Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2021

Variable Interest Entity [Line Items]

Components of VIE Gain (Loss) [Table Text Block]

The following schedule details the components of Income (loss) on variable interest entities for the affected periods:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Net change in fair value of VIE assets and liabilities reported under the fair value option	$	2	$	(1)	$	2	$	(3)
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss)	—		—		1		(2)
Net change in fair value of VIE assets and liabilities reported in earnings	2		—		3		(5)
Investment income on available-for-sale securities	1		2		5		5
Net realized investment gains (losses) on available-for-sale securities	1		—		2		8
Interest expense on long-term debt carried at par less unamortized cost	(1)		(1)		(4)		(5)



Income (loss) on variable interest entities	$	3	$	—	$	5	$	3

Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities

The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and derivative contracts by major underlying asset classes, as of September 30, 2021 and December 31, 2020:


	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss (1)		Insurance Assets (2)		Insurance Liabilities (3)		Net Derivative Assets (Liabilities) (4)
September 30, 2021:
Global structured finance:

Mortgage-backed—residential	$	3,501	$	1,958	$	513	$	—
Other consumer asset-backed	839		19		233		—

Other	855		3		11		5
Total global structured finance	5,195		1,980		757		5
Global public finance	20,320		248		261		—
Total	$	25,515	$	2,228	$	1,018	$	5

December 31, 2020:
Global structured finance:

Mortgage-backed—residential	$	4,308	$	2,024	$	580	$	—
Other consumer asset-backed	1,050		24		239		—

Other	994		3		15		8
Total global structured finance	6,352		2,051		834		8
Global public finance	21,646		263		287		—
Total	$	27,998	$	2,314	$	1,122	$	8

(1)Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts. Ambac’s maximum exposure to loss does not include the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests.

(2)Insurance assets represent the amount included in “Premium receivables” and “Subrogation recoverable” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.

(3)Insurance liabilities represent the amount included in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.

(4)Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets.

Schedule of Variable Interest Entities Assets and Liabilities [Table Text Block]

The following table summarizes the carrying values of assets and liabilities, along with other supplemental information related to VIEs that are consolidated as a result of financial guarantees of Ambac UK and AAC:


	September 30, 2021						December 31, 2020
	Ambac UK		Ambac Assurance		Total VIEs		Ambac UK		Ambac Assurance		Total VIEs
ASSETS:
Fixed maturity securities, at fair value:
Corporate obligations, fair value option	$	3,184	$	—	$	3,184	$	3,215	$	—	$	3,215
Municipal obligations, available-for-sale (1)	—		133		133		—		139		139
Total FG VIE fixed maturity securities, at fair value	3,184		133		3,317		3,215		139		3,354
Restricted cash	1		1		2		1		1		2
Loans, at fair value (2)	2,784		—		2,784		2,998		—		2,998
Derivative assets	40		—		40		41		—		41
Other assets	—		1		1		—		2		2
Total FG VIE assets	$	6,010	$	135	$	6,145	$	6,255	$	143	$	6,398
LIABILITIES:

Long-term debt:
Long-term debt, at fair value (3)	$	4,097	$	—	$	4,097	$	4,324	$	—	$	4,324
Long-term debt, at par less unamortized discount	—		159		159		—		169		169
Total long-term debt	4,097		159		4,255		4,324		169		4,493
Derivative liabilities	1,830		—		1,830		1,835		—		1,835

Total FG VIE liabilities	$	5,927	$	159	$	6,086	$	6,159	$	169	$	6,328
Number of FG VIEs consolidated	5		1		6		5		1		6

(1)Available-for-sale FG VIE fixed maturity securities consist of municipal obligations with an amortized cost basis of $106 and $113, and aggregate gross unrealized gains of $27 and $27 at September 30, 2021 and December 31, 2020, respectively. All such securities had contractual maturities due after ten years as of September 30, 2021.

(2)The unpaid principal balances of loan assets carried at fair value were $2,391 as of September 30, 2021 and $2,546 as of December 31, 2020.

(3)The unpaid principal balances of long-term debt carried at fair value were $3,603 as of September 30, 2021 and $3,769 as of December 31, 2020.