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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2013
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
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 June 30, 2013 and December 31, 2012.

 

     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  

Successor Ambac—June 30, 2013:

               

Derivative Assets:

               

Interest rate swaps

    $ 144,707       $ 56,381       $ 88,326       $ —        $ 88,326   

Futures contracts

      2,852         —           2,852         1,673         1,179   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total non-VIE derivative assets

    $ 147,559       $ 56,381       $ 91,178       $ 1,673       $ 89,505   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Liabilities:

               

Credit derivatives

    $ 232,267       $ —        $ 232,267       $ —        $ 232,267   

Interest rate swaps

      275,712         56,381         219,331         89,711         129,620   

Futures contracts

      —           —           —           —           —     

Other contracts

      192         —           192         —           192   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total non-VIE derivative liabilities

    $ 508,171       $ 56,381       $ 451,790       $ 89,711       $ 362,079   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Variable Interest Entities

               

Interest rate swaps

    $ 1,897,311       $ —        $ 1,897,311       $ —        $ 1,897,311   

Currency swaps

      92,472         —           92,472         —          92,472   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total VIE derivative liabilities

    $ 1,989,783       $ —        $ 1,989,783       $ —        $ 1,989,783   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

     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  

Predecessor Ambac—December 31, 2012:

               

Derivative Assets:

               

Interest rate swaps

    $ 198,117       $ 73,264       $ 124,853       $ —         $ 124,853   

Futures contracts

      1,253         —           1,253         —           1,253   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total non-VIE derivative assets

    $ 199,370       $ 73,264       $ 126,106       $ —         $ 126,106   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Liabilities:

               

Credit derivatives

    $ 213,585       $ —         $ 213,585       $ —         $ 213,585   

Interest rate swaps

      390,774         73,264         317,510         180,113         137,397   

Futures contracts

      —           —           —           —           —     

Other contracts

      220         —           220         —           220   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total non-VIE derivative liabilities

    $ 604,579       $ 73,264       $ 531,315       $ 180,113       $ 351,202   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Variable Interest Entities

               

Interest rate swaps

    $ 2,131,315       $ —         $ 2,131,315       $ —         $ 2,131,315   

Currency swaps

      90,466         —           90,466         —           90,466   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total VIE derivative liabilities

    $ 2,221,781       $ —         $ 2,221,781       $ —         $ 2,221,781   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
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 $1,673 and $0 as of June 30, 2013 and December 31, 2012.

 

        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
June 30, 2013		              Amount of Gain or (Loss)
Recognized in Consolidated
Statement of
Total Comprehensive Income
– Period from April 1
through April 30, 2013		     Amount of Gain or (Loss)
Recognized in Consolidated
Statement of
Total Comprehensive Income
– Three months ended
June 30, 2012		  

Financial Guarantee:

              

Credit derivatives

  

Net change in fair value of credit derivatives

   $ 51,220            $ (73,171 )    $ (7,415 ) 
   

 

 

          

 

 

    

 

 

  

Financial Services derivatives products:

              

Interest rate swaps

  

Derivative products

     74,169              (29,600 )      (108,175 ) 

Currency swaps

  

Derivative products

     —                —          81   

Futures contracts

  

Derivative products

     9,831              (3,588 )      (16,070 ) 

Other derivatives

  

Derivative products

     (287 )            22        73   
   

 

 

          

 

 

    

 

 

  

Total Financial Services derivative products

       83,713              (33,166 )      (124,091 ) 
   

 

 

          

 

 

    

 

 

  

Call options on long-term debt

  

Other income

     —                —          39,030   
   

 

 

          

 

 

    

 

 

  

Variable Interest Entities:

              

Currency swaps

  

Income on variable interest entities

     (1,890 )            (4,820 )      (10,787 ) 

Interest rate swaps

  

Income on variable interest entities

     437,624              (103,072 )      (48,478 ) 
   

 

 

          

 

 

    

 

 

  

Total Variable Interest Entities

       435,734              (107,892 )      (59,265 ) 
   

 

 

          

 

 

    

 

 

  

Total derivative contracts

     $ 570,667            $ (214,229 )    $ (151,741 ) 
   

 

 

          

 

 

    

 

 

  

 

        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
June 30, 2013		                  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
– Six months ended
June 30, 2012		  

Financial Guarantee:

                

Credit derivatives

  

Net change in fair value of credit derivatives

   $ 51,220              $ (60,384 )    $ (14,637 ) 
   

 

 

            

 

 

    

 

 

  

Financial Services derivatives products:

                

Interest rate swaps

  

Derivative products

     74,169                (30,622 )      (65,990 ) 

Currency swaps

  

Derivative products

     —                  —          237   

Futures contracts

  

Derivative products

     9,831                (3,133 )      (11,762 ) 

Other derivatives

  

Derivative products

     (287 )              20        381   
   

 

 

            

 

 

    

 

 

  

Total Financial Services derivative products

       83,713                (33,735 )      (77,134 ) 
   

 

 

            

 

 

    

 

 

  

Call options on long-term debt

  

Other income

     —                  —          100,710   
   

 

 

            

 

 

    

 

 

  

Variable Interest Entities:

                

Currency swaps

  

Income on variable interest entities

     (1,890 )              (116 )      (21,994 ) 

Interest rate swaps

  

Income on variable interest entities

     437,624                (203,620 )      45,237   
   

 

 

            

 

 

    

 

 

  

Total Variable Interest Entities

       435,734                (203,736 )      23,243   
   

 

 

            

 

 

    

 

 

  

Total derivative contracts

     $ 570,667              $ (297,855 )    $ 32,182   
Summary of Net Par Outstanding for CDS Contracts
The following tables summarize the net par outstanding for CDS contracts, by Ambac rating, for each major category as of June 30, 2013 and December 31, 2012:

Successor Ambac—June 30, 2013

 

Ambac Rating

    CLO      Other      Total  

AAA

    $ 13,346       $ 452,512       $ 465,858   

AA

      1,568,030         737,424         2,305,454   

A

      168,841         1,758,588         1,927,429   

BBB (1)

      —           882,332         882,332   

Below investment grade (2)

      —           279,987         279,987   
  

 

 

     

 

 

     

 

 

  
   $ 1,750,217       $ 4,110,843       $ 5,861,060   
  

 

 

     

 

 

     

 

 

  

Predecessor Ambac—December 31, 2012

 

Ambac Rating

    CLO      Other      Total  

AAA

    $ 166,200       $ 512,283       $ 678,483   

AA

      4,676,362         1,278,756         5,955,118   

A

      1,313,205         2,370,988         3,684,193   

BBB  (1)

      —           672,293         672,293   

Below investment grade (2)

      —           291,690         291,690   
  

 

 

     

 

 

     

 

 

  
   $ 6,155,767       $ 5,126,010       $ 11,281,777   
  

 

 

     

 

 

     

 

 

  

 

(1) BBB internal rating reflects 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 (“BIG”) 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 June 30, 2013 and December 31, 2012:

Successor Ambac—June 30, 2013 

 

     CLO     Other     Total  

Number of CDS transactions

      9        20        29   

Remaining expected weighted-average life of obligations (in years)

      2.5        5.1        4.3   

Gross principal notional outstanding

    $ 1,750,217      $ 4,110,843      $ 5,861,060   

Net derivative liabilities at fair value

    $ (11,996 )    $ (220,271 )    $ (232,267 ) 

Predecessor Ambac—December 31, 2012

 

     CLO     Other     Total  

Number of CDS transactions

      30        21        51   

Remaining expected weighted-average life of obligations (in years)

      2.2        5.2        3.6   

Gross principal notional outstanding

    $ 6,155,767      $ 5,126,010      $ 11,281,777   

Net derivative liabilities at fair value

    $ (34,645 )    $ (178,940 )    $ (213,585 ) 
Summary of Notional Amounts of AFS's Trading Derivative Products
As of June 30, 2013 and December 31, 2012 the notional amounts of AFS’s trading derivative products are as follows:

 

    Notional  

Type of derivative

   Successor Ambac –
June 30, 2013		          Predecessor Ambac  –
December 31, 2012		  

Interest rate swaps—receive-fixed/pay-variable

   $ 703,384          $ 727,926   

Interest rate swaps—pay-fixed/receive-variable

     1,571,088            1,657,382   

Interest rate swaps—basis swaps

     161,690            161,690   

Futures contracts

     100,000            161,500   

Other contracts

     75,650            75,651   
Summary of Notional for VIE Derivatives Outstanding
The notional for VIE derivatives outstanding as of June 30, 2013 and December 31, 2012 are as follows:

 

Type of VIE derivative

   Notional  
  Successor Ambac –
June 30, 2013		          Predecessor Ambac  –
December 31, 2012		  

Interest rate swaps—receive-fixed/pay-variable

   $ 1,669,298          $ 1,782,999   

Interest rate swaps—pay-fixed/receive-variable

     4,356,549            4,707,454   

Currency swaps

     707,264            755,438   

Credit derivatives

     18,958            20,885