Special Purpose Entities, Including Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016 and December 31, 2015:



	March 31, 2016		December 31, 2015
Investments:
Corporate obligations	$	2,622,724	$	2,588,556
Total variable interest entity assets: fixed income securities	$	2,622,724	$	2,588,556

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, 2016 and December 31, 2015:



	Estimated fair value		Unpaid principal balance
March 31, 2016
Loans	$	11,516,242	$	8,939,155
Long-term debt	11,998,561		10,436,014
December 31, 2015
Loans	11,690,324		9,182,284
Long-term debt	$	12,327,960	$	10,803,729

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 March 31, 2016 and December 31, 2015:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
March 31, 2016:
Global structured finance:
Collateralized debt obligations	$	973,278	$	259	$	3,565	$	(163,575	)
Mortgage-backed—residential	16,584,533		703,479		3,008,132		—
Other consumer asset-backed	2,488,102		29,493		339,895		—
Other commercial asset-backed	1,991,985		81,537		73,530		—
Other	3,329,345		80,346		472,567		16,049
Total global structured finance	25,367,243		895,114		3,897,689		(147,526		)
Global public finance	27,745,509		377,116		415,068		(12,498		)
Total	$	53,112,752	$	1,272,230	$	4,312,757	$	(160,024	)

December 31, 2015:
Global structured finance:
Collateralized debt obligations	$	980,935	$	264	$	3,639	$	(129,525	)
Mortgage-backed—residential	17,081,002		1,279,650		2,680,739		—
Other consumer asset-backed	3,853,443		47,346		535,090		—
Other commercial asset-backed	2,393,805		104,033		94,191		—
Other	3,286,568		81,017		461,364		15,410
Total global structured finance	27,595,753		1,512,310		3,775,023		(114,115		)
Global public finance	28,586,582		377,412		427,299		(24,860		)
Total	$	56,182,335	$	1,889,722	$	4,202,322	$	(138,975	)

(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.