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Investments (Tables) | 9 Months Ended
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Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
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 investments, excluding VIE investments, at September 30, 2021 and December 31, 2020, were as follows:
|  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value
September 30, 2021: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 323 |  |  | $ | — |  |  | $ | 29 |  |  | $ | 1 |  |  | $ | 352 |
Corporate obligations |  | 650 |  |  | — |  |  | 15 |  |  | 6 |  |  | 659 |
Foreign obligations |  | 88 |  |  | — |  |  | — |  |  | 2 |  |  | 87 |
U.S. government obligations |  | 39 |  |  | — |  |  | 1 |  |  | 1 |  |  | 40 |
Residential mortgage-backed securities |  | 185 |  |  | — |  |  | 62 |  |  | — |  |  | 247 |
Collateralized debt obligations |  | 116 |  |  | — |  |  | — |  |  | — |  |  | 116 |
Other asset-backed securities (2) |  | 258 |  |  | — |  |  | 40 |  |  | — |  |  | 298 |
|  | 1,660 |  |  | — |  |  | 147 |  |  | 9 |  |  | 1,797 |
Short-term |  | 368 |  |  | — |  |  | — |  |  | — |  |  | 368 |
|  | 2,027 |  |  | — |  |  | 147 |  |  | 9 |  |  | 2,165 |
Fixed maturity securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |
Short-term |  | 105 |  |  | — |  |  | — |  |  | — |  |  | 105 |
|  | 120 |  |  | — |  |  | — |  |  | — |  |  | 120 |
Total available-for-sale investments |  | $ | 2,147 |  |  | $ | — |  |  | $ | 147 |  |  | $ | 9 |  |  | $ | 2,285 |
December 31, 2020: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 321 |  |  | $ | — |  |  | $ | 37 |  |  | $ | — |  |  | $ | 358 |
Corporate obligations (1) |  | 1,059 |  |  | — |  |  | 24 |  |  | 6 |  |  | 1,077 |
Foreign obligations |  | 97 |  |  | — |  |  | 1 |  |  | — |  |  | 98 |
U.S. government obligations |  | 105 |  |  | — |  |  | 2 |  |  | 1 |  |  | 106 |
Residential mortgage-backed securities |  | 256 |  |  | — |  |  | 46 |  |  | — |  |  | 302 |
Collateralized debt obligations |  | 74 |  |  | — |  |  | — |  |  | — |  |  | 74 |
Other asset-backed securities (2) |  | 263 |  |  | — |  |  | 40 |  |  | — |  |  | 303 |
|  | 2,175 |  |  | — |  |  | 149 |  |  | 8 |  |  | 2,317 |
Short-term |  | 492 |  |  | — |  |  | — |  |  | — |  |  | 492 |
|  | 2,667 |  |  | — |  |  | 149 |  |  | 8 |  |  | 2,809 |
Fixed maturity securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |
Short-term |  | 125 |  |  | — |  |  | — |  |  | — |  |  | 125 |
|  | 140 |  |  | — |  |  | — |  |  | — |  |  | 140 |
Total available-for-sale investments |  | $ | 2,807 |  |  | $ | — |  |  | $ | 149 |  |  | $ | 8 |  |  | $ | 2,949 |
(1)Includes Ambac's holdings of the LSNI Secured Notes issued in connection with the Rehabilitation Exit Transactions. (2)Consists primarily of Ambac's holdings of military housing and student loan securities.
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 September 30, 2021, by contractual maturity, were as follows:
|  | Amortized Cost |  | Estimated Fair Value
Due in one year or less |  | $ | 537 |  |  | $ | 537 |
Due after one year through five years |  | 479 |  |  | 485 |
Due after five years through ten years |  | 400 |  |  | 409 |
Due after ten years |  | 173 |  |  | 193 |
|  | 1,589 |  |  | 1,625 |
Residential mortgage-backed securities |  | 185 |  |  | 247 |
Collateralized debt obligations |  | 116 |  |  | 116 |
Other asset-backed securities |  | 258 |  |  | 298 |
Total |  | $ | 2,147 |  |  | $ | 2,285 |
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, which at September 30, 2021 and December 31, 2020, did not have an allowance for credit losses under the CECL standard. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at September 30, 2021 and December 31, 2020:
|  | Less Than 12 Months |  | 12 Months or More |  | Total
|  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
September 30, 2021: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 42 |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | — |  |  | $ | 43 |  |  | $ | 1 |
Corporate obligations |  | 243 |  |  | 5 |  |  | 12 |  |  | — |  |  | 256 |  |  | 6 |
Foreign obligations |  | 78 |  |  | 2 |  |  | — |  |  | — |  |  | 78 |  |  | 2 |
U.S. government obligations |  | 19 |  |  | 1 |  |  | — |  |  | — |  |  | 19 |  |  | 1 |
Residential mortgage-backed securities |  | — |  |  | — |  |  | 2 |  |  | — |  |  | 2 |  |  | — |
Collateralized debt obligations |  | 18 |  |  | — |  |  | 3 |  |  | — |  |  | 21 |  |  | — |
Other asset-backed securities |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
|  | 401 |  |  | 8 |  |  | 19 |  |  | — |  |  | 419 |  |  | 9 |
Short-term |  | 77 |  |  | — |  |  | 7 |  |  | — |  |  | 84 |  |  | — |
Total securities |  | $ | 477 |  |  | $ | 9 |  |  | $ | 25 |  |  | $ | — |  |  | $ | 503 |  |  | $ | 9 |
December 31, 2020: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 25 |  |  | $ | — |  |  | $ | 6 |  |  | $ | — |  |  | $ | 31 |  |  | $ | — |
Corporate obligations |  | 543 |  |  | 6 |  |  | — |  |  | — |  |  | 543 |  |  | 6 |
Foreign obligations |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |
U.S. government obligations |  | 17 |  |  | 1 |  |  | — |  |  | — |  |  | 17 |  |  | 1 |
Residential mortgage-backed securities |  | 14 |  |  | — |  |  | — |  |  | — |  |  | 14 |  |  | — |
Collateralized debt obligations |  | 27 |  |  | — |  |  | 15 |  |  | — |  |  | 42 |  |  | — |
Other asset-backed securities |  | — |  |  | — |  |  | 4 |  |  | — |  |  | 4 |  |  | — |
|  | 629 |  |  | 7 |  |  | 25 |  |  | — |  |  | 654 |  |  | 8 |
Short-term |  | 187 |  |  | — |  |  | — |  |  | — |  |  | 187 |  |  | — |
Total securities |  | $ | 816 |  |  | $ | 7 |  |  | $ | 25 |  |  | $ | — |  |  | $ | 841 |  |  | $ | 8 |
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 impairments included in earnings for the affected periods:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Gross realized gains on securities |  | $ | 1 |  |  | $ | 5 |  |  | $ | 9 |  |  | $ | 32 |
Gross realized losses on securities |  | — |  |  | (1) |  |  | (2) |  |  | (12) |
Foreign exchange (losses) gains |  | 3 |  |  | (2) |  |  | (3) |  |  | — |
Credit impairments |  | — |  |  | — |  |  | — |  |  | — |
Intent / requirement to sell impairments |  | — |  |  | — |  |  | — |  |  | — |
Net realized gains (losses) |  | $ | 3 |  |  | $ | 2 |  |  | $ | 4 |  |  | $ | 20 |
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 and weighted-average underlying rating of insured securities in Ambac's investment portfolio at September 30, 2021 and December 31, 2020, respectively:
|  | Municipal Obligations |  | Corporate Obligations (2) |  | Mortgage and Asset- backed Securities |  |  |  | Total |  | Weighted Average Underlying Rating (1)
September 30, 2021: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 317 |  |  | $ | — |  |  | $ | 466 |  |  |  |  | $ | 783 |  |  | B
National Public Finance Guarantee Corporation |  | 2 |  |  | — |  |  | — |  |  |  |  | 2 |  |  | BBB-
Assured Guaranty Municipal Corporation |  | 1 |  |  | — |  |  | — |  |  |  |  | 1 |  |  | A-
Total |  | $ | 320 |  |  | $ | — |  |  | $ | 466 |  |  |  |  | $ | 785 |  |  | B
December 31, 2020: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 320 |  |  | $ | 465 |  |  | $ | 481 |  |  |  |  | $ | 1,266 |  |  | CCC+
National Public Finance Guarantee Corporation |  | 6 |  |  | — |  |  | — |  |  |  |  | 6 |  |  | BBB-
Assured Guaranty Municipal Corporation |  | 1 |  |  | — |  |  | — |  |  |  |  | 1 |  |  | C
Total |  | $ | 327 |  |  | $ | 465 |  |  | $ | 481 |  |  |  |  | $ | 1,273 |  |  | 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)Represents Ambac's holdings of LSNI Secured Notes issued in connection with the Rehabilitation Exit Transactions. These secured notes were insured by AAC. As further described in Note 1. Background and Business Description, on July 6, 2021, the LSNI Secured Notes were fully redeemed.
Equity Method Investments [Table Text Block] | In addition to these investments, Ambac has unfunded commitments of $90 to private credit and private equity funds at September 30, 2021.
|  | Fair Value |  |  |  |
Class of Funds |  | September 30, 2021 |  | December 31, 2020 |  | Redemption Frequency |  | Redemption Notice Period
Real estate properties (1) |  | $ | 28 |  |  | $ | 16 |  |  | quarterly |  | 10 business days
Hedge funds (2) |  | 213 |  |  | 196 |  |  | quarterly or semi-annually |  | 90 days
High yields and leveraged loans (3) (10) |  | 77 |  |  | 78 |  |  | daily |  | 0 - 30 days
Private credit (4) |  | 75 |  |  | 65 |  |  | quarterly if permitted |  | 180 days if permitted
Insurance-linked investments (5) |  | 3 |  |  | 3 |  |  | see footnote (5) |  | see footnote (5)
Equity market investments (6) (10) |  | 93 |  |  | 73 |  |  | daily or quarterly |  | 0 - 90 days
Investment grade floating rate income (7) |  | 106 |  |  | 73 |  |  | weekly |  | 0 days
Private equity (8) |  | 23 |  |  | 13 |  |  | quarterly if permitted |  | 90 days if permitted
Emerging markets debt (9) (10) |  | 38 |  |  | 25 |  |  | daily |  | 0 days
Total equity investments in pooled funds |  | $ | 656 |  |  | $ | 543 |  |  |  |  |
(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 across a range of asset types. (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 returns 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. This investment is restricted in connection with the unwind of certain insurance linked exposures. Ambac has redeemed its investment to the extent permitted by the fund. (6)This class of funds aim to achieve long term growth through diversified exposure to global equity-markets. (7)This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes. (8)This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments. (9)This class seeks long-term income and growth through investments in the bonds of issuers in emerging markets. (10)These categories include fair value amounts totaling $115 and $89 at September 30, 2021 and December 31, 2020, respectively, that are readily determinable and are priced through pricing vendors, including for High yield and leveraged loans products: $0 and $3; for Equity market investments: $77 and $60; and for Emerging markets debt $38 and $25.
Summary of Net Investment Income | Net investment income (loss) was comprised of the following for the affected periods:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Fixed maturity securities |  | $ | 16 |  |  | $ | 24 |  |  | $ | 63 |  |  | $ | 79 |
Short-term investments |  | — |  |  | 1 |  |  | — |  |  | 4 |
Investment expense |  | (1) |  |  | (1) |  |  | (4) |  |  | (4) |
Securities available-for-sale and short-term |  | 15 |  |  | 24 |  |  | 59 |  |  | 80 |
Other investments |  | 6 |  |  | 14 |  |  | 53 |  |  | (11) |
Total net investment income (loss) |  | $ | 21 |  |  | $ | 37 |  |  | $ | 112 |  |  | $ | 69 |
Net investment income (loss) from Other investments primarily represents changes in fair value on equity securities, including certain pooled investment funds, and income from investment limited partnerships and other equity interests accounted for under the equity method. The portion of net unrealized gains (losses) related to securities classified as trading and equity securities, excluding those reported using the equity method, still held at the end of each period is as follows:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Net gains (losses) recognized during the period on equity securities |  | $ | — |  |  | $ | 3 |  |  | $ | 16 |  |  | $ | (12) |
Less: net gains (losses) recognized during the reporting period on equity securities sold during the period |  | — |  |  | — |  |  | 2 |  |  | (19) |
Unrealized gains (losses) recognized during the reporting period on equity securities still held at the reporting date |  | $ | (1) |  |  | $ | 3 |  |  | $ | 14 |  |  | $ | 7 |

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