Investor-owned utilities
|
$
|
2,277
|
|
|
$
|
2,403
|
|
Student Loans
|
464
|
|
|
1,022
|
|
||
Healthcare
|
533
|
|
|
825
|
|
||
Lease and Tax-backed
|
500
|
|
|
570
|
|
||
Transportation
|
459
|
|
|
403
|
|
||
Utility
|
293
|
|
|
304
|
|
||
General Obligation
|
49
|
|
|
107
|
|
||
Other
|
375
|
|
|
403
|
|
||
Total
|
$
|
4,950
|
|
|
$
|
6,037
|
|
Bond Type
($ in millions)
|
Ceded Par
Amount
Outstanding
|
|
% of Gross
Par Ceded
|
|||
Public Finance:
|
|
|
|
|||
General obligation
|
$
|
2,244
|
|
|
12
|
%
|
Lease and tax-backed revenue
|
2,235
|
|
|
9
|
%
|
|
Utility revenue
|
1,272
|
|
|
13
|
%
|
|
Transportation revenue
|
1,091
|
|
|
16
|
%
|
|
Housing revenue
|
986
|
|
|
13
|
%
|
|
Higher education
|
409
|
|
|
11
|
%
|
|
Health care revenue
|
248
|
|
|
10
|
%
|
|
Other
|
107
|
|
|
9
|
%
|
|
Total Public Finance
|
8,592
|
|
|
12
|
%
|
|
Structured Finance:
|
|
|
|
|||
Student loan
|
712
|
|
|
23
|
%
|
|
Investor-owned utilities
|
581
|
|
|
11
|
%
|
|
Mortgage-backed and home equity
|
143
|
|
|
1
|
%
|
|
Asset-backed
|
64
|
|
|
5
|
%
|
|
Other
|
259
|
|
|
11
|
%
|
|
Total Structured Finance
|
1,759
|
|
|
7
|
%
|
|
Total Domestic
|
10,351
|
|
|
11
|
%
|
|
International Finance:
|
|
|
|
|||
Investor-owned and public utilities
|
388
|
|
|
5
|
%
|
|
Asset-backed
|
83
|
|
|
2
|
%
|
|
Transportation
|
75
|
|
|
3
|
%
|
|
CDOs
|
39
|
|
|
17
|
%
|
|
Total International Finance
|
585
|
|
|
3
|
%
|
|
Total
|
$
|
10,936
|
|
|
9
|
%
|
|
2015
|
|
2014
|
||||||||||
Investment Category
($ in thousands) December 31
|
Carrying
Value
(1)
|
|
Weighted
Average
Yield
(2)
|
|
Carrying
Value (1) |
|
Weighted
Average
Yield
(2)
|
||||||
Long-term investments:
|
|
|
|
|
|
|
|
||||||
Taxable bonds
|
$
|
4,998,076
|
|
|
5.76
|
%
|
|
$
|
4,666,727
|
|
|
5.27
|
%
|
Tax-exempt bonds
|
110,255
|
|
|
4.08
|
%
|
|
123,226
|
|
|
4.15
|
%
|
||
Total long-term investments
|
5,108,331
|
|
|
5.72
|
%
|
|
4,789,953
|
|
|
5.24
|
%
|
||
Short-term investments
|
225,789
|
|
|
0.28
|
%
|
|
360,065
|
|
|
0.04
|
%
|
||
Other investments
(3)
|
310,600
|
|
|
—
|
|
|
357,016
|
|
|
—
|
|
||
Total
|
$
|
5,644,720
|
|
|
5.49
|
%
|
|
$
|
5,507,034
|
|
|
4.86
|
%
|
(1)
|
Includes investments guaranteed by Ambac Assurance and Ambac UK. Refer to
Note 11. Investments
of the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K for further discussion of Ambac insured securities held in the investment portfolio.
|
(2)
|
Yields are stated on a pre-tax basis, based on average amortized cost for both long and short term investments.
|
(3)
|
Other investments include equity interests in pooled investment funds which are classified as trading securities and Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on August 28, 2014.
|
|
2015
|
|
2014
|
||||||||||
Investment Category
($ in thousands) December 31
|
Carrying
Value
|
|
Weighted
Average
Yield
(1)
|
|
Carrying
Value
|
|
Weighted
Average
Yield
(1)
|
||||||
Municipal obligations
(2)
|
$
|
420,770
|
|
|
3.71
|
%
|
|
$
|
525,792
|
|
|
3.65
|
%
|
Corporate securities
|
1,593,669
|
|
|
2.81
|
%
|
|
1,385,594
|
|
|
2.54
|
%
|
||
Foreign obligations
|
96,306
|
|
|
1.07
|
%
|
|
127,757
|
|
|
1.86
|
%
|
||
U.S. government obligations
|
91,242
|
|
|
1.06
|
%
|
|
107,246
|
|
|
1.14
|
%
|
||
U.S. agency obligations
|
4,212
|
|
|
0.58
|
%
|
|
29,486
|
|
|
0.30
|
%
|
||
Residential mortgage-backed securities
|
1,977,338
|
|
|
10.07
|
%
|
|
1,710,955
|
|
|
9.70
|
%
|
||
Asset-backed securities
|
924,794
|
|
|
3.46
|
%
|
|
903,123
|
|
|
3.65
|
%
|
||
Total long-term investments
|
5,108,331
|
|
|
5.72
|
%
|
|
4,789,953
|
|
|
5.24
|
%
|
||
Short-term investments
(2)
|
225,789
|
|
|
0.28
|
%
|
|
360,065
|
|
|
0.04
|
%
|
||
Other investments
(3)
|
310,600
|
|
|
—
|
|
|
357,016
|
|
|
—
|
|
||
Total
|
$
|
5,644,720
|
|
|
5.49
|
%
|
|
$
|
5,507,034
|
|
|
4.86
|
%
|
(1)
|
Yields are stated on a pre-tax basis,
based on average amortized
cost for both long and short term investments
.
|
(2)
|
Includes taxable and tax-exempt investments.
|
(3)
|
Other investments include equity interests in pooled investment funds which are classified as trading securities and Ambac's equity interest in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on August 28, 2014
|
•
|
changes in investors’ or analysts’ valuation measures for our stock;
|
•
|
market trends unrelated to our stock;
|
•
|
market and industry perception of our success, or lack thereof, in pursuing our business strategy;
|
•
|
results and actions of other participants in our industry;
|
•
|
changes in the perceived risk within our insured portfolio; and
|
•
|
adverse developments in our financial condition or results of operation.
|
•
|
Internal Fraud-misappropriation of assets, intentional mismarking of positions
|
•
|
External Fraud-theft of information, third-party theft and forgery
|
•
|
Clients, Products, & Business Practice-improper trade, fiduciary breaches
|
•
|
Damage to Physical Assets-vandalism
|
•
|
Business Disruption & System Failures-software failures, hardware failures; and
|
•
|
Execution, Delivery, & Process Management-data entry errors, accounting errors, failed mandatory reporting, settlement errors, and negligence.
|
|
2015
|
|
2014
|
||||||||||||
|
High
|
|
Low
|
|
High
|
|
Low
|
||||||||
Fourth quarter
|
$
|
17.39
|
|
|
$
|
12.72
|
|
|
$
|
26.74
|
|
|
$
|
18.60
|
|
Third quarter
|
$
|
19.17
|
|
|
$
|
14.22
|
|
|
$
|
27.54
|
|
|
$
|
21.86
|
|
Second quarter
|
$
|
25.91
|
|
|
$
|
16.44
|
|
|
$
|
32.20
|
|
|
$
|
26.37
|
|
First quarter
|
$
|
27.53
|
|
|
$
|
23.99
|
|
|
$
|
35.61
|
|
|
$
|
22.00
|
|
|
Total Shares
Purchased
|
|
Average Price
Paid Per Share |
|
Total Number of
Shares Purchased
as Part of Publicly
Announced Plan
|
|
Maximum
Number of Shares
That May Yet Be
Purchased Under
the Plan
|
|||||
October 2015
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
November 2015
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
December 2015
|
8,202
|
|
|
14.39
|
|
|
—
|
|
|
—
|
|
|
Fourth Quarter 2015
|
8,202
|
|
|
$
|
14.39
|
|
|
—
|
|
|
—
|
|
|
|
2013
|
|
2014
|
|
2015
|
||||||||||||||||||
|
|
5/1
|
|
6/30
|
|
9/30
|
|
12/31
|
|
3/31
|
|
6/30
|
|
9/30
|
|
12/31
|
|
3/31
|
|
6/30
|
|
9/30
|
|
12/31
|
Ambac Financial Group, Inc.
|
|
$100.00
|
|
$119.15
|
|
$90.70
|
|
$122.80
|
|
$155.15
|
|
$136.55
|
|
$110.50
|
|
$122.50
|
|
$121.00
|
|
$83.20
|
|
$72.35
|
|
$70.45
|
Russell 2000 Index
|
|
$100.00
|
|
$106.08
|
|
$116.95
|
|
$127.18
|
|
$128.61
|
|
$131.28
|
|
$121.67
|
|
$133.54
|
|
$139.32
|
|
$139.93
|
|
$123.25
|
|
$127.01
|
S&P 500 Financials Index
|
|
$100.00
|
|
$101.49
|
|
$106.25
|
|
$116.79
|
|
$118.30
|
|
$123.85
|
|
$124.62
|
|
$130.09
|
|
$130.66
|
|
$130.35
|
|
$121.31
|
|
$129.14
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||
|
|
|
|
|
Period from
|
|
|
Period from
|
|
|
|
|
||||||||||||
|
|
|
|
|
May 1 through
|
|
|
Jan. 1 through
|
|
|
|
|
||||||||||||
|
Year Ended December 31,
|
|
December 31,
|
|
|
April 30,
|
|
Year Ended December 31,
|
||||||||||||||||
($ in millions, except per share data)
|
2015
|
|
2014
|
|
2013
|
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||
Total Comprehensive Income Highlights:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Gross premiums written
|
$
|
(37.6
|
)
|
|
$
|
(288.3
|
)
|
|
$
|
(80.3
|
)
|
|
|
$
|
(14.1
|
)
|
|
$
|
(277.5
|
)
|
|
(179.0
|
)
|
|
Net premiums earned
|
312.6
|
|
|
246.4
|
|
|
213.5
|
|
|
|
130.0
|
|
|
414.6
|
|
|
406.0
|
|
||||||
Net investment income
|
266.3
|
|
|
300.9
|
|
|
146.4
|
|
|
|
116.7
|
|
|
382.9
|
|
|
354.8
|
|
||||||
Other than temporary impairment losses
|
(25.7
|
)
|
|
(25.8
|
)
|
|
(46.8
|
)
|
|
|
(0.5
|
)
|
|
(6.0
|
)
|
|
(63.8
|
)
|
||||||
Net realized investment gains
|
53.5
|
|
|
58.8
|
|
|
4.5
|
|
|
|
53.3
|
|
|
72.1
|
|
|
17.3
|
|
||||||
Net change in fair value of credit derivatives
|
41.7
|
|
|
23.9
|
|
|
192.9
|
|
|
|
(60.4
|
)
|
|
(9.2
|
)
|
|
48.0
|
|
||||||
Derivative products revenue
|
(42.5
|
)
|
|
(181.1
|
)
|
|
114.8
|
|
|
|
(33.7
|
)
|
|
(125.0
|
)
|
|
(280.8
|
)
|
||||||
Net realized (losses) gains on extinguishment of debt
|
0.1
|
|
|
(74.7
|
)
|
|
—
|
|
|
|
—
|
|
|
(177.6
|
)
|
|
3.1
|
|
||||||
Income (loss) on Variable Interest Entities ("VIEs")
|
31.6
|
|
|
(32.2
|
)
|
|
(48.6
|
)
|
|
|
426.6
|
|
|
27.8
|
|
|
(214.4
|
)
|
||||||
Loss and loss expenses (benefit)
(1)
|
(768.7
|
)
|
|
(545.6
|
)
|
|
(185.1
|
)
|
|
|
(38.1
|
)
|
|
683.6
|
|
|
1,859.5
|
|
||||||
Interest and underwriting and operating expenses
|
219.2
|
|
|
229.0
|
|
|
153.7
|
|
|
|
75.6
|
|
|
251.3
|
|
|
269.4
|
|
||||||
Insurance intangible amortization
|
169.6
|
|
|
151.8
|
|
|
99.7
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Reorganization items
|
—
|
|
|
0.2
|
|
|
0.5
|
|
|
|
(2,745.2
|
)
|
|
7.2
|
|
|
49.9
|
|
||||||
Pre-tax income (loss)
|
510.1
|
|
|
493.3
|
|
|
512.3
|
|
|
|
3,348.0
|
|
|
(256.5
|
)
|
|
(1,882.9
|
)
|
||||||
Net income (loss) attributable to Common Shareholders
|
493.4
|
|
|
484.1
|
|
|
505.2
|
|
|
|
3,349.0
|
|
|
(256.7
|
)
|
|
(1,960.4
|
)
|
||||||
Total comprehensive income attributable to Ambac Financial Group, Inc.
|
288.3
|
|
|
692.7
|
|
|
516.9
|
|
|
|
3,523.9
|
|
|
(94.6
|
)
|
|
(1,788.9
|
)
|
||||||
Net income (loss) per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic
|
$
|
10.92
|
|
|
$
|
10.73
|
|
|
$
|
11.23
|
|
|
|
$
|
11.07
|
|
|
$
|
(0.85
|
)
|
|
$
|
(6.48
|
)
|
Diluted
|
$
|
10.72
|
|
|
$
|
10.31
|
|
|
$
|
10.91
|
|
|
|
$
|
11.07
|
|
|
$
|
(0.85
|
)
|
|
$
|
(6.48
|
)
|
(1)
|
Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties within loss and loss expenses (benefit). The expense (benefit) associated with changes to our estimated recoveries for the year ended December 31, 2015 and 2014, the eight months ended December 31, 2013, the four months ended April 30, 2013 and the years ended December 31, 2012 and 2011 were $(303.6)
million, $(481.6) million, $199.4 million, $(61.6) million, $195.2 million and $(301.1) million, respectively.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||
($ in millions) December 31
|
2015
|
|
2014
|
|
2013
|
|
|
2012
|
|
2011
|
||||||||||
Balance Sheet Highlights:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Total non-variable interest entity investments
|
$
|
5,644.7
|
|
|
$
|
5,507.0
|
|
|
$
|
6,523.7
|
|
|
|
$
|
6,329.9
|
|
|
$
|
6,877.0
|
|
Cash
|
35.7
|
|
|
73.9
|
|
|
77.4
|
|
|
|
43.8
|
|
|
16.0
|
|
|||||
Premium receivable
|
831.6
|
|
|
1,000.6
|
|
|
1,453.0
|
|
|
|
1,620.6
|
|
|
2,028.5
|
|
|||||
Insurance intangible asset
|
1,212.1
|
|
|
1,410.9
|
|
|
1,598.0
|
|
|
|
—
|
|
|
—
|
|
|||||
Goodwill
|
—
|
|
|
514.5
|
|
|
514.5
|
|
|
|
—
|
|
|
—
|
|
|||||
Subrogation recoverable
(1)
|
1,229.3
|
|
|
953.3
|
|
|
498.5
|
|
|
|
497.3
|
|
|
659.8
|
|
|||||
Deferred ceded premium
|
96.8
|
|
|
123.3
|
|
|
145.5
|
|
|
|
177.9
|
|
|
221.3
|
|
|||||
Total VIE assets
|
14,288.5
|
|
|
15,126.1
|
|
|
15,988.7
|
|
|
|
17,841.9
|
|
|
16,543.2
|
|
|||||
Total assets
|
23,728.1
|
|
|
25,159.9
|
|
|
27,092.5
|
|
|
|
27,085.3
|
|
|
27,113.7
|
|
|||||
Liabilities subject to compromise
|
—
|
|
|
—
|
|
|
—
|
|
|
|
1,704.9
|
|
|
1,707.4
|
|
|||||
Unearned premiums
|
1,280.3
|
|
|
1,673.8
|
|
|
2,255.7
|
|
|
|
2,778.4
|
|
|
3,457.2
|
|
|||||
Losses and loss expense reserve
(1)
|
4,088.1
|
|
|
4,752.0
|
|
|
5,968.7
|
|
|
|
6,619.5
|
|
|
7,044.1
|
|
|||||
Obligations under investment and repurchase agreements
|
100.4
|
|
|
160.1
|
|
|
359.1
|
|
|
|
362.0
|
|
|
546.5
|
|
|||||
Long-term debt
(2)
|
1,125.0
|
|
|
971.1
|
|
|
963.2
|
|
|
|
150.2
|
|
|
223.6
|
|
|||||
Derivative liabilities
|
353.4
|
|
|
406.9
|
|
|
253.9
|
|
|
|
531.3
|
|
|
414.5
|
|
|||||
Total VIE liabilities
|
14,259.8
|
|
|
15,085.7
|
|
|
15,872.8
|
|
|
|
17,661.7
|
|
|
16,379.4
|
|
|||||
Total liabilities
|
21,769.7
|
|
|
23,486.1
|
|
|
26,114.1
|
|
|
|
30,332.2
|
|
|
30,263.2
|
|
|||||
Total stockholders’ equity (deficit)
|
1,958.3
|
|
|
1,673.7
|
|
|
978.4
|
|
|
|
(3,247.0
|
)
|
|
(3,149.5
|
)
|
|||||
Total liabilities and stockholders' equity
|
$
|
23,728.1
|
|
|
$
|
25,159.9
|
|
|
$
|
27,092.5
|
|
|
|
$
|
27,085.3
|
|
|
$
|
27,113.7
|
|
(1)
|
Ambac records as a component of its loss reserves and subrogation recoverable, estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties. Ambac has recorded gross estimated recoveries of $2,829.6 million, $2,523.5 million, $2,206.6 million, $2,523.2 million and $2,720.3 million at December 31, 2015, 2014, 2013, 2012, and 2011, respectively.
|
(2)
|
Long-term debt represents surplus notes issued to third parties by Ambac Assurance and the Segregated Account. In 2014, Ambac sold a $350.0 million junior surplus note issued to it by the Segregated Account to a newly formed Trust in exchange for cash of $224.3 million and a subordinated owner trust certificate issued by the Trust. Long-term debt for all years excludes the portion of long-term debt associated with variable interest entities. Long-term debt associated with Ambac is included under liabilities subject to compromise in Predecessor Ambac.
|
December 31
($ in billions)
|
2015
|
|
2014
|
|
$ Variance
|
|
% Variance
|
|||||||
Total
|
$
|
108.3
|
|
|
$
|
144.7
|
|
|
$
|
(36.4
|
)
|
|
(25
|
)%
|
BIG
|
19.8
|
|
|
25.3
|
|
|
(5.5
|
)
|
|
(22
|
)%
|
•
|
Liquid investments in asset backed and short-term securities of
$147.6 million
|
•
|
Investments in Ambac-insured securities with a fair value of
$76.3 million
|
•
|
Investments in Ambac Assurance surplus notes with a fair value of
$12.2 million
, which is eliminated in consolidation
|
•
|
Residual interest in a VIE Trust that was created in 2014 to monetize Ambac's ownership interest in junior surplus notes issued by the Segregated Account. Ambac's carrying value of this investment was
$25.3 million
at December 31, 2015.
Refer to
Note 1. Background and Business Description
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K, for more information on this transaction
.
|
|
|
2015
|
|
2014
|
||||||||||||
($ in millions) December 31
|
|
Gross par
outstanding
(1)
|
|
Gross Loss and Loss Expense
Reserves
(1)(2)(3)
|
|
Gross par
outstanding
(1)
|
|
Gross Loss and Loss Expense
Reserves
(1)(2)(3)
|
||||||||
RMBS
|
|
$
|
8,067
|
|
|
$
|
1,401
|
|
|
$
|
9,713
|
|
|
$
|
1,915
|
|
Student Loans
|
|
1,207
|
|
|
486
|
|
|
1,764
|
|
|
879
|
|
||||
Domestic Public Finance
|
|
5,246
|
|
|
470
|
|
|
4,796
|
|
|
354
|
|
||||
Ambac UK
|
|
943
|
|
|
420
|
|
|
951
|
|
|
542
|
|
||||
All other credits
|
|
513
|
|
|
9
|
|
|
1,099
|
|
|
15
|
|
||||
Loss expenses
|
|
—
|
|
|
73
|
|
|
—
|
|
|
94
|
|
||||
Totals
|
|
$
|
15,976
|
|
|
$
|
2,859
|
|
|
$
|
18,323
|
|
|
$
|
3,799
|
|
(1)
|
Ceded par outstanding on policies with loss reserves and ceded loss and loss expense reserves at
December 31, 2015 and 2014
, are $847 and $44 and $915 and $100, respectively. Ceded loss and loss expense reserves are included in Reinsurance recoverable on paid and unpaid losses.
|
(2)
|
Loss and Loss Expense reserves at
December 31, 2015
of
$2,859
are included in the balance sheet in the following line items: Loss and loss expense reserves:
$4,088
and Subrogation recoverable:
$1,229
. Loss and Loss Expense reserves at
December 31, 2014
of
$3,799
are included in the balance sheet in the following line items: Loss and loss expense reserves: $
4,752
and Subrogation recoverable:
$
953
.
|
(3)
|
Included in Gross Loss and Loss Expense Reserves are unpaid claims of
$3,459
and
$3,274
at
December 31, 2015 and 2014
, respectively, related to policies allocated to the Segregated Account, inclusive of accrued interest payable on Deferred Amounts of $491 and $329, respectively.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums earned
|
$
|
312.6
|
|
|
$
|
246.4
|
|
|
$
|
213.5
|
|
|
|
$
|
130.0
|
|
Net investment income
|
266.3
|
|
|
300.9
|
|
|
146.4
|
|
|
|
116.7
|
|
||||
Net other-than-temporary impairment losses
|
(25.7
|
)
|
|
(25.8
|
)
|
|
(46.8
|
)
|
|
|
(0.5
|
)
|
||||
Net realized investment gains
|
53.5
|
|
|
58.8
|
|
|
4.5
|
|
|
|
53.3
|
|
||||
Change in fair value of credit derivatives
|
41.7
|
|
|
23.9
|
|
|
192.9
|
|
|
|
(60.4
|
)
|
||||
Derivative product revenues
|
(42.5
|
)
|
|
(181.1
|
)
|
|
114.8
|
|
|
|
(33.7
|
)
|
||||
Other income
|
7.2
|
|
|
12.5
|
|
|
4.4
|
|
|
|
8.4
|
|
||||
Income (loss) on variable interest entities
|
31.6
|
|
|
(32.2
|
)
|
|
(48.6
|
)
|
|
|
426.6
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Loss and loss expenses (benefit)
|
(768.7
|
)
|
|
(545.6
|
)
|
|
(185.1
|
)
|
|
|
(38.1
|
)
|
||||
Insurance intangible amortization
|
169.6
|
|
|
151.8
|
|
|
99.7
|
|
|
|
—
|
|
||||
Underwriting and operating expenses
|
102.7
|
|
|
101.5
|
|
|
68.8
|
|
|
|
44.6
|
|
||||
Interest expense
|
116.5
|
|
|
127.5
|
|
|
85.0
|
|
|
|
31.0
|
|
||||
Goodwill impairment
|
514.5
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Reorganization items
|
—
|
|
|
0.2
|
|
|
0.5
|
|
|
|
(2,745.2
|
)
|
||||
Provision for income taxes
|
17.4
|
|
|
9.6
|
|
|
7.5
|
|
|
|
0.8
|
|
||||
Less: Net income attributable to the noncontrolling interest
|
(0.7
|
)
|
|
(0.4
|
)
|
|
(0.4
|
)
|
|
|
(1.8
|
)
|
||||
Net income (loss) (attributable to common shareholders)
|
$
|
493.4
|
|
|
$
|
484.1
|
|
|
$
|
505.2
|
|
|
|
$
|
3,349.0
|
|
•
|
Negatively impacted by the runoff of the insured portfolio occurring through transaction terminations, calls and scheduled maturities.
|
•
|
Changes in the collectability of certain premium receivables, primarily within Structured Finance. These changes resulted in an increase in net premiums earned of $0.5 million for the year ended 2015 and decreases of $2.2 million, $13.9 million, and $0.6 million for the year ended 2014, the eight months ended December 31, 2013, and the four months ended April 30, 2013, respectively.
|
•
|
Pre-refundings of insured securities, primarily Public Finance transactions. Since the maturity date of pre-refunded securities is shortened (to a specified call date from its previous legal maturity), normal net premiums earned will increase over the remaining period of the related policy.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Public Finance
|
$
|
97.1
|
|
|
$
|
104.8
|
|
|
$
|
86.6
|
|
|
|
$
|
47.9
|
|
Structured Finance
|
34.2
|
|
|
39.7
|
|
|
20.0
|
|
|
|
20.3
|
|
||||
International Finance
|
43.9
|
|
|
71.9
|
|
|
50.4
|
|
|
|
25.4
|
|
||||
Total normal premiums earned
|
175.2
|
|
|
216.4
|
|
|
157.0
|
|
|
|
93.6
|
|
||||
Accelerated earnings
|
137.4
|
|
|
30.0
|
|
|
56.5
|
|
|
|
36.4
|
|
||||
Total net premiums earned
|
$
|
312.6
|
|
|
$
|
246.4
|
|
|
$
|
213.5
|
|
|
|
$
|
130.0
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Public Finance
|
$
|
97.3
|
|
|
$
|
57.5
|
|
|
$
|
54.7
|
|
|
|
$
|
32.6
|
|
Structured Finance
|
1.1
|
|
|
(4.9
|
)
|
|
3.8
|
|
|
|
3.8
|
|
||||
International Finance
|
39.0
|
|
|
(22.6
|
)
|
|
(2.0
|
)
|
|
|
—
|
|
||||
Total accelerated earnings
|
$
|
137.4
|
|
|
$
|
30.0
|
|
|
$
|
56.5
|
|
|
|
$
|
36.4
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Financial Guarantee
|
$
|
256.6
|
|
|
$
|
298.0
|
|
|
$
|
145.2
|
|
|
|
$
|
115.1
|
|
Financial Services
|
0.6
|
|
|
1.1
|
|
|
1.1
|
|
|
|
1.6
|
|
||||
Corporate
|
9.1
|
|
|
1.8
|
|
|
0.1
|
|
|
|
—
|
|
||||
Total net investment income
|
$
|
266.3
|
|
|
$
|
300.9
|
|
|
$
|
146.4
|
|
|
|
$
|
116.7
|
|
($ in millions)
|
Financial
Guarantee
|
|
Financial
Services
|
|
Corporate
|
|
Total
|
||||||||
Successor Ambac - Year Ended December 31, 2015
|
|
|
|
|
|
|
|
||||||||
Net gains on securities sold or called
|
$
|
47.6
|
|
|
$
|
0.1
|
|
|
$
|
—
|
|
|
$
|
47.7
|
|
Foreign exchange gains
|
5.8
|
|
|
—
|
|
|
—
|
|
|
5.8
|
|
||||
Total net realized gains
|
$
|
53.4
|
|
|
$
|
0.1
|
|
|
$
|
—
|
|
|
$
|
53.5
|
|
|
|
|
|
|
|
|
|
||||||||
Successor Ambac - Year Ended December 31, 2014
|
|
|
|
|
|
|
|
||||||||
Net gains on securities sold or called
|
$
|
53.3
|
|
|
$
|
0.3
|
|
|
$
|
—
|
|
|
$
|
53.6
|
|
Foreign exchange gains
|
5.2
|
|
|
—
|
|
|
—
|
|
|
5.2
|
|
||||
Total net realized gains
|
$
|
58.5
|
|
|
$
|
0.3
|
|
|
$
|
—
|
|
|
$
|
58.8
|
|
|
|
|
|
|
|
|
|
||||||||
Successor Ambac—Period from May 1 through December 31, 2013
|
|
|
|
|
|
|
|
||||||||
Net gains on securities sold or called
|
$
|
10.9
|
|
|
$
|
1.7
|
|
|
$
|
—
|
|
|
$
|
12.6
|
|
Foreign exchange (losses)
|
(8.1
|
)
|
|
—
|
|
|
—
|
|
|
(8.1
|
)
|
||||
Total net realized gains
|
$
|
2.8
|
|
|
$
|
1.7
|
|
|
$
|
—
|
|
|
$
|
4.5
|
|
|
|
|
|
|
|
|
|
||||||||
Predecessor Ambac—Period from January 1 through April 30, 2013
|
|
|
|
|
|
|
|
||||||||
Net gains on securities sold or called
|
$
|
7.2
|
|
|
$
|
39.9
|
|
|
$
|
—
|
|
|
$
|
47.1
|
|
Foreign exchange gains
|
6.2
|
|
|
—
|
|
|
—
|
|
|
6.2
|
|
||||
Total net realized gains
|
$
|
13.4
|
|
|
$
|
39.9
|
|
|
$
|
—
|
|
|
$
|
53.3
|
|
($ in millions) December 31
|
2015
|
|
2014
|
||||
Mark-to-market liability of credit derivatives, excluding CVA
|
$
|
44.6
|
|
|
$
|
89.4
|
|
CVA on credit derivatives
|
(10.1
|
)
|
|
(15.9
|
)
|
||
Net credit derivative liability at fair value
|
$
|
34.5
|
|
|
$
|
73.5
|
|
($ in millions) December 31
|
2015
|
|
2014
|
||||
Derivative products mark-to-market liability, excluding CVA
|
$
|
312.5
|
|
|
$
|
289.0
|
|
CVA on derivative products portfolio
|
(78.7
|
)
|
|
(64.5
|
)
|
||
Net derivative products portfolio liability at fair value
|
$
|
233.8
|
|
|
$
|
224.5
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
RMBS
(1)
|
$
|
(735.9
|
)
|
|
$
|
(874.3
|
)
|
|
$
|
(127.5
|
)
|
|
|
$
|
(241.1
|
)
|
Student Loans
|
(252.9
|
)
|
|
(89.9
|
)
|
|
(90.8
|
)
|
|
|
35.4
|
|
||||
Domestic Public Finance
|
127.9
|
|
|
64.4
|
|
|
100.4
|
|
|
|
45.6
|
|
||||
Ambac UK
|
(97.0
|
)
|
|
(22.3
|
)
|
|
(83.4
|
)
|
|
|
88.8
|
|
||||
All other credits
|
(5.5
|
)
|
|
(79.8
|
)
|
|
8.7
|
|
|
|
23.1
|
|
||||
Interest on Deferred Amounts
|
161.9
|
|
|
411.7
|
|
|
—
|
|
|
|
—
|
|
||||
Loss expenses
|
32.8
|
|
|
44.6
|
|
|
7.5
|
|
|
|
10.1
|
|
||||
Totals
|
$
|
(768.7
|
)
|
|
$
|
(545.6
|
)
|
|
$
|
(185.1
|
)
|
|
|
$
|
(38.1
|
)
|
(1)
|
Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties within loss and loss expenses (benefit). The loss and loss expense (benefit) associated with changes in estimated representation and warranties for the year ended
December 31, 2015 and 2014
, the eight months ended December 31, 2013 and the four months ended April 30, 2013 was $(303.6), $(481.6), $199.4 and $(61.6), respectively.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Claims recorded
(1)
|
$
|
367.9
|
|
|
$
|
463.7
|
|
|
$
|
441.5
|
|
|
|
$
|
403.4
|
|
Subrogation received
|
(308.4
|
)
|
|
(500.5
|
)
|
|
(292.0
|
)
|
|
|
(160.4
|
)
|
||||
Net Claims Recorded
|
$
|
59.5
|
|
|
$
|
(36.8
|
)
|
|
$
|
149.5
|
|
|
|
$
|
243.0
|
|
(1)
|
Claims recorded include (i) claims paid and (ii) changes to claims presented and not yet presented through the balance sheet date for policies which were allocated to the Segregated Account. Item (ii) includes permitted policy claims for policies allocated to the Segregated Account that were presented and approved by the Rehabilitator of the Segregated Account but not paid through to the balance sheet date in accordance with the amended Segregated Account Rehabilitation Plan and associated rules and guidelines as discussed in
Note 1. Background and Business Description
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K. Amounts recorded for claims not yet presented and/or permitted are based on management’s judgment. Claims recorded exclude interest accrued on Deferred Amounts.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Gross operating expenses
|
$
|
102.3
|
|
|
$
|
100.1
|
|
|
$
|
67.3
|
|
|
|
$
|
37.8
|
|
Reinsurance commissions, net
|
0.4
|
|
|
1.4
|
|
|
1.5
|
|
|
|
0.3
|
|
||||
Amortization of deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
|
6.5
|
|
||||
Total
|
$
|
102.7
|
|
|
$
|
101.5
|
|
|
$
|
68.8
|
|
|
|
$
|
44.6
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Surplus notes
|
$
|
113.1
|
|
|
$
|
125.9
|
|
|
$
|
83.5
|
|
|
|
$
|
29.5
|
|
Investment agreements
|
0.9
|
|
|
1.6
|
|
|
1.4
|
|
|
|
1.3
|
|
||||
Secured borrowing
|
2.5
|
|
|
—
|
|
|
0.1
|
|
|
|
0.2
|
|
||||
Total interest expense
|
$
|
116.5
|
|
|
$
|
127.5
|
|
|
$
|
85.0
|
|
|
|
$
|
31.0
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in millions)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Professional advisory fees
|
$
|
—
|
|
|
$
|
0.2
|
|
|
$
|
0.5
|
|
|
|
$
|
4.4
|
|
Gain from cancellation and satisfaction of Predecessor Ambac debt
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(1,521.4
|
)
|
||||
Fresh Start reporting adjustments
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(1,228.2
|
)
|
||||
Total reorganization items
|
$
|
—
|
|
|
$
|
0.2
|
|
|
$
|
0.5
|
|
|
|
$
|
(2,745.2
|
)
|
|
Payments due by period
|
||||||||||||||||||
($ in millions)
|
Total
|
|
Less Than 1 Year
|
|
1 - 3 Years
|
|
3 - 5 Years
|
|
More than 5 Years
|
||||||||||
Surplus note obligations
(1)
|
$
|
1,976.8
|
|
|
$
|
333.4
|
|
|
$
|
94.0
|
|
|
$
|
1,549.4
|
|
|
$
|
—
|
|
Investment agreement obligations
(2)
|
102.6
|
|
|
1.7
|
|
|
100.9
|
|
|
—
|
|
|
—
|
|
|||||
Operating lease obligations
(3)
|
43.6
|
|
|
6.5
|
|
|
13.9
|
|
|
7.6
|
|
|
15.6
|
|
|||||
Purchase obligations
(4)
|
8.3
|
|
|
3.6
|
|
|
3.2
|
|
|
1.5
|
|
|
—
|
|
|||||
Postretirement benefits
(5)
|
4.0
|
|
|
0.3
|
|
|
0.6
|
|
|
0.8
|
|
|
2.3
|
|
|||||
Loss and loss expenses
(6)
|
8,473.4
|
|
|
3,851.5
|
|
|
799.5
|
|
|
496.5
|
|
|
3,325.9
|
|
|||||
Income Taxes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total
|
$
|
10,608.7
|
|
|
$
|
4,197.0
|
|
|
$
|
1,012.1
|
|
|
$
|
2,055.8
|
|
|
$
|
3,343.8
|
|
(1)
|
Includes principal of and interest on surplus notes (excluding junior surplus notes) when due. All payments of principal and interest on surplus notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest on the surplus notes, such interest will accrue and compound annually until paid.
Annually from 2011 through 2015, OCI
disapproved scheduled interest payments. Amounts in the table assume future approval by OCI for surplus notes (excluding junior surplus notes) for all principal and interest payments, including payment of previously deferred interest totaling $273.3 million on the next scheduled payment date of June 7, 2016. Additionally, all principal and interest payments on junior surplus notes (excluding part of the
|
(2)
|
Includes principal of and interest on obligations using current rates for floating rate obligations.
|
(3)
|
Amount represents future lease payments on lease agreements existing as of
December 31, 2015
. Ambac Assurance's lease with One State Street Plaza has a provision where Ambac Assurance can extend the lease of certain floors past the termination date of September 2019 to December 2029. The above table does not reflect payments on those certain floors after the related lease expiry date of September 2019.
|
(4)
|
Purchase obligations represent future expenditures for contractually scheduled fixed terms and amounts due for various technology-related maintenance agreements and other outside services.
|
(5)
|
Amount represents future payments relating to the Ambac Assurance postretirement benefit plan for current retirees over the next 10 years.
|
(6)
|
The timing of expected claim payments is based on deal specific cash flows, excluding expected recoveries. These deal specific cash flows are based on the expected cash flows of the underlying transactions (e.g. for RMBS credits we model estimated future claim payments). The timing of expected claim payments for credits with reserves that were established using our statistical loss reserve method is determined based on the weighted average expected life of the exposure. Refer to the Loss Reserves section in
Note 2. Basis of Presentation and Significant Accounting Policies
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K for further discussion of our statistical loss reserve method. The timing of these payments may vary significantly from the amounts shown above, especially for credits that are based on our statistical loss reserve method. As further described in
Note 1. Background and Business Description
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K, following the effective date of the Segregated Account Rehabilitation Plan, as amended, the percentage of the initial cash Interim Payment for permitted policy claims increased from
25%
to
45%
with effect from July 21, 2014. The Segregated Account will continue to make cash payments of 45% of each policy claim submitted and permitted in accordance with the Segregated Account Rehabilitation Plan, as amended (plus, in certain cases, Supplemental Payments or Special Policy Payments), subject to any further orders of the Rehabilitation Court. As with previously permitted policy claims, the remaining portion of the unpaid permitted policy claims (in this case,
55%
) will remain outstanding as Deferred Amounts and, subject to the adjustment for Undercollateralized Bonds, will accrue interest at
5.1%
per annum. These Deferred Amounts, together with interest thereon, may be paid from time to time in the future at the sole discretion of the Rehabilitator. Unpaid claims include deferred policy claims of $2,967.8 and accrued interest on Deferred Amounts of $491.0 at
December 31, 2015
. We have included such unpaid amounts as obligations due in 2015. Additionally, all future claim payments are included in their respective year at the estimated permitted claim amount.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in million)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Cash provided by (used in):
|
|
|
|
|
|
|
|
|
||||||||
Operating activities
|
$
|
87.5
|
|
|
$
|
(971.5
|
)
|
|
$
|
186.9
|
|
|
|
$
|
(0.7
|
)
|
Investing activities
|
(172.6
|
)
|
|
1,275.2
|
|
|
(247.5
|
)
|
|
|
115.3
|
|
||||
Financing activities
|
46.9
|
|
|
(307.1
|
)
|
|
(15.0
|
)
|
|
|
(5.5
|
)
|
||||
Net cash flow
|
$
|
(38.2
|
)
|
|
$
|
(3.5
|
)
|
|
$
|
(75.6
|
)
|
|
|
$
|
109.1
|
|
($ in millions)
|
Financial
Guarantee
|
|
Financial
Services
|
|
Corporate
|
|
Total
|
||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
||||||||
Fixed income securities
|
4,758.7
|
|
|
109.3
|
|
|
175.8
|
|
|
5,043.8
|
|
||||
Short-term
|
177.5
|
|
|
0.2
|
|
|
48.1
|
|
|
225.8
|
|
||||
Other investments
|
285.3
|
|
|
—
|
|
|
25.3
|
|
|
310.6
|
|
||||
Fixed income securities pledged as collateral
|
64.5
|
|
|
—
|
|
|
—
|
|
|
64.5
|
|
||||
Total investments
|
$
|
5,286.0
|
|
|
$
|
109.5
|
|
|
$
|
249.2
|
|
|
$
|
5,644.7
|
|
Percent total
|
93.7
|
%
|
|
1.9
|
%
|
|
4.4
|
%
|
|
100
|
%
|
||||
|
|
|
|
|
|
|
|
||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
||||||||
Fixed income securities
|
4,382.1
|
|
|
109.2
|
|
|
234.3
|
|
|
4,725.6
|
|
||||
Short-term
|
337.0
|
|
|
0.2
|
|
|
22.9
|
|
|
360.1
|
|
||||
Other investments
|
336.0
|
|
|
—
|
|
|
21.0
|
|
|
357.0
|
|
||||
Fixed income securities pledged as collateral
|
64.3
|
|
|
—
|
|
|
—
|
|
|
64.3
|
|
||||
Total investments
|
$
|
5,119.4
|
|
|
$
|
109.4
|
|
|
$
|
278.2
|
|
|
$
|
5,507.0
|
|
Percent total
|
93.0
|
%
|
|
2.0
|
%
|
|
5.0
|
%
|
|
100
|
%
|
($ in millions)
|
Financial
Guarantee
(1)
|
|
Financial
Services
|
|
Corporate
|
|
Total
|
||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
||||||||
Residential mortgage-backed securities:
|
|
|
|
|
|
|
|
||||||||
RMBS—First-lien—Alt-A
|
$
|
772.1
|
|
|
$
|
—
|
|
|
$
|
75.1
|
|
|
$
|
847.2
|
|
RMBS—Second Lien
|
814.0
|
|
|
—
|
|
|
1.2
|
|
|
815.2
|
|
||||
RMBS—First Lien—Sub Prime
|
314.9
|
|
|
—
|
|
|
—
|
|
|
314.9
|
|
||||
Total residential mortgage-backed securities
|
1,901.0
|
|
|
—
|
|
|
76.3
|
|
|
1,977.3
|
|
||||
Other asset-backed securities
|
|
|
|
|
|
|
|
||||||||
Auto
|
192.6
|
|
|
4.5
|
|
|
54.1
|
|
|
251.2
|
|
||||
Military Housing
|
238.2
|
|
|
—
|
|
|
—
|
|
|
238.2
|
|
||||
Credit Cards
|
50.9
|
|
|
104.8
|
|
|
22.4
|
|
|
178.1
|
|
||||
Structured Insurance
|
119.8
|
|
|
—
|
|
|
—
|
|
|
119.8
|
|
||||
Student Loans
|
19.8
|
|
|
—
|
|
|
—
|
|
|
19.8
|
|
||||
Other
|
31.3
|
|
|
—
|
|
|
2.1
|
|
|
33.4
|
|
||||
Total other asset-backed securities
|
652.6
|
|
|
109.3
|
|
|
78.6
|
|
|
840.5
|
|
||||
Total
|
$
|
2,553.6
|
|
|
$
|
109.3
|
|
|
$
|
154.9
|
|
|
$
|
2,817.8
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
||||||||
Residential mortgage-backed securities:
|
|
|
|
|
|
|
|
||||||||
RMBS—First-lien—Alt-A
|
$
|
573.2
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
573.2
|
|
RMBS—Second Lien
|
872.2
|
|
|
—
|
|
|
—
|
|
|
872.2
|
|
||||
RMBS—First Lien—Sub Prime
|
265.5
|
|
|
—
|
|
|
—
|
|
|
265.5
|
|
||||
Total residential mortgage-backed securities
|
1,710.9
|
|
|
—
|
|
|
—
|
|
|
1,710.9
|
|
||||
Other asset-backed securities
|
|
|
|
|
|
|
|
||||||||
Auto
|
31.0
|
|
|
4.5
|
|
|
125.1
|
|
|
160.6
|
|
||||
Military Housing
|
228.8
|
|
|
—
|
|
|
—
|
|
|
228.8
|
|
||||
Credit Cards
|
9.6
|
|
|
104.7
|
|
|
60.5
|
|
|
174.8
|
|
||||
Structured Insurance
|
51.4
|
|
|
—
|
|
|
—
|
|
|
51.4
|
|
||||
Student Loans
|
231.7
|
|
|
—
|
|
|
—
|
|
|
231.7
|
|
||||
Other
|
2.7
|
|
|
—
|
|
|
32.0
|
|
|
34.7
|
|
||||
Total other asset-backed securities
|
555.2
|
|
|
109.2
|
|
|
217.6
|
|
|
882.0
|
|
||||
Total
|
$
|
2,266.1
|
|
|
$
|
109.2
|
|
|
$
|
217.6
|
|
|
$
|
2,592.9
|
|
(1)
|
Includes investments guaranteed by Ambac Assurance and Ambac UK. Refer to
Note 11. Investments
of the Consolidated Financial Statements included in Part II Item 8 for further discussion of Ambac-insured securities held in the investment portfolio.
|
Ratings
(1)
|
Financial
Guarantee
|
|
Financial
Services
|
|
Corporate
|
|
Combined
(2)
|
||||
December 31, 2015
|
|
|
|
|
|
|
|
||||
AAA
|
11
|
%
|
|
100
|
%
|
|
66
|
%
|
|
15
|
%
|
AA
|
10
|
|
|
—
|
|
|
—
|
|
|
9
|
|
A
|
19
|
|
|
—
|
|
|
—
|
|
|
18
|
|
BBB
|
14
|
|
|
—
|
|
|
—
|
|
|
14
|
|
Below investment grade
|
38
|
|
|
—
|
|
|
34
|
|
|
37
|
|
Not rated
|
8
|
|
|
—
|
|
|
—
|
|
|
7
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
|
|
|
|
|
|
|
||||
December 31, 2014
|
|
|
|
|
|
|
|
||||
AAA
|
10
|
%
|
|
100
|
%
|
|
99
|
%
|
|
17
|
%
|
AA
|
10
|
|
|
—
|
|
|
1
|
|
|
9
|
|
A
|
16
|
|
|
—
|
|
|
—
|
|
|
15
|
|
BBB
|
18
|
|
|
—
|
|
|
—
|
|
|
17
|
|
Below investment grade
|
41
|
|
|
—
|
|
|
—
|
|
|
38
|
|
Not rated
|
5
|
|
|
—
|
|
|
—
|
|
|
4
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Ratings are based on the lower of Moody’s or S&P ratings. If ratings are unavailable from Moody's or S&P, Fitch ratings are used. If guaranteed, rating represents the higher of the underlying or guarantor’s financial strength rating.
|
(2)
|
Below investment grade and not rated bonds insured by Ambac represent
41%
and
41%
of the
2015
and
2014
Combined portfolio, respectively.
|
|
2015
|
|
2014
|
||||||||||||
($ in millions) December 31
|
Estimated
Fair Value
(1)
|
|
Gross
Unrealized Losses
|
|
Estimated
Fair Value
(1)
|
|
Gross
Unrealized Losses
|
||||||||
Municipal obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
$
|
117.0
|
|
|
$
|
2.1
|
|
|
$
|
77.8
|
|
|
$
|
1.2
|
|
Greater than 12 months
|
114.7
|
|
|
6.1
|
|
|
135.1
|
|
|
5.8
|
|
||||
|
231.7
|
|
|
8.2
|
|
|
212.9
|
|
|
7.0
|
|
||||
Corporate obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
938.9
|
|
|
21.3
|
|
|
453.5
|
|
|
5.0
|
|
||||
Greater than 12 months
|
92.6
|
|
|
3.0
|
|
|
172.0
|
|
|
4.4
|
|
||||
|
1,031.5
|
|
|
24.3
|
|
|
625.5
|
|
|
9.4
|
|
||||
Foreign government obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
34.9
|
|
|
1.0
|
|
|
20.8
|
|
|
0.7
|
|
||||
Greater than 12 months
|
8.6
|
|
|
0.8
|
|
|
14.3
|
|
|
0.6
|
|
||||
|
43.5
|
|
|
1.8
|
|
|
35.1
|
|
|
1.3
|
|
||||
U.S. government obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
67.5
|
|
|
0.1
|
|
|
71.5
|
|
|
0.3
|
|
||||
Greater than 12 months
|
10.6
|
|
|
0.2
|
|
|
14.7
|
|
|
0.3
|
|
||||
|
78.1
|
|
|
0.3
|
|
|
86.2
|
|
|
0.6
|
|
||||
U.S. agency obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
—
|
|
|
—
|
|
|
25.0
|
|
|
—
|
|
||||
Greater than 12 months
|
4.2
|
|
|
—
|
|
|
4.4
|
|
|
—
|
|
||||
|
4.2
|
|
|
—
|
|
|
29.4
|
|
|
—
|
|
||||
Residential mortgage-backed securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
584.7
|
|
|
53.4
|
|
|
413.2
|
|
|
12.4
|
|
||||
Greater than 12 months
|
213.3
|
|
|
11.2
|
|
|
10.1
|
|
|
1.1
|
|
||||
|
798.0
|
|
|
64.6
|
|
|
423.3
|
|
|
13.5
|
|
||||
Collateralized debt obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
77.6
|
|
|
1.5
|
|
|
5.0
|
|
|
0.3
|
|
||||
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
77.6
|
|
|
1.5
|
|
|
5.0
|
|
|
0.3
|
|
||||
Other asset-backed securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
450.7
|
|
|
3.5
|
|
|
248.8
|
|
|
0.2
|
|
||||
Greater than 12 months
|
19.3
|
|
|
—
|
|
|
0.1
|
|
|
—
|
|
||||
|
470.0
|
|
|
3.5
|
|
|
248.9
|
|
|
0.2
|
|
||||
Short term securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
||||||||
Less than 12 months
|
10.0
|
|
|
—
|
|
|
8.8
|
|
|
—
|
|
||||
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
10.0
|
|
|
—
|
|
|
8.8
|
|
|
—
|
|
||||
Total
|
$
|
2,744.6
|
|
|
$
|
104.2
|
|
|
$
|
1,675.1
|
|
|
$
|
32.3
|
|
(1)
|
Since the table is presented in millions, securities with market values and unrealized losses that are less than $0.1 will be shown as zero.
|
|
2015
|
|
2014
|
||||||||||||
($ in millions) December 31
|
Amortized
Cost |
|
Estimated
Fair Value |
|
Amortized
Cost |
|
Estimated
Fair Value |
||||||||
Municipal obligations:
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
$
|
2.2
|
|
|
$
|
2.2
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
62.3
|
|
|
60.7
|
|
|
11.8
|
|
|
11.7
|
|
||||
Due after five years through ten years
|
135.6
|
|
|
129.6
|
|
|
151.6
|
|
|
147.6
|
|
||||
Due after ten years
|
39.8
|
|
|
39.2
|
|
|
56.5
|
|
|
53.6
|
|
||||
|
239.9
|
|
|
231.7
|
|
|
219.9
|
|
|
212.9
|
|
||||
Corporate obligations:
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
46.1
|
|
|
46.0
|
|
|
56.1
|
|
|
56.1
|
|
||||
Due after one year through five years
|
521.3
|
|
|
514.0
|
|
|
337.7
|
|
|
334.7
|
|
||||
Due after five years through ten years
|
425.3
|
|
|
411.3
|
|
|
228.1
|
|
|
221.8
|
|
||||
Due after ten years
|
63.1
|
|
|
60.2
|
|
|
13.0
|
|
|
12.9
|
|
||||
|
1,055.8
|
|
|
1,031.5
|
|
|
634.9
|
|
|
625.5
|
|
||||
Foreign government obligations:
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
—
|
|
|
—
|
|
|
3.6
|
|
|
3.3
|
|
||||
Due after one year through five years
|
12.1
|
|
|
11.3
|
|
|
11.7
|
|
|
11.4
|
|
||||
Due after five years through ten years
|
30.0
|
|
|
29.3
|
|
|
19.2
|
|
|
18.5
|
|
||||
Due after ten years
|
3.2
|
|
|
2.9
|
|
|
1.9
|
|
|
1.9
|
|
||||
|
45.3
|
|
|
43.5
|
|
|
36.4
|
|
|
35.1
|
|
||||
U.S. government obligations:
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
—
|
|
|
—
|
|
|
1.8
|
|
|
1.8
|
|
||||
Due after one year through five years
|
76.1
|
|
|
75.8
|
|
|
79.9
|
|
|
79.5
|
|
||||
Due after five years through ten years
|
2.3
|
|
|
2.3
|
|
|
3.9
|
|
|
3.8
|
|
||||
Due after ten years
|
—
|
|
|
—
|
|
|
1.2
|
|
|
1.1
|
|
||||
|
78.4
|
|
|
78.1
|
|
|
86.8
|
|
|
86.2
|
|
||||
U.S. agency obligations:
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
—
|
|
|
—
|
|
|
25.0
|
|
|
25.0
|
|
||||
Due after one year through five years
|
4.2
|
|
|
4.2
|
|
|
4.4
|
|
|
4.4
|
|
||||
Due after five years through ten years
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
4.2
|
|
|
4.2
|
|
|
29.4
|
|
|
29.4
|
|
||||
Residential mortgage-backed securities
|
862.6
|
|
|
798.0
|
|
|
436.8
|
|
|
423.3
|
|
||||
Collateralized debt obligations
|
79.1
|
|
|
77.6
|
|
|
5.3
|
|
|
5.0
|
|
||||
Other asset-backed securities
|
473.5
|
|
|
470.0
|
|
|
249.1
|
|
|
248.9
|
|
||||
Short term securities
|
10.0
|
|
|
10.0
|
|
|
8.8
|
|
|
8.8
|
|
||||
Total
|
$
|
2,848.8
|
|
|
$
|
2,744.6
|
|
|
$
|
1,707.4
|
|
|
$
|
1,675.1
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||||||||||
|
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||||||||||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||||||||||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
(1)
|
|
|
April 30, 2013
|
||||||||||||||||||||||||
($ in millions)
|
Fair
Value |
|
Gross
Realized Losses |
|
Fair
Value |
|
Gross
Realized Losses |
|
Fair
Value |
|
Gross
Realized Losses |
|
|
Fair
Value |
|
Gross
Realized Losses |
||||||||||||||||
Municipal obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
$
|
55.9
|
|
|
$
|
1.0
|
|
|
$
|
49.1
|
|
|
$
|
0.4
|
|
|
$
|
173.1
|
|
|
$
|
5.0
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
55.9
|
|
|
1.0
|
|
|
49.1
|
|
|
0.4
|
|
|
173.1
|
|
|
5.0
|
|
|
|
—
|
|
|
—
|
|
||||||||
Corporate obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
70.9
|
|
|
6.8
|
|
|
119.4
|
|
|
1.5
|
|
|
36.0
|
|
|
0.7
|
|
|
|
—
|
|
|
—
|
|
||||||||
Greater than 12 months
|
7.6
|
|
|
0.5
|
|
|
32.5
|
|
|
0.7
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
78.5
|
|
|
7.3
|
|
|
151.9
|
|
|
2.2
|
|
|
36.0
|
|
|
0.7
|
|
|
|
—
|
|
|
—
|
|
||||||||
Foreign government obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
6.9
|
|
|
0.3
|
|
|
32.6
|
|
|
0.6
|
|
|
35.2
|
|
|
1.2
|
|
|
|
—
|
|
|
—
|
|
||||||||
Greater than 12 months
|
7.6
|
|
|
—
|
|
|
32.3
|
|
|
1.6
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
14.5
|
|
|
0.3
|
|
|
64.9
|
|
|
2.2
|
|
|
35.2
|
|
|
1.2
|
|
|
|
—
|
|
|
—
|
|
||||||||
U.S. government obligations in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
21.4
|
|
|
0.2
|
|
|
16.0
|
|
|
—
|
|
|
18.8
|
|
|
0.4
|
|
|
|
—
|
|
|
—
|
|
||||||||
Greater than 12 months
|
0.5
|
|
|
—
|
|
|
1.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
21.9
|
|
|
0.2
|
|
|
17.1
|
|
|
—
|
|
|
18.8
|
|
|
0.4
|
|
|
|
—
|
|
|
—
|
|
||||||||
Residential mortgage-backed securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
—
|
|
|
—
|
|
|
84.7
|
|
|
0.2
|
|
|
28.5
|
|
|
0.9
|
|
|
|
0.5
|
|
|
0.1
|
|
||||||||
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
—
|
|
|
—
|
|
|
84.7
|
|
|
0.2
|
|
|
28.5
|
|
|
0.9
|
|
|
|
0.5
|
|
|
0.1
|
|
||||||||
Other asset-backed securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
53.9
|
|
|
0.1
|
|
|
202.1
|
|
|
2.0
|
|
|
13.8
|
|
|
0.3
|
|
|
|
—
|
|
|
—
|
|
||||||||
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
38.4
|
|
|
—
|
|
||||||||
|
53.9
|
|
|
0.1
|
|
|
202.1
|
|
|
2.0
|
|
|
13.8
|
|
|
0.3
|
|
|
|
38.4
|
|
|
—
|
|
||||||||
Short term securities in continuous unrealized loss for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Less than 12 months
|
14.8
|
|
|
—
|
|
|
25.9
|
|
|
—
|
|
|
71.1
|
|
|
—
|
|
|
|
25.9
|
|
|
—
|
|
||||||||
Greater than 12 months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
||||||||
|
14.8
|
|
|
—
|
|
|
25.9
|
|
|
—
|
|
|
71.1
|
|
|
—
|
|
|
|
25.9
|
|
|
—
|
|
||||||||
Total
|
$
|
239.5
|
|
|
$
|
8.9
|
|
|
$
|
595.7
|
|
|
$
|
7.0
|
|
|
$
|
376.5
|
|
|
$
|
8.5
|
|
|
|
$
|
64.8
|
|
|
$
|
0.1
|
|
(1)
|
As a result of the implementation of Fresh Start, amortized cost for available for sale securities were set to fair value on April 30, 2013. Accordingly, Successor Ambac does not have any realized losses on securities that were in a continuous unrealized loss position for greater than 12 months.
|
|
Unpaid Claims
|
|
Present Value of Expected
Net Cash Flows |
|
|
|
|
||||||||||||||||
($ in millions)
Balance Sheet Line Item |
Claims
|
|
Accrued Interest
|
|
Claims and
Loss Expenses |
|
Recoveries
(1)
|
|
Unearned
Premium Revenue |
|
Gross Loss
and Loss Expense Reserves |
||||||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss and loss expense reserves
|
$
|
2,139
|
|
|
$
|
350
|
|
|
$
|
3,265
|
|
|
$
|
(1,476
|
)
|
|
$
|
(190
|
)
|
|
$
|
4,088
|
|
Subrogation recoverable
|
829
|
|
|
141
|
|
|
208
|
|
|
(2,407
|
)
|
|
—
|
|
|
(1,229
|
)
|
||||||
Totals
|
$
|
2,968
|
|
|
$
|
491
|
|
|
$
|
3,473
|
|
|
$
|
(3,883
|
)
|
|
$
|
(190
|
)
|
|
$
|
2,859
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss and loss expense reserves
|
$
|
2,172
|
|
|
$
|
235
|
|
|
$
|
3,792
|
|
|
$
|
(1,206
|
)
|
|
$
|
(241
|
)
|
|
$
|
4,752
|
|
Subrogation recoverable
|
773
|
|
|
94
|
|
|
198
|
|
|
(2,018
|
)
|
|
—
|
|
|
(953
|
)
|
||||||
Totals
|
$
|
2,945
|
|
|
$
|
329
|
|
|
$
|
3,990
|
|
|
$
|
(3,224
|
)
|
|
$
|
(241
|
)
|
|
$
|
3,799
|
|
(1)
|
Present value of future recoveries include RMBS representation and warranty recoveries of $2,830 and $2,523 at
December 31, 2015 and 2014
, respectively.
|
|
|
|
Unpaid Claims
|
|
Present Value of Expected
Net Cash Flows |
|
|
|
|
||||||||||||||||||
($ in millions)
|
Gross par
outstanding (1) |
|
Claims
|
|
Accrued
Interest |
|
Claims and
Loss Expenses |
|
Recoveries
|
|
Unearned
Premium Revenue |
|
Gross Loss
and Loss Expense Reserves (1)(2) |
||||||||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
RMBS
|
$
|
8,067
|
|
|
$
|
2,957
|
|
|
$
|
490
|
|
|
$
|
1,364
|
|
|
$
|
(3,376
|
)
|
|
$
|
(34
|
)
|
|
$
|
1,401
|
|
Student Loans
|
1,207
|
|
|
—
|
|
|
—
|
|
|
559
|
|
|
(39
|
)
|
|
(34
|
)
|
|
486
|
|
|||||||
Domestic Public Finance
|
5,246
|
|
|
11
|
|
|
1
|
|
|
993
|
|
|
(456
|
)
|
|
(79
|
)
|
|
470
|
|
|||||||
Ambac UK
|
943
|
|
|
—
|
|
|
—
|
|
|
460
|
|
|
(12
|
)
|
|
(28
|
)
|
|
420
|
|
|||||||
All other credits
|
513
|
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
|
(15
|
)
|
|
9
|
|
|||||||
Loss expenses
|
—
|
|
|
—
|
|
|
—
|
|
|
73
|
|
|
—
|
|
|
—
|
|
|
73
|
|
|||||||
Totals
|
$
|
15,976
|
|
|
$
|
2,968
|
|
|
$
|
491
|
|
|
$
|
3,473
|
|
|
$
|
(3,883
|
)
|
|
$
|
(190
|
)
|
|
$
|
2,859
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
RMBS
|
$
|
9,713
|
|
|
$
|
2,934
|
|
|
$
|
328
|
|
|
$
|
1,766
|
|
|
$
|
(3,077
|
)
|
|
$
|
(36
|
)
|
|
$
|
1,915
|
|
Student Loans
|
1,764
|
|
|
—
|
|
|
—
|
|
|
969
|
|
|
(34
|
)
|
|
(56
|
)
|
|
879
|
|
|||||||
Domestic Public Finance
|
4,796
|
|
|
11
|
|
|
1
|
|
|
520
|
|
|
(109
|
)
|
|
(69
|
)
|
|
354
|
|
|||||||
Ambac UK
|
951
|
|
|
—
|
|
|
—
|
|
|
577
|
|
|
(4
|
)
|
|
(31
|
)
|
|
542
|
|
|||||||
All other credits
|
1,099
|
|
|
—
|
|
|
—
|
|
|
64
|
|
|
—
|
|
|
(49
|
)
|
|
15
|
|
|||||||
Loss expenses
|
—
|
|
|
—
|
|
|
—
|
|
|
94
|
|
|
—
|
|
|
—
|
|
|
94
|
|
|||||||
Totals
|
$
|
18,323
|
|
|
$
|
2,945
|
|
|
$
|
329
|
|
|
$
|
3,990
|
|
|
$
|
(3,224
|
)
|
|
$
|
(241
|
)
|
|
$
|
3,799
|
|
(1)
|
Ceded par outstanding on policies with loss reserves and ceded loss and loss expense reserves at
December 31, 2015 and 2014
, are
$847
and
$44
and
$915
and
$100
, respectively. Ceded loss and loss expense reserves are included in Reinsurance recoverable on paid and unpaid losses.
|
(2)
|
Loss reserves are included in the balance sheet as Loss and loss expense reserves or Subrogation recoverable dependent on if a policy is in a net liability or net recoverable position.
|
($ in millions)
|
|
Gross par
outstanding |
|
Gross loss
reserves before representation and warranty subrogation recoveries |
|
Representation
and warranty subrogation recoveries |
|
Gross loss
reserves net of representation and warranty subrogation recoveries |
||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
||||||||
Second-lien
|
|
$
|
1,261
|
|
|
$
|
423
|
|
|
$
|
—
|
|
|
$
|
423
|
|
First-lien Mid-prime
|
|
2,594
|
|
|
1,575
|
|
|
—
|
|
|
1,575
|
|
||||
First-lien Sub-prime
|
|
1,401
|
|
|
250
|
|
|
—
|
|
|
250
|
|
||||
Other
|
|
193
|
|
|
132
|
|
|
—
|
|
|
132
|
|
||||
Total Credits Without Subrogation
|
|
5,449
|
|
|
2,380
|
|
|
—
|
|
|
2,380
|
|
||||
Second-lien
|
|
1,520
|
|
|
921
|
|
|
(2,072
|
)
|
|
(1,151
|
)
|
||||
First-lien Mid-prime
|
|
116
|
|
|
424
|
|
|
(260
|
)
|
|
164
|
|
||||
First-lien Sub-prime
|
|
982
|
|
|
506
|
|
|
(498
|
)
|
|
8
|
|
||||
Total Credits With Subrogation
|
|
2,618
|
|
|
1,851
|
|
|
(2,830
|
)
|
|
(979
|
)
|
||||
Total
|
|
$
|
8,067
|
|
|
$
|
4,231
|
|
|
$
|
(2,830
|
)
|
|
$
|
1,401
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
|
||||||||
Second-lien
|
|
$
|
1,553
|
|
|
$
|
492
|
|
|
$
|
—
|
|
|
$
|
492
|
|
First-lien-Mid-prime
|
|
3,105
|
|
|
1,603
|
|
|
—
|
|
|
1,603
|
|
||||
First-lien-Sub-prime
|
|
1,611
|
|
|
307
|
|
|
—
|
|
|
307
|
|
||||
Other
|
|
227
|
|
|
139
|
|
|
—
|
|
|
139
|
|
||||
Total Credits Without Subrogation
|
|
6,496
|
|
|
2,541
|
|
|
—
|
|
|
2,541
|
|
||||
Second-lien
|
|
1,923
|
|
|
931
|
|
|
(1,838
|
)
|
|
(907
|
)
|
||||
First-lien Mid-prime
|
|
136
|
|
|
415
|
|
|
(225
|
)
|
|
190
|
|
||||
First-lien Sub-prime
|
|
1,158
|
|
|
551
|
|
|
(460
|
)
|
|
91
|
|
||||
Total Credits With Subrogation
|
|
3,217
|
|
|
1,897
|
|
|
(2,523
|
)
|
|
(626
|
)
|
||||
Total
|
|
$
|
9,713
|
|
|
$
|
4,438
|
|
|
$
|
(2,523
|
)
|
|
$
|
1,915
|
|
|
2015
|
|
2014
|
||||||||||||
($ in millions) December 31
Issuer Type
|
Gross Par
Outstanding |
|
Gross Loss
Reserves |
|
Gross Par
Outstanding |
|
Gross Loss
Reserves |
||||||||
Lease and tax-backed
|
$
|
2,277
|
|
|
$
|
284
|
|
|
$
|
2,003
|
|
|
$
|
192
|
|
General obligation
|
2,039
|
|
|
99
|
|
|
656
|
|
|
70
|
|
||||
Transportation revenue
|
603
|
|
|
62
|
|
|
487
|
|
|
50
|
|
||||
Housing
|
192
|
|
|
24
|
|
|
920
|
|
|
37
|
|
||||
Other
|
135
|
|
|
1
|
|
|
730
|
|
|
5
|
|
||||
Total
|
$
|
5,246
|
|
|
$
|
470
|
|
|
$
|
4,796
|
|
|
$
|
354
|
|
•
|
Loss reserves are only established for losses on guaranteed obligations that have defaulted in an amount that is sufficient to cover the present value of the anticipated defaulted debt service payments over the expected period of default, less estimated recoveries under subrogation rights (5.1% as prescribed by OCI). Loss reserves are established for non-defaulted policies on the date when a binding commutation contract is signed by the counterparty. Under GAAP, in addition to the establishment of loss reserves for defaulted obligations, loss reserves are established (net of GAAP basis unearned premium reserves) for obligations that have experienced credit deterioration, but have not yet defaulted using a weighted-average risk-free discount rate, currently at 2.4%.
|
•
|
Mandatory contingency reserves are required based upon the type of obligation insured, whereas GAAP does not require such a reserve. Releases of the contingency reserves are generally subject to OCI approval and relate to a determination that the held reserves are deemed excessive.
|
•
|
Investment grade fixed income investments are stated at amortized cost and certain below investment grade fixed income investments are reported at the lower of amortized cost or fair value. Under GAAP, all bonds are reported at fair value.
|
•
|
Wholly owned subsidiaries are not consolidated; rather, the equity basis of accounting is utilized and the carrying values of these investments are subject to admissibility tests. When Ambac Assurance’s share of the subsidiaries’ losses exceeds the related carrying amounts of the wholly owned subsidiary, Ambac Assurance discontinues applying the equity method and the investment is reduced to zero. For those subsidiaries that have insufficient claims paying resources and whose obligations are guaranteed by Ambac Assurance, Ambac Assurance records an estimated impairment for probable losses which are in excess of the subsidiaries’ claims paying resources.
|
•
|
Variable interest entities are not required to be assessed for consolidation. Under GAAP, a reporting entity that has both the following characteristics is required to consolidate the VIE: a) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance; and b) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. Ambac generally has the obligation to absorb losses of VIEs that could potentially be significant to the VIE as the result of its guarantee of insured obligations issued by VIEs. For certain VIEs Ambac Assurance has the power to direct the most significant activities of the VIE and accordingly consolidates the related VIEs under GAAP.
|
•
|
All payments of principal and interest on the surplus notes are subject to the approval of the OCI. Unpaid interest due on the surplus notes is expensed when the approval for payment of interest has been granted by the OCI. Under GAAP, interest on surplus notes is accrued regardless of OCI approval.
|
•
|
Upfront premiums written are earned on a basis proportionate to the remaining scheduled debt service to the original total principal and interest insured. Installment premiums are reflected in income pro-rata over the period covered by the premium payment. When an insurance policy has been legally defeased, the related portion of unearned premium revenue is accelerated and recognized as premiums earned. Under GAAP, premium revenues for both upfront and installment premiums are earned over the life of the financial guarantee contract in proportion to the insured principal amount outstanding at each reporting date. When an insured bond has been retired, any remaining UPR is recognized at that time to the extent the financial guarantee contract is legally extinguished, causing accelerated premium revenue. For installment premium paying transactions, we offset the recognition of any remaining UPR by the reduction of the related premium receivable to zero, which may cause negative accelerated premium revenue. For bonds that are legally defeased, generally through a refunding or a pre-refunding, the remaining unearned premium revenue is not accelerated but is recognized over the remaining life of the defeasance period.
|
•
|
Loss reserves are only established for losses on guaranteed obligations when, in the judgment of management, a monetary default in the timely payment of debt service is likely to occur, which would result in Ambac UK incurring a loss. A loss provision is established in an amount that is sufficient to cover the present value (currently using a discount rate of 2.61%) of the anticipated defaulted debt service payments over the expected period of default, less estimated recoveries under subrogation rights. The discount rate is equal to the lower of the rate of return on invested assets for either the current year or the period covering the current year plus the four previous years. Under U.S. GAAP, loss reserves are established (net of U.S. GAAP basis unearned premium revenue) for obligations that have experienced credit deterioration, but have not yet defaulted using a weighted-average risk-free discount rate, currently at 2.3% for Ambac UK related transactions.
|
•
|
Investments in fixed income securities are stated at amortized cost, subject to an other-than-temporary impairment evaluation. Under U.S. GAAP, all bonds are reported at fair value.
|
•
|
Purchases of Ambac UK insured securities are bifurcated into an intrinsic and an Ambac UK claim based value. The intrinsic value is recorded as an investment whereas the Ambac UK claim based value is recorded as a claim payment with an accompanying reduction in Ambac UK loss reserves. Under U.S. GAAP, purchases of Ambac UK insured securities are reported as investments and do not reduce loss reserves.
|
•
|
Variable interest entities (“VIE”) are not required to be assessed for consolidation. Under U.S. GAAP, a reporting entity that has both the following characteristics is required to consolidate the VIE: a) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance; and b) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could
|
•
|
Upfront premiums written are earned on a basis proportionate to the remaining scheduled debt service to the original total principal and interest insured. Installment premiums are reflected in income pro-rata over the period covered by the premium payment. Under U.S. GAAP, premium revenues for both upfront and installment premiums are earned over the life of the financial guarantee contract in proportion to the insured principal amount outstanding at each reporting date.
|
•
|
No discount is applied in the calculation of the loss provision whereas under UK GAAP such payments are discounted.
|
•
|
Under UK Regulatory all investments are stated at fair value and are subject to certain counterparty admissibility tests. As of
December 31, 2015
the total UK Regulatory deduction for investments in excess of counterparty exposure limits was £138.3 million. Under UK GAAP fixed income investments are stated at amortized cost, subject to an other-than-temporary impairment evaluation with other investments being held at current value.
|
•
|
Elimination of the non-credit impairment fair value gains (losses) on credit derivatives, which is the amount in excess of the present value of the expected estimated credit losses. Such fair value adjustments are heavily affected by, and in part fluctuate with, changes in market factors such as interest rates and credit spreads, including the market’s perception of Ambac’s credit risk (“Ambac CVA”), and are not expected
|
•
|
Elimination of the effects of VIEs that were consolidated as a result of being insured by Ambac. These adjustments eliminate the VIE consolidation and ensure that all financial guarantee segment contracts are accounted for consistent with the provisions of the Financial Services – Insurance Topic of the ASC, whether or not they are subject to consolidation accounting rules.
|
•
|
Elimination of the amortization of the financial guarantee insurance intangible asset and impairment of goodwill that arose as a result of Ambac’s emergence from bankruptcy and the implementation of Fresh Start reporting. The amount reported in net income attributable to common shareholders represents the amortization of Fresh Start adjustments relating to financial guarantee contracts. These adjustments ensure that all financial guarantee segment contracts are accounted for consistent with the provisions of the Financial Services – Insurance Topic of the ASC.
|
•
|
Elimination of the foreign exchange gains (losses) on re-measurement of net premium receivables and loss and loss expense reserves. Long-duration receivables constitute a significant portion of the net premium receivable balance and represent the present value of future contractual or expected collections. Therefore, the current period’s foreign exchange re-measurement gains (losses) are not necessarily indicative of the total foreign exchange gains (losses) that Ambac will ultimately recognize.
|
•
|
Elimination of the gains (losses) relating to Ambac’s CVA on derivative contracts other than credit derivatives. Similar to credit derivatives, fair values include the market’s perception of Ambac’s credit risk and this adjustment only allows for such gain or loss when realized.
|
•
|
Elimination of non-recurring GAAP Fresh Start reporting adjustments.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||||||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||||||||||||||
($ in millions, except per share data)
|
$ Amount
|
|
Per Diluted Share
|
|
$ Amount
|
|
Per Diluted Share
|
|
$ Amount
|
|
Per Diluted Share
|
|
|
$ Amount
(1)
|
||||||||||||||
Net income attributable to common shareholders
|
$
|
493.4
|
|
|
$
|
10.72
|
|
|
$
|
484.1
|
|
|
$
|
10.31
|
|
|
$
|
505.2
|
|
|
$
|
10.91
|
|
|
|
$
|
3,349.0
|
|
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Non-credit impairment fair value (gain) loss on credit derivatives
|
(36.7
|
)
|
|
(0.80
|
)
|
|
(17.1
|
)
|
|
(0.37
|
)
|
|
(165.9
|
)
|
|
(3.58
|
)
|
|
|
71.6
|
|
|||||||
Effect of consolidating financial guarantee VIEs
|
9.1
|
|
|
0.20
|
|
|
45.0
|
|
|
0.96
|
|
|
223.7
|
|
|
4.83
|
|
|
|
(413.7
|
)
|
|||||||
Insurance intangible amortization
|
169.6
|
|
|
3.69
|
|
|
151.8
|
|
|
3.24
|
|
|
99.7
|
|
|
2.15
|
|
|
|
—
|
|
|||||||
Impairment of goodwill
|
514.5
|
|
|
11.18
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|||||||
Foreign exchange (gain) loss from re-measurement of premium receivables and loss and loss expense reserves
|
29.4
|
|
|
0.64
|
|
|
34.9
|
|
|
0.74
|
|
|
(21.0
|
)
|
|
(0.45
|
)
|
|
|
11.3
|
|
|||||||
Fair value (gain) loss on derivative products from Ambac CVA
|
(14.2
|
)
|
|
(0.31
|
)
|
|
(16.1
|
)
|
|
(0.34
|
)
|
|
46.8
|
|
|
1.01
|
|
|
|
26.7
|
|
|||||||
Fresh Start accounting adjustments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(2,749.7
|
)
|
|||||||
Operating earnings
|
$
|
1,165.1
|
|
|
$
|
25.32
|
|
|
$
|
682.6
|
|
|
$
|
14.54
|
|
|
$
|
688.5
|
|
|
$
|
14.87
|
|
|
|
$
|
295.2
|
|
•
|
Elimination of the non-credit impairment fair value loss on credit derivatives, which is the amount in excess of the present value of the expected estimated economic credit loss. GAAP fair values are heavily affected by, and in part fluctuate with, changes in market factors such as interest rates, credit spreads, including Ambac’s CVA that are not expected to result in an economic gain or loss. These adjustments allow for all financial guarantee segment contracts to be accounted for within Adjusted Book Value consistent with the provisions of the Financial Services—Insurance Topic of the ASC, whether or not they are subject to derivative accounting rules.
|
•
|
Elimination of the effects of VIEs that were consolidated as a result of being insured by Ambac. These adjustments eliminate VIE consolidation and ensure that all financial guarantee segment contracts are accounted for within Adjusted Book Value consistent with the provisions of the
|
•
|
Elimination of the financial guarantee insurance intangible asset and goodwill that arose as a result of Ambac’s emergence from bankruptcy and the implementation of Fresh Start reporting. These adjustments ensure that all financial guarantee segment contracts are accounted for within Adjusted Book Value consistent with the provisions of the Financial Services—Insurance Topic of the ASC.
|
•
|
Elimination of the gain relating to Ambac’s CVA embedded in the fair value of derivative contracts other than credit derivatives. Similar to credit derivatives, fair values include the market’s perception of Ambac’s credit risk and this adjustment only allows for such gain when realized.
|
•
|
Addition of the value of the unearned premium revenue on financial guarantee contracts and fees on credit derivative contracts, adjusted for management's expected future net premiums and credit derivative receipts, in excess of expected losses, net of reinsurance.
|
•
|
Elimination of the unrealized gains and losses on the Company’s investments that are recorded as a component of accumulated other comprehensive income (“AOCI”). The AOCI component of the fair value adjustment on the investment portfolio may differ materially from realized gains and losses ultimately recognized by the Company based on the Company’s investment strategy. This adjustment only allows for such gains and losses in Adjusted Book Value when realized.
|
|
2015
|
|
2014
|
||||||||||||
December 31 ($ in millions, except per share data)
|
$ Amount
|
|
Per Share
|
|
$ Amount
|
|
Per Share
|
||||||||
Total Ambac Financial Group, Inc. stockholders’ equity
|
$
|
1,684.8
|
|
|
$
|
37.41
|
|
|
$
|
1,399.1
|
|
|
$
|
31.09
|
|
Adjustments:
|
|
|
|
|
|
|
|
||||||||
Non-credit impairment fair value losses on credit derivatives
|
19.0
|
|
|
0.42
|
|
|
55.7
|
|
|
1.24
|
|
||||
Effect of consolidating financial guarantee variable interest entities
|
(302.8
|
)
|
|
(6.72
|
)
|
|
(319.1
|
)
|
|
(7.09
|
)
|
||||
Insurance intangible asset
|
(1,212.1
|
)
|
|
(26.91
|
)
|
|
(1,410.9
|
)
|
|
(31.35
|
)
|
||||
Goodwill
|
—
|
|
|
—
|
|
|
(514.5
|
)
|
|
(11.43
|
)
|
||||
Ambac CVA on derivative product liabilities (excluding credit derivatives)
|
(78.7
|
)
|
|
(1.75
|
)
|
|
(64.5
|
)
|
|
(1.44
|
)
|
||||
Net unearned premiums and fees in excess of expected losses
|
1,056.6
|
|
|
23.46
|
|
|
1,402.3
|
|
|
31.16
|
|
||||
Net unrealized investment (gains) losses in Accumulated Other Comprehensive Income
|
(51.0
|
)
|
|
(1.13
|
)
|
|
(210.7
|
)
|
|
(4.68
|
)
|
||||
Adjusted book value
|
$
|
1,115.8
|
|
|
$
|
24.78
|
|
|
$
|
337.4
|
|
|
$
|
7.50
|
|
|
|
Change in Interest Rates
|
|||||||||||||||||
($ in millions)
|
|
300 basis point rise
|
|
200 basis point rise
|
|
100 basis point rise
|
|
Base scenario
|
|
100 basis point decline
(1)
|
|
200 basis point decline
(1)
|
|||||||
Estimated change in net fair value
|
|
$
|
54
|
|
|
49
|
|
|
31
|
|
|
—
|
|
|
(43
|
)
|
|
(102
|
)
|
Estimated net fair value
|
|
$
|
2,256
|
|
|
2,251
|
|
|
2,233
|
|
|
2,202
|
|
|
2,159
|
|
|
2,100
|
|
(1)
|
Incorporates an interest rate floor of 0%
|
|
|
Change in Reference Obligation Spreads
|
||||||||||||||
($ in millions)
|
|
250 basis point widening
|
|
50 basis point widening
|
|
Base scenario
|
|
50 basis point narrowing
|
|
250 basis point narrowing
|
||||||
Estimated change in fair value
|
|
$
|
(27
|
)
|
|
(6
|
)
|
|
—
|
|
|
6
|
|
|
21
|
|
Estimated fair value
|
|
$
|
(62
|
)
|
|
(41
|
)
|
|
(35
|
)
|
|
(29
|
)
|
|
(14
|
)
|
|
|
Change in Ambac Credit Spreads
|
||||||||||||||
($ in millions)
|
|
250 basis point widening
|
|
50 basis point widening
|
|
Base scenario
|
|
50 basis point narrowing
|
|
250 basis point narrowing
|
||||||
Estimated change in fair value
|
|
$
|
18
|
|
|
4
|
|
|
—
|
|
|
(5
|
)
|
|
(26
|
)
|
Estimated fair value
|
|
$
|
(250
|
)
|
|
(264
|
)
|
|
(268
|
)
|
|
(273
|
)
|
|
(294
|
)
|
|
|
Change in Spreads
|
||||||||||||||
($ in millions)
|
|
250 basis point widening
|
|
50 basis point widening
|
|
Base scenario
|
|
50 basis point narrowing
|
|
250 basis point narrowing
|
||||||
Estimated change in fair value
|
|
$
|
(279
|
)
|
|
(56
|
)
|
|
—
|
|
|
56
|
|
|
280
|
|
Estimated fair value
|
|
$
|
2,995
|
|
|
3,218
|
|
|
3,274
|
|
|
3,330
|
|
|
3,554
|
|
|
Change in Foreign Exchange Rates Against U.S. Dollar
|
||||||||||||||
($ in millions)
|
20% Decrease
|
|
10% Decrease
|
|
10% Increase
|
|
20% Increase
|
||||||||
Estimated change in fair value
|
$
|
(60
|
)
|
|
$
|
(30
|
)
|
|
$
|
30
|
|
|
$
|
60
|
|
December 31 (Dollars in thousands, except share data)
|
2015
|
|
2014
|
||||
Assets:
|
|
|
|
||||
Investments:
|
|
|
|
||||
Fixed income securities, at fair value (amortized cost of $4,992,756 in 2015 and $4,514,878 in 2014)
|
$
|
5,043,776
|
|
|
$
|
4,725,686
|
|
Fixed income securities pledged as collateral, at fair value (amortized cost of $64,612 in 2015 and $64,378 in 2014)
|
64,555
|
|
|
64,267
|
|
||
Short-term investments, at fair value (amortized cost of $225,789 in 2015 and $360,069 in 2014)
|
225,789
|
|
|
360,065
|
|
||
Other investments (includes $285,261 at fair value in 2015 and $336,013 at fair value in 2014)
|
310,600
|
|
|
357,016
|
|
||
Total investments
|
5,644,720
|
|
|
5,507,034
|
|
||
Cash and cash equivalents
|
35,744
|
|
|
73,903
|
|
||
Receivable for securities
|
44,030
|
|
|
23,660
|
|
||
Investment income due and accrued
|
25,264
|
|
|
25,015
|
|
||
Premium receivables
|
831,575
|
|
|
1,000,607
|
|
||
Reinsurance recoverable on paid and unpaid losses
|
43,999
|
|
|
99,838
|
|
||
Deferred ceded premium
|
96,758
|
|
|
123,276
|
|
||
Subrogation recoverable
|
1,229,293
|
|
|
953,274
|
|
||
Loans
|
5,206
|
|
|
5,714
|
|
||
Derivative assets
|
84,995
|
|
|
109,017
|
|
||
Insurance intangible asset
|
1,212,112
|
|
|
1,410,920
|
|
||
Goodwill
|
—
|
|
|
514,511
|
|
||
Other assets
|
185,877
|
|
|
186,985
|
|
||
Variable interest entity assets:
|
|
|
|
||||
Fixed income securities, at fair value
|
2,588,556
|
|
|
2,743,050
|
|
||
Restricted cash
|
5,822
|
|
|
7,708
|
|
||
Investment income due and accrued
|
1,213
|
|
|
1,284
|
|
||
Loans, at fair value
|
11,690,324
|
|
|
12,371,177
|
|
||
Other assets
|
2,582
|
|
|
2,891
|
|
||
Total assets
|
$
|
23,728,070
|
|
|
$
|
25,159,864
|
|
Liabilities and Stockholders’ Equity:
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Unearned premiums
|
$
|
1,280,282
|
|
|
$
|
1,673,785
|
|
Loss and loss expense reserves
|
4,088,106
|
|
|
4,752,007
|
|
||
Ceded premiums payable
|
53,494
|
|
|
60,436
|
|
||
Obligations under investment agreements
|
100,358
|
|
|
160,079
|
|
||
Deferred taxes
|
2,205
|
|
|
2,079
|
|
||
Current taxes
|
5,835
|
|
|
5,701
|
|
||
Long-term debt
|
1,124,950
|
|
|
971,116
|
|
||
Accrued interest payable
|
355,536
|
|
|
304,139
|
|
||
Derivative liabilities
|
353,358
|
|
|
406,944
|
|
||
Other liabilities
|
61,134
|
|
|
63,396
|
|
||
Payable for securities purchased
|
84,690
|
|
|
762
|
|
||
Variable interest entity liabilities:
|
|
|
|
||||
Accrued interest payable
|
3,230
|
|
|
3,268
|
|
||
Long-term debt, at fair value
|
12,327,960
|
|
|
12,882,076
|
|
||
Derivative liabilities
|
1,928,403
|
|
|
2,200,163
|
|
||
Other liabilities
|
183
|
|
|
178
|
|
||
Total liabilities
|
21,769,724
|
|
|
23,486,129
|
|
||
Commitments and contingencies (see Note 18)
|
|
|
|
||||
Stockholders’ equity:
|
|
|
|
||||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none
|
—
|
|
|
—
|
|
||
Common stock, par value $0.01 per share; 130,000,000 shares authorized, issued and outstanding shares; 45,044,222 and 45,005,932
|
450
|
|
|
450
|
|
||
Additional paid-in capital
|
190,813
|
|
|
189,138
|
|
||
Accumulated other comprehensive income
|
15,215
|
|
|
220,283
|
|
||
Retained earnings
|
1,478,439
|
|
|
989,290
|
|
||
Treasury stock, shares at cost: 8,202 and 2,459
|
(118
|
)
|
|
(56
|
)
|
||
Total Ambac Financial Group, Inc. stockholders’ equity
|
1,684,799
|
|
|
1,399,105
|
|
||
Noncontrolling interest
|
273,547
|
|
|
274,630
|
|
||
Total stockholders’ equity
|
1,958,346
|
|
|
1,673,735
|
|
||
Total liabilities and stockholders’ equity
|
$
|
23,728,070
|
|
|
$
|
25,159,864
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
(Dollars in thousands, except share data)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums earned
|
$
|
312,595
|
|
|
$
|
246,360
|
|
|
$
|
213,518
|
|
|
|
$
|
130,000
|
|
Net investment income:
|
|
|
|
|
|
|
|
|
||||||||
Securities available-for-sale and short-term
|
249,337
|
|
|
292,838
|
|
|
142,866
|
|
|
|
116,371
|
|
||||
Other investments
|
16,952
|
|
|
8,108
|
|
|
3,580
|
|
|
|
369
|
|
||||
Total net investment income
|
266,289
|
|
|
300,946
|
|
|
146,446
|
|
|
|
116,740
|
|
||||
Other-than-temporary impairment losses:
|
|
|
|
|
|
|
|
|
||||||||
Total other-than-temporary impairment losses
|
(66,692
|
)
|
|
(26,632
|
)
|
|
(47,418
|
)
|
|
|
(467
|
)
|
||||
Portion of other -than-temporary impairment recognized in other comprehensive income
|
41,033
|
|
|
838
|
|
|
654
|
|
|
|
—
|
|
||||
Net other-than-temporary impairment losses recognized in earnings
|
(25,659
|
)
|
|
(25,794
|
)
|
|
(46,764
|
)
|
|
|
(467
|
)
|
||||
Net realized investment gains
|
53,476
|
|
|
58,777
|
|
|
4,467
|
|
|
|
53,305
|
|
||||
Change in fair value of credit derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Realized gains and other settlements
|
2,785
|
|
|
3,043
|
|
|
9,778
|
|
|
|
3,444
|
|
||||
Unrealized gains (losses)
|
38,916
|
|
|
20,863
|
|
|
183,091
|
|
|
|
(63,828
|
)
|
||||
Net change in fair value of credit derivatives
|
41,701
|
|
|
23,906
|
|
|
192,869
|
|
|
|
(60,384
|
)
|
||||
Derivative products
|
(42,544
|
)
|
|
(181,087
|
)
|
|
114,771
|
|
|
|
(33,735
|
)
|
||||
Net realized gains (losses) on extinguishment of debt
|
81
|
|
|
(74,724
|
)
|
|
—
|
|
|
|
—
|
|
||||
Other income
|
7,150
|
|
|
12,498
|
|
|
4,364
|
|
|
|
8,363
|
|
||||
Income (loss) on variable interest entities
|
31,569
|
|
|
(32,212
|
)
|
|
(48,623
|
)
|
|
|
426,566
|
|
||||
Total revenues before expenses and reorganization items
|
644,658
|
|
|
328,670
|
|
|
581,048
|
|
|
|
640,388
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Losses and loss expenses (benefit)
|
(768,707
|
)
|
|
(545,574
|
)
|
|
(185,138
|
)
|
|
|
(38,056
|
)
|
||||
Insurance intangible amortization
|
169,557
|
|
|
151,830
|
|
|
99,658
|
|
|
|
—
|
|
||||
Underwriting and operating expenses
|
102,702
|
|
|
101,474
|
|
|
68,769
|
|
|
|
44,566
|
|
||||
Interest expense
|
116,537
|
|
|
127,476
|
|
|
84,950
|
|
|
|
31,025
|
|
||||
Goodwill impairment
|
514,511
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Total expenses (benefit) before reorganization items
|
134,600
|
|
|
(164,794
|
)
|
|
68,239
|
|
|
|
37,535
|
|
||||
Pre-tax income before reorganization items
|
510,058
|
|
|
493,464
|
|
|
512,809
|
|
|
|
602,853
|
|
||||
Reorganization items
|
—
|
|
|
211
|
|
|
493
|
|
|
|
(2,745,180
|
)
|
||||
Pre-tax income
|
510,058
|
|
|
493,253
|
|
|
512,316
|
|
|
|
3,348,033
|
|
||||
Provision for income taxes
|
17,364
|
|
|
9,557
|
|
|
7,514
|
|
|
|
755
|
|
||||
Net income
|
492,694
|
|
|
483,696
|
|
|
504,802
|
|
|
|
3,347,278
|
|
||||
Less: net (gain) loss attributable to noncontrolling interest
|
(709
|
)
|
|
(375
|
)
|
|
(417
|
)
|
|
|
(1,771
|
)
|
||||
Net income attributable to common shareholders
|
$
|
493,403
|
|
|
$
|
484,071
|
|
|
$
|
505,219
|
|
|
|
$
|
3,349,049
|
|
Other comprehensive income (loss), after tax:
|
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
492,694
|
|
|
$
|
483,696
|
|
|
$
|
504,802
|
|
|
|
$
|
3,347,278
|
|
Unrealized gains (losses) on securities, net of deferred income taxes of $0
|
(159,730
|
)
|
|
252,603
|
|
|
(41,910
|
)
|
|
|
175,347
|
|
||||
Gains (losses) on foreign currency translation, net of deferred income taxes of $0
|
(45,025
|
)
|
|
(43,599
|
)
|
|
43,165
|
|
|
|
(428
|
)
|
||||
Changes to postretirement benefit, net of tax of $0
|
(687
|
)
|
|
(816
|
)
|
|
10,847
|
|
|
|
185
|
|
||||
Total other comprehensive income (loss), net of tax
|
(205,442
|
)
|
|
208,188
|
|
|
12,102
|
|
|
|
175,104
|
|
||||
Total comprehensive income
|
287,252
|
|
|
691,884
|
|
|
516,904
|
|
|
|
3,522,382
|
|
||||
Less: comprehensive (loss) gain attributable to the noncontrolling interest:
|
|
|
|
|
|
|
|
|
||||||||
Net (gain) loss
|
(709
|
)
|
|
(375
|
)
|
|
(417
|
)
|
|
|
(1,771
|
)
|
||||
Currency translation adjustments
|
(374
|
)
|
|
(434
|
)
|
|
441
|
|
|
|
229
|
|
||||
Total comprehensive income attributable to Ambac Financial Group, Inc.
|
$
|
288,335
|
|
|
$
|
692,693
|
|
|
$
|
516,880
|
|
|
|
$
|
3,523,924
|
|
Net income per share attributable to Ambac Financial Group, Inc. common shareholders
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
10.92
|
|
|
$
|
10.73
|
|
|
$
|
11.23
|
|
|
|
$
|
11.07
|
|
Diluted
|
$
|
10.72
|
|
|
$
|
10.31
|
|
|
$
|
10.91
|
|
|
|
$
|
11.07
|
|
|
|
|
Ambac Financial Group, Inc.
|
|
|
||||||||||||||||||||||||||
(Dollars in thousands)
|
Total
|
|
Retained
Earnings |
|
Accumulated
Other Comprehensive Income |
|
Preferred
Stock |
|
Common
Stock |
|
Additional Paid-in
Capital |
|
Common
Stock Held in Treasury, at Cost |
|
Noncontrolling
Interest |
||||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at January 1, 2015
|
$
|
1,673,735
|
|
|
$
|
989,290
|
|
|
$
|
220,283
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
189,138
|
|
|
$
|
(56
|
)
|
|
$
|
274,630
|
|
Total comprehensive income
|
287,252
|
|
|
493,403
|
|
|
(205,068
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,083
|
)
|
||||||||
Stock-based compensation
|
3,105
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,105
|
|
|
—
|
|
|
—
|
|
||||||||
Cost of shares (acquired) issued under equity plan
|
(374
|
)
|
|
(312
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(62
|
)
|
|
—
|
|
||||||||
Cost of warrants acquired
|
(5,375
|
)
|
|
(3,942
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,433
|
)
|
|
—
|
|
|
—
|
|
||||||||
Warrants exercised
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
—
|
|
||||||||
Balance at December 31, 2015
|
1,958,346
|
|
|
1,478,439
|
|
|
15,215
|
|
|
—
|
|
|
450
|
|
|
190,813
|
|
|
(118
|
)
|
|
273,547
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at January 1, 2014
|
$
|
978,422
|
|
|
$
|
505,219
|
|
|
$
|
11,661
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
185,672
|
|
|
$
|
(19
|
)
|
|
$
|
275,439
|
|
Total comprehensive income
|
691,884
|
|
|
484,071
|
|
|
208,622
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(809
|
)
|
||||||||
Stock-based compensation
|
3,450
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,450
|
|
|
—
|
|
|
—
|
|
||||||||
Cost of shares acquired
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(37
|
)
|
|
—
|
|
||||||||
Warrants exercised
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|
—
|
|
||||||||
Balance at December 31, 2014
|
$
|
1,673,735
|
|
|
$
|
989,290
|
|
|
$
|
220,283
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
189,138
|
|
|
$
|
(56
|
)
|
|
$
|
274,630
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at May 1, 2013
|
$
|
275,415
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
275,415
|
|
Issuance of new equity in connection with emergence from Chapter 11
|
185,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
450
|
|
|
184,550
|
|
|
—
|
|
|
—
|
|
||||||||
Balance at May 1, 2013
|
460,415
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
450
|
|
|
184,550
|
|
|
—
|
|
|
275,415
|
|
||||||||
Total comprehensive income
|
516,904
|
|
|
505,219
|
|
|
11,661
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24
|
|
||||||||
Stock-based compensation
|
1,106
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,106
|
|
|
—
|
|
|
—
|
|
||||||||
Cost of shares acquired
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
||||||||
Warrants exercised
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|
—
|
|
||||||||
Balance at December 31, 2013
|
$
|
978,422
|
|
|
$
|
505,219
|
|
|
$
|
11,661
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
185,672
|
|
|
$
|
(19
|
)
|
|
$
|
275,439
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Predecessor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at January 1, 2013
|
$
|
(3,246,967
|
)
|
|
$
|
(6,297,264
|
)
|
|
$
|
625,385
|
|
|
$
|
—
|
|
|
$
|
3,080
|
|
|
$
|
2,172,027
|
|
|
$
|
(410,755
|
)
|
|
$
|
660,560
|
|
Total comprehensive income
|
3,522,382
|
|
|
3,349,049
|
|
|
174,875
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,542
|
)
|
||||||||
Stock-based compensation
|
(60
|
)
|
|
(60
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Shares issued under equity plans
|
60
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
60
|
|
|
—
|
|
||||||||
Elimination of Predecessor Ambac Shareholder equity accounts and noncontrolling interest adjustment
|
—
|
|
|
2,948,275
|
|
|
(800,260
|
)
|
|
—
|
|
|
(3,080
|
)
|
|
(2,172,027
|
)
|
|
410,695
|
|
|
(383,603
|
)
|
||||||||
Balance at April 30, 2013
|
$
|
275,415
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
275,415
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
(Dollars in thousands)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Cash flows from operating activities:
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to common shareholders
|
$
|
493,403
|
|
|
$
|
484,071
|
|
|
$
|
505,219
|
|
|
|
$
|
3,349,049
|
|
Noncontrolling interest in subsidiaries’ earnings
|
(709
|
)
|
|
(375
|
)
|
|
(417
|
)
|
|
|
(1,771
|
)
|
||||
Net income (loss)
|
492,694
|
|
|
483,696
|
|
|
504,802
|
|
|
|
3,347,278
|
|
||||
Adjustments to reconcile net income to net cash used in operating activities:
|
|
|
|
|
|
|
|
|
||||||||
Depreciation and amortization
|
3,213
|
|
|
3,582
|
|
|
1,980
|
|
|
|
974
|
|
||||
Impairment of goodwill
|
514,511
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Amortization of bond premium and discount
|
(129,584
|
)
|
|
(79,183
|
)
|
|
(34,698
|
)
|
|
|
(60,146
|
)
|
||||
Reorganization items
|
—
|
|
|
211
|
|
|
493
|
|
|
|
(2,745,180
|
)
|
||||
Share-based compensation
|
3,105
|
|
|
3,450
|
|
|
1,106
|
|
|
|
—
|
|
||||
Deferred income taxes
|
126
|
|
|
(120
|
)
|
|
619
|
|
|
|
(6
|
)
|
||||
Current income taxes
|
134
|
|
|
4,963
|
|
|
5,148
|
|
|
|
(101,188
|
)
|
||||
Deferred acquisition costs
|
—
|
|
|
—
|
|
|
—
|
|
|
|
14,207
|
|
||||
Unearned premiums, net
|
(366,985
|
)
|
|
(559,642
|
)
|
|
(205,951
|
)
|
|
|
(172,549
|
)
|
||||
Losses and loss expenses, net
|
(795,072
|
)
|
|
(1,650,090
|
)
|
|
(86,838
|
)
|
|
|
(43,284
|
)
|
||||
Ceded premiums payable
|
(6,942
|
)
|
|
(10,526
|
)
|
|
(7,044
|
)
|
|
|
(2,059
|
)
|
||||
Investment income due and accrued
|
(249
|
)
|
|
12,648
|
|
|
298
|
|
|
|
1,781
|
|
||||
Premium receivables
|
169,032
|
|
|
452,414
|
|
|
78,610
|
|
|
|
88,990
|
|
||||
Accrued interest payable
|
51,397
|
|
|
9,322
|
|
|
58,046
|
|
|
|
23,953
|
|
||||
Amortization of insurance intangible assets
|
169,557
|
|
|
151,830
|
|
|
99,658
|
|
|
|
—
|
|
||||
Net mark-to-market (gains) losses
|
(38,916
|
)
|
|
(20,863
|
)
|
|
(183,091
|
)
|
|
|
63,828
|
|
||||
Net realized investment gains
|
(53,476
|
)
|
|
(58,777
|
)
|
|
(4,467
|
)
|
|
|
(53,305
|
)
|
||||
(Gain) loss on extinguishment of debt
|
(81
|
)
|
|
74,724
|
|
|
—
|
|
|
|
—
|
|
||||
Other-than-temporary impairment charges
|
25,659
|
|
|
25,794
|
|
|
46,764
|
|
|
|
467
|
|
||||
Variable interest entity activities
|
(31,569
|
)
|
|
32,212
|
|
|
48,623
|
|
|
|
(426,566
|
)
|
||||
Other, net
|
80,988
|
|
|
152,846
|
|
|
(137,150
|
)
|
|
|
62,122
|
|
||||
Net cash provided by (used in) operating activities
|
87,542
|
|
|
(971,509
|
)
|
|
186,908
|
|
|
|
(683
|
)
|
||||
Cash flows from investing activities:
|
|
|
|
|
|
|
|
|
||||||||
Proceeds from sales of bonds
|
1,002,329
|
|
|
3,125,864
|
|
|
942,943
|
|
|
|
310,916
|
|
||||
Proceeds from matured bonds
|
1,029,026
|
|
|
1,402,904
|
|
|
613,345
|
|
|
|
307,472
|
|
||||
Purchases of bonds
|
(2,374,804
|
)
|
|
(2,937,782
|
)
|
|
(2,213,116
|
)
|
|
|
(286,633
|
)
|
||||
Proceeds from sales of other invested assets
|
177,756
|
|
|
49,739
|
|
|
90,067
|
|
|
|
—
|
|
||||
Purchases of other invested assets
|
(128,186
|
)
|
|
(133,928
|
)
|
|
(136,986
|
)
|
|
|
(164,368
|
)
|
||||
Change in short-term investments
|
134,276
|
|
|
(88,946
|
)
|
|
455,495
|
|
|
|
(64,956
|
)
|
||||
Loans, net
|
508
|
|
|
465
|
|
|
1,103
|
|
|
|
1,920
|
|
||||
Change in cash collateral receivable
|
(6,833
|
)
|
|
(158,240
|
)
|
|
(3,040
|
)
|
|
|
(19,405
|
)
|
||||
Other, net
|
(6,674
|
)
|
|
15,077
|
|
|
2,679
|
|
|
|
30,370
|
|
||||
Net cash provided by (used in) investing activities
|
(172,602
|
)
|
|
1,275,153
|
|
|
(247,510
|
)
|
|
|
115,316
|
|
||||
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account
|
—
|
|
|
224,262
|
|
|
—
|
|
|
|
—
|
|
||||
Net proceeds received from a secured borrowing
|
143,430
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Paydowns of a secured borrowing
|
(13,533
|
)
|
|
—
|
|
|
(9,069
|
)
|
|
|
(5,519
|
)
|
||||
Proceeds from warrant exercises
|
3
|
|
|
16
|
|
|
16
|
|
|
|
—
|
|
||||
Cost of warrants acquired
|
(5,375
|
)
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Payments for investment agreement draws
|
(63,872
|
)
|
|
(199,970
|
)
|
|
(5,926
|
)
|
|
|
—
|
|
||||
Payments for extinguishment of long-term debt
|
(13,752
|
)
|
|
(331,419
|
)
|
|
—
|
|
|
|
—
|
|
||||
Net cash provided by (used in) financing activities
|
46,901
|
|
|
(307,111
|
)
|
|
(14,979
|
)
|
|
|
(5,519
|
)
|
||||
Net cash flow
|
(38,159
|
)
|
|
(3,467
|
)
|
|
(75,581
|
)
|
|
|
109,114
|
|
||||
Cash and cash equivalents at beginning of period
|
73,903
|
|
|
77,370
|
|
|
152,951
|
|
|
|
43,837
|
|
||||
Cash and cash equivalents end of period
|
$
|
35,744
|
|
|
$
|
73,903
|
|
|
$
|
77,370
|
|
|
|
$
|
152,951
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
(Dollars in thousands)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Supplemental disclosure of cash flow information:
|
|
|
|
|
|
|
|
|
||||||||
Cash paid during the period for:
|
|
|
|
|
|
|
|
|
||||||||
Income taxes
|
$
|
16,969
|
|
|
$
|
4,400
|
|
|
$
|
1,656
|
|
|
|
$
|
102,129
|
|
Interest on secured borrowing
|
1,506
|
|
|
—
|
|
|
170
|
|
|
|
276
|
|
||||
Interest on investment agreements
|
341
|
|
|
518
|
|
|
832
|
|
|
|
444
|
|
||||
Interest on surplus notes
|
—
|
|
|
82,168
|
|
|
—
|
|
|
|
—
|
|
||||
Cash payments related to reorganization items:
|
|
|
|
|
|
|
|
|
||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding
|
—
|
|
|
272
|
|
|
15,546
|
|
|
|
3,860
|
|
•
|
Increasing the value of its investment in Ambac Assurance by actively managing its assets and liabilities with a focus on maximizing risk-adjusted investment portfolio returns and mitigating or remediating losses on poorly performing insured transactions through executing policy commutations, pursuing recoveries of losses through litigation and the exercise of contractual and legal rights, restructuring transactions, and other means; and
|
•
|
Selectively growing and diversifying Ambac through the development or acquisition of financial services businesses such as advisory, asset servicing, asset management and/or insurance.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
U.S. Trustee fees
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
33
|
|
|
|
$
|
23
|
|
Professional fees
|
—
|
|
|
204
|
|
|
460
|
|
|
|
4,483
|
|
||||
Gain from cancellation and satisfaction of Predecessor Ambac debt
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(1,521,435
|
)
|
||||
Fresh start reporting adjustments
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(1,228,251
|
)
|
||||
Total reorganization items
|
$
|
—
|
|
|
$
|
211
|
|
|
$
|
493
|
|
|
|
$
|
(2,745,180
|
)
|
December 31
|
2015
|
|
2014
|
||||
Beginning balance
|
$
|
514,511
|
|
|
$
|
514,511
|
|
Impairment loss
|
(514,511
|
)
|
|
—
|
|
||
Ending balance
|
$
|
—
|
|
|
$
|
514,511
|
|
•
|
Unpaid claims represent the sum of (i) claims not yet paid for policies allocated to the Segregated Account, including Deferred Amounts (as defined in
Note 1. Background and Business Description
) and (ii) accrued interest on Deferred Amounts (generally at an effective rate of
5.1%
.) as required by the amended Segregated Account Rehabilitation Plan that became effective on June 12, 2014. Refer to
Note 1. Background and Business Description
for further discussion of the amended Segregated Account Rehabilitation Plan. Unpaid claims are measured based on the cost of settling the claims, which is principal plus accrued interest.
|
•
|
The PV of expected future losses, net of expected future recoveries, are impacted by: (i) expected future claims under an insurance contract, including the impact of potential settlement outcomes upon future installment premiums, (ii) expected recoveries from contractual breaches of RMBS representations and warranties by transaction sponsors, (iii) excess spread within the underlying transaction's cash flow structure, and (iv) other subrogation recoveries. Expected receipts from third parties within the underlying transaction's cash flow structure relating to contractual breaches in non-RMBS securitizations may also reduce expected future claims. Ambac’s approach to resolving disputes involving contractual breaches by transaction sponsors or other third parties has included negotiations and/or pursuing litigation. Ambac does not include potential recoveries from litigation attributed solely to fraudulent inducement claims in our estimate of subrogation recoveries, since any remedies under such claims would be non-contractual.
|
(i)
|
$5,000
per annum reimbursement for operating expenses until March 2017;
|
(ii)
|
Tolling payments on NOLs according to the tranches and tolling rates, as outlined in the Reorganization Plan. In conjunction with the Reorganization Plan, Ambac and Ambac Assurance entered into the Amended TSA, which provides that certain NOLs (“Allocated NOL Amount”) generated by Ambac’s affiliated group (including Ambac Assurance) for federal tax purposes on or prior to September 30, 2011 (the “Determination Date”) shall be available for use by the Ambac Assurance Subgroup subject to certain NOL
|
(iii)
|
$30,000
in upfront cash, which Ambac Assurance can apply as a credit for up to
$15,000
of future tolling payments;
|
(iv)
|
a
$350,000
junior surplus note, assumed to accrue interest at a rate of
5.1%
per annum and to be paid down in 2045; and
|
(v)
|
from March 2017, an additional
$4,000
per annum reimbursement for operating expenses (the “Additional Opex Subsidy”). There is uncertainty as to whether or not the Additional Opex Subsidy will be approved by the Rehabilitator and, if approved, for what period of time it would be in effect.
|
Enterprise value
|
$
|
185,000
|
|
Add: Fair value of liabilities
|
28,393,020
|
|
|
Add: Fair value of noncontrolling interest
|
275,415
|
|
|
Reorganization value allocated to assets
|
28,853,435
|
|
|
Less: Fair value of identified tangible and intangible assets
|
28,338,924
|
|
|
Reorganization value in excess of fair value of assets (goodwill)
|
$
|
514,511
|
|
(Dollars in Thousands)
|
Predecessor
Ambac
|
|
Reorganization
Item
Adjustments
|
|
Fresh Start
Adjustments
|
|
Successor
Ambac
|
||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||
Investments
|
$
|
6,457,264
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,457,264
|
|
Cash
|
254,851
|
|
|
(101,900
|
)
|
(A)
|
|
|
152,951
|
|
|||||
Receivable for securities sold
|
682
|
|
|
|
|
|
|
682
|
|
||||||
Investment income due and accrued
|
37,961
|
|
|
|
|
|
|
37,961
|
|
||||||
Premium receivables
|
1,531,631
|
|
|
|
|
|
|
1,531,631
|
|
||||||
Reinsurance recoverable on paid and unpaid losses
|
151,311
|
|
|
|
|
|
|
151,311
|
|
||||||
Deferred ceded premium
|
166,212
|
|
|
|
|
|
|
166,212
|
|
||||||
Subrogation recoverable
|
533,673
|
|
|
|
|
|
|
533,673
|
|
||||||
Deferred acquisition costs
|
184,953
|
|
|
|
|
(184,953
|
)
|
(C)
|
—
|
|
|||||
Loans
|
8,857
|
|
|
|
|
(1,575
|
)
|
(C)
|
7,282
|
|
|||||
Derivative assets
|
121,643
|
|
|
|
|
|
|
121,643
|
|
||||||
Current taxes
|
—
|
|
|
4,410
|
|
(A)
|
|
|
4,410
|
|
|||||
Insurance intangible asset
|
—
|
|
|
|
|
1,658,972
|
|
(C)
|
1,658,972
|
|
|||||
Goodwill
|
—
|
|
|
|
|
514,511
|
|
(C)
|
514,511
|
|
|||||
Other assets
|
54,821
|
|
|
|
|
|
|
54,821
|
|
||||||
Variable interest entity assets:
|
|
|
|
|
|
|
—
|
|
|||||||
Fixed income securities, at fair value
|
2,500,565
|
|
|
|
|
|
|
2,500,565
|
|
||||||
Restricted cash
|
24,150
|
|
|
|
|
|
|
24,150
|
|
||||||
Investment income due and accrued
|
4,851
|
|
|
|
|
|
|
4,851
|
|
||||||
Loans
|
14,758,077
|
|
|
|
|
(6,024
|
)
|
(C)
|
14,752,053
|
|
|||||
Intangible assets
|
164,520
|
|
|
|
|
|
|
164,520
|
|
||||||
Other assets
|
13,972
|
|
|
|
|
|
|
13,972
|
|
||||||
Total assets
|
$
|
26,969,994
|
|
|
$
|
(97,490
|
)
|
|
$
|
1,980,931
|
|
|
$
|
28,853,435
|
|
Liabilities and Stockholders’ Equity:
|
|
|
|
|
|
|
|
||||||||
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Liabilities subject to compromise
|
$
|
1,704,641
|
|
|
$
|
(1,704,641
|
)
|
(B)
|
$
|
—
|
|
|
$
|
—
|
|
Unearned premiums
|
2,482,314
|
|
|
|
|
|
|
2,482,314
|
|
||||||
Losses and loss expense reserve
|
6,106,345
|
|
|
|
|
|
|
6,106,345
|
|
||||||
Ceded premiums payable
|
92,468
|
|
|
|
|
|
|
92,468
|
|
||||||
Obligations under investment agreements
|
357,373
|
|
|
|
|
1,505
|
|
(C)
|
358,878
|
|
|||||
Obligations under investment repurchase agreements
|
5,926
|
|
|
|
|
|
|
5,926
|
|
||||||
Deferred taxes
|
1,580
|
|
|
|
|
|
|
1,580
|
|
||||||
Current taxes
|
97,490
|
|
|
(97,490
|
)
|
(A)
|
|
|
—
|
|
|||||
Long-term debt
|
155,271
|
|
|
(973
|
)
|
(B)
|
786,015
|
|
(C)
|
940,313
|
|
||||
Accrued interest payable
|
252,788
|
|
|
(821
|
)
|
(B)
|
(18,091
|
)
|
(C)
|
233,876
|
|
||||
Derivative liabilities
|
621,645
|
|
|
|
|
|
|
621,645
|
|
||||||
Other liabilities
|
88,908
|
|
|
|
|
1,837
|
|
(C)
|
90,745
|
|
|||||
Payable for securities purchased
|
27
|
|
|
|
|
|
|
27
|
|
||||||
Variable interest entity liabilities:
|
|
|
|
|
|
|
—
|
|
|||||||
Accrued interest payable
|
4,318
|
|
|
|
|
|
|
4,318
|
|
||||||
Long-term debt
|
15,041,624
|
|
|
|
|
(18,586
|
)
|
(C)
|
15,023,038
|
|
|||||
Derivative liabilities
|
2,425,517
|
|
|
|
|
|
|
2,425,517
|
|
||||||
Other liabilities
|
6,030
|
|
|
|
|
|
|
6,030
|
|
||||||
Total liabilities
|
$
|
29,444,265
|
|
|
$
|
(1,803,925
|
)
|
|
$
|
752,680
|
|
|
$
|
28,393,020
|
|
(Dollars in Thousands)
|
Predecessor
Ambac
|
|
Reorganization
Item
Adjustments
|
|
Fresh Start
Adjustments
|
|
Successor
Ambac
|
||||||||
Stockholders’ (deficit) equity:
|
|
|
|
|
|
|
|
||||||||
Preferred stock
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Common stock-Predecessor Ambac
|
3,080
|
|
|
|
|
(3,080
|
)
|
(D)
|
—
|
|
|||||
Common stock-Successor Ambac
|
—
|
|
|
450
|
|
(B)
|
|
|
450
|
|
|||||
Additional paid-in capital-Predecessor Ambac
|
2,172,027
|
|
|
|
|
(2,172,027
|
)
|
(D)
|
—
|
|
|||||
Additional paid-in capital-Successor Ambac
|
—
|
|
|
184,550
|
|
(B)
|
|
|
|
184,550
|
|
||||
Accumulated other comprehensive income
|
800,260
|
|
|
|
|
(800,260
|
)
|
(D)
|
—
|
|
|||||
Accumulated deficit
|
(5,697,961
|
)
|
|
1,521,435
|
|
(B)
|
4,176,526
|
|
(C) (D)
|
—
|
|
||||
Common stock held in treasury at cost
|
(410,695
|
)
|
|
|
|
410,695
|
|
(D)
|
—
|
|
|||||
Total Ambac Financial Group, Inc. stockholders’ (deficit) equity
|
(3,133,289
|
)
|
|
1,706,435
|
|
|
1,611,854
|
|
|
185,000
|
|
||||
Noncontrolling interest
|
659,018
|
|
|
|
|
(383,603
|
)
|
(D)
|
275,415
|
|
|||||
Total stockholders’ (deficit) equity
|
(2,474,271
|
)
|
|
1,706,435
|
|
|
1,228,251
|
|
|
460,415
|
|
||||
Total liabilities and stockholders’ (deficit) equity
|
$
|
26,969,994
|
|
|
$
|
(97,490
|
)
|
|
$
|
1,980,931
|
|
|
$
|
28,853,435
|
|
(A)
|
Reflects the cash payment of
$101,900
to the IRS under a settlement with the IRS on the Fresh Start Reporting Date pursuant to the Reorganization Plan.
|
(B)
|
Reflects the discharge of liabilities subject to the Reorganization Plan, issuance of
45,000,000
and
5,047,138
shares of Successor Ambac common stock and warrants, respectively, to certain claim holders, resulting in a pre-tax gain of
$1,521,435
on extinguishment of obligations pursuant to the Reorganization Plan. The following reflects the calculation of the pre-tax gain, which was recorded as a Reorganization item on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss):
|
Liabilities subject to compromise
|
$
|
1,704,641
|
|
|
Long-term debt
|
973
|
|
(1)
|
|
Accrued interest payable
|
821
|
|
(1)
|
|
Total debt discharged
|
1,706,435
|
|
|
|
Less: Successor Ambac common stock
|
(450
|
)
|
(2)
|
|
Successor Ambac additional paid-in capital
|
(184,550
|
)
|
(2)
|
|
Pre-tax gain from cancellation and satisfaction of Predecessor Ambac debt
|
$
|
1,521,435
|
|
|
(1)
|
Represents the proportional reduction in the carrying value of long-term debt and associated accrued interest payable upon the discharge of $8,043 par value of Segregated Account junior surplus notes that were issued to a pre-petition creditor, One State Street, LLC (“OSS”). Pursuant to a settlement agreement (the “OSS Settlement Agreement”) to terminate the Company’s office lease with OSS and to settle all claims among the parties, the outstanding principal amount of the Segregated Account junior surplus notes issued to OSS were reduced based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. Refer to
Note 14. Long-term Debt
for additional information on the OSS Settlement Agreement.
|
(2)
|
Warrants issued in connection with the Reorganization Plan are classified as equity and initially measured at fair value. The enterprise value of
$185,000
is allocated between common stock and warrants based on their relative fair values as quoted on the Effective Date. Successor Ambac common stock of
$450
represents the par value of
45,000,000
shares of common stock issued at
$0.01
per share. Included in the Successor Ambac additional paid-in capital of
$184,550
,
$11,437
was allocated to
5,047,138
warrants at their initial fair value, with the remaining
$173,113
additional paid-in capital attributable to common stock.
|
(C)
|
The following table summarizes the impact of the fresh start adjustments, which in the aggregate was recorded as a Reorganization item gain on Predecessor Ambac’s Consolidated Statements of Total Comprehensive Income (Loss):
|
Deferred acquisition costs
|
$
|
(184,953
|
)
|
Loans (non-VIE)
|
(1,575
|
)
|
|
Insurance intangible asset
|
1,658,972
|
|
|
Goodwill
|
514,511
|
|
|
Obligations under investment agreements
|
(1,505
|
)
|
|
Long-term debt and accrued interest payable
|
(767,924
|
)
|
|
Other liabilities
|
(1,837
|
)
|
|
Variable Interest Entities:
|
|
||
VIE loans and long-term debt
|
12,562
|
|
|
Asset/liability fair value adjustments impacting Reorganization items
|
1,228,251
|
|
|
Adjustment to deferred tax provision
|
—
|
|
|
Gain on fresh start adjustments
|
$
|
1,228,251
|
|
•
|
Deferred acquisition costs
-These deferred costs do not represent future cash flows and therefore the fair value is zero at the Fresh Start Reporting Date.
|
•
|
Loans
-
The fair value adjustment for this line item relates to non-VIE loans that have historically been reported at their outstanding principal balance. Refer to
Note 10. Fair Value Measurements
for a discussion of the valuation methodology used to estimate fair value for each of these financial instruments. Subsequent to the Fresh Start Reporting Date, the fair value discounts are accretable to interest income using the effective interest method over the remaining lives of the loans. Fair value as of April 30, 2013 was calculated using a discounted cash flow approach. As of April 30, 2013, the loans had a principal-weighted average life of
6.81 years
and a coupon rate of
5.01%
. Discount rates used to determine the fair value of the loans at April 30, 2013 were consistent with the credit quality of the borrowers and had a weighted average of
9.71%
.
|
•
|
Insurance intangible asset
-Pursuant to the business combinations guidance for insurance entities in the Financial Services-Insurance Topic of the ASC, Successor Ambac accounted for the insurance and reinsurance assets and liabilities acquired as new contracts, and measured them at fair value in two components as follows:
|
a.
|
Insurance and reinsurance assets and liabilities measured in accordance with Successor Ambac’s accounting policies for insurance and reinsurance contracts that it issues or holds, as further described in
Note 2. Basis of Presentation and Significant Accounting Policies
.
These insurance and reinsurance assets and liabilities primarily comprise premium receivables, reinsurance recoverable on paid and unpaid losses, deferred ceded premium, subrogation recoverable, losses and loss expense reserve, unearned premiums and ceded premiums payable; and
|
b.
|
An insurance intangible asset representing the difference between: 1) the fair value of the contractual insurance and reinsurance assets acquired and liabilities assumed and 2) the amounts described in (a) above. Refer to
Note 2. Basis of Presentation and Significant Accounting Policies
for the subsequent accounting treatment of the insurance intangible asset.
|
Measurement input
|
|
Fair value methodology
(Refer to Note 10)
|
|
Successor Ambac accounting policy
(Refer to Note 2)
|
Cash flows
|
|
All projected cash flows to be paid and/or received under the insurance contract are based on management’s expectations of how a market participant would make such estimates.
|
|
Premium receipts are projected based on management’s expectations if the insured obligation is a homogenous pool of assets. For non-homogenous contracts, premium projections are based on contractual cash flows.
Loss payments, including subrogation recoveries, are projected using a probability-weighted average of all possible outcomes.
|
|
|
|
|
|
Discount rates
|
|
Discount rates are applied to
net
cash flows at the policy level as follows:
Insurance policies which are in a liability (i.e. net cash outflow) position are discounted using rates which incorporate Ambac’s own credit risk, under the assumption we will be transferring the policies to a market participant with similar credit risk.
Insurance policies which are in an asset (i.e. net cash inflow) position are discounted using a hypothetical buyer’s cost of capital and does
not
assume we would be transferring the policies to a party with similar credit risk.
|
|
Discount rates are applied to gross cash flows at the policy level as follows:
Premiums are discounted at the relevant risk-free rate based on the remaining expected or contractual weighted-average life of the exposure, as applicable.
Losses, including subrogation recoveries, are discounted at the relevant risk-free rate.
|
|
|
|
|
|
Profit margin
|
|
For insurance policies in a net liability position (i.e. net cash outflow) a profit margin is applied to the discounted value, which represents the additional consideration another market participant would require from Ambac to assume the contract. At April 30, 2013, a profit margin of 17% was applied to the discounted value of insurance policies in a net liability position.
|
|
No profit margin is applied.
|
|
|
|
|
|
•
|
Goodwill
-This amount represented the excess of the reorganization value over the fair value of identified tangible and intangible assets of the emerging company. Changes in the fair values of these assets and liabilities from the current estimated values, as well as changes in assumptions, could significantly impact the amount of recorded goodwill. Accordingly, there can be no assurance that the estimates, assumptions, and values reflected in the valuations will be realized, and actual results could vary materially. Please refer to the above table located immediately prior to the Reorganized Condensed Consolidated Balance Sheet which indicates how goodwill was determined. Refer to
Note 2. Basis of Presentation and Significant Accounting Policies
for the subsequent accounting treatment of goodwill.
|
•
|
VIE loans and long-term debt
-The portion of VIE loans and long-term debt that had not been carried at fair value have been adjusted to fair value for fresh start reporting. Refer to
Note 10. Fair Value Measurements
for a discussion of the valuation methodology used to estimate fair value for VIE assets and liabilities. Subsequent to the Fresh Start Reporting Date, we have elected to continue accounting for these VIEs at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC. We believe that the fair value of the investments in these entities provides for greater transparency for recording profit or loss as compared to the equity method under the Investments-Equity Method and Joint Ventures Topic of the ASC. As a result, subsequent changes to fair value will be recorded as Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Valuation of the long-term debt not previously reported at fair value was determined from third-party quotes. The related VIE loans were valued at April 30, 2013 using a discounted cash flow approach with a discount rate of
5.7%
, consistent with the rate implied from the fair value of the VIE’s debt.
|
•
|
Obligations under investment agreements
-These instruments had previously been reported at their principal value less unamortized discount. We have adjusted these items to fair value for fresh start reporting. Refer to
Note 10. Fair Value Measurements
for a discussion of the valuation methodology used to estimate fair value for obligations under investment agreements. The fair value discounts and premiums to principal will be amortized into interest expense using the effective interest method over the lives of the respective contracts. Fair values were determined using discounted cash flows at April 30, 2013. Valuation of collateralized obligations represents projected cash flows discounted at LIBOR. Valuation of uncollateralized obligations were discounted using a weighted average discount rate of
9.4%
consistent with the credit adjusted discount rate of Ambac Assurance, which provides a financial guarantee for all investment and repurchase agreements.
|
•
|
Long-term debt and accrued interest payable
-All debt liabilities subject to the Reorganization Plan were discharged. The remaining long-term debt is primarily related to surplus notes and junior surplus notes issued by Ambac Assurance and the Segregated Account, which were carried at their face value less unamortized discount. The notes have been adjusted to estimated fair value for fresh start reporting. Refer to
Note 10. Fair Value Measurements
for a discussion of the valuation methodology used to estimate fair
|
•
|
Other liabilities
-This amount reflects an adjustment, based on actuarial evaluation, to re-measure the accumulated postretirement benefit obligation as of the Effective Date, as a result of application of fresh start reporting. This adjustment primarily reflects changes in mortality assumptions.
|
•
|
Deferred taxes
-Deferred taxes were determined in conformity with the accounting requirements for the Income Tax Topic of the ASC. As a result of Fresh Start, a new deferred tax liability was established to recognize the tax effect of the fair value adjustments to identified tangible and intangible assets of the emerging company. This deferred tax liability adjustment was offset by a reduction in the deferred tax valuation allowance, resulting in no change to the deferred tax provision.
|
(D)
|
Reflects the cancellation of Predecessor Ambac equity accounts attributable to its common shareholders and the fair value adjustment of noncontrolling interests, as follows:
|
Common stock
|
$
|
(3,080
|
)
|
|
Additional paid-in-capital
|
(2,172,027
|
)
|
|
|
Accumulated other comprehensive income
|
(800,260
|
)
|
|
|
Accumulated deficit
|
2,948,275
|
|
|
|
Common stock held in treasury at cost
|
410,695
|
|
|
|
Noncontrolling interest fair value adjustment
|
(383,603
|
)
|
(1)
|
|
Net adjustment
|
$
|
—
|
|
|
(1)
|
Non-controlling interest is primarily related to Ambac Assurance preferred stock issued to third parties. Non-controlling interest was adjusted to fair value based on current quotes from market sources. Noncontrolling interest is a component of equity and as a result, the fair value adjustment is a permanent item that will not be accreted into income.
|
•
|
Since their inception, there have been
15
individual transactions with these entities, of which
3
transactions remain outstanding as of
December 31, 2015
. Total principal amount of debt outstanding was
$454,290
and
$457,960
at
December 31, 2015 and 2014
, respectively. In each case, Ambac sold assets to these entities. The assets are composed of utility obligations with a weighted average rating of
BBB
at
December 31, 2015
and weighted average life of
5.9 years
. The purchase by these entities of financial assets was financed through the issuance of medium-term notes (“MTNs”), which are cross-collateralized by the purchased assets. The MTNs have the same expected weighted average life as the purchased assets. Derivative contracts (interest rate swaps) are used within the entities for economic hedging purposes only. Derivative positions were established at the time MTNs were issued to purchase financial assets. As of
December 31, 2015
Ambac Assurance had financial guarantee insurance policies issued for all assets, MTNs and derivative contracts owned and outstanding by the entities.
|
•
|
Insurance premiums paid to Ambac Assurance by these entities are earned in a manner consistent with other insurance policies, over the risk period. Additionally, any losses incurred on such insurance policies are included in Ambac’s Consolidated Statements of Total Comprehensive Income (Loss). Under the terms of an Administrative Agency Agreement, Ambac provides certain administrative duties, primarily collecting amounts due on the obligations and making interest payments on the MTNs.
|
December 31
|
2015
|
|
2014
|
||||
Investments:
|
|
|
|
||||
Corporate obligations
|
$
|
2,588,556
|
|
|
$
|
2,743,050
|
|
Total variable interest entity assets: fixed income securities
|
$
|
2,588,556
|
|
|
$
|
2,743,050
|
|
|
Estimated fair value
|
|
Unpaid principal balance
|
||||
December 31, 2015:
|
|
|
|
||||
Loans
|
$
|
11,690,324
|
|
|
$
|
9,182,284
|
|
Long-term debt
|
12,327,960
|
|
|
11,069,070
|
|
||
December 31, 2014:
|
|
|
|
||||
Loans
|
12,371,177
|
|
|
10,236,695
|
|
||
Long-term debt
|
$
|
12,882,076
|
|
|
$
|
11,925,499
|
|
|
Carrying Value of Assets and Liabilities
|
||||||||||||||
|
Maximum
Exposure To Loss (1) |
|
Insurance
Assets (2) |
|
Insurance
Liabilities (3) |
|
Net Derivative
Assets (Liabilities) (4) |
||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
||||||||
Global structured finance:
|
|
|
|
|
|
|
|
||||||||
Collateralized debt obligations
|
$
|
980,935
|
|
|
$
|
264
|
|
|
$
|
3,639
|
|
|
$
|
(129,525
|
)
|
Mortgage-backed—residential
|
17,081,002
|
|
|
1,279,650
|
|
|
2,680,739
|
|
|
—
|
|
||||
Other consumer asset-backed
|
3,853,443
|
|
|
47,346
|
|
|
535,090
|
|
|
—
|
|
||||
Other commercial asset-backed
|
2,393,805
|
|
|
104,033
|
|
|
94,191
|
|
|
—
|
|
||||
Other
|
3,286,568
|
|
|
81,017
|
|
|
461,364
|
|
|
16,604
|
|
||||
Total global structured finance
|
27,595,753
|
|
|
1,512,310
|
|
|
3,775,023
|
|
|
(112,921
|
)
|
||||
Global public finance
|
28,586,582
|
|
|
377,412
|
|
|
427,299
|
|
|
(24,860
|
)
|
||||
Total
|
$
|
56,182,335
|
|
|
$
|
1,889,722
|
|
|
$
|
4,202,322
|
|
|
$
|
(137,781
|
)
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
||||||||
Global structured finance:
|
|
|
|
|
|
|
|
||||||||
Collateralized debt obligations
|
$
|
1,386,100
|
|
|
$
|
345
|
|
|
$
|
4,000
|
|
|
$
|
(145,565
|
)
|
Mortgage-backed—residential
|
16,202,408
|
|
|
1,011,888
|
|
|
2,924,987
|
|
|
—
|
|
||||
Other consumer asset-backed
|
5,109,776
|
|
|
65,204
|
|
|
885,572
|
|
|
(36,877
|
)
|
||||
Other commercial asset-backed
|
3,119,891
|
|
|
135,215
|
|
|
128,988
|
|
|
—
|
|
||||
Other
|
3,801,382
|
|
|
97,345
|
|
|
599,915
|
|
|
18,176
|
|
||||
Total global structured finance
|
29,619,557
|
|
|
1,309,997
|
|
|
4,543,462
|
|
|
(164,266
|
)
|
||||
Global public finance
|
31,639,004
|
|
|
457,774
|
|
|
533,192
|
|
|
(22,135
|
)
|
||||
Total
|
$
|
61,258,561
|
|
|
$
|
1,767,771
|
|
|
$
|
5,076,654
|
|
|
$
|
(186,401
|
)
|
(1)
|
Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts plus Deferred Amounts and accrued and unpaid interest thereon. Ambac’s maximum exposure to loss does not include the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests.
|
(2)
|
Insurance assets represent the amount recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.
|
(3)
|
Insurance liabilities represent the amount recorded in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.
|
(4)
|
Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets.
|
|
Unrealized Gains
(Losses) on Available- for Sale Securities (1) |
|
Amortization of
Postretirement Benefit (1) |
|
Gain (Loss) on
Foreign Currency Translation (1) |
|
Total
|
||||||||
Year Ended December 31, 2015:
|
|
|
|
|
|
|
|
||||||||
Beginning Balance
|
$
|
210,693
|
|
|
$
|
10,031
|
|
|
$
|
(441
|
)
|
|
$
|
220,283
|
|
Other comprehensive income before reclassifications
|
(131,976
|
)
|
|
193
|
|
|
(44,651
|
)
|
|
(176,434
|
)
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(27,754
|
)
|
|
(880
|
)
|
|
—
|
|
|
(28,634
|
)
|
||||
Net current period other comprehensive income (loss)
|
(159,730
|
)
|
|
(687
|
)
|
|
(44,651
|
)
|
|
(205,068
|
)
|
||||
Balance at December 31, 2015
|
$
|
50,963
|
|
|
$
|
9,344
|
|
|
$
|
(45,092
|
)
|
|
$
|
15,215
|
|
|
|
|
|
|
|
|
|
||||||||
Year Ended December 31, 2014:
|
|
|
|
|
|
|
|
||||||||
Beginning Balance
|
$
|
(41,910
|
)
|
|
$
|
10,847
|
|
|
$
|
42,724
|
|
|
$
|
11,661
|
|
Other comprehensive income before reclassifications
|
285,565
|
|
|
—
|
|
|
(43,165
|
)
|
|
242,400
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(32,962
|
)
|
|
(816
|
)
|
|
—
|
|
|
(33,778
|
)
|
||||
Net current period other comprehensive income (loss)
|
252,603
|
|
|
(816
|
)
|
|
(43,165
|
)
|
|
208,622
|
|
||||
Balance at December 31, 2014
|
$
|
210,693
|
|
|
$
|
10,031
|
|
|
$
|
(441
|
)
|
|
$
|
220,283
|
|
(1)
|
All amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate debits.
|
|
Amount Reclassified from Accumulated
Other Comprehensive Income (1) |
|
Affected Line Item in the
|
||||||
Details about Accumulated Other
|
Year Ended December 31,
|
|
Consolidated Statement of
|
||||||
Comprehensive Income Components
|
2015
|
|
2014
|
|
Total Comprehensive Income
|
||||
Unrealized Gains (Losses) on Available-for-Sale Securities
|
|
|
|
|
|
||||
|
$
|
(27,754
|
)
|
|
$
|
(32,962
|
)
|
|
Net realized investment gains
|
|
—
|
|
|
—
|
|
|
Tax (expense) benefit
|
||
|
$
|
(27,754
|
)
|
|
$
|
(32,962
|
)
|
|
Net of tax and noncontrolling interest
(3)
|
Amortization of Postretirement Benefit
|
|
|
|
|
|
||||
Prior service cost
|
$
|
(666
|
)
|
|
$
|
(664
|
)
|
|
Underwriting and operating expenses
(2)
|
Actuarial gains (losses)
|
(214
|
)
|
|
(152
|
)
|
|
Underwriting and operating expenses
(2)
|
||
|
(880
|
)
|
|
(816
|
)
|
|
Total before tax
|
||
|
—
|
|
|
—
|
|
|
Tax (expense) benefit
|
||
|
$
|
(880
|
)
|
|
$
|
(816
|
)
|
|
Net of tax and noncontrolling interest
(3)
|
Total reclassifications for the period
|
$
|
(28,634
|
)
|
|
$
|
(33,778
|
)
|
|
Net of tax and noncontrolling interest
(3)
|
(1)
|
Amounts in parentheses indicate debits to the Consolidated Statement of Comprehensive Income.
|
(2)
|
These accumulated other comprehensive income components are included in the computation of net periodic benefit cost.
|
(3)
|
Amount agrees with amount reported as reclassifications from AOCI in the disclosure about changes in AOCI balances.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||
Basic weighted average shares outstanding
|
45,173,542
|
|
|
45,093,304
|
|
|
45,003,925
|
|
|
|
302,469,544
|
|
Effect of potential dilutive shares:
|
|
|
|
|
|
|
|
|
||||
Warrants
|
809,834
|
|
|
1,786,804
|
|
|
1,297,620
|
|
|
|
—
|
|
Stock options
|
5,313
|
|
|
9,807
|
|
|
—
|
|
|
|
—
|
|
Restricted stock units
|
14,221
|
|
|
37,812
|
|
|
1,189
|
|
|
|
109,701
|
|
Performance stock units
|
3,117
|
|
|
5,526
|
|
|
—
|
|
|
|
—
|
|
Diluted weighted average shares outstanding
|
46,006,027
|
|
|
46,933,253
|
|
|
46,302,734
|
|
|
|
302,579,245
|
|
Net Par Outstanding December 31
|
2015
|
|
2014
|
||||
Public Finance:
|
|
|
|
||||
Lease and tax-backed revenue
|
$
|
22,060,000
|
|
|
$
|
33,411,000
|
|
General obligation
|
15,946,000
|
|
|
22,699,000
|
|
||
Utility revenue
|
8,218,000
|
|
|
11,687,000
|
|
||
Housing revenue
|
6,810,000
|
|
|
7,108,000
|
|
||
Transportation education
|
5,589,000
|
|
|
7,738,000
|
|
||
Higher education
|
3,439,000
|
|
|
6,389,000
|
|
||
Health care revenue
|
2,234,000
|
|
|
3,106,000
|
|
||
Other
|
1,140,000
|
|
|
1,310,000
|
|
||
Total Public Finance
|
65,436,000
|
|
|
93,448,000
|
|
||
Structured Finance:
|
|
|
|
||||
Mortgage-backed and home equity
|
11,387,000
|
|
|
13,686,000
|
|
||
Investor-owned utilities
|
4,921,000
|
|
|
5,411,000
|
|
||
Student loan
|
2,323,000
|
|
|
3,390,000
|
|
||
Asset-backed
(1)
|
1,140,000
|
|
|
1,335,000
|
|
||
CDOs
|
306,000
|
|
|
637,000
|
|
||
Other
|
1,737,000
|
|
|
1,875,000
|
|
||
Total Structured Finance
|
21,814,000
|
|
|
26,334,000
|
|
||
International Finance:
|
|
|
|
||||
Investor-owned and public utilities
|
7,208,000
|
|
|
8,455,000
|
|
||
Sovereign/sub-sovereign
|
6,218,000
|
|
|
6,758,000
|
|
||
Asset-backed
(1)
|
3,870,000
|
|
|
4,442,000
|
|
||
Transportation
|
2,118,000
|
|
|
3,425,000
|
|
||
Mortgage-backed and home equity
|
347,000
|
|
|
410,000
|
|
||
CDOs
|
190,000
|
|
|
233,000
|
|
||
Other
|
1,098,000
|
|
|
1,229,000
|
|
||
Total International Finance
|
21,049,000
|
|
|
24,952,000
|
|
||
Total
|
$
|
108,299,000
|
|
|
$
|
144,734,000
|
|
(1)
|
At
December 31, 2015 and 2014
, all asset-backed net par amounts outstanding relate to commercial asset-based transactions.
|
Net Par Outstanding December 31
|
2015
|
|
2014
|
||||
United Kingdom
|
$
|
15,494,000
|
|
|
$
|
17,998,000
|
|
Australia
|
1,851,000
|
|
|
2,168,000
|
|
||
Italy
|
948,000
|
|
|
1,415,000
|
|
||
Austria
|
737,000
|
|
|
841,000
|
|
||
France
|
288,000
|
|
|
88,000
|
|
||
Internationally diversified
(1)
|
974,000
|
|
|
1,225,000
|
|
||
Other international
|
757,000
|
|
|
1,217,000
|
|
||
Total International Finance
|
$
|
21,049,000
|
|
|
$
|
24,952,000
|
|
(1)
|
Internationally diversified obligations represent pools of geographically diversified exposures which may include components of U.S. exposure.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2014
|
|
|
April 30, 2013
|
||||||||
Beginning premium receivable
|
$
|
1,000,607
|
|
|
$
|
1,453,021
|
|
|
$
|
1,531,631
|
|
|
|
$
|
1,620,621
|
|
Premium receipts
|
(108,029
|
)
|
|
(126,497
|
)
|
|
(82,071
|
)
|
|
|
(48,296
|
)
|
||||
Adjustments for changes in expected and contractual cash flows
|
(64,740
|
)
|
|
(322,443
|
)
|
|
(91,241
|
)
|
|
|
(28,237
|
)
|
||||
Accretion of premium receivable discount
|
24,628
|
|
|
36,651
|
|
|
26,184
|
|
|
|
14,740
|
|
||||
Deconsolidation of certain VIEs
|
—
|
|
|
—
|
|
|
45,883
|
|
|
|
—
|
|
||||
Uncollectable premiums
|
2,540
|
|
|
(2,518
|
)
|
|
(15,262
|
)
|
|
|
(634
|
)
|
||||
Other adjustments (including foreign exchange)
|
(23,431
|
)
|
|
(37,607
|
)
|
|
37,897
|
|
|
|
(26,563
|
)
|
||||
Ending premium receivable
|
$
|
831,575
|
|
|
$
|
1,000,607
|
|
|
$
|
1,453,021
|
|
|
|
$
|
1,531,631
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||||||||||
|
Year Ended December 31,
|
|
Period from May 1 through
|
|
|
Period from Jan 1 through
|
||||||||||||||||||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||||||||||||||||||
|
Written
|
|
Earned
|
|
Written
|
|
Earned
|
|
Written
|
|
Earned
|
|
|
Written
|
|
Earned
|
||||||||||||||||
Direct
|
$
|
(37,572
|
)
|
|
$
|
336,025
|
|
|
$
|
(288,310
|
)
|
|
$
|
261,634
|
|
|
$
|
(80,309
|
)
|
|
$
|
226,326
|
|
|
|
$
|
(14,125
|
)
|
|
$
|
138,468
|
|
Assumed
|
—
|
|
|
87
|
|
|
—
|
|
|
137
|
|
|
—
|
|
|
65
|
|
|
|
—
|
|
|
32
|
|
||||||||
Ceded
|
(3,001
|
)
|
|
23,517
|
|
|
(6,842
|
)
|
|
15,411
|
|
|
(7,810
|
)
|
|
12,873
|
|
|
|
(1,098
|
)
|
|
8,500
|
|
||||||||
Net premiums
|
$
|
(34,571
|
)
|
|
$
|
312,595
|
|
|
$
|
(281,468
|
)
|
|
$
|
246,360
|
|
|
$
|
(72,499
|
)
|
|
$
|
213,518
|
|
|
|
$
|
(13,027
|
)
|
|
$
|
130,000
|
|
|
Future premiums
to be collected (1) |
|
Future
premiums to be earned net of reinsurance (1) |
||||
Three months ended:
|
|
|
|
||||
March 31, 2016
|
$
|
21,499
|
|
|
$
|
32,590
|
|
June 30, 2016
|
19,890
|
|
|
30,882
|
|
||
September 30, 2016
|
19,839
|
|
|
28,815
|
|
||
December 31, 2016
|
20,005
|
|
|
27,487
|
|
||
Twelve months ended:
|
|
|
|
||||
December 31, 2017
|
75,224
|
|
|
99,097
|
|
||
December 31, 2018
|
70,587
|
|
|
87,270
|
|
||
December 31, 2019
|
66,891
|
|
|
80,947
|
|
||
December 31, 2020
|
63,783
|
|
|
76,310
|
|
||
Five years ended:
|
|
|
|
||||
December 31, 2025
|
264,200
|
|
|
307,812
|
|
||
December 31, 2030
|
217,422
|
|
|
214,920
|
|
||
December 31, 2035
|
138,592
|
|
|
126,716
|
|
||
December 31, 2040
|
43,887
|
|
|
44,078
|
|
||
December 31, 2045
|
18,989
|
|
|
17,498
|
|
||
December 31, 2050
|
7,143
|
|
|
7,804
|
|
||
December 31, 2055
|
601
|
|
|
1,298
|
|
||
Total
|
$
|
1,048,552
|
|
|
$
|
1,183,524
|
|
(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 described
Note 2. Basis of Presentation and Significant Accounting Policies
,
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 in the future. 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.
|
|
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 |
||||||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss and loss expense reserves
|
$
|
2,138,952
|
|
|
$
|
349,668
|
|
|
$
|
3,265,349
|
|
|
$
|
(1,476,276
|
)
|
|
$
|
(189,587
|
)
|
|
$
|
4,088,106
|
|
Subrogation recoverable
|
828,802
|
|
|
141,349
|
|
|
207,674
|
|
|
(2,407,118
|
)
|
|
—
|
|
|
(1,229,293
|
)
|
||||||
Totals
|
$
|
2,967,754
|
|
|
$
|
491,017
|
|
|
$
|
3,473,023
|
|
|
$
|
(3,883,394
|
)
|
|
$
|
(189,587
|
)
|
|
$
|
2,858,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
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
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Beginning gross loss and loss expense reserves
|
$
|
3,798,733
|
|
|
$
|
5,470,234
|
|
|
$
|
5,572,672
|
|
|
|
$
|
6,122,140
|
|
Less reinsurance on loss and loss expense reserves
|
100,355
|
|
|
122,357
|
|
|
138,155
|
|
|
|
147,409
|
|
||||
Beginning balance of net loss and loss expense reserves
|
$
|
3,698,378
|
|
|
$
|
5,347,877
|
|
|
$
|
5,434,517
|
|
|
|
$
|
5,974,731
|
|
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
|
1,183
|
|
|
309
|
|
|
97,342
|
|
|
|
2,748
|
|
||||
Claim and loss expense payments, net of subrogation and reinsurance
|
—
|
|
|
(17
|
)
|
|
(442
|
)
|
|
|
(58
|
)
|
||||
Establishment of RMBS subrogation recoveries, net of reinsurance
|
—
|
|
|
—
|
|
|
(315
|
)
|
|
|
(159
|
)
|
||||
Total current year
|
1,183
|
|
|
292
|
|
|
96,585
|
|
|
|
2,531
|
|
||||
Prior years:
|
|
|
|
|
|
|
|
|
||||||||
Change in previously established loss and loss expense reserves, gross of RMBS subrogation and net of reinsurance
|
(491,088
|
)
|
|
(269,606
|
)
|
|
(514,728
|
)
|
|
|
(52,642
|
)
|
||||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance
|
(90,086
|
)
|
|
(1,067,321
|
)
|
|
59,184
|
|
|
|
20,902
|
|
||||
(Increase) decrease in previously established RMBS subrogation recoveries, net of reinsurance
|
(303,633
|
)
|
|
(312,864
|
)
|
|
272,319
|
|
|
|
(12,596
|
)
|
||||
Total prior years
|
(884,807
|
)
|
|
(1,649,791
|
)
|
|
(183,225
|
)
|
|
|
(44,336
|
)
|
||||
Net change in net loss and loss expense reserves
|
(883,624
|
)
|
|
(1,649,499
|
)
|
|
(86,640
|
)
|
|
|
(41,805
|
)
|
||||
Net consolidation of certain VIEs
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(498,409
|
)
|
||||
Ending net loss and loss expense reserves
|
$
|
2,814,754
|
|
|
$
|
3,698,378
|
|
|
$
|
5,347,877
|
|
|
|
$
|
5,434,517
|
|
Add reinsurance on loss and loss expense reserves
(1)
|
44,059
|
|
|
100,355
|
|
|
122,357
|
|
|
|
138,155
|
|
||||
Ending gross loss and loss expense reserves
|
$
|
2,858,813
|
|
|
$
|
3,798,733
|
|
|
$
|
5,470,234
|
|
|
|
$
|
5,572,672
|
|
(1)
|
Reinsurance recoverable reported on the Balance Sheet also includes reinsurance recoverables of previously presented loss and loss expenses of
$(60)
,
$(517)
,
$(1,108)
, and,
$1,879
as of
December 31, 2015
,
2014
,
2013
and April 30, 2013, respectively.
|
|
Surveillance Categories as of December 31, 2015
|
||||||||||||||||||||||||||
|
I/SL
|
|
IA
|
|
II
|
|
III
|
|
IV
|
|
V
|
|
Total
|
||||||||||||||
Number of policies
|
33
|
|
|
14
|
|
|
23
|
|
|
63
|
|
|
157
|
|
|
3
|
|
|
293
|
|
|||||||
Remaining weighted-average contract period (in years)
|
9
|
|
|
17
|
|
|
26
|
|
|
19
|
|
|
13
|
|
|
6
|
|
|
15
|
|
|||||||
Gross insured contractual payments outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Principal
|
$
|
1,830,549
|
|
|
$
|
263,288
|
|
|
$
|
1,912,237
|
|
|
$
|
2,972,615
|
|
|
$
|
8,942,730
|
|
|
$
|
54,590
|
|
|
$
|
15,976,009
|
|
Interest
|
724,940
|
|
|
107,624
|
|
|
6,834,538
|
|
|
1,792,525
|
|
|
2,391,523
|
|
|
16,791
|
|
|
11,867,941
|
|
|||||||
Total
|
$
|
2,555,489
|
|
|
$
|
370,912
|
|
|
$
|
8,746,775
|
|
|
$
|
4,765,140
|
|
|
$
|
11,334,253
|
|
|
$
|
71,381
|
|
|
$
|
27,843,950
|
|
Gross undiscounted claim liability
(1)
|
$
|
6,188
|
|
|
$
|
5,632
|
|
|
$
|
173,930
|
|
|
$
|
1,595,525
|
|
|
$
|
6,339,537
|
|
|
$
|
71,381
|
|
|
$
|
8,192,193
|
|
Discount, gross claim liability
|
(515
|
)
|
|
(652
|
)
|
|
(96,218
|
)
|
|
(458,805
|
)
|
|
(770,694
|
)
|
|
(6,779
|
)
|
|
(1,333,663
|
)
|
|||||||
Gross claim liability before all subrogation and before reinsurance
|
$
|
5,673
|
|
|
$
|
4,980
|
|
|
$
|
77,712
|
|
|
$
|
1,136,720
|
|
|
$
|
5,568,843
|
|
|
$
|
64,602
|
|
|
$
|
6,858,530
|
|
Less:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Gross RMBS subrogation
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,841,291
|
)
|
|
—
|
|
|
(2,841,291
|
)
|
|||||||
Discount, RMBS subrogation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,716
|
|
|
—
|
|
|
11,716
|
|
|||||||
Discounted RMBS subrogation, before reinsurance
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,829,575
|
)
|
|
—
|
|
|
(2,829,575
|
)
|
|||||||
Less:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Gross other subrogation
(3)
|
—
|
|
|
—
|
|
|
(12,937
|
)
|
|
(526,957
|
)
|
|
(835,078
|
)
|
|
(13,098
|
)
|
|
(1,388,070
|
)
|
|||||||
Discount, other subrogation
|
—
|
|
|
—
|
|
|
3,961
|
|
|
198,643
|
|
|
127,669
|
|
|
3,978
|
|
|
334,251
|
|
|||||||
Discounted other subrogation, before reinsurance
|
—
|
|
|
—
|
|
|
(8,976
|
)
|
|
(328,314
|
)
|
|
(707,409
|
)
|
|
(9,120
|
)
|
|
(1,053,819
|
)
|
|||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance
|
$
|
5,673
|
|
|
$
|
4,980
|
|
|
$
|
68,736
|
|
|
$
|
808,406
|
|
|
$
|
2,031,859
|
|
|
$
|
55,482
|
|
|
$
|
2,975,136
|
|
Less: Unearned premium revenue
|
(3,360
|
)
|
|
(1,796
|
)
|
|
(48,871
|
)
|
|
(63,257
|
)
|
|
(71,848
|
)
|
|
(455
|
)
|
|
(189,587
|
)
|
|||||||
Plus: Loss expense reserves
|
—
|
|
|
66
|
|
|
629
|
|
|
15,090
|
|
|
57,479
|
|
|
—
|
|
|
73,264
|
|
|||||||
Gross loss and loss expense reserves
|
$
|
2,313
|
|
|
$
|
3,250
|
|
|
$
|
20,494
|
|
|
$
|
760,239
|
|
|
$
|
2,017,490
|
|
|
$
|
55,027
|
|
|
$
|
2,858,813
|
|
Reinsurance recoverable reported on Balance Sheet
(4)
|
$
|
642
|
|
|
$
|
880
|
|
|
$
|
85
|
|
|
$
|
59,503
|
|
|
$
|
(17,111
|
)
|
|
$
|
—
|
|
|
$
|
43,999
|
|
(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 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
$44,059
related to future loss and loss expenses and
$(60)
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 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.
|
Random Samples Approach
|
Gross loss
reserves before subrogation recoveries (1) |
|
Subrogation
recoveries (2)(3) |
|
Gross loss
reserves after subrogation recoveries |
||||||
At December 31, 2015
|
$
|
1,850,804
|
|
|
$
|
(2,829,575
|
)
|
|
$
|
(978,771
|
)
|
|
|
|
|
|
|
||||||
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.
|
|
Random
sample |
|
Adverse
sample |
|
Total
|
||||||
Successor Ambac:
|
|
|
|
|
|
||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2015
|
$
|
2,523,540
|
|
|
$
|
—
|
|
|
$
|
2,523,540
|
|
Changes recognized in 2015:
|
|
|
|
|
|
||||||
Additional transactions reviewed
|
—
|
|
|
—
|
|
|
—
|
|
|||
Changes in estimation approach
|
—
|
|
|
—
|
|
|
—
|
|
|||
Impact of sponsor actions
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|||
All other changes
(3)
|
306,035
|
|
|
—
|
|
|
306,035
|
|
|||
Discounted RMBS subrogation (gross of reinsurance) at
December 31, 2015
|
$
|
2,829,575
|
|
|
$
|
—
|
|
|
$
|
2,829,575
|
|
|
|
|
|
|
|
||||||
Successor Ambac:
|
|
|
|
|
|
||||||
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
|
24,565
|
|
|
—
|
|
|
24,565
|
|
|||
Changes in estimation approach
(1)
|
1,417,556
|
|
|
(1,218,681
|
)
|
|
198,875
|
|
|||
Impact of sponsor actions
(2)
|
(146,270
|
)
|
|
—
|
|
|
(146,270
|
)
|
|||
All other changes
(3)
|
273,864
|
|
|
(34,092
|
)
|
|
239,772
|
|
|||
Discounted RMBS subrogation (gross of reinsurance) at December 31, 2014
|
$
|
2,523,540
|
|
|
$
|
—
|
|
|
$
|
2,523,540
|
|
|
|
|
|
|
|
||||||
Successor Ambac:
|
|
|
|
|
|
||||||
Discounted RMBS subrogation (gross of reinsurance) at May 1, 2013
|
$
|
1,004,252
|
|
|
$
|
1,478,666
|
|
|
$
|
2,482,918
|
|
Changes recognized through December 31, 2013:
|
|
|
|
|
|
||||||
Additional transactions reviewed
|
2,451
|
|
|
—
|
|
|
2,451
|
|
|||
Changes in estimation approach
|
—
|
|
|
—
|
|
|
—
|
|
|||
Impact of sponsor actions
(2)
|
—
|
|
|
98
|
|
|
98
|
|
|||
All other changes
(3)
|
(52,878
|
)
|
|
(225,991
|
)
|
|
(278,869
|
)
|
|||
Discounted RMBS subrogation (gross of reinsurance) at December 31, 2013
|
$
|
953,825
|
|
|
$
|
1,252,773
|
|
|
$
|
2,206,598
|
|
|
|
|
|
|
|
||||||
Predecessor Ambac
|
|
|
|
|
|
||||||
Discounted RMBS subrogation (gross of reinsurance) at January 1, 2013
|
$
|
1,080,408
|
|
|
$
|
1,442,817
|
|
|
$
|
2,523,225
|
|
Changes recognized through April 30, 2013:
|
|
|
|
|
|
||||||
Additional transactions reviewed
|
—
|
|
|
—
|
|
|
—
|
|
|||
Changes in estimation approach
|
—
|
|
|
—
|
|
|
—
|
|
|||
Impact of sponsor actions
(2)
|
(54,195
|
)
|
|
—
|
|
|
(54,195
|
)
|
|||
All other changes
(3)
|
(21,961
|
)
|
|
35,849
|
|
|
13,888
|
|
|||
Discounted RMBS subrogation (gross of reinsurance) at April 30, 2013
|
$
|
1,004,252
|
|
|
$
|
1,478,666
|
|
|
$
|
2,482,918
|
|
(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 from sponsors.
|
(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 may not have been subject to a sampling approach, are currently in negotiation or have been executed but the settlement amounts have not yet been received. Those that have not been subject to a sampling approach are not material to Ambac’s financial results and therefore are included in the Random Sample column of this table.
|
Reinsurers
|
Moody’s
Rating
|
|
Percentage
ceded Par
|
|
Net unsecured
reinsurance
recoverable
(1)
|
||
Assured Guaranty Re Ltd
|
NR
|
|
88.8%
|
|
$
|
15,347
|
|
Sompo Japan Nipponkoa Insurance, Inc.
|
A1
|
|
6.2
|
|
—
|
|
|
Assured Guaranty Corporation
|
A3
|
|
5.0
|
|
6,934
|
|
|
Total
|
|
|
100%
|
|
$
|
22,281
|
|
(1)
|
Represents reinsurance recoverables on paid and unpaid losses and deferred ceded premiums, net of ceded premium payables due to reinsurers, letters of credit, and collateral posted for the benefit of Ambac Assurance.
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Thereafter
|
||||||||||||
$
|
111,857
|
|
|
$
|
98,570
|
|
|
$
|
88,388
|
|
|
$
|
81,370
|
|
|
$
|
75,743
|
|
|
$
|
756,184
|
|
•
|
OCI has prescribed an accounting practice related to the total liabilities and total surplus of the Segregated Account that are reported as discrete components of Ambac Assurance’s liabilities and surplus reported in Ambac Assurance’s statutory basis financial statements. Pursuant to this prescribed practice, the results of the Segregated Account are not included in Ambac Assurance’s financial statements if Ambac Assurance’s surplus is (or would be) less than the Minimum Surplus Amount.
|
•
|
OCI has prescribed an additional accounting practice that differs from NAIC SAP. Paragraph 7 of Statement of Statutory Accounting Principles No. 60 “Financial Guaranty Insurance” (“SSAP 60”) allows for a deduction from loss reserves for the time value of money by application of a discount rate equal to the average rate of return on the admitted assets of the financial guaranty insurer as of the date of the computation of the reserve. The discount rate shall be adjusted at the end of each calendar year. Additionally, in accordance with paragraph 7 of Statutory Accounting Principles No. 5R “Liabilities, Contingencies and Impairments of Assets - Revised,” Ambac Assurance records probable losses on its subsidiaries for which it guarantees their obligations, using a discount rate equal to the average rate of return on its admitted assets. Ambac Assurance’s average rates of return on its admitted assets at
December 31, 2015 and 2014
were
8.06%
and
7.87%
, respectively. OCI has directed Ambac Assurance to utilize a prescribed discount rate of
5.10%
for the purpose of discounting both its loss reserves and its estimated impairment losses on subsidiary guarantees.
|
•
|
OCI has prescribed an additional accounting practice that differs from NAIC SAP. Paragraph 4 of Statement of Statutory Accounting Principles No. 41 “Surplus Notes” (“SSAP 41”) states that proceeds received by the issuer of surplus notes must be in the form of cash or other admitted assets having readily determinable values and liquidity satisfactory to the commissioner of the state of domicile. Under the statutory accounting principles as generally applied, surplus notes issued in conjunction with commutations or the settlement of claims would be valued at zero upon issuance pursuant to paragraph 4, SSAP 41. OCI has directed Ambac Assurance to record surplus notes issued in connection with commutations or the settlement of claims at full par value upon issuance as in these instances the surplus notes did not represent a contribution of capital, but rather a distribution of value from the common and preferred shareholders of Ambac Assurance. The surplus notes issued in connection with commutations or settlement of claims has a claim against surplus senior to the preferred and common shareholders. Beginning with the
December 31, 2014
statutory financial statements, Ambac Assurance and the Segregated Account reclassified these surplus notes from policyholder surplus to a liability. This reclassification was because the partial redemption of these surplus notes was required in accordance with the Segregated Account Rehabilitation Plan and the Settlement Agreement to ensure that they are treated pari passu with payments of Deferred Amounts.
|
•
|
OCI has extended the preceding prescribed practice related to surplus notes to the evaluation of other-than-temporary impairments for Ambac Assurance guaranteed securities held in the investment portfolio. Paragraph 35 of Statement of Statutory Accounting Principles No. 43R “Loan-backed and Structured Securities” states that when an other-than-temporary impairment has occurred, the amount of the other-than-temporary impairment recognized as a realized loss shall equal the difference between the investment’s amortized cost basis and the present value of cash flows expected to be collected, discounted at the loan-backed or structured security’s effective interest rate. Under NAIC SAP, the present value of cash flows expected to be collected should include the fair value of surplus notes received from the Segregated Account, as required under the originally confirmed Segregated Account Rehabilitation Plan. OCI has prescribed an accounting practice that differs from NAIC SAP and has directed Ambac Assurance to utilize par value rather than fair value of these surplus notes in this computation. As a result of the amended Segregated Account Rehabilitation Plan becoming effective on June 12, 2014, this prescribed practice is no longer effective. Ambac Assurance has received a new prescribed practice from OCI
|
•
|
Wisconsin accounting practices for changes to contingency reserves differ from NAIC SAP. Under NAIC SAP, contributions to and releases from the contingency reserve are recorded via a direct charge or credit to surplus. Under the Wisconsin Administrative Code, contributions to and releases from the contingency reserve are to be recorded through underwriting income. Ambac Assurance received permission from OCI to record contributions to and releases from the contingency reserve and the related tax and loss bond impact, in accordance with NAIC SAP.
|
•
|
Ambac Assurance received permission from OCI to report investment holdings of Ambac Assurance insured securities, with coverage under financial guaranty policies that have been allocated to the Segregated Account, as a separate invested asset on the balance sheet rather than combined with other bond investments. This permitted practice only impacts the balance sheet classification and has no impact on the valuation of the securities to which it applies or to statutory surplus.
|
l
Level 1
|
|
Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury and other foreign government obligations traded in highly liquid and transparent markets, exchange traded futures contracts, variable rate demand obligations and money market funds.
|
|
|
|
l
Level 2
|
|
Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Assets and liabilities classified as Level 2 generally include direct investments in fixed income securities representing municipal, asset-backed and corporate obligations, most financial services derivatives, and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. Also included are equity interests in pooled investment funds measured at fair value where the investment can be redeemed in the near term at a value based on the net asset value.
|
|
|
|
l
Level 3
|
|
Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the use of observable market data when available. Assets and liabilities classified as Level 3 include credit derivative contracts written as part of the financial guarantee business, certain financial services interest rate swap contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include fixed income securities, loan receivables, and certain long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC.
|
|
|
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
|
|
310,600
|
|
|
298,095
|
|
|
—
|
|
|
285,261
|
|
|
12,834
|
|
|||||
Cash and cash equivalents
|
|
35,744
|
|
|
35,744
|
|
|
35,744
|
|
|
—
|
|
|
—
|
|
|||||
Loans
|
|
5,206
|
|
|
5,128
|
|
|
—
|
|
|
—
|
|
|
5,128
|
|
|||||
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
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
|
|
|
$
|
418,123
|
|
|
$
|
4,775,897
|
|
|
$
|
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
|
|
|||||
Futures contracts
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Liabilities for net financial guarantees written
(1)
|
|
1,990,831
|
|
|
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
|
|
$
|
18,181,955
|
|
|
$
|
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.
|
|
|
Carrying
Amount |
|
Total Fair
Value |
|
Fair Value Measurements Categorized as:
|
||||||||||||||
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed income securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Municipal obligations
|
|
$
|
525,792
|
|
|
$
|
525,792
|
|
|
$
|
—
|
|
|
$
|
525,792
|
|
|
$
|
—
|
|
Corporate obligations
|
|
1,385,594
|
|
|
1,385,594
|
|
|
—
|
|
|
1,381,786
|
|
|
3,808
|
|
|||||
Foreign obligations
|
|
127,757
|
|
|
127,757
|
|
|
117,282
|
|
|
10,475
|
|
|
—
|
|
|||||
U.S. government obligations
|
|
42,979
|
|
|
42,979
|
|
|
42,979
|
|
|
—
|
|
|
—
|
|
|||||
U.S. agency obligations
|
|
29,486
|
|
|
29,486
|
|
|
—
|
|
|
29,486
|
|
|
—
|
|
|||||
Residential mortgage-backed securities
|
|
1,710,955
|
|
|
1,710,955
|
|
|
—
|
|
|
1,516,562
|
|
|
194,393
|
|
|||||
Collateralized debt obligations
|
|
21,122
|
|
|
21,122
|
|
|
—
|
|
|
21,122
|
|
|
—
|
|
|||||
Other asset-backed securities
|
|
882,001
|
|
|
882,001
|
|
|
—
|
|
|
882,001
|
|
|
—
|
|
|||||
Fixed income securities, pledged as collateral:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government obligations
|
|
64,267
|
|
|
64,267
|
|
|
64,267
|
|
|
—
|
|
|
—
|
|
|||||
Short term investments
|
|
360,065
|
|
|
360,065
|
|
|
359,565
|
|
|
500
|
|
|
—
|
|
|||||
Other investments
|
|
357,016
|
|
|
349,468
|
|
|
—
|
|
|
336,013
|
|
|
13,455
|
|
|||||
Cash and cash equivalents
|
|
73,903
|
|
|
73,903
|
|
|
73,903
|
|
|
—
|
|
|
—
|
|
|||||
Loans
|
|
5,714
|
|
|
5,634
|
|
|
—
|
|
|
—
|
|
|
5,634
|
|
|||||
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
|
2,043
|
|
|
2,043
|
|
|
—
|
|
|
—
|
|
|
2,043
|
|
|||||
Interest rate swaps—asset position
|
|
106,974
|
|
|
106,974
|
|
|
—
|
|
|
106,974
|
|
|
—
|
|
|||||
Interest rate swaps—liability position
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Futures contracts
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
|
12,036
|
|
|
12,036
|
|
|
—
|
|
|
—
|
|
|
12,036
|
|
|||||
Variable interest entity assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed income securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate obligations
|
|
2,743,050
|
|
|
2,743,050
|
|
|
—
|
|
|
—
|
|
|
2,743,050
|
|
|||||
Restricted cash
|
|
7,708
|
|
|
7,708
|
|
|
7,708
|
|
|
—
|
|
|
—
|
|
|||||
Loans
|
|
12,371,177
|
|
|
12,371,177
|
|
|
—
|
|
|
—
|
|
|
12,371,177
|
|
|||||
Total financial assets
|
|
$
|
20,829,639
|
|
|
$
|
20,822,011
|
|
|
$
|
665,704
|
|
|
$
|
4,810,711
|
|
|
$
|
15,345,596
|
|
Financial liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Obligations under investment agreements
|
|
$
|
160,079
|
|
|
$
|
161,821
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
161,821
|
|
Long term debt, including accrued interest
|
|
1,273,805
|
|
|
1,379,864
|
|
|
—
|
|
|
—
|
|
|
1,379,864
|
|
|||||
Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
|
75,502
|
|
|
75,502
|
|
|
—
|
|
|
—
|
|
|
75,502
|
|
|||||
Interest rate swaps—asset position
|
|
(54,666
|
)
|
|
(54,666
|
)
|
|
—
|
|
|
(54,666
|
)
|
|
—
|
|
|||||
Interest rate swaps—liability position
|
|
385,546
|
|
|
385,546
|
|
|
—
|
|
|
243,659
|
|
|
141,887
|
|
|||||
Futures contracts
|
|
562
|
|
|
562
|
|
|
562
|
|
|
—
|
|
|
—
|
|
|||||
Other contracts
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Liabilities for net financial guarantees written
(1)
|
|
2,923,652
|
|
|
4,539,000
|
|
|
—
|
|
|
—
|
|
|
4,539,000
|
|
|||||
Variable interest entity liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Long-term debt
|
|
12,882,076
|
|
|
12,882,076
|
|
|
—
|
|
|
11,618,412
|
|
|
1,263,664
|
|
|||||
Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest rate swaps—liability position
|
|
2,133,268
|
|
|
2,133,268
|
|
|
—
|
|
|
2,133,268
|
|
|
—
|
|
|||||
Currency swaps—liability position
|
|
66,895
|
|
|
66,895
|
|
|
—
|
|
|
66,895
|
|
|
—
|
|
|||||
Total financial liabilities
|
|
$
|
19,846,719
|
|
|
$
|
21,569,868
|
|
|
$
|
562
|
|
|
$
|
14,007,568
|
|
|
$
|
7,561,738
|
|
(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.
|
a. Coupon rate:
|
0.345%
|
|
|
|
b. Maturity:
|
19.14 years
|
|
|
|
c. Yield:
|
4.93%
|
|
|
|
|
|
December 31, 2015
|
|
December 31, 2014
|
||||||||||||
|
|
CLOs
|
|
Other
(1)
|
|
CLOs
|
|
Other (1)
|
||||||||
Notional outstanding
|
|
$
|
295,253
|
|
|
$
|
617,148
|
|
|
$
|
549,923
|
|
|
$
|
921,036
|
|
Weighted average reference obligation price
|
|
98.4
|
|
|
85.2
|
|
|
98.9
|
|
|
86.8
|
|
||||
Weighted average life (WAL) in years
|
|
1.1
|
|
|
6.1
|
|
|
1.8
|
|
|
5.7
|
|
||||
Weighted average credit rating
|
|
AA
|
|
|
BBB+
|
|
|
AA
|
|
|
BBB-
|
|
||||
Weighted average relative change ratio
|
|
36.3
|
%
|
|
33.3
|
%
|
|
35.9
|
%
|
|
49.0
|
%
|
||||
CVA percentage
|
|
8.34
|
%
|
|
23.34
|
%
|
|
5.40
|
%
|
|
15.82
|
%
|
||||
Fair value of derivative liabilities
|
|
$
|
1,837
|
|
|
$
|
32,697
|
|
|
$
|
2,027
|
|
|
$
|
71,104
|
|
(1)
|
Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of
$58,482
, WAL of
0.2
years and liability fair value of
$9
as of
December 31, 2015
. 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%
. As of
December 31, 2014
, these contracts had a combined notional outstanding of
$58,800
, WAL of
1.2
years and liability fair value of
$328
. Other inputs to the valuation of these transactions at
December 31, 2014
include weighted average quotes of
1%
of notional, weighted average rating of
A
and Ambac CVA percentage of
2.2%
.
|
December 31, 2015
|
|
December 31, 2014
|
||
a. Coupon rate:
|
1.38%
|
|
a. Coupon rate:
|
0.3%
|
b. Maturity:
|
16.44 years
|
|
b. Maturity:
|
21.25 years
|
c. Yield:
|
6.08%
|
|
c. Yield:
|
9.52%
|
December 31, 2015
|
|
December 31, 2014
|
||
a. Coupon rate:
|
5.88%
|
|
a. Coupon rate:
|
5.88%
|
b. Maturity:
|
21.81 years
|
|
b. Maturity:
|
15.84 years
|
c. Yield:
|
9.14%
|
|
c. Yield:
|
7.37%
|
|
|
|
|
|
|
|
|
VIE Assets and Liabilities
|
|
|
||||||||||||||||||
Successor Ambac - 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 in Level 3
|
|
—
|
|
|
—
|
|
|
88,218
|
|
|
—
|
|
|
—
|
|
|
(840,552
|
)
|
|
(752,334
|
)
|
|||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Deconsolidation 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
|
|
|
||||||||||||||||||
Successor Ambac - 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
|
|
|||||||
Deconsolidations 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
|
|
|
|
|
|
|
|
|
|
VIE Assets and Liabilities
|
|
|
||||||||||||||||||
Successor Ambac – Period from
May 1 through December 31, 2013 |
|
Investments
|
|
Other
assets |
|
Derivatives
|
|
Investments
|
|
Loans
|
|
Long-term
debt |
|
Total
|
||||||||||||||
Balance, beginning of period
|
|
$
|
69,412
|
|
|
$
|
14,061
|
|
|
$
|
(415,360
|
)
|
|
$
|
2,500,565
|
|
|
$
|
14,752,053
|
|
|
$
|
(1,750,372
|
)
|
|
$
|
15,170,359
|
|
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Included in earnings
|
|
1,870
|
|
|
(677
|
)
|
|
217,666
|
|
|
(178,322
|
)
|
|
(455,231
|
)
|
|
(2,490
|
)
|
|
(417,184
|
)
|
|||||||
Included in other comprehensive income
|
|
7,184
|
|
|
—
|
|
|
—
|
|
|
152,939
|
|
|
873,986
|
|
|
(79,063
|
)
|
|
955,046
|
|
|||||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Sales
|
|
(4,528
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,528
|
)
|
|||||||
Settlements
|
|
(6,428
|
)
|
|
—
|
|
|
10,760
|
|
|
—
|
|
|
(219,909
|
)
|
|
173,196
|
|
|
(42,381
|
)
|
|||||||
Transfers into Level 3
|
|
273
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(220,922
|
)
|
|
(220,649
|
)
|
|||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
365,046
|
|
|
365,046
|
|
|||||||
Deconsolidation of VIEs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,552,004
|
)
|
|
—
|
|
|
(1,552,004
|
)
|
|||||||
Balance, end of period
|
|
$
|
67,783
|
|
|
$
|
13,384
|
|
|
$
|
(186,934
|
)
|
|
$
|
2,475,182
|
|
|
$
|
13,398,895
|
|
|
$
|
(1,514,605
|
)
|
|
$
|
14,253,705
|
|
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
|
|
$
|
—
|
|
|
$
|
(677
|
)
|
|
$
|
91,436
|
|
|
$
|
(178,322
|
)
|
|
$
|
(475,152
|
)
|
|
$
|
(2,490
|
)
|
|
$
|
(565,205
|
)
|
|
|
|
|
|
|
|
|
VIE Assets and Liabilities
|
|
|
||||||||||||||||||
Predecessor Ambac – Period from
January 1 through Apri2l 30, 2013 |
|
Investments
|
|
Other
assets |
|
Derivatives
|
|
Investments
|
|
Loans
|
|
Long-term
debt |
|
Total
|
||||||||||||||
Balance, beginning of period
|
|
$
|
60,402
|
|
|
$
|
14,557
|
|
|
$
|
(322,337
|
)
|
|
$
|
2,261,294
|
|
|
$
|
15,359,073
|
|
|
$
|
(2,956,501
|
)
|
|
$
|
14,416,488
|
|
Additions of VIEs consolidated
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(409,300
|
)
|
|
(409,300
|
)
|
|||||||
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Included in earnings
|
|
(33
|
)
|
|
(496
|
)
|
|
(88,546
|
)
|
|
328,768
|
|
|
956,402
|
|
|
(138,914
|
)
|
|
1,057,181
|
|
|||||||
Included in other comprehensive income
|
|
12,329
|
|
|
—
|
|
|
—
|
|
|
(89,497
|
)
|
|
(849,833
|
)
|
|
150,987
|
|
|
(776,014
|
)
|
|||||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Settlements
|
|
(3,286
|
)
|
|
—
|
|
|
(4,477
|
)
|
|
—
|
|
|
(713,589
|
)
|
|
4,864
|
|
|
(716,488
|
)
|
|||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,598,492
|
|
|
1,598,492
|
|
|||||||
Balance, end of period
|
|
$
|
69,412
|
|
|
$
|
14,061
|
|
|
$
|
(415,360
|
)
|
|
$
|
2,500,565
|
|
|
$
|
14,752,053
|
|
|
$
|
(1,750,372
|
)
|
|
$
|
15,170,359
|
|
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
|
|
$
|
—
|
|
|
$
|
(496
|
)
|
|
$
|
(92,002
|
)
|
|
$
|
328,768
|
|
|
$
|
956,402
|
|
|
$
|
(138,914
|
)
|
|
$
|
1,053,758
|
|
Successor Ambac - Year Ended
December 31, 2015 |
|
Collateralized
Debt Obligations |
|
Other Asset
Backed Securities |
|
Corporate
Obligations |
|
U.S. Agency
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 in 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
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Successor Ambac - Year Ended
December 31, 2014 |
|
Collateralized
Debt Obligations |
|
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
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Successor Ambac - Period from
May 1 through December 31, 2013 |
|
Collateralized
Debt Obligations |
|
Other Asset
Backed Securities |
|
Corporate
Obligations |
|
U.S. Agency
Obligations |
|
Total
Investments |
||||||||||
Balance, beginning of period
|
|
$
|
3,949
|
|
|
$
|
61,782
|
|
|
$
|
3,681
|
|
|
$
|
—
|
|
|
$
|
69,412
|
|
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Included in earnings
|
|
25
|
|
|
1,912
|
|
|
(62
|
)
|
|
(5
|
)
|
|
1,870
|
|
|||||
Included in other comprehensive income
|
|
(19
|
)
|
|
7,315
|
|
|
(117
|
)
|
|
5
|
|
|
7,184
|
|
|||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Sales
|
|
—
|
|
|
(4,528
|
)
|
|
—
|
|
|
—
|
|
|
(4,528
|
)
|
|||||
Settlements
|
|
(3,955
|
)
|
|
(2,408
|
)
|
|
—
|
|
|
(65
|
)
|
|
(6,428
|
)
|
|||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
273
|
|
|
273
|
|
|||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
$
|
—
|
|
|
$
|
64,073
|
|
|
$
|
3,502
|
|
|
$
|
208
|
|
|
$
|
67,783
|
|
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
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Predecessor Ambac – Period from
January 1 through April 30, 2013 |
|
Collateralized
Debt Obligations |
|
Other Asset
Backed Securities |
|
Corporate
Obligations |
|
U.S. Agency
Obligations |
|
Total
Investments |
||||||||||
Balance, beginning of period
|
|
$
|
6,482
|
|
|
$
|
50,264
|
|
|
$
|
3,656
|
|
|
$
|
—
|
|
|
$
|
60,402
|
|
Additions of VIEs consolidated
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Included in earnings
|
|
(6
|
)
|
|
—
|
|
|
(27
|
)
|
|
—
|
|
|
(33
|
)
|
|||||
Included in other comprehensive income
|
|
160
|
|
|
12,117
|
|
|
52
|
|
|
—
|
|
|
12,329
|
|
|||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
|
(2,687
|
)
|
|
(599
|
)
|
|
—
|
|
|
—
|
|
|
(3,286
|
)
|
|||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
$
|
3,949
|
|
|
$
|
61,782
|
|
|
$
|
3,681
|
|
|
$
|
—
|
|
|
$
|
69,412
|
|
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
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
Successor Ambac - Year Ended December 31, 2015
|
|
|
Successor Ambac - Year Ended December 31, 2014
|
||||||||||||||||||||
|
|
Interest Rate
Swaps |
|
Credit
Derivatives |
|
Total
Derivatives |
|
|
Interest Rate
Swaps |
|
Credit
Derivatives |
|
Total
Derivatives |
||||||||||||
Balance, beginning of period
|
|
$
|
(141,887
|
)
|
|
$
|
(73,459
|
)
|
|
$
|
(215,346
|
)
|
|
|
$
|
(92,612
|
)
|
|
$
|
(94,322
|
)
|
|
$
|
(186,934
|
)
|
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings
|
|
(25,130
|
)
|
|
41,701
|
|
|
16,571
|
|
|
|
(69,298
|
)
|
|
23,906
|
|
|
(45,392
|
)
|
||||||
Included in other comprehensive income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
|
|
14,150
|
|
|
(2,785
|
)
|
|
11,365
|
|
|
|
20,023
|
|
|
(3,043
|
)
|
|
16,980
|
|
||||||
Transfers in Level 3
|
|
88,218
|
|
|
—
|
|
|
88,218
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Balance, end of period
|
|
$
|
(64,649
|
)
|
|
$
|
(34,543
|
)
|
|
$
|
(99,192
|
)
|
|
|
$
|
(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
|
|
$
|
(25,130
|
)
|
|
$
|
(850
|
)
|
|
$
|
(25,980
|
)
|
|
|
$
|
(69,298
|
)
|
|
$
|
15,789
|
|
|
$
|
(53,509
|
)
|
|
|
Successor Ambac – Period from May 1 through December 31, 2013
|
|
|
Predecessor Ambac – Period from January 1 through April 30, 2013
|
||||||||||||||||||||
|
|
Interest Rate
Swaps |
|
Credit
Derivatives |
|
Total
Derivatives |
|
|
Interest Rate
Swaps |
|
Credit
Derivatives |
|
Total
Derivatives |
||||||||||||
Balance, beginning of period
|
|
$
|
(137,947
|
)
|
|
$
|
(277,413
|
)
|
|
$
|
(415,360
|
)
|
|
|
$
|
(108,752
|
)
|
|
$
|
(213,585
|
)
|
|
$
|
(322,337
|
)
|
Total gains/(losses) realized and unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings
|
|
24,797
|
|
|
192,869
|
|
|
217,666
|
|
|
|
(28,162
|
)
|
|
(60,384
|
)
|
|
(88,546
|
)
|
||||||
Included in other comprehensive income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
|
|
20,538
|
|
|
(9,778
|
)
|
|
10,760
|
|
|
|
(1,033
|
)
|
|
(3,444
|
)
|
|
(4,477
|
)
|
||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Balance, end of period
|
|
$
|
(92,612
|
)
|
|
$
|
(94,322
|
)
|
|
$
|
(186,934
|
)
|
|
|
$
|
(137,947
|
)
|
|
$
|
(277,413
|
)
|
|
$
|
(415,360
|
)
|
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
|
|
$
|
24,797
|
|
|
$
|
66,639
|
|
|
$
|
91,436
|
|
|
|
$
|
(28,162
|
)
|
|
$
|
(63,840
|
)
|
|
$
|
(92,002
|
)
|
|
|
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) |
||||||||||||
Successor Ambac
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
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
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Period from May 1 through December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total gains or losses included in earnings for the period
|
|
$
|
1,870
|
|
|
$
|
9,778
|
|
|
$
|
183,091
|
|
|
$
|
24,797
|
|
|
$
|
(636,043
|
)
|
|
$
|
(677
|
)
|
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date
|
|
—
|
|
|
—
|
|
|
66,639
|
|
|
24,797
|
|
|
(655,964
|
)
|
|
(677
|
)
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Predecessor Ambac
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Period from January 1 through April 30, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total gains or losses included in earnings for the period
|
|
$
|
(33
|
)
|
|
$
|
3,444
|
|
|
$
|
(63,828
|
)
|
|
$
|
(28,162
|
)
|
|
$
|
1,146,256
|
|
|
$
|
(496
|
)
|
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date
|
|
—
|
|
|
—
|
|
|
(63,840
|
)
|
|
(28,162
|
)
|
|
1,146,256
|
|
|
(496
|
)
|
|
|
Amortized
Cost |
|
Gross
Unrealized Gains |
|
Gross
Unrealized Losses |
|
Estimated
Fair Value |
|
Non-credit other-
than-temporary Impairments (1) |
||||||||||
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
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
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
December 31, 2015 and 2014
.
|
|
|
Amortized
Cost |
|
Estimated
Fair Value |
||||
Due in one year or less
|
|
$
|
347,240
|
|
|
$
|
347,359
|
|
Due after one year through five years
|
|
1,020,940
|
|
|
1,014,416
|
|
||
Due after five years through ten years
|
|
914,404
|
|
|
901,252
|
|
||
Due after ten years
|
|
169,740
|
|
|
168,961
|
|
||
|
|
2,452,324
|
|
|
2,431,988
|
|
||
Residential mortgage-backed securities
|
|
1,942,285
|
|
|
1,977,338
|
|
||
Collateralized debt obligations
|
|
85,706
|
|
|
84,267
|
|
||
Other asset-backed securities
|
|
802,842
|
|
|
840,527
|
|
||
Total
|
|
$
|
5,283,157
|
|
|
$
|
5,334,120
|
|
|
|
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
|
|
|
|
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
|
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Gross realized gains on securities
|
|
$
|
58,218
|
|
|
$
|
63,366
|
|
|
$
|
22,983
|
|
|
|
$
|
47,448
|
|
Gross realized losses on securities
|
|
(10,558
|
)
|
|
(9,824
|
)
|
|
(10,347
|
)
|
|
|
(320
|
)
|
||||
Foreign exchange (losses) gains
|
|
5,816
|
|
|
5,235
|
|
|
(8,169
|
)
|
|
|
6,177
|
|
||||
Net realized gains
|
|
$
|
53,476
|
|
|
$
|
58,777
|
|
|
$
|
4,467
|
|
|
|
$
|
53,305
|
|
Net other-than-temporary impairments
(1)
|
|
$
|
(25,659
|
)
|
|
$
|
(25,794
|
)
|
|
$
|
(46,764
|
)
|
|
|
$
|
(467
|
)
|
(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.
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Successor Ambac:
|
|
|
|
|
|
|
|
|
|
||||||||
Balance, beginning of period
|
|
$
|
14,062
|
|
|
$
|
1,182
|
|
|
$
|
—
|
|
|
|
$
|
183,300
|
|
Additions for credit impairments recognized on:
|
|
|
|
|
|
|
|
|
|
||||||||
Securities not previously impaired
|
|
10,900
|
|
|
12,873
|
|
|
1,185
|
|
|
|
—
|
|
||||
Securities previously impaired
|
|
6,214
|
|
|
7
|
|
|
—
|
|
|
|
—
|
|
||||
Reductions for credit impairments previously recognized on:
|
|
|
|
|
|
|
|
|
|
||||||||
Securities that matured or were sold during the period
(1)
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
|
(183,300
|
)
|
||||
Balance, end of period
|
|
$
|
31,176
|
|
|
$
|
14,062
|
|
|
$
|
1,182
|
|
|
|
$
|
—
|
|
(1)
|
Includes reductions made in connection with Fresh Start, under which the cost basis of all invested assets were set to fair value as of the Fresh Start Reporting Date. As described in Note 3. Special Purpose Entities, including Variable Interest Entities, adopting Fresh Start results in a new reporting entity with no beginning retained earnings or accumulated deficit. Therefore cumulative credit impairments for Successor Ambac on May 1, 2013 are $0.
|
|
|
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, 2015:
|
|
|
|
|
|
|
||||||
Sources of Collateral:
|
|
|
|
|
|
|
||||||
Cash and securities pledged directly from the investment portfolio
|
|
$
|
338,007
|
|
|
$
|
108,379
|
|
|
$
|
229,628
|
|
|
|
|
|
|
|
|
||||||
December 31, 2014:
|
|
|
|
|
|
|
||||||
Sources of Collateral:
|
|
|
|
|
|
|
||||||
Cash and securities pledged directly from the investment portfolio
|
|
$
|
379,423
|
|
|
$
|
156,916
|
|
|
$
|
222,507
|
|
|
|
Municipal
obligations |
|
Corporate
obligations |
|
Mortgage
and asset- backed securities |
|
Short-term
|
|
Total
|
|
Weighted
Average Underlying Rating (1) |
||||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Ambac Assurance Corporation
(2)
|
|
$
|
60,836
|
|
|
$
|
—
|
|
|
$
|
2,216,317
|
|
|
$
|
—
|
|
|
$
|
2,277,153
|
|
|
CC
|
Assured Guaranty Municipal Corporation
|
|
57,715
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
57,715
|
|
|
A+
|
|||||
National Public Finance Guarantee Corporation
|
|
47,846
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
47,846
|
|
|
A-
|
|||||
MBIA Insurance Corporation
|
|
—
|
|
|
25,645
|
|
|
—
|
|
|
—
|
|
|
25,645
|
|
|
A+
|
|||||
Total
|
|
$
|
166,397
|
|
|
$
|
25,645
|
|
|
$
|
2,216,317
|
|
|
$
|
—
|
|
|
$
|
2,408,359
|
|
|
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
$119,802
and
$51,395
at
December 31, 2015 and 2014
, respectively, insured by Ambac UK
.
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Fixed income securities
|
|
$
|
257,404
|
|
|
$
|
299,694
|
|
|
$
|
147,014
|
|
|
|
$
|
118,097
|
|
Short-term investments
|
|
299
|
|
|
3,092
|
|
|
1,528
|
|
|
|
677
|
|
||||
Loans
|
|
420
|
|
|
529
|
|
|
306
|
|
|
|
146
|
|
||||
Investment expense
|
|
(8,786
|
)
|
|
(10,477
|
)
|
|
(5,982
|
)
|
|
|
(2,549
|
)
|
||||
Securities available-for-sale and short-term
|
|
249,337
|
|
|
292,838
|
|
|
142,866
|
|
|
|
116,371
|
|
||||
Other investments
|
|
16,952
|
|
|
8,108
|
|
|
3,580
|
|
|
|
369
|
|
||||
Total net investment income
|
|
$
|
266,289
|
|
|
$
|
300,946
|
|
|
$
|
146,446
|
|
|
|
$
|
116,740
|
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Net gains recognized during the period on trading securities
|
|
$
|
12,615
|
|
|
$
|
6,713
|
|
|
$
|
3,580
|
|
|
|
$
|
369
|
|
Less: net gains and (losses) recognized during the reporting period on trading securities sold during the period
|
|
4,966
|
|
|
(487
|
)
|
|
1,702
|
|
|
|
—
|
|
||||
Unrealized gains and (losses) recognized during the reporting period on trading securities still held at the reporting date
|
|
$
|
7,649
|
|
|
$
|
7,200
|
|
|
$
|
1,878
|
|
|
|
$
|
369
|
|
|
Gross
Amounts of Recognized Assets / Liabilities |
|
Gross
Amounts Offset in the Consolidated Balance Sheet |
|
Net Amounts
of Assets/ Liabilities Presented in the Consolidated Balance Sheet |
|
Gross
Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet |
|
Net Amount
|
||||||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Interest rate swaps
|
137,015
|
|
|
52,129
|
|
|
84,886
|
|
|
—
|
|
|
84,886
|
|
|||||
Futures contracts
|
109
|
|
|
—
|
|
|
109
|
|
|
—
|
|
|
109
|
|
|||||
Total non-VIE derivative assets
|
$
|
137,124
|
|
|
$
|
52,129
|
|
|
$
|
84,995
|
|
|
$
|
—
|
|
|
$
|
84,995
|
|
Derivative Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
$
|
34,543
|
|
|
$
|
—
|
|
|
$
|
34,543
|
|
|
$
|
—
|
|
|
$
|
34,543
|
|
Interest rate swaps
|
370,944
|
|
|
52,129
|
|
|
318,815
|
|
|
176,386
|
|
|
142,429
|
|
|||||
Futures contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total non-VIE derivative liabilities
|
$
|
405,487
|
|
|
$
|
52,129
|
|
|
$
|
353,358
|
|
|
$
|
176,386
|
|
|
$
|
176,972
|
|
Variable Interest Entities Derivative Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest rate swaps
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Currency swaps
|
36,862
|
|
|
36,862
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total VIE derivative assets
|
$
|
36,862
|
|
|
$
|
36,862
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Variable interest entities derivative liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest rate swaps
|
$
|
1,965,265
|
|
|
$
|
—
|
|
|
$
|
1,965,265
|
|
|
$
|
—
|
|
|
$
|
1,965,265
|
|
Currency swaps
|
—
|
|
|
36,862
|
|
|
(36,862
|
)
|
|
—
|
|
|
(36,862
|
)
|
|||||
Total VIE derivative liabilities
|
$
|
1,965,265
|
|
|
$
|
36,862
|
|
|
$
|
1,928,403
|
|
|
$
|
—
|
|
|
$
|
1,928,403
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
$
|
2,043
|
|
|
$
|
—
|
|
|
$
|
2,043
|
|
|
$
|
—
|
|
|
$
|
2,043
|
|
Interest rate swaps
|
161,640
|
|
|
54,666
|
|
|
106,974
|
|
|
—
|
|
|
106,974
|
|
|||||
Futures contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total non-VIE derivative assets
|
$
|
163,683
|
|
|
$
|
54,666
|
|
|
$
|
109,017
|
|
|
$
|
—
|
|
|
$
|
109,017
|
|
Derivative Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit derivatives
|
$
|
75,502
|
|
|
$
|
—
|
|
|
$
|
75,502
|
|
|
$
|
—
|
|
|
$
|
75,502
|
|
Interest rate swaps
|
385,546
|
|
|
54,666
|
|
|
330,880
|
|
|
169,573
|
|
|
161,307
|
|
|||||
Futures contracts
|
562
|
|
|
—
|
|
|
562
|
|
|
562
|
|
|
—
|
|
|||||
Total non-VIE derivative liabilities
|
$
|
461,610
|
|
|
$
|
54,666
|
|
|
$
|
406,944
|
|
|
$
|
170,135
|
|
|
$
|
236,809
|
|
Variable Interest Entities Derivative Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest rate swaps
|
$
|
2,133,268
|
|
|
$
|
—
|
|
|
$
|
2,133,268
|
|
|
$
|
—
|
|
|
$
|
2,133,268
|
|
Currency swaps
|
66,895
|
|
|
—
|
|
|
66,895
|
|
|
—
|
|
|
66,895
|
|
|||||
Total VIE derivative liabilities
|
$
|
2,200,163
|
|
|
$
|
—
|
|
|
$
|
2,200,163
|
|
|
$
|
—
|
|
|
$
|
2,200,163
|
|
|
|
|
|
|
Successor Ambac
|
|||||||
|
Location of Gain or (Loss)
Recognized in Consolidated Statement of Total Comprehensive Income |
|
Amount of Gain or
(Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Year Ended December 31,2015 |
|
|
Amount of Gain or
(Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Year Ended December 31, 2014 |
||||||
Financial Guarantee:
|
|
|
|
|
|
|
|
|
||||
Credit derivatives
|
Net change in fair value of credit derivatives
|
|
$
|
41,701
|
|
|
|
$
|
23,906
|
|
||
Financial Services derivatives products:
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps
|
Derivative products
|
|
(41,177
|
)
|
|
|
(173,615
|
)
|
||||
Currency swaps
|
Derivative products
|
|
—
|
|
|
|
—
|
|
||||
Futures contracts
|
Derivative products
|
|
(1,367
|
)
|
|
|
(7,472
|
)
|
||||
Total Financial Services derivative products
|
|
|
|
|
(42,544
|
)
|
|
|
(181,087
|
)
|
||
Variable Interest Entities:
|
|
|
|
|
|
|
|
|
||||
Currency swaps
|
Income (loss) on variable interest entities
|
|
103,757
|
|
|
|
24,577
|
|
||||
Interest rate swaps
|
Income (loss) on variable interest entities
|
|
168,003
|
|
|
|
(452,434
|
)
|
||||
Total Variable Interest Entities
|
|
|
|
|
271,760
|
|
|
|
(427,857
|
)
|
||
Total derivative contracts
|
|
|
|
|
$
|
270,917
|
|
|
|
$
|
(585,038
|
)
|
|
|
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||
|
Location of Gain or (Loss)
Recognized in Consolidated Statement of Total Comprehensive Income |
|
Amount of Gain or
(Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from May 1 through December 31, 2013 |
|
|
Amount of Gain or
(Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from January 1 through April 20, 2013 |
||||||
Financial Guarantee:
|
|
|
|
|
|
|
|
|
||||
Credit derivatives
|
Net change in fair value of credit derivatives
|
|
$
|
192,869
|
|
|
|
$
|
(60,384
|
)
|
||
Financial Services derivatives products:
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps
|
Derivative products
|
|
103,846
|
|
|
|
(30,602
|
)
|
||||
Futures contracts
|
Derivative products
|
|
10,925
|
|
|
|
(3,133
|
)
|
||||
Total Financial Services derivative products
|
|
|
|
|
114,771
|
|
|
|
(33,735
|
)
|
||
Call options on long-term debt
|
Other income
|
|
—
|
|
|
|
—
|
|
||||
Variable Interest Entities:
|
|
|
|
|
|
|
|
|
||||
Currency swaps
|
Income (loss) on variable interest entities
|
|
(890
|
)
|
|
|
(116
|
)
|
||||
Interest rate swaps
|
Income (loss) on variable interest entities
|
|
495,712
|
|
|
|
(203,620
|
)
|
||||
Total Variable Interest Entities
|
|
|
|
|
494,822
|
|
|
|
(203,736
|
)
|
||
Total derivative contracts
|
|
|
|
|
$
|
802,462
|
|
|
|
$
|
(297,855
|
)
|
December 31
|
|
2015
|
|
2014
|
||||||||||||||||||||
Ambac Rating
|
|
CLO
|
|
Other
|
|
Total
|
|
CLO
|
|
Other
|
|
Total
|
||||||||||||
AAA
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
AA
|
|
295,254
|
|
|
241,458
|
|
|
536,712
|
|
|
549,923
|
|
|
217,680
|
|
|
767,603
|
|
||||||
A
|
|
—
|
|
|
9,322
|
|
|
9,322
|
|
|
—
|
|
|
43,160
|
|
|
43,160
|
|
||||||
BBB
(1)
|
|
—
|
|
|
356,323
|
|
|
356,323
|
|
|
—
|
|
|
448,249
|
|
|
448,249
|
|
||||||
Below investment grade
(2)
|
|
—
|
|
|
68,526
|
|
|
68,526
|
|
|
—
|
|
|
270,747
|
|
|
270,747
|
|
||||||
Total
|
|
$
|
295,254
|
|
|
$
|
675,629
|
|
|
$
|
970,883
|
|
|
$
|
549,923
|
|
|
$
|
979,836
|
|
|
$
|
1,529,759
|
|
(1)
|
BBB internal ratings reflect bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles.
|
(2)
|
Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions.
|
|
|
2015
|
|
2014
|
||||||||||||||||||||
December 31
|
|
CLO
|
|
Other
|
|
Total
|
|
CLO
|
|
Other
|
|
Total
|
||||||||||||
Number of CDS transactions
|
|
5
|
|
|
9
|
|
|
14
|
|
|
6
|
|
|
10
|
|
|
16
|
|
||||||
Remaining expected weighted-average life of obligations (in years)
|
|
1.1
|
|
|
5.6
|
|
|
4.3
|
|
|
1.8
|
|
|
5.4
|
|
|
4.1
|
|
||||||
Gross principal notional outstanding
|
|
$
|
295,253
|
|
|
$
|
675,630
|
|
|
$
|
970,883
|
|
|
$
|
549,923
|
|
|
$
|
979,836
|
|
|
$
|
1,529,759
|
|
Net derivative liabilities at fair value
|
|
$
|
1,837
|
|
|
$
|
32,706
|
|
|
$
|
34,543
|
|
|
$
|
2,027
|
|
|
$
|
71,432
|
|
|
$
|
73,459
|
|
|
Notional - December 31,
|
||||||
Type of derivative
|
2015
|
|
2014
|
||||
Interest rate swaps—receive-fixed/pay-variable
|
$
|
773,072
|
|
|
$
|
782,904
|
|
Interest rate swaps—pay-fixed/receive-variable
|
1,429,644
|
|
|
1,479,650
|
|
||
Interest rate swaps—basis swaps
|
38,965
|
|
|
55,800
|
|
||
Futures contracts
|
100,000
|
|
|
80,000
|
|
|
Notional - December 31,
|
||||||
Type of VIE derivative
|
2015
|
|
2014
|
||||
Interest rate swaps—receive-fixed/pay-variable
|
$
|
1,616,289
|
|
|
$
|
1,710,344
|
|
Interest rate swaps—pay-fixed/receive-variable
|
2,796,496
|
|
|
3,152,090
|
|
||
Currency swaps
|
488,924
|
|
|
724,656
|
|
||
Credit derivatives
|
15,616
|
|
|
18,278
|
|
December 31
|
|
2015
|
|
2014
|
||||
Ambac Assurance:
|
|
|
|
|
||||
5.1% surplus notes, general account, due 2020
|
|
$
|
715,211
|
|
|
$
|
696,330
|
|
5.1% surplus notes, segregated account, due 2020
|
|
31,725
|
|
|
30,479
|
|
||
5.1% junior surplus notes, segregated account, due 2020
|
|
247,443
|
|
|
244,307
|
|
||
Secured borrowing
|
|
130,571
|
|
|
—
|
|
||
Ambac Assurance long-term debt
|
|
$
|
1,124,950
|
|
|
$
|
971,116
|
|
|
|
|
|
|
||||
Variable Interest Entities long-term debt
|
|
$
|
12,327,960
|
|
|
$
|
12,882,076
|
|
•
|
Par value at
December 31, 2015 and 2014
includes
$28,039
of junior surplus notes issued in connection with a settlement agreement (the “OSS Settlement Agreement”) entered into among Ambac, Ambac Assurance, the Segregated Account and One State Street, LLC (“OSS”) with respect to the termination of Ambac’s office lease with OSS. On May 1, 2013, the outstanding principal amount was reduced by
$8,043
based on the value of distribution that OSS received on account of its allowed claim in Ambac’s bankruptcy case. The principal balance of these notes shall, according to its terms, be further reduced based on rents paid after December 31, 2015 to OSS. In 2015, Ambac Assurance modified this lease agreement to remain through 2019. Part of the the junior surplus notes issued on May 19, 2011 (
$13,056
par value) will be reduced periodically as rent payments are made by Ambac Assurance beginning in January 2016. These junior surplus notes were recorded at their fair value at the dates of issuance. Since issuance, Predecessor Ambac had accreted the discount into earnings using the effective interest method, based on an imputed interest rate of
58.3%
at the date of issuance. The carrying values of these surplus notes were adjusted to estimated fair value as of the Fresh Start Reporting Date. Subsequent to the Fresh Start Reporting Date, Successor Ambac has accreted the discount based on an imputed interest rate of
19.5%
.
|
•
|
Par value at
December 31, 2015 and 2014
includes
$350,000
face amount of a junior surplus note originally issued to Ambac pursuant to Ambac's Reorganization Plan in accordance with the Mediation Agreement and that Ambac sold to a Trust on August 28, 2014 (as further described in
Note 1. Background and Business Description
). This junior surplus note was recorded at a discount to par based on its fair value on August 28, 2014. Ambac is accreting the discount on this junior surplus note into earnings using the effective interest method, based on an imputed interest rate of
8.4%
.
|
2016
|
|
$
|
—
|
|
2017
|
|
100,358
|
|
|
2018
|
|
—
|
|
|
2019
|
|
—
|
|
|
2020
|
|
—
|
|
|
All later years
|
|
—
|
|
|
|
|
$
|
100,358
|
|
Jurisdiction
|
Tax Year
|
United States
|
2010
|
New York State
|
2011
|
New York City
|
2011
|
United Kingdom
|
2011
|
Italy
|
2010
|
December 31
|
2015
|
|
2014
|
||||
Deferred tax liabilities:
|
|
|
|
||||
Insurance intangible
|
$
|
424,239
|
|
|
$
|
493,822
|
|
Variable interest entities
|
10,053
|
|
|
14,149
|
|
||
Investments
|
66,278
|
|
|
136,017
|
|
||
Unearned premiums and credit fees
|
98,945
|
|
|
104,589
|
|
||
Other
|
34,025
|
|
|
33,835
|
|
||
Total deferred tax liabilities
|
633,540
|
|
|
782,412
|
|
||
Deferred tax assets:
|
|
|
|
||||
Net operating loss and capital carryforward
|
1,504,569
|
|
|
1,890,551
|
|
||
Loss reserves
|
122,635
|
|
|
185,881
|
|
||
Compensation
|
2,839
|
|
|
2,004
|
|
||
AMT Credits
|
27,252
|
|
|
10,359
|
|
||
Other
|
9,913
|
|
|
9,539
|
|
||
Sub total deferred tax assets
|
1,667,208
|
|
|
2,098,334
|
|
||
Valuation allowance
|
1,035,873
|
|
|
1,318,001
|
|
||
Total deferred tax assets
|
631,335
|
|
|
780,333
|
|
||
Net deferred tax asset (liability)
|
$
|
(2,205
|
)
|
|
$
|
(2,079
|
)
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Current taxes
|
$
|
17,077
|
|
|
$
|
9,463
|
|
|
$
|
6,984
|
|
|
|
$
|
761
|
|
Deferred taxes
|
287
|
|
|
94
|
|
|
530
|
|
|
|
(6
|
)
|
||||
Total
|
$
|
17,364
|
|
|
$
|
9,557
|
|
|
$
|
7,514
|
|
|
|
$
|
755
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Total income taxes charged to net income
|
$
|
17,364
|
|
|
$
|
9,557
|
|
|
$
|
7,514
|
|
|
|
$
|
755
|
|
Income taxes charged (credited) to stockholders’ equity:
|
|
|
|
|
|
|
|
|
||||||||
Unrealized gains (losses) on investment securities
|
(55,906
|
)
|
|
88,411
|
|
|
(14,669
|
)
|
|
|
(227,945
|
)
|
||||
Unrealized gains (losses) on foreign currency translations
|
(15,628
|
)
|
|
(15,108
|
)
|
|
14,953
|
|
|
|
7,010
|
|
||||
Change in retirement benefits
|
(240
|
)
|
|
(285
|
)
|
|
3,797
|
|
|
|
1,594
|
|
||||
Valuation allowance to equity
|
71,774
|
|
|
(73,018
|
)
|
|
(4,081
|
)
|
|
|
219,341
|
|
||||
Total effect of income taxes
|
$
|
17,364
|
|
|
$
|
9,557
|
|
|
$
|
7,514
|
|
|
|
$
|
755
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||
|
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||||||||||
|
$
|
|
%
|
|
$
|
|
%
|
|
$
|
|
%
|
|
|
$
|
|
%
|
||||||||
Tax on income from continuing operations at statutory rate
|
178,521
|
|
|
35.0
|
%
|
|
172,639
|
|
|
35.0
|
%
|
|
179,311
|
|
|
35.0
|
%
|
|
|
1,171,812
|
|
|
35.0
|
%
|
Changes in expected tax resulting from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Tax-exempt interest
|
(1,454
|
)
|
|
(0.3
|
)%
|
|
(6,811
|
)
|
|
(1.4
|
)%
|
|
(11,988
|
)
|
|
(2.3
|
)%
|
|
|
(4,996
|
)
|
|
(0.1
|
)%
|
Goodwill impairment
|
180,079
|
|
|
35.3
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
|
—
|
|
|
—
|
%
|
Foreign taxes
|
288
|
|
|
0.1
|
%
|
|
3,472
|
|
|
0.7
|
%
|
|
—
|
|
|
—
|
%
|
|
|
—
|
|
|
—
|
%
|
Valuation allowance
|
(340,133
|
)
|
|
(66.7
|
)%
|
|
(159,661
|
)
|
|
(32.4
|
)%
|
|
(160,064
|
)
|
|
(31.2
|
)%
|
|
|
(1,110,230
|
)
|
|
(33.2
|
)%
|
Reorganization income
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
|
(712,581
|
)
|
|
(21.3
|
)%
|
Tax bankruptcy adjustments
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
|
285,734
|
|
|
8.5
|
%
|
IRS Settlement
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
|
370,996
|
|
|
11.1
|
%
|
Other, net
|
63
|
|
|
—
|
%
|
|
(82
|
)
|
|
—
|
%
|
|
255
|
|
|
—
|
%
|
|
|
20
|
|
|
—
|
%
|
Tax expense on income from continuing operations
|
17,364
|
|
|
3.4
|
%
|
|
9,557
|
|
|
1.9
|
%
|
|
7,514
|
|
|
1.5
|
%
|
|
|
755
|
|
|
—
|
%
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||
Balance, beginning of period
|
—
|
|
|
—
|
|
|
—
|
|
|
|
96,900
|
|
Increases related to prior year tax positions
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
Decreases related to prior year tax positions
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
|
(96,900
|
)
|
Balance, end of period
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
(1)
|
Amount paid in connection with IRS settlement as noted above.
|
NOL Usage
Tier
|
Allocated NOLs
(1)
|
|
Applicable
Percentage
|
|
A
|
The first
|
$479,000
|
|
15%
|
B
|
The next
|
$1,057,000
|
after Tier A
|
40%
|
C
|
The next
|
$1,057,000
|
after Tier B
|
10%
|
D
|
The next
|
$1,057,000
|
after Tier C
|
15%
|
(1)
|
Bankruptcy-related credits offset the first
$5 million
payment due under each of the NOL usage Tiers A, B and C. Pursuant to the Internal Revenue Service closing agreement the United States Department of Treasury receives
12.5%
of Tier C and
17.5%
of Tier D Tolling Payments.
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
2021-2025
|
|
Total
|
||||||||||||||
$
|
312
|
|
|
$
|
319
|
|
|
$
|
338
|
|
|
$
|
358
|
|
|
$
|
368
|
|
|
$
|
2,276
|
|
|
$
|
3,971
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Stock options
|
$
|
956
|
|
|
$
|
444
|
|
|
$
|
56
|
|
|
|
$
|
—
|
|
Restricted stock units
|
1,257
|
|
|
2,816
|
|
|
1,050
|
|
|
|
—
|
|
||||
Performance stock units
(1)
|
892
|
|
|
190
|
|
|
—
|
|
|
|
—
|
|
||||
Total stock-based compensation
|
$
|
3,105
|
|
|
$
|
3,450
|
|
|
$
|
1,106
|
|
|
|
$
|
—
|
|
Total stock-based compensation (after-tax)
|
$
|
3,105
|
|
|
$
|
3,450
|
|
|
$
|
1,106
|
|
|
|
$
|
—
|
|
(1)
|
Represents expense related to performance stock units portion of performance awards. Performance awards, except for performance awards issued to Ambac's Chief Executive Officer, are split evenly between performance stock units and cash. Performance awards issued to Ambac's Chief Executive Officer were all in the form of performance stock units. Cash based compensation expense related to performance awards granted to US employees was
$892
and
$190
for the years ended
December 31, 2015 and 2014
, respectively.
|
|
2015
|
|
|
2013
|
|
||
Risk-free interest rate
|
1.283
|
%
|
|
0.963
|
%
|
||
Expected volatility
|
42.8
|
%
|
|
50.2
|
%
|
||
Dividend yield
|
0.0
|
%
|
|
0.0
|
%
|
||
Expected life
|
4.13 years
|
|
|
3.33 years
|
|
||
Weighted-average grant-date fair value per share
|
$
|
8.69
|
|
|
$
|
7.50
|
|
|
Shares
|
|
Weighted Average
Exercise Price
|
|
Aggregate
Intrinsic Value
|
|
Weighted Average
Remaining
Contractual
Life ( in years)
|
|||||
Year Ended December 31, 2015
|
|
|
|
|
|
|
|
|||||
Outstanding at beginning of period
|
66,668
|
|
|
$
|
20.63
|
|
|
|
|
|
||
Granted
|
110,000
|
|
|
24.55
|
|
|
|
|
|
|
||
Exercised
|
—
|
|
|
—
|
|
|
|
|
|
|
||
Forfeited or expired
|
—
|
|
|
—
|
|
|
|
|
|
|
||
Outstanding at end of period
|
176,668
|
|
|
$
|
23.07
|
|
|
$
|
—
|
|
|
5.77
|
Exercisable
|
66,668
|
|
|
$
|
20.63
|
|
|
$
|
—
|
|
|
4.98
|
(1)
|
When restricted stock unit awards issued by Ambac become taxable compensation to employees, shares may be withheld to cover the employee’s withholding taxes. For the
year ended December 31, 2015
, Ambac purchased
24,268
of shares from employees that settled restricted stock units to meet the required tax withholdings.
|
|
Shares
(1)
|
|
Weighted Average
Grant Date
Fair Value
|
|||
Outstanding at beginning of period
|
35,412
|
|
|
$
|
29.78
|
|
Granted
|
107,852
|
|
|
24.62
|
|
|
Delivered
|
—
|
|
|
—
|
|
|
Forfeited
|
(12,719
|
)
|
|
25.78
|
|
|
Outstanding at end of period
|
130,545
|
|
|
$
|
25.91
|
|
(1)
|
Represents performance share units at
100%
of units granted for LTIP Awards.
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Thereafter
|
|
Total
|
||||||||||||||
$
|
6,529
|
|
|
$
|
6,944
|
|
|
$
|
6,964
|
|
|
$
|
5,691
|
|
|
$
|
1,935
|
|
|
$
|
15,613
|
|
|
$
|
43,676
|
|
•
|
Meade Communities LLC v. Ambac Assurance Corporation (Circuit Court, Anne Arundel County, Maryland, Case No. C-02-CV-15-003745). Plaintiff filed this action on December 2, 2015. Ambac Assurance’s answer was served on February 16, 2016.
|
•
|
Bragg Communities, LLC v. Ambac Assurance Corporation (General Court of Justice, Cumberland county, North Carolina, Case No. 15-CVS-9013). Plaintiff filed this action on December 4, 2015. Ambac Assurance filed a motion to dismiss on February 5, 2016.
|
•
|
Monterey Bay Military Housing LLC and Monterey Bay Land LLC v. Ambac Assurance Corporation (Superior Court, Monterey County, California, Case No. 15CV000599). Plaintiff filed this action on December 4, 2015. Ambac Assurance filed an answer on January 19, 2016.
|
•
|
Ambac Assurance Corporation v. Riley Communities, LLC (District Court, Shawnee County Kansas, No. 2016-CV-00026). Ambac Assurance filed this action on January 8, 2016. On February 2, 2016, defendant served its answer.
|
•
|
Ambac Assurance Corporation v. Fort Leavenworth Frontier Heritage Communities, II, LLC (U.S. District Court, District of Kansas, Index No. 15-CV-9596). Ambac Assurance filed this action on November 19, 2015. On January 4, 2016, defendant moved to dismiss for failure to join an indispensable party, which Ambac Assurance opposed on January 25, 2016. Defendant filed its reply on February 8, 2016.
|
•
|
Ambac Assurance Corporation v. Carlisle/ Picatinny Family Housing Limited Partnership (Court of Common Pleas, Cumberland County, Pennsylvania, No. 2015-6348). Ambac Assurance filed a summons on December 15, 2015 and a complaint on January 11, 2016. On February 1, 2016, defendant served its answer.
|
•
|
Ambac Assurance Corporation v. Fort Lee Commonwealth Communities, LLC (Circuit Court, Roanoke City, Virginia, No. CL16000072-00). Ambac Assurance filed this action on January 7, 2016. Defendant served its answer on February 9, 2016.
|
•
|
Ambac Assurance Corporation v. Fort Bliss/White Sands Missile Range Housing LP (District Court, El Paso County, Texas, Cause No. 2016DCV0094). Ambac Assurance filed this action on January 8, 2016. Defendant served its answer on February 11, 2016.
|
•
|
Ambac Assurance Corporation v. EMC Mortgage LLC (formerly known as EMC Mortgage Corporation), J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc.), and JP Morgan Chase Bank, N.A. (Supreme Court of the State of New York, County of New York, filed February 17, 2011). This case is the continuation of a case that was originally filed on November 5, 2008 in the U.S. District Court for the Southern District of New York but that was dismissed from federal court after Ambac Assurance was granted leave to amend its complaint to add certain new claims (but not others) and a new party, which deprived the federal court of jurisdiction over the litigation. After the decision by the federal judge, dated February 8, 2011, Ambac Assurance re-filed the suit in New York state court on February 17, 2011. On July 18, 2011, Ambac Assurance filed a First Amended Complaint in its state-court litigation. In its state-court action, Ambac Assurance asserts claims for breach of contract, indemnification and reimbursement against EMC, as well as claims of fraudulent conduct by EMC and J. P. Morgan Securities Inc. In its First Amended Complaint, Ambac Assurance asserts an additional claim for breach of contract against EMC and a claim for successor liability against a new defendant, JP Morgan Chase Bank, N.A. The Defendants filed their answer to the First Amended Complaint on August 30, 2011, and the parties engaged in
|
•
|
Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. EMC Mortgage LLC (formerly known as EMC Mortgage Corporation), J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc.), and JP Morgan Chase Bank, N.A. (Supreme Court of the State of New York, County of New York, filed March 30, 2012 and amended on August 14, 2012). Ambac Assurance alleges claims for fraudulent inducement and breaches of contract against EMC and J.P. Morgan Securities Inc., as well as claims against JP Morgan Chase Bank, N.A. as EMC’s successor in interest, arising from the defendants’ misrepresentations and breaches of contractual warranties regarding certain transactions that are not the subject of Ambac Assurance’s previously filed lawsuit against the same defendants (described above). Defendants filed a motion to dismiss the amended complaint on September 28, 2012, which Ambac Assurance opposed on October 26, 2012. Oral argument was held on February 21, 2013. On June 13, 2013, the court dismissed Ambac Assurance’s contractual claims but not its claims for fraudulent inducement or successor liability. Ambac Assurance appealed the trial court’s decision. On October 16, 2014, the Appellate Division for the First Department affirmed the trial court’s dismissal. In November 2014, Ambac Assurance filed for leave to re-argue, or in the alternative to appeal, the decision. Defendants opposed the motion. On May 14, 2015, the First Department denied the motion. On January 25, 2016, the parties reached an agreement to settle the litigation and on January 29, 2016, filed a stipulation voluntarily discontinuing the litigation.
|
•
|
Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. First Franklin Financial Corporation, Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch Mortgage Investors, Inc. (Supreme Court of the State of New York, County of New York, filed April 16, 2012). Ambac Assurance alleges breach of contract, fraudulent inducement, indemnification, reimbursement and requested the repurchase of loans that breach representations and warranties as required under the contracts, as well as damages. Defendants filed a motion to dismiss on July 13, 2012, which Ambac opposed on September 21, 2012. Oral argument was held on May 6, 2013. On July 18, 2013 the court dismissed Ambac Assurance’s claims for indemnification and limited Ambac Assurance’s claim for breach of loan-level warranties to the repurchase protocol, but did not dismiss Ambac Assurance’s other contractual claims or fraudulent inducement claim. On August 21, 2013, defendants filed a notice of appeal, and on August 30, 2013, Ambac Assurance filed a notice of cross-appeal. On April 22, 2014, the parties filed a stipulation withdrawing defendants’ appeal and Ambac Assurance’s cross-appeal of the court’s July 18, 2013 decision. Discovery is ongoing.
|
•
|
Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Countrywide Securities Corp., Countrywide Financial Corp. (a.k.a. Bank of America Home Loans) and Bank of America Corp. (Supreme Court of the State of New York, County of New York, filed on September 28, 2010). Ambac Assurance filed an Amended Complaint on September 8, 2011. Ambac Assurance alleged breach of contract, fraudulent inducement, indemnification and reimbursement, and breach of representations and warranties, requested the repurchase of loans that breach representations and warranties as required under the contracts, as well as damages, and asserted a successor liability claim against Bank of America. On May 28, 2013, Ambac Assurance filed a Second Amended Complaint adding an alter ego claim against Bank of America alleging that, because Bank of America and Countrywide are alter egos of one another, Bank of America is responsible for Countrywide’s liabilities to Ambac. The defendants served their answers on July 31, 2013. Fact and expert discovery has ended. On May 1, 2015, Ambac Assurance filed motions for partial summary judgment, which defendants opposed. Defendants also each filed motions for summary judgment, which Ambac Assurance opposed. The court heard oral argument on July 15, 2015. On October 27, 2015, the court issued a decision dated October 22, 2015 granting in part and denying in part the parties’ respective summary judgment motions regarding Ambac Assurance’s claims against Countrywide (primary-liability claims), and issued a second decision granting Ambac Assurance’s partial motion for summary judgment and denying Bank of America’s motion for summary judgment regarding Ambac Assurance’s secondary-liability claims against Bank of America. Ambac Assurance and Countrywide filed notices of appeal of the October 22, 2015 decision relating to primary liability and Bank of America filed a notice of appeal of the October 27, 2015 decision relating to its secondary-liability. On February 22, 2016, Ambac Assurance filed its opening appellate brief against Countrywide.
|
•
|
Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Capital One, N.A., as successor by merger to Chevy Chase Bank, F.S.B. (United States District Court for the Southern District of New York, filed on October 24, 2012). Ambac Assurance alleges claims for breach of contract, indemnification, reimbursement and requested the repurchase of loans that breach representations and warranties as required under the contracts, as well as damages. Defendants filed a motion to dismiss on February 6, 2013, which Ambac Assurance opposed in a brief filed on February 20, 2013. The motion was fully briefed and filed on March 5, 2013. The court held oral argument on March 7, 2013 and on March 27, 2014, the court ordered the motion withdrawn. Defendant filed its answer on April 11, 2014. On June 16, 2014, the court entered an order discontinuing the litigation with prejudice pursuant to stipulation signed by the parties.
|
•
|
Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Nomura Credit & Capital, Inc. and Nomura Holding America Inc. (Supreme Court of the State of New York, County of New York, filed on April 15, 2013). Ambac Assurance alleges claims for material breach of contract and for the repurchase of loans that breach representations and warranties under the contracts, as well as damages. Ambac Assurance has also asserted alter ego claims against Nomura Holding America, Inc. Defendants filed a motion to dismiss on July 12, 2013, which Ambac Assurance opposed. The court held oral argument on November 13, 2013. On September 22, 2014, plaintiffs filed an amended complaint alleging claims for fraudulent inducement, material breach of contract and for the repurchase of loans that breach representations and warranties under the contracts, as well as damages. On October 31, 2014 defendants filed a motion to strike the amended complaint. Ambac Assurance opposed that motion and at the court’s
|
•
|
The Segregated Account of Ambac Assurance Corporation and Ambac Assurance Corporation v. Countrywide Home Loans, Inc. (Wisconsin Circuit Court for Dane County, filed on December 30, 2014). Ambac Assurance alleges a claim for fraudulent inducement in connection with Ambac Assurance’s issuance of insurance policies relating to five residential mortgage-backed securitizations that are not the subject of Ambac Assurance’s previously filed lawsuit against the same defendant. Defendant filed a motion to dismiss the complaint on February 20, 2015, which Ambac Assurance opposed. The court heard oral argument on two of Countrywide’s grounds for dismissal on June 23, 2015, and indicated that it would dismiss the Wisconsin Action without prejudice for lack of personal jurisdiction. The court issued an order to that effect on July 2, 2015. Ambac Assurance has appealed the July 2, 2015 order, and the appeal is fully briefed. On June 30, 2015, plaintiffs filed a Summons with Notice in the Supreme Court of the State of New York, County of New York, No. 652321/15 (the “2015 New York Action”), alleging claims identical to the Wisconsin Action. On July 21, 2015, plaintiffs filed a complaint in the 2015 New York Action and a motion to stay the 2015 New York Action pending appeal and litigation of the Wisconsin Action. On August 5, 2015, Countrywide filed its opposition to plaintiffs’ motion to stay and on August 10, 2015, Countrywide filed a motion to dismiss the complaint, which Ambac opposed. The motions are fully briefed, the court held oral argument in November 2015 and no decisions have been issued. In November 2015, by agreement of the parties, the court stayed discovery in the 2015 New York Action pending final resolution of plaintiffs’ motion to stay and Countrywide’s motion to dismiss.
|
•
|
Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation v. Countrywide Home Loans, Inc., Countrywide Securities Corp., Countrywide Financial Corp., and Bank of America Corp. (Supreme Court of the State of New York, County of New York, filed on December 30, 2014). Ambac Assurance alleges a claim for fraudulent inducement in connection with Ambac Assurance’s issuance of insurance policies relating to eight residential mortgage-backed securitizations that are not the subject of Ambac Assurance’s previously filed lawsuits against the same defendants. On February 20, 2015, the Countrywide defendants filed a motion to dismiss the complaint, which Bank of America joined on February 23, 2015. Ambac Assurance opposed the motion. The motion is fully briefed, the court held oral argument in November 2015 and no decision has been issued. Discovery is ongoing.
|
Successor Ambac - Year Ended December 31, 2015
|
|
Financial
Guarantee |
|
Financial
Services |
|
Corporate
and Other |
|
Inter-segment
Eliminations |
|
Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)
|
|
$
|
679,662
|
|
|
$
|
(44,003
|
)
|
|
$
|
4,663
|
|
|
$
|
—
|
|
|
$
|
640,322
|
|
Equity in net income of investees accounted for by equity method
|
|
—
|
|
|
—
|
|
|
4,336
|
|
|
—
|
|
|
4,336
|
|
|||||
Inter-segment
|
|
349
|
|
|
(849
|
)
|
|
645
|
|
|
(145
|
)
|
|
—
|
|
|||||
Total revenues
|
|
680,011
|
|
|
(44,852
|
)
|
|
9,644
|
|
|
(145
|
)
|
|
644,658
|
|
|||||
Pre-tax income (loss):
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)(2)(3)
|
|
560,332
|
|
|
(46,869
|
)
|
|
(7,741
|
)
|
|
—
|
|
|
505,722
|
|
|||||
Equity in net income of investees accounted for by equity method
|
|
—
|
|
|
—
|
|
|
4,336
|
|
|
—
|
|
|
4,336
|
|
|||||
Inter-segment
|
|
(2,744
|
)
|
|
(1,383
|
)
|
|
4,127
|
|
|
—
|
|
|
—
|
|
|||||
Pre-tax income (loss)
|
|
557,588
|
|
|
(48,252
|
)
|
|
722
|
|
|
—
|
|
|
510,058
|
|
|||||
Total assets as of December 31, 2015
|
|
23,108,387
|
|
|
348,130
|
|
|
268,388
|
|
|
3,165
|
|
|
23,728,070
|
|
|||||
Net investment income
|
|
256,636
|
|
|
548
|
|
|
9,105
|
|
|
—
|
|
|
266,289
|
|
|||||
Insurance intangible amortization
|
|
169,557
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
169,557
|
|
|||||
Interest expense
|
|
115,630
|
|
|
907
|
|
|
—
|
|
|
—
|
|
|
116,537
|
|
|||||
Goodwill impairment
|
|
514,511
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
514,511
|
|
|||||
Reorganization items
(4)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Successor Ambac - Year Ended December 31, 2014
|
|
Financial
Guarantee |
|
Financial
Services |
|
Corporate
and Other |
|
Inter-segment
Eliminations |
|
Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)
|
|
$
|
506,559
|
|
|
$
|
(179,691
|
)
|
|
$
|
407
|
|
|
$
|
—
|
|
|
$
|
327,275
|
|
Equity in net income of investees accounted for by equity method
|
|
—
|
|
|
—
|
|
|
1,395
|
|
|
—
|
|
|
1,395
|
|
|||||
Inter-segment
|
|
1,243
|
|
|
(1,197
|
)
|
|
23,299
|
|
|
(23,345
|
)
|
|
—
|
|
|||||
Total revenues
|
|
507,802
|
|
|
(180,888
|
)
|
|
25,101
|
|
|
(23,345
|
)
|
|
328,670
|
|
|||||
Pre-tax income (loss):
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)(2)(3)
|
|
684,750
|
|
|
(182,941
|
)
|
|
(9,951
|
)
|
|
—
|
|
|
491,858
|
|
|||||
Equity in net income of investees accounted for by equity method
|
|
—
|
|
|
—
|
|
|
1,395
|
|
|
—
|
|
|
1,395
|
|
|||||
Inter-segment
|
|
(25,443
|
)
|
|
(1,545
|
)
|
|
26,988
|
|
|
—
|
|
|
—
|
|
|||||
Pre-tax income (loss)
|
|
659,307
|
|
|
(184,486
|
)
|
|
18,432
|
|
|
—
|
|
|
493,253
|
|
|||||
Total assets as of December 31, 2014
|
|
24,448,346
|
|
|
412,510
|
|
|
284,278
|
|
|
14,730
|
|
|
25,159,864
|
|
|||||
Net investment income
|
|
298,020
|
|
|
1,123
|
|
|
1,803
|
|
|
—
|
|
|
300,946
|
|
|||||
Insurance intangible amortization
|
|
151,830
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
151,830
|
|
|||||
Interest expense
|
|
125,892
|
|
|
1,584
|
|
|
—
|
|
|
—
|
|
|
127,476
|
|
|||||
Reorganization items
(4)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
211
|
|
|
$
|
—
|
|
|
$
|
211
|
|
Successor Ambac – Period from May 1 through December 31, 2013
|
|
Financial
Guarantee |
|
Financial
Services |
|
Corporate
and Other |
|
Inter-segment
Eliminations |
|
Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)
|
|
$
|
464,701
|
|
|
$
|
116,177
|
|
|
$
|
170
|
|
|
$
|
—
|
|
|
$
|
581,048
|
|
Inter-segment
|
|
1,837
|
|
|
(1,210
|
)
|
|
219,181
|
|
|
(219,808
|
)
|
|
—
|
|
|||||
Total revenues
|
|
466,538
|
|
|
114,967
|
|
|
219,351
|
|
|
(219,808
|
)
|
|
581,048
|
|
|||||
Pre-tax income (loss):
|
|
|
|
|
|
|
||||||||||||||
Unaffiliated customers
(1) (2) (3)
|
|
405,004
|
|
|
113,347
|
|
|
(6,035
|
)
|
|
—
|
|
|
512,316
|
|
|||||
Inter-segment
|
|
(220,218
|
)
|
|
(1,644
|
)
|
|
221,862
|
|
|
—
|
|
|
—
|
|
|||||
Pre-tax income (loss)
|
|
184,786
|
|
|
111,703
|
|
|
215,827
|
|
|
—
|
|
|
512,316
|
|
|||||
Total assets as of December 31, 2013
|
|
26,590,873
|
|
|
448,473
|
|
|
53,908
|
|
|
(777
|
)
|
|
27,092,477
|
|
|||||
Net investment income
|
|
145,269
|
|
|
1,115
|
|
|
62
|
|
|
—
|
|
|
146,446
|
|
|||||
Insurance intangible amortization
|
|
99,658
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
99,658
|
|
|||||
Interest expense
|
|
83,595
|
|
|
1,355
|
|
|
—
|
|
|
—
|
|
|
84,950
|
|
|||||
Reorganization items
(4)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
493
|
|
|
$
|
—
|
|
|
$
|
493
|
|
Predecessor Ambac - Period from Jan 1 through
April 30, 2013 |
|
Financial
Guarantee |
|
Financial
Services |
|
Corporate
and Other |
|
Inter-segment
Eliminations |
|
Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1)
|
|
$
|
633,010
|
|
|
$
|
7,339
|
|
|
$
|
39
|
|
|
$
|
—
|
|
|
$
|
640,388
|
|
Inter-segment
|
|
940
|
|
|
(882
|
)
|
|
—
|
|
|
(58
|
)
|
|
—
|
|
|||||
Total revenues
|
|
633,950
|
|
|
6,457
|
|
|
39
|
|
|
(58
|
)
|
|
640,388
|
|
|||||
Pre-tax income (loss):
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unaffiliated customers
(1) (2) (3)
|
|
1,831,237
|
|
|
3,394
|
|
|
1,513,402
|
|
|
—
|
|
|
3,348,033
|
|
|||||
Inter-segment
|
|
(132
|
)
|
|
(1,101
|
)
|
|
1,233
|
|
|
—
|
|
|
—
|
|
|||||
Pre-tax income (loss)
|
|
1,831,105
|
|
|
2,293
|
|
|
1,514,635
|
|
|
—
|
|
|
3,348,033
|
|
|||||
Total assets as of April 30, 2013
|
|
28,302,214
|
|
|
512,021
|
|
|
31,070
|
|
|
8,130
|
|
|
28,853,435
|
|
|||||
Net investment income
|
|
115,129
|
|
|
1,572
|
|
|
39
|
|
|
—
|
|
|
116,740
|
|
|||||
Interest expense
|
|
29,718
|
|
|
1,307
|
|
|
—
|
|
|
—
|
|
|
31,025
|
|
|||||
Reorganization items
(4)
|
|
$
|
(1,231,550
|
)
|
|
$
|
1,505
|
|
|
$
|
(1,515,135
|
)
|
|
$
|
—
|
|
|
$
|
(2,745,180
|
)
|
(1)
|
Included in both revenues from unaffiliated customers and in pre-tax income (loss) from continuing operations from unaffiliated customers is net investment income.
|
(2)
|
Included in pre-tax income (loss) from continuing operations from unaffiliated customers is interest expense.
|
(3)
|
Included in pre-tax income (loss) from continuing operations from unaffiliated customers is amortization of intangible asset arising from financial guarantee contracts that were set to fair value upon adoption of Fresh Start.
|
(4)
|
Refer to
Note 1. Background and Business Description
, Chapter 11 Reorganization of Ambac for a further discussion of Ambac's Reorganization.
|
|
|
Successor Ambac
|
|||||||||||||||||||||||
|
|
2015
|
|
|
2014
|
||||||||||||||||||||
Year Ended December 31
|
|
Gross
Premiums Written |
|
Net
Premiums Earned |
|
Net Change in
Fair Value of Credit Derivatives |
|
|
Gross
Premiums Written |
|
Net
Premiums Earned |
|
Net Change in
Fair Value of Credit Derivatives |
||||||||||||
United States
|
|
$
|
(13,028
|
)
|
|
$
|
229,658
|
|
|
$
|
39,633
|
|
|
|
$
|
(46,279
|
)
|
|
$
|
197,154
|
|
|
$
|
8,669
|
|
United Kingdom
|
|
3,652
|
|
|
68,799
|
|
|
—
|
|
|
|
(221,516
|
)
|
|
31,672
|
|
|
—
|
|
||||||
Other international
|
|
(28,196
|
)
|
|
14,138
|
|
|
2,068
|
|
|
|
(20,515
|
)
|
|
17,534
|
|
|
15,237
|
|
||||||
Total
|
|
$
|
(37,572
|
)
|
|
$
|
312,595
|
|
|
$
|
41,701
|
|
|
|
$
|
(288,310
|
)
|
|
$
|
246,360
|
|
|
$
|
23,906
|
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||||||||||
|
|
Period from May 1 through
December 31, 2013 |
|
|
Period from Jan1 through
April 30, 2013 |
||||||||||||||||||||
|
|
Gross
Premiums Written |
|
Net
Premiums Earned |
|
Net Change in
Fair Value of Credit Derivatives |
|
|
Gross
Premiums Written |
|
Net
Premiums Earned |
|
Net Change in
Fair Value of Credit Derivatives |
||||||||||||
United States
|
|
$
|
(61,255
|
)
|
|
$
|
165,099
|
|
|
$
|
122,696
|
|
|
|
$
|
(16,102
|
)
|
|
$
|
104,594
|
|
|
$
|
(31,134
|
)
|
United Kingdom
|
|
(7,368
|
)
|
|
35,387
|
|
|
22,548
|
|
|
|
10,673
|
|
|
18,071
|
|
|
(5,861
|
)
|
||||||
Other international
|
|
(11,686
|
)
|
|
13,032
|
|
|
47,625
|
|
|
|
(8,696
|
)
|
|
7,335
|
|
|
(23,389
|
)
|
||||||
Total
|
|
$
|
(80,309
|
)
|
|
$
|
213,518
|
|
|
$
|
192,869
|
|
|
|
$
|
(14,125
|
)
|
|
$
|
130,000
|
|
|
$
|
(60,384
|
)
|
|
|
2015
|
|
2014
|
||||||||||||||||||||||||||||
($ in thousands)
|
|
First
Quarter |
|
Second
Quarter |
|
Third
Quarter |
|
Fourth
Quarter |
|
First
Quarter |
|
Second
Quarter |
|
Third
Quarter |
|
Fourth
Quarter |
||||||||||||||||
Gross premiums written
|
|
$
|
1,062
|
|
|
$
|
(11,192
|
)
|
|
$
|
(8,710
|
)
|
|
$
|
(18,732
|
)
|
|
$
|
(5,766
|
)
|
|
$
|
(45,486
|
)
|
|
$
|
(13,700
|
)
|
|
$
|
(223,358
|
)
|
Net premiums earned
|
|
65,718
|
|
|
60,879
|
|
|
71,535
|
|
|
114,463
|
|
|
82,547
|
|
|
65,013
|
|
|
64,831
|
|
|
33,969
|
|
||||||||
Net investment income
|
|
72,983
|
|
|
64,753
|
|
|
64,195
|
|
|
64,358
|
|
|
70,801
|
|
|
80,093
|
|
|
83,581
|
|
|
66,471
|
|
||||||||
Net other than temporary impairment losses
|
|
(3,119
|
)
|
|
(1,020
|
)
|
|
(9,150
|
)
|
|
(12,370
|
)
|
|
(10,392
|
)
|
|
(8,754
|
)
|
|
(5,011
|
)
|
|
(1,637
|
)
|
||||||||
Net realized investment gains
|
|
54,101
|
|
|
(5,353
|
)
|
|
2,106
|
|
|
2,622
|
|
|
16,289
|
|
|
3,067
|
|
|
10,045
|
|
|
29,376
|
|
||||||||
Net change in fair value of credit derivatives
|
|
(2,499
|
)
|
|
10,293
|
|
|
36,952
|
|
|
(3,045
|
)
|
|
7,382
|
|
|
(1,219
|
)
|
|
7,416
|
|
|
10,327
|
|
||||||||
Derivative products revenue
|
|
(37,774
|
)
|
|
50,999
|
|
|
(65,083
|
)
|
|
9,314
|
|
|
(53,841
|
)
|
|
(47,985
|
)
|
|
(15,685
|
)
|
|
(63,576
|
)
|
||||||||
Net realized gains (losses) on extinguishment of debt
|
|
(93
|
)
|
|
(1,246
|
)
|
|
1,420
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(74,724
|
)
|
||||||||
Income (loss) on Variable Interest Entities
|
|
6,962
|
|
|
52,603
|
|
|
(21,435
|
)
|
|
(6,561
|
)
|
|
(5,542
|
)
|
|
(38,148
|
)
|
|
9,116
|
|
|
2,362
|
|
||||||||
Loss and loss expenses (benefit)
|
|
(150,952
|
)
|
|
(147,477
|
)
|
|
(133,213
|
)
|
|
(337,065
|
)
|
|
(140,011
|
)
|
|
175,317
|
|
|
(28,698
|
)
|
|
(552,182
|
)
|
||||||||
Insurance intangible amortization
|
|
37,432
|
|
|
38,088
|
|
|
39,680
|
|
|
54,357
|
|
|
31,714
|
|
|
36,256
|
|
|
41,908
|
|
|
41,952
|
|
||||||||
Underwriting and operating expenses
|
|
24,523
|
|
|
25,873
|
|
|
25,006
|
|
|
27,300
|
|
|
25,786
|
|
|
24,033
|
|
|
25,513
|
|
|
26,142
|
|
||||||||
Interest expense
|
|
27,908
|
|
|
28,173
|
|
|
29,899
|
|
|
30,557
|
|
|
32,328
|
|
|
31,953
|
|
|
31,841
|
|
|
31,354
|
|
||||||||
Goodwill impairment
|
|
—
|
|
|
—
|
|
|
514,511
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Reorganization items
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
186
|
|
|
2
|
|
|
—
|
|
||||||||
Pre-tax income (loss)
|
|
216,580
|
|
|
286,095
|
|
|
(388,193
|
)
|
|
395,576
|
|
|
159,298
|
|
|
(210,412
|
)
|
|
84,773
|
|
|
459,594
|
|
||||||||
Net income attributable to Common Shareholders
|
|
214,711
|
|
|
282,695
|
|
|
(390,987
|
)
|
|
386,984
|
|
|
155,942
|
|
|
(207,905
|
)
|
|
82,450
|
|
|
453,584
|
|
||||||||
Net income (loss) per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Basic
|
|
$
|
4.75
|
|
|
$
|
6.26
|
|
|
$
|
(8.66
|
)
|
|
$
|
8.57
|
|
|
$
|
3.46
|
|
|
$
|
(4.61
|
)
|
|
$
|
1.83
|
|
|
$
|
10.05
|
|
Diluted
|
|
$
|
4.57
|
|
|
$
|
6.05
|
|
|
$
|
(8.66
|
)
|
|
$
|
8.56
|
|
|
$
|
3.31
|
|
|
$
|
(4.61
|
)
|
|
$
|
1.77
|
|
|
$
|
9.73
|
|
|
|
Plan
Category
|
|
Number of Securities
to be Issued
Upon
Exercise of
Outstanding Options,
Warrants and Rights
|
|
Weighted-Average
Exercise Price of
Outstanding
Options,
Warrants and Rights
|
|
Number of Securities
Remaining Available
for Future Issuance
Under Equity
Compensation Plans
(Excluding Securities
Reflected in the
Second Column)
|
Equity compensation plans approved by security holders
|
|
2013 Incentive
Compensation Plan
(1)
|
|
611,260
(2)
|
|
$25.46
(3)
|
|
3,356,429
|
Equity compensation plans not approved by security holders
|
|
None
|
|
---
|
|
---
|
|
---
|
Total
|
|
|
|
611,260
(2)
|
|
$25.46
(3)
|
|
3,356,429
|
(1)
|
Our 2013 Incentive Compensation Plan was approved by the stockholders of Ambac on December 18, 2013. The total number of shares of Ambac common stock available for issuance under the 2013 Incentive Compensation Plan is 4,000,000.
|
(2)
|
Represents, as of
December 31, 2015
, the number of
outstanding restricted stock unit awards, stock options and the maximum number of performance stock units that may be issued if certain performance goals are achieved. Refer to
Note 17. Employment Benefit Plans
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K for a description of the grants made under the 2013 Incentive Compensation Plan.
|
(3)
|
Each restricted stock unit, stock option and performance stock units awarded under our 2013 Incentive Compensation Plan was granted at no cost to the persons receiving them. Restricted stock unit represent the contingent right to receive the equivalent number of shares of Ambac common stock and may vest after the passage of time, or the achievement of a corporate goal, or both. Stock options represent the right to acquire an equivalent number of shares of Ambac common stock at a specified exercise price. Performance stock units granted pursuant to the Company's Long Term Incentive Plan represent the contingent right to receive a number of shares of Ambac common stock ranging from 0% to 200% of the number of units granted depending upon the achievement of certain company-wide performance goals.
|
1.
|
Financial Statements
|
2.
|
Financial Statement Schedules
|
Exhibit
Number |
|
Description
|
3.1
|
|
Amended and Restated Certificate of Incorporation of Ambac Financial Group, Inc. (incorporated by reference to Exhibit 3.1 to Form 8-A, filed on May 1, 2013).
|
3.2
|
|
Amended By-laws of Ambac Financial Group, Inc. (filed as Exhibit 3.2 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.1
|
|
Specimen form of common stock certificate (incorporated by reference to Exhibit 4.1 to Form 8-A, filed on May 1, 2013).
|
4.2
|
|
Warrant Agreement between Ambac Financial Group, Inc. and Computershare Inc. (incorporated by reference to Exhibit 4.2 to Form 8-A, filed on May 1, 2013).
|
4.3
|
|
Specimen form of warrant certificate (included in Exhibit 4.2).
|
4.4
|
|
Junior Note Fiscal Agency Agreement, dated as of April 30, 2013, by and between the Segregated Account of Ambac Assurance Corporation and The Bank of New York Mellon, as fiscal agent (filed as Exhibit 4.5 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.5
|
|
5.1% Junior Surplus Note due June 7, 2020 in the aggregate amount of $350 million issued by the Segregated Account of Ambac Assurance Corporation pursuant to the Junior Note Fiscal Agency Agreement, dated as of April 30, 2013 (filed as Exhibit 4.6 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.6
|
|
Form of 5.1% Non-Reducing Junior Surplus Note due June 7, 2020 issued by the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 4.7 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.7
|
|
Form of 5.1% Bankruptcy Reducing Junior Surplus Note due June 7, 2020 issued by the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 4.8 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.8
|
|
Form of 5.1% Reducing Junior Surplus Note due June 7, 2020, issued by the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 4.9 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.9
|
|
Fiscal Agency Agreement, dated as of July 19, 2010, by and between the Segregated Account of Ambac Assurance Corporation and The Bank of New York Mellon, as fiscal agent (filed as Exhibit 4.10 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
4.10
|
|
Form of Surplus Note due June 7, 2020 issued by the Segregated Account of Ambac Assurance Corporation.(included in Exhibit 4.9).
|
4.11
|
|
Fiscal Agency Agreement, dated as of June 7, 2010, by and between Ambac Assurance Corporation and The Bank of New York Mellon, as fiscal agent (filed as Exhibit 10.2 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed June 8, 2010 and incorporated herein by reference).
|
4.12
|
|
Amendment dated as of October 3, 2014 to Fiscal Agency Agreement dated as of June 7, 2010 by and between Ambac Assurance Corporation and The Bank of New York Mellon, as fiscal agent (filed as Exhibit 4.1 to Ambac Financial Group, Inc.'s Quarterly Report on Form 10-Q for the quarter ended September 30, 2015 and incorporated herein by reference).
|
10.1
|
|
Amended and Restated Trust Agreement dated as of August 28, 2014, among Ambac Financial Group, Inc., The Bank of New York Mellon, and Wilmington Trust, National Association (filed as exhibit 99.2 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed August 28, 2014 and incorporated herein by reference).
|
Exhibit
Number |
|
Description
|
10.2
|
|
Long-Term Incentive Compensation Agreement dated as of May 9, 2014 between Ambac Financial Group, Inc. and Diana N. Adams (filed as Exhibit 10.2 to Ambac Financial Group, Inc.'s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014 and incorporated herein by reference).
|
10.3
|
|
Long-Term Incentive Compensation Agreement dated as of May 9, 2014 between Ambac Financial Group, Inc. and David Trick (filed as Exhibit 10.3 to Ambac Financial Group Inc.'s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014 and incorporated herein by reference).
|
10.4
|
|
Long-Term Incentive Compensation Agreement dated as of May 9, 2014 between Ambac Financial Group, Inc. and Robert B. Eisman (filed as Exhibit 10.4 to Ambac Financial Group, Inc.'s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014 and incorporated herein by reference).
|
10.5
|
|
Ambac Financial Group, Inc.'s Long-Term Incentive Compensation Plan (filed as Exhibit 10.1 to Ambac Financial Group, Inc.'s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014 and incorporated herein by reference).
|
10.6
|
|
Ambac Financial, Group, Inc.’s Incentive Compensation Plan (incorporated by reference to Appendix A to Ambac Financial Group’s 2013 Definitive Proxy Statement on Schedule 14A filed on November 8, 2013).
|
10.7
|
|
Form of Amended and Restated Restricted Stock Unit Award Letter for executive officers (filed as Exhibit 10.4 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
10.8
|
|
Form of Equity Award Letter for directors (filed as Exhibit 10.5 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
10.9
|
|
Closing Agreement between Ambac Financial, Group, Inc. and Commissioner of Internal Revenue, dated April 30, 2013 (filed as Exhibit 10.2 to Ambac Financial Group, Inc.’s Current Report on Form 8-K, filed on May 3, 2013 and incorporated herein by reference).
|
10.10
|
|
Amendment No. 1, dated April 29 2013, to the Amended and Restated Tax Sharing Agreement among Ambac Financial Group, Inc. and certain of its affiliates (filed as Exhibit 10.1 to Ambac Financial Group, Inc.’s Current Report on Form 8-K, filed on May 3, 2013 and incorporated herein by reference).
|
10.11
|
|
Tax Sharing Agreement dated March 14, 2012 among Ambac Financial Group, Inc. and certain of its affiliates (filed as Exhibit 10.12 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2013 and incorporated herein by reference).
|
10.12
|
|
Form of Amendment No. 1 to Cooperation Agreement between the Segregated Account of Ambac Assurance Corporation and Ambac Assurance Corporation (filed as Exhibit 10.3 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed September 27, 2011 and incorporated herein by reference).
|
10.13
|
|
Form of Expense Sharing and Cost Allocation Agreement among Ambac Assurance Corporation, Ambac Financial Group, Inc. and their respective subsidiaries and affiliates (filed as Exhibit 10.2 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed September 27, 2011 and incorporated herein by reference).
|
10.14
|
|
Mediation Agreement dated September 21, 2011 among Ambac Financial Group, Inc., Ambac Assurance Corporation, the statutory committee of creditors appointed by the United States Trustee on November 17, 2010, the Segregated Account of Ambac Assurance Corporation, the Rehabilitator of the Segregated Account, and OCI (filed as Exhibit 10.1 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed September 27, 2011 and incorporated herein by reference).
|
10.15
|
|
Lease, dated as of March 1, 2011, by and between One State Street, LLC and Ambac Assurance Corporation (filed as Exhibit 10.34 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
10.16
|
|
Settlement, Discontinuance and Release Agreement, dated as of March 1, 2011, by and among One State Street, LLC, Ambac Financial Group, Inc., Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 10.33 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
10.17
|
|
Settlement Agreement, dated as of June 7, 2010, by and among Ambac Assurance Corporation, Ambac Credit Products LLC, Ambac Financial Group, Inc. and the parties listed on Schedule A thereto (filed as Exhibit 10.1 to Ambac Financial Group, Inc.’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2010 and incorporated herein by reference).
|
10.18
|
|
Ambac Financial Group, Inc. Severance Pay Plan (Applicable to termination on or after January 1, 2010) (filed as Exhibit 10.26 to Ambac Financial Group, Inc.’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2010 and incorporated herein by reference).
|
10.19
|
|
Management Services Agreement, dated as of March 24, 2010, by and between the Segregated Account of Ambac Assurance Corporation and Ambac Assurance Corporation (filed as Exhibit 10.22 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
10.20
|
|
Cooperation Agreement, dated as of March 24, 2010, by and between the Segregated Account of Ambac Assurance Corporation and Ambac Assurance Corporation (filed as Exhibit 10.23 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
10.21
|
|
Aggregate Excess of Loss Reinsurance Agreement, dated as of March 24, 2010, by and between the Segregated Account of Ambac Assurance Corporation and Ambac Assurance Corporation (filed as Exhibit 10.24 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
10.22
|
|
Secured Note, dated as of March 24, 2010, from Ambac Assurance Corporation to the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 10.25 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference).
|
Exhibit
Number |
|
Description
|
10.23
|
|
Employment Agreement dated as of January 4, 2016, by and among Ambac Financial Group, Inc. and Nader Tavakoli (filed as Exhibit 10.1 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed on January 5, 2016 and incorporated herein by reference).
|
10.24
|
|
Restricted Stock Unit Agreement dated as of January 4, 2016, by and between Ambac Financial Group, Inc. and Nader Tavakoli (filed as Exhibit 10.2 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed on January 5, 2016 and incorporated herein by reference).
|
10.25
|
|
Form of Long Term Compensation Agreement, by and between Ambac Financial Group, Inc. and Nader Tavakoli (filed as Exhibit 10.3 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed on January 5, 2016 and incorporated herein by reference).
|
10.26
|
|
Separation Agreement dated August 31, 2015, by and among Iain H. Bruce, Ambac Financial Group, Inc. and Ambac Assurance Corporation (filed as Exhibit 10.1 to Ambac Financial Group, Inc.’s Current Report on Form 8-K filed on September 2, 2015 and incorporated herein by reference).
|
10.27+
|
|
Lease Modification dated as of September 8, 2015 to the Lease dated as of March 1, 2011, by and between One State Street, LLC and Ambac Assurance Corporation.
|
10.28+
|
|
Form of 2015 Long-Term Incentive Compensation Agreement between Ambac Financial Group, Inc. and each of the Company's executive officers.
|
12.1+
|
|
Computation of Ratio of Earnings to Fixed Charges
|
21.1+
|
|
List of Subsidiaries of Ambac Financial Group, Inc.
|
23.1+
|
|
Consent of Independent Registered Public Accounting Firm
|
24.1+
|
|
Power of Attorney for directors of Ambac Financial Group, Inc.
|
31.1+
|
|
Certification of Chief Executive Officer Pursuant to Rules 13a-14(a) and 15d-14(a) Promulgated under the Securities Exchange Act of 1934, as amended.
|
31.2+
|
|
Certification of Chief Financial Officer Pursuant to Rules 13a-14(a) and 15d-14(a) Promulgated under the Securities Exchange Act of 1934, as amended.
|
32.1++
|
|
Certification of Chief Executive Officer and Chief Financial Officer Pursuant to 18 U.S.C. Section 1350 as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
99.1
|
|
Amendment dated as June 12, 2014 to the Plan of Rehabilitation of the Segregated Account of Ambac Assurance Corporation (filed as Exhibit 99.1 to Ambac Financial Group, Inc.'s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014 and incorporated herein by reference.)
|
99.2
|
|
Second Modified Fifth Amended Plan of Reorganization of Ambac Financial Group, Inc., effective as of May 1, 2013.
|
99.3
|
|
Plan of Rehabilitation of the Segregated Account of Ambac Assurance Corporation. (Filed as Exhibit 99.2 to Ambac Financial Group, Inc.’s Annual Report on Form 10-K for the year ended December 31, 2010 and incorporated herein by reference.)
|
99.4
|
|
Plan of Operation of the Segregated Account of Ambac Assurance Corporation (Filed as Exhibit 99.1 to Ambac Financial Group, Inc.’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2010 and incorporated herein by reference.)
|
101.INS
|
|
XBRL Instance Document.
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document.
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document.
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document.
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document.
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document.
|
|
|
|
+
|
|
Filed herewith.
|
++
|
|
Furnished herewith.
|
Type of Investment
($ in Thousands)
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amount at Which
Shown in the
Balance Sheet
|
||||||
Municipal obligations
|
|
$
|
424,048
|
|
|
$
|
420,770
|
|
|
$
|
420,770
|
|
Corporate obligations
|
|
1,610,912
|
|
|
1,593,669
|
|
|
1,593,669
|
|
|||
Foreign obligations
|
|
96,638
|
|
|
96,306
|
|
|
96,306
|
|
|||
U.S. government obligations
|
|
90,698
|
|
|
91,242
|
|
|
91,242
|
|
|||
U.S. agency obligations
|
|
4,239
|
|
|
4,212
|
|
|
4,212
|
|
|||
Residential mortgage-backed securities
|
|
1,942,285
|
|
|
1,977,338
|
|
|
1,977,338
|
|
|||
Collateralized debt obligations
|
|
85,706
|
|
|
84,267
|
|
|
84,267
|
|
|||
Other asset-backed securities
|
|
802,842
|
|
|
840,527
|
|
|
840,527
|
|
|||
Short-term
|
|
225,789
|
|
|
225,789
|
|
|
225,789
|
|
|||
Other
|
|
284,405
|
|
|
310,600
|
|
|
310,600
|
|
|||
Total
|
|
$
|
5,567,562
|
|
|
$
|
5,644,720
|
|
|
$
|
5,644,720
|
|
|
December 31,
|
||||||
($ in Thousands, except share data)
|
2015
|
|
2014
|
||||
Assets:
|
|
|
|
||||
Fixed income securities, at fair value (amortized cost: 2015—$203,709 and 2014—$234,294)
|
$
|
187,979
|
|
|
$
|
234,310
|
|
Short-term investments, at cost (approximates fair value)
|
48,079
|
|
|
22,936
|
|
||
Other investments
|
25,339
|
|
|
21,003
|
|
||
Total investments
|
261,397
|
|
|
278,249
|
|
||
Cash
|
25
|
|
|
141
|
|
||
Investment in subsidiaries
|
1,349,483
|
|
|
1,116,044
|
|
||
Investment income due and accrued
|
123
|
|
|
54
|
|
||
Current taxes
(1)
|
70,848
|
|
|
—
|
|
||
Other assets
|
4,778
|
|
|
5,770
|
|
||
Total assets
|
$
|
1,686,654
|
|
|
$
|
1,400,258
|
|
Liabilities and Stockholders' Equity:
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Current taxes
|
—
|
|
|
221
|
|
||
Accounts payable and other liabilities
|
1,855
|
|
|
932
|
|
||
Total liabilities
|
1,855
|
|
|
1,153
|
|
||
Stockholders’ equity:
|
|
|
|
||||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none
|
—
|
|
|
—
|
|
||
Common stock, par value $0.01 per share; 130,000,000 shares authorized, issued and outstanding shares; 45,044,222 and 45,005,932
|
450
|
|
|
450
|
|
||
Additional paid-in capital
|
190,813
|
|
|
189,138
|
|
||
Accumulated other comprehensive income
|
15,215
|
|
|
220,283
|
|
||
Retained earnings
|
1,478,439
|
|
|
989,290
|
|
||
Treasury stock, shares at cost: 8,202 and 2,459
|
(118
|
)
|
|
(56
|
)
|
||
Total Ambac Financial Group, Inc. stockholders’ equity
|
1,684,799
|
|
|
1,399,105
|
|
||
Total liabilities and stockholders’ equity
|
$
|
1,686,654
|
|
|
$
|
1,400,258
|
|
(1)
|
Of this amount,
$70,911
is receivable from the Registrant's wholly-owned subsidiary, Ambac Assurance Corporation, pursuant to the Amended TSA.
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in Thousands)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Investment income
|
$
|
9,826
|
|
|
$
|
25,147
|
|
|
$
|
22,227
|
|
|
|
$
|
39
|
|
Other income
|
—
|
|
|
—
|
|
|
197,122
|
|
|
|
—
|
|
||||
Other than temporary impairments
|
(155
|
)
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Net realized gains (losses)
|
(27
|
)
|
|
(46
|
)
|
|
2
|
|
|
|
—
|
|
||||
Total revenues
|
9,644
|
|
|
25,101
|
|
|
219,351
|
|
|
|
39
|
|
||||
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Operating expenses
|
8,922
|
|
|
6,458
|
|
|
3,018
|
|
|
|
539
|
|
||||
Total expenses
|
8,922
|
|
|
6,458
|
|
|
3,018
|
|
|
|
539
|
|
||||
Income (loss) before income taxes, reorganization costs and equity in undistributed net loss of subsidiaries
|
722
|
|
|
18,643
|
|
|
216,333
|
|
|
|
(500
|
)
|
||||
Reorganization items
|
—
|
|
|
211
|
|
|
493
|
|
|
|
(2,745,180
|
)
|
||||
Income (loss) before income taxes and equity in undistributed net loss of subsidiaries
|
722
|
|
|
18,432
|
|
|
215,840
|
|
|
|
2,744,680
|
|
||||
Federal income tax provision (benefit)
|
(70,811
|
)
|
|
221
|
|
|
—
|
|
|
|
(703
|
)
|
||||
Income before equity in undistributed net income of subsidiaries
|
71,533
|
|
|
18,211
|
|
|
215,840
|
|
|
|
2,745,383
|
|
||||
Equity in undistributed net income of subsidiaries
|
421,870
|
|
|
465,860
|
|
|
289,379
|
|
|
|
603,666
|
|
||||
Net income
|
$
|
493,403
|
|
|
$
|
484,071
|
|
|
$
|
505,219
|
|
|
|
$
|
3,349,049
|
|
|
|
|
|
|
|
|
|
|
||||||||
Other comprehensive income, after tax:
|
|
|
|
|
|
|
|
|
||||||||
Net income
|
$
|
493,403
|
|
|
$
|
484,071
|
|
|
$
|
505,219
|
|
|
|
$
|
3,349,049
|
|
Unrealized gains (losses) on securities, net of deferred income taxes of $0
|
(159,730
|
)
|
|
252,603
|
|
|
(41,910
|
)
|
|
|
175,347
|
|
||||
Gain (loss) on foreign currency translation, net of deferred income taxes of $0.
|
(44,651
|
)
|
|
(43,165
|
)
|
|
42,724
|
|
|
|
(657
|
)
|
||||
Changes to postretirement benefit, net of tax
|
(687
|
)
|
|
(816
|
)
|
|
10,847
|
|
|
|
185
|
|
||||
Total other comprehensive income (loss)
|
(205,068
|
)
|
|
208,622
|
|
|
11,661
|
|
|
|
174,875
|
|
||||
Total comprehensive income attributable to Ambac Financial Group, Inc.
|
$
|
288,335
|
|
|
$
|
692,693
|
|
|
$
|
516,880
|
|
|
|
$
|
3,523,924
|
|
($ in Thousands)
|
Total
|
|
Retained
Earnings
|
|
Accumulated
Other
Comprehensive
Income
|
|
Preferred
Stock
|
|
Common
Stock
|
|
Additional Paid-in
Capital
|
|
Common
Stock Held
in Treasury,
at Cost
|
||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance at January 1, 2015
|
$
|
1,399,105
|
|
|
$
|
989,290
|
|
|
$
|
220,283
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
189,138
|
|
|
$
|
(56
|
)
|
Total comprehensive income
|
288,335
|
|
|
493,403
|
|
|
(205,068
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Stock-based compensation
|
3,105
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,105
|
|
|
—
|
|
|||||||
Cost of shares (acquired) issued under equity plan
|
(374
|
)
|
|
(312
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(62
|
)
|
|||||||
Cost of warrants acquired
|
(5,375
|
)
|
|
(3,942
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,433
|
)
|
|
—
|
|
|||||||
Warrants exercised
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|||||||
Balance at December 31, 2015
|
$
|
1,684,799
|
|
|
$
|
1,478,439
|
|
|
$
|
15,215
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
190,813
|
|
|
$
|
(118
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance at January 1, 2014
|
$
|
702,983
|
|
|
$
|
505,219
|
|
|
$
|
11,661
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
185,672
|
|
|
$
|
(19
|
)
|
Total comprehensive income
|
692,693
|
|
|
484,071
|
|
|
208,622
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Stock based compensation
|
3,450
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,450
|
|
|
—
|
|
|||||||
Shares issued under equity plan
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(37
|
)
|
|||||||
Warrants exercised
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|||||||
Balance at December 31, 2014
|
$
|
1,399,105
|
|
|
$
|
989,290
|
|
|
$
|
220,283
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
189,138
|
|
|
$
|
(56
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance at May 1, 2013
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Issuance of new equity in connection with emergence from Chapter 11
|
185,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
450
|
|
|
184,550
|
|
|
—
|
|
|||||||
Balance at May 1, 2013
|
185,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
450
|
|
|
184,550
|
|
|
—
|
|
|||||||
Total comprehensive income
|
516,880
|
|
|
505,219
|
|
|
11,661
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Stock based compensation
|
1,106
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,106
|
|
|
—
|
|
|||||||
Cost of shares acquired
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|||||||
Warrants exercised
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|||||||
Balance at December 31, 2013
|
$
|
702,983
|
|
|
$
|
505,219
|
|
|
$
|
11,661
|
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
185,672
|
|
|
$
|
(19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Predecessor Ambac
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Balance at January 1, 2013
|
$
|
(3,907,527
|
)
|
|
$
|
(6,297,264
|
)
|
|
$
|
625,385
|
|
|
$
|
—
|
|
|
$
|
3,080
|
|
|
$
|
2,172,027
|
|
|
$
|
(410,755
|
)
|
Total comprehensive income
|
3,523,924
|
|
|
3,349,049
|
|
|
174,875
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Stock-based compensation
|
(60
|
)
|
|
(60
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Shares issued under equity plans
|
60
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
60
|
|
|||||||
Elimination of Predecessor Ambac Shareholder equity accounts
|
383,603
|
|
|
2,948,275
|
|
|
(800,260
|
)
|
|
—
|
|
|
(3,080
|
)
|
|
(2,172,027
|
)
|
|
410,695
|
|
|||||||
Balance at April 30, 2013
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Successor Ambac
|
|
|
Predecessor Ambac
|
||||||||||||
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
||||||||
|
Year Ended December 31,
|
|
through
|
|
|
through
|
||||||||||
($ in Thousands)
|
2015
|
|
2014
|
|
December 31, 2013
|
|
|
April 30, 2013
|
||||||||
Cash flows from operating activities:
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
493,403
|
|
|
$
|
484,071
|
|
|
$
|
505,219
|
|
|
|
$
|
3,349,049
|
|
Adjustments to reconcile net income loss to net cash used in operating activities:
|
|
|
|
|
|
|
|
|
||||||||
Equity in undistributed net (income) loss of non-debtor subsidiaries
|
(421,870
|
)
|
|
(465,860
|
)
|
|
(289,379
|
)
|
|
|
(603,666
|
)
|
||||
Amortization of bond premium and discount
|
(4,690
|
)
|
|
4
|
|
|
—
|
|
|
|
—
|
|
||||
Reorganization items
|
—
|
|
|
211
|
|
|
493
|
|
|
|
(2,745,180
|
)
|
||||
Junior surplus notes received from Ambac Assurance Corporation Segregated Account
|
—
|
|
|
—
|
|
|
(167,020
|
)
|
|
|
—
|
|
||||
Other-than-temporary impairment charges
|
155
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Net realized gains (losses)
|
27
|
|
|
46
|
|
|
(2
|
)
|
|
|
—
|
|
||||
Increase (decrease) in current income taxes payable
|
(71,069
|
)
|
|
221
|
|
|
—
|
|
|
|
(1,900
|
)
|
||||
Share-based compensation
|
3,105
|
|
|
3,450
|
|
|
1,106
|
|
|
|
—
|
|
||||
Investment income due and accrued
|
(69
|
)
|
|
11,905
|
|
|
(11,942
|
)
|
|
|
(6
|
)
|
||||
(Increase) decrease in other assets
|
992
|
|
|
(834
|
)
|
|
(1,677
|
)
|
|
|
3,182
|
|
||||
Other, net
|
(4,705
|
)
|
|
(36,628
|
)
|
|
(28,030
|
)
|
|
|
(4,107
|
)
|
||||
Net cash provided by (used in) operating activities
|
(4,721
|
)
|
|
(3,414
|
)
|
|
8,768
|
|
|
|
(2,628
|
)
|
||||
Cash flows from investing activities:
|
|
|
|
|
|
|
|
|
||||||||
Proceeds from matured bonds
|
347,539
|
|
|
65,032
|
|
|
14,355
|
|
|
|
—
|
|
||||
Purchases of bonds
|
(312,419
|
)
|
|
(271,181
|
)
|
|
(42,506
|
)
|
|
|
—
|
|
||||
Change in short-term investments
|
(25,143
|
)
|
|
(14,617
|
)
|
|
19,360
|
|
|
|
2,637
|
|
||||
Net cash provided by (used in) investing activities
|
9,977
|
|
|
(220,766
|
)
|
|
(8,791
|
)
|
|
|
2,637
|
|
||||
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
||||||||
Proceeds from the sale of Junior Surplus Notes of the Segregated Account
|
—
|
|
|
224,262
|
|
|
—
|
|
|
|
—
|
|
||||
Cost of warrants acquired
|
(5,375
|
)
|
|
—
|
|
|
—
|
|
|
|
—
|
|
||||
Proceeds from warrant exercise
|
3
|
|
|
16
|
|
|
16
|
|
|
|
—
|
|
||||
Net cash provided by financing activities
|
(5,372
|
)
|
|
224,278
|
|
|
16
|
|
|
|
—
|
|
||||
Net cash flow
|
(116
|
)
|
|
98
|
|
|
(7
|
)
|
|
|
9
|
|
||||
Cash at beginning of period
|
141
|
|
|
43
|
|
|
50
|
|
|
|
41
|
|
||||
Cash at end of period
|
$
|
25
|
|
|
$
|
141
|
|
|
$
|
43
|
|
|
|
$
|
50
|
|
|
|
|
|
|
|
|
|
|
||||||||
Supplemental disclosure of cash flow information:
|
|
|
|
|
|
|
|
|
||||||||
Cash paid during the period for:
|
|
|
|
|
|
|
|
|
||||||||
Income taxes
|
$
|
394
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
$
|
1,900
|
|
Cash payments related to reorganization items:
|
|
|
|
|
|
|
|
|
||||||||
Professional fees paid for services rendered in connection with the Chapter 11 proceeding
|
$
|
—
|
|
|
$
|
272
|
|
|
$
|
15,546
|
|
|
|
$
|
3,860
|
|
Insurance Premiums Written
($ in Thousands)
|
Gross
Amount
|
|
Ceded to Other
Companies
|
|
Assumed from
Other
Companies
|
|
Net
Amount
|
|
Percentage of
Amount
Assumed to
Net
|
||||||||
Successor Ambac
|
|
|
|
|
|
|
|
|
|
||||||||
Year ended December 31, 2015
|
$
|
(37,572
|
)
|
|
$
|
(3,001
|
)
|
|
$
|
—
|
|
|
$
|
(34,571
|
)
|
|
—%
|
|
|
|
|
|
|
|
|
|
|
||||||||
Year ended December 31, 2014
|
(288,310
|
)
|
|
(6,842
|
)
|
|
—
|
|
|
(281,468
|
)
|
|
—%
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
Eight months ended December 31, 2013
|
(80,309
|
)
|
|
(7,810
|
)
|
|
—
|
|
|
(72,499
|
)
|
|
—%
|
||||
Predecessor Ambac
|
|
|
|
|
|
|
|
|
|
||||||||
Four months ended April 30, 2013
|
(14,125
|
)
|
|
(1,098
|
)
|
|
—
|
|
|
(13,027
|
)
|
|
—%
|
|
|
AMBAC FINANCIAL GROUP, INC.
|
|
|
|
|
|
Dated:
|
February 29, 2016
|
By:
|
/S/ DAVID TRICK
|
|
|
Name:
|
David Trick
|
|
|
Title:
|
Chief Financial Officer and Treasurer
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
/S/ JEFFREY S. STEIN*
|
|
Chairman of the Board and Director
|
|
February 29, 2016
|
Jeffrey S. Stein
|
|
|
|
|
|
|
|
|
|
/S/ NADER TAVAKOLI
|
|
President, Chief Executive Officer and Director
|
|
February 29, 2016
|
Nader Tavakoli
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
/S/ DAVID TRICK
|
|
Senior Managing Director and Chief Financial Officer
|
|
February 29, 2016
|
David Trick
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
/S/ ROBERT B. EISMAN
|
|
Senior Managing Director and Chief Accounting Officer
|
|
February 29, 2016
|
Robert B. Eisman
|
|
(Principal Accounting Officer)
|
|
|
|
|
|
|
|
/S/ EUGENE M. BULLIS*
|
|
Director
|
|
February 29, 2016
|
Eugene M. Bullis
|
|
|
|
|
|
|
|
|
|
/S/ ALEXANDER D. GREENE*
|
|
Director
|
|
February 29, 2016
|
Alexander D. Greene
|
|
|
|
|
|
|
|
|
|
/S/ VICTOR MANDEL*
|
|
Director
|
|
February 29, 2016
|
Victor Mandel
|
|
|
|
|
|
|
|
|
|
/S/ C. JAMES PRIEUR*
|
|
Director
|
|
February 29, 2016
|
C. James Prieur
|
|
|
|
|
|
|
|
|
|
/S/ STEPHEN M. KSENAK
|
|
|
|
|
*BY: Stephen M. Ksenak
|
|
Attorney-in-fact
|
|
February 29, 2016
|
|
LANDLORD:
|
|
|
|
|
|
ONE STATE STREET LLC
|
|
|
|
|
|
By:
|
/s/ Eli Levitin
|
|
Name:
|
Eli Levitin, Managing Director
|
|
Title:
|
Authorized Signatory
|
|
|
|
|
TENANT:
|
|
|
|
|
|
AMBAC ASSURANCE CORPORATION
|
|
|
|
|
|
By:
|
/s/ David Trick
|
|
Name:
|
David Trick
|
|
Title:
|
President & CEO
|
(a)
|
All Performance Stock Units shall be unearned and unvested unless and until they become earned and vested and nonforfeitable in accordance with this subparagraph 4(a). The Participant shall have the ability to earn between 0% and 200% of the Target Performance Units, as determined by the Committee, based on the continuing employment of the Participant during the period beginning on January 1, 2015 and ending on the December 31, 2017 (the “Performance Period”) and satisfaction of the Performance Goals set forth in Exhibit A hereto (which is incorporated into and forms part of this Agreement). Any Performance Stock Units granted pursuant to this Agreement that become earned in accordance with this Agreement shall be referred to herein as “Earned Performance Units”. Except as provided in subparagraph 4(c), if the Participant’s termination of employment or service with the Company (the “Termination Date”) occurs for any reason prior to the last day of the Performance Period, the Participant’s right to all Performance Stock Units (and any associated Dividend Equivalent Units) awarded or credited to the Participant pursuant to this Agreement shall expire and be forfeited immediately and the Participant shall have no further rights with respect to any of the Performance Stock Units (or associated Dividend Equivalent Units). The Earned Performance Units (and any associated Earned Dividend Equivalent Units) shall be settled in accordance with paragraph 6 hereof.
|
(b)
|
The Cash Incentive Award shall be unearned and unvested unless and until it becomes earned and vested and nonforfeitable in accordance with this subparagraph 4(b). The Participant shall have the ability to earn between 0% and 200% of the Target Cash Award, as determined by the Committee, based on the continuing employment of the Participant during the Performance Period and satisfaction of the Performance Goals set forth in Exhibit A hereto. Any portion of the Cash Incentive Award granted pursuant to this Agreement that becomes earned in accordance with this Agreement shall be referred to herein as “Earned Cash Incentive Award”. Except as provided in subparagraph 4(c), if the Participant’s Termination Date occurs for any reason
|
(c)
|
Notwithstanding the provisions of subparagraphs 4(a) and 4(b), if the Participant’s Termination Date occurs on or after January 1, 2016 and prior to the last day of the Performance Period by reason of death, Disability (as defined in subparagraph 4(d)), involuntary termination by the Company other than for Cause (as defined in subparagraph 4(d)), or Retirement (as defined in subparagraph 4(d)), the Participant (or, in the event of his death, his beneficiary) shall be entitled to (i) that number of Earned Performance Units (and any associated Earned Dividend Equivalent Units thereon) and (ii) that portion of the Earned Cash Award equal to the product of (A) the number of Earned Performance Units (and any associated Earned Dividend Equivalent Units) or Earned Cash Award, as applicable, that the Participant would have been entitled to receive had his Termination Date not occurred prior to the end of the Performance Period based on actual satisfaction of the Performance Goals, multiplied by (B) a fraction (1) the numerator of which is the number days during the Performance Period prior to and including the Termination Date and (2) the denominator of which is the total number of days in the Performance Period.
|
(d)
|
For purposes of the Awards evidenced by this Agreement, (i) a Participant’s Termination Date shall be considered to occur by reason of Disability if his Termination Date occurs on or after the date on which he is entitled to long-term disability benefits under the Company’s long-term disability plan (or, if the Participant is not eligible for such plan, if the Participant would be entitled to benefits under such plan if he were eligible) and such Termination Date does not occur for any other reason, (ii) the Participant’s Termination Date shall be considered to occur by reason of Cause if the Participant’s Termination Date occurs by reason of termination by the Company and is on account of (A) any act or omission by the Participant resulting in, or intending to result in, personal gain at the expense of the Company; (B) the improper disclosure by the Participant of proprietary or confidential information of the Company; or (C) misconduct by the Participant, including, but not limited to, fraud, intentional violation of, or negligent disregard for, the rules and procedures of the Company (including the code of business conduct), theft, violent acts or threats of violence, or possession of controlled substances on the property of the Company; provided
,
however, that the meaning of “Cause” shall be (1) expanded to include any additional grounds for cause-based termination specified in any contract, policy or plan applicable to the Participant or (2) superseded to the extent expressly provided in such contract, policy or plan, and (iii) the Participant’s Termination Date shall be considered to occur on account of Retirement if the Participant’s Termination Date occurs on or after the date on which the Participant has attained age
55
and such termination does not occur for any other reason.
|
(a)
|
If, during the Performance Period, a dividend with respect to shares of Common Stock is paid in cash, then as of the dividend payment date the Participant shall be credited with that number of Dividend Equivalent Units equal to (i) the cash dividend paid with respect to a share of Common Stock, multiplied by (ii) 200% of the Target Performance Units (the “Maximum Performance Units”) plus the number of previously credited Dividend Equivalent Units with respect to such Performance Stock Units, if any, divided by (iii) the Fair Market Value of a share of Common Stock on the dividend payment date, rounded down to the nearest whole number.
|
(b)
|
If, during the Performance Period, a dividend with respect to shares of Common Stock is paid in shares of Common Stock, then as of the dividend payment date the Participant shall be credited with that number of Dividend Equivalent Units equal to (i) the number of shares of Common Stock distributed in the dividend with respect to a share of Common Stock, multiplied by (ii) the number of Maximum Performance Units plus the number of previously credited Dividend Equivalent Units with respect to such Performance Stock Units, if any, rounded down to the nearest whole number.
|
(a)
|
The Earned Performance Units (and associated Earned Dividend Equivalent Units shall be settled within sixty (60) days following the end of the Performance Period
(the “Settlement Date”). Settlement of the Earned Performance Units and Earned Dividend Equivalent Units on the Settlement Date shall be made in the form of shares of Common Stock with one share of Common Stock being issued in settlement of each Earned Performance Unit and each Earned Dividend Equivalent Unit (and cash equal to any fractional share). Upon the settlement of any Earned Performance Unit and associated Earned Dividend Equivalent Units, such Earned Performance Unit and Earned Dividend Equivalent Units shall be cancelled. Any Performance Stock Units and associated Dividend Equivalent Units outstanding as of the last day of the Performance Period that do not become Earned Performance Units and associated Earned Dividend Equivalent Units shall be automatically cancelled as of the last day of the Performance Period.
|
(b)
|
The Earned Cash Award shall be paid on the Settlement Date in a lump sum cash payment. Any portion of the Cash Incentive Award that does not become part of the Earned Cash Award shall be automatically cancelled as of the last day of the Performance Period.
|
(a)
|
and if the Participant is a specified employee (within the meaning of section 409A(a)(2)(B) of the Code) and if any such payment or benefit is required to be made or provided prior to the first day of the seventh month following the Participant’s separation from service or termination of employment, such payment or benefit shall be delayed until the first day of the seventh month following the Participant’s separation from service; and
|
(b)
|
the determination as to whether the Participant has had a termination of employment (or separation from service) shall be made in accordance with the provisions of section 409A of the Code and the guidance issued thereunder without application of any alternative levels of reductions of bona fide services permitted thereunder.
|
Rating
|
|
Payout Multiple
|
|
AAC
|
|
AFG
|
||
ALR
|
|
Net Asset Value
($mm)
|
Cumulative EBITDA ($mm)
|
|||||
1
|
|
2.00
|
|
100.0%
|
|
$0
|
|
$19
|
2
|
|
1.75
|
|
95.0%
|
|
($299)
|
|
$16
|
3
|
|
1.50
|
|
90.0%
|
|
($611)
|
|
$13
|
4
|
|
1.25
|
|
85.0%
|
|
($940)
|
|
$9
|
5
|
|
1.00
|
|
80.0%
|
|
($1,289)
|
|
$6
|
6
|
|
0.50
|
|
75.0%
|
|
($1,661)
|
|
$3
|
7
|
|
0.00
|
|
70.0%
|
|
($2,061)
|
|
$0
|
(1)
|
Including any future successors or equivalent entities.
|
|
|
Successor Ambac
|
|
|
Predecessor
|
||||||||||||||||||||
|
|
|
|
|
|
Period from May 1
|
|
|
Period from Jan 1
|
|
|
|
|
||||||||||||
|
|
Year Ended December 31,
|
|
through
|
|
|
through
|
|
Year Ended December 31,
|
||||||||||||||||
($ in thousands, except ratios)
|
|
2015
|
|
2014
|
|
December 31,
2013 |
|
|
April 30,
2013 |
|
2012
|
|
2011
|
||||||||||||
Earnings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Pre-tax income (loss)
|
|
$
|
510,058
|
|
|
$
|
493,253
|
|
|
$
|
512,316
|
|
|
|
$
|
3,348,033
|
|
|
$
|
(256,505
|
)
|
|
$
|
(1,882,949
|
)
|
Fixed Charges
|
|
115,016
|
|
|
127,754
|
|
|
84,736
|
|
|
|
30,342
|
|
|
107,724
|
|
|
122,324
|
|
||||||
Earnings
|
|
$
|
625,074
|
|
|
$
|
621,007
|
|
|
$
|
597,052
|
|
|
|
$
|
3,378,375
|
|
|
$
|
(148,781
|
)
|
|
$
|
(1,760,625
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest expense
|
|
$
|
113,100
|
|
|
$
|
125,891
|
|
|
$
|
83,595
|
|
|
|
$
|
29,718
|
|
|
$
|
105,973
|
|
|
$
|
119,997
|
|
Portion of rental expense deemed to be interest
|
|
1,916
|
|
|
1,863
|
|
|
1,141
|
|
|
|
624
|
|
|
1,751
|
|
|
2,327
|
|
||||||
Fixed charges
|
|
$
|
115,016
|
|
|
$
|
127,754
|
|
|
$
|
84,736
|
|
|
|
$
|
30,342
|
|
|
$
|
107,724
|
|
|
$
|
122,324
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Ratio of earnings to fixed charges
|
|
5.4
|
x
|
|
4.9
|
x
|
|
7.0
|
x
|
|
|
111.3
|
x
|
|
*
|
|
|
*
|
|
*
|
Earning for the years ended December 31, 2012 and 2011 were inadequate to cover fixed charges by $256,505 and $1,882,949, respectively.
|
Name
|
|
State of Incorporation
|
Ambac Assurance Corporation
|
|
(Wisconsin)
|
Ambac Assurance UK Limited
|
|
(United Kingdom Insurance Company)
|
Ambac Capital Corporation
|
|
(Delaware)
|
Ambac Capital Funding, Inc.
|
|
(Delaware)
|
Ambac Credit Products, LLC
|
|
(Delaware)
|
Ambac Investments, Inc.
|
|
(Delaware)
|
Ambac Financial Services, LLC
|
|
(Delaware)
|
Archer Holdings Portfolio I, LLC
|
|
(Delaware)
|
Aztec Holdings Portfolio I, LLC
|
|
(Delaware)
|
Everspan Financial Guarantee Corp.
|
|
(Wisconsin)
|
Connie Lee Holdings, Inc.
|
|
(Delaware)
|
Ortley Investments LLC
|
|
(Delaware)
|
Orient Bay, LLC
|
|
(Delaware)
|
AE Global Holdings, LLC
|
|
(Delaware)
|
AE Global Asset Funding, LLC
|
|
(Delaware)
|
AE Global Investments, LLC
|
|
(Delaware)
|
Ambac Japan Co., Ltd
|
|
(Japan)
|
Ambac Conduit Funding LLC
|
|
(Delaware)
|
Ambac Credit Products Limited
|
|
(United Kingdom)
|
Juneau Investments LLC
|
|
(Delaware)
|
Phoenix Holdings Fund LLC
|
|
(Delaware)
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
/S/ JEFFREY S. STEIN
|
|
Chairman of the Board and Director
|
|
February 29, 2016
|
Jeffrey S. Stein
|
|
|
|
|
|
|
|
|
|
/S/ NADER TAVAKOLI
|
|
President, Chief Executive Officer and Director
|
|
February 29, 2016
|
Nader Tavakoli
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
/S/ DAVID TRICK
|
|
Senior Managing Director and Chief Financial Officer
|
|
February 29, 2016
|
David Trick
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
/S/ ROBERT B. EISMAN
|
|
Senior Managing Director and Chief Accounting Officer
|
|
February 29, 2016
|
Robert B. Eisman
|
|
(Principal Accounting Officer)
|
|
|
|
|
|
|
|
/S/ EUGENE M. BULLIS
|
|
Director
|
|
February 29, 2016
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Eugene M. Bullis
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/S/ ALEXANDER D. GREENE
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Director
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February 29, 2016
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Alexander D. Greene
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/S/ VICTOR MANDEL
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Director
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February 29, 2016
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Victor Mandel
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/S/ C. JAMES PRIEUR
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Director
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February 29, 2016
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C. James Prieur
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1.
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I have reviewed this
Annual
Report on Form
10-K
of Ambac Financial Group, Inc;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a—15(e) and 15d—15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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a.
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b.
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c.
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d.
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors:
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a.
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Dated:
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February 29, 2016
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By:
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/s/ Nader Tavakoli
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Nader Tavakoli
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President and Chief Executive Officer
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1.
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I have reviewed this
Annual
Report on Form
10-K
of Ambac Financial Group, Inc;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a—15(e) and 15d—15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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a.
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b.
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c.
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d.
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors:
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a.
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b.
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Dated:
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February 29, 2016
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By:
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/s/ David Trick
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David Trick
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Chief Financial Officer and Treasurer
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(1)
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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(2)
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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By:
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/s/ Nader Tavakoli
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Name:
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Nader Tavakoli
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Title:
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President and Chief Executive Officer
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By:
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/s/ David Trick
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Name:
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David Trick
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Title:
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Chief Financial Officer and Treasurer
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Dated:
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February 29, 2016
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