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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2020
Fair Value Disclosures [Abstract] |
Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities | The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of December 31, 2020 and 2019, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
|  | Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
Level 1 |  | Level 2 |  | Level 3
December 31, 2020: |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 358 |  |  | $ | 358 |  |  | $ | — |  |  | $ | 358 |  |  | $ | — |
Corporate obligations |  | 1,077 |  |  | 1,077 |  |  | 4 |  |  | 1,073 |  |  | — |
Foreign obligations |  | 98 |  |  | 98 |  |  | 98 |  |  | — |  |  | — |
U.S. government obligations |  | 106 |  |  | 106 |  |  | 106 |  |  | — |  |  | — |
Residential mortgage-backed securities |  | 302 |  |  | 302 |  |  | — |  |  | 302 |  |  | — |
Collateralized debt obligations |  | 74 |  |  | 74 |  |  | — |  |  | 74 |  |  | — |
Other asset-backed securities |  | 303 |  |  | 303 |  |  | — |  |  | 225 |  |  | 78 |
Fixed maturity securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 15 |  |  | 15 |  |  | 15 |  |  | — |  |  | — |
Short-term |  | 125 |  |  | 125 |  |  | 125 |  |  | — |  |  | — |
Short term investments |  | 492 |  |  | 492 |  |  | 415 |  |  | 76 |  |  | — |
Other investments (1) |  | 595 |  |  | 597 |  |  | 91 |  |  | — |  |  | 53 |
Cash, cash equivalents and restricted cash |  | 33 |  |  | 33 |  |  | 32 |  |  | 2 |  |  | — |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  | 93 |  |  | 93 |  |  | — |  |  | 9 |  |  | 85 |
Other assets - equity in sponsored VIE |  | 1 |  |  | 1 |  |  | — |  |  | — |  |  | 1 |
Other assets-Loans |  | 3 |  |  | 3 |  |  | — |  |  | — |  |  | 3 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: Corporate obligations |  | 3,215 |  |  | 3,215 |  |  | — |  |  | — |  |  | 3,215 |
Fixed maturity securities: Municipal obligations |  | 139 |  |  | 139 |  |  | — |  |  | 139 |  |  | — |
Restricted cash |  | 2 |  |  | 2 |  |  | 2 |  |  | — |  |  | — |
Loans |  | 2,998 |  |  | 2,998 |  |  | — |  |  | — |  |  | 2,998 |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Currency swaps-asset position |  | 41 |  |  | 41 |  |  | — |  |  | 41 |  |  | — |
Total financial assets |  | $ | 10,071 |  |  | $ | 10,073 |  |  | $ | 888 |  |  | $ | 2,299 |  |  | $ | 6,433 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Long term debt, including accrued interest |  | $ | 3,255 |  |  | $ | 3,071 |  |  | $ | — |  |  | $ | 2,670 |  |  | $ | 401 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  | 114 |  |  | 114 |  |  | — |  |  | 114 |  |  | — |
Liabilities for net financial guarantees written (2) |  | (740) |  |  | 539 |  |  | — |  |  | — |  |  | 539 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |
Long-term debt (includes $4,324 at fair value) |  | 4,493 |  |  | 4,504 |  |  | — |  |  | 4,349 |  |  | 155 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  | 1,835 |  |  | 1,835 |  |  | — |  |  | 1,835 |  |  | — |
Total financial liabilities |  | $ | 8,958 |  |  | $ | 10,063 |  |  | $ | — |  |  | $ | 8,968 |  |  | $ | 1,095 |
|  | Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
Level 1 |  | Level 2 |  | Level 3
December 31, 2019: |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 215 |  |  | $ | 215 |  |  | $ | — |  |  | $ | 215 |  |  | $ | — |
Corporate obligations |  | 1,430 |  |  | 1,430 |  |  | — |  |  | 1,430 |  |  | — |
Foreign obligations |  | 44 |  |  | 44 |  |  | 44 |  |  | — |  |  | — |
U.S. government obligations |  | 156 |  |  | 156 |  |  | 156 |  |  | — |  |  | — |
Residential mortgage-backed securities |  | 248 |  |  | 248 |  |  | — |  |  | 248 |  |  | — |
Commercial mortgage-backed securities |  | 50 |  |  | 50 |  |  | — |  |  | 50 |  |  | — |
Collateralized debt obligations |  | 146 |  |  | 146 |  |  | — |  |  | 146 |  |  | — |
Other asset-backed securities |  | 287 |  |  | 287 |  |  | — |  |  | 215 |  |  | 72 |
Fixed maturity securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |
Short-term |  | 85 |  |  | 85 |  |  | 85 |  |  | — |  |  | — |
Short term investments |  | 653 |  |  | 653 |  |  | 598 |  |  | 55 |  |  | — |
Other investments (1) |  | 478 |  |  | 493 |  |  | 136 |  |  | — |  |  | 61 |
Cash and cash equivalents and restricted cash |  | 79 |  |  | 79 |  |  | 70 |  |  | 9 |  |  | — |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  | 75 |  |  | 75 |  |  | — |  |  | 8 |  |  | 67 |
Other assets - equity in sponsored VIE |  | 3 |  |  | 3 |  |  | — |  |  | — |  |  | 3 |
Other assets-loans |  | 10 |  |  | 13 |  |  | — |  |  | — |  |  | 13 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: Corporate obligations |  | 2,957 |  |  | 2,957 |  |  | — |  |  | — |  |  | 2,957 |
Fixed maturity securities: Municipal obligations |  | 164 |  |  | 164 |  |  | — |  |  | 164 |  |  | — |
Restricted cash |  | 2 |  |  | 2 |  |  | 2 |  |  | — |  |  | — |
Loans |  | 3,108 |  |  | 3,108 |  |  | — |  |  | — |  |  | 3,108 |
Derivative assets; Currency swaps-asset position |  | 52 |  |  | 52 |  |  | — |  |  | 52 |  |  | — |
Total financial assets |  | $ | 10,242 |  |  | $ | 10,260 |  |  | $ | 1,091 |  |  | $ | 2,593 |  |  | $ | 6,281 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Long term debt, including accrued interest |  | $ | 3,262 |  |  | $ | 3,274 |  |  | $ | — |  |  | $ | 2,829 |  |  | $ | 445 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps—liability position |  | 89 |  |  | 89 |  |  | — |  |  | 89 |  |  | — |
Liabilities for net financial guarantees written (2) |  | (863) |  |  | 284 |  |  | — |  |  | — |  |  | 284 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |
Long-term debt (includes $4,351 at fair value) |  | 4,554 |  |  | 4,567 |  |  | — |  |  | 4,408 |  |  | 159 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  | 1,657 |  |  | 1,657 |  |  | — |  |  | 1,657 |  |  | — |
Total financial liabilities |  | $ | 8,699 |  |  | $ | 9,872 |  |  | — |  |  | 8,983 |  |  | 889 |
(1)Excluded from the fair value measurement categories in the table above are investment funds of $453 and $296 as of December 31, 2020 and 2019, respectively, which are measured using NAV as a practical expedient. (2)The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.
Summary of Changes in Level 3 Fair Value Category | The following tables present the changes in the Level 3 fair value category for the periods presented in 2020, 2019 and 2018. Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
Level-3 Financial Assets and Liabilities Accounted for at Fair Value |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  | VIE Assets and Liabilities |  |
Year Ended December 31, 2020 |  | Investments |  | Other Assets (1) |  | Derivatives |  | Investments |  | Loans |  | Long-term Debt |  | Total
Balance, beginning of period |  | $ | 72 |  |  | $ | 3 |  |  | $ | 66 |  |  | $ | 2,957 |  |  | $ | 3,108 |  |  | $ | — |  |  | $ | 6,207 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 1 |  |  | (2) |  |  | 25 |  |  | 183 |  |  | 98 |  |  | — |  |  | 306 |
Included in other comprehensive income |  | 6 |  |  | — |  |  | — |  |  | 109 |  |  | 83 |  |  | — |  |  | 198 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (1) |  |  | — |  |  | (7) |  |  | (35) |  |  | (290) |  |  | — |  |  | (334) |
Balance, end of period |  | $ | 78 |  |  | $ | 1 |  |  | $ | 84 |  |  | $ | 3,215 |  |  | $ | 2,998 |  |  | $ | — |  |  | $ | 6,376 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | (2) |  |  | $ | 25 |  |  | $ | 183 |  |  | $ | 98 |  |  | $ | — |  |  | $ | 304 |
The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 109 |  |  | $ | 83 |  |  | $ | — |  |  | $ | 192 |
Level-3 Financial Assets and Liabilities Accounted for at Fair Value |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  | VIE Assets and Liabilities |  |
Year Ended December 31, 2019 |  | Investments |  | Other Assets |  | Derivatives |  | Investments |  | Loans |  | Long-term Debt |  | Total
Balance, beginning of period |  | $ | 72 |  |  | $ | 5 |  |  | $ | 46 |  |  | $ | 2,737 |  |  | $ | 4,288 |  |  | $ | (217) |  |  | $ | 6,930 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 2 |  |  | (2) |  |  | 25 |  |  | 138 |  |  | 287 |  |  | (15) |  |  | 436 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | 116 |  |  | 74 |  |  | 8 |  |  | 199 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (2) |  |  | — |  |  | (5) |  |  | (35) |  |  | (690) |  |  | — |  |  | (731) |
Deconsolidations of VIEs |  | — |  |  | — |  |  | — |  |  | — |  |  | (851) |  |  | 223 |  |  | (627) |
Balance, end of period |  | $ | 72 |  |  | $ | 3 |  |  | $ | 66 |  |  | $ | 2,957 |  |  | $ | 3,108 |  |  | $ | — |  |  | $ | 6,207 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | (2) |  |  | $ | 25 |  |  | $ | 138 |  |  | $ | 215 |  |  | $ | — |  |  | $ | 376 |
(1) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE.
Level-3 Financial Assets and Liabilities Accounted for at Fair Value |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  | VIE Assets and Liabilities |  |
Year Ended December 31, 2018 |  | Investments |  | Other Assets |  | Derivatives |  | Investments |  | Loans |  | Long-term Debt |  | Total
Balance, beginning of period |  | $ | 809 |  |  | $ | 6 |  |  | $ | 61 |  |  | $ | 2,914 |  |  | $ | 11,529 |  |  | $ | (2,758) |  |  | $ | 12,561 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 36 |  |  | (1) |  |  | (9) |  |  | 16 |  |  | (201) |  |  | 189 |  |  | 30 |
Included in other comprehensive income |  | (53) |  |  | — |  |  | — |  |  | (158) |  |  | (470) |  |  | 91 |  |  | (590) |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (714) |  |  | — |  |  | (6) |  |  | (35) |  |  | (624) |  |  | 23 |  |  | (1,356) |
Transfers out of Level 3 |  | (5) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (5) |
Deconsolidation of VIEs |  | — |  |  | — |  |  | — |  |  | — |  |  | (5,946) |  |  | 2,237 |  |  | (3,709) |
Balance, end of period |  | $ | 72 |  |  | $ | 5 |  |  | $ | 46 |  |  | $ | 2,737 |  |  | $ | 4,288 |  |  | $ | (217) |  |  | $ | 6,930 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | (1) |  |  | $ | (10) |  |  | $ | 16 |  |  | $ | (63) |  |  | $ | 47 |  |  | $ | (11) |
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs.
Level-3 Investments by Class |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | 2019
Year Ended December 31, |  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments |  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments
Balance, beginning of period |  | $ | 72 |  |  | $ | — |  |  | $ | 72 |  |  | $ | 72 |  |  | $ | — |  |  | $ | 72 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 1 |  |  | — |  |  | 1 |  |  | 2 |  |  | — |  |  | 2 |
Included in other comprehensive income |  | 6 |  |  | — |  |  | 6 |  |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (1) |  |  | — |  |  | (1) |  |  | (2) |  |  | — |  |  | (2) |
Balance, end of period |  | $ | 78 |  |  | $ | — |  |  | $ | 78 |  |  | $ | 72 |  |  | $ | — |  |  | $ | 72 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level-3 Investments by Class |  |  |  |  |  |
Year Ended December 31, 2018 |  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments
Balance, beginning of period |  | $ | 73 |  |  | $ | 736 |  |  | $ | 809 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | 1 |  |  | 35 |  |  | 36 |
Included in other comprehensive income |  | (1) |  |  | (52) |  |  | (53) |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | (1) |  |  | (713) |  |  | (714) |
Transfers out of Level 3 |  | — |  |  | (5) |  |  | (5) |
Balance, end of period |  | $ | 72 |  |  | $ | — |  |  | $ | 72 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | — |  |  | $ | — |
Level-3 Derivatives by Class |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | 2019
Year Ended December 31, |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | 67 |  |  | $ | — |  |  | $ | 66 |  |  | $ | 47 |  |  | $ | (1) |  |  | $ | 46 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 25 |  |  | — |  |  | 25 |  |  | 24 |  |  | 2 |  |  | 25 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (7) |  |  | — |  |  | (7) |  |  | (4) |  |  | — |  |  | (5) |
Balance, end of period |  | 85 |  |  | — |  |  | 84 |  |  | 67 |  |  | — |  |  | 66 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | 25 |  |  | — |  |  | 25 |  |  | 24 |  |  | 1 |  |  | 25 |
Level-3 Derivatives by Class |  |  |  |  |  |
Year Ended December 31, 2018 |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | 61 |  |  | $ | (1) |  |  | $ | 61 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | (9) |  |  | (1) |  |  | (9) |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | (5) |  |  | — |  |  | (6) |
Balance, end of period |  | $ | 47 |  |  | $ | (1) |  |  | $ | 46 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | (9) |  |  | $ | (1) |  |  | $ | (10) |
Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings | Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows:
|  | Net Investment Income |  |  |  |  |  |  |  | Net Gains (Losses) on Derivative Contracts |  | Income (Loss) on Variable Interest Entities |  | Other Income (Expense)
Year Ended December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains (losses) included in earnings for the period |  | $ | 1 |  |  |  |  |  |  |  |  | $ | 25 |  |  | $ | 281 |  |  | $ | (2) |
Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date |  | — |  |  |  |  |  |  |  |  | 25 |  |  | 281 |  |  | (2) |
Year Ended December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains (losses) included in earnings for the period |  | $ | 2 |  |  |  |  |  |  |  |  | $ | 25 |  |  | $ | 410 |  |  | $ | (2) |
Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date |  | — |  |  |  |  |  |  |  |  | 25 |  |  | 353 |  |  | (2) |
Year Ended December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains (losses) included in earnings for the period |  | $ | 36 |  |  |  |  |  |  |  |  | $ | (9) |  |  | $ | 4 |  |  | $ | (1) |
Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date |  | — |  |  |  |  |  |  |  |  | (10) |  |  | — |  |  | (1) |

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- Definition Tabular presentation of Fair value assets and liabilities measured on recurring basis unobservable input reconciliation. + References No definition available. + Details
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Namespace Prefix: | ambc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
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