Special Purpose Entities, Including Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018			2017
Income (loss) on changes related to:
Net change in fair value of VIE assets and liabilities	$	1,918		$	3,701
Less: Credit risk changes of fair value liabilities	(1,344		)	—
Consolidation / Deconsolidation	—			—
Income (loss) on Variable Interest Entities	$	574		$	3,701

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 March 31, 2018 and December 31, 2017:



	March 31, 2018		December 31, 2017
Investments:
Corporate obligations	$	2,955,763	$	2,914,145
Total variable interest entity assets: fixed income securities	$	2,955,763	$	2,914,145

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 March 31, 2018 and December 31, 2017:



	Estimated Fair Value		Unpaid Principal Balance
March 31, 2018:
Loans	$	11,558,331	$	8,413,664
Long-term debt	12,270,124		9,679,441
December 31, 2017:
Loans	$	11,529,384	$	8,168,651
Long-term debt	12,160,544		9,387,884

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 March 31, 2018 and December 31, 2017:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
March 31, 2018:
Global structured finance:
Collateralized debt obligations	$	31,644	$	157	$	2	$	(13	)
Mortgage-backed—residential	8,033,584		1,742,097		670,052		—
Other consumer asset-backed	2,209,778		22,416		331,147		—
Other commercial asset-backed	934,919		27,527		30,837		—
Other	2,482,479		57,718		302,232		7,751
Total global structured finance	13,692,404		1,849,915		1,334,270		7,738
Global public finance	25,695,196		345,678		379,521		(1,005		)
Total	$	39,387,600	$	2,195,593	$	1,713,791	$	6,733

December 31, 2017:
Global structured finance:
Collateralized debt obligations	$	35,555	$	169	$	1	$	(15	)
Mortgage-backed—residential	12,766,685		619,848		3,218,356		—
Other consumer asset-backed	2,266,610		23,405		328,732		—
Other commercial asset-backed	987,797		30,413		35,976		—
Other	2,513,304		60,086		306,457		10,311
Total global structured finance	18,569,951		733,921		3,889,522		10,296
Global public finance	25,629,816		335,347		371,056		(551		)
Total	$	44,199,767	$	1,069,268	$	4,260,578	$	9,745

(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. On February 12, 2018, all Deferred Amounts and Interest Accrued on Deferred Amounts were settled in connection with the Rehabilitation Exit Transactions. 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.