Ambac Financial Group Inc. announced third-quarter net income Tuesday of $76.0 million, versus net income of $2.19 billion in the same quarter one year ago.
The drastic change results from “significantly reduced unrealized mark-to-market gains” in its credit derivatives portfolio, the company said in regulatory filings. The earnings report was filed one day after Ambac filed for bankruptcy protection.
The credit derivatives in question are collateralized debt obligations of asset-backed securities. Ambac commuted, or paid to cancel, most of its CDO of ABS portfolio in June.
The net change in fair value of credit derivatives was a gain of $9.4 million in the quarter, versus a gain of $2.13 billion one year ago.
Net loss and loss expenses were $165.4 million in the quarter, down from $459.2 million in the same period one year ago.
Bond insurer Ambac Assurance Corp., the holding company’s main subsidiary, posted a statutory surplus of $912 million, down from $1.5 billion one year ago.
Ambac Assurance’s claims-paying resources amounted to $7.9 billion at the end of the quarter. Its insured public finance portfolio included $206.6 billion of municipal debt, according to a supplemental financial results statement.
