Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2015

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 September 30, 2015 and December 31, 2014:



	September 30, 2015		December 31, 2014
Investments:
Corporate obligations	$	2,679,895	$	2,743,050
Total variable interest entity assets: fixed income securities	$	2,679,895	$	2,743,050

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, 2015 and December 31, 2014:



	Estimated fair value		Unpaid principal balance
September 30, 2015
Loans	$	12,183,061	$	9,446,235
Long-term debt	12,791,012		11,366,061
December 31, 2014
Loans	12,371,177		10,236,695
Long-term debt	$	12,882,076	$	11,925,499

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 derivative contracts by major underlying asset classes, as of September 30, 2015 and December 31, 2014:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
September 30, 2015:
Global structured finance:
Collateralized debt obligations	$	1,041,843	$	271	$	3,716	$	(139,859	)
Mortgage-backed—residential	17,722,719		1,034,921		2,740,222		—
Other consumer asset-backed	4,321,282		51,802		648,958		(349		)
Other commercial asset-backed	2,597,067		115,751		105,826		—
Other	3,308,329		82,160		484,964		16,006
Total global structured finance	28,991,240		1,284,905		3,983,686		(124,202		)
Global public finance	30,463,734		427,717		483,506		(21,421		)
Total	$	59,454,974	$	1,712,622	$	4,467,192	$	(145,623	)

December 31, 2014:
Global structured finance:
Collateralized debt obligations	$	1,386,100	$	345	$	4,000	$	(145,565	)
Mortgage-backed—residential	19,464,549		1,011,888		2,924,987		—
Other consumer asset-backed	5,109,776		65,204		885,572		(36,877		)
Other commercial asset-backed	3,119,891		135,215		128,988		—
Other	3,801,382		97,345		599,915		18,176
Total global structured finance	32,881,698		1,309,997		4,543,462		(164,266		)
Global public finance	31,639,004		457,774		533,192		(22,135		)
Total	$	64,520,702	$	1,767,771	$	5,076,654	$	(186,401	)

(1)

Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts plus Deferred Amounts and accrued and unpaid interest thereon. 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 “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee contracts on Ambac’s Consolidated Balance Sheets.


(4)	Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets.