Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2012

Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities

The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of December 31, 2012 and December 31, 2011, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by ASC Topic 820, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.


	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
	Carrying Amount			Total Fair Value			Level 1		Level 2			Level 3
December 31, 2012
Financial assets:
Fixed income securities:
Municipal obligations	$	1,814,730		$	1,814,730		$	—	$	1,814,730		$	—
Corporate obligations		1,112,174			1,112,174			—		1,108,518			3,656
Foreign obligations		70,112			70,112			—		70,112			—
U.S. government obligations		127,283			127,283			127,283		—			—
U.S. agency obligations		82,535			82,535			—		82,535			—
Residential mortgage-backed securities		1,455,582			1,455,582			—		1,455,582			—
Collateralized debt obligations		33,342			33,342			—		26,860			6,482
Other asset-backed securities		706,637			706,637			—		656,373			50,264
Short term investments		661,658			661,658			657,886		3,772			—
Other investments		100			100			—		—			100
Fixed income securities, pledged as collateral:
U.S. government obligations		265,779			265,779			265,779		—			—
Residential mortgage-backed securities		—			—			—		—			—
Cash		43,837			43,837			43,837		—			—
Restricted cash		—			—			—		—			—
Loans		9,203			7,387			—		—			7,387
Derivative assets:
Interest rate swaps—asset position		46,752			46,752			—		46,752			—
Interest rate swaps—liability position		—			—			—		—			—
Future contracts		1,253			1,253			1,253		—			—
Other assets		14,557			14,557			—		—			14,557
Variable interest entity assets:
Fixed income securities:
Corporate obligations		2,261,294			2,261,294			—		—			2,261,294
Restricted cash		2,290			2,290			2,290		—			—
Loans		15,568,711			15,560,051			—		200,978			15,359,073

Total financial assets	$	24,277,829		$	24,267,353		$	1,098,328	$	5,466,212		$	17,702,813

Financial liabilities:
Obligations under investment and repurchase agreements	$	362,017		$	361,905		$	—	$	—		$	361,905
Liabilities subject to compromise		1,622,189			434,823			—		434,823			—
Long term debt, including accrued interest		377,524			801,277			—		—			801,277
Derivative liabilities:
Credit derivatives		213,585			213,585			—		—			213,585
Interest rate swaps—asset position		(151,365	)		(151,365	)		—		(151,365	)		—
Interest rate swaps—liability position		390,774			390,774			—		282,022			108,752
Future contracts		—			—			—		—			—
Currency swaps		—			—			—		—			—
Other contracts		220			220			—		220			—
Liabilities for net financial guarantees written		7,074,808			3,091,257			—		—			3,091,257
Variable interest entity liabilities:
Long-term debt		15,436,008			15,414,233			—		12,457,732			2,956,501
Derivative liabilities:
Interest rate swaps—liability position		2,131,315			2,131,315			—		2,131,315			—
Currency swaps—asset position		—			—			—		—			—
Currency swaps—liability position		90,466			90,466			—		90,466			—

Total financial liabilities	$	27,547,541		$	22,778,490		$	—	$	15,245,213		$	7,533,277


	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
	Carrying Amount			Total Fair Value			Level 1		Level 2			Level 3
December 31, 2011
Financial assets:
Fixed income securities:
Municipal obligations	$	2,002,999		$	2,002,999		$	—	$	2,002,999		$	—
Corporate obligations		1,127,500			1,127,500			—		1,119,570			7,930
Foreign obligations		94,795			94,795			—		94,795			—
U.S. government obligations		111,562			111,562			111,562		—			—
U.S. agency obligations		86,871			86,871			—		85,647			1,224
Residential mortgage-backed securities		1,412,517			1,412,517			—		1,412,517			—
Collateralized debt obligations		46,237			46,237			—		33,755			12,482
Other asset-backed securities		947,808			947,808			—		871,922			75,886
Short term investments		783,071			783,071			769,204		13,867			—
Other investments		100			100			—		—			100
Fixed income securities, pledged as collateral:
U.S. government obligations		260,802			260,802			260,802		—			—
Residential mortgage-backed securities		2,728			2,728			—		2,728			—
Cash		15,999			15,999			15,999		—			—
Restricted cash		2,500			2,500			2,500		—			—
Loans		18,996			16,934			—		—			16,934
Derivative assets:
Interest rate swaps—asset position		411,652			411,652			—		260,851			150,801
Interest rate swaps—liability position		(242,500	)		(242,500	)		—		(53	)		(242,447	)
Future contracts		—			—			—		—			—
Call options on long-term debt		6,055			6,055			—		—			6,055
Other assets		16,779			16,779			—		—			16,779
Variable interest entity assets:
Fixed income securities:
Corporate obligations		2,199,338			2,199,338			—		—			2,199,338
Restricted cash		2,140			2,140			2,140		—			—
Loans		14,329,515			14,309,134			—		182,140			14,126,994

Total financial assets	$	23,637,464		$	23,615,021		$	1,162,207	$	6,080,738		$	16,372,076

Financial liabilities:
Obligations under investment and repurchase agreements	$	546,546		$	549,043		$	—	$	—		$	549,043
Liabilities subject to compromise		1,622,189			112,233			—		112,233			—
Long term debt, including accrued interest		391,372			562,043			—		—			562,043
Derivative liabilities:
Credit derivatives		190,653			190,653			—		—			190,653
Interest rate swaps—asset position		(30,859	)		(30,859	)		—		—			(30,859	)
Interest rate swaps—liability position		251,303			251,303			—		9,913			241,390
Futures contracts		627			627			627		—			—
Currency swaps		2,423			2,423			—		2,423			—
Other contracts		361			361			—		361			—
Liabilities for net financial guarantees written		7,547,288			2,642,795			—		—			2,642,795
Variable interest entity liabilities:
Long-term debt		14,288,540			14,255,452			—		12,320,810			1,934,642
Derivative liabilities:
Interest rate swaps—liability position		2,023,974			2,023,974			—		2,023,974			—
Currency swaps—asset position		(27,779	)		(27,779	)		—		(27,779	)		—
Currency swaps—liability position		90,857			90,857			—		90,857			—

Total financial liabilities	$	26,897,495		$	20,623,126		$	627	$	14,532,792		$	6,089,707

Information about Valuation Inputs for Fixed Income Securities Classified as Level 3

Significant inputs for the interest only strips valuation at December 31, 2012 and December 31, 2011 include the following weighted averages:

December 31, 2012

Coupon rate: 0.345%

Maturity: 21.14 years

Yield: 6.08%

December 31, 2011

Coupon rate: 0.60%

Maturity: 21.44 years

Yield: 7.20%

U.S. agency obligations: These notes are secured by separate lease rental agreements with the U.S. Government acting through the General Services Administration. There were no U.S. agency obligations classified as Level 3 at December 31, 2012. The fair value of such securities classified as Level 3 was $1,224 at December 31, 2011. Fair value was calculated using a discounted cash flow approach with the yield based on comparable U.S. agency securities. Significant inputs for the valuation at December 31, 2011 include the following weighted averages:

December 31, 2011

Coupon rate: 6.91%

Maturity: 1.33 years

Yield: 2.13%

Collateralized debt obligations (“CDO”): Securities are floating rate senior notes where the underlying securities of the CDO consist of subordinated bank perpetual preferred securities. The fair value of such securities classified as Level 3 was $6,482 and $12,482 at December 31, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at December 31, 2012 and December 31, 2011 include the following weighted averages:

December 31, 2012

Coupon rate: 1.05%

Maturity: 1.51 years

Yield: 5.92%

December 31, 2011

Coupon rate: 0.86%

Maturity: 1.55 years

Yield: 11.79%

Other asset-backed securities: These securities are floating rate investment grade notes collateralized by various asset types. The fair value of such securities classified as Level 3 was $50,264 and $75,886 at December 31, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at December 31, 2012 and December 31, 2011 include the following weighted averages:

December 31, 2012

Coupon rate: 0.71%

Maturity: 7.86 years

Yield: 7.50%

December 31, 2011

Coupon rate: 1.41%

Maturity: 3.00 years

Yield: 4.50%

European ABS transactions: The fair value of such obligations classified as Level 3 was $2,956,501 and $1,934,642 at December 31, 2012 and December 31, 2011, respectively. Fair values were calculated by using a discounted cash flow approach. The discount rates used were based on the rates implied from the third party quoted values (Level 2) for comparable notes from the same securitization. Significant inputs for the valuation at December 31, 2012 and December 31, 2011 include the following weighted averages:

December 31, 2012

Coupon rate: 1.64%

Maturity: 12.34 years

Yield: 4.02%

December 31, 2011

Coupon rate: 1.56%

Maturity: 11.99 years

Yield: 3.90%

Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives

Information about the above described model inputs used to determine the fair value of each class of credit derivatives as of December 31, 2012 and 2011 is summarized below:

As of December 31, 2012


	CLOs			Other⁽¹⁾
Notional outstanding	$	6,155,767		$	3,701,387
Weighted average reference obligation price		96.5			86.9
Weighted average life (WAL) in years		2.2			4.2
Weighted average credit rating		AA-			A
Weighted average relative change ratio		34.4	%		38.2	%
CVA percentage		55	%		55	%
Fair value of derivative liabilities	$	(34,645	)	$	(116,086	)

As of December 31, 2011


	CLOs			Other⁽¹⁾
Notional outstanding	$	8,228,577		$	4,099,766
Weighted average reference obligation price		92.5			84.3
Weighted average life (WAL) in years		2.7			4.7
Weighted average credit rating		AA-			A
Weighted average relative change ratio		34.4	%		38.5	%
CVA percentage		75	%		75	%
Fair value of derivative liabilities	$	(54,320	)	$	(86,526	)

(1)

Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of $1,424,623, WAL of 7.9 years and liability fair value of ($62,854) as of December 31, 2012. Other inputs to the valuation of these transactions at December 31, 2012 include weighted average quotes of 10% of notional, weighted average rating of A and Ambac CVA percentage of 55%. As of December 31, 2011, these contracts had a combined notional outstanding of $1,838,269, WAL of 9.0 years and liability fair value of ($49,807). Other inputs to the valuation of these transactions at December 31, 2011 include weighted average quotes of 11% of notional, weighted average rating of A+ and Ambac CVA percentage of 75%.

Summary of Changes in Level 3 Fair Value Category

the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

Level-3 financial assets and liabilities accounted for at fair value


										VIE Assets and Liabilities
2012	Investments			Other assets			Derivatives			Investments			Loans			Derivatives		Long-term debt			Total
Balance, beginning of period	$	97,522		$	16,779		$	(486,775	)	$	2,199,338		$	14,126,994		$	—	$	(1,934,642	)	$	14,019,216
Additions of VIEs consolidated		—			—			—			—			—			—		—			—
Total gains/(losses) realized and unrealized:
Included in earnings		(3	)		(2,222	)		21,076			(41,289	)		952,463			—		(208,678	)		721,347
Included in other comprehensive income		7,485			—			—			103,245			637,954			—		(98,311	)		650,373
Purchases		—			—			—			—			—			—		—			—
Issuances		—			—			—			—			—			—		(162,460	)		(162,460	)
Sales		—			—			—			—			—			—		—			—
Settlements		(97,206	)		—			(48,886	)		—			(358,338	)		—		64,781			(439,649	)
Transfers in Level 3		58,905			—			—			—			—			—		(1,875,121	)		(1,816,216	)
Transfers out of Level 3		(6,301	)		—			192,248			—			—			—		1,257,930			1,443,877
Deconsolidation of VIEs		—			—			—			—			—			—		—			—

Balance, end of period	$	60,402		$	14,557		$	(322,337	)	$	2,261,294		$	15,359,073		$	—	$	(2,956,501	)	$	14,416,488

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	(2,222	)	$	(113,836	)	$	(41,289	)	$	952,944		$	—	$	(208,678	)	$	587,983


										VIE Assets and Liabilities
2011	Investments			Other assets			Derivatives			Investments			Loans			Derivatives			Long-term debt			Total
Balance, beginning of period	$	199,172		$	17,909		$	(195,933	)	$	1,904,361		$	15,800,918		$	4,511		$	(1,856,366	)	$	15,874,572
Additions of VIEs consolidated		—			—			—			—			—			—			(350,624	)		(350,624	)
Total gains/(losses) realized and unrealized:
Included in earnings		(3,467	)		(1,130	)		(335,633	)		311,842			664,823			(4,511	)		(118,048	)		513,876
Included in other comprehensive income		(124	)		—			—			(16,865	)		(14,881	)		—			11,240			(20,630	)
Purchases		—			—			—			—			—			—			—			—
Issuances		—			—			—			—			—			—			—			—
Sales		(16,600	)		—			—			—			—			—			—			(16,600	)
Settlements		(6,446	)		—			44,791			—			(428,899	)		—			35,241			(355,313	)
Transfers in Level 3		469			—			—			—			—			—			(905,664	)		(905,195	)
Transfers out of Level 3		(75,482	)		—			—			—			—			—			955,636			880,154
Deconsolidation of VIEs		—			—			—			—			(1,894,967	)		—			293,943			(1,601,024	)

Balance, end of period	$	97,522		$	16,779		$	(486,775	)	$	2,199,338		$	14,126,994		$	—		$	(1,934,642	)	$	14,019,216

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	(1,130	)	$	(340,674	)	$	311,842		$	664,823		$	(4,511	)	$	(118,063	)	$	512,287

The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. This information is provided for the year ended December 31, 2012 as required by amendments to ASC Topic 820 effective January 1, 2011.

Level-3 Investments by class


Year ended December 31, 2012	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	12,482		$	75,886		$	7,930		$	1,224		$	97,522
Total gains/(losses) realized and unrealized:
Included in earnings		(5	)		—			4			(2	)		(3	)
Included in other comprehensive income		646			7,051			(203	)		(9	)		7,485
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		—			—			—			—			—
Settlements		(6,641	)		(85,741	)		(4,075	)		(749	)		(97,206	)
Transfers in Level 3		—			53,068			5,837			—			58,905
Transfers out of Level 3		—			—			(5,837	)		(464	)		(6,301	)

Balance, end of period	$	6,482		$	50,264		$	3,656		$	—		$	60,402

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	—		$	—		$	—		$	—

Level-3 Investments by class


Year ended December 31, 2011	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	30,433		$	159,473		$	8,069		$	1,197		$	199,172
Total gains/(losses) realized and unrealized:
Included in earnings		(3,286	)		—			(177	)		(4	)		(3,467	)
Included in other comprehensive income		6,454			(6,612	)		38			(4	)		(124	)
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		(16,600	)		—			—			—			(16,600	)
Settlements		(4,519	)		(1,493	)		—			(434	)		(6,446	)
Transfers in Level 3		—			—			—			469			469
Transfers out of Level 3		—			(75,482	)		—			—			(75,482	)

Balance, end of period	$	12,482		$	75,886		$	7,930		$	1,224		$	97,522

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—		$	—		$	—		$	—		$	—

Level-3 Derivatives by class


Year ended December 31, 2012	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt			Total Derivatives
Balance, beginning of period	$	(302,177	)	$	(190,653	)	$	6,055		$	(486,775	)
Additions of VIEs consolidated
Total gains/(losses) realized and unrealized:
Included in earnings		(70,415	)		(9,219	)		100,710			21,076
Included in other comprehensive income		—			—			—			—
Purchases		—			—			—			—
Issuances		—			—			—			—
Sales		—			—			—			—
Settlements		71,592			(13,713	)		(106,765	)		(48,886	)
Transfers in Level 3		—			—			—			—
Transfers out of Level 3		192,248			—			—			192,248
Deconsolidation of VIEs		—			—			—			—

Balance, end of period	$	(108,752	)	$	(213,585	)	$	—		$	(322,337	)

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	(78,505	)	$	(35,331	)	$	—		$	(113,836	)

Level-3 Derivatives by class


Year ended December 31, 2011	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt		Total Derivatives
Balance, beginning of period	$	25,751		$	(221,684	)	$	—	$	(195,933	)
Additions of VIEs consolidated
Total gains/(losses) realized and unrealized:
Included in earnings		(389,720	)		48,032			6,055		(335,633	)
Included in other comprehensive income		—			—			—		—
Purchases		—			—			—		—
Issuances		—			—			—		—
Sales		—			—			—		—
Settlements		61,792			(17,001	)		—		44,791
Transfers in Level 3		—			—			—		—
Transfers out of Level 3		—			—			—		—
Deconsolidation of VIEs		—			—			—		—

Balance, end of period	$	(302,177	)	$	(190,653	)	$	6,055	$	(486,775	)

The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	(356,354	)	$	9,625		$	6,055	$	(340,674	)

Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings

Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for years ended December 31, 2012 and 2011 are reported as follows:


	Net investment income			Realized gains or (losses) and other settlements on credit derivative contracts		Unrealized gains or (losses) on credit derivative contracts			Derivative products revenues (interest rate swaps)			Income (loss) on variable interest entities		Other income
2012
Total gains or losses included in earnings for the period	$	(3	)	$	13,713	$	(22,932	)	$	(70,415	)	$	702,496	$	98,488
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		(35,331	)		(78,505	)		702,977		(2,222	)
2011
Total gains or losses included in earnings for the period	$	(3,467	)	$	17,001	$	31,031		$	(389,720	)	$	854,106	$	4,925
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		9,625			(356,354	)		854,091		4,925

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 14

-Subparagraph a

-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.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph c(2), d, e, f

-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.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

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+ Details