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Derivative Contracts | 9 Months Ended
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Sep. 30, 2011
Derivative Contracts [Abstract] |
Derivative Contracts | (7) Derivative Contracts ASC Topic 815, Derivatives and Hedging, establishes accounting and reporting standards for derivative instruments. All derivatives, whether designated for hedging relationships or not, are required to be recorded on the Consolidated Balance Sheets at fair value on a gross basis; assets and liabilities are netted by customer only when a legal right of offset exists. Methodologies used to determine fair value of derivative contracts, including model inputs and assumptions where applicable, are described further in Note 11, Fair Value Measurements. The Company has entered into derivative contracts both for trading purposes and to hedge certain economic risks inherent in its financial asset and liability portfolios. The Company also has certain options to repurchase Ambac Assurance's surplus notes at a discount to par value which are required to be accounted for as stand-alone derivatives. VIEs consolidated under ASC Topic 810 entered into derivative contracts to meet specified purposes within the securitization structure. Changes in fair value of consolidated VIE derivatives are included within Financial Guarantee: Income (loss) on variable interest entities on the Consolidated Statements of Operations. The notional for VIE derivatives outstanding as of September 30, 2011 and December 31, 2010 are as follows:
Type of VIE derivative |  | Notional |
| September 30, 2011 |  |  | December 31, 2010 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,711,222 |  |  | $ | 1,711,881 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 4,559,899 |  |  |  | 6,291,763 |
Currency swaps |  |  | 725,028 |  |  |  | 725,307 |
Credit derivatives |  |  | 21,046 |  |  |  | 21,976 |
Derivatives for trading include credit derivatives issued as a form of financial guarantee, certain interest rate and currency swaps and futures contracts. Interest rate and currency swaps are also used to manage the risk of changes in fair value or cash flows caused by variations in interest rates and foreign currency exchange rates. Ambac has determined that the amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral may not be used to offset amounts due under the derivative instruments in the normal course of settlement. Therefore such amounts are not offset against fair value amounts recognized for derivative instruments executed with the same counterparty under the same master netting arrangement. The amounts representing the right to reclaim cash collateral and posted margin, recorded in "Other assets" were $54,820 and $281 as of September 30, 2011 and December 31, 2010, respectively. The amounts representing the obligation to return cash collateral, recorded in "Other liabilities" were $0 and $7,005 as of September 30, 2011 and December 31, 2010, respectively. The following tables summarize the location and fair values of individual derivative instruments reported in the Consolidated Balance Sheets as of September 30, 2011 and December 31, 2010. Amounts are presented gross of the effect of offsetting balances even where a legal right of offset exists: Fair Values of Derivative Instruments
|  | Derivative Asset |  |  | Derivative Liability |
|  | Balance Sheet Location |  | Fair Value |  |  | Balance Sheet Location |  | Fair value |
September 30, 2011: |  |  |  |  |  |  |  |  |  |  |  |
Derivatives held for trading |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Derivative assets |  | $ | — |  |  | Derivative liabilities |  | $ | 215,170 |
Interest rate swaps |  | Derivative assets |  |  | 420,476 |  |  | Derivative liabilities |  |  | 263,669 |
|  | Derivative liabilities |  |  | 27,272 |  |  | Derivative assets |  |  | 229,121 |
Currency swaps |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 3,499 |
Futures contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 1,134 |
Other contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 323 |
Total derivatives held for trading |  |  |  |  | 447,748 |  |  |  |  |  | 712,916 |
Call options on long-term debt |  | Derivative assets |  |  | 13,860 |  |  | Derivative liabilities |  |  | — |
Total derivatives |  |  |  | $ | 461,608 |  |  |  |  | $ | 712,916 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | VIE - Derivative assets |  | $ | — |  |  | VIE - Derivative liabilities |  | $ | — |
Currency swaps |  | VIE - Derivative liabilities |  |  | 26,055 |  |  | VIE - Derivative liabilities |  |  | 96,667 |
Interest rate swaps |  | VIE - Derivative liabilities |  |  | — |  |  | VIE - Derivative liabilities |  |  | 1,746,015 |
|  |  |  | $ | 26,055 |  |  |  |  | $ | 1,842,682 |
December 31, 2010: |  |  |  |  |  |  |  |  |  |  |  |
Derivatives held for trading |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Derivative assets |  | $ | — |  |  | Derivative liabilities |  | $ | 221,684 |
Interest rate swaps |  | Derivative assets |  |  | 408,299 |  |  | Derivative liabilities |  |  | 124,932 |
|  | Derivative liabilities |  |  | 4,756 |  |  | Derivative assets |  |  | 129,185 |
Currency swaps |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 6,699 |
Futures contracts |  | Derivative assets |  |  | 11,185 |  |  | Derivative liabilities |  |  | — |
Other contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 232 |
Total derivatives held for trading |  |  |  |  | 424,240 |  |  |  |  |  | 482,732 |
Call options on long-term debt |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | — |
Total derivatives |  |  |  | $ | 424,240 |  |  |  |  | $ | 482,732 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | VIE - Derivative assets |  | $ | 4,511 |  |  | VIE - Derivative liabilities |  | $ | — |
Currency swaps |  | VIE - Derivative liabilities |  |  | 26,577 |  |  | VIE - Derivative liabilities |  |  | 105,037 |
Interest rate swaps |  | VIE - Derivative liabilities |  |  | 2,203 |  |  | VIE - Derivative liabilities |  |  | 1,503,863 |
|  |  |  | $ | 33,291 |  |  |  |  | $ | 1,608,900 |
Derivative Contracts Classified as Held for Trading Purposes: Financial Guarantee Credit Derivatives: Credit derivatives, which are privately negotiated contracts, provide the counterparty with credit protection against the occurrence of a specific event such as a payment default or bankruptcy relating to an underlying obligation. Upon a credit event, Ambac is generally required to make payments equal to the difference between the scheduled debt service payment and the actual payment made by the issuer. The majority of our credit derivatives are written on a "pay-as-you-go" basis. Similar to an insurance policy execution, pay-as-you-go provides that Ambac pays interest shortfalls on the referenced transaction as they are incurred on each scheduled payment date, but only pays principal shortfalls upon the earlier of (i) the date on which the assets designated to fund the referenced obligation have been disposed of and (ii) the legal final maturity date of the referenced obligation. In a small number of transactions, Ambac is required to (i) make a payment equal to the difference between the par value and market value of the underlying obligation or (ii) purchase the underlying obligation at its par value and a loss is realized for the difference between the par and market value of the underlying obligation. There are 16 transactions, which are not "pay-as-you-go", with a combined notional of approximately $616,485 and a net liability fair value of $4,578 as of September 30, 2011. These transactions are primarily in the form of CLOs written between 2002 and 2005. Substantially all of Ambac's credit derivative contracts relate to structured finance transactions. Credit derivatives issued by Ambac are insured by Ambac Assurance. None of our outstanding credit derivative transactions at September 30, 2011 include ratings based collateral-posting triggers or otherwise require Ambac to post collateral regardless of Ambac's ratings or the size of the mark to market exposure to Ambac. Ambac maintains internal credit ratings on its guaranteed obligations, including credit derivative contracts, solely to indicate management's view of the underlying credit quality of the guaranteed obligations. Independent rating agencies may have assigned different ratings on the credits in Ambac's portfolio than Ambac's internal ratings. The following tables summarize the net par outstanding for CDS contracts, by Ambac rating, for each major category as of September 30, 2011 and December 31, 2010: September 30, 2011
|  |  | $18,766,354 |  |  |  | $18,766,354 |  |  |  | $18,766,354 |
Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 369,102 |  |  | $ | 1,292,302 |  |  | $ | 1,661,404 |
AA |  |  | 6,411,191 |  |  |  | 1,894,042 |  |  |  | 8,305,233 |
A |  |  | 2,107,382 |  |  |  | 2,412,071 |  |  |  | 4,519,453 |
BBB(1) |  |  | — |  |  |  | 510,278 |  |  |  | 510,278 |
Below investment grade(2) |  |  | — |  |  |  | 284,931 |  |  |  | 284,931 |
|  | $ | 8,887,675 |  |  | $ | 6,393,624 |  |  | $ | 15,281,299 |
December 31, 2010
|  |  | $18,766,354 |  |  |  | $18,766,354 |  |  |  | $18,766,354 |
Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 282,294 |  |  | $ | 2,209,540 |  |  | $ | 2,491,834 |
AA |  |  | 8,323,435 |  |  |  | 1,237,993 |  |  |  | 9,561,428 |
A |  |  | 2,955,030 |  |  |  | 2,851,213 |  |  |  | 5,806,243 |
BBB(1) |  |  | 31,938 |  |  |  | 627,021 |  |  |  | 658,959 |
Below investment grade(2) |  |  | — |  |  |  | 247,890 |  |  |  | 247,890 |
|  | $ | 11,592,697 |  |  | $ | 7,173,657 |  |  | $ | 18,766,354 |
(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.
The tables below summarize information by major category as of September 30, 2011 and December 31, 2010: September 30, 2011
|  | CLO |  |  | Other |  |  | Total |
Number of CDS transactions |  |  | 49 |  |  |  | 25 |  |  |  | 74 |
Remaining expected weighted-average life of obligations (in years) |  |  | 2.5 |  |  |  | 5.9 |  |  |  | 3.9 |
Gross principal notional outstanding |  | $ | 8,887,675 |  |  | $ | 6,393,624 |  |  | $ | 15,281,299 |
Net derivative liabilities at fair value |  | $ | (57,418 | ) |  | $ | (157,752 | ) |  | $ | (215,170 | )
December 31, 2010
|  | CLO |  |  | Other |  |  | Total |
Number of CDS transactions |  |  | 59 |  |  |  | 30 |  |  |  | 89 |
Remaining expected weighted-average life of obligations (in years) |  |  | 3.4 |  |  |  | 4.4 |  |  |  | 3.8 |
Gross principal notional outstanding |  | $ | 11,592,697 |  |  | $ | 7,173,657 |  |  | $ | 18,766,354 |
Net derivative liabilities at fair value |  | $ | (70,467 | ) |  | $ | (151,217 | ) |  | $ | (221,684 | )
The maximum potential amount of future payments under Ambac's credit derivative contracts written on a "pay-as-you-go" basis is generally the gross principal notional outstanding amount included in the above table plus future interest payments payable by the derivative reference obligations. For contracts that are not written with pay-as-you-go terms, the maximum potential future payment is represented by the principal notional only. Since Ambac's credit derivatives typically reference obligations of or assets held by SPEs that meet the definition of a VIE, the amount of maximum potential future payments for credit derivatives is included in the table in Note 4, Special Purpose Entities Including Variable Interest Entities. Ambac's credit derivative contracts are accounted for at fair value since they do not qualify for the financial guarantee scope exception under ASC Topic 815. Changes in fair value are recorded in "Net change in fair value of credit derivatives" on the Consolidated Statements of Operations. The "Realized gains and losses and other settlements" component of this income statement line includes (i) premiums received and accrued on written credit derivative contracts, (ii) premiums paid and accrued on purchased credit derivative contracts, (iii) losses paid and payable on written credit derivative contracts and (iv) paid losses recovered and recoverable on purchased credit derivative contracts for the appropriate accounting period. Losses paid and payable and losses recovered and recoverable reported in "Realized gains and losses and other settlements" include those arising after a credit event that requires a payment under the contract terms or in connection with a negotiated termination of a contract. There were no paid losses on credit derivative contracts during the three and nine month periods ended September 30, 2011. Paid losses included in realized gains and losses and other settlements were $688 and $2,789,037 for the three and nine months ended September 30, 2010, respectively. The "Unrealized gains (losses)" component of this income statement line includes all other changes in fair value, including reductions in the fair value of liabilities as they are paid or settled. Refer to Note 11 for a detailed description of the components of our credit derivative contracts' fair value. Although CDS contracts are accounted for at fair value in accordance with ASC Topic 815, they are surveilled similar to non-derivative financial guarantee contracts. As with financial guarantee insurance policies, Ambac's surveillance group tracks credit migration of CDS contracts' reference obligations from period to period. Adversely classified credits are assigned risk classifications by the surveillance group using the guidelines described in Note 6. As of September 30, 2011, there are four CDS contracts on Ambac's adversely classified credit listing, with a net derivative liability fair value of $35,691 and total notional principal outstanding of $284,931. As of December 31, 2010, there were three CDS contracts on Ambac's adversely classified credit listing, with a net derivative liability fair value of $23,148 and a total notional principal outstanding of $247,890. Financial Services Derivative Products: Ambac, through its subsidiary Ambac Financial Services ("AFS"), provided interest rate and currency swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. AFS manages its interest rate swaps business with the goal of being market neutral to changes in benchmark interest rates while retaining some basis risk and excess interest rate sensitivity as an economic hedge against the effects of rising interest rates elsewhere in the Company, including on Ambac's financial guarantee exposures. Basis risk in the portfolio arises primarily from (i) variability in the ratio of benchmark tax-exempt to taxable interest rates, (ii) potential changes in the counterparty bond issuers' bond-specific variable rates relative to taxable interest rates, and (iii) variability between Treasury and swap rates. The derivative portfolio also includes an unhedged Sterling-denominated exposure to Consumer Price Inflation in the United Kingdom. As of September 30, 2011 and December 31, 2010 the notional amounts of AFS's trading derivative products are as follows:
Type of derivative |  | Notional September 30, 2011 |  |  | Notional December 31, 2010 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,419,119 |  |  | $ | 1,798,704 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 3,850,277 |  |  |  | 3,802,086 |
Interest rate swaps—basis swaps |  |  | 175,835 |  |  |  | 231,250 |
Currency swaps |  |  | 18,662 |  |  |  | 35,971 |
Futures contracts |  |  | 107,500 |  |  |  | 290,000 |
Other contracts |  |  | 137,410 |  |  |  | 154,045 |
The following tables summarize the location and amount of gains and losses of derivative contracts held for trading purposes in the Consolidated Statements of Operations for the three and nine months ended September 30, 2011 and 2010:
|  | Location of Gain or (Loss) Recognized in Consolidated Statement of Operations |  | Amount of Gain or (Loss) Recognized in Consolidated Statement of Operations – Three months ended September 30, 2011 |  |  | Amount of Gain or (Loss) Recognized in Consolidated Statement of Operations – Three months ended September 30, 2010 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | 4,505 |  |  | $ | 9,412 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (206,455 | ) |  |  | (66,047 | )
Currency swaps |  | Derivative products |  |  | 372 |  |  |  | (464 | )
Futures contracts |  | Derivative products |  |  | (9,364 | ) |  |  | (12,614 | )
Other derivatives |  | Derivative products |  |  | (327 | ) |  |  | 757 |
Total Financial Services derivative products |  |  |  |  | (215,774 | ) |  |  | (78,368 | )
Total derivative contracts held for trading purposes |  |  |  | $ | (211,269 | ) |  | $ | (68,956 | )
|  | Location of Gain or (Loss) Recognized in Consolidated Statement of Operations |  | Amount of Gain or (Loss) Recognized in Consolidated Statement of Operations – Nine months ended September 30, 2011 |  |  | Amount of Gain or (Loss) Recognized in Consolidated Statement of Operations – Nine months ended September 30, 2010 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | 19,889 |  |  | $ | 44,454 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (240,715 | ) |  |  | (81,754 | )
Currency swaps |  | Derivative products |  |  | (184 | ) |  |  | (70,702 | )
Futures contracts |  | Derivative products |  |  | (19,239 | ) |  |  | (56,038 | )
Other derivatives |  | Derivative products |  |  | (224 | ) |  |  | 942 |
Total Financial Services derivative products |  |  |  |  | (260,362 | ) |  |  | (207,552 | )
Total derivative contracts held for trading purposes |  |  |  | $ | (240,473 | ) |  | $ | (163,098 | )
Derivative Contracts used for Non-Trading and Hedging Purposes: Interest rate and currency swaps have been used to manage specified risks of changes in fair value or cash flows caused by variations in interest rates and foreign currency exchange rates. These risks exist within the investment agreement business primarily related to differences in coupon interest terms between investment agreement contracts and invested assets that support those contracts. There were no designated hedges in effect under ASC Topic 815 subsequent to December 31, 2009. Additionally, the remaining derivative contracts that were not designated hedges under ASC Topic 815, but were considered by management to be for non-trading and hedging purposes, expired during 2010. Net gains (losses) recognized on such contracts recognized as part of net mark-to-market gains (losses) on non-trading derivative contracts was $0 for the three months ended September 30, 2011 and 2010, and $0 and ($14,295) for the nine months ended September 30, 2011 and 2010, respectively. Call Option on Long-Term Debt Ambac Assurance has certain contractual options to repurchase its surplus notes at a discount to their par value, which are considered stand-alone derivatives. The surplus notes were issued in connection with a settlement agreement with certain counterparties to credit default swaps in June 2010 and are classified under Long-term debt on the Consolidated Balance Sheets. The amount of surplus notes that may be repurchased under these options is $500,000 at September 30, 2011 and December 31, 2010. The fair value of the options was $13,860 and $0 as of September 30, 2011 and December 31, 2010, respectively. (Losses) gains of ($6,910) and $0 from the change in fair value of the call options were recognized within Financial Guarantee: Other income (loss) in the Consolidated Statements of Operations for the three months ended September 30, 2011 and 2010, respectively, and $13,860 and $0 for the nine months ended September 30, 2011 and 2010, respectively. Contingent Features in Derivatives Related to Ambac Credit Risk: Ambac's interest rate swaps and currency swaps with professional swap-dealer counterparties and certain front-end counterparties are generally executed under standardized derivative documents including collateral support and master netting agreements. Under these agreements, Ambac is required to post collateral in the event net unrealized losses exceed predetermined threshold levels. Additionally, given that Ambac Assurance is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions. As of September 30, 2011 and December 31, 2010, the aggregate fair value of all derivative instruments with contingent features linked to Ambac's own credit risk that are in a net liability position after considering legal rights of offset was $252,382 and $31,739, respectively, related to which Ambac had posted assets as collateral with a fair value of $262,032 and $123,519, respectively. All such ratings-based contingent features have been triggered as of September 30, 2011, requiring maximum collateral levels to be posted by Ambac while preserving counterparties' rights to terminate the contracts. Assuming all contracts terminated on September 30, 2011, settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac's financial statements.

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- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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