Ambac Monthly Data: April and May

In order to improve transparency Ambac is releasing monthly data related to some of their key subprime mortgage exposures. According to the disclaimer from Ambac, some additional items are only calculated at the end of each quarter so the final numbers may differ materially from what is reported. In any case, here are the April and May numbers (April was released a month ago but I didn't post it because it is meaningless without a comparison.)



It looks like Ambac paid out more in claims in May ($23.1m vs $16.2m). If you extrapolate these numbers (this is a very crude calculation) then you are looking at Ambac burning around $270m per year.

The mark-to-market losses seem to be much lower in May but I am not sure if Ambac is keeping the comparison consistent (I really hope they are keeping it the same and not misleading investors.) It looks like credit spreads narrowed in May so you are seeing some positive news there. However, I suspect spreads have widened quite a bit in June so next month's numbers are likely to be poor.

Holding company cash level actually went up slightly. A few months ago Ambac had enough cash at the holding company to pay interest on debt for two years.

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