Special Purpose Entities, Including Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2014

Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities

The table below provides the fair value of fixed income securities, by asset-type, held by consolidated VIEs as of March 31, 2014 and December 31, 2013:



	Successor Ambac
	March 31, 2014		December 31, 2013
Investments:
Corporate obligations	$	2,546,762	$	2,475,182
Total variable interest entity assets: Fixed income securities	$	2,546,762	$	2,475,182

Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities

The following table provides supplemental information about the loans held as assets and long-term debt associated with the VIEs for which the fair value option has been elected as of March 31, 2014 and December 31, 2013:



Successor Ambac	Estimated fair value		Unpaid principal balance
March 31, 2014:
Loans	$	13,269,452	$	11,785,529
Long-term debt	$	13,878,577	$	13,828,951

December 31, 2013:
Loans	$	13,398,895	$	12,226,481
Long-term debt	$	14,091,753	$	14,251,771

Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities

The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and credit derivative contracts by major underlying asset classes, as of March 31, 2014 and December 31, 2013:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
Successor Ambac—March 31, 2014:
Global Structured Finance:
Collateralized debt obligations	$	1,806,043	$	2,413	$	5,868	$	7,803
Mortgage-backed—residential	18,511,853		588,700		3,797,261		—
Other consumer asset-backed	5,339,529		67,787		882,389		—
Other commercial asset-backed	6,836,050		408,830		537,413		34,440
Other	4,357,860		112,335		646,998		3,946
Total Global Structured Finance	36,851,335		1,180,065		5,869,929		46,189
Global Public Finance	34,688,105		529,929		602,996		28,024
Total	$	71,539,440	$	1,709,994	$	6,472,925	$	74,213



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
Successor Ambac—December 31, 2013:
Global Structured Finance:
Collateralized debt obligations	$	2,092,072	$	3,867	$	7,119	$	10,092
Mortgage-backed—residential	19,231,335		581,498		3,890,937		—
Other consumer asset-backed	5,425,583		68,511		992,177		—
Other commercial asset-backed	7,237,953		429,559		559,600		39,916
Other	4,347,287		113,468		608,213		4,312
Total Global Structured Finance	38,334,230		1,196,903		6,058,046		54,320
Global Public Finance	35,732,858		531,519		604,339		27,112
Total	$	74,067,088	$	1,728,422	$	6,662,385	$	81,432


(1)	Maximum exposure to loss represents the gross maximum future payments of principal and interest on insured obligations and credit 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 recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.


(3)	Insurance liabilities represent the amount recorded in “Losses and loss expense reserve” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.


(4)	Derivative liabilities represent the fair value recognized on credit derivative contracts on Ambac’s Consolidated Balance Sheets.