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Investments (Tables) | 3 Months Ended
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Mar. 31, 2022
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 March 31, 2022 and December 31, 2021, were as follows:
|  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value
March 31, 2022: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 65 |  |  | $ | — |  |  | $ | 5 |  |  | $ | 1 |  |  | $ | 69 |
Corporate obligations |  | 610 |  |  | 1 |  |  | 2 |  |  | 34 |  |  | 577 |
Foreign obligations |  | 92 |  |  | — |  |  | — |  |  | 4 |  |  | 88 |
U.S. government obligations |  | 53 |  |  | — |  |  | — |  |  | 2 |  |  | 51 |
Residential mortgage-backed securities |  | 179 |  |  | — |  |  | 47 |  |  | — |  |  | 225 |
Collateralized debt obligations |  | 121 |  |  | — |  |  | — |  |  | 1 |  |  | 120 |
Other asset-backed securities (1) |  | 232 |  |  | — |  |  | 20 |  |  | — |  |  | 252 |
|  | 1,352 |  |  | 1 |  |  | 73 |  |  | 42 |  |  | 1,383 |
Short-term |  | 540 |  |  | — |  |  | — |  |  | — |  |  | 540 |
|  | 1,892 |  |  | 1 |  |  | 73 |  |  | 42 |  |  | 1,922 |
Fixed maturity securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |
Short-term |  | 99 |  |  | — |  |  | — |  |  | — |  |  | 99 |
|  | 114 |  |  | — |  |  | — |  |  | — |  |  | 114 |
Total available-for-sale investments |  | $ | 2,006 |  |  | $ | 1 |  |  | $ | 73 |  |  | $ | 43 |  |  | $ | 2,036 |
December 31, 2021: |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 315 |  |  | $ | — |  |  | $ | 28 |  |  | $ | 3 |  |  | $ | 340 |
Corporate obligations |  | 612 |  |  | — |  |  | 10 |  |  | 9 |  |  | 613 |
Foreign obligations |  | 89 |  |  | — |  |  | — |  |  | 2 |  |  | 87 |
U.S. government obligations |  | 45 |  |  | — |  |  | 1 |  |  | 1 |  |  | 45 |
Residential mortgage-backed securities |  | 182 |  |  | — |  |  | 70 |  |  | — |  |  | 252 |
Collateralized debt obligations |  | 128 |  |  | — |  |  | — |  |  | — |  |  | 128 |
Other asset-backed securities (1) |  | 234 |  |  | — |  |  | 32 |  |  | — |  |  | 265 |
|  | 1,605 |  |  | — |  |  | 141 |  |  | 16 |  |  | 1,730 |
Short-term |  | 415 |  |  | — |  |  | — |  |  | — |  |  | 414 |
|  | 2,020 |  |  | — |  |  | 141 |  |  | 16 |  |  | 2,145 |
Fixed maturity securities pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |
Short-term |  | 105 |  |  | — |  |  | — |  |  | — |  |  | 105 |
|  | 120 |  |  | — |  |  | — |  |  | — |  |  | 120 |
Total available-for-sale investments |  | $ | 2,140 |  |  | $ | — |  |  | $ | 141 |  |  | $ | 16 |  |  | $ | 2,265 |
(1)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 March 31, 2022, by contractual maturity, were as follows:
|  | Amortized Cost |  | Estimated Fair Value
Due in one year or less |  | $ | 683 |  |  | $ | 683 |
Due after one year through five years |  | 431 |  |  | 416 |
Due after five years through ten years |  | 317 |  |  | 300 |
Due after ten years |  | 41 |  |  | 39 |
|  | 1,472 |  |  | 1,438 |
Residential mortgage-backed securities |  | 179 |  |  | 225 |
Collateralized debt obligations |  | 121 |  |  | 120 |
Other asset-backed securities |  | 232 |  |  | 252 |
Total |  | $ | 2,005 |  |  | $ | 2,036 |
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 March 31, 2022 and December 31, 2021, 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 March 31, 2022 and December 31, 2021:
|  | Less Than 12 Months |  | 12 Months or More |  | Total
|  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
March 31, 2022: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 19 |  |  | $ | 1 |  |  | $ | 1 |  |  | $ | — |  |  | $ | 19 |  |  | $ | 1 |
Corporate obligations |  | 349 |  |  | 21 |  |  | 117 |  |  | 13 |  |  | 466 |  |  | 34 |
Foreign obligations |  | 36 |  |  | 1 |  |  | 51 |  |  | 3 |  |  | 87 |  |  | 4 |
U.S. government obligations |  | 44 |  |  | 1 |  |  | 5 |  |  | — |  |  | 49 |  |  | 2 |
Residential mortgage-backed securities |  | 16 |  |  | — |  |  | 1 |  |  | — |  |  | 17 |  |  | — |
Collateralized debt obligations |  | 111 |  |  | 1 |  |  | 9 |  |  | — |  |  | 120 |  |  | 1 |
Other asset-backed securities |  | 6 |  |  | — |  |  | — |  |  | — |  |  | 6 |  |  | — |
|  | 580 |  |  | 26 |  |  | 184 |  |  | 16 |  |  | 764 |  |  | 42 |
Short-term |  | 18 |  |  | — |  |  | 12 |  |  | — |  |  | 30 |  |  | — |
|  | 598 |  |  | 26 |  |  | 196 |  |  | 17 |  |  | 794 |  |  | 42 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |
Short-term |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | — |
Total collateralized investments |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | — |
Total temporarily impaired securities |  | $ | 613 |  |  | $ | 26 |  |  | $ | 196 |  |  | $ | 17 |  |  | $ | 809 |  |  | $ | 43 |
|  | 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, 2021: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 117 |  |  | $ | 3 |  |  | $ | 2 |  |  | $ | — |  |  | $ | 118 |  |  | $ | 3 |
Corporate obligations |  | 363 |  |  | 8 |  |  | 17 |  |  | 1 |  |  | 380 |  |  | 9 |
Foreign obligations |  | 75 |  |  | 2 |  |  | 3 |  |  | — |  |  | 78 |  |  | 2 |
U.S. government obligations |  | 25 |  |  | — |  |  | 2 |  |  | — |  |  | 27 |  |  | 1 |
Residential mortgage-backed securities |  | — |  |  | — |  |  | 1 |  |  | — |  |  | 2 |  |  | — |
Collateralized debt obligations |  | 68 |  |  | — |  |  | 3 |  |  | — |  |  | 71 |  |  | — |
Other asset-backed securities |  | 6 |  |  | — |  |  | — |  |  | — |  |  | 6 |  |  | — |
|  | 654 |  |  | 14 |  |  | 28 |  |  | 1 |  |  | 682 |  |  | 16 |
Short-term |  | 114 |  |  | — |  |  | 13 |  |  | — |  |  | 128 |  |  | — |
|  | 768 |  |  | 14 |  |  | 41 |  |  | 1 |  |  | 810 |  |  | 16 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |
U. S. government obligations |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | — |
Total collateralized investments |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | — |
Total temporarily impaired securities |  | $ | 783 |  |  | $ | 14 |  |  | $ | 41 |  |  | $ | 1 |  |  | $ | 825 |  |  | $ | 16 |
Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments | The following table details amounts included in net investment gains (losses) and impairments included in earnings for the affected periods:
|  | Three Months Ended March 31, |  |
|  | 2022 |  | 2021 |  |  |  |
Gross realized gains on securities |  | $ | 23 |  |  | $ | 7 |  |  |  |  |
Gross realized losses on securities |  | (15) |  |  | (1) |  |  |  |  |
Foreign exchange gains (losses) |  | 3 |  |  | (4) |  |  |  |  |
Credit impairments |  | (1) |  |  | — |  |  |  |  |
Intent / requirement to sell impairments |  | — |  |  | — |  |  |  |  |
Net investment gains (losses), including impairments |  | $ | 10 |  |  | $ | 2 |  |  |  |  |
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 March 31, 2022 and December 31, 2021, respectively:
|  | Municipal Obligations |  |  |  | Mortgage and Asset- backed Securities |  |  |  | Total |  | Weighted Average Underlying Rating (1)
March 31, 2022: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 47 |  |  |  |  | $ | 403 |  |  |  |  | $ | 451 |  |  | B
Assured Guaranty Municipal Corporation |  | 1 |  |  |  |  | — |  |  |  |  | 1 |  |  | A
Total |  | $ | 48 |  |  |  |  | $ | 403 |  |  |  |  | $ | 451 |  |  | B
December 31, 2021: |  |  |  |  |  |  |  |  |  |  |  |
Ambac Assurance Corporation |  | $ | 316 |  |  |  |  | $ | 439 |  |  |  |  | $ | 754 |  |  | B
National Public Finance Guarantee Corporation |  | 2 |  |  |  |  | — |  |  |  |  | 2 |  |  | BBB-
Assured Guaranty Municipal Corporation |  | 1 |  |  |  |  | — |  |  |  |  | 1 |  |  | A-
Total |  | $ | 318 |  |  |  |  | $ | 439 |  |  |  |  | $ | 757 |  |  | B
(1)Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used.
Equity Method Investments [Table Text Block] | In addition to these investments, Ambac has unfunded commitments of $70 to private credit and private equity funds at March 31, 2022.
|  | Fair Value |  |  |  |
Class of Funds |  | March 31, 2022 |  | December 31, 2021 |  | Redemption Frequency |  | Redemption Notice Period
Real estate properties (1) |  | $ | 40 |  |  | $ | 33 |  |  | quarterly |  | 10 business days
Hedge funds (2) |  | 196 |  |  | 216 |  |  | quarterly or semi-annually |  | 90 days
High yields and leveraged loans (3) |  | 88 |  |  | 78 |  |  | daily |  | 0 - 30 days
Private credit (4) |  | 87 |  |  | 88 |  |  | quarterly if permitted |  | 180 days if permitted
Insurance-linked investments (5) |  | 1 |  |  | 2 |  |  | see footnote (9) |  | see footnote (9)
Equity market investments (6) (10) |  | 91 |  |  | 98 |  |  | daily or quarterly |  | 0 - 90 days
Investment grade floating rate income (7) |  | 90 |  |  | 107 |  |  | weekly |  | 0 days
Private equity (8) |  | 41 |  |  | 37 |  |  | quarterly if permitted |  | 90 days if permitted
Emerging markets debt (9) (10) |  | 17 |  |  | 24 |  |  | daily |  | 0 days
Total equity investments in pooled funds |  | $ | 652 |  |  | $ | 683 |  |  |  |  |
(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 $92 and $106 at March 31, 2022 and December 31, 2021, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments: $75 and $82; and for Emerging markets debt $17 and $24.

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