Special Purpose Entities, Including Variable Interest Entities (Tables)

12 Months Ended

Dec. 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 December 31, 2014 and 2013:



	December 31,
	2014		2013
Investments:
Corporate obligations	$	2,743,050	$	2,475,182
Total variable interest entity assets: fixed income securities	$	2,743,050	$	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 December 31, 2014 and 2013:



	Estimated fair value		Unpaid principal balance
December 31, 2014
Loans	$	12,371,177	$	10,236,695
Long-term debt	12,882,076		11,925,499
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 derivative contracts by major underlying asset classes, as of December 31, 2014 and 2013:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
December 31, 2014:
Global structured finance:
Collateralized debt obligations	$	1,386,100	$	345	$	4,000	$	(145,565	)
Mortgage-backed—residential	16,202,408		1,011,888		2,924,987		—
Other consumer asset-backed	5,109,776		65,204		885,572		(36,877		)
Other commercial asset-backed	3,119,891		135,215		128,988		—
Other	3,801,382		97,345		599,915		18,176
Total global structured finance	29,619,557		1,309,997		4,543,462		(164,266		)
Global public finance	31,639,004		457,774		533,192		(22,135		)
Total	$	61,258,561	$	1,767,771	$	5,076,654	$	(186,401	)

December 31, 2013:
Global structured finance:
Collateralized debt obligations	$	2,317,612	$	3,867	$	7,119	$	(102,704	)
Mortgage-backed—residential	19,231,335		581,498		3,890,937		—
Other consumer asset-backed	5,425,583		68,511		992,177		(39,916		)
Other commercial asset-backed	7,237,953		429,559		559,600		—
Other	4,347,287		113,468		608,213		8,324
Total global structured finance	38,559,770		1,196,903		6,058,046		(134,296		)
Global public finance	35,732,858		531,519		604,339		(27,112		)
Total	$	74,292,628	$	1,728,422	$	6,662,385	$	(161,408	)

(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 accrued and 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)	Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets.