Special Purpose Entities, Including Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2012

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 December 31, 2012 and December 31, 2011:


	December 31, 2012		December 31, 2011
Investments:
Corporate obligations	$	2,261,294	$	2,199,338

Total variable interest entity assets: Fixed income securities	$	2,261,294	$	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 December 31, 2012 and December 31, 2011:


	Estimated fair value		Unpaid principal balance
December 31, 2012:
Loans	$	15,359,073	$	13,995,141
Long-term debt	$	15,200,538	$	15,460,530

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 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 December 31, 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⁾
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


	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.