Exhibit 99.07
Exposure to Hurricane Katrina (as of September 8, 2005)
Included in Table I below is information related to Ambac’s Public Finance exposure to FEMA-designated counties within the three states - - Louisiana, Mississippi and Alabama, broken out by bond type, includes our exposure to the region of Greater New Orleans separately. Table II lists Ambac’s exposure to the three New Orleans parishes that make up Greater New Orleans. Table III lists Ambac’s exposure to investor-owned utilities within all counties of the three affected states. It is too early to determine the effect the storm will have on the underlying credit quality of the Public Finance and IOU exposures within these states. All of the Ambac-insured hospitals in the region are currently up and running.
Table I
Ambac’s Public Finance Exposure in FEMA-Designated Counties
Net Par as of July 31, 2005 ($000)
| | | | | | | | | | | | | | | |
Bond Type
| | Alabama
| | Greater New Orleans
| | Other
Louisiana
| | Mississippi
| | Total
|
General obligation | | $ | 404,395 | | $ | 387,212 | | $ | 353,555 | | $ | 402,064 | | $ | 1,547,226 |
Leases and tax backed | | | 82,005 | | | 814,963 | | | 466,424 | | | 36,817 | | | 1,400,209 |
University | | | 82,508 | | | 235,688 | | | 126,817 | | | 199,341 | | | 644,354 |
Utility | | | 77,095 | | | — | | | 116,440 | | | 57,598 | | | 251,133 |
Transportation | | | — | | | 176,342 | | | — | | | 56,997 | | | 233,339 |
Health care | | | 88,554 | | | — | | | 105,035 | | | 24,175 | | | 217,764 |
Other | | | — | | | 46,000 | | | 85 | | | — | | | 46,085 |
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Grand Total | | $ | 734,557 | | $ | 1,660,205 | | $ | 1,168,356 | | $ | 776,992 | | $ | 4,340,110 |
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Counties designated by FEMA for individual and public assistance as of September 6, 2005
Table II
Ambac’s Public Finance Exposure in Greater New Orleans
Net Par as of July 31, 2005 ($000)
| | | | | | | | | | | | |
Bond Type
| | Orleans
| | Jefferson
| | St. Bernard
| | Total
|
General obligation | | $ | 333,199 | | $ | 47,712 | | $ | 6,305 | | $ | 387,216 |
Leases and tax backed | | | 475,668 | | | 339,292 | | | — | | | 814,960 |
University | | | 235,688 | | | — | | | — | | | 235,688 |
Utility | | | — | | | — | | | — | | | — |
Transportation | | | 176,341 | | | — | | | — | | | 176,341 |
Health care | | | — | | | — | | | — | | | — |
Other | | | — | | | 46,000 | | | — | | | 46,000 |
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Grand Total | | $ | 1,220,896 | | $ | 433,004 | | $ | 6,305 | | $ | 1,660,205 |
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Table III
Ambac’s Investor-Owned Utility Exposure in Alabama, Louisiana and Mississippi
Net Par as of July 31, 2005 ($000)
| | | | | | | | | | | |
| | | Alabama
| | Louisiana
| | Mississippi
| | Total
|
| Investor-owned utilities | | $97,955 | | $ | 233,012 | | $ | 109,030 | | $ | 439,997 |
Included within the Tables IV and V below is information related to Ambac’s estimated current exposures to asset-backed bonds collateralized by mortgages on residential homes and manufactured housing located in the FEMA-designated counties and New Orleans. The amounts shown represent the estimated portions of larger, geographically diversified securitizations. Ambac does not have exposure to manufactured housing securitizations in Greater New Orleans. The impact on each transaction will be affected by the concentration of loans within the three states, the level of flood/hurricane or other insurance coverage on impacted homes within the pool and the amount of federal relief provided, if any. It is too early to determine the effect the storm will have on our MBS/MH exposures within these three states.
Table IV
| | | | | |
MBS Securitization Pools (Total Net Par 45.7B) |
| | | Net Par ($Millions)
| | % Total MBS Net Par
|
Alabama | | $ | 113 | | 0.3 |
New Orleans | | | 49 | | 0.1 |
Other Louisiana | | | 242 | | 0.5 |
Mississippi | | | 73 | | 0.2 |
Table V
| | | | | |
Manufactured Housing Securitization Pools (Total Net Par = $1.1B) |
| | | Net Par ($Millions)
| | % Total MH Net Par
|
Alabama | | $ | 5 | | 0.5 |
Louisiana | | | 13 | | 1.1 |
Mississippi | | | 6 | | 0.5 |
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Included within Table VI are the top 20 public finance exposures in FEMA-designated counties. The Ambac internal ratings shown are prior to Hurricane Katrina. Ambac is currently assessing the impact of the storm on the underlying rating of each obligation.
Table VI
| | | | | | | | | | | | |
| | | Net Par
($000)
| | State
| | Ambac
Rating (pre-
hurricane)
| | Net AADS
($000)
| | Final
Maturity
|
New Orleans Exhibition Hall(1) | | $ | 360,756 | | Louisiana | | A- | | $ | 24,219 | | 2033 |
Various Jefferson LA Sales Tax Rev(1) | | | 319,060 | | Louisiana | | A+/A | | | 25,680 | | 2025 |
Various New Orleans Continuing and General Oblig(1) | | | 281,852 | | Louisiana | | BBB+ | | | 25,947 | | 2033 |
Mobile, AL School Board General Oblig | | | 201,040 | | Alabama | | A | | | 13,321 | | 2033 |
Tulane University(1) | | | 181,820 | | Louisiana | | A+/BBB | | | 13,457 | | 2032 |
University of Mississippi | | | 151,358 | | Mississippi | | A- | | | 9,310 | | 2034 |
Mobile AL General Obligation | | | 126,050 | | Alabama | | A | | | 11,969 | | 2020 |
Louisiana Transportation Authority(1) | | | 107,578 | | Louisiana | | A- | | | 8,312 | | 2030 |
Harrison County, MS General Obligation | | | 92,390 | | Mississippi | | A | | | 5,335 | | 2040 |
Louisiana Office Facility Corp Lease | | | 89,665 | | Louisiana | | BBB | | | 8,493 | | 2021 |
Lafayette, LA Public Power - Electric Revenue | | | 82,310 | | Louisiana | | A- | | | 13,485 | | 2012 |
Infirmary Health Systems | | | 76,560 | | Alabama | | A | | | 5,646 | | 2025 |
Louisiana State Univ A&M Revenue Bond | | | 75,207 | | Louisiana | | A | | | 4,782 | | 2034 |
Terrebonne, LA Gen Medical Center | | | 73,720 | | Louisiana | | A | | | 5,199 | | 2033 |
Baton Rouge, LA General Obligation | | | 68,770 | | Louisiana | | A | | | 5,295 | | 2030 |
Lafayette, LA Sales Tax Revenue | | | 64,110 | | Louisiana | | A+ | | | 3,875 | | 2028 |
Univ of South Alabama Tuition | | | 63,565 | | Alabama | | A | | | 7,480 | | 2018 |
New Orleans, LA Port Revenue(1) | | | 60,695 | | Louisiana | | A | | | 3,947 | | 2033 |
East Baton Rouge, LA Sales Tax | | | 58,120 | | Louisiana | | A | | | 5,179 | | 2024 |
Jackson MS Airport Revenue | | | 56,997 | | Mississippi | | A- | | | 3,277 | | 2035 |
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Total | | $ | 2,591,623 | | | | | | $ | 204,208 | | |
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| 1 | Exposures within Greater New Orleans including the parishes of Orleans, Jefferson and St. Bernard. |
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