Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2018

Variable Interest Entity Not Primary Beneficiary Table [Line Items]

Variable Interest Entity Not Primary Beneficiary Table [Table Text Block]

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 December 31, 2018 and 2017:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
December 31, 2018:
Global structured finance:
Collateralized debt obligations	$	9,787	$	—	$	—	$	(2	)
Mortgage-backed—residential ⁽⁵⁾	6,713,437		1,859,121		546,682		—
Other consumer asset-backed	1,700,984		15,435		238,234		—
Other commercial asset-backed	873,343		20,735		12,264		—
Other	2,122,648		53,462		301,260		7,170
Total global structured finance	11,420,199		1,948,753		1,098,440		7,168
Global public finance	24,145,956		309,071		335,437		(1,457		)
Total	$	35,566,155	$	2,257,824	$	1,433,877	$	5,711



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
December 31, 2017:
Global structured finance:
Collateralized debt obligations	$	35,555	$	169	$	1	$	(15	)
Mortgage-backed—residential	12,766,685		619,848		3,218,356		—
Other consumer asset-backed	2,266,610		23,405		328,732		—
Other commercial asset-backed	987,797		30,413		35,976		—
Other	2,513,304		60,086		306,457		10,311
Total global structured finance	18,569,951		733,921		3,889,522		10,296
Global public finance	25,629,816		335,347		371,056		(551		)
Total	$	44,199,767	$	1,069,268	$	4,260,578	$	9,745

(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.


(5)	On February 12, 2018, Deferred Amounts and Interest Accrued on Deferred Amounts in the amount of $3,000,158 and $856,834, respectively were settled. This settlement impacted both insurance assets and insurance liabilities in the table above.

Components of VIE Gain (Loss) [Table Text Block]

Below is a schedule detailing the change in fair value of the various financial instruments within the consolidated FG VIEs, along with gains (losses) from consolidating and deconsolidating FG VIEs, that together comprise Income (loss) on variable interest entities for for the affected periods:



Year Ended December 31,	2018			2017		2016
Income (loss) on changes related to:
Net change in fair value of VIE assets and liabilities	$	2,782		$	19,670	$	(14,093	)
Less: Credit risk changes of fair value liabilities	(1,170		)	—		—
Deconsolidation	1,824			—		—
Income (loss) on Variable Interest Entities	$	3,436		$	19,670	$	(14,093	)

Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by 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, 2018 and 2017:



	Estimated Fair Value		Unpaid Principal Balance
December 31, 2018:
Loans	$	4,287,664	$	3,402,413
Long-term debt	5,268,596		4,552,643
December 31, 2017:
Loans	11,529,384		8,168,651
Long-term debt	$	12,160,544	$	9,387,884

Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with 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, 2018 and 2017:



December 31,	2018		2017
Investments:
Corporate obligations	$	2,737,286	$	2,914,145
Total variable interest entity assets: fixed income securities	$	2,737,286	$	2,914,145