Special Purpose Entities, Including Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2013

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 March 31, 2013 and December 31, 2012:


	March 31, 2013		December 31, 2012
Investments:
Corporate obligations	$	2,414,607	$	2,261,294

Total variable interest entity assets: Fixed income securities	$	2,414,607	$	2,261,294

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 March 31, 2013 and December 31, 2012:


	Estimated fair value		Unpaid principal balance
March 31, 2013:
Loans	$	14,116,811	$	12,522,933
Long-term debt	$	13,996,531	$	13,893,522
December 31, 2012:
Loans	$	15,359,073	$	13,995,141
Long-term debt	$	15,200,538	$	15,460,530

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 March 31, 2013 and December 31, 2012:


	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss⁽¹⁾		Insurance Assets⁽²⁾		Insurance Liabilities⁽³⁾		Derivative Liabilities⁽⁴⁾
March 31, 2013:
Global Structured Finance:
Collateralized debt obligations	$	8,880,445	$	7,656	$	10,922	$	104,544
Mortgage-backed—residential		21,936,226		645,742		3,875,478		—
Mortgage-backed—commercial		610,872		—		—		2,788
Other consumer asset-backed		5,755,161		98,185		1,120,657		38,018
Other commercial asset-backed		9,611,024		420,513		1,196,286		9,427
Other		5,257,351		129,485		607,600		5,475

Total Global Structured Finance		52,051,079		1,301,581		6,810,943		160,252
Global Public Finance		35,730,898		524,309		606,981		29,470

Total	$	87,781,977	$	1,825,890	$	7,417,924	$	189,722


	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

(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.