Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2015

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, 2015 and 2014.



	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, 2015:
Derivative Assets:
Credit derivatives	$	—	$	—	$	—		$	—	$	—
Interest rate swaps	137,015		52,129		84,886			—		84,886
Futures contracts	109		—		109			—		109
Total non-VIE derivative assets	$	137,124	$	52,129	$	84,995		$	—	$	84,995
Derivative Liabilities:
Credit derivatives	$	34,543	$	—	$	34,543		$	—	$	34,543
Interest rate swaps	370,944		52,129		318,815			176,386		142,429
Futures contracts	—		—		—			—		—
Total non-VIE derivative liabilities	$	405,487	$	52,129	$	353,358		$	176,386	$	176,972
Variable Interest Entities Derivative Assets:
Interest rate swaps	$	—	$	—	$	—		$	—	$	—
Currency swaps	36,862		36,862		—			—		—
Total VIE derivative assets	$	36,862	$	36,862	$	—		$	—	$	—
Variable interest entities derivative liabilities:
Interest rate swaps	$	1,965,265	$	—	$	1,965,265		$	—	$	1,965,265
Currency swaps	—		36,862		(36,862		)	—		(36,862		)
Total VIE derivative liabilities	$	1,965,265	$	36,862	$	1,928,403		$	—	$	1,928,403

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	385,546		54,666		330,880			169,573		161,307
Futures contracts	562		—		562			562		—
Total non-VIE derivative liabilities	$	461,610	$	54,666	$	406,944		$	170,135	$	236,809
Variable Interest Entities Derivative Liabilities:
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

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



		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 31,2015			Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Year Ended December 31, 2014
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	41,701		$	23,906
Financial Services derivatives products:
Interest rate swaps	Derivative products	(41,177		)	(173,615		)
Currency swaps	Derivative products	—			—
Futures contracts	Derivative products	(1,367		)	(7,472		)
Total Financial Services derivative products		(42,544		)	(181,087		)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	103,757			24,577
Interest rate swaps	Income (loss) on variable interest entities	168,003			(452,434		)
Total Variable Interest Entities		271,760			(427,857		)
Total derivative contracts		$	270,917		$	(585,038	)



		Successor Ambac			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 May 1 through December 31, 2013			Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income – Period from January 1 through April 20, 2013
Financial Guarantee:
Credit derivatives	Net change in fair value of credit derivatives	$	192,869		$	(60,384	)
Financial Services derivatives products:
Interest rate swaps	Derivative products	103,846			(30,602		)
Futures contracts	Derivative products	10,925			(3,133		)
Total Financial Services derivative products		114,771			(33,735		)
Call options on long-term debt	Other income	—			—
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	(890		)	(116		)
Interest rate swaps	Income (loss) on variable interest entities	495,712			(203,620		)
Total Variable Interest Entities		494,822			(203,736		)
Total derivative contracts		$	802,462		$	(297,855	)

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, 2015 and 2014:



December 31	2015						2014
Ambac Rating	CLO		Other		Total		CLO		Other		Total
AAA	$	—	$	—	$	—	$	—	$	—	$	—
AA	295,254		241,458		536,712		549,923		217,680		767,603
A	—		9,322		9,322		—		43,160		43,160
BBB ⁽¹⁾	—		356,323		356,323		—		448,249		448,249
Below investment grade ⁽²⁾	—		68,526		68,526		—		270,747		270,747
Total	$	295,254	$	675,629	$	970,883	$	549,923	$	979,836	$	1,529,759


(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, 2015 and 2014:



	2015						2014
December 31	CLO		Other		Total		CLO		Other		Total
Number of CDS transactions	5		9		14		6		10		16
Remaining expected weighted-average life of obligations (in years)	1.1		5.6		4.3		1.8		5.4		4.1
Gross principal notional outstanding	$	295,253	$	675,630	$	970,883	$	549,923	$	979,836	$	1,529,759
Net derivative liabilities at fair value	$	1,837	$	32,706	$	34,543	$	2,027	$	71,432	$	73,459

Summary of Notional Amounts of AFS's Trading Derivative Products

As of December 31, 2015 and 2014 the notional amounts of AFS’s trading derivative products are as follows:



	Notional - December 31,
Type of derivative	2015		2014
Interest rate swaps—receive-fixed/pay-variable	$	773,072	$	782,904
Interest rate swaps—pay-fixed/receive-variable	1,429,644		1,479,650
Interest rate swaps—basis swaps	38,965		55,800
Futures contracts	100,000		80,000

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, 2015 and 2014 are as follows:



	Notional - December 31,
Type of VIE derivative	2015		2014
Interest rate swaps—receive-fixed/pay-variable	$	1,616,289	$	1,710,344
Interest rate swaps—pay-fixed/receive-variable	2,796,496		3,152,090
Currency swaps	488,924		724,656
Credit derivatives	15,616		18,278

- 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).

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