Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2013

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, 2013 and December 31, 2012:


	Successor Ambac		Predecessor Ambac
	September 30, 2013		December 31, 2012
Investments:
Corporate obligations	$	2,423,914	$	2,261,294


Total variable interest entity assets: Fixed income securities	$	2,423,914	$	2,261,294

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, 2013 and December 31, 2012:


	Estimated fair value		Unpaid principal balance
Successor Ambac—September 30, 2013:
Loans	$	14,762,446	$	13,337,530
Long-term debt	$	15,265,390	$	15,588,904
Predecessor Ambac—December 31, 2012:
Loans	$	15,359,073	$	13,995,141
Long-term debt	$	15,200,538	$	15,460,530

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 credit derivative contracts by major underlying asset classes, as of September 30, 2013 and December 31, 2012:


	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
Successor Ambac—September 30, 2013:
Global Structured Finance:
Collateralized debt obligations	$	3,868,207	$	4,955	$	8,263	$	100,506
Mortgage-backed—residential		19,777,790		580,630		3,924,594		—
Other consumer asset-backed		5,508,153		72,534		959,853		44,742
Other commercial asset-backed		7,717,747		401,277		527,750		9,860
Other		4,431,884		113,876		599,833		4,307

Total Global Structured Finance		41,303,781		1,173,272		6,020,293		159,415
Global Public Finance		35,867,965		519,212		596,346		27,574

Total	$	77,171,746	$	1,692,484	$	6,616,639	$	186,989


	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Derivative Liabilities ⁽⁴⁾
Predecessor Ambac—December 31, 2012:
Global Structured Finance:
Collateralized debt obligations	$	10,176,522	$	9,673	$	13,328	$	113,057
Mortgage-backed—residential		24,008,616		603,867		3,969,336		—
Mortgage-backed—commercial		643,387		—		—		2,418
Other consumer asset-backed		5,895,377		101,494		1,042,522		45,610
Other commercial asset-backed		10,192,858		451,048		1,215,074		7,293
Other		5,505,007		132,004		590,017		4,393

Total Global Structured Finance		56,421,767		1,298,086		6,830,277		172,771
Global Public Finance		37,096,228		542,179		633,358		28,663

Total	$	93,517,995	$	1,840,265	$	7,463,635	$	201,434

(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.

Variable Interest Entity [Member]

Estimated Future Amortization Expense

The estimated future amortization expense for this intangible asset is as follows:


2013	$	2,507
2014		9,308
2015		8,821
2016		8,493
2017		8,270
Thereafter		122,106

Insurance Intangible Asset [Member]

Estimated Future Amortization Expense

The estimated future amortization expense for the insurance intangible asset is as follows:


2013	$	36,308
2014		130,324
2015		116,926
2016		107,120
2017		99,300
Thereafter		1,130,974