Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2017

Variable Interest Entity, Consolidated, Carrying Amount, Assets and Liabilities, Net [Abstract]

Components of VIE Gain (Loss) [Table Text Block]

Below is a schedule detailing the change in fair value of the various financial instruments within the consolidated FG VIEs, along with gains (losses) from consolidating and deconsolidating FG VIEs that together comprise Income (loss) on variable interest entities for the affected periods:



	Three Months Ended September 30,					Nine Months Ended September 30,
	2017			2016		2017			2016
Income (loss) on changes related to:
Net fair value of VIE assets and liabilities	$	(4,049	)	$	2,057	$	(1,567	)	$	(16,119	)
Consolidation / Deconsolidation	—			—		—			—
Income (loss) on Variable Interest Entities	$	(4,049	)	$	2,057	$	(1,567	)	$	(16,119	)

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 September 30, 2017 and December 31, 2016:



	September 30, 2017		December 31, 2016
Investments:
Corporate obligations	$	2,785,608	$	2,622,566
Total variable interest entity assets: fixed income securities	$	2,785,608	$	2,622,566

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 September 30, 2017 and December 31, 2016:



	Estimated fair value		Unpaid principal balance
September 30, 2017:
Loans	$	11,557,788	$	8,133,313
Long-term debt	12,229,569		9,373,933
December 31, 2016:
Loans	$	10,658,963	$	7,641,756
Long-term debt	11,155,936		8,854,530

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 September 30, 2017 and December 31, 2016:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
September 30, 2017:
Global structured finance:
Collateralized debt obligations	$	38,405	$	182	$	—	$	(23	)
Mortgage-backed—residential	13,589,640		694,449		3,184,474		—
Other consumer asset-backed	2,263,774		24,458		328,216		—
Other commercial asset-backed	1,031,168		32,355		35,321		—
Other	2,616,461		60,812		311,968		10,770
Total global structured finance	19,539,448		812,256		3,859,979		10,747
Global public finance	25,814,183		338,562		374,312		(8,938		)
Total	$	45,353,631	$	1,150,818	$	4,234,291	$	1,809

December 31, 2016:
Global structured finance:
Collateralized debt obligations	$	761,451	$	218	$	3,319	$	(145,402	)
Mortgage-backed—residential	14,859,909		725,106		3,118,892		—
Other consumer asset-backed	2,391,604		26,758		302,335		—
Other commercial asset-backed	1,686,256		66,277		64,961		—
Other	2,963,521		66,091		412,929		13,347
Total global structured finance	22,662,741		884,450		3,902,436		(132,055		)
Global public finance	25,608,471		338,587		359,142		(8,827		)
Total	$	48,271,212	$	1,223,037	$	4,261,578	$	(140,882	)

(1)

Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts plus Deferred Amounts and accrued and unpaid interest thereon. 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 “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.