SEC Document

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
 
 
SCHEDULE 14A
 
 
 
 
PROXY STATEMENT PURSUANT TO SECTION 14(A) OF
THE SECURITIES EXCHANGE ACT OF 1934
(AMENDMENT NO. ____)
 
 
 
Filed by the Registrant x Filed by a Party other than the Registrant o
Check the appropriate box:
 
 
 
o
 
Preliminary Proxy Statement
 
 
o
 
Confidential, for Use of the Commission Only (as permitted by Rule 14a-6(e)(2))
 
 
o
 
Definitive Proxy Statement
 
 
o
 
Definitive Additional Materials
 
 
x
 
Soliciting Material Pursuant to §240.14a-12

AMBAC FINANCIAL GROUP, INC.
(Name of Registrant as Specified In Its Charter)
 
(Name of Person(s) Filing Proxy Statement, if Other Than the Registrant)

PAYMENT OF FILING FEE (CHECK THE APPROPRIATE BOX):
 
 
 
 
 
x
 
No fee required.
 
 
o
 
Fee computed on table below per Exchange Act Rules 14a-6(i)(1) and 0-11.
 
 
 
 
 
(1)
 
Title of each class of securities to which the transaction applies:
 
 
(2)
 
Aggregate number of securities to which the transaction applies:
 
 
(3)
 
Per unit price or other underlying value of transaction computed pursuant to Exchange Act Rule 0-11 (set forth the amount on which the filing fee is calculated and state how it was determined):
 
 
(4)
 
Proposed maximum aggregate value of transaction:
 
 
(5)
 
Total fee paid:
 
 
o
 
Fee paid previously with preliminary materials.
 
 
o
 
Check box if any part of the fee is offset as provided by Exchange Act Rule 0-11(a)(2) and identify the filing for which the offsetting fee was paid previously. Identify the previous filing by registration statement number, or the Form or Schedule and the date of its filing.
 
 
 
 
 
(1)
 
Amount previously paid:
 
 
(2)
 
Form, Schedule or Registration Statement No.:
 
 
(3)
 
Filing Party:
 
 
(4)
 
Date Filed:




On May 11, 2016, Ambac Financial Group, Inc. posted its Quarterly Operating Supplement on its website in connection with the release of its financial results for the three months ended March 31, 2016.
Important Information
Ambac Financial Group, Inc., ("Ambac") filed a definitive proxy statement with the Securities and Exchange Commission ("SEC") on April 20, 2016 in connection with its 2016 Annual Meeting. STOCKHOLDERS ARE URGED TO READ THIS PROXY STATEMENT, THE ACCOMPANYING WHITE PROXY CARD AND OTHER RELEVANT DOCUMENTS FILED BY AMBAC WITH THE SEC IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION. Stockholders may obtain free copies of these documents through the website maintained by the SEC at http://www.sec.gov and through the website maintained by Ambac at http://ir.ambac.com.
Certain Information Regarding Participants
Ambac, its directors and certain of its officers and other employees may be deemed to be participants in the solicitation of Ambac's stockholders in connection with its 2016 annual meeting. Information regarding the names, affiliations and direct and indirect interests (by security holdings or otherwise) of these persons can be found in Ambac's definitive proxy statement for its 2016 Annual Meeting, which was filed with the SEC on April 20, 2016. To the extent holdings of Ambac’s securities by such persons have changed since the amounts printed in the 2016 definitive proxy statement, such changes have been or will be reflected on Initial Statements of Beneficial Ownership on Form 3 or on Statements of Change in Ownership on Form 4 filed with the SEC. More detailed information regarding the identity of potential participants, and their direct or indirect interests, by security holdings or otherwise, is set forth in the definitive proxy statement and, to the extent applicable, will be updated in other materials to be filed with the SEC in connection with Ambac’s 2016 Annual Meeting. Stockholders may obtain a free copy of the proxy statement and other documents filed by Ambac with the SEC from the sources listed above.
About Ambac
Ambac Financial Group, Inc. ("Ambac"), headquartered in New York City, is a holding company whose subsidiaries, including its principal operating subsidiary, Ambac Assurance Corporation ("AAC"), Everspan Financial Guarantee Corp., and Ambac Assurance UK Limited, provide financial guarantees and other financial services to clients in both the public and private sectors globally. Ambac Assurance, including the Segregated Account of Ambac Assurance (in rehabilitation), is a guarantor of public finance and structured finance obligations. Ambac is also selectively exploring opportunities involving the acquisition and/or development of new businesses. Ambac‘s common stock trades on the NASDAQ Global Select Market under the symbol “AMBC”. The Amended and Restated Certificate of Incorporation of Ambac contains substantial restrictions on the ability to transfer Ambac’s common stock. Subject to limited exceptions, any attempted transfer of common stock shall be prohibited and void to the extent that, as a result of such transfer (or any series of transfers of which such transfer is a part), any person or group of persons shall become a holder of 5% or more of Ambac’s common stock. Ambac is committed to providing timely and accurate information to the investing public, consistent with our legal and regulatory obligations. To that end, we use our website to convey information about our businesses, including the anticipated release of quarterly financial results, quarterly financial, statistical and business-related information, and the posting of updates to the status of certain primary residential mortgage backed securities litigations. For more information, please go to www.ambac.com.

Contact
Abbe F. Goldstein, CFA
Managing Director, Investor Relations and Corporate Communications
(212) 208-3222
agoldstein@ambac.com
Source: Ambac Financial Group, Inc.

1
SEC Exhibit






About Ambac
Ambac Financial Group, Inc. (“Ambac”), headquartered in New York City, is a holding company whose subsidiaries, including its principal operating subsidiaries, Ambac Assurance Corporation (“Ambac Assurance”), Everspan Financial Guarantee Corp., and Ambac Assurance UK Limited (“Ambac UK”), provide financial guarantees and other financial services to clients in both the public and private sectors globally.  Ambac Assurance, including the Segregated Account of Ambac Assurance (in rehabilitation), is a guarantor of public finance and structured finance obligations. Ambac is also selectively exploring opportunities involving the acquisition and/or development of new businesses. Ambac‘s common stock trades on the NASDAQ Global Select Market under the symbol “AMBC”. The Amended and Restated Certificate of Incorporation of Ambac contains substantial restrictions on the ability to transfer Ambac’s common stock. Subject to limited exceptions, any attempted transfer of common stock shall be prohibited and void to the extent that, as a result of such transfer (or any series of transfers of which such transfer is a part), any person or group of persons shall become a holder of 5% or more of Ambac’s common stock.
Important Information
Ambac Financial Group, Inc., ("Ambac") filed a definitive proxy statement with the Securities and Exchange Commission ("SEC") on April 20, 2016 in connection with its 2016 Annual Meeting. STOCKHOLDERS ARE URGED TO READ THIS PROXY STATEMENT, THE ACCOMPANYING WHITE PROXY CARD AND OTHER RELEVANT DOCUMENTS FILED BY AMBAC WITH THE SEC IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION. Stockholders may obtain free copies of these documents through the website maintained by the SEC at http://www.sec.gov and through the website maintained by Ambac at http://ir.ambac.com.
Certain Information Regarding Participants
Ambac, its directors and certain of its officers and other employees may be deemed to be participants in the solicitation of Ambac's stockholders in connection with its 2016 annual meeting. Information regarding the names, affiliations and direct and indirect interests (by security holdings or otherwise) of these persons can be found in Ambac's definitive proxy statement for its 2016 Annual Meeting, which was filed with the SEC on April 20, 2016.  To the extent holdings of Ambac’s securities by such persons have changed since the amounts printed in the 2016 definitive proxy statement, such changes have been or will be reflected on Initial Statements of Beneficial Ownership on Form 3 or on Statements of Change in Ownership on Form 4 filed with the SEC. More detailed information regarding the identity of potential participants, and their direct or indirect interests, by security holdings or otherwise, is set forth in the definitive proxy statement and, to the extent applicable, will be updated in other materials to be filed with the SEC in connection with Ambac’s 2016 Annual Meeting. Stockholders may obtain a free copy of the proxy statement and other documents filed by Ambac with the SEC from the sources listed above.
Company Information
Corporate headquarters are located at:
Ambac Financial Group, Inc.
One State Street Plaza
New York, New York 10004
www.ambac.com
Investor Relations Contact:
Abbe Goldstein (212) 208-3222
agoldstein@ambac.com


To obtain a copy of Ambac Financial Group, Inc.’s latest annual or quarterly report filed with the Securities and Exchange Commission or the most recent Annual Report to Stockholders, please visit our website at www.ambac.com.




Ambac Financial Group, Inc.
Quarterly Operating Supplement
First Quarter 2016
Table of Contents
Consolidated Statements of Operations
 
Consolidated Balance Sheets
 
Key Quarterly Financial Data
 
Key Yearly Financial Data
 
Non-GAAP Financial Measures
 
Ambac Assurance — Claims-Paying Resources and Statutory Financial Ratios
 
Ambac Assurance — Roll-forward of Statutory Policyholders’ Surplus
 
Ambac Assurance Segregated Account, in Rehabilitation — Claims Paying Position
 
Ratio of Net Claims Recorded
 
Estimated Future Gross RMBS Claims Presented
 
Summary of Net Insurance Loss Reserves (GAAP) and Credit Derivative Impairments
 
Summary of Insured Exposures with Impairment Losses
 
Net Insurance Premiums Earned and Fees on Credit Derivatives (GAAP)
 
Net Unearned Premium Amortization and Estimated Future Installment Premiums
 
Investment Portfolio
 
Rating Distribution of the Fixed Income Investment Portfolio
 
Expense Analysis (GAAP)
 
Historical Net Financial Guarantee Exposures Outstanding
 
Geographic Distribution of Net Financial Guarantee Exposures Outstanding
 
Rating Distribution of Net Financial Guarantee Exposures Outstanding
 
25 Largest Domestic Public Finance Exposures
 
25 Largest Structured Finance Exposures
 
25 Largest International Finance Exposures
 
Net Exposure Amortization
 
 
 
 
Notes:
1)
Internal credit ratings contained in this Supplement are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance, and for Ambac UK related transactions, based on the view of Ambac UK. In cases where Ambac Assurance or Ambac UK has insured multiple tranches of an issue with varying internal ratings, or more than one obligation of an issuer with varying internal ratings, a weighted average rating is used. Ambac Assurance and Ambac UK credit ratings are subject to revision at any time and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has insured the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac may have received premiums or fees.
2)
Information contained in this report is unaudited.




Consolidated Statements of Income — Quarter
 
 
Three Months Ended
 
($ in thousands, except share data)
 
March 31,
2016

 
December 31,
2015

Revenues:
 
 
 
 
Net premiums earned:
 
 
 
 
Normal premiums earned
 
$
37,824

 
$
41,963

Accelerated net premiums earned
 
14,976

 
72,500

Total net premiums earned
 
52,800

 
114,463

Net investment income:
 
 
 
 
Securities available-for-sale and short-term
 
57,982

 
58,108

Other investments
 
2,839

 
6,250

Total net investment income
 
60,821

 
64,358

Other-than-temporary impairment losses:
 
 
 
 
Total other-than-temporary impairment losses
 
(48,070
)
 
(23,197
)
Portion of other-than-temporary impairment recognized in other comprehensive income
 
38,736

 
10,827

Net other-than-temporary impairment losses recognized in earnings
 
(9,334
)
 
(12,370
)
Net realized investment gains
 
1,102

 
2,622

Change in fair value of credit derivatives:
 
 
 
 
Realized gains and other settlements
 
252

 
266

Unrealized gains (losses)
 
12,614

 
(3,311
)
Net change in fair value of credit derivatives
 
12,866

 
(3,045
)
Derivative products
 
(83,424
)
 
9,314

Net realized gains on extinguishment of debt
 
1,235

 

Other income
 
7,999

 
1,944

Income (loss) on variable interest entities
 
(27,163
)
 
(6,561
)
Total revenues
 
16,902

 
170,725

Expenses:
 
 
 
 
Losses and loss expense (benefit)
 
(105,281
)
 
(337,065
)
Insurance intangible amortization
 
50,890

 
54,357

Operating expenses
 
28,009

 
27,300

Interest expense
 
30,430

 
30,557

Total expenses (benefit)
 
4,048

 
(224,851
)
Pre-tax income
 
12,854

 
395,576

Provision for income taxes
 
3,439

 
8,900

Net income
 
9,415

 
386,676

Less: net (gain) loss attributable to noncontrolling interest
 

 
(308
)
Net income attributable to common stockholders
 
$
9,415

 
$
386,984

 
 
 
 
 
Net income per share attributable to common stockholders
 
$
0.21

 
$
8.57

Net income per diluted share attributable to common stockholders
 
$
0.21

 
$
8.56

 
 
 
 
 
Weighted average number of shares outstanding
 
45,176,978

 
45,173,159

Weighted average number of diluted shares outstanding
 
45,243,997

 
45,191,070



1



Consolidated Balance Sheets
($ in thousands, except share data)
 
March 31,
2016
 
December 31,
2015
Assets:
 
 
 
 
Investments:
 
 
 
 
Fixed income securities, available for sale, at fair value (amortized cost: $5,539,759 and $4,992,756)
 
$
5,650,261

 
$
5,043,776

Fixed income securities pledged as collateral, available for sale, at fair value (amortized cost: $64,667 and $64,612)
 
64,918

 
64,555

Short-term investments, available for sale, at fair value (amortized cost: $436,759 and $225,789)
 
436,760

 
225,789

Other investments (includes $294,376 and $285,261 at fair value)
 
320,847

 
310,600

Total investments
 
6,472,786

 
5,644,720

Cash and cash equivalents
 
29,142

 
35,744

Receivable for securities
 
10,196

 
44,030

Investment income due and accrued
 
25,386

 
25,264

Premium receivables
 
782,078

 
831,575

Reinsurance recoverable on paid and unpaid losses
 
27,316

 
43,999

Deferred ceded premium
 
86,502

 
96,758

Subrogation recoverable
 
660,471

 
1,229,293

Loans
 
5,109

 
5,206

Derivative assets
 
97,559

 
84,995

Insurance intangible asset
 
1,149,966

 
1,212,112

Other assets
 
221,206

 
185,877

Variable interest entity assets
 
14,150,874

 
14,288,497

Total assets
 
$
23,718,591

 
$
23,728,070

Liabilities and Stockholders’ Equity:
 
 
 
 
Liabilities:
 
 
 
 
Unearned premiums
 
$
1,192,796

 
$
1,280,282

Loss and loss expense reserves
 
4,303,547

 
4,088,106

Ceded premiums payable
 
47,338

 
53,494

Obligations under investment agreements
 
100,358

 
100,358

Deferred taxes
 
1,759

 
2,205

Current taxes
 
3,372

 
5,835

Long-term debt
 
1,115,284

 
1,124,950

Accrued interest payable
 
371,688

 
355,536

Derivative liabilities
 
408,331

 
353,358

Other liabilities
 
68,693

 
61,134

Payable for securities purchased
 
16,760

 
84,690

Variable interest entity liabilities
 
14,077,034

 
14,259,776

Total liabilities
 
$
21,706,960

 
$
21,769,724

Stockholders' equity:
 
 
 
 
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized; issued and outstanding shares—none
 
$

 
$

Common stock, par value $0.01 per share; 130,000,000 shares authorized; issued and outstanding shares: 45,047,686 and 45,044,222
 
450

 
450

Additional paid-in capital
 
191,895

 
190,813

Accumulated other comprehensive income
 
58,012

 
15,215

Retained earnings
 
1,494,181

 
1,478,439

Treasury stock, shares at cost: 690 and 8,202
 
(12
)
 
(118
)
Total Ambac Financial Group, Inc. stockholders’ equity
 
1,744,526

 
1,684,799

Noncontrolling interest
 
267,105

 
273,547

Total stockholders’ equity
 
2,011,631

 
1,958,346

Total liabilities and stockholders’ equity
 
$
23,718,591

 
$
23,728,070

Number of shares outstanding (net of treasury shares)
 
45,046,996

 
45,036,020

Ambac Financial Group, Inc. book value per share
 
$
38.73

 
$
37.41


2



Key Quarterly Financial Data
($ in millions, except share data)
 
1Q 2016

 
4Q 2015

 
3Q 2015

 
2Q 2015

 
1Q 2015

Summary GAAP Financial Data:
 
 
 
 
 
 
 
 
 
 
Statement of Total Comprehensive Income:
 
 
 
 
 
 
 
 
 
 
Net premiums earned
 
$
53

 
$
114

 
$
72

 
$
61

 
$
66

Net investment income
 
61

 
64

 
64

 
65

 
73

Change in fair value of credit derivatives
 
13

 
(3
)
 
37

 
10

 
(2
)
Income (loss) on variable interest entities (VIEs)
 
(27
)
 
(7
)
 
(21
)
 
53

 
7

Losses and loss expenses (benefit) (1)
 
(105
)
 
(337
)
 
(133
)
 
(147
)
 
(151
)
Insurance intangible amortization
 
51

 
54

 
40

 
38

 
37

Operating expenses
 
28

 
27

 
25

 
26

 
25

Interest expense
 
30

 
31

 
30

 
28

 
28

Goodwill impairment
 

 

 
515

 

 

Net income (loss) attributable to Ambac common stockholders
 
9

 
387

 
(391
)
 
283

 
215

Net income (loss) per diluted share
 
$
0.21

 
$
8.56

 
$
(8.66
)
 
$
6.05

 
$
4.57

 
 
 
 
 
 
 
 
 
 
 
Balance Sheets:
 
 
 
 
 
 
 
 
 
 
Total non-VIE investments
 
$
6,473

 
$
5,645

 
$
5,702

 
$
5,479

 
$
5,484

Premium receivable
 
782

 
832

 
895

 
937

 
952

Insurance intangible asset
 
1,150

 
1,212

 
1,279

 
1,339

 
1,347

Goodwill
 

 

 

 
515

 
515

Subrogation recoverable
 
660

 
1,229

 
982

 
981

 
984

Total VIE assets
 
14,151

 
14,288

 
14,875

 
15,762

 
15,507

Total assets
 
23,719

 
23,728

 
24,267

 
25,514

 
25,387

Unearned premium revenue
 
1,193

 
1,280

 
1,428

 
1,528

 
1,584

Loss and loss expense reserve
 
4,304

 
4,088

 
4,238

 
4,367

 
4,476

Obligations under investment agreements
 
100

 
100

 
100

 
112

 
112

Long-term debt (2)
 
1,115

 
1,125

 
1,123

 
978

 
979

Ambac stockholders' equity
 
$
1,745

 
$
1,685

 
$
1,355

 
$
1,773

 
$
1,563

 
 
 
 
 
 
 
 
 
 
 
Non GAAP Measurements:
 
 
 
 
 
 
 
 
 
 
Operating earnings
 
$
218

 
$
481

 
$
171

 
$
266

 
$
248

Adjusted book value
 
1,311

 
1,116

 
802

 
742

 
479

 
 
 
 
 
 
 
 
 
 
 
Summary Statutory Data of Ambac Assurance:
 
 
 
 
 
 
 
 
 
 
Invested assets
 
$
5,439

 
$
4,783

 
$
4,758

 
$
4,513

 
$
4,403

Loss and loss expense reserves (3)
 
5,006

 
5,105

 
5,159

 
5,179

 
5,204

Estimated impairment losses on subsidiary guarantees
 
9

 

 
4

 
9

 
2

Policyholders' Surplus
 
646

 
625

 
351

 
235

 
100

Qualified statutory capital
 
1,038

 
1,017

 
618

 
463

 
300

Total claims-paying resources, including Ambac UK (3)
 
$
8,899

 
$
9,052

 
$
8,817

 
$
8,812

 
$
8,660

 
 
 
 
 
 
 
 
 
 
 
1)
Under the amended Segregated Account Rehabilitation Plan, holders of permitted policy claims will receive an initial interim cash payment for a portion of such policy claim (“Interim Payment”), together with the right to receive a deferred payment equal to the balance of the unpaid policy claim, as may be adjusted from time to time pursuant to the terms of the amended Segregated Account Rehabilitation Plan (“Deferred Amount”). Payments of Deferred Amounts will be made at such times as the Rehabilitator deems appropriate in his sole discretion. Deferred Amounts will generally accrue and compound interest at an annual effective rate of 5.1%. Includes interest expense on Deferred Amounts of $41.8, $41.7, $40.7, $39.6 and $39.9 for the first quarter of 2016 and fourth, third, second and first quarters of 2015, respectively.
2)
Long-term debt includes surplus notes issued and outstanding to third parties by Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation and notes issued and outstanding to third parties under a secured borrowing transaction executed in the third quarter of 2015. Long-term debt for all years excludes the portion of long-term debt associated with variable interest entities consolidated as a result of Ambac's variable interest arising from the financial guarantees of its subsidiaries.
3)
Loss and loss expense reserves and total claims-paying resources present loss and loss expense reserves before the recorded statutory benefit for expected subrogation receipts.

3



Key Yearly Financial Data
 
 
Successor (1)
 
 
 
Predecessor (1)
 
($ in millions, except share data)
 
YTD 2016

 
2015

 
2014

 
Eight Months Ended Dec. 31, 2013

 
 
Four Months Ended Apr. 30, 2013

 
2012

Summary GAAP Financial Data:
 
 
 
 
 
 
 
 
 
 
 
 
 
Statement of Total Comprehensive Income:
 
 
 
 
 
 
 
 
 
 
 
 
 
Net premiums earned
 
$
53

 
$
313

 
$
246

 
$
214

 
 
$
130

 
$
415

Net investment income (2)
 
61

 
266

 
301

 
146

 
 
117

 
383

Change in fair value of credit derivatives
 
13

 
42

 
24

 
193

 
 
(60
)
 
(9
)
Income (loss) on variable interest entities (VIEs)
 
(27
)
 
32

 
(32
)
 
(49
)
 
 
427

 
28

Losses and loss expenses (benefit) (3)
 
(105
)
 
(769
)
 
(546
)
 
(185
)
 
 
(38
)
 
684

Insurance intangible amortization (2)
 
51

 
170

 
152

 
100

 
 

 

Operating expenses (2)
 
28

 
103

 
101

 
69

 
 
45

 
139

Interest expense (2)
 
30

 
117

 
127

 
85

 
 
31

 
112

Goodwill impairment (2)
 

 
515

 

 

 
 

 

Reorganization items (2)
 

 

 

 

 
 
(2,745
)
 
7

Net income (loss) attributable to Ambac common stockholders (2)
 
9

 
493

 
484

 
505

 
 
3,349

 
(257
)
Net income (loss) per diluted share (2)
 
$
0.21

 
$
10.72

 
$
10.31

 
$
10.91

 
 
 n.m.

 
 n.m.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance Sheets:
 
 
 
 
 
 
 
 
 
 
 
 
 
Total non-VIE investments
 
$
6,473

 
$
5,645

 
$
5,507

 
$
6,524

 
 
$
6,457

 
$
6,330

Premium receivable
 
782

 
832

 
1,001

 
1,453

 
 
1,532

 
1,621

Insurance intangible asset (2)
 
1,150

 
1,212

 
1,411

 
1,598

 
 
1,659

 

Goodwill (2)
 

 

 
515

 
515

 
 
515

 

Subrogation recoverable
 
660

 
1,229

 
953

 
499

 
 
534

 
497

Total VIE assets
 
14,151

 
14,288

 
15,126

 
15,989

 
 
17,460

 
17,842

Total assets (2)
 
23,719

 
23,728

 
25,160

 
27,092

 
 
28,842

 
27,074

Unearned premium revenue
 
1,193

 
1,280

 
1,674

 
2,256

 
 
2,482

 
2,778

Loss and loss expense reserve
 
4,304

 
4,088

 
4,752

 
5,969

 
 
6,106

 
6,619

Obligations under investment agreements
 
100

 
100

 
160

 
359

 
 
365

 
362

Long-term debt (2)(4)
 
1,115

 
1,125

 
971

 
963

 
 
940

 
150

Liabilities subject to compromise (2) (4)
 

 

 

 

 
 

 
1,705

Ambac stockholders' equity (deficit) (2)
 
$
1,745

 
$
1,685

 
$
1,399

 
$
703

 
 
$
185

 
$
(3,908
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non GAAP Measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Operating earnings
 
$
218

 
$
1,165

 
$
683

 
$
688

 
 
 
 
 
Adjusted book value
 
1,311

 
1,116

 
337

 
(50
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Summary Statutory Data of Ambac Assurance:
 
 
 
 
 
 
 
 
 
 
 
 
 
Invested assets
 
$
5,439

 
$
4,783

 
$
4,422

 
$
5,747

 
 
 
 
$
5,168

Loss and loss expense reserves (5)
 
5,006

 
5,105

 
5,259

 
6,538

 
 
 
 
6,275

Estimated impairment losses on subsidiary guarantees
 
9

 

 
5

 
57

 
 
 
 
144

Policyholders' Surplus
 
646

 
625

 
100

 
840

 
 
 
 
100

Qualified statutory capital
 
1,038

 
1,017

 
269

 
906

 
 
 
 
633

Total claims-paying resources, including Ambac UK (5)
 
$
8,899

 
$
9,052

 
$
8,674

 
$
10,196

 
 
 
 
$
9,841

 
 
 
 
 
 
 
 
 
 
 
 
 
 
1)
Following the Company’s emergence from bankruptcy on May 1, 2013, the consolidated financial statements reflect the application of fresh start reporting (“Fresh Start”), incorporating, among other things, the discharge of debt obligations, issuance of new common stock and fair value adjustments. The effects of the reorganization and Fresh Start adjustments are recorded in Predecessor Ambac’s Consolidated Statement of Total Comprehensive Income for the period ended April 30, 2013.
2)
As a result of the implementation of Fresh Start, results and balances are not comparable between Successor Ambac and Predecessor Ambac.
3)
Under the amended Segregated Account Rehabilitation Plan, holders of permitted policy claims will receive an initial interim cash payment for a portion of such policy claim (“Interim Payment”), together with the right to receive a deferred payment equal to the balance of the unpaid policy claim, as may be adjusted from time to time pursuant to the terms of the amended Segregated Account Rehabilitation Plan (“Deferred Amount”). Payments of Deferred Amounts will be made at such times as the Rehabilitator deems appropriate in his sole discretion. Deferred Amounts will generally accrue and compound interest at an annual effective rate of 5.1%. Includes interest expense on Deferred Amounts of $41.8, $161.9 and $411.7 for the three months ended March 31, 2016 and for the years ended December 31, 2015 and 2014, respectively.
4)
Long-term debt includes surplus notes issued and outstanding to third parties by Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation and notes issued and outstanding to third parties under a secured borrowing transaction executed in the third quarter of 2015. Long-term debt for all years excludes the portion of long-term debt associated with variable interest entities consolidated as a result of Ambac's variable interest arising from the financial guarantees of its subsidiaries. Long-term debt associated with Predecessor Ambac Financial Group is included under liabilities subject to compromise.
5)
Loss and loss expense reserves and total claims-paying resources present loss and loss expense reserves before the recorded statutory benefit for expected subrogation receipts.

4



Non-GAAP Financial Measures (1) 
($ in millions, except share amounts)
 
 
1Q2016
 
 
4Q2015
 
 
3Q2015
 
 
2Q 2015
 
 
1Q 2015
 
Operating Earnings:
 
$

 
P.D.S. (2)

 
$

 
P.D.S. (2)

 
$

 
P.D.S. (2)

 
$

 
P.D.S. (2)

 
$

 
P.D.S. (2)

Net income (loss) attributable to common stockholders
 
$
9.4

 
$
0.21

 
$
387.0

 
$
8.56

 
$
(391.0
)
 
$
(8.66
)
 
$
282.7

 
$
6.05

 
$
214.7

 
$
4.57

Adjustments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-credit impairment fair value (gain) loss on credit derivatives
 
(1.3
)
 
(0.03
)
 
2.7

 
0.06

 
(34.1
)
 
(0.76
)
 
(9.7
)
 
(0.21
)
 
4.4

 
0.09

Financial guarantee VIEs consolidated
 
155.8

 
3.44

 
21.1

 
0.47

 
30.5

 
0.68

 
(16.4
)
 
(0.35
)
 
(26.2
)
 
(0.56
)
Insurance intangible amortization
 
50.9

 
1.13

 
54.4

 
1.20

 
39.7

 
0.88

 
38.1

 
0.82

 
37.4

 
0.80

Impairment of goodwill
 

 

 

 

 
514.5

 
11.39

 

 

 

 

Foreign exchange (gain) loss from re-measurement of premium receivables and loss and loss expense reserves
 
7.2

 
0.16

 
10.6

 
0.23

 
14.7

 
0.32

 
(25.7
)
 
(0.55
)
 
29.9

 
0.64

Fair value (gain) loss on derivatives from Ambac CVA
 
(3.9
)
 
(0.09
)
 
5.2

 
0.12

 
(3.8
)
 
(0.08
)
 
(3.0
)
 
(0.06
)
 
(12.6
)
 
(0.27
)
Operating earnings
 
$
218.1

 
$
4.82

 
$
481.0

 
$
10.64

 
$
170.5

 
$
3.77

 
$
266.0

 
$
5.70

 
$
247.6

 
$
5.27

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2016
 
 
December 31, 2015
 
 
September 30, 2015
 
 
June 30, 2015
 
 
March 31, 2015
 
Adjusted Book Value:
 
$

 
P.S. (3)

 
$

 
P.S. (3)

 
$

 
P.S. (3)

 
$

 
P.S. (3)

 
$

 
P.S. (3)

Total Ambac Financial Group, Inc. stockholders' equity
 
$
1,744.5

 
$
38.73

 
$
1,684.8

 
$
37.41

 
$
1,355.0

 
$
30.10

 
$
1,772.9

 
$
39.39

 
$
1,563.3

 
$
34.74

Adjustments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-credit impairment fair value losses on credit derivatives
 
17.7

 
0.39

 
19.0

 
0.42

 
16.3

 
0.36

 
50.4

 
1.12

 
60.1

 
1.34

Financial guarantee VIEs consolidated
 
(142.4
)
 
(3.16
)
 
(302.8
)
 
(6.72
)
 
(327.0
)
 
(7.26
)
 
(363.1
)
 
(8.07
)
 
(338.3
)
 
(7.52
)
Insurance intangible asset
 
(1,150.0
)
 
(25.53
)
 
(1,212.1
)
 
(26.91
)
 
(1,279.4
)
 
(28.42
)
 
(1,339.4
)
 
(29.76
)
 
(1,347.3
)
 
(29.94
)
Goodwill
 

 

 

 

 

 

 
(514.5
)
 
(11.43
)
 
(514.5
)
 
(11.43
)
Ambac CVA on derivative product liabilities (excluding credit derivatives)
 
(82.6
)
 
(1.83
)
 
(78.7
)
 
(1.75
)
 
(84.0
)
 
(1.86
)
 
(80.2
)
 
(1.78
)
 
(77.2
)
 
(1.72
)
Net unearned premiums and fees in excess of expected losses
 
1,034.5

 
22.96

 
1,056.6

 
23.46

 
1,208.5

 
26.84

 
1,295.2

 
28.78

 
1,326.1

 
29.46

Net unrealized investment (gains) losses in Accumulated Other Comprehensive Income
 
(110.8
)
 
(2.46
)
 
(51.0
)
 
(1.13
)
 
(87.8
)
 
(1.95
)
 
(79.4
)
 
(1.76
)
 
(193.2
)
 
(4.29
)
Adjusted book value
 
$
1,310.9

 
$
29.10

 
$
1,115.8

 
$
24.78

 
$
801.6

 
$
17.81

 
$
741.9

 
$
16.49

 
$
479.0

 
$
10.64

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1)
In addition to reporting Ambac's financial results in accordance with GAAP, Ambac reports two non-GAAP financial measures: Operating Earnings and Adjusted Book Value. A non-GAAP financial measure is a numerical measure of financial performance or financial position that excludes (or includes) amounts that are included in (or excluded from) the most directly comparable measure calculated and presented in accordance with GAAP. We are presenting these non-GAAP financial measures because they provide greater transparency and enhanced visibility into the underlying drivers of our business and the impact of certain items that Ambac believes will reverse from GAAP book value over time through the GAAP statements of comprehensive income. Operating Earnings and Adjusted Book Value are not substitutes for Ambac's GAAP reporting, should not be viewed in isolation and may differ from similar reporting provided by other companies, which may define non-GAAP measures differently.
2)
Per diluted share.
3)
Per share.

5



Ambac Assurance — Claims-Paying Resources (1) and Statutory Financial Ratios
($ in thousands, except ratios)
 
March 31,
2016

 
December 31,
2015

Policyholders' surplus (2)
 
$
646,492

 
$
624,795

Contingency reserve
 
391,856

 
391,856

Qualified statutory capital
 
1,038,348

 
1,016,651

Unearned premiums
 
612,450

 
647,936

Loss and loss adjustment expenses (3)
 
5,006,274

 
5,105,428

Surplus notes classified as a liability
 
921,228

 
932,402

Estimated impairment losses on subsidiary guarantees
 
8,600

 

Policyholders' reserves
 
7,586,900

 
7,702,417

Present value of future installment premiums (4)
 
315,938

 
338,164

Ambac Assurance claims-paying resources
 
7,902,838

 
8,040,581

Ambac UK claims-paying resources (5)
 
996,387

 
1,011,264

Total claims-paying resources
 
$
8,899,225

 
$
9,051,845

 
 
 
 
 
Net financial guarantees in force (6)
 
 
 
 
Ambac Assurance
 
$
135,017,983

 
$
145,186,612

Ambac UK
 
25,029,164

 
25,813,227

Total net financial guarantees in force
 
$
160,047,147

 
$
170,999,839

 
 
 
 
 
Total claims-paying ratio (7)
 
18: 1
 
19: 1
 
 
 
 
 
1)
Total claims-paying resources quantifies total resources available to pay claims, including guarantees on subsidiary obligations.
2)
Junior surplus notes with a par value of $377,012 and $378,039 as of March 31, 2016 and December 31, 2015, respectively, are included in the capital and surplus subject to limitations due to the Minimum Surplus Amount.
3)
Loss and loss expense reserves are presented before the recorded statutory benefit for expected subrogation receipts of $2,460,550 (R&W subrogation receipts of $1,679,321 and other subrogation receipts of $781,229) and $3,234,588 (R&W subrogation receipts of $2,646,123 and other subrogation receipts of $588,465) at March 31, 2016 and December 31, 2015, respectively.
4)
Present value of future installment premiums includes premiums on installment financial guarantee insurance contracts (excluding Ambac UK) and credit derivatives. Present value calculations are discounted at 5.1%.
5)
Ambac UK's claims paying resources will become available to Ambac Assurance only to the extent Ambac UK receives approval from its regulator to dividend monies to Ambac Assurance. Components of Ambac UK's claims paying resources are discounted at Ambac UK's projected investment rate of return. Ambac UK's claims-paying resources primarily consist of the present value of future installment premiums of approximately $406,666 at March 31, 2016.
6)
Financial guarantees in force represents the amount of principal and interest outstanding on a guaranteed obligation.
7)
Total claims-paying ratio is net financial guarantees in force divided by total claims-paying resources.

6



Ambac Assurance — Rollforward of Statutory Policyholders' Surplus
 
 
Three Months Ended
 
Year Ended
($ in thousands)
 
March 31, 2016
 
December 31, 2015
Policyholders' Surplus, beginning of period (1)
 
$
624,795

 
$
100,000

Net income (2)
 
21,574

 
772,282

Change in contingency reserves
 

 
(222,528
)
Change in investments (3)
 
1,017

 
(26,133
)
Other changes in surplus
 
(894
)
 
1,174

Policyholders' Surplus, end of period (1)
 
$
646,492

 
$
624,795

 
 
 
 
 
1)
Pursuant to a prescribed practice by the Wisconsin Insurance Commissioner, the results of the Segregated Account are not included in Ambac Assurance’s statutory financial statements if it causes Ambac Assurance’s surplus to drop below the Minimum Surplus Amount.
2)
Net income for the three months ended March 31, 2016 and the year ended December 31, 2015 includes an expense of $41,811 and $161,901, respectively, for the accrual of interest on Deferred Amounts.
3)
Includes non-income statement changes in investments such as changes in non-admitted investments, changes in valuation of investments carried at fair value, deferred gains from sales of investments to subsidiaries and changes in Ambac's investment in subsidiaries, excluding dividends. Change in investments for the year ended December 31, 2015 includes a reduction in surplus of $27,675 related to a deferred gain on sale of securities to a subsidiary.


7



Ambac Assurance Segregated Account, in Rehabilitation — Claims Paying Position (1) 
($ in thousands)
 
March 31,
2016
 
December 31,
2015
Liabilities allocated from Ambac Assurance (2)
 
$
4,585,730

 
$
4,615,637

Surplus notes classified as a liability
 
39,102

 
39,102

Total Segregated Account policy related obligations
 
4,624,832

 
4,654,739

 
 
 
 
 
Policy related obligations ceded to Ambac Assurance (3)
 
4,624,832

 
4,654,739

Junior surplus notes ceded to Ambac Assurance (3)
 
377,012

 
378,039

Other Segregated Account Net Assets
 
9,352

 
9,594

Total Segregated Account resources available
 
5,011,196

 
5,042,372

 
 
 
 
 
Segregated Account policyholders' surplus
 
$
386,364

 
$
387,633

 
 
 
 
 
1)
Total resources available to pay claims at Ambac Assurance are the same resources available to pay claims at the Segregated Account subject to limitations discussed in footnote (3) below.
2)
Pursuant to the Plan of Operation for the Segregated Account, Ambac Assurance has allocated certain policies to the Segregated Account, including (i) residential mortgage-backed securities, (ii) student loans, (iii) collateralized debt obligations and (iv) other policies insuring obligations with substantial projected impairments or relating to transactions which have contractual triggers based upon Ambac Assurance’s financial condition or the commencement of rehabilitation, which triggers are potentially damaging. Please refer to Ambac's filings with the Securities and Exchange Commission for further information.
3)
Cessions to Ambac Assurance via an excess of loss reinsurance agreement are limited by Ambac Assurance maintaining the Minimum Surplus Amount of $100,000.

8



Ratio of Net Claims Recorded (1) 
 
 
Successor
 
 
 
Predecessor
 
 
 
 
 
 
 
 
 
Eight Months
 
 
Four Months
 
 
 
 
 
 
 
 
 
 
ended
 
 
ended
 
 
 
 
March 31,
 
 
December 31,
 
December 31,
 
 
April 30,
 
December 31,
($ in thousands)
 
2016
 
2015
 
2014
 
2013
 
 
2013
 
2012
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net claims paid (recovered) - Insurance (2) (3)
 
$
(922,023
)
 
$
36,630

 
$
922,481

 
$
(92,480
)
 
 
$
(31,147
)
 
$
932,930

Change in net unpaid claims - Insurance (3)
 
16,242

 
22,861

 
(959,304
)
 
241,916

 
 
274,222

 
619,431

Total net claims recorded
 
$
(905,781
)
 
$
59,491

 
$
(36,823
)
 
$
149,436

 
 
$
243,075

 
$
1,552,361

Net insurance premiums earned and credit derivative fees
 
$
53,052

 
$
315,380

 
$
249,403

 
$
223,296

 
 
$
133,444

 
$
428,317

Ratio of net claims recorded (4)
 
(1,707.3
)%
 
18.9
%
 
(14.8
)%
 
66.9
%
 
 
182.2
%
 
362.4
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Estimated Future Gross RMBS Claims Presented (5)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Projected as of
 
($ in thousands)
 
 
 
 
 
 
 
 
 
 
March 31
2016

 
December 31
2015

 
 
 
 
 
 
 
 
 
 
 
 
 
 
2016 (Nine months for March 31, 2016, Full year for December 31, 2015)
 
$
(51,491
)
 
$
(37,781
)
2017
 
11,445

 
54,399

2018
 
38,445

 
83,723

2019
 
62,312

 
87,270

2020
 
56,127

 
78,952

2021
 
48,425

 
58,857

 
 
 
 
 
2016 (Nine months for March 31, 2016, Full year for December 31, 2015)
 
$
(51,491
)
 
$
(37,781
)
2017-2021
 
216,754

 
363,201

2022-2026
 
115,976

 
134,918

2027-2031
 
36,844

 
38,680

2032-2036
 
26,528

 
31,758

After 2036
 
680,549

 
690,787

Total
 
$
1,025,160

 
$
1,221,563

 
 
 
 
 
 
 
 
 
 
 
 
 
 
1)
Net claims recorded is net of reinsurance and includes (i) claims paid (recovered), including commutation payments; and (ii) changes to claims presented and not yet presented for policies which were allocated to the Segregated Account. Net claims recorded does not include interest accrued or paid on Deferred Amounts.
2)
Net claims paid (recovered) are net of subrogation received of $1,054,753, $308,369, $500,485, $292,067, $160,355 and $222,205, three months ended March 31, 2016, the years ended December 31, 2015 and 2014, the eight months ended December 31, 2013, the four months ended April 30, 2013 and the year ended December 31, 2012, respectively. Included in the three months ended March 31, 2016, is $992.8 million ($995 million gross of reinsurance) received from the settlement of representation and warranty related litigation with JP Morgan.
3)
On March 24, 2010, Ambac Assurance established a Segregated Account.  The purpose of the Segregated Account is to segregate certain Ambac Assurance liabilities, and in connection with such segregation Ambac Assurance has allocated certain policies to the Segregated Account. On June 4, 2012, the Rehabilitation Court approved the Rehabilitator's motion to make partial interim policy claim payments to Segregated Account policyholders.  As a result, the Segregated Account paid 25% of each permitted policy claim that has arisen since the commencement of the Segregated Account Rehabilitation Proceedings. In August 2013, the Segregated Account began to make cash payments in excess of 25% of permitted claims on certain policies. The Segregated Account Rehabilitation Plan, as amended, became effective on June 12, 2014. Under the Segregated Account Rehabilitation Plan, as amended, holders of permitted policy claims will receive an Interim Payment, together with the right to receive a Deferred Amount. Payments of Deferred Amounts will be made at such times as the Rehabilitator deems appropriate in his sole discretion. Following the effective date of the Segregated Account Rehabilitation Plan, as amended, the percentage of the initial cash interim policy claim payments increased from 25% to 45% with effect from July 21, 2014. As per the Segregated Account Rehabilitation Plan, as amended, Deferred Amounts will generally accrue and compound interest at an annual effective rate of 5.1%. A portion of Deferred Amounts outstanding as of July 20, 2014 (the “Reconciliation Date”) (together with interest thereon), if still outstanding, was paid on December 22, 2014 in accordance with the Segregated Account Rehabilitation Plan, as amended, such that those policyholders that received 25% (and not 45%) cash Interim Payments in respect of their permitted policy claims were generally entitled to receive equalizing payments in cash of 26.67% of their Deferred Amounts (including accrued interest thereon) outstanding as of the Reconciliation Date. The equalizing payments of Deferred Amounts, excluding the payments on accrued interest, were $1,054,965 which reduced unpaid claims and increased net claims paid. In addition to the equalizing payments on Deferred Amounts, $82,237 of interest accrued on Deferred Amounts was paid. Refer to Ambac's filings with the Securities and Exchange Commission for further discussion of the Segregated Account Rehabilitation Plan, as amended. At March 31, 2016, claims that have been presented and not paid by the Segregated Account are $3,516,822, including $532,828 of accrued interest on Deferred Amounts.

4)
Ratio of net claims recorded is total net claims recorded divided by net premiums earned and fees on credit derivative contracts.

5)
Represents management's estimate of undiscounted future RMBS claims presented, gross of reinsurance and representation and warranty subrogation recoveries. Future claims recorded in these tables exclude RMBS claims presented and unpaid of $2,972,231and $2,957,474 as of March 31, 2016 and December 31, 2015, respectively, and Ambac's undiscounted estimate of representation and warranty subrogation recoverables of $1,861,904 and $2,841,291 at March 31, 2016, December 31, 2015, respectively. Actual claims presented may differ from estimates.

9



Summary of Net Insurance Loss Reserves (GAAP) and Credit Derivative Impairments
 
 
Successor
 
 
 
Predecessor

 
 
March 31,
 
 
 
December 31,
 
 
 
December 31,
($ in thousands)
 
2016
 
2015

 
2014

 
2013

 
 
2012
Total insurance reserves, net of reinsurance (1)
 
$
3,615,598

 
$
2,814,754

 
$
3,698,378

 
$
5,347,877

 
 
$
5,974,731

Estimated credit impairment losses on credit
derivatives (2)
 
4,259

 
15,560

 
17,804

 
21,531

 
 
46,469

Total impairment losses (3)(4)
 
3,619,857

 
2,830,314

 
3,716,182

 
5,369,408

 
 
6,021,200

Mark-to-market reserve on credit derivatives (2)
 
17,670

 
18,983

 
55,655

 
72,791

 
 
167,116

Grand total net insurance loss reserves and credit derivatives
 
$
3,637,527

 
$
2,849,297

 
$
3,771,837

 
$
5,442,199

 
 
$
6,188,316

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Summary of Insured Exposures With Impairment Losses
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in thousands)
 
Segregated
Account
Net Par
Outstanding (5)

 
Total Net Par Outstanding

 
Total Impairment Losses (3)(4)

 
 
 
Public Finance:
 
 
 
 
 
 
 
 
 
Lease & tax backed
 
$

 
$
2,147,412

 
$
320,951

 
 
 
Housing
 

 
126,397

 
24,294

 
 
 
Transportation revenue
 
29,475

 
518,516

 
63,753

 
 
 
General obligation
 

 
1,956,543

 
105,484

 
 
 
Other
 

 
142,451

 
1,023

 
 
 
Total Public Finance
 
29,475

 
4,891,319

 
515,505

 
 
 
Structured Finance:
 
 
 
 
 
 
 
 
 
Mortgage-backed & home equity — first lien & other
 
5,056,465

 
5,056,465

 
2,226,940

 
 
 
Mortgage-backed & home equity — second lien
 
2,618,213

 
2,618,213

 
143,151

 
 
 
Student loans
 
642,473

 
642,473

 
281,848

 
 
 
Other
 
137,000

 
1,051,362

 
419,086

 
 
 
Total Structured Finance
 
8,454,151

 
9,368,513

 
3,071,025

 
 
 
International Finance:
 
72,136

 
482,457

 
33,327

 
 
 
Total
 
$
8,555,762

 
$
14,742,289

 
$
3,619,857

 
 
 
 
 
 
 
 
 
 
 
 
 
1)
Under the Segregated Account Rehabilitation Plan, as amended, holders of permitted policy claims will receive an Interim Payment, together with the right to receive a Deferred Amount. Payments of Deferred Amounts will be made at such times as the Rehabilitator deems appropriate in his sole discretion. Deferred Amounts will generally accrue and compound interest at an annual effective rate of 5.1%. As of March 31, 2016, December 31, 2015 and 2014, $3,516,822, $3,458,771 and $3,274,216, of claims remain unpaid, respectively, including $532,828, $491,017 and $329,227 of interest accrued on Deferred Amounts, respectively. Total insurance reserves are inclusive of these unpaid claims.
2)
Total net mark-to-market losses are $21,929, $34,543, $73,459, $94,322 and $213,585, as of March 31, 2016, December 31, 2015, 2014, 2013 and 2012, respectively, and are reported on the consolidated balance sheet under derivative assets and liabilities.
3)
Total estimated impairment losses includes insurance loss and loss expense reserves, net of estimated representation and warranty subrogation recoverables of $1,827,690 ($1,855,073 gross of reinsurance) and estimated credit impairment losses on credit derivatives. Additionally, it excludes impairment losses eliminated as a result of the Consolidations Accounting Standard of $66,607.
4)
Total estimated impairment losses includes loss and loss expenses relating to insurance policies issued by Ambac UK of $441,255.
5)
On March 24, 2010, Ambac Assurance established a Segregated Account.  The purpose of the Segregated Account is to segregate certain Ambac Assurance liabilities, and in connection with such segregation Ambac Assurance has allocated certain insurance policies to the Segregated Account. Please see discussion in Ambac's filings with the Securities and Exchange Commission for further information.

10



Net Insurance Premiums Earned and Fees on Credit Derivatives (GAAP)
 
 
 
 
 
 
 
 
 
 
Year-to

($ in thousands)
 
1Q

 
2Q

 
3Q

 
4Q

 
Date

2016:
 
 
 
 
 
 
 
 
 
 
Public Finance
 
$
21,651

 
$

 
$

 
$

 
$
21,651

Structured Finance (1)
 
7,418

 

 

 

 
7,418

International Finance
 
8,755

 

 

 

 
8,755

Total Normal Insurance Premiums Earned
 
37,824

 

 

 

 
37,824

Accelerated Premiums Earned
 
14,976

 

 

 

 
14,976

Total Premiums Earned
 
$
52,800

 
$

 
$

 
$

 
$
52,800

Fees on credit derivative contracts
 
$
252

 
$

 
$

 
$

 
$
252

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Full

($ in thousands)
 
1Q

 
2Q

 
3Q

 
4Q

 
Year

2015:
 
 
 
 
 
 
 
 
 
 
Public Finance
 
$
23,910

 
$
25,531

 
$
24,471

 
$
23,198

 
$