Special Purpose Entities, Including Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2014 and December 31, 2013:



	June 30, 2014		December 31, 2013
Investments:
Corporate obligations	$	2,688,388	$	2,475,182
Total variable interest entity assets: Fixed income securities	$	2,688,388	$	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 June 30, 2014 and December 31, 2013:



	Estimated fair value		Unpaid principal balance
June 30, 2014
Loans	$	13,743,231	$	12,011,423
Long-term debt	$	14,450,434	$	14,096,929
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 June 30, 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⁾
June 30, 2014
Global Structured Finance:
Collateralized debt obligations	$	1,503,895	$	1,710	$	5,111	$	5,758
Mortgage-backed—residential	17,825,150		553,022		3,958,533		—
Other consumer asset-backed	5,256,079		67,384		913,978		—
Other commercial asset-backed	5,339,867		400,644		524,978		35,891
Other	4,257,221		102,010		625,997		3,516
Total Global Structured Finance	34,182,212		1,124,770		6,028,597		45,165
Global Public Finance	33,707,874		498,695		571,734		30,695
Total	$	67,890,086	$	1,623,465	$	6,600,331	$	75,860



	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⁾
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 unpaid interest on Deferred Amounts nor the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests.


(2)	Insurance assets represent the amount recorded in “Premium receivables” and “Subrogation recoverable” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.


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


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