The embattled bond insurer took a $594.4 million charge in the fair value of its credit derivatives portfolio in the period, an improvement on its performance in the prior quarter, when losses from credit derivatives amounted to $2.71 billion.
Ambac also saw $916.4 million in losses as it set aside provisions to cover losses in its residential mortgage-backed securities portfolio, and another $988.5 million as it reduced exposure to credit derivatives contracts.
In November last year, Ambac arranged a deal with counterparties to close out exposure to four collateralised debt obligations (CDOs) with a cash settlement of $1 billion. In a statement, chief executive David Wallis noted that measures taken to reduce risk have contributed to its progress. "The successful commutation of $3.5 billion of CDO of asset-backed securities exposures, including two CDO-squared deals, was constructive and we will continue to pursue this de-risking approach. Equally encouraging have been the remediation efforts on our mortgage exposure which continue to reveal opportunities to recover losses in that portfolio."
The company also stated it is on schedule to launch its municipal-only monoline -Everspan Financial Guarantee - in the second quarter of this year.