XML 43 R31.htm IDEA: XBRL DOCUMENT
v2.4.0.6

Derivative Instruments (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2012
Derivative Instruments [Abstract] |
Summary of location and fair values of individual derivative instruments | The following tables summarize the location and fair values of individual derivative instruments reported in the Consolidated Balance Sheets as of June 30, 2012 and December 31, 2011. 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 |
June 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |
Derivatives held for trading |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Derivative assets |  | $ | — |  |  | Derivative liabilities |  | $ | 211,617 |
Interest rate swaps |  | Derivative assets |  |  | 392,766 |  |  | Derivative liabilities |  |  | 180,713 |
|  | Derivative liabilities |  |  | 582 |  |  | Derivative assets |  |  | 259,852 |
Currency swaps |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 570 |
Futures contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 1,541 |
Other contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 180 |
Total derivatives held for trading |  |  |  |  | 393,348 |  |  |  |  |  | 654,473 |
Call options on long-term debt |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | — |
Total non-VIE derivatives |  |  |  | $ | 393,348 |  |  |  |  | $ | 654,473 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |
Currency swaps |  | VIE—Derivative liabilities |  |  | — |  |  | VIE—Derivative liabilities |  |  | 85,072 |
Interest rate swaps |  | VIE—Derivative liabilities |  |  | — |  |  | VIE—Derivative liabilities |  |  | 1,978,737 |
Total VIE derivatives |  |  |  | $ | — |  |  |  |  | $ | 2,063,809 |
December 31, 2011: |  |  |  |  |  |  |  |  |  |  |  |
Derivatives held for trading |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Derivative assets |  | $ | — |  |  | Derivative liabilities |  | $ | 190,653 |
Interest rate swaps |  | Derivative assets |  |  | 411,652 |  |  | Derivative liabilities |  |  | 251,303 |
|  | Derivative liabilities |  |  | 30,859 |  |  | Derivative assets |  |  | 242,500 |
Currency swaps |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 2,423 |
Futures contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 627 |
Other contracts |  | Derivative assets |  |  | — |  |  | Derivative liabilities |  |  | 361 |
Total derivatives held for trading |  |  |  |  | 442,511 |  |  |  |  |  | 687,867 |
Call options on long-term debt |  | Derivative assets |  |  | 6,055 |  |  | Derivative liabilities |  |  | — |
Total non-VIE derivatives |  |  |  | $ | 448,566 |  |  |  |  | $ | 687,867 |
Variable Interest Entities |  |  |  |  |  |  |  |  |  |  |  |
Currency swaps |  | VIE—Derivative liabilities |  |  | 27,779 |  |  | VIE—Derivative liabilities |  |  | 90,857 |
Interest rate swaps |  | VIE—Derivative liabilities |  |  | — |  |  | VIE—Derivative liabilities |  |  | 2,023,974 |
Total VIE derivatives |  |  |  | $ | 27,779 |  |  |  |  | $ | 2,114,831 |
Summary of location and amount of gains and losses of derivative contracts | The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income for the three and six month periods ended June 30, 2012 and 2011, respectively:
|  | Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income |  | Amount of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income |
|  |  |  | Three months ended June 30, 2012 |  |  | Three months ended June 30, 2011 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | (7,415 | ) |  | $ | 24,287 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (108,175 | ) |  |  | (57,952 | )
Currency swaps |  | Derivative products |  |  | 81 |  |  |  | (354 | )
Futures contracts |  | Derivative products |  |  | (16,070 | ) |  |  | (7,307 | )
Other derivatives |  | Derivative products |  |  | 73 |  |  |  | 19 |
Total Financial Services derivative products |  |  |  |  | (124,091 | ) |  |  | (65,594 | )
Call options on long-term debt |  | Other income |  |  | 39,030 |  |  |  | 4,045 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Income (loss) on variable interest entities |  |  | — |  |  |  | — |
Currency swaps |  | Income (loss) on variable interest entities |  |  | (10,787 | ) |  |  | (9,970 | )
Interest rate swaps |  | Income (loss) on variable interest entities |  |  | (48,478 | ) |  |  | (147,350 | )
Total Variable Interest Entities |  |  |  |  | (59,265 | ) |  |  | (157,320 | )
Total derivative contracts |  |  |  | $ | (151,741 | ) |  | $ | (194,582 | )
|  | Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income |  | Amount of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income |
|  |  |  | Six months ended June 30, 2012 |  |  | Six months ended June 30, 2011 |
Financial Guarantee: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Net change in fair value of credit derivatives |  | $ | (14,637 | ) |  | $ | 15,384 |
Financial Services derivatives products: |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Derivative products |  |  | (65,990 | ) |  |  | (34,260 | )
Currency swaps |  | Derivative products |  |  | 237 |  |  |  | (556 | )
Futures contracts |  | Derivative products |  |  | (11,762 | ) |  |  | (9,875 | )
Other derivatives |  | Derivative products |  |  | 381 |  |  |  | 100 |
Total Financial Services derivative products |  |  |  |  | (77,134 | ) |  |  | (44,591 | )
Call options on long-term debt |  | Other income |  |  | 100,710 |  |  |  | 20,770 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | Income (loss) on variable interest entities |  |  | — |  |  |  | (4,511 | )
Currency swaps |  | Income (loss) on variable interest entities |  |  | (21,994 | ) |  |  | (22,669 | )
Interest rate swaps |  | Income (loss) on variable interest entities |  |  | 45,237 |  |  |  | (88,521 | )
Total Variable Interest Entities |  |  |  |  | 23,243 |  |  |  | (115,701 | )
Total derivative contracts |  |  |  | $ | 32,182 |  |  | $ | (124,138 | )
Summary of net par outstanding for CDS contracts |
June 30, 2012 Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 127,730 |  |  | $ | 920,142 |  |  | $ | 1,047,872 |
AA |  |  | 5,756,517 |  |  |  | 846,291 |  |  |  | 6,602,808 |
A |  |  | 1,702,167 |  |  |  | 2,755,418 |  |  |  | 4,457,585 |
BBB(1) |  |  | — |  |  |  | 485,965 |  |  |  | 485,965 |
Below investment grade (2) |  |  | — |  |  |  | 290,186 |  |  |  | 290,186 |
|  | $ | 7,586,414 |  |  | $ | 5,298,002 |  |  | $ | 12,884,416 |
December 31, 2011 Ambac Rating |  | CLO |  |  | Other |  |  | Total |
AAA |  | $ | 297,741 |  |  | $ | 913,857 |  |  | $ | 1,211,598 |
AA |  |  | 6,193,522 |  |  |  | 1,248,584 |  |  |  | 7,442,106 |
A |  |  | 1,737,314 |  |  |  | 2,967,445 |  |  |  | 4,704,759 |
BBB(1) |  |  | — |  |  |  | 518,142 |  |  |  | 518,142 |
Below investment grade (2) |  |  | — |  |  |  | 290,007 |  |  |  | 290,007 |
|  | $ | 8,228,577 |  |  | $ | 5,938,035 |  |  | $ | 14,166,612 |
(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, 2012 and December 31, 2011:
|  | CLO |  |  | Other |  |  | Total |
June 30, 2012 |  |  |  |  |  |  |  |  |
Number of CDS transactions |  |  | 38 |  |  |  | 22 |  |  |  | 60 |
Remaining expected weighted-average life of obligations (in years) |  |  | 2.3 |  |  |  | 5.8 |  |  |  | 3.7 |
Gross principal notional outstanding |  | $ | 7,586,414 |  |  | $ | 5,298,002 |  |  | $ | 12,884,416 |
Net derivative liabilities at fair value |  | $ | (51,166 | ) |  | $ | (160,451 | ) |  | $ | (211,617 | )
|  | CLO |  |  | Other |  |  | Total |
December 31, 2011 |  |  |  |  |  |  |  |  |
Number of CDS transactions |  |  | 44 |  |  |  | 24 |  |  |  | 68 |
Remaining expected weighted-average life of obligations (in years) |  |  | 2.7 |  |  |  | 6.0 |  |  |  | 4.1 |
Gross principal notional outstanding |  | $ | 8,228,577 |  |  | $ | 5,938,035 |  |  | $ | 14,166,612 |
Net derivative liabilities at fair value |  | $ | (54,320 | ) |  | $ | (136,333 | ) |  | $ | (190,653 | )
Summary of notional amounts of AFS's trading derivative products |
Type of derivative |  | Notional June 30, 2012 |  |  | Notional December 31, 2011 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 978,781 |  |  | $ | 1,370,995 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 2,094,301 |  |  |  | 3,798,305 |
Interest rate swaps—basis swaps |  |  | 175,835 |  |  |  | 175,835 |
Currency swaps |  |  | 3,549 |  |  |  | 13,559 |
Futures contracts |  |  | 295,000 |  |  |  | 53,500 |
Other contracts |  |  | 118,450 |  |  |  | 118,930 |
Summary of notional for VIE derivatives outstanding |
|  | Notional |  |  | Notional |
Type of VIE derivative |  | June 30, 2012 |  |  | December 31, 2011 |
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,721,100 |  |  | $ | 1,702,113 |
Interest rate swaps—pay-fixed/receive-variable |  |  | 4,586,220 |  |  |  | 4,535,626 |
Currency swaps |  |  | 729,213 |  |  |  | 721,168 |
Credit derivatives |  |  | 20,605 |  |  |  | 20,934 |

X
- Definition Schedule of information by major category of credit derivatives contracts. + References No definition available. + Details
Name: | abk_ScheduleOfInformationByMajorCategoryOfCreditDerivativesContractsTableTextBlock
Namespace Prefix: | abk_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of credit derivatives by-type, by-rating. + References No definition available. + Details
Name: | abk_ScheduleOfNotionalAmountOfCreditDerivativesByRatingTableTextBlock
Namespace Prefix: | abk_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Summary of notional for VIE derivatives outstanding. + References No definition available. + Details
Name: | abk_ScheduleOfNotionalForVariableInterestEntityDerivativesOutstandingTableTextBlock
Namespace Prefix: | abk_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the effective portion of the gains and losses on derivative instruments designated (and non-derivative instruments) designated and qualifying in cash flow hedges and net investment hedges that was recognized in other comprehensive income (loss) during the current period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsEffectOnOtherComprehensiveIncomeLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579245-113959 + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration