Insurance holding company Ambac Financial Group reported a net loss in the second quarter, despite big gains in the value of its insured derivatives, and warned that it may be unable to pay its debts in a year.

The statutory capital of its bond insurance subsidiary increased tenfold during the same period.

Ambac Financial posted a net loss of $57.6 million from April to June. The company blamed the decline primarily on deterioration within its structured finance portfolio, which was offset by a positive change in the value of credit derivatives, according to an earnings statement released Monday.

The second-quarter net loss compares favorably to the $2.4 billion loss reported in the same quarter one year ago. New premiums earned in the quarter were $167 million, compared with $178 million in the second quarter of 2009.

The holding company posted a $202 million gain in the fair value of derivatives, and $66 million from net investment gains.

Ambac Financial has been warning since November that it may face bankruptcy as early as 2011. Monday’s statement said it has “insufficient capital to finance its debt service and operating expense requirements beyond the second quarter of 2011.”

Its deficit to shareholders was $2.1 billion at the end of the second quarter, the report shows. Also, cash, short-term securities and bonds at the holding company amounted to $76 million at the end of the second quarter. That compares with annual debt service costs of about $87 million.

In early July the New York Stock Exchange put the company on de-listing watch for failing to maintain a minimum share value of $1.00.

Ambac Financial stock closed Monday at $0.91, up 3.41% on the day. Once the earnings statement was released, after-hours trading pushed the stock price down more than 15%.

Its prime subsidiary is struggling insurer Ambac Assurance Corp., a former leader in the industry that was forced to stop writing new policies after exposure to mortgage-related products hurt its balance sheet and impaired its credit rating. Ambac Assurance has not written new policies since June 2008.

The insurer increased its statutory surplus to $1.5 billion in the second quarter, up from $160 million at the end of March.

The gain was driven primarily by a major settlement on June 7, in which Ambac paid counterparties to commute, or tear up, a variety of insurance claims based on complex mortgage assets — known as collateralized debt obligations of asset backed securities. The settlement was completed at the behest of Ambac Assurance’s regulator, the Wisconsin Office of the Commissioner of Insurance.

Wisconsin state documents suggest Ambac paid 14 major banks $2.6 billion in cash and $2.0 billion in surplus notes to repurchase the contracts, which had a face value of $16.4 billion.

Commissioner Sean Dilweg in late March took $35 billion of Ambac Assurance’s most toxic holdings and placed them into a segregated account to be administered by his office.

Ambac Assurance now has “no remaining statutory impairments on its credit derivative portfolio,” the earnings statement said.

Ambac Assurance’s total claims-paying resources amounted to $8.5 billion as of June 30, down from $10.8 billion in the prior quarter. The decrease results from net cash outflows during the quarter.

In mid-June, Moody’s Investors Service said the possible bankruptcy of Ambac Financial is unlikely to affect policyholders of Ambac Assurance.

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