Special Purpose Entities, Including Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2012

Special Purpose Entities, Including Variable Interest Entities [Abstract]

Summary of fair value of fixed income securities, by asset-type, held by consolidated VIE

The table below provides the fair value of fixed income securities, by asset-type, held by consolidated VIEs as of June 30, 2012 and December 31, 2011:

	June 30, 2012		December 31, 2011
Investments:
Corporate obligations	$	2,162,062	$	2,199,338
Total variable interest entity assets: Fixed income securities	$	2,162,062	$	2,199,338

Supplemental information about the loans held as assets and long-term debt associated with consolidated variable interest entities, when reported under the fair value option

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 June 30, 2012 and December 31, 2011:

	Estimated fair value		Unpaid principal balance
June 30, 2012:
Loans	$	14,238,273	$	13,508,803
Long-term debt	$	14,132,936	$	14,923,319
December 31, 2011:
Loans	$	14,126,994	$	13,735,799
Long-term debt	$	14,039,450	$	15,134,711

Summary of carrying amount of the assets, liabilities and maximum exposure to loss of Ambac's variable interests in non-consolidated VIEs

	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss(1)		Insurance Assets(2)		Insurance Liabilities(3)		Derivative Liabilities(4)
June 30, 2012:
Global Structured Finance:
Collateralized debt obligations	$	12,408,367	$	12,834	$	20,677	$	119,319
Mortgage-backed—residential		27,072,283		597,836		5,483,692		—
Mortgage-backed—commercial		646,669		—		—		6,196
Other consumer asset-backed		7,072,240		125,354		1,184,897		42,853
Other commercial asset-backed		11,228,636		471,108		1,397,059		7,606
Other		5,812,959		133,287		647,864		2,456
Total Global Structured Finance		64,241,154		1,340,419		8,734,189		178,430
Global Public Finance		37,097,587		555,461		687,564		23,516
Total	$	101,338,741	$	1,895,880	$	9,421,753	$	201,946

	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss(1)		Insurance Assets(2)		Insurance Liabilities(3)		Derivative Liabilities(4)
December 31, 2011:
Global Structured Finance:
Collateralized debt obligations	$	14,093,243	$	15,096	$	105,219	$	120,614
Mortgage-backed—residential		30,307,753		783,329		5,396,711		—
Mortgage-backed—commercial		685,870		—		—		6,241
Other consumer asset-backed		7,851,980		129,234		1,315,146		35,583
Other commercial asset-backed		13,363,434		559,884		1,045,477		4,541
Other		7,552,264		139,586		643,864		1,837
Total Global Structured Finance		73,854,544		1,627,129		8,506,417		168,816
Global Public Finance		37,893,726		569,032		700,690		14,850
Total	$	111,748,270	$	2,196,161	$	9,207,107	$	183,666

(1) Maximum exposure to loss represents the gross maximum future payments of principal and interest on insured obligations and credit derivative contracts. 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 “Losses and loss expense reserve” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.

(4) Derivative liabilities represent the fair value recognized on credit derivative contracts on Ambac’s Consolidated Balance Sheets.