XML 127 R36.htm IDEA: XBRL DOCUMENT
v3.19.3.a.u2

Investments (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
Equity Method Investments [Table Text Block] | Except as noted in the table, fair value as reported is determined using net asset value ("NAV") as a practical expedient. In addition to these investments, Ambac has unfunded commitments at December 31, 2019 of $41 to private credit funds and $48 to a hedge fund.
Class of Funds December 31, |  | 2019 |  | 2018 |  | Redemption Frequency |  | Redemption Notice Period
Real estate properties (1) |  | $ | 16 |  |  | $ | 16 |  |  | quarterly |  | 10 business days
Hedge funds (2) |  | 65 |  |  | — |  |  | quarterly |  | 90 days
High yield and leveraged loans (3) (8) |  | 176 |  |  | 114 |  |  | daily |  | 0 - 30 days
Private credit (4) |  | 51 |  |  | 84 |  |  | quarterly |  | 180 days if permitted
Insurance-linked investments (5) |  | 3 |  |  | 29 |  |  | fully redeemed |  | none
Equity market investments (6) (8) |  | 55 |  |  | 44 |  |  | daily |  | 0 days
Investment grade floating rate income (7) |  | 66 |  |  | 63 |  |  | weekly |  | 0 days
Total equity investments in pooled funds |  | $ | 432 |  |  | $ | 351 |  |  |  |  |
(1) | Investments consist of UK property to generate income and capital growth.
(2) | This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies within structured credit markets, including mortgage-backed securities, commercial real estate securities and loans, CLOs, REITs and asset backed securities.
(3) | This class of funds includes investments in a range of instruments including high-yield bonds, leveraged loans, CLOs, ABS and floating rate notes to generate income and capital appreciation.
(4) | This class aims to obtain high long-term return primarily through credit and preferred equity investments with low liquidity and defined term.
(5) | This class seeks to generate returns from insurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments.
(6) | This class of funds includes investments in a range of instruments that include funds that have diversified exposure to global equity market returns through holdings of market index funds.
(7) | This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes (FRNs) as well as ultra-short term bonds and money market instruments.
(8) High yield and leveraged loans products include $81 at December 31, 2019 and $27 at December 31, 2018 and equity market investments include $55 at December 31, 2019 and $44 at December 31, 2018 that have readily determinable fair values priced through pricing vendors.
Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments | The amortized cost and estimated fair value of available-for-sale fixed income investments, excluding VIE investments, at December 31, 2019 and 2018 were as follows:
|  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value |  | Non-Credit Other- than-temporary Impairments (1)
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 194 |  |  | $ | 22 |  |  | $ | — |  |  | $ | 215 |  |  | $ | — |
Corporate obligations (2) |  | 1,396 |  |  | 36 |  |  | 2 |  |  | 1,430 |  |  | — |
Foreign obligations |  | 44 |  |  | 1 |  |  | — |  |  | 44 |  |  | — |
U.S. government obligations |  | 157 |  |  | 2 |  |  | 2 |  |  | 156 |  |  | — |
Residential mortgage-backed securities |  | 200 |  |  | 47 |  |  | — |  |  | 248 |  |  | — |
Commercial mortgage-backed securities |  | 49 |  |  | 1 |  |  | — |  |  | 50 |  |  | — |
Collateralized debt obligations |  | 147 |  |  | — |  |  | 1 |  |  | 146 |  |  | — |
Other asset-backed securities |  | 263 |  |  | 24 |  |  | — |  |  | 287 |  |  | — |
|  | 2,450 |  |  | 132 |  |  | 5 |  |  | 2,577 |  |  | — |
Short-term |  | 653 |  |  | — |  |  | — |  |  | 653 |  |  | — |
|  | 3,103 |  |  | 132 |  |  | 5 |  |  | 3,230 |  |  | — |
Fixed income securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
Short-term |  | 85 |  |  | — |  |  | — |  |  | 85 |  |  | — |
Total collateralized investments |  | 85 |  |  | — |  |  | — |  |  | 85 |  |  | — |
Total available-for-sale investments |  | $ | 3,187 |  |  | $ | 132 |  |  | $ | 5 |  |  | $ | 3,314 |  |  | $ | — |
December 31, 2018 |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 883 |  |  | $ | 14 |  |  | $ | 17 |  |  | $ | 880 |  |  | $ | — |
Corporate obligations (2) |  | 1,289 |  |  | 6 |  |  | 17 |  |  | 1,278 |  |  | — |
Foreign obligations |  | 30 |  |  | — |  |  | — |  |  | 31 |  |  | — |
U.S. government obligations |  | 94 |  |  | 1 |  |  | 1 |  |  | 94 |  |  | — |
Residential mortgage-backed securities |  | 222 |  |  | 38 |  |  | 1 |  |  | 259 |  |  | — |
Collateralized debt obligations |  | 133 |  |  | — |  |  | 2 |  |  | 131 |  |  | — |
Other asset-backed securities |  | 370 |  |  | 73 |  |  | 1 |  |  | 442 |  |  | — |
|  | 3,021 |  |  | 133 |  |  | 38 |  |  | 3,116 |  |  | — |
Short-term |  | 430 |  |  | — |  |  | — |  |  | 430 |  |  | — |
Total available-for-sale investments |  | $ | 3,451 |  |  | $ | 133 |  |  | $ | 38 |  |  | $ | 3,546 |  |  | $ | — |
(1) Represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses as of December 31, 2019 and 2018.
Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity | The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at December 31, 2019, by contractual maturity, were as follows:
|  | Amortized Cost |  | Estimated Fair Value
Due in one year or less |  | $ | 749 |  |  | $ | 749 |
Due after one year through five years |  | 1,157 |  |  | 1,173 |
Due after five years through ten years |  | 477 |  |  | 501 |
Due after ten years |  | 145 |  |  | 160 |
|  | 2,528 |  |  | 2,583 |
Residential mortgage-backed securities |  | 200 |  |  | 248 |
Commercial mortgage-backed securities |  | 49 |  |  | 50 |
Collateralized debt obligations |  | 147 |  |  | 146 |
Other asset-backed securities |  | 263 |  |  | 287 |
Total |  | $ | 3,187 |  |  | $ | 3,314 |
Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments | The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, excluding VIE investments, aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at December 31, 2019 and 2018:
|  | Less Than 12 Months |  | 12 Months or More |  | Total
|  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 13 |  |  | $ | — |  |  | $ | 10 |  |  | $ | — |  |  | $ | 23 |  |  | $ | — |
Corporate obligations |  | 63 |  |  | 2 |  |  | 5 |  |  | — |  |  | 68 |  |  | 2 |
Foreign obligations |  | 20 |  |  | — |  |  | — |  |  | — |  |  | 20 |  |  | — |
U.S. government obligations |  | 36 |  |  | 2 |  |  | 2 |  |  | — |  |  | 38 |  |  | 2 |
Residential mortgage-backed securities |  | 5 |  |  | — |  |  | — |  |  | — |  |  | 5 |  |  | — |
Commercial mortgage-backed securities |  | 7 |  |  | — |  |  | — |  |  | — |  |  | 7 |  |  | — |
Collateralized debt obligations |  | 53 |  |  | — |  |  | 63 |  |  | 1 |  |  | 116 |  |  | 1 |
Other asset-backed securities |  | 2 |  |  | — |  |  | 7 |  |  | — |  |  | 10 |  |  | — |
|  | 200 |  |  | 4 |  |  | 88 |  |  | 1 |  |  | 288 |  |  | 5 |
Short-term |  | 201 |  |  | — |  |  | — |  |  | — |  |  | 201 |  |  | — |
Total temporarily impaired securities |  | $ | 401 |  |  | $ | 4 |  |  | $ | 88 |  |  | $ | 1 |  |  | $ | 489 |  |  | $ | 5 |
|  | Less Than 12 Months |  | 12 Months or More |  | Total
|  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 538 |  |  | $ | 16 |  |  | $ | 29 |  |  | $ | 1 |  |  | $ | 566 |  |  | $ | 17 |
Corporate obligations |  | 307 |  |  | 9 |  |  | 190 |  |  | 9 |  |  | 497 |  |  | 17 |
Foreign obligations |  | 1 |  |  | — |  |  | 5 |  |  | — |  |  | 6 |  |  | — |
U.S. government obligations |  | 6 |  |  | — |  |  | 58 |  |  | — |  |  | 64 |  |  | 1 |
Residential mortgage-backed securities |  | 35 |  |  | 1 |  |  | — |  |  | — |  |  | 35 |  |  | 1 |
Collateralized debt obligations |  | 124 |  |  | 2 |  |  | — |  |  | — |  |  | 124 |  |  | 2 |
Other asset-backed securities |  | 14 |  |  | — |  |  | 77 |  |  | 1 |  |  | 91 |  |  | 1 |
|  | 1,024 |  |  | 27 |  |  | 360 |  |  | 11 |  |  | 1,384 |  |  | 38 |
Short-term |  | 115 |  |  | — |  |  | — |  |  | — |  |  | 115 |  |  | — |
Total temporarily impaired securities |  | $ | 1,139 |  |  | $ | 27 |  |  | $ | 360 |  |  | $ | 11 |  |  | $ | 1,499 |  |  | $ | 38 |
Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments | The following table details amounts included in net realized gains (losses) and other-than-temporary impairments included in earnings for the affected periods:
Year Ended December 31, |  | 2019 |  | 2018 |  | 2017
Gross realized gains on securities |  | $ | 64 |  |  | $ | 111 |  |  | $ | 29 |
Gross realized losses on securities |  | (5 | ) |  | (7 | ) |  | (19 | )
Foreign exchange (losses) gains |  | 22 |  |  | 7 |  |  | (5 | )
Net realized gains (losses) |  | $ | 81 |  |  | $ | 111 |  |  | $ | 5 |
Net other-than-temporary impairments (1) |  | $ | — |  |  | $ | (3 | ) |  | $ | (20 | )
(1) Other-than-temporary impairments exclude impairment amounts recorded in other comprehensive income under ASC Paragraph 320-10-65-1, which comprise non-credit related amounts on securities that are credit impaired but which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis.
Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income |
Year Ended December 31, |  | 2019 |  | 2018 |  | 2017
Balance, beginning of period |  | 12 |  |  | 67 |  |  | 52 |
Additions for credit impairments recognized on: |  |  |  |  |  |
Securities not previously impaired |  | — |  |  | 1 |  |  | 3 |
Securities previously impaired |  | — |  |  | — |  |  | 12 |
Reductions for credit impairments previously recognized on: |  |  |  |  |  |
Securities that matured or were sold during the period |  | (1 | ) |  | (56 | ) |  | — |
Balance, end of period |  | 12 |  |  | 12 |  |  | 67 |
Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities | The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at December 31, 2019 and 2018, respectively:
|  | Municipal Obligations |  | Corporate Obligations (3) |  | Mortgage and Asset- backed Securities |  | Total |  | Weighted Average Underlying Rating (1) (3)
December 31, 2019: |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation (2) |  | $ | 176 |  |  | $ | 535 |  |  | $ | 442 |  |  | $ | 1,153 |  |  | B-
National Public Finance Guarantee Corporation |  | 11 |  |  | — |  |  | — |  |  | 11 |  |  | BBB-
Total |  | $ | 187 |  |  | $ | 535 |  |  | $ | 442 |  |  | $ | 1,164 |  |  | B-
December 31, 2018: |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation (2) |  | $ | 833 |  |  | $ | 656 |  |  | $ | 599 |  |  | $ | 2,089 |  |  | CCC
National Public Finance Guarantee Corporation |  | 16 |  |  | — |  |  | — |  |  | 16 |  |  | BBB-
Total |  | $ | 849 |  |  | $ | 656 |  |  | $ | 599 |  |  | $ | 2,105 |  |  | CCC
(1) | Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used.
(2) | Includes asset-backed securities with a fair value of $0 and $145 at December 31, 2019 and 2018, respectively, insured by Ambac UK.
(3) Represents Ambac's holdings of secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. Ambac LSNI secured notes are insured by Ambac Assurance and are excluded from the calculation of weighted average underlying rating.
Summary of Net Investment Income | Net investment income was comprised of the following for the affected periods:
Year Ended December 31, |  | 2019 |  | 2018 |  | 2017
Fixed income securities |  | $ | 183 |  |  | $ | 265 |  |  | $ | 337 |
Short-term investments |  | 17 |  |  | 11 |  |  | 8 |
Loans |  | 1 |  |  | 1 |  |  | 1 |
Investment expense |  | (6 | ) |  | (7 | ) |  | (8 | )
Securities available-for-sale and short-term |  | 196 |  |  | 271 |  |  | 338 |
Other investments |  | 32 |  |  | 2 |  |  | 23 |
Total net investment income |  | $ | 227 |  |  | $ | 273 |  |  | $ | 361 |
Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option, income from investment limited partnerships accounted for under the equity method and the above noted equity interest in an unconsolidated trust accounted for under the equity method. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:
Year Ended December 31, |  | 2019 |  | 2018 |  | 2017
Net gains (losses) recognized during the period on trading securities |  | $ | 24 |  |  | $ | (3 | ) |  | $ | 18 |
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period |  | 7 |  |  | 1 |  |  | 5 |
Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date |  | $ | 17 |  |  | $ | (4 | ) |  | $ | 13 |

X
- Definition Fair Value And Weighted Average Underlying Rating Of Securities Covered by Guarantees [Table Text Block] + References No definition available. + Details
Name: | ambc_FairValueAndWeightedAverageUnderlyingRatingOfSecuritiesCoveredByGuaranteesTableTextBlock
Namespace Prefix: | ambc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of equity method investments including, but not limited to, name of each investee or group of investments, percentage ownership, difference between recorded amount of an investment and the value of the underlying equity in the net assets, and summarized financial information. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 323 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=114001798&loc=d3e33918-111571 + Details
Name: | us-gaap_EquityMethodInvestmentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of realized and unrealized gain (loss) on investment in security. + References No definition available. + Details
Name: | us-gaap_GainLossOnInvestmentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.9) -URI http://asc.fasb.org/extlink&oid=116634182&loc=SL114868664-224227 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 220 -Section S99 -Paragraph 1 -Subparagraph (SX 210.7-04.2) -URI http://asc.fasb.org/extlink&oid=116637232&loc=SL114874131-224263 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.7(a),(b)) -URI http://asc.fasb.org/extlink&oid=116634182&loc=SL114868664-224227 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.8) -URI http://asc.fasb.org/extlink&oid=116634182&loc=SL114868664-224227 + Details
Name: | us-gaap_InvestmentIncomeTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of maturities of an entity's investments as well as any other information pertinent to the investments. + References No definition available. + Details
Name: | us-gaap_InvestmentsClassifiedByContractualMaturityDateTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=118939692&loc=d3e27340-111563 + Details
Name: | us-gaap_OtherThanTemporaryImpairmentCreditLossesRecognizedInEarningsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=118939692&loc=d3e27290-111563 + Details
Name: | us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration