Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

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 September 30, 2012 and December 31, 2011:


	September 30, 2012		December 31, 2011
Investments:
Corporate obligations	$	2,160,113	$	2,199,338

Total variable interest entity assets: Fixed income securities	$	2,160,113	$	2,199,338

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, 2012 and December 31, 2011:


	Estimated fair value		Unpaid principal balance
September 30, 2012:
Loans	$	14,984,659	$	13,783,812
Long-term debt	$	14,877,975	$	15,239,550

December 31, 2011:
Loans	$	14,126,994	$	13,735,799
Long-term debt	$	14,039,450	$	15,134,711

Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated VIEs

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, 2012 and December 31, 2011:


	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss⁽¹⁾		Insurance Assets⁽²⁾		Insurance Liabilities⁽³⁾		Derivative Liabilities⁽⁴⁾
September 30, 2012:
Global Structured Finance:
Collateralized debt obligations	$	11,429,975	$	11,698	$	18,144	$	103,538
Mortgage-backed—residential		24,927,285		683,370		4,666,502		—
Mortgage-backed—commercial		634,636		—		—		2,451
Other consumer asset-backed		6,607,902		121,136		1,205,301		37,747
Other commercial asset-backed		10,676,275		464,962		1,562,914		6,945
Other		5,619,718		132,539		606,137		3,455

Total Global Structured Finance		59,895,791		1,413,705		8,058,998		154,136
Global Public Finance		37,237,385		554,295		683,569		23,250

Total	$	97,133,176	$	1,968,000	$	8,742,567	$	177,386


	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.