Ambac Financial : First Quarter 2021 Puerto Rico Exposure Overview

PUERTO RICO EXPOSURE

First Quarter 2021

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Neither Ambac nor any of its employees, affiliates or representatives makes any representation or warranty, expressed or implied, as to the accuracy or completeness of any of the information contained in this overview, and the recipient of this overview expressly disclaims any and all liabilities relating to or resulting from the use of this overview. Certain of the information provided in this overview has been prepared by Ambac from data supplied from third-party sources, and Ambac has not verified the validity of such information. This overview should be read in conjunction with Ambac's other public filings and disclosures.

The recipient of this overview is urged to review any information made publicly available regarding the underlying transactions. However, Ambac was not involved in the preparation of such information and, therefore, makes no representations or warranties regarding the accuracy or completeness of such information. Furthermore, Ambac makes no representation or warranty, and offers no opinion, on the ability or willingness of any issuer or other party to the underlying transactions to comply with its respective obligations in respect thereof.

The financial projections, if any, contained in this overview necessarily are based upon a number of estimates and assumptions that are inherently subject to significant business, economic and other uncertainties and contingencies, most of which are beyond Ambac's control. Any financial projections will vary, and those variations may be material. As a result, you are cautioned not to place reliance on the financial projections contained herein.

The recipient of this overview acknowledges that the information contained herein is intended to summarize and describe certain information about Ambac's Puerto Rico exposures, but that it is not intended to, and does not, fully set forth or explain all aspects of such exposures or associated risks. The recipient of this overview further acknowledges that this overview does not intend to, and does not, replace, fully conform with or include all aspects of the underlying transactional documents and laws and regulations relating to such Puerto Rico exposures. The summaries and descriptions herein of such exposures and risks are qualified in their entirety by reference to such documents, laws and regulations. Each recipient of this overview is urged to review such underlying documents, laws and regulations for information about them and what they purport to accomplish and not to rely on the summaries and descriptions contained herein. Neither Ambac nor any of its employees, affiliates or representatives makes any representation or warranty, expressed or implied, as to the accuracy or completeness of such summaries and descriptions.

Ambac undertakes no obligation to revise, update or supplement the information contained in this presentation to reflect new developments. Nor does Ambac undertake to provide similar or additional information about other credit exposures. Market participants should not rely on the information in this presentation in making any investment decision.

Ambac is not acting as your financial adviser or fiduciary in any respect or manner.

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PUERTO RICO EXPOSURE & RATINGS SUMMARY

Ambac Puerto Rico Exposure		(1)		(1) (2)		(5)		(2) (5)
as of March 31, 2021
($ in millions)						Gross	Net Principal	Range of	Credit
Single Risk (6)		Gross Par		Net Par		Principal &	Rating
			Interest		& Interest	Maturity	Class
General Fund Debt:
PR Commonwealth GO	$	18.0	$	18.0	$	19.1	$	19.1	2021-2023	IV	BIG
PR Public Buildings Authority Revenue - GO Guaranty		83.5		83.5		142.2		142.2	2021-2035	IV	BIG
Subtotal		101.5		101.5		161.3		161.3
Revenue Debt:
PR Highways and Transp'n 1968 Resolution - Highway Rev (3)(4)		4.4		4.3		10.4		10.3	2021-2027	IV	BIG
PR Highways and Transp'n 1998 Resolution - Sr Transp'n (3)(4)		406.7		394.7		649.7		629.6	2021-2042	IV	BIG
PR Infrastructure Financing Special Tax Revenue (Rum Tax) (3)		413.0		403.5		900.5		879.7	2023-2044	IV	BIG
Convention Center (Hotel Occupancy Tax) (3)		86.3		86.3		125.4		125.4	2028-2031	IV	BIG
Senior Sales Tax Rev (COFINA)		76.7		76.4		683.0		679.9	2047-2054	III	BIG
Subtotal		987.1		965.2		2,369.0		2,324.9
Grand total	$	1,088.6	$	1,066.7	$	2,530.3	$	2,486.2

1. Gross Par and Net Par include capital appreciation bonds ("CABS") which are reported at the par amount at the time of issuance of the insurance policy Accretion of the CABS would increase the related gross and net par by $219 million and $215 million, respectively at March 31, 2021
2. Net Par and Net Principal & Interest are net of reinsurance
3. Subject to Act No. 5-2017, as amended, also known as the Financial Emergency and Fiscal Responsibility Act of 2017, which declares an emergency period that has been subsequently re-extended until June 30, 2021, from its prior December 31, 2020 deadline. Pursuant to Act 5-2017, all executive orders issued under Act No. 21-2016 (as amended, known as the Puerto Rico Emergency Moratorium and Financial Rehabilitation Act), shall continue in full force and effect until amended, rescinded or superseded. Also subject to the Priority Debt Provision under Section 8 of Article VI of the Constitution of the Commonwealth of Puerto Rico, commonly known as the "clawback provision"
4. Certain Pledged Revenues for Highway and Transportation Revenue Bonds such as Toll Revenues and Investment Earnings are not subject to the Priority Debt Provision
5. Both the Gross and Net Principal & Interest do not reflect an interest rate increase from 5.5% to 10%, resulting from the lack of a remarketing, on a $60 million Ambac-insured 7/1/2035 security issued by the PR Public Building Authority. Should a remarketing not occur before the maturity of the bonds, both the Gross and Net Principal & Interest would increase by $38.0 million
6. As of March 31, 2021 ever-to-date net claims paid, including commutation payments, net of subrogation received and reinsurance are $617.6 million

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SCHEDULE OF NET DEBT SERVICE(1) ON INSURED DEBT

(AS OF MARCH 31, 2021)

($ Millions)

$150

$125

$100

$75
$50
$25
$0	2022	2023	2024	2025	2026	2027	2028	2029
2021
			Year of Payment

General Obligation Highway (2) (3) Hotel Occupancy Tax Rum Tax

and General Obligation

Guaranteed

1. Aggregate Highway (1968) and Senior Transportation (1998)
2. Certain CUSIPs within this risk pay monthly or quarterly. Such payments are reflected in the next semi-annual payment date

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PUERTO RICO NET PRINCIPAL AND INTEREST(1) AMORTIZATION

AS OF MARCH 31, 2021 ($ IN MILLIONS)

Net Principal and Interest Amortization of Ambac Insured Puerto Rico Exposures by Payment Date

	Commonwealth	Public Bldg - GO	Senior Highway	Senior		Hotel Occupancy	Sales Tax
Payment Date	Transportation	Rum Tax	Total P & I
GO	Guaranteed (3)	(1968)	(1998)	(2)	Tax	(COFINA)
7/1/2021	7.4	3.1	1.3		9.7	7.6	2.2	-	31.3
1/1/2022	0.2	2.3	-		9.5	7.6	2.2	-	21.8
7/1/2022	7.5	2.3	-		9.5	7.6	2.2	-	29.1
1/1/2023	0.1	2.3	-		9.5	7.6	2.2	-	21.7
7/1/2023	3.9	2.3	-		10.5	53.2	2.2	-	72.1
1/1/2024	-	2.3	-		9.5	6.4	2.2	-	20.4
7/1/2024	-	2.3	-		10.0	54.5	2.2	-	69.0
1/1/2025	-	2.3	-		9.4	5.0	2.2	-	18.9
7/1/2025	-	2.3	1.0		10.0	55.8	2.2	-	71.3
1/1/2026	-	2.3	-		9.4	3.6	2.2	-	17.5
7/1/2026	-	2.3	1.0		11.5	57.2	2.2	-	74.2
1/1/2027	-	2.3	-		8.9	2.2	2.2	-	15.6
7/1/2027	-	2.3	7.0		38.0	58.7	2.2	-	108.2
1/1/2028	-	2.3	-		8.8	0.6	2.2	-	13.9
7/1/2028	-	2.3	-		38.3	60.2	22.2	-	123.0
1/1/2029	-	2.3	-		8.7	-	1.7	-	12.7
7/1/2029	-	2.3	-		39.7	68.7	22.7	-	133.4
1/1/2030	-	2.3	-		7.9	-	1.1	-	11.3
7/1/2030	-	14.0	-		67.5	-	23.1	-	104.6
1/1/2031	-	1.9	-		6.3	-	0.6	-	8.8
7/1/2031	-	12.9	-		88.4	-	23.2	-	124.5
1/1/2032	-	1.7	-		4.2	-	-	-	5.9
7/1/2032	-	1.7	-		4.2	-	-	-	5.9

(1) Net of reinsurance

1. Certain CUSIPs within this risk pay monthly or quarterly. Such payments are reflected in the next semi-annual payment date
2. Net Principal and Interest Amortization does not reflect an interest rate increase from 5.5% to 10%, resulting from the lack of a remarketing, on a $60 million Ambac-insured 7/1/2035 security issued by the PR Public Building Authority. Should a remarketing not occur before the maturity of the bonds, the Net Principal and Interest Amortization would increase by $38.0 million

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