Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2014

Summary of Gross Fair Values of Individual Derivative Instruments

The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of December 31, 2014 and 2013.



	Gross Amounts of Recognized Assets / Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet		Net Amount
December 31, 2014:
Derivative Assets:
Credit derivatives	$	2,043	$	—	$	2,043	$	—	$	2,043
Interest rate swaps	161,640		54,666		106,974		—		106,974
Futures contracts	—		—		—		—		—
Total non-VIE derivative assets	$	163,683	$	54,666	$	109,017	$	—	$	109,017
Derivative Liabilities:
Credit derivatives	$	75,502	$	—	$	75,502	$	—	$	75,502
Interest rate swaps	385,346		54,666		330,680		169,573		161,107
Futures contracts	562		—		562		562		—
Other contracts	200		—		200		—		200
Total non-VIE derivative liabilities	$	461,610	$	54,666	$	406,944	$	170,135	$	236,809
Variable Interest Entities
Interest rate swaps	$	2,133,268	$	—	$	2,133,268	$	—	$	2,133,268
Currency swaps	66,895		—		66,895		—		66,895
Total VIE derivative liabilities	$	2,200,163	$	—	$	2,200,163	$	—	$	2,200,163

December 31, 2013:
Derivative Assets:
Interest rate swaps	$	132,250	$	56,876	$	75,374	$	—	$	75,374
Futures contracts	2,337		—		2,337		690		1,647
Total non-VIE derivative assets	$	134,587	$	56,876	$	77,711	$	690	$	77,021
Derivative Liabilities:
Credit derivatives	$	94,322	$	—	$	94,322	$	—	$	94,322
Interest rate swaps	216,287		56,876		159,411		42,555		116,856
Other contracts	165		—		165		—		165
Total non-VIE derivative liabilities	$	310,774	$	56,876	$	253,898	$	42,555	$	211,343
Variable Interest Entities
Interest rate swaps	$	1,680,834	$	—	$	1,680,834	$	—	$	1,680,834
Currency swaps	91,472		—		91,472		—		91,472
Total VIE derivative liabilities	$	1,772,306	$	—	$	1,772,306	$	—	$	1,772,306

Summary of Location and Amount of Gains and Losses of Derivative Contracts

The amounts representing the obligation to return cash collateral recorded in “Other liabilities” were $0 and $690 as of December 31, 2014 and 2013.



		Successor Ambac
	Location of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Year Ended December 31,2014			Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from May 1 through December 31, 2013
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	23,906		$	192,869
Financial Services derivatives products:
Interest rate swaps	Derivative products	(173,595		)	104,114
Currency swaps	Derivative products	—			—
Futures contracts	Derivative products	(7,472		)	10,925
Other derivatives	Derivative products	(20		)	(268		)
Total Financial Services derivative products		(181,087		)	114,771
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	24,577			(890		)
Interest rate swaps	Income (loss) on variable interest entities	(452,434		)	495,712
Total Variable Interest Entities		(427,857		)	494,822
Total derivative contracts		$	(585,038	)	$	802,462



		Predecessor Ambac
	Location of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from January 1 through April 30, 2013			Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Year Ended December 31, 2012
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	(60,384	)	$	(9,219	)
Financial Services derivatives products:
Interest rate swaps	Derivative products	(30,622		)	(111,396		)
Currency swaps	Derivative products	—			807
Futures contracts	Derivative products	(3,133		)	(14,864		)
Other derivatives	Derivative products	20			449
Total Financial Services derivative products		(33,735		)	(125,004		)
Call options on long-term debt	Other income	—			100,710
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	(116		)	(27,388		)
Interest rate swaps	Income (loss) on variable interest entities	(203,620		)	(107,341		)
Total Variable Interest Entities		(203,736		)	(134,729		)
Total derivative contracts		$	(297,855	)	$	(168,242	)

Summary of Gross Principal Notional Outstanding for CDS Contracts

The following tables summarize the gross principal notional outstanding for CDS contracts, by Ambac rating, for each major category as of December 31, 2014 and 2013:



Ambac Rating	CLO		Other		Total
December 31, 2014:
AAA	$	—	$	—	$	—
AA	549,923		217,680		767,603
A	—		43,160		43,160
BBB ⁽¹⁾	—		448,249		448,249
Below investment grade ⁽²⁾	—		270,747		270,747
Total	$	549,923	$	979,836	$	1,529,759

December 31, 2013:
AAA	$	—	$	24,034	$	24,034
AA	1,209,071		203,025		1,412,096
A	128,666		107,251		235,917
BBB⁽¹⁾	—		826,175		826,175
Below investment grade ⁽²⁾	—		277,881		277,881
Total	$	1,337,737	$	1,438,366	$	2,776,103


(1)	BBB internal ratings reflect bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles.


(2)	Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions.

Summarize Information by Major Category of CDS Contracts

The tables below summarize information by major category as of December 31, 2014 and 2013:



	CLO		Other		Total
December 31, 2014:
Number of CDS transactions	6		10		16
Remaining expected weighted-average life of obligations (in years)	1.8		5.4		4.1
Gross principal notional outstanding	$	549,923	$	979,836	$	1,529,759
Net derivative liabilities at fair value	$	2,027	$	71,432	$	73,459

December 31, 2013:
Number of CDS transactions	7		13		20
Remaining expected weighted-average life of obligations (in years)	2.1		5.0		3.6
Gross principal notional outstanding	$	1,337,737	$	1,438,366	$	2,776,103
Net derivative liabilities at fair value	$	7,993	$	86,329	$	94,322

Summary of Notional Amounts of AFS's Trading Derivative Products

As of December 31, 2014 and 2013 the notional amounts of AFS’s trading derivative products are as follows:



	Notional - December 31,
Type of derivative	2014		2013
Interest rate swaps—receive-fixed/pay-variable	$	782,904	$	697,837
Interest rate swaps—pay-fixed/receive-variable	1,479,650		1,540,976
Interest rate swaps—basis swaps	55,800		146,705
Futures contracts	80,000		100,000
Other contracts	75,650		75,650

Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]

Summary of Notional Amounts of AFS's Trading Derivative Products

The notional for VIE derivatives outstanding as of December 31, 2014 and 2013 are as follows:



	Notional - December 31,
Type of VIE derivative	2014		2013
Interest rate swaps—receive-fixed/pay-variable	$	1,710,344	$	1,818,118
Interest rate swaps—pay-fixed/receive-variable	3,152,090		3,350,714
Currency swaps	724,656		770,319
Credit derivatives	18,278		20,130

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References+ Details