SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size 3/02/20 Ambac Financial Group Inc 10-K 12/31/19 152:36M |
Document/Exhibit Description Pages Size 1: 10-K Annual Report HTML 4.76M 2: EX-3.2 Articles of Incorporation/Organization or Bylaws HTML 204K 3: EX-10.21 Material Contract HTML 80K 4: EX-10.45 Material Contract HTML 282K 5: EX-10.46 Material Contract HTML 158K 6: EX-21.1 Subsidiaries List HTML 50K 7: EX-23.1 Consent of Experts or Counsel HTML 47K 8: EX-24.1 Power of Attorney HTML 59K 9: EX-31.1 Certification -- §302 - SOA'02 HTML 54K 10: EX-31.2 Certification -- §302 - SOA'02 HTML 54K 11: EX-32.1 Certification -- §906 - SOA'02 HTML 51K 55: R1 Document and Entity Information HTML 118K 139: R2 Consolidated Balance Sheets HTML 169K 88: R3 Consolidated Balance Sheets (Parenthetical) HTML 90K 34: R4 Consolidated Statements of Total Comprehensive HTML 165K Income 53: R5 Consolidated Statements of Total Comprehensive HTML 49K Income (Parenthetical) 138: R6 Consolidated Statements of Cash Flows HTML 196K 87: R7 Consolidated Statements of Stockholders' Equity HTML 82K 36: R8 Leases Statement HTML 107K 50: R9 Background and Business Description HTML 91K 133: R10 Basis of Presentation and Significant Accounting HTML 186K Policies (Notes) 116: R11 Variable Interest Entities HTML 259K 32: R12 Comprehensive Income HTML 148K 82: R13 Net Income Per Share HTML 81K 134: R14 Financial Guarantees in Force (Notes) HTML 100K 117: R15 Financial Guarantee Insurance Contracts HTML 542K 33: R16 Insurance Regulatory Restrictions (Notes) HTML 79K 83: R17 Fair Value Measurements HTML 767K 135: R18 Investments HTML 455K 115: R19 Derivative Instruments HTML 224K 37: R20 Loans (Notes) HTML 51K 51: R21 Long-Term Debt (Notes) HTML 123K 140: R22 Income Taxes HTML 205K 85: R23 Employment Benefit Plans (Notes) HTML 148K 38: R24 Leases (Notes) HTML 88K 52: R25 Commitments and Contingencies HTML 157K 141: R26 Quarterly Information (Unaudited) (Notes) HTML 163K 86: R27 Basis of Presentation and Significant Accounting HTML 217K Policies (Policies) 35: R28 Basis of Presentation and Significant Accounting HTML 197K Policies Recently Adopted and Recently Issued Accounting Standards (Policies) 56: R29 Basis of Presentation and Significant Accounting HTML 88K Policies Supplemental Cash Flow Information (Tables) 81: R30 Variable Interest Entities (Tables) HTML 229K 30: R31 Comprehensive Income (Tables) HTML 149K 119: R32 Net Income Per Share (Tables) HTML 76K 137: R33 Financial Guarantees in Force (Tables) HTML 96K 80: R34 Financial Guarantee Insurance Contracts (Tables) HTML 537K 29: R35 Fair Value Measurements (Tables) HTML 728K 118: R36 Investments (Tables) HTML 454K 136: R37 Derivative Instruments (Tables) HTML 221K 79: R38 Long-Term Debt (Tables) HTML 99K 31: R39 Income Taxes (Tables) HTML 212K 66: R40 Employment Benefit Plans (Tables) HTML 130K 48: R41 Leases (Tables) HTML 93K 91: R42 Quarterly Information (Unaudited) (Tables) HTML 281K 143: R43 Background and Business Description - Additional HTML 90K Information (Detail) 65: R44 Background and Business Description Rehabilitation HTML 131K Exit Support Agreement (Details) 47: R45 Background and Business Description Tier 2 HTML 46K Commitment (Details) 89: R46 Background and Business Description AMPS Exchange HTML 92K (Details) 142: R47 Basis of Presentation and Significant Accounting HTML 120K Policies Additional Information (Details) 64: R48 Basis of Presentation and Significant Accounting HTML 54K Policies FX gain (Loss) (Details) 49: R49 Basis of Presentation and Significant Accounting HTML 46K Policies Goodwill (Details) 26: R50 Basis of Presentation and Significant Accounting HTML 58K Policies Noncontrolling Interest (Details) 74: R51 Basis of Presentation and Significant Accounting HTML 50K Policies Incentive Compensation (Details) 121: R52 Basis of Presentation and Significant Accounting HTML 49K Policies Adoption of New Accounting Standards (Details) 101: R53 Basis of Presentation and Significant Accounting HTML 71K Policies Supplemental Cash Flow Information (Details) 27: R54 Variable Interest Entities - Additional HTML 169K Information (Detail) 77: R55 Variable Interest Entities - Summary of Fair Value HTML 57K of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Detail) 124: R56 Variable Interest Entities - Supplemental HTML 56K Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities (Detail) 102: R57 Variable Interest Entities - Summary of Carrying HTML 81K Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities (Detail) 24: R58 Variable Interest Entities Variable Interest HTML 114K Entity - Change in Fair Value of Assets and Liabilities (Details) 78: R59 Variable Interest Entities Variabile Interest HTML 55K Entities - Carry Value of Secured Notes from LSNI (Details) 146: R60 Comprehensive Income - Schedule of Changes in HTML 91K Balances of Each Component of Accumulated Other Comprehensive Income (Detail) 94: R61 Comprehensive Income - Schedule of Amounts HTML 96K Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Detail) 40: R62 Net Income Per Share - Additional Information HTML 86K (Detail) 59: R63 Net Income Per Share - Reconciliation of Common HTML 83K Shares Used for Basic and Diluted Earnings Per Share (Detail) 149: R64 Financial Guarantees in Force - Additional HTML 77K Information (Detail) 99: R65 Financial Guarantees in Force - Summary of HTML 87K Financial Guarantee Portfolio Diversification by Type of Guaranteed Bond (Detail) 45: R66 Financial Guarantees in Force - Summary of HTML 63K International Finance Guaranteed Portfolio (Detail) 62: R67 Financial Guarantee Insurance Contracts - HTML 156K Additional Information (Detail) 151: R68 Financial Guarantee Insurance Contracts - Summary HTML 79K of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Detail) 92: R69 Financial Guarantee Insurance Contracts - Effect HTML 81K of Reinsurance on Premiums Written and Earned (Detail) 111: R70 Financial Guarantee Insurance Contracts - HTML 129K Summarized Future Gross Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Detail) 132: R71 Financial Guarantee Insurance Contracts Financial HTML 74K Guarantee Insurance Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) 72: R72 Financial Guarantee Insurance Contracts - Summary HTML 105K of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Detail) 22: R73 Financial Guarantee Insurance Contracts - Summary HTML 177K of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Detail) 107: R74 Financial Guarantee Insurance Contracts - Summary HTML 78K of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Detail2) 127: R75 Financial Guarantee Insurance Contracts - Summary HTML 54K of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Detail) 67: R76 Financial Guarantee Insurance Contracts - Summary HTML 56K of Rollforward of RMBS Subrogation, by Estimation Approach (Detail) 19: R77 Financial Guarantee Insurance Contracts - HTML 80K Estimated Future Amortization Expense for Insurance Intangible Asset (Detail) 114: R78 Financial Guarantee Insurance - Summary of HTML 60K Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Detail) 126: R79 Financial Guarantee Insurance Contracts Financial HTML 61K Guarantee Insurance Contracts Earned Premiums by Geographic Location (Details) 110: R80 Insurance Regulatory Restrictions Additional HTML 77K Details (Details) 130: R81 Fair Value Measurements - Summary of Carrying HTML 276K Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) 70: R82 Fair Value Measurements - Additional Information HTML 99K (Detail) 21: R83 Fair Value Measurements - Information about HTML 80K Valuation Inputs for Fixed Income Securities Classified as Level 3 (Detail) 108: R84 Fair Value Measurements - Summary of Information HTML 51K about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) 129: R85 Fair Value Measurements - Summary of Information HTML 51K about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail2) 69: R86 Fair Value Measurements - Information about HTML 87K Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Detail) 20: R87 Fair Value Measurements - Summary of Changes in HTML 225K Level 3 Fair Value Category (Detail) 113: R88 Fair Value Measurements - Summary of Gains and HTML 70K Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Detail) 125: R89 Investments - Summary of Amortized Cost and HTML 121K Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Detail) 147: R90 Investments - Summary of Amortized Cost and HTML 98K Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity (Detail) 96: R91 Investments - Summary of Gross Unrealized Losses HTML 122K and Fair Values of Ambac's Available-for-Sale Investments (Detail) 42: R92 Investments - Additional Information (Detail) HTML 89K 60: R93 Investments - Summary of Amounts Included in Net HTML 65K Realized (Losses) Gains and Other-Than-Temporary Impairments (Detail) 148: R94 Investments - Summary of Roll-Forward of Ambac's HTML 63K Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income (Detail) 97: R95 Investments - Summary of Sources of Collateral HTML 50K Received and Various Investment Agreement in which Collateral Pledged (Detail) 43: R96 Investments - Summary of Fair Value, Including HTML 83K Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Detail) 61: R97 Investments - Summary of Fair Value, Including HTML 49K Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Detail2) 152: R98 Investments - Summary of Net Investment Income HTML 81K (Detail) 93: R99 Derivative Instruments - Summary of Gross Fair HTML 109K Values of Individual Derivative Instruments (Detail) 71: R100 Derivative Instruments - Additional Information HTML 71K (Detail) 23: R101 Derivative Instruments - Summary of Location and HTML 77K Amount of Gains and Losses of Derivative Contracts (Detail) 112: R102 Derivative Instruments - Summarize Information by HTML 58K Major Category of CDS Contracts (Detail) 131: R103 Derivative Instruments - Summary of Notional HTML 54K Amounts of AFS's Trading Derivative Products (Detail) 68: R104 Derivative Instruments - Summary of Notional for HTML 59K VIE Derivatives Outstanding (Detail) 18: R105 Loans (Details) HTML 56K 106: R106 Long-Term Debt (Details) HTML 212K 128: R107 Income Taxes - Additional Information (Detail) HTML 75K 73: R108 Income Taxes - Significant Portions of Deferred HTML 87K Tax Liabilities and Deferred Tax Assets (Detail) 17: R109 Income Taxes Income Taxes - Provision for Income HTML 69K Taxes Charged To Income From Continuing Operations (Details) 41: R110 Income Taxes Income Taxes - Effect of Income Taxes HTML 64K on Net Income and Stockholders' Equity (Details) 58: R111 Income Taxes Income Taxes - Effective Tax Rates HTML 117K Differing From Prevailing Federal Corporate Income Tax Rates (Details) 145: R112 Income Taxes Income Taxes - Reconciliation of HTML 63K Unrecognized Tax Benefits (Details) 95: R113 Income Taxes Income Taxes - NOL Usage Table HTML 112K (Details) 44: R114 Income Taxes Schedule of Income Before Income HTML 57K Taxes (Details) 63: R115 Income Taxes Impact of New Tax Legislation HTML 53K (Details) 150: R116 Employment Benefit Plans Postretirement Health HTML 76K Care and Other Benefits (Details) 98: R117 Employment Benefit Plans Savings Plan (Details) HTML 54K 46: R118 Employment Benefit Plans Stock Compensation HTML 77K (Details) 57: R119 Employment Benefit Plans Stock Options (Details) HTML 94K 122: R120 Employment Benefit Plans Restricted Stock Units HTML 99K (Details) 100: R121 Employment Benefit Plans Performance Units HTML 122K (Details) 25: R122 Commitments and Contingencies - Additional HTML 49K Information (Detail) 75: R123 Quarterly Information (unaudited) Quarterly HTML 115K Information (Unaudited) (Details) 123: R124 Schedule I - Summary Of Investments (Details) HTML 90K 103: R125 Schedule II - Condensed Financial Information of HTML 143K Registrant (Parent Company Only) - Condensed Balance Sheet (Detail) 28: R126 Schedule II - Condensed Financial Information of HTML 144K Registrant (Parent Company Only) - Condensed Statement of Total Comprehensive Income (Detail) 76: R127 Schedule II - Condensed Financial Information of HTML 134K Registrant (Parent Company Only) - Condensed Statements of Stockholders' Equity (Detail) 120: R128 Schedule II - Condensed Financial Information of HTML 158K Registrant (Parent Company Only) - Condensed Statements of Cash Flows (Detail) 105: R129 Schedule II - Condensed Financial Information of HTML 46K Registrant (Parent Company Only) Schedule II - Condensed Financial Information of Registrant - Additional Information (Details) 90: R130 Schedule II - Condensed Financial Information of HTML 77K Registrant (Parent Company Only) Schedule II - Condensed Financial Information of Registrant - Income Taxes (Details) 144: R131 Schedule IV - Reinsurance (Detail) HTML 58K 109: XML IDEA XML File -- Filing Summary XML 299K 84: XML XBRL Instance -- a01-008ambcx4q19x10k_htm XML 10.32M 104: EXCEL IDEA Workbook of Financial Reports XLSX 256K 13: EX-101.CAL XBRL Calculations -- ambc-20191231_cal XML 427K 14: EX-101.DEF XBRL Definitions -- ambc-20191231_def XML 3.36M 15: EX-101.LAB XBRL Labels -- ambc-20191231_lab XML 4.28M 16: EX-101.PRE XBRL Presentations -- ambc-20191231_pre XML 3.55M 12: EX-101.SCH XBRL Schema -- ambc-20191231 XSD 473K 54: JSON XBRL Instance as JSON Data -- MetaLinks 775± 1.34M 39: ZIP XBRL Zipped Folder -- 0000874501-20-000034-xbrl Zip 1.23M
Document |
FORM | i 10-K |
i ☒ | ANNUAL
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
i ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934 |
Commission File Number: | i 1-10777 |
i AMBAC
FINANCIAL GROUP INC |
i (212) | i 658-7470 | ||
(Registrant’s
telephone number, including area code) |
Title of each class | Trading Symbols | Name of each exchange on which registered | ||
i Common
Stock, par value $0.01 per share | i AMBC | i New York Stock Exchange | ||
i Warrants | i AMBC
WS | i New York Stock Exchange |
i Large accelerated filer | ☒ | Accelerated filer | ☐ | Non-accelerated
filer | ☐ | Smaller reporting company | i ☐ | Emerging growth company | i ☐ |
Item Number | Page | Item Number | Page | |||
PART II (CONTINUED) | ||||||
1 | 7A | Quantitative and Qualitative Disclosures about Market Risk | ||||
8 | ||||||
Risk Management Group | 9 | |||||
9A | ||||||
9B | ||||||
1A | 10 | |||||
1B | 11 | |||||
2 | 12 | |||||
3 | 13 | |||||
4 | 14 | |||||
5 | 15 | |||||
6 | ||||||
7 | ||||||
Executive
Summary | ||||||
Critical Accounting Policies and Estimates | ||||||
Special
Purpose and Variable Interest Entities | ||||||
Ambac UK Financial Results Under UK Accounting Principles | ||||||
• | Active
runoff of Ambac Assurance and its subsidiaries through transaction terminations, policy commutations, reinsurance, settlements and restructurings, with a focus on our watch list credits and known and potential future adversely classified credits, that we believe will improve our risk profile, and maximizing the risk-adjusted return on invested assets; |
• | Ongoing rationalization of Ambac's capital and liability structures; |
• | Loss
recovery through active litigation management and exercise of contractual and legal rights; |
• | Ongoing review and adjustments focused on improving the effectiveness and efficiency of Ambac's operating platform; and |
• | Evaluation of opportunities in certain business sectors that meet acceptable criteria that will generate long-term stockholder value with attractive risk-adjusted returns. |
• | Cleared
swaps, futures and OTC derivatives with bank counterparties require margin or collateral to be posted up to |
• | Credit risk associated with financial guarantee customer derivatives and credit derivatives, is managed through the risk management processes described in the Risk Management Group section below. In some cases, interest rate derivatives between Ambac and financial
guarantee customers are placed through a third party financial intermediary and similarly do not require collateral posting. |
• | The
Audit Committee oversees the management of risks associated with the integrity of Ambac’s financial statements and its compliance with legal and regulatory requirements. In addition, the Audit Committee discusses policies with respect to risk assessment and risk management, including major financial risk exposures and the steps management has taken to monitor and control such exposures. The Audit Committee reviews with management, internal auditors and independent auditors Ambac's critical accounting policies, Ambac's system of internal controls over financial reporting and the quality and appropriateness of disclosure and content in the financial statements and other external financial communications. |
• | The Compensation Committee oversees the
management of risk primarily associated with our ability to attract, motivate and retain quality talent (particularly executive talent) and with setting financial incentives that do not motivate undue risk-taking. |
• | The Governance and Nominating Committee oversees the management of risk primarily associated with Ambac’s ability to attract and retain quality directors, Ambac’s corporate governance programs and practices and our compliance therewith. Additionally, the Governance and Nominating Committee oversees the processes for evaluation of the performance of the Board of Directors and its committees each year and considers risk management effectiveness as part of its evaluation. The Governance and Nominating Committee also performs oversight
of the business ethics and compliance program, and reviews compliance with Ambac’s Code of Business Conduct. |
• | The Strategy Committee oversees the management of risk and risk appetite primarily with respect to strategic plans and initiatives. |
• | The Risk Committee's objective is to establish an interdisciplinary team of professionals from different parts of the Company to provide oversight of the key risk remediation issues impacting Ambac. The purview of the committee is to review and approve risk remediation activities for the financial guarantee insured portfolio. Additionally, the Risk Committee will provide oversight and review new risk remediation structures or approaches in connection with risk remediation plans or anticipated transactions. Members of the Risk Committee include the Chief
Executive Officer, Head of Risk Management, Chief Financial Officer and senior managers from throughout risk, corporate services, operations, investment management, legal and finance. |
• | The Asset Liability Management Committee's (“ALCO”) objective is to foster an enterprise wide culture and approach to liquidity management, asset management, asset valuation and hedging. Members of ALCO include the Chief Executive Officer, Chief Financial Officer and senior managers from investment management and the Risk Management Group. |
• | The
Disclosure Committee's objective is to assist the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of disclosure controls and procedures. Members of the Disclosure Committee include the Chief Executive Officer, Chief Financial Officer, Chief Accounting Officer, Head of Risk Management and senior managers from throughout finance, legal, risk and corporate services. |
2019 | 2018 | ||||||||||||
Investment Category ($ in millions) December 31, | Carrying Value
(2) | Weighted Average Yield (1) | Carrying Value (2) | Weighted Average Yield (1) | |||||||||
Municipal
obligations | $ | 215 | 5.4 | % | $ | 880 | 5.6 | % | |||||
Corporate securities | 1,430 | 4.6 | % | 1,278 | 5.6 | % | |||||||
Foreign
obligations | 44 | 0.8 | % | 31 | 1.1 | % | |||||||
U.S. government obligations | 156 | 2.0 | % | 94 | 1.9 | % | |||||||
Residential
mortgage-backed securities | 248 | 8.9 | % | 259 | 10.2 | % | |||||||
Asset-backed securities | 484 | 5.6 | % | 574 | 7.9 | % | |||||||
Total
long-term investments | 2,577 | 5.0 | % | 3,116 | 6.2 | % | |||||||
Short-term investments | 737 | 1.5 | % | 430 | 2.5 | % | |||||||
Other
investments (3) | 478 | — | % | 391 | — | % | |||||||
Total | $ | 3,792 | 4.2 | % | $ | 3,937 | 5.7 | % |
(1) | Yields
are stated on a pre-tax basis, based on average amortized cost for both long and short term fixed-income investments. |
(2) | Includes investments guaranteed by Ambac Assurance and Ambac UK. Refer to Note 10. 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. |
(3) | Other investments include interests in pooled investment funds that are either
classified as trading securities or are reported under the equity method and Ambac's interests in an unconsolidated trust created in connection with its sale of junior surplus notes on August 28, 2014. |
Page | ||
Risks Related to AFG Common
Shares | ||
Risks Related to Insured Portfolio Losses | ||
Risks Related to Indebtedness | ||
Risks Related to Capital, Liquidity and Markets | ||
Risks
Related to Financial and Credit Markets | ||
Risks Related to the Company's Business | ||
Risks Related to International Business | ||
Risks
Related to Taxation | ||
Risks Related to Strategic Plan |
• | adverse
developments in our financial condition or results of operations; |
• | changes in the actual or perceived risk within our insured portfolio, particularly with regards to concentrations of credit risk, such as in Puerto Rico; |
• | actual or perceived adverse developments with regards to Ambac Assurance's RMBS litigations; |
• | changes
to regulatory status; |
• | 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; |
• | the
impact or perceived impact of any acquisition, disposition or other strategic transaction, including entry into a new line of business, on the value or long-term prospects of the Company; and |
• | results and actions of other participants in our industry. |
• | increase our vulnerability to general
adverse economic, competitive and industry conditions; |
• | limit our ability to obtain additional financing in the future for working capital, capital expenditures, payment of policyholder claims, debt service requirements, acquisitions, general corporate purposes or other purposes on satisfactory terms or at all; |
• | require us to dedicate a substantial portion of our cash flow from operations to the payment of our indebtedness, thereby reducing the funds available to us for operations and to fund the execution of our key
strategies; |
• | limit or restrict us from making strategic acquisitions or cause us to make non-strategic divestitures; |
• | limit our ability or increase the costs to refinance indebtedness or repay such indebtedness due to ongoing interest accretion; |
• | limit our ability to attract and retain key
employees; and |
• | limit our ability to enter into hedging transactions by reducing the number of counterparties with whom we can enter into such transactions, as well as the volume of those transactions. |
• | 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 |
• | 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. |
Item 1B. | Unresolved Staff Comments — No matters require disclosure. |
Item 5. | Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |
October 2019 | November
2019 | December 2019 | Fourth Quarter 2019 | ||||||||||
Total Shares Purchased (1) | 1,259 | — | 857 | 2,116 | |||||||||
Average
Price Paid Per Share | $ | 19.14 | — | 20.97 | $ | 19.88 | |||||||
Total
Number of Shares Purchased as Part of Publicly Announced Plan (1) | — | — | — | — | |||||||||
Maximum Number of Shares That may
Yet be Purchased Under the Plan | — | — | — | — |
(1) | There
were no other repurchases of equity securities made during the three months ended December 31, 2019. AFG does not have a stock repurchase program. |
2014 | 2015 | 2016 | 2017 | 2018 | 2019 | |||||||
Ambac Financial
Group, Inc. | $100 | $58 | $92 | $65 | $70 | $88 | ||||||
Russell 2000 Index | $100 | $94 | $113 | $128 | $113 | $139 | ||||||
S&P
Completion Index | $100 | $95 | $109 | $127 | $113 | $143 |
Year
Ended December 31, | ||||||||||||||||||||
($ in millions, except per share data) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||
Total Comprehensive Income (Loss) Highlights: | ||||||||||||||||||||
Gross
premiums written | $ | (28 | ) | $ | (24 | ) | $ | (14 | ) | $ | (54 | ) | $ | (38 | ) | |||||
Net
premiums earned | 66 | 111 | 175 | 197 | 313 | |||||||||||||||
Net
investment income (2) | 227 | 273 | 361 | 313 | 266 | |||||||||||||||
Other
than temporary impairment losses | — | (3 | ) | (20 | ) | (22 | ) | (26 | ) | |||||||||||
Net
realized investment gains | 81 | 112 | 5 | 39 | 53 | |||||||||||||||
Net
gains (losses) on derivative contracts | (50 | ) | 7 | 76 | (30 | ) | (1 | ) | ||||||||||||
Net
realized (losses) gains on extinguishment of debt (2) | — | 3 | 5 | 5 | — | |||||||||||||||
Income
(loss) on Variable Interest Entities ("VIEs") | 38 | 3 | 20 | (14 | ) | 32 | ||||||||||||||
Other
income (3) | 134 | 5 | — | 18 | 7 | |||||||||||||||
Losses
and loss expenses (benefit) (1) (2) | 13 | (224 | ) | 513 | (11 | ) | (769 | ) | ||||||||||||
Operating
expenses (2) | 103 | 112 | 122 | 114 | 103 | |||||||||||||||
Interest
expense (2) | 269 | 242 | 120 | 124 | 117 | |||||||||||||||
Insurance
intangible amortization | 295 | 107 | 151 | 175 | 170 | |||||||||||||||
Goodwill
impairment | — | — | — | — | 515 | |||||||||||||||
Pre-tax
income (loss) | (183 | ) | 273 | (284 | ) | 105 | 510 | |||||||||||||
Net
income (loss) | (216 | ) | 267 | (329 | ) | 74 | 493 | |||||||||||||
Net
income (loss) attributable to Common Shareholders | (216 | ) | 186 | (329 | ) | 75 | 493 | |||||||||||||
Total
comprehensive income attributable to Ambac Financial Group, Inc. | (125 | ) | 192 | (335 | ) | 21 | 288 | |||||||||||||
Net
income (loss) per share: | ||||||||||||||||||||
Basic | $ | (4.69 | ) | $ | 4.07 | $ | (7.25 | ) | $ | 1.66 | $ | 10.92 | ||||||||
Diluted | $ | (4.69 | ) | $ | 3.99 | $ | (7.25 | ) | $ | 1.64 | $ | 10.72 |
(1) | Ambac
records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties within losses and loss expenses (benefit). The expense (benefit) associated with changes to our estimated recoveries for the years ended December 31, 2019, 2018, 2017, 2016 and 2015 were $42, $62, $72, $(71), and $(304), respectively. |
(2) | On
February 12, 2018, Ambac Assurance executed the Rehabilitation Exit Transactions (as defined in Note 1. Background and Business Description to the Consolidated Financial Statements included in Part II, Item 8 of this Annual Report on Form 10-K). These transactions directly resulted in: (i) a Loss and loss expense benefit of $288; (ii) operating expenses of $17 and (iii) realized gains on extinguishment of debt of $3. Additionally, changes to the investment portfolio and to the composition of long-term debt arising from the transactions significantly impacted net investment income and interest expense for 2018 compared to prior years. Refer to Results of Operations included in Item 7 of this Form 10-K for a further discussion of the Rehabilitation Exit Transactions and their impact on financial results in 2018. |
(3) | Other
income also includes proceeds received by Ambac Assurance in September 2019 in connection with an SEC action against Citigroup Global Markets Inc. in the amount of $142. Refer to Note 17. Commitments and Contingencies located in Part II Item 8 in this Form 10-K for further details on the SEC action. |
($
in millions) December 31 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||
Balance Sheet Highlights: | |||||||||||||||||||
Total
non-variable interest entity investments | $ | 3,792 | $ | 3,937 | $ | 5,741 | $ | 6,500 | $ | 5,645 | |||||||||
Cash
and cash equivalents | 24 | 63 | 624 | 91 | 36 | ||||||||||||||
Premium
receivable | 416 | 495 | 586 | 661 | 832 | ||||||||||||||
Insurance
intangible asset | 427 | 719 | 847 | 962 | 1,212 | ||||||||||||||
Subrogation
recoverable (1) | 2,029 | 1,933 | 631 | 685 | 1,229 | ||||||||||||||
Deferred
ceded premium | 82 | 61 | 52 | 70 | 97 | ||||||||||||||
Total
VIE assets | 6,286 | 7,093 | 14,501 | 13,368 | 14,288 | ||||||||||||||
Total
assets | 13,320 | 14,589 | 23,192 | 22,636 | 23,728 | ||||||||||||||
Unearned
premiums | 518 | 630 | 783 | 967 | 1,280 | ||||||||||||||
Loss
and loss expense reserves (1) | 1,548 | 1,826 | 4,745 | 4,381 | 4,088 | ||||||||||||||
Long-term
debt (2) | 2,822 | 2,929 | 992 | 1,114 | 1,125 | ||||||||||||||
Derivative
liabilities | 90 | 77 | 83 | 319 | 353 | ||||||||||||||
Total
VIE liabilities | 6,212 | 6,981 | 14,366 | 13,235 | 14,260 | ||||||||||||||
Total
liabilities | 11,783 | 12,956 | 21,547 | 20,658 | 21,770 | ||||||||||||||
Total
stockholders’ equity | 1,536 | 1,633 | 1,645 | 1,978 | 1,958 | ||||||||||||||
Total
liabilities and stockholders' equity | $ | 13,320 | $ | 14,589 | $ | 23,192 | $ | 22,636 | $ | 23,728 |
(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 ("R&W"). Ambac has recorded gross estimated R&W recoveries of $1,727, $1,771, $1,834, $1,907, and $2,830 at December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
(2) | Long-term
debt includes Ambac Assurance surplus notes and junior surplus notes, the Ambac Note and Tier 2 Notes issued in connection with the Rehabilitation Exit Transactions in 2018 and the Ambac UK debt issued in connection with the Ballantyne commutation in 2019. Long-term debt for all years excludes the portion of long-term debt associated with variable interest entities. |
• | The COFINA Plan of Adjustment ("POA"). On February 12, 2019, the POA, including certain related commutation transactions, and subsequent distributions, became effective, resulting in a reduction of Ambac Assurance's insured net
par exposure to COFINA by approximately 77% or $620 million. Subsequent redemptions of obligations of the COFINA Class 2 Trust (as further described in the Financial Guarantees in Force section included in Part II, Item 7 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019) brought COFINA net par outstanding down to $101 million as of December 31, 2019; |
• | An Irish scheme of arrangement (the "Arrangement") on June
17, 2019, for the restructuring of Ballantyne Re plc ("Ballantyne"). This restructuring allowed for the commutation of $900 million of Ambac UK's net par outstanding. See below under Financial Guarantees in Force for further details of the Arrangement; |
• | Purchasing quota share reinsurance in September 2019 to sculpt the risk profile of the insured portfolio. This included ceding certain public finance exposures totaling $1.2 billion of par exposure (principal and interest of $2.4 billion), which were comprised of lease and tax-backed revenue ($616 million par), general obligation ($374 million par), transportation ($240 million par) and higher education ($4 million par) exposures and included $509 million par of watch list and adversely
classified credits; |
• | Purchasing quota share reinsurance in December 2019 for $228 million of par exposure, including $153 million of watch list credits; |
• | Completing work in January 2019, with an issuer to refinance two watch list asset-backed lease securitizations with net par outstanding of $95 million at December 31, 2018; |
• | A
commutation in February 2019, via a refunding, of an adversely classified public finance transaction with net par outstanding of $350 million at December 31, 2018; |
• | Working with an issuer and noteholders to negotiate the removal of the guarantee from a tranche of notes on a Watch List credit in December 2019 with net par of $300 million outstanding at December 31, 2018; |
• | Working closely with servicers and owners of Master
Servicing Rights to exercise their clean-up call rights on several watch list and adversely classified RMBS transactions with total net par outstanding of $200 million at December 31, 2018; and |
• | The final paydown, refunding, or partial commutation of various watch list exposures and adversely classified exposures that were subject to risk remediation efforts with total net par outstanding at December 31, 2018 of $463 million. |
($
in billions) | 2019 | 2018 | Variance | |||||||||||
Total | $ | 38,018 | $ | 46,927 | $ | (8,909 | ) | (19 | )% | |||||
ACC | 7,535 | 10,871 | (3,336 | ) | (31 | )% | ||||||||
Watch
List | 6,752 | 9,036 | (2,284 | ) | (25 | )% |
($ in millions) | ||||
Cash and short-term investments | $ | 327 | ||
Other
investments (1) | 116 | |||
Other net assets (2) | 40 | |||
Total | $ | 483 |
(1) | Includes
surplus notes (fair value of $63) issued by Ambac Assurance that are eliminated in consolidation. |
(2) | Includes accruals for tolling payments from Ambac Assurance in accordance with the intercompany Tax Sharing Agreement of $28. |
($ in millions) | ||||
Net
income (1) | $ | 12 | ||
Changes in other comprehensive income(loss): | ||||
Gain (losses) on foreign currency translation | 26 | |||
Unrealized
gains (losses) on non-functional currency available-for-sale securities | (27 | ) | ||
Total changes in other comprehensive income (loss) | (1 | ) | ||
Impact on total comprehensive income (loss) | $ | 11 |
(1) | A
portion of Ambac UK's, and to a lesser extent Ambac Assurance's, assets and liabilities are denominated in currencies other than its functional currency and accordingly, we recognized net foreign currency transaction gains/(losses) as a result of changes to foreign currency rates through our Consolidated Statement of Total Comprehensive Income (Loss). Refer to 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 details on transaction gains and losses. |
2019 | 2018 | |||||||||||||||
($
in millions) December 31 | Gross Par Outstanding(1)(2) | Gross Loss and Loss Expense Reserves(1)(3)(4) | Gross Par Outstanding(1)(2) | Gross Loss and Loss Expense Reserves(1)(3)(4) | ||||||||||||
RMBS | $ | 3,027 | $ | (1,392 | ) | $ | 3,716 | $ | (1,313 | ) | ||||||
Domestic
Public Finance | 2,398 | 627 | 3,987 | 639 | ||||||||||||
Student Loans | 472 | 208 | 530 | 228 | ||||||||||||
Ambac
UK and Other Credits | 271 | 3 | 1,170 | 273 | ||||||||||||
Loss expenses | — | 73 | — | 66 | ||||||||||||
Totals | $ | 6,168 | $ | (482 | ) | $ | 9,403 | $ | (107 | ) |
(1) | Ceded
par outstanding on policies with loss reserves and ceded loss and loss expense reserves are $511 and $26 respectively, at December 31, 2019 and $540 and $23, respectively at December 31, 2018. Ceded loss and loss expense reserves are included in Reinsurance recoverable on paid and unpaid losses. |
(2) | Gross Par Outstanding includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. |
(3) | Loss
and Loss Expense reserves at December 31, 2019 of $(482) are included in the balance sheet in the following line items: Loss and loss expense reserves: $1,548 and Subrogation recoverable: $2,029. Loss and Loss Expense reserves at December 31, 2018 of $(107) are included in the balance sheet in the following line items: Loss and loss expense reserves: $1,826 and Subrogation recoverable: $1,933. |
(4) | Ambac
records as a component of its loss and loss expense reserves, estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties. Ambac has recorded gross estimated recoveries of $1,727 and $1,771 at December 31, 2019 and 2018, respectively. |
($ in millions) December 31, | 2019 | 2018 | |||||
Public
Finance (1)(2) | $ | 17,653 | $ | 23,442 | |||
Structured Finance | 7,508 | 9,947 | |||||
International
Finance | 12,857 | 13,538 | |||||
Total net par outstanding | $ | 38,018 | $ | 46,927 |
(1) | Includes $5,654 and $5,759 of Military Housing net par outstanding at December 31, 2019 and 2018, respectively. |
(2)
| Includes $1,123 and $1,880 of Puerto Rico net par outstanding at December 31, 2019 and 2018, respectively. Components of Puerto |
($ in millions) | Risk Name | Bond Type | Ambac Ratings
(1) | Net Par Outstanding (2) | % of Total Net Par Outstanding | ||||||||
IF | AUK | Mitchells & Butlers Finance plc-UK Pub Securitisation | UK-Asset Securitizations | A+ | $ | 1,017 | 2.7 | % | |||||
IF | AUK | Capital
Hospitals plc (3) | UK-Infrastructure | A- | 896 | 2.4 | % | ||||||
IF | AUK | Aspire Defence
Finance plc | UK-Infrastructure | BBB+ | 865 | 2.3 | % | ||||||
IF | AUK | Anglian Water | UK-Utility | A- | 819 | 2.2 | % | ||||||
PF | AAC | New
Jersey Transportation Trust Fund Authority - Transportation System | Lease and Tax-backed Revenue | A- | 778 | 2.0 | % | ||||||
IF | AUK | National
Grid Gas | UK-Utility | A- | 757 | 2.0 | % | ||||||
IF | AUK | Posillipo Finance II S.r.l | Italy-Sub-Sovereign | BIG | 710 | 1.9 | % | ||||||
IF | AUK | Ostregion
Investmentgesellschaft NR 1 SA (3) | Austria-Infrastructure | BIG | 674 | 1.8 | % | ||||||
IF | AUK | RMPA
Services plc | UK-Infrastructure | BBB+ | 575 | 1.5 | % | ||||||
PF | AAC | Mets Queens Baseball Stadium Project, NY, Lease Revenue | General
Obligation | BBB | 549 | 1.4 | % | ||||||
Total | $ | 7,640 | 20.1 | % | |||||||||
PF
= Public Finance, SF = Structured Finance, IF = International Finance AAC = Ambac Assurance, AUK = Ambac UK |
(1) | Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac. In cases where Ambac 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 credit ratings are subject to revision at any time and do not constitute investment advice. BIG denotes credits deemed below investment grade. |
(2) | Net
Par includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bonds. |
(3) | A portion of this transaction is insured by an insurance policy issued by Ambac Assurance. Ambac Assurance has issued policies for these transactions that will only pay in the event that Ambac UK does not pay under its insurance policies (“second to pay policies"). |
• | Ambac
insures approximately $5,654 million net par of privatized military housing debt. The debt was issued to finance the construction and/or renovation of housing units for military personnel and their families on domestic U.S. military bases. Debt service is not directly paid or guaranteed by the U.S. Government. Rather, the bonds are serviced from the cash flow generated in most cases by rental payments deposited by the military directly into lockbox accounts as part of each service personnel’s Basic Allowance for Housing (BAH). In a small number of cases rental payments also come from civilians, including retired service personnel, living on a particular base. Collateral for these transactions includes the BAH payments as well as an interest in the ground lease. Risk factors affecting these transactions include ongoing base essentiality, military deployments, the U.S. government’s commitment to fund the BAH, marketability/attractiveness of the on-base housing units versus
off-base housing, construction completion, environmental remediation, utility and other operating costs and housing management. Ambac's exposure to privatized military housing debt is a growing concentration given the long-dated maturity profile of the exposure relative to faster run-off of other parts of Ambac's insured portfolio. As of December 31, 2019, privatized military housing represented approximately 15% of net par outstanding. |
($
in millions) | Range of Maturity | Ambac Ratings (1) | Net Par Outstanding (2) | Net Par and Interest Outstanding (3)(8) | Ever-to-Date Net
Claims Paid(4) | |||||||||||
Exposures Subject to Priority Debt Provision (5) | ||||||||||||||||
PR
Highways and Transportation Authority (1968 Resolution - Highway Revenue) (6) | 2021-2027 | BIG | $ | 4 | $ | 10 | $ | 23 | ||||||||
PR
Highways and Transportation Authority (1998 Resolution - Senior Lien Transportation Revenue) (6) | 2020-2042 | BIG | 405 | 677 | 106 | |||||||||||
PR
Infrastructure Financing Authority (Special Tax Revenue) (7) | 2020-2044 | BIG | 404 | 903 | 172 | |||||||||||
PR
Convention Center District Authority (Hotel Occupancy Tax) | 2020-2031 | BIG | 100 | 146 | 49 | |||||||||||
Total | 913 | 1,736 | 350 | |||||||||||||
Exposures
Not Subject to Priority Debt Provision | ||||||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds | 2020-2023 | BIG | 25 | 27 | 41 | |||||||||||
PR
Public Buildings Authority - Guaranteed by the Commonwealth of Puerto Rico | 2020-2035 | BIG | 84 | 150 | 79 | |||||||||||
PR
Sales Tax Financing Corporation - Senior Sales Tax Revenue (COFINA) | 2047-2054 | BIG | 101 | 900 | 37 | |||||||||||
Total | 210 | 1,077 | 157 | |||||||||||||
Total
Net Exposure to The Commonwealth of Puerto Rico and Related Entities | $ | 1,123 | $ | 2,813 | $ | 507 |
(1) | Internal
credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac. In cases where Ambac 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 credit ratings are subject to revision at any time and do not constitute investment advice. BIG denotes credits deemed below investment grade. |
(2) | Net Par includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bonds. Accretion of the capital appreciation bonds would increase the related net par
by $220 at December 31, 2019. |
(3) | Net Par and Interest Outstanding ("P&I") represents the total insured future debt service remaining over the lifetime of the bonds. P&I for capital appreciation bonds does not represent the accreted amount as noted in footnote (2) but rather the amount due at respective maturity dates. |
(4) | In addition to ever-to-date net claims paid, Ambac made net claim payments of $23
in January 2020. |
(5) | Commonly known as "clawback," provision pursuant to Section 8 of Article VI of the Constitution of the Commonwealth of Puerto Rico. Under this provision, in the event Commonwealth available revenues and any surplus for any fiscal year are insufficient to meet the appropriations made for that year, interest on the public debt and amortization thereof shall first be paid and other disbursements, including debt service on the obligations subject to such provision as described above (to the extent payable from such revenues), shall thereafter be made in accordance with the order of priorities established by law. These exposures are also subject to Act No. 5-2017, as amended, also known as the Financial Emergency and
Fiscal Responsibility Act of 2017, which declares an emergency period that has been subsequently re-extended until June 30, 2020, from its prior December 31, 2019, deadline. Pursuant to Act 5-2017, all executive orders issued under Act No. 21-2016 (as amended, known as the Puerto Rico Emergency Moratorium and Financial Rehabilitation Act), shall continue in full force and effect until amended, rescinded or superseded. |
(6) | Certain Pledged Revenues for Highways and Transportation Revenue Bonds such as Toll Revenues and Investment Earnings are not subject to the Priority Debt Provision. |
(7) | 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. |
(8) | Net Par and Interest Outstanding excludes the effects of a 10% current interest rate on $60 net par of PR Public Building Authority ("PBA") bonds with a maturity date of July 1, 2035, resulting from the absence of a remarketing. Should a remarketing not occur before the maturity of the bonds, the Net Par |
• | the novation of the indemnity reinsurance agreement between Ballantyne and SLD dated November 19, 2008, (as amended) to SRLHA (the "Novation"); |
• | the
disbursement of the assets from Ballantyne's reinsurance trust account to effectuate the Novation and make payment to the holders of Scheme Notes in full and final satisfaction of their claims against Ballantyne; and |
• | the commutation of the obligations of Ambac UK in respect of the Ambac UK Guaranteed Notes. |
Net
Par Outstanding Amortization (1) ($ in millions) | Estimated Net Amortization | |||
2020 | $ | 3,092 | ||
2021 | 2,857 | |||
2022 | 2,750 | |||
2023 | 1,749 | |||
2024 | 2,107 | |||
2020-2024 | $ | 12,555 | ||
2025-2029 | 7,755 | |||
2030-2034 | 5,996 | |||
2035-2039 | 7,834 | |||
After
2039 | 3,878 | |||
Total | $ | 38,018 |
(1) | Depicts amortization of existing guaranteed portfolio, assuming no advance refundings, as of December 31,
2019. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay guaranteed obligations. |
Geographic Area ($ in millions) | Net Par Amount Outstanding | % of Total Net Par Amount Outstanding | ||||
Domestic: | ||||||
Mortgage
and asset-backed (1) | $ | 4,531 | 11.9 | % | ||
California | 2,556 | 6.7 | % | |||
Colorado | 2,396 | 6.3 | % | |||
New
York | 2,331 | 6.1 | % | |||
New Jersey | 1,487 | 3.9 | % | |||
Texas | 1,289 | 3.4 | % | |||
Puerto
Rico | 1,123 | 3.0 | % | |||
Pennsylvania | 916 | 2.4 | % | |||
Washington | 833 | 2.2 | % | |||
Florida | 754 | 2.0 | % | |||
Illinois | 709 | 1.9 | % | |||
Other
domestic | 6,236 | 16.4 | % | |||
Total Domestic | 25,161 | 66.2 | % | |||
International: | ||||||
United
Kingdom | 10,593 | 27.9 | % | |||
Italy | 767 | 2.0 | % | |||
Austria | 674 | 1.8 | % | |||
Australia | 382 | 1.0 | % | |||
France | 303 | 0.8 | % | |||
Other
international (2) | 138 | 0.4 | % | |||
Total International Finance | 12,857 | 33.8 | % | |||
Total | $ | 38,018 | 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) | Other international may include components of U.S. exposure. |
Currency ($
in millions) | Net Par Amount Outstanding in Base Currency | Net Par Amount Outstanding in U.S. Dollars | Percentage of Net Par Amount Outstanding | |||||||
U.S.
Dollars | $ | 25,559 | $ | 25,559 | 67.2 | % | ||||
British Pounds | £ | 7,813 | 10,344 | 27.2 | % | |||||
Euros | € | 1,545 | 1,733 | 4.6 | % | |||||
Australian
Dollars | A$ | 545 | 382 | 1.0 | % | |||||
Total | $ | 38,018 | 100.0 | % |
(1) | Internal credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac. In cases where Ambac 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 credit ratings are subject to revision at any time and do not constitute investment advice. BIG denotes credits deemed below investment grade. |
Net Par Outstanding - December 31, | |||||||
Bond Type ($ in millions) | 2019 | 2018 | |||||
Public
Finance: | |||||||
Lease and tax-backed (1) | $ | 1,109 | $ | 2,025 | |||
General obligation (1) | 525 | 434 | |||||
Housing
(2) | 311 | 314 | |||||
Transportation | 27 | 378 | |||||
Health care | — | 25 | |||||
Other | 42 | 146 | |||||
Total
Public Finance | 2,014 | 3,322 | |||||
Structured Finance: | |||||||
RMBS | 3,362 | 4,205 | |||||
Structured
Insurance | — | 900 | |||||
Student loans | 620 | 714 | |||||
Other | 33 | 53 | |||||
Total
Structured Finance | 4,015 | 5,872 | |||||
International Finance: | |||||||
Other | 1,455 | 924 | |||||
Total
International Finance | 1,455 | 924 | |||||
Total | $ | 7,484 | $ | 10,118 |
(1) | Lease
and tax-backed includes $1,014 and $1,735 of Puerto Rico net par at December 31, 2019 and 2018, respectively. General obligation includes $109 and $145 of Puerto Rico net par at December 31, 2019 and 2018, respectively. Puerto Rico net par outstanding includes capital appreciation bonds which are reported at the par amount at the time of issuance of the related insurance policy as opposed to the current accreted value of the bonds. |
(2) |
Bond
Type ($ in millions) | Ceded Par Amount Outstanding | % of Gross Par Ceded | ||||
Public Finance: | ||||||
General obligation | $ | 1,571 | 34 | % | ||
Lease
and tax-backed revenue | 1,422 | 22 | % | |||
Housing revenue | 945 | 14 | % | |||
Transportation revenue | 564 | 40 | % | |||
Utility
revenue | 249 | 25 | % | |||
Higher education | 182 | 17 | % | |||
Other | 102 | 14 | % | |||
Total
Public Finance | 5,035 | 22 | % | |||
Structured Finance: | ||||||
Student loan | 281 | 27 | % | |||
Investor-owned
utilities | 225 | 12 | % | |||
Structured insurance | 147 | 27 | % | |||
Asset-backed and other | 106 | 49 | % | |||
Mortgage-backed
and home equity | 49 | 1 | % | |||
Total Structured Finance | 808 | 10 | % | |||
Total Domestic | 5,843 | 19 | % | |||
International
Finance: | ||||||
Investor-owned and public utilities | 24 | 1 | % | |||
Transportation | 22 | 1 | % | |||
Asset-backed | 1 | — | % | |||
Total
International Finance | 47 | — | % | |||
Total | $ | 5,890 | 13 | % |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Revenues: | |||||||||||
Net
premiums earned | $ | 66 | $ | 111 | $ | 175 | |||||
Net investment income | 227 | 273 | 361 | ||||||||
Net
other-than-temporary impairment losses | — | (3 | ) | (20 | ) | ||||||
Net realized investment gains (losses) | 81 | 112 | 5 | ||||||||
Net
gains (losses) on derivative contracts | (50 | ) | 7 | 76 | |||||||
Other income (expense) (2) | 134 | 8 | 5 | ||||||||
Income
(loss) on variable interest entities | 38 | 3 | 20 | ||||||||
Expenses: | |||||||||||
Losses
and loss expenses (benefit) | 13 | (224 | ) | 513 | |||||||
Insurance intangible amortization | 295 | 107 | 151 | ||||||||
Operating
expenses | 103 | 112 | 122 | ||||||||
Interest expense | 269 | 242 | 120 | ||||||||
Provision
for income taxes | 32 | 5 | 44 | ||||||||
Net income (loss) | (216 | ) | 267 | (329 | ) | ||||||
Less:
exchange of auction market preferred shares (1) | — | 82 | — | ||||||||
Net income (loss) attributable to common stockholders | $ | (216 | ) | $ | 186 | $ | (329 | ) |
(1) | In
connection with the AMPS Exchange, the difference between the fair value of consideration provided to AMPS holders and the carrying amount of the AMPS has been reflected as a reduction to Net income attributable to common stockholders in 2018 for approximately $82. Refer to Note 1. Background and Business Description for a discussion of the AMPS Exchange. |
(2) | 2019 includes proceeds received in connection with an SEC action against Citigroup Global Markets Inc. in the amount of $142 million. 2018 and 2017 include net realized gains on extinguishment of debt. |
• | The runoff of the insured portfolio occurring through transaction terminations, calls and scheduled maturities, which reduce normal net premiums earned. |
• | Pre-refundings
of insured securities, primarily Public Finance transactions. Since the maturity date of pre-refunded securities is shortened (to a specified call date from its previous legal maturity), normal net premiums earned will increase over the remaining period of the related policy. |
• | New ceded reinsurance of insurance risk which reduces normal net premiums earned over the remaining period of the related policies. |
• | Changes to allowance for uncollectible premiums on premium receivable asset. |
• | The
strengthening or weakening of the U.S. dollar relative to the British Pound since Ambac's wholly-owned UK subsidiary, Ambac UK, operates in the United Kingdom and the British Pound is its functional currency. |
($
in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Public finance | $ | 27 | $ | 37 | $ | 62 | |||||
Structured
finance | 10 | 17 | 22 | ||||||||
International finance | 19 | 23 | 27 | ||||||||
Total
net normal premiums earned | $ | 56 | $ | 77 | $ | 111 | |||||
Public Finance | $ | 25 | $ | 29 | $ | 47 | |||||
Structured
Finance | (7 | ) | 5 | 3 | |||||||
International Finance | (8 | ) | 1 | 15 | |||||||
Total
net accelerated earnings | $ | 10 | $ | 35 | $ | 65 | |||||
Total net premiums earned | $ | 66 | $ | 111 | $ | 175 |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Securities available-for-sale: Ambac-insured (including Secured Notes) | $ | 121 | $ | 220 | $ | 262 | |||||
Securities
available-for-sale and short-term other than Ambac-insured | 75 | 51 | 76 | ||||||||
Other investments (includes trading securities) | 32 | 2 | 23 | ||||||||
Net
investment income | $ | 227 | $ | 273 | $ | 361 |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Net
gains on securities sold or called | $ | 59 | $ | 105 | $ | 10 | |||||
Foreign exchange gains (losses) | 22 | 7 | (5 | ) | |||||||
Total
net realized gains | $ | 81 | $ | 112 | $ | 5 |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Net
gains (losses) on interest rate derivatives | $ | (51 | ) | $ | 7 | $ | 60 | ||||
Net gains (losses) on credit derivatives | 2 | (1 | ) | 16 | |||||||
Total
net gains (losses) | $ | (50 | ) | $ | 7 | $ | 76 |
• | Income
on variable interest entities for the year ended December 31, 2019, was driven by the impact of a VIE created in connection with the restructuring of Puerto Rico COFINA debt. Under the restructuring, Ambac-insured COFINA bonds that were not commuted were deposited into a newly formed trust called the COFINA Class 2 Trust ("COFINA Trust"), which Ambac has determined must be consolidated. Refer to Part II, Item 7, “Management's Discussion and Analysis — Financial Guarantees in Force" in this report on Form 10-K for further discussion of the COFINA Debt Restructuring. Income from COFINA Trust for the the year ended December 31, 2019, was $26 million, including
$15 million from consolidation and $13 million from realized investment gains on sales of assets from the trust used for early redemptions of debt, partially offset by net interest expense and fees. Income for the year ended December 31, 2019, also included a gain on the fair value of net assets of a VIE arising from an increase in projected cash flows on the VIE's assets related to higher financial guarantee insurance premiums. Results for 2019 also included a loss of $2 million from deconsolidation of a VIE. |
• | Income
on variable interest entities for the year ended December 31, 2018, included gains of $2 million on deconsolidation of VIEs as a result of financial guarantee policy terminations and discount accretion on remaining VIE net assets. |
($
in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
RMBS (1) | $ | (93 | ) | $ | (8 | ) | $ | (41 | ) | ||
Domestic
Public Finance | 250 | 37 | 476 | ||||||||
Student Loans | (17 | ) | (4 | ) | 25 | ||||||
Ambac
UK and Other Credits | (127 | ) | 19 | (125 | ) | ||||||
Interest on Deferred Amounts | — | 21 | 178 | ||||||||
Discount
on Rehabilitation Exit Transaction | — | (288 | ) | — | |||||||
Totals (2) | $ | 13 | $ | (224 | ) | $ | 513 |
(1) | The
loss and loss expense (benefit) associated with changes in estimated representation and warranties for the year ended December 31, 2019 and 2018 was $42 and $62, respectively. |
(2) | Includes loss expenses incurred of $78 and $92 for the year ended December 31, 2019 and 2018, respectively. |
• | Higher projected losses in domestic public finance driven mostly by lower discount rates and additions to Puerto Rico loss reserves, partially offset by; |
• | Favorable development within Ambac UK and Other Credits primarily due to the Ballantyne commutation; |
• | Favorable
RMBS development as a result of credit improvement, the impact on excess spread from declines in interest rates and a trustee settlement related to Lehman sponsored transactions, partially offset by RMBS R&W litigation loss expenses incurred and a reduction to estimated RMBS R&W subrogation recoveries. |
• | Discount achieved pursuant to the Rehabilitation Exit Transactions, partially offset by interest on Deferred Amounts through the Rehabilitation Exit Transactions effective date; |
• | Higher
projected losses in domestic public finance largely driven by Military Housing loss expenses incurred and adverse development on a certain general obligation and transportation risks; |
• | Favorable RMBS credit development, which was more than offset by a decrease in RMBS R&W subrogation recoveries and loss expenses incurred; |
• | $15 million of foreign exchange losses related to Ambac UK loss reserves denominated in currencies other than its functional currency of British Pounds, resulting in incurred losses (gains) when
the British Pound depreciates (appreciates). |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Compensation | $ | 58 | $ | 55 | $ | 54 | |||||
Non-compensation | 44 | 56 | 68 | ||||||||
Gross
operating expenses | 103 | 111 | 122 | ||||||||
Reinsurance commissions, net | — | 1 | — | ||||||||
Total
operating expenses | $ | 103 | $ | 112 | $ | 122 |
• | Lower non-compensation costs primarily due to reduced advisory costs of $15 million, of which $5 million relates to |
• | Higher compensation costs related to higher incentive compensation driven by (i) improvements in performance metrics, mostly related to Ambac UK incentive compensation and (ii) higher severance and post employment costs related to staff right-sizing. |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Surplus
notes (1) | $ | 99 | $ | 80 | $ | 113 | |||||
Ambac note | 143 | 139 | — | ||||||||
Tier
2 notes | 26 | 22 | 2 | ||||||||
Other | — | 1 | 4 | ||||||||
Total
interest expense | $ | 269 | $ | 242 | $ | 120 |
(1) | Includes
junior surplus notes. |
• | The increase in interest expense for the year ended December 31, 2019, compared to 2018 primarily reflects the higher average balance of surplus notes outstanding in 2019 and compounding of interest on surplus notes. Although the amount of surplus notes outstanding decreased in connection with the Rehabilitation Exit Transactions, the amount outstanding increased in the third quarter of 2018 due to surplus notes issued by Ambac Assurance in connection with the AMPS Exchange (as defined in Note 1. Background and Business Description to the Consolidated Financial Statements included
in Part II, Item 8 in this Form 10-K) and resales of notes by Ambac to the market. |
• | Increased interest expense on the floating rate Ambac note was driven by higher reset rates in 2019 and the impact of the notes being outstanding for the full year, partially offset by optional redemptions and full amortization of deferred debt issuance costs through interest expense in 2018. |
• | Interest expense increased on the Tier 2 notes due primarily to interest
compounding. The increase in interest expense also reflects the impact of applying the level yield method on surplus notes and Tier 2 notes as the discount to the face value of the long-term debt accretes over time. |
• | Pursuant to the amended and restated tax sharing agreement among AFG, Ambac Assurance
and certain affiliates (the "Amended TSA"), Ambac Assurance is required to make payments ("tolling payments") to AFG with respect to the utilization of net operating loss carry-forwards (“NOLs”). AFG has accrued $28 million of tolling payments based on NOLs used by Ambac Assurance in 2017. In May 2018, AFG executed a waiver under the intercompany tax sharing agreement pursuant to which Ambac Assurance was relieved of the requirement to make this payment by June 1, 2018. AFG also agreed to defer the tolling payment for the use of net operating losses by Ambac Assurance in 2017 until such time as OCI consents to the payment. |
• | Under an inter-company cost allocation agreement, AFG is reimbursed by Ambac Assurance for a portion of certain operating costs and expenses and, if approved by OCI, entitled to an additional payment of up to $4 million per year to cover expenses not otherwise reimbursed. AFG has not accrued any receivable related to this payment as of December 31, 2019. |
Payments
Due by Period | |||||||||||||||||||
($ in millions) | Total | Less Than 1 Year | 1 - 3 Years | 3 - 5 Years | More Than 5 Years | ||||||||||||||
Surplus note obligations(1) | $ | 3,841 | $ | 851 | $ | — | $ | — | $ | 2,990 | |||||||||
Ambac
note obligations(2) | 2,144 | 122 | 245 | 1,777 | — | ||||||||||||||
Tier
2 note obligations(3) | 5,394 | — | — | — | 5,394 | ||||||||||||||
Ambac
UK debt obligations(4) | 41 | — | — | — | 41 | ||||||||||||||
Operating
lease obligations(5) | 46 | 4 | 9 | 9 | 24 | ||||||||||||||
Purchase
obligations(6) | 9 | 8 | — | — | — | ||||||||||||||
Postretirement
benefits(7) | 5 | — | 1 | 1 | 3 | ||||||||||||||
Loss
and loss expenses(8) | 2,434 | 159 | 139 | 172 | 1,964 | ||||||||||||||
Income
taxes | — | — | — | — | — | ||||||||||||||
Total | $ | 13,914 | $ | 1,144 | $ | 394 | $ | 1,959 | $ | 10,416 |
(1) | Amounts
on surplus notes (excluding junior surplus notes) include principal on their scheduled maturity date and interest on scheduled payment dates, including payment of previously deferred interest totaling $279 million on the next scheduled payment date of June 7, 2020. Also includes all principal and interest on junior surplus notes on the date all future and existing senior indebtedness of Ambac Assurance, policy and other priority claims against Ambac Assurance have been paid in full (included in the more than 5 years column). All payments of principal and interest on surplus notes are subject to the prior approval of the OCI. Since the issuance of the surplus notes in 2010, OCI has declined to approve regular payments of interest on surplus notes annually from 2011 through 2019, although the OCI has permitted exceptional payments in connection with
(a) increasing the percentage of deferred policy payments of the Segregated Account from 25% to 45% in 2014 and (b) a one-time payment of approximately six months of interest on the surplus notes outstanding immediately after the Rehabilitation Exit Transactions in 2018. Ambac Assurance may not receive approval from OCI to make payments as and when scheduled, including the payment of the surplus notes on their scheduled maturity date of June 7, 2020. If the OCI does not approve the making of any payment of principal of or interest on surplus notes on the scheduled payment date or scheduled maturity date thereof, the scheduled payment date or scheduled maturity date, as the case may be, shall be extended until OCI grants approval to make the payment. Interest will accrue, compounded on each anniversary of the original scheduled payment date or scheduled |
(2) | Includes principal on Ambac Note as of December 31, 2019 to be paid on its legal maturity date of February 12, 2023, and scheduled interest payments. Interest amounts on this variable rate debt are projected at a rate of 6.95% which is based on the index rate in effect at the balance sheet date. These notes are subject to mandatory redemption provisions that could significantly accelerate the timing of required payments, as described further in Note 13. Long-Term Debt
to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K. |
(3) | Includes principal and compounded paid-in-kind interest on Tier 2 notes to be paid on their legal maturity date of February 12, 2055. These notes are subject to mandatory redemption provisions that could significantly accelerate the timing of required payments, as described further in Note 13. Long-Term Debt to the Consolidated Financial Statements included in Part II, Item 8 in this Form 10-K. |
(4) | Includes
principal on the zero coupon note payable on its legal maturity date of May 2, 2036. |
(5) | Amount represents future lease payments on lease agreements existing as of December 31, 2019. Includes fixed costs, such as base rent, and estimated variable costs, such as real estate taxes and electricity. |
(6) | Purchase obligations represent future expenditures for contractually scheduled fixed terms and amounts due for various technology-related maintenance agreements and other outside services. |
(7) | Amount represents future payments relating to Ambac Assurance's postretirement medical reimbursements to current retirees over the next 10 years. |
(8) | 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. 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. |
($
in million) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Cash provided by (used in): | |||||||||||
Operating
activities | $ | (311 | ) | $ | (1,543 | ) | $ | (221 | ) | ||
Investing activities | 1,000 | 1,588 | 1,163 | ||||||||
Financing
activities | (691 | ) | (585 | ) | (412 | ) | |||||
Effect of foreign exchange on cash and cash equivalents | — | — | (1 | ) | |||||||
Net
cash flow | $ | (2 | ) | $ | (541 | ) | $ | 529 |
• | During the year ended December 31, 2019, Ambac Assurance received $142 million in connection with an SEC settlement with Citigroup Global Markets Inc. |
• | During the year ended December 31, 2019,
Ambac made interest payments on the Ambac Note of $143 million. During |
• | Cash outflow in 2018 from the Rehabilitation Exit Transactions to third parties was $1,354 million of which $1,162 million is included in operating activities and $191 million is included in financing activities as it related to payments for surplus note principal; |
• | Net
loss and loss expenses paid, including commutation payments are detailed below: |
($ in million) Year Ended | 2019 | 2018 | 2017 | ||||||||
Net
losses paid (1) | $ | 416 | $ | 344 | $ | 311 | |||||
Net subrogation received | (168 | ) | (140 | ) | (244 | ) | |||||
Net
loss expenses paid | 70 | 117 | 67 | ||||||||
Net cash flow | $ | 318 | $ | 321 | $ | 134 |
(1) | Net
losses paid include commutation payments of $214, $87 and $21 for the years ended December 31, 2019, 2018 and 2017, respectively. |
(2) | For the year ended December 31, 2019, subrogation received includes $36 of settlement proceeds related to Lehman sponsored RMBS transactions and $23 related to the COFINA Plan of Adjustment. |
• | During
the year ended December 31, 2019 and 2018 tax payments, primarily at Ambac UK, amounted to $21 million and $35 million, respectively. |
($ in millions) | 2019 | 2018 | |||||
Fixed
income securities | $ | 2,577 | $ | 3,116 | |||
Short-term | 653 | 430 | |||||
Other
investments | 478 | 391 | |||||
Fixed income securities pledged as collateral | 85 | — | |||||
Total investments (1) | $ | 3,792 | $ | 3,937 |
(1) | Includes
investments denominated in non-US dollar currencies with a fair value of £257 ($341) and €2 ($2) as of December 31, 2019 and £204 ($259) and €14 ($16) as of December 31, 2018. |
($
in millions) | 2019 | 2018 | |||||
Other asset-backed securities | |||||||
Military Housing | $ | 237 | $ | 241 | |||
Structured
Insurance | — | 145 | |||||
Student Loans | 32 | 32 | |||||
Auto | — | 20 | |||||
Credit
Cards | 18 | 5 | |||||
Total other asset-backed securities | $ | 287 | $ | 442 |
(1) | Includes
investments guaranteed by Ambac Assurance and Ambac UK. Refer to Note 10. Investments in this 10-K located in Part II. Item 8 for further details of Ambac-insured securities held in the investment portfolio. |
(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 represented 33% and 57% of the 2019 and 2018 combined investment portfolios, respectively. The decrease in the percentage of below investment grade and increase in the percentage of AAA-rated holdings since December 31, 2018, was driven by the COFINA restructuring where below investment grade Ambac-insured bonds were exchanged for new COFINA non-rated bonds and cash, with a majority of the new non-rated bonds being sold prior to December 31, 2019. Cash proceeds from the restructuring and bond sales throughout the year were invested
in, amongst other things, AAA-rated short-term investments, commercial mortgage-backed securities and collateralized debt obligations at December 31, 2019. |
Currency (Amounts
in millions) | Premium Receivable in Payment Currency | Premium Receivable in U.S. dollars | ||||||
U.S. Dollars | $ | 261 | $ | 261 | ||||
British
Pounds | £ | 97 | 129 | |||||
Euros | € | 23 | 26 | |||||
Total | $ | 416 |
Present
Value of Expected Net Cash Flows | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves | |||||||||||||
($ in millions) Balance Sheet Line Item | Claims and Loss Expenses | Recoveries (1) | |||||||||||||
Loss and loss expense reserves | $ | 1,835 | $ | (233 | ) | $ | (54 | ) | $ | 1,548 | |||||
Subrogation
recoverable | 131 | (2,160 | ) | — | (2,029 | ) | |||||||||
Totals | $ | 1,966 | $ | (2,394 | ) | $ | (54 | ) | $ | (482 | ) | ||||
Loss and loss expense reserves | $ | 2,246 | $ | (313 | ) | $ | (107 | ) | $ | 1,826 | |||||
Subrogation
recoverable | 176 | (2,109 | ) | — | (1,933 | ) | |||||||||
Totals | $ | 2,422 | $ | (2,422 | ) | $ | (107 | ) | $ | (107 | ) |
(1) | Present
value of future recoveries include R&W subrogation recoveries of $1,727 and $1,771 at December 31, 2019 and 2018, respectively. |
Present
Value of Expected Net Cash Flows | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves (1)(3) | |||||||||||||||||
($ in millions) | Gross Par Outstanding (1)(2) | Claims and Loss Expenses | Recoveries | ||||||||||||||||
RMBS | $ | 3,027 | $ | 634 | $ | (2,013 | ) | $ | (13 | ) | $ | (1,392 | ) | ||||||
Domestic
Public Finance | 2,398 | 1,007 | (344 | ) | (36 | ) | 627 | ||||||||||||
Student
Loans | 472 | 248 | (36 | ) | (4 | ) | 208 | ||||||||||||
Ambac
UK and Other Credits | 271 | 4 | — | (1 | ) | 3 | |||||||||||||
Loss
expenses | — | 73 | — | — | 73 | ||||||||||||||
Totals | $ | 6,168 | $ | 1,966 | $ | (2,394 | ) | $ | (54 | ) | $ | (482 | ) | ||||||
RMBS | $ | 3,716 | $ | 696 | $ | (1,995 | ) | $ | (14 | ) | $ | (1,313 | ) | ||||||
Domestic
Public Finance | 3,987 | 1,095 | (383 | ) | (73 | ) | 639 | ||||||||||||
Student
Loans | 530 | 271 | (39 | ) | (4 | ) | 228 | ||||||||||||
Ambac
UK and Other Credits | 1,170 | 294 | (5 | ) | (16 | ) | 273 | ||||||||||||
Loss
expenses | — | 66 | — | — | 66 | ||||||||||||||
Totals | $ | 9,403 | $ | 2,422 | $ | (2,422 | ) | $ | (107 | ) | $ | (107 | ) |
(1) | Ceded
par outstanding on policies with loss reserves and ceded loss and loss expense reserves are $511 and $26 respectively, at December 31, 2019 and $540 and $23, respectively at December 31, 2018. Ceded loss and loss expense reserves are included in Reinsurance recoverable on paid and unpaid losses. |
(2) | Gross
Par Outstanding includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. |
(3) | Loss reserves are included in the balance sheet as Loss and loss expense reserves or Subrogation recoverable dependent on if a policy is in a net liability or net recoverable position. |
($
in millions) Issuer Type | 2019 | 2018 | |||||||||||||
Gross Par Outstanding (1) | Gross Loss Reserves | Gross Par Outstanding (1) | Gross Loss Reserves | ||||||||||||
Lease
and tax-backed | $ | 1,075 | $ | 561 | $ | 2,062 | $ | 528 | |||||||
General
obligation | 681 | (16 | ) | 904 | 24 | ||||||||||
Housing | 457 | 29 | 445 | 26 | |||||||||||
Transportation
revenue | 88 | 42 | 471 | 49 | |||||||||||
Other | 97 | 11 | 105 | 12 | |||||||||||
Total | $ | 2,398 | $ | 627 | $ | 3,987 | $ | 639 |
(1) | Gross
Par Outstanding includes capital appreciation bonds, which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. |
($ in millions) | ||||||||
Surplus notes | $ | 769 | $ | 737 | ||||
Ambac
note | 1,763 | 1,940 | ||||||
Tier 2 notes | 278 | 252 | ||||||
Ambac
UK debt | 13 | — | ||||||
Total Long-term Debt | $ | 2,822 | $ | 2,929 |
• | Removals:
1) Amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, 2) Policy for timing of transfers between levels, and 3) Valuation processes for Level 3 fair value measurements. |
• | Modifications: 1) For investments in certain entities that calculate net asset value, disclosures are only required for the timing of liquidation of an investee's assets and the date when restrictions from redemption might lapse, only if the investee has communicated the timing to the reporting entity or publicly announced it and 2) Clarification that the measurement uncertainty disclosure is to communicate information about the uncertainty in measurement as of the reporting date and not possible future changes. |
• | Additions:
1) Changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and 2) Range and weighted average of |
• | For financial assets measured at amortized cost, the ASU replaces the "incurred loss" model, which generally delayed recognition of the full amount of credit losses until the loss was probable of occurring, with an "expected loss" model, which reflects an entity's current estimate of all expected lifetime credit losses. Expected lifetime credit losses for amortized cost assets will be recorded as a valuation allowance, with subsequent increases or decreases in the allowance reflected in net income each period. |
• | For
available-for-sale debt securities, credit losses under the ASU will be measured similarly to current GAAP. However, under the ASU, credit losses for available-for-sale debt securities will be recorded as a valuation allowance (similar to the amortized cost assets approach described above), rather than as a direct write-down of the security as is required under current GAAP. As a result, improvements to estimated credit losses for available-for-sale debt securities will be recognized immediately in net income rather than as interest income over time. |
• | Statutory net loss of $225 million for the year ended December 31, 2019, primarily due to loss and loss expenses from net adverse development on the insured portfolio, operating expenses and impairment charges on loans to subsidiaries, partially offset by net investment gains and premiums earned; |
• | Contributions to contingency reserves of
$35 million; partially offset by |
• | Surplus benefits for (i) Ambac Assurance's receipt in September 2019, in connection with an SEC action against Citibank Global Markets Inc., of $142 million, (ii) the recognition of a previous deferred gain from the 2015 sale of Ballantyne bonds to Ambac UK of $28 million and (iii) an increase of $17 million in the fair value of investment securities that are recorded at the lower of amortized cost or fair value. |
• | Loss reserves are only established for losses on guaranteed obligations that have experienced a payment default 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). Under GAAP, in addition to the establishment of loss reserves for defaulted obligations, |
• | 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 fixed income investments 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. |
• | Variable interest entities ("VIE") 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 Assurance 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. |
• | Insurance intangibles that arose as a result of the implementation of Fresh Start reporting is not a concept within SAP. This insurance
intangible asset is amortized as an expense on a level yield basis over the life of the related insurance risks. |
• | 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 5.23%) 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. |
• | 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, also subject to an other-than-temporary impairment evaluation. |
• | 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, investments in 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 |
• | Upfront
premiums written are earned on a basis proportionate to the remaining scheduled debt service to the 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. |
• | Insurance intangibles that arose as a result of the implementation of Fresh Start reporting is not a concept within UK GAAP. Under U.S. GAAP, this insurance intangible asset is
amortized as an expense on a level yield basis over the life of the related insurance risks. |
• | Non-credit impairment fair value (gain) loss on credit derivatives: 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 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 to result in an economic gain or loss. These adjustments allow for all financial guarantee contracts
to be accounted for consistent with the Financial Services – Insurance Topic of ASC, whether or not they are subject to derivative accounting rules. |
• | Insurance intangible amortization: Elimination of the amortization of the financial guarantee insurance intangible asset that arose as a result of the implementation of Fresh Start reporting. These adjustments ensure that all financial guarantee contracts are accounted for consistent with the provisions of the Financial Services – Insurance Topic of the ASC. |
• | Foreign
exchange (gains) losses: Elimination of the foreign exchange gains (losses) on the re-measurement of assets, liabilities and transactions in non-functional currencies. This adjustment eliminates the foreign exchange gains (losses) on all assets, liabilities and transactions in non-functional currencies, which enables users of our financial statements to better view the business results without the impact of fluctuations in foreign currency exchange rates and facilitates period-to-period comparisons of Ambac's operating performance. |
• | Fair value (gain) loss on interest rate derivative from Ambac CVA: Elimination of the gains (losses) relating to Ambac’s CVA on interest
rate derivative contracts. Similar to credit derivatives, fair values include the market’s perception of |
2019 | 2018 | 2017 | |||||||||||||||||||||
($
in millions, except per share data) Year Ended December 31, | $ Amount | Per Diluted Share | $ Amount | Per Diluted Share | $ Amount | Per Diluted Share | |||||||||||||||||
Net
income (loss) attributable to common stockholders | $ | (216 | ) | $ | (4.69 | ) | $ | 186 | $ | 3.99 | $ | (329 | ) | $ | (7.25 | ) | |||||||
Adjustments: | |||||||||||||||||||||||
Non-credit
impairment fair value (gain) loss on credit derivatives | (1 | ) | (0.03 | ) | 1 | 0.02 | (11 | ) | (0.24 | ) | |||||||||||||
Insurance
intangible amortization | 295 | 6.43 | 107 | 2.30 | 151 | 3.33 | |||||||||||||||||
Foreign
exchange (gains) losses | (12 | ) | (0.26 | ) | 7 | 0.15 | (21 | ) | (0.47 | ) | |||||||||||||
Fair
value (gain) loss on interest rate derivatives from Ambac CVA | — | — | — | — | 45 | 0.99 | |||||||||||||||||
Adjusted
Earnings (Loss) | $ | 66 | $ | 1.44 | $ | 301 | $ | 6.47 | $ | (165 | ) | $ | (3.64 | ) |
• | Non-credit impairment fair value losses on credit derivatives: 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 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
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. |
• | Insurance intangible asset: Elimination of the financial guarantee insurance intangible asset that arose as a result of Ambac’s emergence from bankruptcy and the implementation of Fresh Start reporting. This adjustment ensures that all financial guarantee contracts are accounted for within Adjusted Book Value consistent
with the provisions of the Financial Services—Insurance Topic of the ASC. |
• | Ambac CVA on interest rate derivative liabilities: Elimination of the gain relating to Ambac’s CVA on interest rate derivative contracts. 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. |
• | Net
unearned premiums and fees in excess of expected losses: Addition of the value of the unearned premium revenue ("UPR") on financial guarantee contracts, in excess of expected losses, net of reinsurance. This non-GAAP adjustment presents the economics of UPR and expected losses for financial guarantee contracts on a consistent basis. In accordance with GAAP, stockholders’ equity reflects a reduction for expected losses only to the extent they exceed UPR. However, when expected losses are less than UPR for a financial guarantee contract, neither expected losses nor UPR have an impact on stockholders’ equity. This non-GAAP adjustment adds UPR in excess of expected losses,
net of reinsurance, to stockholders’ equity for financial guarantee contracts where expected losses are less than UPR. |
• | Net unrealized investment (gains) losses in Accumulated Other Comprehensive Income: 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 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. |
2019 | 2018 | ||||||||||||||
($ in millions, except per share data) December 31, | $
Amount | Per Share | $ Amount | Per Share | |||||||||||
Total Ambac Financial Group, Inc. stockholders’ equity | $ | 1,477 | $ | 32.41 | $ | 1,592 | $ | 35.12 | |||||||
Adjustments: | |||||||||||||||
Non-credit
impairment fair value losses on credit derivatives | — | 0.01 | 1 | 0.03 | |||||||||||
Insurance intangible asset | (427 | ) | (9.37 | ) | (719 | ) | (15.87 | ) | |||||||
Net
unearned premiums and fees in excess of expected losses | 414 | 9.09 | 462 | 10.19 | |||||||||||
Net unrealized investment (gains) losses in Accumulated Other
Comprehensive Income (Loss) | (151 | ) | (3.31 | ) | (86 | ) | (1.89 | ) | |||||||
Adjusted Book Value | $ | 1,313 | $ | 28.83 | $ | 1,251 | $ | 27.58 |
Item 7A. | Quantitative and Qualitative Disclosures about Market Risk |
($ in millions) | Estimated Change in Net Fair Value | Estimated Net Fair Value | ||||||
300 Basis Point Rise | $ | 30 | $ | (380 | ) | |||
200
Basis Point Rise | 17 | (393 | ) | |||||
100 Basis Point Rise | 7 | (403 | ) | |||||
Base
Scenario | — | (410 | ) | |||||
100 Basis Point Decline(1) | (2 | ) | (412 | ) | ||||
200
Basis Point Decline(1) | 15 | (395 | ) |
(1) | Incorporates an interest rate floor of 0% |
($ in millions) | Estimated Change in Net Fair Value | Estimated Net Fair Value | ||||||
250 Basis Point Widening | $ | (20 | ) | $ | (35 | ) | ||
50
Basis Point Widening | (4 | ) | (19 | ) | ||||
Base Scenario | — | (15 | ) | |||||
50
basis Point Narrowing | 4 | (11 | ) | |||||
250 basis Point Narrowing | 13 | (2 | ) |
($ in millions) | Estimated Change
in Net Fair Value | Estimated Net Fair Value | ||||||
250 Basis Point Widening | $ | (155 | ) | $ | 2,189 | |||
50 Basis Point Widening | (31 | ) | 2,313 | |||||
Base
Scenario | — | 2,344 | ||||||
50 Basis Point Narrowing | 30 | 2,374 | ||||||
250
Basis Point Narrowing | 71 | 2,415 |
($ in millions) | Estimated change in fair value | |||
Change in Foreign Exchange Rates Against U.S. Dollar | ||||
20% Decrease | $ | (72 | ) | |
10%
Decrease | (36 | ) | ||
10% Increase | 36 | |||
20% Increase | 72 |
Consolidated Financial Statements | ||||||
Notes to Consolidated Financial Statements | ||||||
Note 1. Background and Business Description | Note
10. Investments | |||||
Note 2. Basis of Presentation and Significant Accounting Policies | Note 11. Derivative Instruments | |||||
Note
3. Variable Interest Entities | Note 12. Loans | |||||
Note 4. Comprehensive Income | Note
13. Long-term Debt | |||||
Note 5. Net Income Per Share | Note 14. Income Taxes | |||||
Note 6. Financial Guarantees in Force | Note
15. Employment Benefit Plans | |||||
Note 7. Financial Guarantee Insurance Contracts | Note 16. Leases | |||||
Note
8. Insurance Regulatory Restrictions | Note 17. Commitments and Contingencies | |||||
Note 9. Fair Value Measurements | Note
18. Quarterly Information (Unaudited) |
• | Evaluating the loss and loss expense reserves and subrogation recoverable methodologies for compliance
with U.S. generally accepted accounting principles; |
• | Evaluating, in certain instances, the key inputs and assumptions used in the calculation of loss reserves by comparing to internal experience and related historical and industry trends; and |
• | Developing, in certain instances, an independent expectation of the loss reserves and comparing it to the recorded estimate. |
(Dollars in millions, except share data) December 31, | 2019 | 2018 | |||||
Assets: | |||||||
Investments: | |||||||
Fixed
income securities, at fair value (amortized cost of $2,450 and $3,020) | $ | i 2,577 | $ | i 3,116 | |||
Short-term
investments, at fair value (amortized cost of $653 and $430) | i 653 | i 430 | |||||
Short-term
investments pledged as collateral, at fair value (amortized cost of $85 and $0) | i 85 | i — | |||||
Other
investments (includes $432 and $351 at fair value) | i 478 | i 391 | |||||
Total
investments | i 3,792 | i 3,937 | |||||
Cash
and cash equivalents | i 24 | i 63 | |||||
Restricted
cash | i 55 | i 19 | |||||
Premium
receivables | i 416 | i 495 | |||||
Reinsurance
recoverable on paid and unpaid losses | i 26 | i 23 | |||||
Deferred
ceded premium | i 82 | i 61 | |||||
Subrogation
recoverable | i 2,029 | i 1,933 | |||||
Derivative
assets | i 75 | i 59 | |||||
Current
taxes | i 11 | i 47 | |||||
Insurance
intangible asset | i 427 | i 719 | |||||
Other
assets | i 95 | i 138 | |||||
Variable
interest entity assets: | |||||||
Fixed income securities, at fair value | i 3,121 | i 2,737 | |||||
Restricted
cash | i 2 | i 1 | |||||
Loans,
at fair value | i 3,108 | i 4,288 | |||||
Derivative
assets | i 52 | i 66 | |||||
Other
assets | i 3 | i 1 | |||||
Total
assets | $ | i 13,320 | $ | i 14,589 | |||
Liabilities
and Stockholders’ Equity: | |||||||
Liabilities: | |||||||
Unearned premiums | $ | i 518 | $ | i 630 | |||
Loss
and loss expense reserves | i 1,548 | i 1,826 | |||||
Ceded
premiums payable | i 29 | i 33 | |||||
Deferred
taxes | i 32 | i 40 | |||||
Long-term
debt | i 2,822 | i 2,929 | |||||
Accrued
interest payable | i 441 | i 376 | |||||
Derivative
liabilities | i 90 | i 77 | |||||
Other
liabilities | i 93 | i 64 | |||||
Variable
interest entity liabilities: | |||||||
Accrued interest payable | i 1 | i 1 | |||||
Long-term
debt (includes $4,351 and $5,269 at fair value) | i 4,554 | i 5,269 | |||||
Derivative
liabilities | i 1,657 | i 1,712 | |||||
Total
liabilities | i 11,783 | i 12,956 | |||||
Commitments
and contingencies (See Note 17) | |||||||
Stockholders’ equity: | |||||||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none | i — | i — | |||||
Common
stock, par value $0.01 per share; 130,000,000 shares authorized; issued shares: 45,571,743 and 45,365,170 | i — | i — | |||||
Additional
paid-in capital | i 232 | i 219 | |||||
Accumulated
other comprehensive income (loss) | i 42 | ( i 49 | ) | ||||
Retained
earnings | i 1,203 | i 1,421 | |||||
Treasury
stock, shares at cost: 16,343 and 28,892 | i — | i — | |||||
Total
Ambac Financial Group, Inc. stockholders’ equity | i 1,477 | i 1,592 | |||||
Noncontrolling
interest | i 60 | i 41 | |||||
Total
stockholders’ equity | i 1,536 | i 1,633 | |||||
Total
liabilities and stockholders’ equity | $ | i 13,320 | $ | i 14,589 |
(Dollars
in millions, except share data) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Revenues: | |||||||||||
Net
premiums earned | $ | i 66 | $ | i 111 | $ | i 175 | |||||
Net
investment income: | |||||||||||
Securities available-for-sale and short-term | i 196 | i 271 | i 338 | ||||||||
Other
investments | i 32 | i 2 | i 23 | ||||||||
Net
investment income | i 227 | i 273 | i 361 | ||||||||
Other-than-temporary
impairment losses: | |||||||||||
Total other-than-temporary impairment losses | i — | ( i 3 | ) | ( i 55 | ) | ||||||
Portion
of other-than-temporary impairment recognized in other comprehensive income (loss) | i — | i — | i 34 | ||||||||
Net
other-than-temporary impairment losses recognized in earnings | i — | ( i 3 | ) | ( i 20 | ) | ||||||
Net
realized investment gains (losses) | i 81 | i 112 | i 5 | ||||||||
Net
gains (losses) on derivative contracts | ( i 50 | ) | i 7 | i 76 | |||||||
Net
realized gains (losses) on extinguishment of debt | i — | i 3 | i 5 | ||||||||
Other
income | i 134 | i 5 | i — | ||||||||
Income
(loss) on variable interest entities | i 38 | i 3 | i 20 | ||||||||
Total
revenues | i 496 | i 511 | i 622 | ||||||||
Expenses: | |||||||||||
Losses
and loss expenses (benefit) | i 13 | ( i 224 | ) | i 513 | |||||||
Insurance
intangible amortization | i 295 | i 107 | i 151 | ||||||||
Operating
expenses | i 103 | i 112 | i 122 | ||||||||
Interest
expense | i 269 | i 242 | i 120 | ||||||||
Total
expenses | i 680 | i 238 | i 906 | ||||||||
Pre-tax
income (loss) | ( i 183 | ) | i 273 | ( i 284 | ) | ||||||
Provision
for income taxes | i 32 | i 5 | i 44 | ||||||||
Net
income (loss) | ( i 216 | ) | i 267 | ( i 329 | ) | ||||||
Less:
loss on exchange of auction market preferred shares | i — | i 82 | i — | ||||||||
Net
income (loss) attributable to common stockholders | $ | ( i 216 | ) | $ | i 186 | $ | ( i 329 | ) | |||
Other
comprehensive income (loss), after tax: | |||||||||||
Net income (loss) | $ | ( i 216 | ) | $ | i 267 | $ | ( i 329 | ) | |||
Unrealized
gains (losses) on securities, net of income tax provision (benefit) of $(8), $2 and $0 | i 65 | i 55 | ( i 82 | ) | |||||||
Gains
(losses) on foreign currency translation, net of income tax provision (benefit) of $0, $0 and $0 | i 26 | ( i 48 | ) | i 74 | |||||||
Credit
risk changes of fair value option liabilities, net of income tax provision (benefit) of $0, $0 and $0 | i — | i 1 | i — | ||||||||
Changes
to postretirement benefit, net of income tax provision (benefit) of $0, $0 and $0 | ( i 1 | ) | ( i 2 | ) | i 1 | ||||||
Total
other comprehensive income (loss), net of income tax | i 91 | i 6 | ( i 7 | ) | |||||||
Total
comprehensive income (loss) | ( i 125 | ) | i 274 | ( i 335 | ) | ||||||
Less:
loss on exchange of auction market preferred shares | i — | i 82 | i — | ||||||||
Total
comprehensive income (loss) attributable to common stockholders | $ | ( i 125 | ) | $ | i 192 | $ | ( i 335 | ) | |||
Net
income (loss) per share attributable to common stockholders: | |||||||||||
Basic | $ | ( i 4.69 | ) | $ | i 4.07 | $ | ( i 7.25 | ) | |||
Diluted | $ | ( i 4.69 | ) | $ | i 3.99 | $ | ( i 7.25 | ) | |||
Weighted
average number of common shares outstanding: | |||||||||||
Basic | i 45,954,908 | i 45,665,883 | i 45,367,932 | ||||||||
Diluted | i 45,954,908 | i 46,559,835 | i 45,367,932 |
Ambac
Financial Group, Inc. | |||||||||||||||||||||||||||||||
(Dollars in millions) | Total | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Preferred Stock | Common Stock | Additional
Paid-in Capital | Common Stock Held in Treasury, at Cost | Noncontrolling Interest | |||||||||||||||||||||||
Balance at January 1, 2019 | $ | i 1,633 | $ | i 1,421 | $ | ( i 49 | ) | $ | i — | $ | i — | $ | i 219 | $ | i — | $ | i 41 | ||||||||||||||
Total
comprehensive income (loss) | ( i 125 | ) | ( i 216 | ) | i 91 | i — | i — | i — | i — | i — | |||||||||||||||||||||
Stock-based
compensation | i 12 | i — | i — | i — | i — | i 12 | i — | i — | |||||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 3 | ) | ( i 3 | ) | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Re-issuance
of Ambac Assurance auction market preferred shares | i 19 | i — | i — | i — | i — | i — | i — | i 19 | |||||||||||||||||||||||
Balance
at December 31, 2019 | $ | i 1,536 | $ | i 1,203 | $ | i 42 | $ | i — | $ | i — | $ | i 232 | $ | i — | $ | i 60 | |||||||||||||||
Balance
at January 1, 2018 | $ | i 1,645 | $ | i 1,234 | $ | ( i 52 | ) | $ | i — | $ | i — | $ | i 200 | $ | i — | $ | i 264 | ||||||||||||||
Total
comprehensive income (loss) | i 274 | i 267 | i 6 | i — | i — | i — | i — | i — | |||||||||||||||||||||||
Adjustment
to initially apply ASU 2016-01 | i — | i 3 | ( i 3 | ) | i — | i — | i — | i — | i — | ||||||||||||||||||||||
Stock-based
compensation | i 12 | i — | i — | i — | i — | i 12 | i — | i — | |||||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 1 | ) | ( i 1 | ) | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Exchange
of auction market preferred shares | ( i 297 | ) | ( i 82 | ) | i — | i — | i — | i 8 | i — | ( i 223 | ) | ||||||||||||||||||||
Balance
at December 31, 2018 | $ | i 1,633 | $ | i 1,421 | $ | ( i 49 | ) | $ | i — | $ | i — | $ | i 219 | $ | i — | $ | i 41 | ||||||||||||||
Balance
at January 1, 2017 | $ | i 1,978 | $ | i 1,558 | $ | ( i 39 | ) | $ | i — | $ | i — | $ | i 195 | $ | i — | $ | i 264 | ||||||||||||||
Total
comprehensive income (loss) | ( i 335 | ) | ( i 329 | ) | ( i 7 | ) | i — | i — | i — | i — | i — | ||||||||||||||||||||
Adjustment
to initially apply ASU 2018-02 | i — | i 7 | ( i 7 | ) | — | — | — | — | — | ||||||||||||||||||||||
Stock-based
compensation | i 4 | — | — | — | — | i 4 | — | — | |||||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 2 | ) | ( i 2 | ) | — | — | — | — | i — | i — | |||||||||||||||||||||
Balance
at December 31, 2017 | $ | i 1,645 | $ | i 1,234 | $ | ( i 52 | ) | $ | i — | $ | i — | $ | i 200 | $ | i — | $ | i 264 |
(Dollars
in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Cash flows from operating activities: | |||||||||||
Net
income (loss) attributable to common stockholders | $ | ( i 216 | ) | $ | i 186 | $ | ( i 329 | ) | |||
Exchange
for auction market preferred shares | i — | i 82 | — | ||||||||
Net
income (loss) | ( i 216 | ) | i 267 | ( i 329 | ) | ||||||
Adjustments
to reconcile net income to net cash used in operating activities: | |||||||||||
Depreciation and amortization | i — | i 1 | i 1 | ||||||||
Amortization
of bond premium and discount | ( i 63 | ) | ( i 137 | ) | ( i 183 | ) | |||||
Share-based
compensation | i 12 | i 12 | i 4 | ||||||||
Deferred
income taxes | i 1 | i 7 | i 32 | ||||||||
Current
income taxes | i 35 | ( i 35 | ) | ( i 26 | ) | ||||||
Unearned
premiums, net | ( i 132 | ) | ( i 163 | ) | ( i 168 | ) | |||||
Losses
and loss expenses, net | ( i 364 | ) | ( i 1,633 | ) | i 400 | ||||||
Ceded
premiums payable | ( i 4 | ) | ( i 5 | ) | ( i 5 | ) | |||||
Premium
receivables | i 77 | i 91 | i 77 | ||||||||
Accrued
interest payable | i 87 | i 9 | i 50 | ||||||||
Amortization
of insurance intangible assets | i 295 | i 107 | i 151 | ||||||||
Net
mark-to-market (gains) losses | ( i 1 | ) | i 1 | ( i 15 | ) | ||||||
Net
realized investment gains | ( i 81 | ) | ( i 112 | ) | ( i 5 | ) | |||||
Other-than-temporary
impairment charges | i — | i 3 | i 20 | ||||||||
(Gain)
loss on extinguishment of debt | i — | ( i 3 | ) | ( i 5 | ) | ||||||
Variable
interest entity activities | ( i 38 | ) | ( i 3 | ) | ( i 20 | ) | |||||
Derivative
assets and liabilities | ( i 1 | ) | ( i 17 | ) | ( i 223 | ) | |||||
Other,
net | i 80 | i 67 | i 22 | ||||||||
Net
cash used in operating activities | ( i 311 | ) | ( i 1,543 | ) | ( i 221 | ) | |||||
Cash
flows from investing activities: | |||||||||||
Proceeds from sales of bonds | i 1,212 | i 1,248 | i 2,139 | ||||||||
Proceeds
from matured bonds | i 379 | i 432 | i 814 | ||||||||
Purchases
of bonds | ( i 959 | ) | ( i 528 | ) | ( i 2,054 | ) | |||||
Proceeds
from sales of other invested assets | i 81 | i 159 | i 350 | ||||||||
Purchases
of other invested assets | ( i 137 | ) | ( i 140 | ) | ( i 299 | ) | |||||
Change
in short-term investments | ( i 218 | ) | i 127 | ( i 127 | ) | ||||||
Change
in cash collateral receivable | i 100 | ( i 58 | ) | i 123 | |||||||
Proceeds
from paydowns of consolidated VIE assets | i 543 | i 349 | i 235 | ||||||||
Other,
net | ( i 2 | ) | i — | ( i 17 | ) | ||||||
Net
cash provided by investing activities | i 1,000 | i 1,588 | i 1,163 | ||||||||
Cash
flows from financing activities: | |||||||||||
Net proceeds from issuance of Tier 2 notes | — | i 240 | — | ||||||||
Proceeds
from issuance of Ambac UK debt | i 12 | — | — | ||||||||
Proceeds
from issuance of surplus notes | i — | i 24 | — | ||||||||
Paydowns
of Ambac note | ( i 178 | ) | ( i 214 | ) | — | ||||||
Paydowns
of a secured borrowing | i — | ( i 74 | ) | ( i 29 | ) | ||||||
Payments
for investment agreement draws | — | — | ( i 82 | ) | |||||||
Payments
for extinguishment of surplus notes | i — | ( i 191 | ) | ( i 69 | ) | ||||||
Payments
for debt issuance costs | — | ( i 9 | ) | — | |||||||
Issuance
of auction market preferred shares of Ambac Assurance | i 19 | — | — | ||||||||
Payments
for auction market preferred shares | i — | ( i 11 | ) | — | |||||||
Tax
payments related to shares withheld for share-based compensation plans | ( i 3 | ) | ( i 1 | ) | ( i 1 | ) | |||||
Payments
of consolidated VIE liabilities | ( i 542 | ) | ( i 349 | ) | ( i 230 | ) | |||||
Net
cash used in financing activities | ( i 691 | ) | ( i 585 | ) | ( i 412 | ) | |||||
Effect
of foreign exchange on cash and cash equivalents | i — | i — | ( i 1 | ) | |||||||
Net
cash flow | ( i 2 | ) | ( i 541 | ) | i 529 | ||||||
Cash,
cash equivalents, and restricted cash at beginning of period | i 83 | i 625 | i 96 | ||||||||
Cash,
cash equivalents, and restricted cash at end of period | $ | i 81 | $ | i 83 | $ | i 625 |
• | Active runoff of Ambac Assurance and its subsidiaries
through transaction terminations, policy commutations, reinsurance, settlements and restructurings, with a focus on our watch list credits and known and potential future adversely classified credits, that we believe will improve our risk profile, and maximizing the risk-adjusted return on invested assets; |
• | Ongoing rationalization of Ambac's capital and liability structures; |
• | Loss recovery through active litigation management and exercise of contractual and legal rights; |
• | Ongoing review and adjustments focused on improving the effectiveness and efficiency of Ambac's operating
platform; and |
• | Evaluation of opportunities in certain business sectors that meet acceptable criteria that will generate long-term stockholder value with attractive risk-adjusted returns. |
• | Satisfaction
and discharge of all outstanding Deferred Amounts (including accretion) of the Segregated Account, totaling $ i 3,857; |
• | Cancellation of $ i 552
in principal amount outstanding, plus accrued and unpaid interest of $ i 257 thereon, of Ambac Assurance's i 5.1%
surplus notes due 2020 (the "General Account Surplus Notes"); and |
• | An effective discount of i 6.5% on Deferred Amounts (applied first against accretion) and on the outstanding amount of principal and accrued and unpaid interest on tendered General Account Surplus Notes. |
1) | Repurchased
i 84.4% or i 22,296 AMPS with an aggregate liquidation preference of $ i 557,
including $ i 35 in aggregate liquidation preference in the AFG Purchase; |
2) | Captured a nominal discount of approximately $ i 227
(a discount of approximately $ i 253 on a fair market value basis) on $ i 557
of the total outstanding liquidation preference of AMPS; and |
3) | Issued,
in aggregate, $ i 213 in current principal amount of General Account Surplus Notes with accrued interest thereon on Settlement Date of $ i 98,
issued i 824,307 warrants and paid $ i 11 in cash. |
• | Loans not held by consolidated VIEs are reported at their outstanding principal balance less unamortized discount and are reported within Other assets on the Consolidated Balance Sheet. Interest income is earned using the effective interest method based upon interest accrued on the unpaid principal balance adjusted for accretion of discounts. A loan is considered impaired when, based on the financial condition of the borrower, it is probable that Ambac will be unable to collect all principal and interest due according to the contractual terms of the loan agreement. |
• | Loans
held by VIEs consolidated as required under the Consolidation Topic of the ASC are carried at fair value under the fair value option election with changes in fair value recorded in Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). Such loans are reported as Loans, at fair value within the Variable interest entity assets section of the Consolidated Balance Sheet. |
• | Ambac maintains a portfolio consisting primarily of interest rate swaps and futures contracts
to economically hedge interest rate risk in the financial guarantee and investment portfolios. This portfolio also includes legacy interest rate swaps with asset-backed securitization issuers, states, municipalities and their authorities which were written in connection with their financings. Changes in fair value of these interest rate derivatives are recorded, along with changes in fair value of Ambac's remaining credit derivatives, within Net gains (losses) on derivative contracts on the Consolidated Statements of Total Comprehensive Income (Loss). |
• | VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts
to meet specified purposes within their securitization structure. Changes in fair value of consolidated VIE derivatives are included within Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). |
• | Net claim cash outflow policies represent contracts
where the PV of expected cash outflows are greater than the PV of expected recovery cash inflows. For such policies, a “Loss and loss expense reserves” liability is recorded for the excess of the PV of expected net claim cash outflows over the unearned premium revenue. |
• | Net recovery cash inflow policies represent contracts where the PV of expected recovery cash inflows are greater than the PV of expected claim cash outflows. For such policies, a “Subrogation recoverable” asset is recorded. |
• | Survey
List - credits that may lack information or demonstrate a weakness but further deterioration is not expected. |
• | Watch List - credits that demonstrate the potential for future material adverse development due to such factors as long-term uncertainty about a particular sector, a certain structural element or concern related to the issuer or transaction or the overall financial and economic sustainability. |
• | Deferred stock units granted vest upon grant and will settle and convert to Ambac common stock annually over a two-year period ( i 50%
on the first anniversary of the grant date and i 50% on the second anniversary of the grant date). The fair value of these grants is recognized as compensation expense on the date of grant since no future service is required. |
• | Restricted
stock units granted only require future service and accordingly the respective fair value is recognized as compensation expense over the relevant service period. |
• | Performance stock units granted require both future service and achieving specified performance targets to vest and accordingly compensation costs are only recognized when the achievement of the performance conditions are considered probable. Once deemed probable, such compensation costs are recognized as compensation expense over the relevant service period. Compensation costs are initially based on the probable outcome of the performance conditions and adjusted for subsequent changes in the estimated or actual outcome each reporting period as necessary. Changes in the estimated
or actual outcome of a performance condition are recognized by reflecting a retrospective adjustment to compensation cost in the current period. |
Year
Ended December 31, | 2019 | 2018 | 2017 | |||||||||
Cash paid during the period for: | ||||||||||||
Income
taxes | $ | i 21 | $ | i 35 | $ | i 40 | ||||||
Interest
on long-term debt and investment agreements | i 143 | i 232 | i 39 | |||||||||
Non-cash
financing activities: | ||||||||||||
Increase in long-term debt in exchange for AMPS | — | i 187 | — | |||||||||
Decrease
in long-term debt as a result of an exchange for investment securities | — | — | i 55 | |||||||||
Rehabilitation
exit transaction discharge of all Deferred Amounts and cancellation of certain General Account Surplus Notes | — | i 1,919 | — | |||||||||
2019 | 2018 | 2017 | ||||||||||
Reconciliation of cash, cash equivalents, and restricted cash reported within the Consolidated Balance Sheets to the Consolidated Statements of Cash Flow: | ||||||||||||
Cash
and cash equivalents | $ | i 24 | $ | i 63 | $ | i 624 | ||||||
Restricted
cash | i 55 | i 19 | — | |||||||||
Variable
Interest Entity Restricted cash | i 2 | i 1 | i 1 | |||||||||
Total
cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows | i 81 | i 83 | i 625 |
• | Ambac provides financial guarantees, including credit derivative contracts, for various debt obligations issued by special purpose entities, including VIEs ("FG VIEs"); |
• | Ambac
sponsors special purpose entities that issued notes to investors for various purposes; and |
• | Ambac is an investor in collateralized debt obligations, mortgage-backed and other asset-backed securities issued by VIEs and its ownership interest is generally insignificant to the VIE and/or Ambac does not have rights that direct the activities that are most significant to such VIE. |
• | We
determined that Ambac’s subsidiaries generally have the obligation to absorb a FG VIE's expected losses given that they have issued financial guarantees supporting certain liabilities (and in some cases certain assets). As further described below, Ambac consolidates certain FG VIEs in cases where we also have the power to direct the activities that most significantly impact the VIE’s economic performance due to one or more of the following: (i) the transaction experiencing deterioration and breaching performance triggers, giving Ambac the ability to exercise certain control rights, (ii) Ambac being involved in the design of the VIE and receiving control rights from its inception, or (iii) the transaction not experiencing deterioration, however due to the passive nature of the VIE, Ambac's contingent control rights upon a future breach of performance triggers is considered to
be the power over the most significant activity. |
• | A VIE is deconsolidated in the period that Ambac no longer has such control rights, which could occur in connection with the execution of remediation activities on the transaction or amortization of insured exposure, either of which may reduce the degree of Ambac’s control over a VIE. |
• | Assets and liabilities of FG VIEs that are consolidated are reported within Variable interest entity assets or Variable interest entity liabilities on the Consolidated Balance Sheets.
|
• | The election to use the fair value option is made on an instrument by instrument basis. Ambac has elected the fair value option for consolidated FG VIE financial assets and financial liabilities, except in cases where Ambac was involved in the design of the VIE and was granted control rights at its inception. |
◦ | When the fair value option is elected, changes in the fair value of the FG VIE's financial assets and liabilities are reported within Income (loss) on variable interest entities in the Consolidated Statements
of Total Comprehensive Income (Loss), except for the portion of the total change in fair value of financial liabilities caused by changes in the instrument-specific credit risk which is presented separately in Other comprehensive income (loss). |
◦ | In cases where the fair value option has not been elected, the FG VIE's invested assets are fixed income securities and are considered available-for-sale as defined by the Investments - Debt Securities Topic of the ASC. These assets are reported in the financial statements at fair value with unrealized gains and losses reflected in Accumulated |
• | Upon initial consolidation of a FG VIE, Ambac recognizes a gain or loss in earnings for the difference between: (i) the fair value of the consideration paid, the fair value of any non-controlling interests and the reported amount of any previously held interests and (ii) the
net amount, as measured on a fair value basis, of the assets and liabilities consolidated. Upon deconsolidation of a FG VIE, Ambac recognizes a gain or loss for the difference between: (i) the fair value of any consideration received, the fair value of any retained non-controlling investment in the VIE and the carrying amount of any non-controlling interest in the VIE and (ii) the carrying amount of the VIE’s assets and liabilities. Gains or losses from consolidation and deconsolidation that are reported in earnings are reported within Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). |
• | The impact of consolidating such FG VIEs on Ambac’s balance sheet is the elimination of transactions
between the consolidated FG VIEs and Ambac’s operating subsidiaries and the inclusion of the FG VIE’s third party assets and liabilities. For a financial guarantee insurance policy issued to a consolidated VIE, Ambac does not reflect the financial guarantee insurance policy in accordance with the related insurance accounting rules under the Financial Services – Insurance Topic of the ASC. Consequently, upon consolidation, Ambac eliminates the insurance assets and liabilities associated with the policy from the Consolidated Balance Sheets. Such insurance assets and liabilities may include premium receivables, reinsurance recoverable, deferred ceded premium, subrogation recoverable, unearned premiums, loss and loss expense reserves, ceded premiums payable and insurance intangible assets. For investment securities owned by Ambac that are debt instruments issued by the VIE, the investment
securities balance is eliminated upon consolidation. |
2019 | 2018 | |||||||||||||||||||||||
ASSETS: | Ambac
UK | Ambac Assurance | Total VIEs | Ambac UK | Ambac Assurance | Total VIEs | ||||||||||||||||||
Fixed income securities, at fair value: | ||||||||||||||||||||||||
Corporate
obligations, fair value option | $ | i 2,957 | $ | i — | $ | i 2,957 | $ | i 2,737 | $ | i — | $ | i 2,737 | ||||||||||||
Municipal
obligations, available-for-sale (1) | i — | i 164 | i 164 | i — | i — | i — | ||||||||||||||||||
Total
FG VIE fixed income securities, at fair value | i 2,957 | i 164 | i 3,121 | i 2,737 | i — | i 2,737 | ||||||||||||||||||
Restricted
cash | i 1 | i 1 | i 2 | i 1 | i — | i 1 | ||||||||||||||||||
Loans,
at fair value (2) | i 3,108 | i — | i 3,108 | i 4,288 | i — | i 4,288 | ||||||||||||||||||
Derivative
assets | i 52 | i — | i 52 | i 66 | i — | i 66 | ||||||||||||||||||
Other
assets | i 1 | i 2 | i 3 | i 1 | i — | i 1 | ||||||||||||||||||
Total
FG VIE assets | $ | i 6,119 | $ | i 167 | $ | i 6,286 | $ | i 7,093 | $ | i — | $ | i 7,093 | ||||||||||||
LIABILITIES: | ||||||||||||||||||||||||
Accrued
interest payable | $ | i 1 | $ | i — | $ | i 1 | $ | i 1 | $ | i — | $ | i 1 | ||||||||||||
Long-term
debt: | ||||||||||||||||||||||||
Long-term debt, at fair value (3) | i 4,351 | i — | i 4,351 | i 5,269 | i — | i 5,269 | ||||||||||||||||||
Long-term
debt, at par less unamortized discount | i — | i 203 | i 203 | i — | i — | i — | ||||||||||||||||||
Total
long-term debt | i 4,351 | i 203 | i 4,554 | i 5,269 | i — | i 5,269 | ||||||||||||||||||
Derivative
liabilities | i 1,657 | i — | i 1,657 | i 1,712 | i — | i 1,712 | ||||||||||||||||||
Total
FG VIE liabilities | $ | i 6,009 | $ | i 203 | $ | i 6,212 | $ | i 6,981 | $ | i — | $ | i 6,981 | ||||||||||||
Number
of FG VIEs consolidated | i 6 | i 1 | i 7 | i 7 | i — | i 7 |
(1) | Available-for-sale
securities consist of municipal obligations with an amortized cost basis of $ i 139 and aggregate gross unrealized gains and (losses) of $ i 25
at December 31, 2019. All such securities had contractual maturities due after ten years as of December 31, 2019. |
(2) | The unpaid principal balances of loan assets carried at fair value were $ i 2,618
as of December 31, 2019 and $ i 3,418 as of December 31, 2018. |
(3) | The
unpaid principal balances of long-term debt carried at fair value were $ i 3,800 as of December 31, 2019 and $ i 4,553
as of December 31, 2018. |
Year
ended December 31, | 2019 | 2018 | 2017 | |||||||||
Net change in fair value of VIE assets and liabilities reported under the fair value option | $ | i 13 | $ | i 3 | $ | i 20 | ||||||
Less: Credit
risk changes of fair value option long-term debt reported through other comprehensive income (loss) | i — | ( i 1 | ) | i — | ||||||||
Net
change in fair value of VIE assets and liabilities reported in earnings | i 14 | i 2 | i 20 | |||||||||
Investment
income on available-for-sale securities | i 10 | i — | i — | |||||||||
Net
realized investment gains (losses) on available-for-sale securities | i 13 | i — | i — | |||||||||
Interest
expense on long-term debt carried at par less unamortized cost | ( i 11 | ) | i — | i — | ||||||||
Other
expenses | ( i 1 | ) | i — | i — | ||||||||
Gain
(loss) from consolidating FG VIEs | i 15 | i — | i — | |||||||||
Gain
(loss) from de-consolidating FG VIEs | ( i 2 | ) | i 2 | i — | ||||||||
Income
(loss) on variable interest entities | $ | i 38 | $ | i 3 | $ | i 20 |
Carrying Value of Assets and Liabilities | |||||||||||||||
Maximum Exposure To Loss (1) | Insurance Assets (2) | Insurance Liabilities (3) | Net Derivative Assets (Liabilities) (4) | ||||||||||||
Global
structured finance: | |||||||||||||||
Mortgage-backed—residential | $ | i 5,373 | $ | i 1,913 | $ | i 523 | $ | i — | |||||||
Other
consumer asset-backed | i 1,373 | i 31 | i 216 | i — | |||||||||||
Other
commercial asset-backed | i 314 | i 9 | i 6 | i — | |||||||||||
Other | i 1,107 | i 7 | i 18 | i 8 | |||||||||||
Total
global structured finance | i 8,165 | i 1,961 | i 762 | i 8 | |||||||||||
Global
public finance | i 23,341 | i 287 | i 321 | i — | |||||||||||
Total | $ | i 31,506 | $ | i 2,247 | $ | i 1,083 | $ | i 7 | |||||||
Global structured finance: | |||||||||||||||
Collateralized
debt obligations | $ | i 10 | $ | i — | $ | i — | $ | i — | |||||||
Mortgage-backed—residential | i 6,713 | i 1,859 | i 547 | i — | |||||||||||
Other
consumer asset-backed | i 1,701 | i 15 | i 238 | i — | |||||||||||
Other
commercial asset-backed | i 873 | i 21 | i 12 | i — | |||||||||||
Other | i 2,123 | i 53 | i 301 | i 7 | |||||||||||
Total
global structured finance | i 11,420 | i 1,949 | i 1,098 | i 7 | |||||||||||
Global
public finance | i 24,146 | i 309 | i 335 | ( i 1 | ) | ||||||||||
Total | $ | i 35,566 | $ | i 2,258 | $ | i 1,434 | $ | i 6 |
(1) | Maximum
exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts. 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 included in “Premium receivables” and “Subrogation recoverable” for financial guarantee insurance contracts
on Ambac’s Consolidated Balance Sheets. |
(3) | Insurance liabilities represent the amount included in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee insurance 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. |
• | Total principal amount of the entity's debt outstanding was $ i 403 and $ i 393
at December 31, 2019 and 2018, respectively. The entity's assets are utility obligations with a weighted average rating of i BBB+ at December 31, 2019, and weighted average life of i 1.1
years. Purchases by this entity of financial |
• | Insurance
premiums paid to Ambac Assurance by this entity 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. |
Unrealized Gains (Losses) on Available- for Sale Securities (1) | Amortization of Postretirement Benefit (1) | Gain (Loss) on Foreign Currency Translation (1) | Credit Risk Changes of Fair Value Option Liabilities (1) (2) | Total | ||||||||||||||||
Year
Ended December 31, 2019: | ||||||||||||||||||||
Beginning Balance | $ | i 86 | $ | i 9 | $ | ( i 142 | ) | $ | ( i 2 | ) | $ | ( i 49 | ) | |||||||
Other
comprehensive income (loss)before reclassifications | i 142 | i 1 | i 26 | i — | i 168 | |||||||||||||||
Amounts
reclassified from accumulated other comprehensive income (loss) | ( i 76 | ) | ( i 1 | ) | i — | i — | ( i 78 | ) | ||||||||||||
Net
current period other comprehensive income (loss) | i 65 | ( i 1 | ) | i 26 | i — | i 91 | ||||||||||||||
Balance
at December 31, 2019 | $ | i 151 | $ | i 8 | $ | ( i 116 | ) | $ | ( i 2 | ) | $ | i 42 | ||||||||
Year
ended December 31, 2018: | ||||||||||||||||||||
Beginning Balance | $ | i 31 | $ | i 11 | $ | ( i 94 | ) | $ | — | $ | ( i 52 | ) | ||||||||
Adjustments
to opening balance, net of taxes (3) | — | — | — | ( i 3 | ) | ( i 3 | ) | |||||||||||||
Adjusted
balance, beginning of period | i 31 | i 11 | ( i 94 | ) | ( i 3 | ) | ( i 55 | ) | ||||||||||||
Other
comprehensive income before reclassifications | i 136 | ( i 1 | ) | ( i 48 | ) | i — | i 87 | |||||||||||||
Amounts
reclassified from accumulated other comprehensive income | ( i 81 | ) | ( i 1 | ) | i — | i 1 | ( i 81 | ) | ||||||||||||
Net
current period other comprehensive income (loss) | i 55 | ( i 2 | ) | ( i 48 | ) | i 1 | i 6 | |||||||||||||
Balance
at December 31, 2018 | $ | i 86 | $ | i 9 | $ | ( i 142 | ) | $ | ( i 2 | ) | $ | ( i 49 | ) |
(1) | All
amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate reductions to Accumulated Other Comprehensive Income. |
(2) | Represents the changes in fair value attributable to instrument-specific credit risk of liabilities for which the fair value option is elected. |
(3) | Beginning in 2018, credit risk
changes of fair value option liabilities are reflected as a component of Accumulated Other Comprehensive Income pursuant to the adoption of ASU 2016-01. Refer to Note 2. Basis of Presentation and Significant Accounting Policies for further information regarding this change. |
Details
about Accumulated Other Comprehensive Income Components | Amount Reclassified from Accumulated Other Comprehensive Income | Affected Line Item in the Consolidated Statement of Total Comprehensive Income | |||||||
Year Ended December 31, | |||||||||
2019 | 2018 | ||||||||
Unrealized
Gains (Losses) on Available-for-Sale Securities | |||||||||
$ | ( i 81 | ) | $ | ( i 82 | ) | Net
realized investment gains (loses) | |||
i 4 | i 1 | Provision
for income taxes | |||||||
$ | ( i 76 | ) | $ | ( i 81 | ) | Net
of tax and noncontrolling interest | |||
Amortization of Postretirement Benefit | |||||||||
Prior service cost | $ | ( i 1 | ) | $ | ( i 1 | ) | Other
income | ||
Actuarial gains (losses) | i — | i — | Other
income | ||||||
( i 1 | ) | ( i 1 | ) | Total
before tax | |||||
i — | i — | Provision
for income taxes | |||||||
$ | ( i 1 | ) | $ | ( i 1 | ) | Net
of tax and noncontrolling interest | |||
Credit Risk Changes of Fair Value Option Liabilities | |||||||||
$ | i — | $ | i 1 | Credit
risk changes of fair value option liabilities | |||||
i — | i — | Provision
for income taxes | |||||||
i — | i 1 | Net
of tax and noncontrolling interest | |||||||
Total reclassifications for the period | $ | ( i 78 | ) | $ | ( i 81 | ) | Net
of tax and noncontrolling interest |
Year Ended | 2019 | 2018 | 2017 | |||||
Basic weighted average
shares outstanding | i 45,954,908 | i 45,665,883 | i 45,367,932 | |||||
Effect
of potential dilutive shares(1): | ||||||||
Warrants | i — | i 441,104 | i — | |||||
Stock
options | i — | i — | i — | |||||
Restricted
stock units | i — | i 77,572 | i — | |||||
Performance
stock units (2) | i — | i 375,276 | i — | |||||
Diluted
weighted average shares outstanding | i 45,954,908 | i 46,559,835 | i 45,367,932 | |||||
Anti-dilutive
shares excluded from the above reconciliation | ||||||||
Stock options | i 16,667 | i 16,667 | i 126,667 | |||||
Warrants | i 4,877,783 | i — | i 4,053,670 | |||||
Restricted
stock units | i 249,263 | i — | i 68,654 | |||||
Performance
stock units (2) | i 872,258 | i — | i 322,943 |
(1) | For
the years ended December 31, 2019 and 2017, Ambac had a net loss and accordingly excluded all potentially dilutive securities from the determination of diluted loss per share as their impact was anti-dilutive. |
(2) | Performance stock units are reflected based on the performance metrics through the balance sheet date. Vesting of these units is contingent upon meeting certain performance metrics. Although a portion of these performance metrics have been achieved as of the respective period end, it is possible that awards may no longer meet the metric at the end of the performance period. |
Net Par Outstanding December 31, | 2019 | 2018 | |||||
Public
Finance: | |||||||
Housing revenue (1) | $ | i 5,991 | $ | i 6,159 | |||
Lease
and tax-backed revenue | i 5,102 | i 7,565 | |||||
General
obligation | i 3,011 | i 4,214 | |||||
Higher
education | i 885 | i 1,168 | |||||
Transportation
revenue | i 855 | i 1,754 | |||||
Utility
revenue | i 768 | i 1,178 | |||||
Other | i 1,041 | i 1,404 | |||||
Total
Public Finance | i 17,653 | i 23,442 | |||||
Structured
Finance: | |||||||
Mortgage-backed and home equity | i 4,423 | i 5,510 | |||||
Investor-owned
utilities | i 1,675 | i 1,754 | |||||
Student
loan | i 769 | i 934 | |||||
Structured
Insurance | i 395 | i 1,365 | |||||
Asset-backed
and other | i 246 | i 384 | |||||
Total
Structured Finance | i 7,508 | i 9,947 | |||||
International
Finance: | |||||||
Sovereign/sub-sovereign | i 5,264 | i 5,250 | |||||
Investor-owned
and public utilities | i 4,436 | i 4,499 | |||||
Asset-backed
and other | i 1,625 | i 2,176 | |||||
Transportation | i 1,532 | i 1,613 | |||||
Total
International Finance | i 12,857 | i 13,538 | |||||
Total | $ | i 38,018 | $ | i 46,927 |
(1) | Includes
$ i 5,654 and $ i 5,759
of Military Housing net par at December 31, 2019 and 2018, respectively. |
Net Par Outstanding December 31, | 2019 | 2018 | |||||
United
Kingdom | $ | i 10,593 | $ | i 10,965 | |||
Italy | i 767 | i 811 | |||||
Austria | i 674 | i 712 | |||||
Australia | i 382 | i 384 | |||||
France | i 303 | i 312 | |||||
Other
international (1) | i 138 | i 354 | |||||
Total
International Finance | $ | i 12,857 | $ | i 13,538 |
(1) | Other
international may include components of U.S. exposure. |
Year
Ended | 2019 | 2018 | 2017 | ||||||||
Beginning premium receivable | $ | i 495 | $ | i 586 | $ | i 661 | |||||
Premium
receipts | ( i 48 | ) | ( i 56 | ) | ( i 82 | ) | |||||
Adjustments
for changes in expected and contractual cash flows (1) | ( i 38 | ) | ( i 42 | ) | ( i 30 | ) | |||||
Accretion
of premium receivable discount | i 11 | i 15 | i 16 | ||||||||
Deconsolidation
of certain VIEs | i 3 | — | — | ||||||||
Changes
to uncollectable premiums | ( i 2 | ) | i 2 | i — | |||||||
Other
adjustments (including foreign exchange) | ( i 6 | ) | ( i 10 | ) | i 21 | ||||||
Ending
premium receivable (2) | $ | i 416 | $ | i 495 | $ | i 586 |
(1) | Adjustments for changes in expected and contractual cash flows primarily due to reductions in insured
exposure as a result of early policy terminations and unscheduled principal paydowns. |
(2) | Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At December 31, 2019, 2018 and 2017 premium receivables include British Pounds of $ i 129
(£ i 97), $ i 131
(£ i 103) and $ i 152
(£ i 112), respectively, and Euros of $ i 26
(€ i 23), $ i 31
(€ i 27) and $ i 36
(€ i 30), respectively. |
Year Ended December 31, | Direct | Assumed | Ceded
(1) | Net Premiums | |||||||||||
2019: | |||||||||||||||
Written | $ | ( i 28 | ) | $ | i — | $ | i 31 | $ | ( i 60 | ) | |||||
Earned | i 75 | i — | i 10 | i 66 | |||||||||||
2018: | |||||||||||||||
Written | $ | ( i 24 | ) | $ | i — | $ | i 17 | $ | ( i 41 | ) | |||||
Earned | i 119 | i — | i 8 | i 111 | |||||||||||
2017: | |||||||||||||||
Written | $ | ( i 14 | ) | $ | i — | $ | ( i 2 | ) | $ | ( i 12 | ) | ||||
Earned | i 190 | i — | i 15 | i 175 |
(1) | Includes
ceded premium activity related to the execution of reinsurance transactions in the years ended December 31, 2019 and 2018. |
Year
Ended | 2019 | 2018 | 2017 | |||||||||
United States | $ | i 55 | $ | i 88 | $ | i 134 | ||||||
United
Kingdom | i 17 | i 19 | i 33 | |||||||||
Other
international | ( i 6 | ) | i 5 | i 8 | ||||||||
Total | $ | i 66 | $ | i 111 | $ | i 175 |
Future Premiums to be Collected (1) | Future Premiums to
be Earned Net of Reinsurance (2) | ||||||
Three months ended: | |||||||
$ | i 14 | $ | i 10 | ||||
i 11 | i 10 | ||||||
i 10 | i 10 | ||||||
i 9 | i 10 | ||||||
Twelve
months ended: | |||||||
i 37 | i 36 | ||||||
i 36 | i 34 | ||||||
i 34 | i 32 | ||||||
i 33 | i 30 | ||||||
Five
years ended: | |||||||
i 143 | i 124 | ||||||
i 102 | i 82 | ||||||
December 31,
2039 | i 47 | i 38 | |||||
December 31,
2044 | i 22 | i 14 | |||||
December 31,
2049 | i 9 | i 5 | |||||
December 31,
2054 | i 1 | i 1 | |||||
Total | $ | i 508 | $ | i 436 |
(1) | Future
premiums to be collected are undiscounted and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet. |
(2) | Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable as further described in Note 2. Basis of Presentation and Significant
Accounting Policies. This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different 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. |
Present Value of Expected Net Cash Flows | Unearned
Premium Revenue | Gross Loss and Loss Expense Reserves | |||||||||||||
Balance Sheet Line Item | Claims and Loss Expenses | Recoveries | |||||||||||||
Loss
and loss expense reserves | $ | i 1,835 | $ | ( i 233 | ) | $ | ( i 54 | ) | $ | i 1,548 | |||||
Subrogation
recoverable | i 131 | ( i 2,160 | ) | i — | ( i 2,029 | ) | |||||||||
Totals | $ | i 1,966 | $ | ( i 2,394 | ) | $ | ( i 54 | ) | $ | ( i 482 | ) | ||||
Loss and loss expense reserves | $ | i 2,246 | $ | ( i 314 | ) | $ | ( i 107 | ) | $ | i 1,826 | |||||
Subrogation
recoverable | i 176 | ( i 2,109 | ) | i — | ( i 1,933 | ) | |||||||||
Totals | $ | i 2,422 | $ | ( i 2,422 | ) | $ | ( i 107 | ) | $ | ( i 107 | ) |
Year Ended | 2019 | 2018 | 2017 | ||||||||
Beginning
gross loss and loss expense reserves | $ | ( i 107 | ) | $ | i 4,114 | $ | i 3,696 | ||||
Reinsurance
recoverable | i 23 | i 41 | i 31 | ||||||||
Beginning
balance of net loss and loss expense reserves | ( i 130 | ) | i 4,073 | i 3,665 | |||||||
Losses
and loss expenses (benefit) incurred: | |||||||||||
Current year | i 1 | i 5 | i 6 | ||||||||
Prior
years (1) | i 12 | ( i 228 | ) | i 507 | |||||||
Total
(2)(3) | i 13 | ( i 224 | ) | i 513 | |||||||
Loss
and loss expenses (recovered) paid: | |||||||||||
Current year | i — | i — | i 1 | ||||||||
Prior
years (1) | i 318 | i 3,963 | i 133 | ||||||||
Total | i 318 | i 3,964 | i 134 | ||||||||
Foreign
exchange effect | ( i 1 | ) | ( i 15 | ) | i 29 | ||||||
Ending
net loss and loss expense reserves | ( i 436 | ) | ( i 130 | ) | i 4,073 | ||||||
Impact
of VIE consolidation | ( i 72 | ) | — | — | |||||||
Reinsurance
recoverable (4) | i 26 | i 23 | i 41 | ||||||||
Ending
gross loss and loss expense reserves | ( i 482 | ) | ( i 107 | ) | i 4,114 |
(1) | 2018
loss and loss expenses (recovered) paid includes the settlement of Deferred Amounts and Interest Accrued on Deferred Amounts in the amount of $ i 3,000 and $ i 857,
respectively in connection with the Rehabilitation Exit Transactions through a combination of cash, surplus notes and secured notes. 2018 loss and loss expenses incurred includes a $ i 288 loss and loss expense benefit on these settled Deferred Amounts. |
(2) | Total
losses and loss expenses (benefit) includes $( i 7), $( i 2)
and $ i 20 for the years ended December 31, 2019, 2018 and 2017, respectively, related to ceded reinsurance. |
(3) | Ambac
records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated representation and warranty recoveries for the year ended December 31, 2019, 2018 and 2017 was $ i 42,
$ i 62 and $ i 72, respectively. |
(4) | Represents
reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line "Reinsurance recoverable on paid and unpaid losses" includes reinsurance recoverables (payables) of $0, $1 and $0 as of December 31, 2019, 2018 and 2017, respectively, related to previously presented loss and loss expenses and subrogation. |
Surveillance Categories as of December 31, 2019 | ||||||||||||||||||||||||||||
I | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number
of policies | i 34 | i 18 | i 11 | i 16 | i 139 | i 3 | i 221 | |||||||||||||||||||||
Remaining
weighted-average contract period (in years) (1) | i 8 | i 21 | i 9 | i 17 | i 14 | i 3 | i 15 | |||||||||||||||||||||
Gross
insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | i 668 | $ | i 510 | $ | i 277 | $ | i 857 | $ | i 3,819 | $ | i 37 | $ | i 6,168 | ||||||||||||||
Interest | i 340 | i 507 | i 128 | i 366 | i 1,678 | i 11 | i 3,029 | |||||||||||||||||||||
Total | $ | i 1,007 | $ | i 1,016 | $ | i 404 | $ | i 1,223 | $ | i 5,498 | $ | i 48 | $ | i 9,197 | ||||||||||||||
Gross
undiscounted claim liability | $ | i 2 | $ | i 44 | $ | i 21 | $ | i 541 | $ | i 1,778 | $ | i 48 | $ | i 2,434 | ||||||||||||||
Discount,
gross claim liability | i — | ( i 5 | ) | ( i 1 | ) | ( i 152 | ) | ( i 381 | ) | ( i 2 | ) | ( i 541 | ) | |||||||||||||||
Gross
claim liability before all subrogation and before reinsurance | $ | i 2 | $ | i 39 | $ | i 20 | $ | i 389 | $ | i 1,397 | $ | i 46 | $ | i 1,893 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross
RMBS subrogation (2) | $ | i — | $ | i — | $ | i — | $ | i — | $ | ( i 1,777 | ) | $ | i — | $ | ( i 1,777 | ) | ||||||||||||
Discount,
RMBS subrogation | i — | i — | i — | i — | i 49 | i — | i 49 | |||||||||||||||||||||
Discounted
RMBS subrogation, before reinsurance | i — | i — | i — | i — | ( i 1,727 | ) | i — | ( i 1,727 | ) | |||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross
other subrogation (3) | i — | i — | i — | ( i 41 | ) | ( i 666 | ) | ( i 13 | ) | ( i 720 | ) | |||||||||||||||||
Discount,
other subrogation | i — | i — | i — | i 4 | i 47 | i 3 | i 53 | |||||||||||||||||||||
Discounted
other subrogation, before reinsurance | i — | i — | i — | ( i 37 | ) | ( i 620 | ) | ( i 10 | ) | ( i 666 | ) | |||||||||||||||||
Gross
claim liability, net of all subrogation and discounts, before reinsurance | $ | i 2 | $ | i 39 | $ | i 20 | $ | i 353 | $ | ( i 950 | ) | $ | i 36 | $ | ( i 501 | ) | ||||||||||||
Less:
Unearned premium revenue | $ | ( i 1 | ) | $ | ( i 9 | ) | $ | ( i 1 | ) | $ | ( i 7 | ) | $ | ( i 35 | ) | $ | i — | $ | ( i 54 | ) | ||||||||
Plus:
Loss expense reserves | i 1 | i 1 | i 1 | i 4 | i 67 | i — | i 73 | |||||||||||||||||||||
Gross
loss and loss expense reserves | $ | i 1 | $ | i 30 | $ | i 20 | $ | i 349 | $ | ( i 918 | ) | $ | i 36 | $ | ( i 482 | ) | ||||||||||||
Reinsurance
recoverable reported on Balance Sheet (4) | $ | i — | $ | i 6 | $ | i 7 | $ | i 24 | $ | ( i 10 | ) | $ | i — | $ | i 26 |
(1) | Remaining
weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. |
(2) | RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. |
(3) | Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance
transactions including RMBS. |
(4) | Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $ i 26 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. |
Surveillance
Categories as of December 31, 2018 | ||||||||||||||||||||||||||||
I | IA | II | III | IV | V | Total | ||||||||||||||||||||||
Number
of policies | i 21 | i 28 | i 18 | i 16 | i 145 | i 3 | i 231 | |||||||||||||||||||||
Remaining
weighted-average contract period (in years) (1) | i 9 | i 19 | i 9 | i 22 | i 14 | i 3 | i 16 | |||||||||||||||||||||
Gross
insured contractual payments outstanding: | ||||||||||||||||||||||||||||
Principal | $ | i 917 | $ | i 708 | $ | i 623 | $ | i 1,705 | $ | i 5,407 | $ | i 43 | $ | i 9,403 | ||||||||||||||
Interest | i 488 | i 632 | i 293 | i 6,979 | i 2,178 | i 13 | i 10,583 | |||||||||||||||||||||
Total | $ | i 1,404 | $ | i 1,340 | $ | i 916 | $ | i 8,685 | $ | i 7,585 | $ | i 57 | $ | i 19,986 | ||||||||||||||
Gross
undiscounted claim liability | $ | i 4 | $ | i 64 | $ | i 36 | $ | i 992 | $ | i 2,296 | $ | i 57 | $ | i 3,448 | ||||||||||||||
Discount,
gross claim liability | i — | ( i 13 | ) | ( i 3 | ) | ( i 434 | ) | ( i 638 | ) | ( i 4 | ) | ( i 1,092 | ) | |||||||||||||||
Gross
claim liability before all subrogation and before reinsurance | $ | i 4 | $ | i 51 | $ | i 33 | $ | i 558 | $ | i 1,658 | $ | i 52 | $ | i 2,356 | ||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross
RMBS subrogation (2) | $ | i — | $ | i — | $ | i — | $ | i — | $ | ( i 1,810 | ) | $ | i — | $ | ( i 1,810 | ) | ||||||||||||
Discount,
RMBS subrogation | i — | i — | i — | i — | i 39 | i — | i 39 | |||||||||||||||||||||
Discounted
RMBS subrogation, before reinsurance | i — | i — | i — | i — | ( i 1,771 | ) | i — | ( i 1,771 | ) | |||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Gross
other subrogation (3) | i — | ( i 11 | ) | i — | ( i 137 | ) | ( i 625 | ) | ( i 13 | ) | ( i 785 | ) | ||||||||||||||||
Discount,
other subrogation | i — | i 7 | i — | i 67 | i 55 | i 4 | i 133 | |||||||||||||||||||||
Discounted
other subrogation, before reinsurance | i — | ( i 3 | ) | i — | ( i 70 | ) | ( i 570 | ) | ( i 9 | ) | ( i 652 | ) | ||||||||||||||||
Gross
claim liability, net of all subrogation and discounts, before reinsurance | $ | i 4 | $ | i 47 | $ | i 33 | $ | i 489 | $ | ( i 682 | ) | $ | i 43 | $ | ( i 66 | ) | ||||||||||||
Less:
Unearned premium revenue | $ | ( i 1 | ) | $ | ( i 10 | ) | $ | ( i 5 | ) | $ | ( i 36 | ) | $ | ( i 54 | ) | $ | i — | $ | ( i 107 | ) | ||||||||
Plus:
Loss expense reserves | i 1 | i 4 | i 3 | ( i 6 | ) | i 63 | i — | i 66 | ||||||||||||||||||||
Gross
loss and loss expense reserves | $ | i 4 | $ | i 41 | $ | i 30 | $ | i 446 | $ | ( i 672 | ) | $ | i 43 | $ | ( i 107 | ) | ||||||||||||
Reinsurance
recoverable reported on Balance Sheet (4) | $ | i — | $ | i 7 | $ | i 4 | $ | i 26 | $ | ( i 15 | ) | $ | i — | $ | i 23 |
(1) | Remaining
weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. |
(2) | RMBS subrogation represents Ambac's estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches. |
(3) | Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS. |
(4) | Reinsurance
recoverable reported on Balance Sheet includes reinsurance recoverables of $ i 23 related to future loss and loss expenses and $1 related to presented loss and loss expenses and subrogation. |
Year ended December 31, | 2019 | 2018 | 2017 | ||||||||
Discounted
RMBS subrogation recovery (gross of reinsurance) at beginning of year | $ | i 1,771 | $ | i 1,834 | $ | i 1,907 | |||||
All
other changes (1) | ( i 43 | ) | ( i 64 | ) | ( i 73 | ) | |||||
Discounted
RMBS subrogation recovery (gross of reinsurance) at end of year | $ | i 1,727 | $ | i 1,771 | $ | i 1,834 |
(1) | All
other changes which may impact RMBS R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and 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 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 this table. |
Reinsurers | Percentage Ceded
Par | Net Unsecured Reinsurance Recoverable (1) | ||||
Assured Guaranty Re Ltd | i 47% | $ | i — | |||
Build
America Mutual Assurance Company (2) | i 42 | i 36 | ||||
Assured
Guaranty Corporation | i 8 | i 5 | ||||
Sompo
Japan Nipponkoa Insurance, Inc. | i 3 | i — | ||||
Total | i 100% | $ | i 41 |
(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. |
(2) | Build America Mutual Assurance Company has an S&P rating of AA. |
Amortization expense (1) (2) | |||
2020 | $ | i 45 | |
2021 | i 39 | ||
2022 | i 36 | ||
2023 | i 33 | ||
2024 | i 30 | ||
Thereafter | i 244 |
(1)
| The insurance intangible asset will be amortized using a level-yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts as described in Note 2. Basis of Presentation and Significant Accounting Policies. Future amortization considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations. If those bonds types are retired early, amortization expense may differ in the period of call or refinancing from the amounts provided in the table above. |
(2) | The
weighted-average amortizations period is i 7.6 years. |
• | Paragraph
8 of Statement of Statutory Accounting Principles No. 60 “Financial Guaranty Insurance” 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 |
• | 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 statutory accounting principles, surplus notes issued in conjunction with commutations or the settlement of obligations would be valued at zero upon issuance pursuant to paragraph 4, SSAP 41. OCI has directed the Company to record surplus notes issued in connection with commutations or the settlement of obligations at full par value upon issuance. The surplus notes issued have a claim against surplus senior to the preferred and common shareholders. |
• | Paragraph 35
of Statement of Statutory Accounting Principles No. 43R ”Loan-backed and Structured Securities” states that when an other-than-temporary impairment ("OTTI") has occurred, the amount of the OTTI 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. Beginning June 11, 2014, as a result of the amended Segregated Account Rehabilitation Plan, OCI has directed the Company to not evaluate investments in Ambac Assurance insured securities with policies that were allocated to the Segregated Account for OTTI and require all such investments be reported at amortized cost regardless of its NAIC risk designation. This accounting determination was
intended to recognize that Ambac Assurance continues to maintain statutory loss reserves without adjustment for the economic effects of its ownership of the insured investment securities, improve transparency to the users of the statutory financial statements and to minimize operational risks. Effective February 12, 2018, with the Segregated Account's exit from Rehabilitation, this prescribed practice is no longer applicable for OTTI evaluations going forward. |
• | 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 |
• | Ambac Assurance received permission from OCI to report investment holdings of Ambac Assurance insured securities 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. On April 10 2019, Ambac Assurance requested and OCI approved the termination of this permitted practice and accordingly, all such investments are being combined with other bond investments beginning on January 1, 2019. |
• | Effective upon the exit of the Segregated Account from rehabilitation and the merger of the Segregated Account with and into Ambac Assurance, Ambac Assurance received permission from OCI to restate its unassigned funds (surplus) balance to $ i 100
with an offsetting reduction of $ i 3,433 to gross paid-in and contributed surplus such that total surplus remains unchanged. |
• | In connection with the AMPS Exchange in 2018, Ambac Assurance received permission from OCI to account for the exchange of AMPS for i 5.1%
surplus notes in a manner that ensures compliance with certain state insurance regulations that require a minimum surplus level. Accordingly, Ambac Assurance recorded the excess of the consideration paid over the par value of the AMPS as follows: i) first as a reduction to gross paid-in and contributed surplus up to an amount that resulted in a gross paid-in and contributed surplus balance of not less than $ i 75
and ii) for any remaining excess, as a reduction to unassigned surplus. This permitted practice only impacts the balance sheet classification and has no impact on 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, certain highly liquid pooled fund investments, 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 investments in fixed income securities representing municipal, asset-backed and corporate obligations, certain interest rate swap contracts and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. | |
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 certain uncollateralized derivative contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include 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 | ||||||||||||||||||
Financial
assets: | ||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||
Municipal
obligations | $ | i 215 | $ | i 215 | $ | i — | $ | i 215 | $ | i — | ||||||||||
Corporate
obligations | i 1,430 | i 1,430 | i — | i 1,430 | i — | |||||||||||||||
Foreign
obligations | i 44 | i 44 | i 44 | i — | i — | |||||||||||||||
U.S.
government obligations | i 156 | i 156 | i 156 | i — | i — | |||||||||||||||
Residential
mortgage-backed securities | i 248 | i 248 | i — | i 248 | i — | |||||||||||||||
Commercial
mortgage-backed securities | i 50 | i 50 | i — | i 50 | i — | |||||||||||||||
Collateralized
debt obligations | i 146 | i 146 | i — | i 146 | i — | |||||||||||||||
Other
asset-backed securities | i 287 | i 287 | i — | i 215 | i 72 | |||||||||||||||
Fixed
income securities, pledged as collateral: | ||||||||||||||||||||
Short-term | i 85 | i 85 | i 85 | i — | i — | |||||||||||||||
Short
term investments | i 653 | i 653 | i 598 | i 55 | i — | |||||||||||||||
Other
investments (1) | i 478 | i 493 | i 136 | i — | i 61 | |||||||||||||||
Cash,
cash equivalents and restricted cash | i 79 | i 79 | i 70 | i 9 | i — | |||||||||||||||
Derivative
assets: | ||||||||||||||||||||
Interest rate swaps—asset position | i 75 | i 75 | i — | i 8 | i 67 | |||||||||||||||
Other
assets - equity in sponsored VIE | i 3 | i 3 | i — | i — | i 3 | |||||||||||||||
Other
assets-Loans | i 10 | i 13 | i — | i — | i 13 | |||||||||||||||
Variable
interest entity assets: | ||||||||||||||||||||
Fixed income securities: Corporate obligations | i 2,957 | i 2,957 | i — | i — | i 2,957 | |||||||||||||||
Fixed
income securities: Municipal obligations | i 164 | i 164 | i — | i 164 | i — | |||||||||||||||
Restricted
cash | i 2 | i 2 | i 2 | i — | i — | |||||||||||||||
Loans | i 3,108 | i 3,108 | i — | i — | i 3,108 | |||||||||||||||
Derivative
assets: | ||||||||||||||||||||
Currency swaps-asset position | i 52 | i 52 | i — | i 52 | i — | |||||||||||||||
Total
financial assets | $ | i 10,242 | $ | i 10,260 | $ | i 1,091 | $ | i 2,593 | $ | i 6,281 | ||||||||||
Financial
liabilities: | ||||||||||||||||||||
Long term debt, including accrued interest | $ | i 3,262 | $ | i 3,274 | $ | i — | $ | i 2,829 | $ | i 445 | ||||||||||
Derivative
liabilities: | ||||||||||||||||||||
Interest rate swaps—liability position | i 89 | i 89 | i — | i 89 | i — | |||||||||||||||
Liabilities
for net financial guarantees written (2) | ( i 863 | ) | i 284 | i — | i — | i 284 | ||||||||||||||
Variable
interest entity liabilities: | ||||||||||||||||||||
Long-term debt (includes $4,351 at fair value) | i 4,554 | i 4,567 | i — | i 4,408 | i 159 | |||||||||||||||
Derivative
liabilities: | ||||||||||||||||||||
Interest rate swaps—liability position | i 1,657 | i 1,657 | i — | i 1,657 | i — | |||||||||||||||
Total
financial liabilities | $ | i 8,699 | $ | i 9,872 | $ | i — | $ | i 8,983 | $ | i 889 |
Carrying Amount | Total
Fair Value | Fair Value Measurements Categorized as: | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | ||||||||||||||||||
Financial
assets: | ||||||||||||||||||||
Fixed income securities: | ||||||||||||||||||||
Municipal
obligations | $ | i 880 | $ | i 880 | $ | i — | $ | i 880 | $ | i — | ||||||||||
Corporate
obligations | i 1,278 | i 1,278 | i — | i 1,278 | i — | |||||||||||||||
Foreign
obligations | i 31 | i 31 | i 30 | i 1 | i — | |||||||||||||||
U.S.
government obligations | i 94 | i 94 | i 94 | i — | i — | |||||||||||||||
Residential
mortgage-backed securities | i 259 | i 259 | i — | i 259 | i — | |||||||||||||||
Collateralized
debt obligations | i 131 | i 131 | i — | i 131 | i — | |||||||||||||||
Other
asset-backed securities | i 442 | i 442 | i — | i 370 | i 72 | |||||||||||||||
Short
term investments | i 430 | i 430 | i 305 | i 125 | i — | |||||||||||||||
Other
investments (1) | i 391 | i 367 | i 71 | i — | i 16 | |||||||||||||||
Cash
and cash equivalents and restricted cash | i 82 | i 82 | i 53 | i 30 | i — | |||||||||||||||
Derivative
assets: | ||||||||||||||||||||
Interest rate swaps—asset position | i 59 | i 59 | i — | i 12 | i 47 | |||||||||||||||
Other
assets - equity in sponsored VIE | i 5 | i 5 | i — | i — | i 5 | |||||||||||||||
Other
assets-loans | i 10 | i 12 | i — | i — | i 12 | |||||||||||||||
Variable
interest entity assets: | ||||||||||||||||||||
Fixed income securities: Corporate obligations | i 2,737 | i 2,737 | i — | i — | i 2,737 | |||||||||||||||
Restricted
cash | i 1 | i 1 | i 1 | i — | i — | |||||||||||||||
Loans | i 4,288 | i 4,288 | i — | i — | i 4,288 | |||||||||||||||
Derivative
assets; Currency swaps-asset position | i 66 | i 66 | i — | i 66 | i — | |||||||||||||||
Total
financial assets | $ | i 11,186 | $ | i 11,164 | $ | i 554 | $ | i 3,153 | $ | i 7,177 | ||||||||||
Financial
liabilities: | ||||||||||||||||||||
Long term debt, including accrued interest | $ | i 3,305 | $ | i 3,260 | $ | i — | $ | i 2,909 | $ | i 351 | ||||||||||
Derivative
liabilities: | ||||||||||||||||||||
Credit derivatives | i 1 | i 1 | i — | i — | i 1 | |||||||||||||||
Interest
rate swaps—liability position | i 72 | i 72 | i — | i 72 | i — | |||||||||||||||
Futures
contracts | i 3 | i 3 | i 3 | i — | i | |||||||||||||||
Liabilities
for net financial guarantees written (2) | ( i 718 | ) | i 559 | i — | i — | i 559 | ||||||||||||||
Variable
interest entity liabilities: | ||||||||||||||||||||
Long-term debt (includes $5,269 at fair value) | i 5,269 | i 5,269 | i — | i 5,052 | i 217 | |||||||||||||||
Derivative
liabilities: | ||||||||||||||||||||
Interest rate swaps—liability position | i 1,712 | i 1,712 | i — | i 1,712 | i — | |||||||||||||||
Total
financial liabilities | $ | i 9,644 | $ | i 10,876 | i 3 | i 9,745 | i 1,128 |
(1) | Excluded
from the fair value measurement categories in the table above are investment funds of $ i 296 and $ i 280
as of December 31, 2019 and 2018, respectively, which are measured using NAV per share as a practical expedient. |
(2) | 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 | i 5.97% |
b. Average
Life | i 15.58 years |
c. Yield | i 11.75% |
a. Coupon rate | i 5.97% |
b. Maturity | i 16.29
years |
c. Yield | i 12.00% |
a. Coupon rate | i 2.20% |
b. Maturity | i 18.93
years |
c. Yield | i 3.18% |
Level-3
Financial Assets and Liabilities Accounted for at Fair Value | ||||||||||||||||||||||||||||
VIE
Assets and Liabilities | ||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Investments | Other Assets (1) | Derivatives | Investments | Loans | Long-term Debt | Total | |||||||||||||||||||||
Balance,
beginning of period | $ | i 72 | $ | i 5 | $ | i 46 | $ | i 2,737 | $ | i 4,288 | $ | ( i 217 | ) | $ | i 6,930 | |||||||||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included
in earnings | i 2 | ( i 2 | ) | i 25 | i 138 | i 287 | ( i 15 | ) | i 436 | |||||||||||||||||||
Included
in other comprehensive income | i — | i — | i — | i 116 | i 74 | i 8 | i 199 | |||||||||||||||||||||
Purchases | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Issuances | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Sales | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Settlements | ( i 2 | ) | i — | ( i 5 | ) | ( i 35 | ) | ( i 690 | ) | i — | ( i 731 | ) | ||||||||||||||||
Transfers
into Level 3 | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Transfers
out of Level 3 | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Deconsolidation
of VIEs | i — | i — | i — | i — | ( i 851 | ) | i 223 | ( i 627 | ) | |||||||||||||||||||
Balance,
end of period | $ | i 72 | $ | i 3 | $ | i 66 | $ | i 2,957 | $ | i 3,108 | $ | i — | $ | i 6,207 | ||||||||||||||
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 | $ | i — | $ | ( i 2 | ) | $ | i 25 | $ | i 138 | $ | i 215 | $ | i — | $ | i 376 |
(1)
| Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. |
Level-3 Financial Assets and Liabilities Accounted for at Fair Value | ||||||||||||||||||||||||||||
VIE
Assets and Liabilities | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | Investments | Other Assets | Derivatives | Investments | Loans | Long-term Debt | Total | |||||||||||||||||||||
Balance,
beginning of period | $ | i 809 | $ | i 6 | $ | i 61 | $ | i 2,914 | $ | i 11,529 | $ | ( i 2,758 | ) | $ | i 12,561 | |||||||||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included
in earnings | i 36 | ( i 1 | ) | ( i 9 | ) | i 16 | ( i 201 | ) | i 189 | i 30 | ||||||||||||||||||
Included
in other comprehensive income | ( i 53 | ) | i — | i — | ( i 158 | ) | ( i 470 | ) | i 91 | ( i 590 | ) | |||||||||||||||||
Purchases | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Issuances | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Sales | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Settlements | ( i 714 | ) | i — | ( i 6 | ) | ( i 35 | ) | ( i 624 | ) | i 23 | ( i 1,356 | ) | ||||||||||||||||
Transfers
out of Level 3 | ( i 5 | ) | i — | i — | i — | i — | i — | ( i 5 | ) | |||||||||||||||||||
Deconsolidations
of VIEs | i — | i — | i — | i — | ( i 5,946 | ) | i 2,237 | ( i 3,709 | ) | |||||||||||||||||||
Balance,
end of period | $ | i 72 | $ | i 5 | $ | i 46 | $ | i 2,737 | $ | i 4,288 | $ | ( i 217 | ) | $ | i 6,930 | |||||||||||||
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 | $ | i — | $ | ( i 1 | ) | $ | ( i 10 | ) | $ | i 16 | $ | ( i 63 | ) | $ | i 47 | $ | ( i 11 | ) |
Level-3
Financial Assets and Liabilities Accounted for at Fair Value | ||||||||||||||||||||||||||||
VIE
Assets and Liabilities | ||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Investments | Other Assets | Derivatives | Investments | Loans | Long-term Debt | Total | |||||||||||||||||||||
Balance,
beginning of period | $ | i 763 | $ | i 7 | $ | ( i 100 | ) | $ | i 2,623 | $ | i 10,659 | $ | ( i 2,582 | ) | $ | i 11,369 | ||||||||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||
Included
in earnings | i 65 | ( i 1 | ) | i 63 | i 71 | i 550 | i 35 | i 783 | ||||||||||||||||||||
Included
in other comprehensive income | i 6 | i — | i — | i 253 | i 1,004 | ( i 254 | ) | i 1,010 | ||||||||||||||||||||
Purchases | i 36 | i — | i — | i — | i — | i — | i 36 | |||||||||||||||||||||
Issuances | i — | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||
Sales | ( i 79 | ) | i — | i — | i — | i — | i — | ( i 79 | ) | |||||||||||||||||||
Settlements | ( i 30 | ) | i — | i 98 | ( i 33 | ) | ( i 684 | ) | i 44 | ( i 605 | ) | |||||||||||||||||
Transfers
into Level 3 | i 48 | i — | i — | i — | i — | i — | i 48 | |||||||||||||||||||||
Balance,
end of period | $ | i 809 | $ | i 6 | $ | i 61 | $ | i 2,914 | $ | i 11,529 | $ | ( i 2,758 | ) | $ | i 12,561 | |||||||||||||
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 | $ | i — | $ | ( i 1 | ) | $ | i 9 | $ | i 71 | $ | i 547 | $ | i 37 | $ | i 662 |
Level-3
Investments by Class | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
Year
Ended December 31, | Other Asset Backed Securities | Non-Agency RMBS | Total Investments | Other Asset Backed Securities | Non-Agency RMBS | Total Investments | ||||||||||||||||||
Balance,
beginning of period | $ | i 72 | $ | i — | $ | i 72 | $ | i 73 | $ | i 736 | $ | i 809 | ||||||||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||||||||||||||
Included in earnings | i 2 | i — | i 2 | i 1 | i 35 | i 36 | ||||||||||||||||||
Included
in other comprehensive income | i — | i — | i — | ( i 1 | ) | ( i 52 | ) | ( i 53 | ) | |||||||||||||||
Purchases | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Issuances | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Sales | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Settlements | ( i 2 | ) | i — | ( i 2 | ) | ( i 1 | ) | ( i 713 | ) | ( i 714 | ) | |||||||||||||
Transfers
out of Level 3 | i — | i — | i — | i — | ( i 5 | ) | ( i 5 | ) | ||||||||||||||||
Balance,
end of period | $ | i 72 | $ | i — | $ | i 72 | $ | i 72 | $ | i — | $ | i 72 | ||||||||||||
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 | $ | i — | $ | i — | $ | i — | $ | i — | $ | i — | $ | i — |
Level-3
Investments by Class | ||||||||||||
Year Ended December 31, 2017 | Other Asset Backed Securities | Non-Agency RMBS | Total Investments | |||||||||
Balance,
beginning of period | $ | i 66 | $ | i 697 | $ | i 763 | ||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | i 1 | i 64 | i 65 | |||||||||
Included
in other comprehensive income | i 6 | i — | i 6 | |||||||||
Purchases | i — | i 36 | i 36 | |||||||||
Issuances | i — | i — | i — | |||||||||
Sales | i — | ( i 79 | ) | ( i 79 | ) | |||||||
Settlements | ( i 1 | ) | ( i 29 | ) | ( i 30 | ) | ||||||
Transfers
into Level 3 | i — | i 48 | i 48 | |||||||||
Balance,
end of period | $ | i 73 | $ | i 736 | $ | i 809 | ||||||
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 | $ | i — | $ | i — | $ | i — |
Level-3
Derivatives by Class | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
Year
Ended December 31, | Interest Rate Swaps | Credit Derivatives | Total Derivatives | Interest Rate Swaps | Credit Derivatives | Total Derivatives | ||||||||||||||||||
Balance,
beginning of period | $ | i 47 | $ | ( i 1 | ) | $ | i 46 | $ | i 61 | $ | ( i 1 | ) | $ | i 61 | ||||||||||
Total
gains/(losses) realized and unrealized: | ||||||||||||||||||||||||
Included in earnings | i 24 | i 2 | i 25 | ( i 9 | ) | ( i 1 | ) | ( i 9 | ) | |||||||||||||||
Purchases | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Issuances | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Sales | i — | i — | i — | i — | i — | i — | ||||||||||||||||||
Settlements | ( i 4 | ) | i — | ( i 5 | ) | ( i 5 | ) | i — | ( i 6 | ) | ||||||||||||||
Balance,
end of period | $ | i 67 | $ | i — | $ | i 66 | $ | i 47 | $ | ( i 1 | ) | $ | i 46 | |||||||||||
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 | $ | i 24 | $ | i 1 | $ | i 25 | $ | ( i 9 | ) | $ | ( i 1 | ) | $ | ( i 10 | ) |
Level-3
Derivatives by Class | ||||||||||||
Year Ended December 31, 2017 | Interest Rate Swaps | Credit Derivatives | Total Derivatives | |||||||||
Balance,
beginning of period | $ | ( i 85 | ) | $ | ( i 15 | ) | $ | ( i 100 | ) | |||
Total
gains/(losses) realized and unrealized: | ||||||||||||
Included in earnings | i 46 | i 16 | i 63 | |||||||||
Purchases | i — | i — | i — | |||||||||
Issuances | i — | i — | i — | |||||||||
Sales | i — | i — | i — | |||||||||
Settlements | i 100 | ( i 2 | ) | i 98 | ||||||||
Balance,
end of period | $ | i 61 | $ | ( i 1 | ) | $ | i 61 | |||||
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 | $ | i 7 | $ | i 2 | $ | i 9 |
Net Investment Income | Net
Gains (Losses) on Derivative Contracts | Income (Loss) on Variable Interest Entities | Other Income (Expense) | |||||||||||||
Year Ended December 31, 2019 | ||||||||||||||||
Total
gains (losses) included in earnings for the period | $ | i 2 | $ | i 25 | $ | i 410 | $ | ( i 2 | ) | |||||||
Changes
in unrealized gains (losses) relating to financial instruments still held at the reporting date | i — | i 25 | i 353 | ( i 2 | ) | |||||||||||
Year
Ended December 31, 2018 | ||||||||||||||||
Total gains (losses) included in earnings for the period | $ | i 36 | $ | ( i 9 | ) | $ | i 4 | $ | ( i 1 | ) | ||||||
Changes
in unrealized gains (losses) relating to financial instruments still held at the reporting date | i — | ( i 10 | ) | i — | ( i 1 | ) | ||||||||||
Year
Ended December 31, 2017 | ||||||||||||||||
Total gains (losses) included in earnings for the period | $ | i 65 | $ | i 63 | $ | i 656 | $ | ( i 1 | ) | |||||||
Changes
in unrealized gains (losses) relating to financial instruments still held at the reporting date | i — | i 9 | i 655 | ( i 1 | ) |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | Non-Credit Other- than-temporary Impairments (1) | ||||||||||||||||
Fixed
income securities: | ||||||||||||||||||||
Municipal obligations | $ | i 194 | $ | i 22 | $ | i — | $ | i 215 | $ | i — | ||||||||||
Corporate
obligations (2) | i 1,396 | i 36 | i 2 | i 1,430 | i — | |||||||||||||||
Foreign
obligations | i 44 | i 1 | i — | i 44 | i — | |||||||||||||||
U.S.
government obligations | i 157 | i 2 | i 2 | i 156 | i — | |||||||||||||||
Residential
mortgage-backed securities | i 200 | i 47 | i — | i 248 | i — | |||||||||||||||
Commercial
mortgage-backed securities | i 49 | i 1 | i — | i 50 | i — | |||||||||||||||
Collateralized
debt obligations | i 147 | i — | i 1 | i 146 | i — | |||||||||||||||
Other
asset-backed securities | i 263 | i 24 | i — | i 287 | i — | |||||||||||||||
i 2,450 | i 132 | i 5 | i 2,577 | i — | ||||||||||||||||
Short-term | i 653 | i — | i — | i 653 | i — | |||||||||||||||
i 3,103 | i 132 | i 5 | i 3,230 | i — | ||||||||||||||||
Fixed
income securities pledged as collateral: | ||||||||||||||||||||
Short-term | i 85 | i — | i — | i 85 | i — | |||||||||||||||
Total
collateralized investments | i 85 | i — | i — | i 85 | i — | |||||||||||||||
Total
available-for-sale investments | $ | i 3,187 | $ | i 132 | $ | i 5 | $ | i 3,314 | $ | i — | ||||||||||
Fixed income securities: | ||||||||||||||||||||
Municipal
obligations | $ | i 883 | $ | i 14 | $ | i 17 | $ | i 880 | $ | i — | ||||||||||
Corporate
obligations (2) | i 1,289 | i 6 | i 17 | i 1,278 | i — | |||||||||||||||
Foreign
obligations | i 30 | i — | i — | i 31 | i — | |||||||||||||||
U.S.
government obligations | i 94 | i 1 | i 1 | i 94 | i — | |||||||||||||||
Residential
mortgage-backed securities | i 222 | i 38 | i 1 | i 259 | i — | |||||||||||||||
Collateralized
debt obligations | i 133 | i — | i 2 | i 131 | i — | |||||||||||||||
Other
asset-backed securities | i 370 | i 73 | i 1 | i 442 | i — | |||||||||||||||
i 3,021 | i 133 | i 38 | i 3,116 | i — | ||||||||||||||||
Short-term | i 430 | i — | i — | i 430 | i — | |||||||||||||||
Total
available-for-sale investments | $ | i 3,451 | $ | i 133 | $ | i 38 | $ | i 3,546 | $ | i — |
(1) | Represents
the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2019 and 2018. |
(2) | Includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. |
Amortized Cost | Estimated Fair Value | |||||||
Due
in one year or less | $ | i 749 | $ | i 749 | ||||
Due
after one year through five years | i 1,157 | i 1,173 | ||||||
Due
after five years through ten years | i 477 | i 501 | ||||||
Due
after ten years | i 145 | i 160 | ||||||
i 2,528 | i 2,583 | |||||||
Residential
mortgage-backed securities | i 200 | i 248 | ||||||
Commercial
mortgage-backed securities | i 49 | i 50 | ||||||
Collateralized
debt obligations | i 147 | i 146 | ||||||
Other
asset-backed securities | i 263 | i 287 | ||||||
Total | $ | i 3,187 | $ | i 3,314 |
Less
Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair
Value | Gross Unrealized Loss | |||||||||||||||||||
Fixed
income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | i 13 | $ | i — | $ | i 10 | $ | i — | $ | i 23 | $ | i — | ||||||||||||
Corporate
obligations | i 63 | i 2 | i 5 | i — | i 68 | i 2 | ||||||||||||||||||
Foreign
obligations | i 20 | i — | i — | i — | i 20 | i — | ||||||||||||||||||
U.S.
government obligations | i 36 | i 2 | i 2 | i — | i 38 | i 2 | ||||||||||||||||||
Residential
mortgage-backed securities | i 5 | i — | i — | i — | i 5 | i — | ||||||||||||||||||
Commercial
mortgage-backed securities | i 7 | i — | i — | i — | i 7 | i — | ||||||||||||||||||
Collateralized
debt obligations | i 53 | i — | i 63 | i 1 | i 116 | i 1 | ||||||||||||||||||
Other
asset-backed securities | i 2 | i — | i 7 | i — | i 10 | i — | ||||||||||||||||||
i 200 | i 4 | i 88 | i 1 | i 288 | i 5 | |||||||||||||||||||
Short-term | i 201 | i — | i — | i — | i 201 | i — | ||||||||||||||||||
Total
temporarily impaired securities | $ | i 401 | $ | i 4 | $ | i 88 | $ | i 1 | $ | i 489 | $ | i 5 |
Less
Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair
Value | Gross Unrealized Loss | |||||||||||||||||||
Fixed
income securities: | ||||||||||||||||||||||||
Municipal obligations | $ | i 538 | $ | i 16 | $ | i 29 | $ | i 1 | $ | i 566 | $ | i 17 | ||||||||||||
Corporate
obligations | i 307 | i 9 | i 190 | i 9 | i 497 | i 17 | ||||||||||||||||||
Foreign
obligations | i 1 | i — | i 5 | i — | i 6 | i — | ||||||||||||||||||
U.S.
government obligations | i 6 | i — | i 58 | i — | i 64 | i 1 | ||||||||||||||||||
Residential
mortgage-backed securities | i 35 | i 1 | i — | i — | i 35 | i 1 | ||||||||||||||||||
Collateralized
debt obligations | i 124 | i 2 | i — | i — | i 124 | i 2 | ||||||||||||||||||
Other
asset-backed securities | i 14 | i — | i 77 | i 1 | i 91 | i 1 | ||||||||||||||||||
i 1,024 | i 27 | i 360 | i 11 | i 1,384 | i 38 | |||||||||||||||||||
Short-term | i 115 | i — | i — | i — | i 115 | i — | ||||||||||||||||||
Total
temporarily impaired securities | $ | i 1,139 | $ | i 27 | $ | i 360 | $ | i 11 | $ | i 1,499 | $ | i 38 |
Year
Ended | 2019 | 2018 | 2017 | |||||||||
Gross realized gains on securities | $ | i 64 | $ | i 111 | $ | i 29 | ||||||
Gross
realized losses on securities | ( i 5 | ) | ( i 7 | ) | ( i 19 | ) | ||||||
Foreign
exchange (losses) gains | i 22 | i 7 | ( i 5 | ) | ||||||||
Net
realized gains (losses) | $ | i 81 | $ | i 111 | $ | i 5 | ||||||
Net
other-than-temporary impairments (1) | $ | i — | $ | ( i 3 | ) | $ | ( i 20 | ) |
(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. |
Year
Ended | 2019 | 2018 | 2017 | ||||||
Balance, beginning of period | i 12 | i 67 | i 52 | ||||||
Additions
for credit impairments recognized on: | |||||||||
Securities not previously impaired | i — | i 1 | i 3 | ||||||
Securities
previously impaired | — | i — | i 12 | ||||||
Reductions
for credit impairments previously recognized on: | |||||||||
Securities that matured or were sold during the period | ( i 1 | ) | ( i 56 | ) | i — | ||||
Balance,
end of period | i 12 | i 12 | i 67 |
Municipal Obligations | Corporate Obligations (3) | Mortgage and Asset- backed Securities | Total | Weighted Average Underlying Rating (1) (3) | ||||||||||||||
Ambac
Assurance Corporation (2) | $ | i 176 | $ | i 535 | $ | i 442 | $ | i 1,153 | B- | |||||||||
National
Public Finance Guarantee Corporation | i 11 | i — | — | i 11 | BBB- | |||||||||||||
Total | $ | i 187 | $ | i 535 | $ | i 442 | $ | i 1,164 | B- | |||||||||
Ambac Assurance Corporation (2) | $ | i 833 | $ | i 656 | $ | i 599 | $ | i 2,089 | CCC | |||||||||
National
Public Finance Guarantee Corporation | i 16 | i — | — | i 16 | BBB- | |||||||||||||
Total | $ | i 849 | $ | i 656 | $ | i 599 | $ | i 2,105 | 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 $ i 0 and $ i 145
at December 31, 2019 and 2018, respectively, insured by Ambac UK. |
(3) | Represents Ambac's holdings of secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. Ambac LSNI secured notes are insured by Ambac Assurance and are excluded from the calculation of weighted average underlying rating. |
Class
of Funds | 2019 | 2018 | Redemption Frequency | Redemption Notice Period | ||||||||
Real estate properties (1) | $ | i 16 | $ | i 16 | quarterly | 10
business days | ||||||
Hedge funds (2) | i 65 | i — | quarterly | 90
days | ||||||||
High yield and leveraged loans (3) (8) | i 176 | i 114 | daily | 0
- 30 days | ||||||||
Private credit (4) | i 51 | i 84 | quarterly | 180
days if permitted | ||||||||
Insurance-linked investments (5) | i 3 | i 29 | fully
redeemed | none | ||||||||
Equity market investments (6) (8) | i 55 | i 44 | daily | 0
days | ||||||||
Investment grade floating rate income (7) | i 66 | i 63 | weekly | 0
days | ||||||||
Total equity investments in pooled funds | $ | i 432 | $ | i 351 |
(1) | Investments
consist of UK property to generate income and capital growth. |
(2) | This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies within structured credit markets, including mortgage-backed securities, commercial real estate securities and loans, CLOs, REITs and asset backed securities. |
(3) | This class of funds includes investments in a range of instruments including high-yield bonds, leveraged loans, CLOs, ABS and floating rate notes to generate income
and capital appreciation. |
(4) | This class aims to obtain high long-term return primarily through credit and preferred equity investments with low liquidity and defined term. |
(5) | This class seeks to generate returns from insurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. |
(6) | This
class of funds includes investments in a range of instruments that include funds that have diversified exposure to global equity market returns through holdings of market index funds. |
(7) | This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes (FRNs) as well as ultra-short term bonds and money market instruments. |
(8) | High yield and leveraged loans products include $ i 81
at December 31, 2019 and $ i 27 at December 31, 2018 and equity market investments include $ i 55
at December 31, 2019 and $ i 44 at December 31, 2018 that have readily determinable fair values priced through pricing vendors. |
Year
Ended | 2019 | 2018 | 2017 | |||||||||
Fixed income securities | $ | i 183 | $ | i 265 | $ | i 337 | ||||||
Short-term
investments | i 17 | i 11 | i 8 | |||||||||
Loans | i 1 | i 1 | i 1 | |||||||||
Investment
expense | ( i 6 | ) | ( i 7 | ) | ( i 8 | ) | ||||||
Securities
available-for-sale and short-term | i 196 | i 271 | i 338 | |||||||||
Other
investments | i 32 | i 2 | i 23 | |||||||||
Total
net investment income | $ | i 227 | $ | i 273 | $ | i 361 |
Year
Ended | 2019 | 2018 | 2017 | |||||||||
Net gains (losses) recognized during the period on trading securities | $ | i 24 | $ | ( i 3 | ) | $ | i 18 | |||||
Less:
net gains (losses) recognized during the reporting period on trading securities sold during the period | i 7 | i 1 | i 5 | |||||||||
Unrealized
gains (losses) recognized during the reporting period on trading securities still held at the reporting date | $ | i 17 | $ | ( i 4 | ) | $ | i 13 |
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 | |||||||||||||||
Derivative Assets: | |||||||||||||||||||
Interest
rate swaps | $ | i 75 | $ | i — | $ | i 75 | $ | — | $ | i 75 | |||||||||
Total
non-VIE derivative assets | $ | i 75 | $ | i — | $ | i 75 | $ | i — | $ | i 75 | |||||||||
Derivative
Liabilities: | |||||||||||||||||||
Credit derivatives | $ | i — | $ | i — | $ | i — | $ | — | $ | i — | |||||||||
Interest
rate swaps | i 89 | i — | i 90 | i 89 | i 1 | ||||||||||||||
Total
non-VIE derivative liabilities | $ | i 90 | $ | i — | $ | i 90 | $ | i 89 | $ | i 1 | |||||||||
Variable
Interest Entities Derivative Assets: | |||||||||||||||||||
Currency swaps | $ | i 52 | $ | i — | $ | i 52 | $ | — | $ | i 52 | |||||||||
Total
VIE derivative assets | $ | i 52 | $ | i — | $ | i 52 | $ | i — | $ | i 52 | |||||||||
Variable
Interest Entities Derivative Liabilities: | |||||||||||||||||||
Interest rate swaps | $ | i 1,657 | $ | — | $ | i 1,657 | $ | — | $ | i 1,657 | |||||||||
Total
VIE derivative liabilities | $ | i 1,657 | $ | i — | $ | i 1,657 | $ | i — | $ | i 1,657 |
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 | |||||||||||||||
Derivative Assets: | |||||||||||||||||||
Interest
rate swaps | $ | i 60 | $ | i — | $ | i 59 | $ | i — | $ | i 59 | |||||||||
Total
non-VIE derivative assets | $ | i 60 | $ | i — | $ | i 59 | $ | i — | $ | i 59 | |||||||||
Derivative
Liabilities: | |||||||||||||||||||
Credit derivatives | $ | i 1 | $ | i — | $ | i 1 | $ | — | $ | i 1 | |||||||||
Interest
rate swaps | i 72 | i — | i 72 | i 67 | i 5 | ||||||||||||||
Futures
contracts | i 3 | i — | i 3 | i 3 | i — | ||||||||||||||
Total
non-VIE derivative liabilities | $ | i 77 | $ | i — | $ | i 77 | $ | i 71 | $ | i 6 | |||||||||
Variable
Interest Entities Derivative Assets: | |||||||||||||||||||
Currency swaps | $ | i 66 | $ | — | $ | i 66 | $ | i — | $ | i 66 | |||||||||
Total
VIE derivative assets | $ | i 66 | $ | i — | $ | i 66 | $ | i — | $ | i 66 | |||||||||
Variable
Interest Entities Derivative Liabilities: | |||||||||||||||||||
Interest rate swaps | $ | i 1,712 | $ | — | $ | i 1,712 | $ | — | $ | i 1,712 | |||||||||
Total
VIE derivative liabilities | $ | i 1,712 | $ | i — | $ | i 1,712 | $ | i — | $ | i 1,712 |
Location of Gain (Loss)
Recognized in Consolidated Statements of Total Comprehensive Income (Loss) | Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) – Year Ended December 31, | ||||||||||||||
2019 | 2018 | 2017 | |||||||||||||
Non-VIE
derivatives: | |||||||||||||||
Futures contracts | Net gains (losses) on derivative contracts | ( i 45 | ) | i 7 | i 11 | ||||||||||
Interest
rate swaps | Net gains (losses) on derivative contracts | ( i 6 | ) | i 1 | i 49 | ||||||||||
Credit
derivatives | Net gains (losses) on derivative contracts | i 2 | ( i 1 | ) | i 16 | ||||||||||
Total
non-VIE derivatives | ( i 50 | ) | i 7 | i 76 | |||||||||||
Variable
Interest Entities: | |||||||||||||||
Interest rate swaps | Income (loss) on variable interest entities | ( i 20 | ) | i 493 | ( i 127 | ) | |||||||||
Currency
swaps | Income (loss) on variable interest entities | ( i 12 | ) | i 11 | ( i 26 | ) | |||||||||
Total
Variable Interest Entities | ( i 32 | ) | i 505 | ( i 152 | ) | ||||||||||
Total
derivative contracts | $ | ( i 82 | ) | $ | i 512 | $ | ( i 76 | ) |
Notional - December 31, | |||||||
Type of Derivative | 2019 | 2018 | |||||
Interest
rate swaps—pay-fixed/receive-variable | $ | i 1,261 | $ | i 1,122 | |||
US
Treasury futures contracts—short | 755 | 1,760 | |||||
Interest rate swaps—receive-fixed/pay-variable | i 332 | i 493 |
Notional - December 31, | |||||||
Type of VIE Derivative | 2019 | 2018 | |||||
Interest
rate swaps—receive-fixed/pay-variable | $ | i 1,194 | $ | i 1,400 | |||
Interest
rate swaps—pay-fixed/receive-variable | i 1,176 | i 1,177 | |||||
Currency
swaps | i 329 | i 345 | |||||
Credit
derivatives | i 9 | i 10 |
2019 | 2018 | |||||||||||||||||||||||
Par
Value | Unamortized Discount | Carrying Value | Par Value | Unamortized Discount | Carrying Value | |||||||||||||||||||
Ambac Assurance: | ||||||||||||||||||||||||
5.1%
surplus notes | $ | i 531 | $ | ( i 14 | ) | $ | i 517 | $ | i 531 | $ | ( i 44 | ) | $ | i 487 | ||||||||||
5.1%
junior surplus notes | i 365 | ( i 113 | ) | i 252 | i 367 | ( i 117 | ) | i 250 | ||||||||||||||||
Ambac
note | i 1,763 | i — | i 1,763 | i 1,940 | i — | i 1,940 | ||||||||||||||||||
Tier
2 notes | i 281 | ( i 4 | ) | i 278 | i 259 | ( i 7 | ) | i 252 | ||||||||||||||||
Ambac
UK debt | i 41 | ( i 28 | ) | i 13 | i — | i — | i — | |||||||||||||||||
Long-term
debt | $ | i 2,980 | $ | ( i 159 | ) | $ | i 2,822 | $ | i 3,096 | $ | ( i 167 | ) | $ | i 2,929 |
2020 | $ | i 531 | ||
2021 | i — | |||
2022 | i — | |||
2023 | i 1,763 | |||
2024 | i — | |||
Thereafter | i 687 | |||
Total | $ | i 2,980 |
• | Par
value at December 31, 2019 and 2018 includes $ i 15 and $ i 17,
respectively, 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. A portion of the principal balance of the originally issued notes were eligible to be reduced based on rents paid to OSS by Ambac Assurance after December 31, 2015. Par value of these junior surplus notes was reduced by $ i 2
and $ i 4 during |
• | Par
value at December 31, 2019 and 2018 includes $ i 350 of a junior surplus note originally issued to AFG pursuant to AFG's Chapter 11 Reorganization Plan in accordance with the Mediation Agreement dated September 21, 2011, among AFG, Ambac Assurance, the Segregated Account, the Rehabilitator, the OCI and the Official Committee of Unsecured Creditors of AFG,
and that AFG sold to a Trust on August 28, 2014. 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 i 8.4%.
|
• | The portion of the Ambac Note issued in connection with the exchange of surplus notes ("Ambac Note A") was accounted for as a debt modification since the creditors before and after the exchange remained the same and the change in terms was not considered substantial. A substantial change is considered to be a change in cash flows of equal to or greater than 10%, and because the change in cash flows was less than 10%, debt modification accounting is appropriate. Under debt modification accounting, Ambac Note A was recorded at a discount to par based on the carrying value of the surplus notes less the cash consideration
paid. Furthermore, no gain |
• | The portion of the Ambac Note issued in connection with the exchange of Deferred Amounts ("Ambac Note B") was recorded at fair value. The Deferred Amount exchange was accounted for as an extinguishment of the Deferred Amounts with the gain reflected as a benefit to loss and loss expenses. Any consideration paid directly related to the issuance of Ambac Note B was capitalized and amortized
as part of the effective yield calculation. |
Jurisdiction | Tax
Year |
United States | 2010 |
New York State | 2013 |
New York City | 2015 |
United Kingdom | 2016 |
Italy | 2015 |
Year Ended | 2019 | 2018 | 2017 | ||||||||
U.S. | $ | ( i 174 | ) | $ | i 264 | $ | ( i 451 | ) | |||
Foreign | ( i 9 | ) | i 8 | i 167 | |||||||
Total | $ | ( i 183 | ) | $ | i 273 | $ | ( i 284 | ) |
Year
Ended | 2019 | 2018 | 2017 | ||||||||
Current taxes | |||||||||||
U.
S. federal | $ | i — | $ | ( i 2 | ) | $ | ( i 30 | ) | |||
U.S.
state and local | ( i 3 | ) | i 2 | i 2 | |||||||
Foreign | i 37 | ( i 1 | ) | i 41 | |||||||
Total
current taxes | i 34 | i — | i 13 | ||||||||
Deferred
taxes | |||||||||||
Foreign | ( i 1 | ) | i 5 | i 31 | |||||||
Total
deferred taxes | $ | ( i 1 | ) | $ | i 5 | $ | i 31 | ||||
Provision
for income taxes | $ | i 32 | $ | i 5 | $ | i 44 |
Year Ended | 2019 | 2018 | 2017 | ||||||||
Total
income taxes charged to net income | $ | i 32 | $ | i 5 | $ | i 44 | |||||
Income
taxes charged (credited) to stockholders’ equity: | |||||||||||
Unrealized gains (losses) on investment securities | i 14 | i 12 | ( i 31 | ) | |||||||
Unrealized
gains (losses) on foreign currency translations | i — | i — | i 26 | ||||||||
Valuation
allowance to equity | ( i 23 | ) | ( i 9 | ) | i 5 | ||||||
Total
charged to stockholders’ equity: | ( i 8 | ) | i 3 | i — | |||||||
Total
effect of income taxes | $ | i 24 | $ | i 8 | $ | i 44 |
2019 | 2018 | 2017 | ||||||||||||||||||
Year
Ended December 31, | Amount | % | Amount | % | Amount | % | ||||||||||||||
Tax on income from continuing operations at statutory rate | $ | ( i 38 | ) | i 21.0 | % | $ | i 57 | i 21.0 | % | $ | ( i 99 | ) | i 35.0 | % | ||||||
Changes
in expected tax resulting from: | ||||||||||||||||||||
Tax-exempt interest | ( i 3 | ) | i 1.8 | % | ( i 7 | ) | ( i 2.5 | )% | ( i 6 | ) | i 2.1 | % | ||||||||
Foreign
taxes | i 40 | ( i 22.1 | )% | i 10 | i 3.9 | % | ( i 18 | ) | i 6.2 | % | ||||||||||
Substantiation
adjustment | i 28 | ( i 15.3 | )% | ( i 60 | ) | ( i 22.0 | )% | i 36 | ( i 12.7 | )% | ||||||||||
Valuation
allowance | i 8 | ( i 4.4 | )% | i 5 | i 1.9 | % | i 128 | ( i 44.9 | )% | |||||||||||
Change
in Tax Law | i — | i — | % | ( i 2 | ) | ( i 0.7 | )% | i 2 | ( i 0.7 | )% | ||||||||||
Other,
net | ( i 2 | ) | i 1.3 | % | i 1 | i 0.4 | % | i 2 | ( i 0.7 | )% | ||||||||||
Tax
expense on income from continuing operations | $ | i 32 | ( i 17.7 | )% | $ | i 5 | i 2.0 | % | $ | i 44 | ( i 15.7 | )% |
Year
Ended | 2019 | 2018 | 2017 | ||||||||
Balance, beginning of period | $ | i — | $ | i — | $ | i — | |||||
Increases
related to prior year tax positions | i — | i — | i — | ||||||||
Decreases
related to prior year tax positions | i — | i — | i — | ||||||||
Balance,
end of period | $ | i — | $ | i — | $ | i — |
2019 | 2018 | ||||||
Deferred
tax liabilities: | |||||||
Insurance intangible | $ | i 90 | $ | i 151 | |||
Variable
interest entities | i 12 | i 19 | |||||
Investments | i 32 | i 26 | |||||
Unearned
premiums and credit fees | i 42 | i 48 | |||||
Other | i 8 | i 8 | |||||
Total
deferred tax liabilities | i 183 | i 252 | |||||
Deferred
tax assets: | |||||||
Net operating loss and capital carryforward | i 742 | i 719 | |||||
Loss
reserves | i 148 | i 227 | |||||
Debentures | i 29 | i 23 | |||||
Compensation | i 7 | i 10 | |||||
Other | i 1 | i 2 | |||||
Subtotal
deferred tax assets | i 927 | i 980 | |||||
Valuation
allowance | i 777 | i 768 | |||||
Total
deferred tax assets | i 151 | i 212 | |||||
Net
deferred tax liability | $ | i 32 | $ | i 40 |
NOL Usage Tier | Allocated NOLs | Applicable Percentage | ||
A | The
first | $ i 479 | i 15% | |
B | The
next | $ i 1,057 | after Tier A | i 40% |
C | The
next | $ i 1,057 | after Tier B | i 10% |
D | The
next | $ i 1,057 | after Tier C | i 15% |
2020 | $ | i — | ||
2021 | i — | |||
2022 | i — | |||
2023 | i — | |||
2024 | i 1 | |||
2025-2029 | i 3 | |||
Total | $ | i 5 |
Year Ended | 2019 | 2018 | 2017 | ||||||||
Stock
options | $ | i — | $ | i — | $ | i — | |||||
Restricted
stock units | i 4 | i 6 | i 2 | ||||||||
Performance
awards (1) (2) | i 8 | i 6 | i 3 | ||||||||
Total
stock-based compensation | $ | i 12 | $ | i 12 | $ | i 4 | |||||
Total
stock-based compensation (after-tax) | $ | i 12 | $ | i 12 | $ | i 4 |
(1) | Represents
expense related to performance stock unit portion of performance awards. Certain performance awards are in the form of cash. Cash based compensation expense related to performance awards granted to US employees was $ i 0, $ i 1
and $ i 2 for the years ended December 31, 2019, 2018 and 2017, respectively. |
(2) | A
performance award issued to Ambac's former Chief Executive Officer in the form of performance stock units was expensed during 2018. |
Shares | Weighted Average Exercise Price | Aggregate Intrinsic Value | Weighted Average Remaining Contractual Life (in
years) | |||||||||
Outstanding at beginning of period | i 16,667 | $ | i 20.63 | |||||||||
Granted | i — | i — | ||||||||||
Exercised | i — | i — | ||||||||||
Forfeited
or expired | i — | i — | ||||||||||
Outstanding
at end of period | i 16,667 | $ | i 20.63 | $ | i — | i 0.97 | ||||||
Exercisable | i 16,667 | $ | i 20.63 | $ | i — | i 0.97 |
Shares | Weighted Average Grant Date Fair Value | |||||
Outstanding at beginning of period | i 645,028 | $ | i 17.17 | |||
Granted | i 248,861 | i 19.75 | ||||
Delivered
or returned to plan (1) | ( i 189,832 | ) | i 16.76 | |||
Forfeited | ( i 1,478 | ) | i 20.11 | |||
Outstanding
at end of period | i 702,579 | $ | i 18.19 |
(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, 2019, Ambac purchased i 72,977 of shares from employees that settled restricted stock units to meet the required tax withholdings. |
• | AFG
performance will be evaluated relative to cumulative earnings before interest, taxes, depreciation and amortization over the vesting period (exclusive of Ambac Assurance and its subsidiaries' earnings), which is intended to reward participants for generating pre-tax income. |
• | Ambac Assurance performance will be evaluated according to changes in Ambac Assurance's assets relative to its insurance and financial obligations, which is intended to reward participants for increases in the relative value of Ambac Assurance, as well as reductions in watch list and adversely classified credits, which is intended to reward participants for de-risking the insured
portfolio. |
• | In 2019, a relative Total Shareholder Return modifier was added as an additional metric with respect to the LTIP award payouts. The modifier will cause the payout at the end of the performance period to be increased or decreased by i 10% if AFG's stock performance compared to a peer group is at or |
Shares | Weighted Average Grant Date Fair Value | |||||
Outstanding at beginning of period | i 516,999 | $ | i 17.02 | |||
Granted
(1) | i 230,391 | i 19.17 | ||||
Delivered
(2) | ( i 166,353 | ) | i 15.52 | |||
Forfeited
(1) | ( i 8,151 | ) | i 18.11 | |||
Performance
adjustment (3) | i 77,326 | i 15.52 | ||||
Outstanding
at end of period | i 650,212 | $ | i 17.98 |
(1) | Represents
performance share units at i 100% of units granted for LTIP Awards. |
(2) | Reflects the number of performance shares attributable to the performance goals attained over the completed performance period and for which service conditions have been met. When performance 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, 2019, Ambac purchased i 64,086 of shares from employees that settled performance based restricted stock units to meet the required tax withholdings. |
(3) | Represents
the increase (decrease) in shares issued for awards granted in 2016 based upon the attainment of performance metrics at the end of the performance period. |
Year Ended December 31, | 2019 | |||
Operating
lease cost | $ | i 7 | ||
Variable lease cost | i — | |||
Sublease
income | ( i 1 | ) | ||
Total lease cost | $ | i 7 |
Year
Ended December 31, | 2019 | |||
Cash paid for amounts included in the measurement of operating lease liabilities | $ | 6 | ||
Right-of-use assets obtained in exchange for operating lease liabilities (non-cash) (1) | i 30 |
(1)
| Includes right-of-use assets of $ i 14 for the year ended December 31, 2019 for leases which existed prior to the New Lease Standard implementation date of January 1, 2019. |
2019 | ||||
Operating leases: | ||||
Operating lease right of use assets | $ | i 25 | ||
Operating
lease liabilities | i 29 | |||
Weighted average remaining lease term: | ||||
Operating leases | i 9.9
years | |||
Weighted average discount rate: | ||||
Operating leases | i 7.9 | % |
As of December 31, 2019 | Operating Leases | |||
2020 | $ | i 4 | ||
2021 | i 4 | |||
2022 | i 4 | |||
2023 | i 4 | |||
2024 | i 4 | |||
Thereafter | i 22 | |||
Total
lease payments | i 42 | |||
Less: imputed interest | ( i 13 | ) | ||
Total | $ | i 29 |
As of December 31, 2019 | Operating Leases | |||
2020 | $ | i 1 | ||
2021 | i 1 | |||
2022 | i 1 | |||
2023 | i 1 | |||
2024 | i 1 | |||
Thereafter | i 6 | |||
Total
lease receipts | $ | i 12 |
• | 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, Case No. 651217/2012, filed April 16, 2012). Ambac Assurance has asserted claims for breach of contract, fraudulent inducement, indemnification, reimbursement and has requested the repurchase of loans that breach representations and warranties as required under the contracts. On July 18, 2013 the court granted in part and denied in part Defendants’ motion to dismiss (filed on July 13, 2012). 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 denied dismissal of Ambac
Assurance’s other contractual claims and fraudulent inducement claim. 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, Case No. 651612/2010, filed on September 28, 2010). Ambac Assurance’s Second Amended Complaint, filed on May 28, 2013, asserted claims against Countrywide and Bank of America (as successor to Countrywide’s liabilities)
for breach of contract, fraudulent inducement, indemnification and reimbursement, and breach of representations and warranties. Ambac Assurance also requested the repurchase of loans that breach representations and warranties as required under the contracts. On May 1, 2015, the parties filed motions for partial summary judgment regarding Ambac Assurance’s claims against Countrywide (primary-liability claims) and its secondary-liability claims against Bank of America. In decisions issued on October 27, 2015, the court granted in part and denied in part the parties’ respective summary judgment motions regarding Ambac Assurance’s claims against Countrywide and granted Ambac Assurance’s motion
for partial summary judgment on its secondary-liability claims against Bank of America and denied Bank of America’s motion for summary judgment regarding this claim. Each party appealed certain aspects of the court’s decisions to the New York Appellate Division, First Department. On May 16, 2017, the First Department issued rulings in both appeals, reversing a number of rulings that the trial court had made and affirming other rulings. On June 15, 2017, Ambac Assurance sought leave from the First Department to appeal certain rulings in its May 16, 2017 decision to the Court of Appeals, which the First Department granted on July 25, 2017. On June 27, 2018, the Court of Appeals denied Ambac Assurance’s appeal and affirmed
the rulings of the First Department. |
• | 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, Case No. 651359/2013, filed on April
15, 2013). Ambac Assurance has asserted claims for material breach of contract and has requested the repurchase of loans that breach representations and warranties under the contracts. Ambac Assurance also asserted alter ego claims against Nomura Holding America, Inc. Defendants filed a motion to dismiss on July 12, 2013. On September 22, 2014, plaintiffs filed an amended complaint which added (in addition to the claims previously asserted) a claim for fraudulent inducement. On October 31, 2014 defendants filed a motion to strike the amended complaint and on November 10, 2014 also filed a
motion to dismiss the fraudulent-inducement claim. On June 3, 2015, the court denied defendants’ July 2013 motion to dismiss Ambac Assurance’s claim for breaches of representations and warranties, but granted the defendants’ motion to dismiss Ambac Assurance’s claims for breach of the repurchase protocol and for alter ego liability against Nomura Holding. On December 29, 2016, the court denied Nomura’s motion to strike Ambac Assurance’s amended complaint and its motion to dismiss the fraudulent-inducement claim. Nomura appealed the June 2015 decision to the extent it denied its motion to dismiss, filing its opening appellate brief on March |
• | Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation v. Countrywide Home Loans, Inc. (Supreme Court of the State of New York, County of New York, Case No. 652321/2015, filed on June 30, 2015). On June 30, 2015, Ambac Assurance and the Segregated Account filed a Summons with Notice in New York Supreme Court (the “2015 New York Action”), asserting claims identical to claims they asserted in a litigation filed on December
30, 2014 in Wisconsin Circuit Court for Dane County, Case No 14 CV 3511 (the “Wisconsin Action”). Specifically, in each action Ambac Assurance asserted a claim for fraudulent inducement in connection with its 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. 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. Countrywide opposed plaintiffs’ motion to stay and on August 10, 2015, Countrywide filed a motion to dismiss the complaint. On September 20, 2016, the court granted Ambac Assurance’s motion to stay
and held Countrywide’s motion to dismiss in abeyance pending resolution of the Wisconsin Action. Following the dismissal of the Wisconsin Action on March 13, 2018, the court in the 2015 New York Action vacated its stay on March 30, 2018, and restored Countrywide’s motion to dismiss to the calendar. The parties submitted supplemental letter briefs on April 11, 2018 addressing newly-issued relevant authority. |
• | 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, Case No. 653979/2014, filed on December 30, 2014). Ambac Assurance asserted 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. On December 20, 2016, the court denied defendants’ motion to dismiss. Discovery has been completed. The court has not yet
set a schedule for summary judgment or for trial. |
• | Ambac Assurance Corporation v. U.S. Bank National Association (United States District Court, Southern District of New York, Docket No. 18-cv-5182 (LGS), filed June 8, 2018 (the “SDNY Action”)); In the matter of HarborView Mortgage Loan Trust 2005-10 (Minnesota state court, Docket No. 27-TR-CV-17-32 (the “Minnesota Action”)). These two actions relate to U.S. Bank National Association’s (“U.S. Bank”) acceptance of a proposed settlement in a separate litigation that U.S. Bank is prosecuting, as trustee, related to the Harborview Mortgage Loan Trust, Series 2005-10 |
• | Ambac
Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. U.S. Bank National Association (United States District Court, Southern District of New York, Docket No. 17-cv-02614, filed April 11, 2017). Ambac Assurance has asserted claims for breach of contract, |
• | In re application of Deutsche Bank National
Trust Company as Trustee of the Harborview Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series 2006-9 (Supreme Court of the State of New York, County of New York, No. 654208/2018), filed August 23, 2018 (the “Trust Instruction Proceeding”). This action relates to Deutsche Bank National Trust Company’s (“DBNT”) proposed settlement of claims related to the Harborview Mortgage Loan Trust Series 2006-9 (“Harborview 2006-09”). On August 23, 2018, DBNT filed a Petition commencing the Trust Instruction Proceeding, seeking judicial instruction pursuant to CPLR Article 77, inter alia, to accept the proposed settlement with respect of claims relating to Harborview 2006-9. On September 6, 2018, the court entered an Order to
Show Cause, setting out procedures for DBNT to give notice of the proceedings and for interested persons to appear. On November 2, 2018, Ambac Assurance and other interested persons filed notices of intention to appear and answers to DBNT’s petition, and on November 29, 2018 various parties filed responses to answers. In its answer, Ambac Assurance opposed DBNT’s request for an order instructing it to accept the proposed settlement on the basis that DBNT breached its obligations by failing to investigate and enforce breaches of representations and warranties in Harborview 2006-09, failing to immediately reject the proposed settlement, and instituting an inadequate certificateholder approval process. Ambac sought a period of discovery before resolution on the merits. Ambac Assurance has issued document requests to DBNT and subpoenas for documents to Countrywide Home
Loans and Bank of America N.A. and DBNT has issued document requests to Ambac Assurance. The parties have exchanged documents. DBNT and Ambac Assurance have each served a notice of corporate deposition upon the other. On October 30, 2019, the court ruled that Ambac Assurance does not need to present a witness for deposition. Under the current case schedule discovery is to be completed by March 10, 2020 and merits briefing by July 10, 2020. |
2019
Quarters | 2018 Quarters | |||||||||||||||||||||||||||||||
First | Second | Third | Fourth | First | Second | Third | Fourth | |||||||||||||||||||||||||
Gross
premiums written | $ | i 3 | $ | ( i 21 | ) | $ | ( i 13 | ) | $ | i 2 | $ | i 4 | $ | ( i 1 | ) | $ | ( i 23 | ) | $ | ( i 5 | ) | |||||||||||
Net
premiums earned | i 28 | i 8 | i 10 | i 20 | i 31 | i 26 | i 26 | i 29 | ||||||||||||||||||||||||
Net
investment income | i 55 | i 86 | i 45 | i 42 | i 110 | i 67 | i 58 | i 37 | ||||||||||||||||||||||||
Net
other than temporary impairment losses | i — | i — | i — | i — | i — | ( i 1 | ) | i — | ( i 2 | ) | ||||||||||||||||||||||
Net
realized investment gains (losses) | i 17 | i 36 | i 18 | i 9 | i 5 | i 47 | i 30 | i 29 | ||||||||||||||||||||||||
Net
gains (losses) on derivative contracts | ( i 16 | ) | ( i 35 | ) | ( i 10 | ) | i 12 | i 25 | i 9 | i 18 | ( i 45 | ) | ||||||||||||||||||||
Net
realized gains (losses) on extinguishment of debt | i — | i — | i — | i — | i 3 | i — | i — | i — | ||||||||||||||||||||||||
Other
income (loss) | i 1 | ( i 9 | ) | i 141 | i 1 | ( i 1 | ) | i 2 | i 1 | i 2 | ||||||||||||||||||||||
Income
(loss) on Variable Interest Entities | i 16 | i 3 | i 11 | i 7 | i 1 | i 1 | i 2 | i — | ||||||||||||||||||||||||
Losses
and loss expenses (benefit) | i 12 | ( i 133 | ) | i 37 | i 97 | ( i 247 | ) | i 33 | i 34 | ( i 42 | ) | |||||||||||||||||||||
Insurance
intangible amortization | i 36 | i 226 | i 17 | i 15 | i 29 | i 23 | i 26 | i 29 | ||||||||||||||||||||||||
Operating
expenses | i 25 | i 29 | i 26 | i 23 | i 36 | i 26 | i 28 | i 21 | ||||||||||||||||||||||||
Interest
expense | i 68 | i 67 | i 67 | i 66 | i 48 | i 62 | i 66 | i 66 | ||||||||||||||||||||||||
Pre-tax
income (loss) | ( i 41 | ) | ( i 100 | ) | i 69 | ( i 111 | ) | i 308 | i 6 | ( i 20 | ) | ( i 22 | ) | |||||||||||||||||||
Net
income (loss) | ( i 43 | ) | ( i 128 | ) | i 66 | ( i 110 | ) | i 306 | i 4 | ( i 22 | ) | ( i 20 | ) | |||||||||||||||||||
Net
income (loss) attributable to Common Stockholders | $ | ( i 43 | ) | $ | ( i 128 | ) | $ | i 66 | $ | ( i 110 | ) | $ | i 306 | $ | i 4 | $ | ( i 104 | ) | $ | ( i 20 | ) | |||||||||||
Net
income (loss) per share: | ||||||||||||||||||||||||||||||||
Basic | $ | ( i 0.94 | ) | $ | ( i 2.79 | ) | $ | i 1.44 | $ | ( i 2.40 | ) | $ | i 6.72 | $ | i 0.09 | $ | ( i 2.27 | ) | $ | ( i 0.45 | ) | |||||||||||
Diluted | $ | ( i 0.94 | ) | $ | ( i 2.79 | ) | $ | i 1.41 | $ | ( i 2.40 | ) | $ | i 6.70 | $ | i 0.09 | $ | ( i 2.27 | ) | $ | ( i 0.45 | ) |
Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure — No matters require disclosure. |
1. | The provisions of the By-laws governing notices of meetings of
stockholders and directors were amended to address providing notice (and the waiver of notice) by electronic transmission, including electronic mail. |
2. | The provisions of the By-laws regarding proxies, stockholder action by consent in lieu of a meeting, and director action by consent in lieu of a meeting, were also amended to conform to the current provisions of the DGCL regarding those matters as they relate to granting proxies and acting by consent via electronic transmission. |
3. | The provision of the By-laws regarding stockholder addresses was also amended to specifically address stockholder electronic mail addresses. |
4. | In
connection with these amendments, the definition of “electronic transmission” in the By-laws was amended to comport with the current definition of that term in the DGCL, and definitions of the terms “electronic mail,” “electronic mail address,” and “document” were added (again tracking the similar definitions of those terms in the DGCL). |
Item 10. | Directors, Executive Officers and Corporate Governance |
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 Third Column) | |||||
Equity compensation plans approved by security holders | 2013 Incentive Compensation Plan (1) | 2,065,150 (2) (3) | $20.63 (4) | 1,383,489 (5) | ||||
Equity
compensation plans not approved by security holders | None | --- | --- | --- | ||||
Total | 2,065,150 (2) (3) (4) | $20.63
(5) | — |
(1) | Our 2013 Incentive Compensation Plan was approved by the stockholders of AFG on December 18, 2013. The total number of shares of AFG common stock available for issuance under the 2013 Incentive Compensation Plan is 4,000,000. |
(2) | Represents, as of December 31,
2019, 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 15. 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. This amount includes 702,579 restricted stock units, 16,667 options and 1,345,904 performance stock units which are based on the maximum number of shares potentially payable under the awards. Maximum number of shares potentially payable under performance awards range from 200% to 220% of target. |
(3) | Each
restricted stock unit, stock option and performance stock unit awarded under our 2013 Incentive Compensation Plan was granted at no cost to the persons receiving them. Restricted stock units represent the contingent right to receive the equivalent number of shares of AFG common stock and may vest after the passage of time. Stock options represent the right to acquire an equivalent number of shares of AFG 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 AFG common stock ranging from 0% to 220% of the number of units granted depending upon the achievement of certain company-wide performance goals at the end of a specified performance period. |
(4) | Reflects
the weighted-average price of all outstanding options that had been granted but not forfeited, expired or exercised. Performance shares and restricted stock units are not included in determining the weighted-average price as they have no exercise price. |
(5) | The number of securities remaining available for future issuance under compensation plans considering the target number of performance stock units are 2,079,181. |
Item 13. | Certain
Relationships and Related Transactions, and Director Independence |
(a) | Documents filed as a part of this report: |
1. | Financial
Statements |
2. | Financial Statement Schedules |
Exhibit Description | Form | Filing Date | Exhibit Number | ||||||||
3.1 | 8-A | 05/01/13 | 3.2 | ||||||||
3.2 | X | ||||||||||
4.1 | 8-A | 05/01/13 | |||||||||
4.2 | 8-A | 05/01/13 | 4.1 | ||||||||
4.3 | 8-A | 05/01/13 | 4.2 | ||||||||
4.4 | |||||||||||
4.5 | 10-K | 03/03/14 | 4.5 | ||||||||
4.6 | 10-K | 03/03/14 | 4.6 | ||||||||
4.7 | 10-K | 03/03/14 | 4.7 | ||||||||
4.8 | 10-K | 03/03/14 | 4.8 | ||||||||
4.9 | 10-K | 03/03/14 | 4.9 | ||||||||
4.10 | 10-K | 03/03/14 | 4.10 | ||||||||
4.11 | |||||||||||
4.12 | 8-K | 06/08/10 | 10.3 | ||||||||
4.13 | 10-Q | 11/09/15 | 4.1 | ||||||||
4.14 | 8-K | 02/15/18 | 4.1 |
Exhibit Description | Form | Filing Date | Exhibit Number | ||||||||
4.15 | 8-K | 02/15/18 | 4.3 | ||||||||
4.16 | 8-K | 02/15/18 | 4.4 | ||||||||
4.17 | 10-K | 02/28/19 | 4.16 | ||||||||
10.1 | 8-K | 08/28/14 | 99.2 | ||||||||
10.2 | DEF 14A | 11/08/13 | A | ||||||||
10.3 | 10-Q | 08/11/14 | 10.1 | ||||||||
10.4 | 10-K | 03/03/14 | 10.4 | ||||||||
10.5 | 10-K | 03/03/14 | 10.5 | ||||||||
10.6 | 8-K | 05/03/13 | 10.2 | ||||||||
10.7 | 8-K | 05/03/13 | 10.1 | ||||||||
10.8 | 10-K | 03/03/14 | 10.12 | ||||||||
10.9 | 8-K | 09/27/11 | 10.3 | ||||||||
10.10 | 8-K | 09/27/11 | 10.2 | ||||||||
10.11 | 10-K | 03/16/11 | 10.34 | ||||||||
10.12 | 10-K | 03/16/11 | 10.33 | ||||||||
10.13 | 10-Q | 11/15/10 | 10.1 | ||||||||
10.14 | 10-Q | 05/17/10 | 10.26 | ||||||||
10.15 | 10-K | 04/09/10 | 10.23 | ||||||||
10.16 | 10-K | 02/29/16 | 10.27 | ||||||||
10.17 | X |
Exhibit
Description | Form | Filing Date | Exhibit Number | ||||||||
10.18 | 8-K | 03/29/16 | 10.3 | ||||||||
10.19 | 10-Q | 11/03/16 | 10.2 | ||||||||
10.20 | 8-K | 12/13/16 | 10.1 | ||||||||
10.21 | 8-K | 01/06/17 | 10.1 | ||||||||
10.22 | 8-K | 07/20/17 | 10.1 | ||||||||
10.23 | 8-K | 07/20/17 | 10.2 | ||||||||
10.24 | 8-K | 09/26/17 | 10.1 | ||||||||
10.25 | 8-K | 02/15/18 | 10.1 | ||||||||
10.26 | 8-K | 02/15/18 | 10.2 | ||||||||
10.27 | 8-K | 02/15/18 | 10.3 | ||||||||
10.28 | 8-K | 02/15/18 | 10.4 | ||||||||
10.29 | 8-K | 02/15/18 | 10.5 | ||||||||
10.30 | 10-K | 02/28/18 | 10.38 | ||||||||
10.31 | 10-K | 02/28/18 | 10.39 | ||||||||
10.32 | 10-K | 02/28/18 | 10.40 | ||||||||
10.33 | 10-K | 02/28/19 | 10.37 | ||||||||
10.34 | 10-Q | 05/09/18 | 10.1 | ||||||||
10.35 | 10-Q | 05/09/18 | 10.2 |
Exhibit
Description | Form | Filing Date | Exhibit Number | ||||||||
10.36 | 10-Q | 05/09/18 | 10.3 | ||||||||
10.37 | 10-Q | 05/09/18 | 10.4 | ||||||||
10.38 | 10-Q | 05/09/18 | 10.5 | ||||||||
10.39 | 8-K | 06/25/18 | 10.1 | ||||||||
10.40 | 10-Q | 05/09/19 | 10.1 | ||||||||
10.41 | 10-Q | 05/09/19 | 10.2 | ||||||||
10.42 | 10-Q | 05/09/19 | 10.5 | ||||||||
10.43 | 10-Q | 08/08/19 | 10.1 | ||||||||
10.44 | 10-Q | 08/08/19 | 10.2 | ||||||||
10.45 | X | ||||||||||
10.46 | X | ||||||||||
(99) Additional exhibits | |||||||||||
99.1 | 10-Q | 11/10/14 | 99.1 | ||||||||
99.2 | 10-K | 03/03/14 | 99.3 | ||||||||
99.3 | 10-K | 03/16/11 | 99.2 | ||||||||
99.4 | 10-Q | 08/09/10 | 99.1 | ||||||||
Other
exhibits, filed or furnished, as indicated: | |||||||||||
21.1 | X | ||||||||||
23.1 | X | ||||||||||
24.1 | X | ||||||||||
31.1 | X | ||||||||||
31.2 | X | ||||||||||
32.1++ | X | ||||||||||
101.INS | XBRL Instance Document. | ||||||||||
101.SCH | XBRL
Taxonomy Extension Schema Document. | ||||||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document. |
Exhibit Description | Form | Filing Date | Exhibit Number | ||||||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document. | ||||||||||
101.PRE | XBRL
Taxonomy Extension Presentation Linkbase Document. | ||||||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. | ||||||||||
104 | Cover
Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags or embedded within the Inline XBRL document | ||||||||||
++
Furnished herewith. |
Type
of Investment ($ in millions) | Cost | Estimated Fair Value | Amount at Which Shown in the Balance Sheet | |||||||||
Municipal obligations | $ | i 194 | $ | i 215 | $ | i 215 | ||||||
Corporate
obligations | i 1,396 | i 1,430 | i 1,430 | |||||||||
Foreign
obligations | i 44 | i 44 | i 44 | |||||||||
U.S.
government obligations | i 157 | i 156 | i 156 | |||||||||
Residential
mortgage-backed securities | i 200 | i 248 | i 248 | |||||||||
Commercial
mortgage-backed securities | i 49 | i 50 | i 50 | |||||||||
Collateralized
debt obligations | i 147 | i 146 | i 146 | |||||||||
Other
asset-backed securities | i 263 | i 287 | i 287 | |||||||||
Short-term | i 737 | i 737 | i 737 | |||||||||
Other | i 388 | i 493 | i 478 | |||||||||
Total | $ | i 3,575 | $ | i 3,807 | $ | i 3,792 |
($
in millions, except share data) December 31, | 2019 | 2018 | |||||
Assets: | |||||||
Fixed income securities, at fair value (amortized cost: 2019—$71 and 2018—$151) | $ | i 70 | $ | i 148 | |||
Short-term
investments, at cost (approximates fair value) | i 318 | i 193 | |||||
Other
investments | i 46 | i 40 | |||||
Total
investments | i 434 | i 381 | |||||
Cash | i 9 | i 15 | |||||
Investment
in subsidiaries | i 993 | i 1,148 | |||||
Investment
income due and accrued | i 1 | i 1 | |||||
Current
taxes receivable (1) | i 30 | i 44 | |||||
Other
assets | i 11 | i 3 | |||||
Total
assets | $ | i 1,478 | $ | i 1,593 | |||
Liabilities
and Stockholders' Equity: | |||||||
Liabilities: | |||||||
Accounts payable and other liabilities | $ | i 2 | $ | i 1 | |||
Total
liabilities | i 2 | i 1 | |||||
Stockholders’
equity: | |||||||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized shares; issued and outstanding shares—none | i — | i — | |||||
Common
stock, par value $0.01 per share; 130,000,000 shares authorized; issued shares: 45,571,743 and 45,365,170 | i — | i — | |||||
Additional
paid-in capital | i 232 | i 219 | |||||
Accumulated
other comprehensive income (loss) | i 42 | ( i 49 | ) | ||||
Retained
earnings | i 1,203 | i 1,421 | |||||
Treasury
stock, shares at cost: 16,343 and 28,892 | i — | i — | |||||
Total
Ambac Financial Group, Inc. stockholders’ equity | i 1,477 | i 1,592 | |||||
Total
liabilities and stockholders’ equity | $ | i 1,478 | $ | i 1,593 |
(1) | As of December 31, 2019, and December 31, 2018, $ i 28 and $ i 44,
respectively, relate to receivables from the Registrant's wholly-owned subsidiary, Ambac Assurance Corporation, pursuant to the intercompany tax sharing agreement, with the remainder being state income taxes. |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Revenues: | |||||||||||
Investment
income | $ | i 19 | $ | i 28 | $ | i 24 | |||||
Other
than temporary impairments | ( i 2 | ) | ( i 1 | ) | ( i 1 | ) | |||||
Net
realized gains (losses) | i 1 | ( i 1 | ) | ( i 7 | ) | ||||||
Total
revenues | i 18 | i 26 | i 17 | ||||||||
Expenses: | |||||||||||
Operating
expenses | i 16 | i 8 | i 4 | ||||||||
Total
expenses | i 16 | i 8 | i 4 | ||||||||
Income
(loss) before income taxes and equity in undistributed net loss of subsidiaries | i 2 | i 17 | i 13 | ||||||||
Federal
income tax provision (benefit) | ( i 5 | ) | ( i 11 | ) | ( i 29 | ) | |||||
Income
before equity in undistributed net income (loss) of subsidiaries | i 7 | i 28 | i 43 | ||||||||
Equity
in undistributed net income (loss) of subsidiaries | ( i 223 | ) | i 157 | ( i 371 | ) | ||||||
Net
income (loss) | $ | ( i 216 | ) | $ | i 186 | $ | ( i 329 | ) | |||
Other
comprehensive income (loss), after tax: | |||||||||||
Net income (loss) | $ | ( i 216 | ) | $ | i 186 | $ | ( i 329 | ) | |||
Unrealized
gains (losses) on securities, net of income tax provision (benefit) of $(8), $2 and $0 | i 65 | i 55 | ( i 82 | ) | |||||||
Gains
(losses) on foreign currency translation, net of income tax provision (benefit) of $0, $0 and $0 | i 26 | ( i 48 | ) | i 74 | |||||||
Credit
risk changes of fair value option liabilities, net of income tax provision (benefit) of $0, $0 and $0 | i — | i 1 | i — | ||||||||
Changes
to postretirement benefit, net of income tax provision (benefit) of $0, $0 and $0 | ( i 1 | ) | ( i 2 | ) | i 1 | ||||||
Total
other comprehensive income (loss) | i 91 | i 6 | ( i 7 | ) | |||||||
Total
comprehensive income (loss) attributable to Ambac Financial Group, Inc. | $ | ( i 125 | ) | $ | i 192 | $ | ( i 335 | ) |
($ in millions) | Total | Retained Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional
Paid-in Capital | Common Stock Held in Treasury, at Cost | ||||||||||||||||||||
Balance at January 1, 2019 | $ | i 1,592 | $ | i 1,421 | $ | ( i 49 | ) | $ | i — | $ | i — | $ | i 219 | $ | i — | ||||||||||||
Total
comprehensive income (loss) | ( i 125 | ) | ( i 216 | ) | i 91 | — | — | — | — | ||||||||||||||||||
Stock-based
compensation | i 12 | — | — | — | — | i 12 | — | ||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 3 | ) | ( i 3 | ) | — | — | — | — | i — | ||||||||||||||||||
Balance
at December 31, 2019 | $ | i 1,477 | $ | i 1,203 | $ | i 42 | $ | i — | $ | i — | $ | i 232 | $ | i — | |||||||||||||
Balance
at Balance at January 1, 2018 | $ | i 1,381 | $ | i 1,234 | $ | ( i 52 | ) | $ | i — | $ | i — | $ | i 200 | $ | i — | ||||||||||||
Total
comprehensive income (loss) | i 192 | i 186 | i 6 | — | — | — | — | ||||||||||||||||||||
Adjustment
to initially apply ASU 2016-01 | i — | i 3 | ( i 3 | ) | — | — | — | — | |||||||||||||||||||
Stock-based
compensation | i 12 | — | — | — | — | i 12 | i — | ||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 1 | ) | ( i 1 | ) | — | — | — | — | i — | ||||||||||||||||||
Issuance
of warrants | i 8 | i 8 | |||||||||||||||||||||||||
Balance
at December 31, 2018 | $ | i 1,592 | $ | i 1,421 | $ | ( i 49 | ) | $ | i — | $ | i — | $ | i 219 | $ | i — | ||||||||||||
Balance
at January 1, 2017 | $ | i 1,714 | $ | i 1,558 | $ | ( i 39 | ) | $ | i — | $ | i — | $ | i 195 | $ | i — | ||||||||||||
Total
comprehensive income (loss) | ( i 335 | ) | ( i 329 | ) | ( i 7 | ) | — | — | — | — | |||||||||||||||||
Adjustment
to initially apply ASU 2018-02 | i — | i 7 | ( i 7 | ) | — | — | — | — | |||||||||||||||||||
Stock-based
compensation | i 4 | — | — | — | — | i 4 | — | ||||||||||||||||||||
Cost
of shares (acquired) issued under equity plan | ( i 2 | ) | ( i 2 | ) | — | — | — | — | i — | ||||||||||||||||||
Balance
at December 31, 2017 | $ | i 1,381 | $ | i 1,234 | $ | ( i 52 | ) | $ | i — | $ | i — | $ | i 200 | $ | i — |
($ in millions) Year Ended December 31, | 2019 | 2018 | 2017 | ||||||||
Cash
flows from operating activities: | |||||||||||
Net income (loss) | $ | ( i 216 | ) | $ | i 186 | $ | ( i 329 | ) | |||
Adjustments
to reconcile net income loss to net cash used in operating activities: | |||||||||||
Equity in undistributed net (income) loss of subsidiaries | i 223 | ( i 157 | ) | i 371 | |||||||
Amortization
of bond premium and discount | ( i 6 | ) | ( i 7 | ) | ( i 17 | ) | |||||
Other-than-temporary
impairment charges | i 2 | i 1 | i 1 | ||||||||
Net
realized gains (losses) | ( i 1 | ) | i 1 | i 7 | |||||||
Increase
(decrease) in current income taxes payable | i 15 | ( i 15 | ) | ( i 1 | ) | ||||||
Share-based
compensation | i 12 | i 12 | i 4 | ||||||||
(Increase)
decrease in other assets | ( i 8 | ) | i 12 | ( i 11 | ) | ||||||
Other,
net | ( i 6 | ) | i — | ( i 10 | ) | ||||||
Net
cash provided by (used in) operating activities | i 16 | i 32 | i 16 | ||||||||
Cash
flows from investing activities: | |||||||||||
Proceeds from matured bonds | i 86 | i 230 | i 187 | ||||||||
Purchases
of bonds | ( i 2 | ) | ( i 137 | ) | ( i 196 | ) | |||||
Change
in short-term investments | ( i 125 | ) | ( i 123 | ) | ( i 3 | ) | |||||
Change
in other investments | i — | i 25 | ( i 35 | ) | |||||||
Sale
of auction market preferred shares of Ambac Assurance | i 19 | — | — | ||||||||
Purchase
of auction market preferred shares of Ambac Assurance | i — | ( i 11 | ) | i — | |||||||
Other,
net | i — | ( i 5 | ) | i 3 | |||||||
Net
cash provided by (used in) investing activities | ( i 22 | ) | ( i 21 | ) | ( i 44 | ) | |||||
Cash
flows from financing activities: | |||||||||||
Net cash flow | ( i 6 | ) | i 11 | ( i 28 | ) | ||||||
Cash
at beginning of period | i 15 | i 4 | i 32 | ||||||||
Cash
at end of period | $ | i 9 | $ | i 15 | $ | i 4 | |||||
Supplemental
disclosure of cash flow information: | |||||||||||
Cash paid during the period for: | |||||||||||
Income taxes | $ | i 1 | $ | i 4 | $ | i 1 | |||||
Non-cash
financing activity: | |||||||||||
Issuance of warrants in connection with purchase of auction market preferred shares of Ambac Assurance | $ | — | $ | i 8 | $ | — |
Insurance
Premiums Written ($ in millions) | Gross Amount | Ceded to Other Companies | Assumed from Other Companies | Net Amount | Percentage of Amount Assumed
to Net | ||||||||||||
Year Ended December 31, 2019 | $ | ( i 28 | ) | $ | i 31 | $ | i — | $ | ( i 60 | ) | i —% | ||||||
Year
Ended December 31, 2018 | ( i 24 | ) | i 17 | $ | i — | ( i 41 | ) | i —% | |||||||||
Year
Ended December 31, 2017 | ( i 14 | ) | ( i 2 | ) | i — | ( i 12 | ) | i —% |
AMBAC
FINANCIAL GROUP, INC. | |||
Dated: | By: | /S/ DAVID TRICK | |
Executive Vice President and Chief Financial Officer |
Signature | Title | Date | ||
/S/
JEFFREY S. STEIN* | Chairman of the Board and Director | |||
/S/
CLAUDE LEBLANC | President, Chief Executive Officer and Director | |||
(Principal Executive Officer) | ||||
/S/
DAVID TRICK | Executive Vice President and Chief Financial Officer | |||
(Principal Financial Officer) | ||||
/S/
ROBERT B. EISMAN | Senior Managing Director and Chief Accounting Officer | |||
(Principal Accounting Officer) | ||||
/S/
ALEXANDER D. GREENE* | Director | |||
/S/
IAN D. HAFT* | Director | |||
/S/
DAVID L. HERZOG* | Director | |||
/S/
C. JAMES PRIEUR* | Director | |||
/S/
JOAN LAMM-TENNANT* | Director | |||
*By: Stephen M. Ksenak | Attorney-in-fact |
This ‘10-K’ Filing | Date | Other Filings | ||
---|---|---|---|---|
5/2/36 | ||||
7/1/35 | ||||
12/31/34 | ||||
12/31/29 | ||||
12/31/24 | ||||
12/31/23 | ||||
4/30/23 | ||||
2/12/23 | ||||
12/31/22 | ||||
3/17/22 | ||||
12/31/21 | ||||
9/17/21 | ||||
12/31/20 | ||||
12/17/20 | ||||
12/15/20 | ||||
9/30/20 | ||||
7/13/20 | ||||
7/10/20 | ||||
6/30/20 | 10-Q | |||
6/8/20 | ||||
6/7/20 | ||||
5/13/20 | 4 | |||
4/27/20 | ||||
4/2/20 | ||||
3/31/20 | 10-Q | |||
3/10/20 | ||||
Filed on: | 3/2/20 | 4, 8-K | ||
2/28/20 | ||||
2/27/20 | ||||
2/26/20 | ||||
2/24/20 | ||||
2/19/20 | ||||
2/13/20 | ||||
2/10/20 | ||||
2/9/20 | ||||
2/7/20 | ||||
2/5/20 | ||||
2/3/20 | 25 | |||
1/31/20 | ||||
1/30/20 | 8-A12B, CERT | |||
1/21/20 | ||||
1/17/20 | ||||
1/16/20 | ||||
1/14/20 | ||||
1/13/20 | ||||
1/1/20 | ||||
For Period end: | 12/31/19 | |||
12/19/19 | ||||
12/15/19 | ||||
12/12/19 | ||||
11/27/19 | ||||
11/20/19 | ||||
11/1/19 | ||||
10/31/19 | ||||
10/30/19 | ||||
10/24/19 | ||||
10/21/19 | ||||
10/17/19 | ||||
10/15/19 | ||||
10/11/19 | ||||
10/10/19 | ||||
10/9/19 | ||||
10/4/19 | ||||
9/27/19 | ||||
9/26/19 | ||||
9/17/19 | ||||
9/1/19 | ||||
8/30/19 | ||||
7/24/19 | ||||
7/16/19 | ||||
7/9/19 | ||||
6/30/19 | 10-Q | |||
6/27/19 | ||||
6/25/19 | ||||
6/24/19 | ||||
6/21/19 | ||||
6/18/19 | ||||
6/17/19 | ||||
6/16/19 | ||||
6/14/19 | ||||
6/13/19 | ||||
6/12/19 | ||||
6/7/19 | ||||
5/30/19 | 4, 4/A | |||
5/20/19 | ||||
5/9/19 | 10-Q, 8-K | |||
5/2/19 | ||||
4/25/19 | ||||
4/22/19 | ||||
4/12/19 | ||||
4/11/19 | ||||
3/26/19 | ||||
3/12/19 | ||||
2/21/19 | 4 | |||
2/20/19 | ||||
2/19/19 | ||||
2/15/19 | ||||
2/12/19 | ||||
2/11/19 | ||||
2/4/19 | ||||
1/14/19 | ||||
1/1/19 | ||||
12/31/18 | 10-K, DEF 14A | |||
12/30/18 | ||||
12/21/18 | ||||
12/17/18 | ||||
11/29/18 | ||||
11/20/18 | ||||
11/14/18 | ||||
11/13/18 | ||||
11/2/18 | ||||
10/23/18 | ||||
10/19/18 | ||||
9/30/18 | 10-Q | |||
9/28/18 | ||||
9/27/18 | ||||
9/20/18 | ||||
9/17/18 | ||||
9/6/18 | ||||
9/4/18 | ||||
8/23/18 | ||||
8/3/18 | 8-K | |||
8/1/18 | ||||
7/17/18 | ||||
7/3/18 | 8-K | |||
6/30/18 | 10-Q | |||
6/29/18 | ||||
6/27/18 | ||||
6/22/18 | 8-K | |||
6/15/18 | ||||
6/8/18 | ||||
6/1/18 | ||||
4/16/18 | ||||
4/11/18 | ||||
4/10/18 | ||||
4/3/18 | ||||
3/30/18 | ||||
3/13/18 | ||||
3/9/18 | ||||
2/27/18 | ||||
2/12/18 | 8-K | |||
2/7/18 | ||||
1/22/18 | ||||
1/16/18 | ||||
1/12/18 | 8-K | |||
1/1/18 | ||||
12/31/17 | 10-K, DEF 14A | |||
12/22/17 | ||||
12/7/17 | ||||
11/21/17 | ||||
11/13/17 | 4 | |||
11/7/17 | ||||
10/30/17 | ||||
10/27/17 | ||||
10/25/17 | ||||
10/23/17 | ||||
10/9/17 | ||||
9/25/17 | ||||
9/20/17 | ||||
9/18/17 | ||||
9/15/17 | ||||
9/8/17 | ||||
8/28/17 | ||||
8/10/17 | ||||
7/28/17 | ||||
7/25/17 | ||||
7/7/17 | ||||
6/30/17 | 10-Q | |||
6/15/17 | ||||
6/12/17 | ||||
6/8/17 | ||||
5/30/17 | ||||
5/25/17 | ||||
5/24/17 | 3 | |||
5/21/17 | ||||
5/19/17 | ||||
5/17/17 | 3 | |||
5/16/17 | 4, 4/A | |||
5/5/17 | ||||
5/3/17 | ||||
5/2/17 | ||||
4/11/17 | ||||
3/23/17 | ||||
3/6/17 | 4 | |||
2/17/17 | ||||
1/1/17 | 3 | |||
12/29/16 | ||||
12/20/16 | 4 | |||
11/3/16 | 10-Q, 8-K | |||
10/28/16 | ||||
10/14/16 | ||||
10/7/16 | ||||
10/4/16 | ||||
9/20/16 | 4 | |||
7/20/16 | ||||
5/10/16 | 8-K | |||
3/21/16 | ||||
1/29/16 | ||||
1/7/16 | 4 | |||
1/1/16 | 4 | |||
12/31/15 | 10-K, 10-K/A, DEF 14A | |||
12/1/15 | ||||
10/27/15 | ||||
8/10/15 | 10-Q, 8-K | |||
7/21/15 | ||||
6/30/15 | 10-Q | |||
6/3/15 | ||||
5/1/15 | 4 | |||
2/23/15 | ||||
2/20/15 | ||||
12/31/14 | 10-K, ARS | |||
12/30/14 | ||||
11/10/14 | 10-Q, 8-K | |||
10/31/14 | ||||
9/22/14 | ||||
8/28/14 | 8-K | |||
6/12/14 | ||||
6/11/14 | 8-K | |||
12/18/13 | 8-K, DEF 14A | |||
7/18/13 | ||||
7/12/13 | ||||
5/28/13 | ||||
4/15/13 | ||||
7/13/12 | ||||
4/16/12 | ||||
9/30/11 | 10-Q | |||
9/21/11 | 8-K | |||
1/24/11 | 8-K | |||
10/8/10 | 8-K | |||
9/28/10 | ||||
6/7/10 | 8-K | |||
11/19/08 | ||||
8/1/05 | ||||
List all Filings |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 2/27/24 Ambac Financial Group Inc. 10-K 12/31/23 164:31M 3/01/23 Ambac Financial Group Inc. 10-K 12/31/22 166:35M 8/08/22 Ambac Financial Group Inc. 10-Q 6/30/22 108:25M 2/24/22 Ambac Financial Group Inc. 10-K 12/31/21 156:33M 3/01/21 Ambac Financial Group Inc. 10-K 12/31/20 147:32M 8/12/20 Ambac Financial Group Inc. S-8 8/12/20 3:91K 8/12/20 Ambac Financial Group Inc. S-8 POS 8/12/20 3:92K |