XML 42 R24.htm IDEA: XBRL DOCUMENT
v3.23.1

Investments (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
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, 2023, by contractual maturity, were as follows:
|  | Amortized Cost |  | Estimated Fair Value
Due in one year or less |  | $ | 486 |  |  | $ | 485 |
Due after one year through five years |  | 536 |  |  | 508 |
Due after five years through ten years |  | 297 |  |  | 268 |
Due after ten years |  | 53 |  |  | 47 |
|  | 1,371 |  |  | 1,307 |
Residential mortgage-backed securities |  | 231 |  |  | 240 |
Commercial mortgage-backed securities |  | 15 |  |  | 15 |
Collateralized debt obligations |  | 140 |  |  | 137 |
Other asset-backed securities |  | 226 |  |  | 223 |
Total |  | $ | 1,983 |  |  | $ | 1,923 |
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, 2023 and December 31, 2022, 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, 2023 and December 31, 2022:
|  | March 31, 2023 |  | December 31, 2022
|  | Less Than 12 Months |  | 12 Months or More |  | Total |  | Less Than 12 Months |  | 12 Months or More |  | Total
|  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss |  | Fair Value |  | Gross Unrealized Loss
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1 |  |  | $ | — |  |  | $ | 17 |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | 2 |  |  | $ | 21 |  |  | $ | 1 |  |  | $ | 7 |  |  | $ | 1 |  |  | $ | 28 |  |  | $ | 2 |
Corporate obligations |  | 237 |  |  | 7 |  |  | 393 |  |  | 47 |  |  | 630 |  |  | 54 |  |  | 280 |  |  | 21 |  |  | 279 |  |  | 42 |  |  | 559 |  |  | 63 |
Foreign obligations |  | 19 |  |  | 1 |  |  | 53 |  |  | 7 |  |  | 72 |  |  | 8 |  |  | 27 |  |  | 2 |  |  | 47 |  |  | 7 |  |  | 73 |  |  | 9 |
U.S. government obligations |  | 19 |  |  | 1 |  |  | 38 |  |  | 2 |  |  | 57 |  |  | 3 |  |  | 40 |  |  | 3 |  |  | 19 |  |  | 1 |  |  | 58 |  |  | 4 |
Residential mortgage-backed securities |  | 120 |  |  | 14 |  |  | 12 |  |  | 2 |  |  | 132 |  |  | 16 |  |  | 132 |  |  | 19 |  |  | — |  |  | — |  |  | 132 |  |  | 19 |
Commercial mortgage-backed securities |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | — |
Collateralized debt obligations |  | 10 |  |  | — |  |  | 115 |  |  | 3 |  |  | 125 |  |  | 3 |  |  | 90 |  |  | 3 |  |  | 36 |  |  | 1 |  |  | 126 |  |  | 4 |
Other asset-backed securities |  | 105 |  |  | 4 |  |  | 6 |  |  | 1 |  |  | 111 |  |  | 5 |  |  | 198 |  |  | 4 |  |  | 5 |  |  | 1 |  |  | 203 |  |  | 5 |
|  | 513 |  |  | 27 |  |  | 634 |  |  | 63 |  |  | 1,147 |  |  | 90 |  |  | 791 |  |  | 53 |  |  | 392 |  |  | 53 |  |  | 1,183 |  |  | 106 |
Short-term |  | 12 |  |  | — |  |  | 2 |  |  | — |  |  | 14 |  |  | — |  |  | 78 |  |  | — |  |  | 8 |  |  | — |  |  | 86 |  |  | — |
Total temporarily impaired securities |  | $ | 525 |  |  | $ | 27 |  |  | $ | 636 |  |  | $ | 63 |  |  | $ | 1,161 |  |  | $ | 90 |  |  | $ | 869 |  |  | $ | 53 |  |  | $ | 400 |  |  | $ | 53 |  |  | $ | 1,269 |  |  | $ | 106 |
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, |  | 2023 |  | 2022 |  |  |  |
Gross realized gains on securities |  | $ | — |  |  | $ | 23 |  |  |  |  |
Gross realized losses on securities |  | (2) |  |  | (15) |  |  |  |  |
Foreign exchange gains (losses) |  | (2) |  |  | 3 |  |  |  |  |
Credit impairments |  | (1) |  |  | (1) |  |  |  |  |
Intent / requirement to sell impairments |  | — |  |  | — |  |  |  |  |
Net investment gains (losses), including impairments |  | $ | (4) |  |  | $ | 10 |  |  |  |  |
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, 2023 and December 31, 2022, respectively:
|  | March 31, 2023: |  | December 31, 2022:
|  | Municipal Obligations |  |  |  | Mortgage and Asset- backed Securities |  |  |  | Total |  | Weighted Average Underlying Rating (1) |  | Municipal Obligations |  |  |  | Mortgage and Asset- backed Securities |  |  |  | Total |  | Weighted Average Underlying Rating (1)
Ambac Assurance Corporation |  | $ | 10 |  |  |  |  | $ | 392 |  |  |  |  | $ | 401 |  |  | B- |  | $ | 10 |  |  |  |  | $ | 394 |  |  |  |  | $ | 403 |  |  | B
Total |  | $ | 10 |  |  |  |  | $ | 392 |  |  |  |  | $ | 401 |  |  | B- |  | $ | 10 |  |  |  |  | $ | 394 |  |  |  |  | $ | 403 |  |  | 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 $57 to private credit and private equity funds at March 31, 2023.
|  | Fair Value |  |  |  |
Class of Funds |  | March 31, 2023 |  | December 31, 2022 |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds (1) |  | $ | 178 |  |  | $ | 186 |  |  | quarterly or semi-annually |  | 90 days
Private credit (2) |  | 87 |  |  | 84 |  |  | quarterly if permitted |  | 180 days if permitted
High yields and leveraged loans (3) |  | 84 |  |  | 80 |  |  | daily |  | 0 - 30 days
Equity market investments (4) (10) |  | 68 |  |  | 64 |  |  | daily or quarterly |  | 0 - 90 days
Investment grade floating rate income (5) |  | 47 |  |  | 63 |  |  | weekly |  | 0 days
Private equity (6) |  | 49 |  |  | 47 |  |  | quarterly if permitted |  | 90 days if permitted
Real estate properties (7) |  | 22 |  |  | 22 |  |  | quarterly |  | 10 business days
Convertible bonds (8)(10) |  | 9 |  |  | 8 |  |  | daily |  | 0 days
Insurance-linked investments (9) |  | 1 |  |  | 1 |  |  | see footnote (9) |  | see footnote (9)
Total equity investments in pooled funds |  | $ | 545 |  |  | $ | 556 |  |  |  |  |
(1)This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies across a range of asset types. (2)This class aims to obtain high long-term returns primarily through credit and preferred equity investments with low liquidity and defined term. (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 of funds aim to achieve long term growth through diversified exposure to global equity-markets. (5)This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes. (6)This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments. (7)Investments consist of UK property to generate income and capital growth. (8)This class seeks to generate total returns from portfolios focused primarily on convertible securities. (9)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. (10)These categories include fair value amounts totaling $65 and $61 at March 31, 2023 and December 31, 2022, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments $57 and $53 and Convertible bonds investments $9 and 8.
Summary of Net Investment Income | Net investment income (loss) was comprised of the following for the affected periods:
Three Months Ended March 31, |  | 2023 |  | 2022 |  |  |  |
Fixed maturity securities |  | $ | 17 |  |  | $ | 15 |  |  |  |  |
Short-term investments |  | 6 |  |  | — |  |  |  |  |
Investment expense |  | (2) |  |  | (1) |  |  |  |  |
Securities available-for-sale and short-term |  | 21 |  |  | 14 |  |  |  |  |
Fixed maturity securities - trading |  | — |  |  | (9) |  |  |  |  |
Other investments |  | 13 |  |  | — |  |  |  |  |
Total net investment income (loss) |  | $ | 34 |  |  | $ | 5 |  |  |  |  |
Debt Securities, Available-for-Sale | The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2023 and December 31, 2022, were as follows:
|  | March 31, 2023: |  | December 31, 2022:
|  | Amortized Cost |  | Allowance for Credit Losses (2) |  | Gross Unrealized |  | Estimated Fair Value |  | Amortized Cost |  | Allowance for Credit Losses |  | Gross Unrealized |  | Estimated Fair Value
|  |  |  | Gains |  | Losses |  |  |  |  | Gains |  | Losses |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 58 |  |  | $ | — |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | 57 |  |  | $ | 44 |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 43 |
Corporate obligations |  | 732 |  |  | — |  |  | 1 |  |  | 54 |  |  | 679 |  |  | 659 |  |  | — |  |  | 1 |  |  | 63 |  |  | 598 |
Foreign obligations |  | 86 |  |  | — |  |  | — |  |  | 8 |  |  | 79 |  |  | 85 |  |  | — |  |  | — |  |  | 9 |  |  | 76 |
U.S. government obligations |  | 66 |  |  | — |  |  | — |  |  | 3 |  |  | 63 |  |  | 68 |  |  | — |  |  | — |  |  | 4 |  |  | 65 |
Residential mortgage-backed securities |  | 231 |  |  | 1 |  |  | 26 |  |  | 16 |  |  | 240 |  |  | 230 |  |  | — |  |  | 28 |  |  | 19 |  |  | 238 |
Commercial mortgage-backed securities |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | 15 |
Collateralized debt obligations |  | 140 |  |  | — |  |  | — |  |  | 3 |  |  | 137 |  |  | 141 |  |  | — |  |  | — |  |  | 4 |  |  | 137 |
Other asset-backed securities (1) |  | 226 |  |  | — |  |  | 3 |  |  | 5 |  |  | 223 |  |  | 227 |  |  | — |  |  | 2 |  |  | 5 |  |  | 224 |
|  | 1,554 |  |  | 1 |  |  | 31 |  |  | 90 |  |  | 1,494 |  |  | 1,469 |  |  | — |  |  | 31 |  |  | 106 |  |  | 1,395 |
Short-term |  | 367 |  |  | — |  |  | — |  |  | — |  |  | 367 |  |  | 507 |  |  | — |  |  | — |  |  | — |  |  | 507 |
|  | 1,922 |  |  | 1 |  |  | 31 |  |  | 90 |  |  | 1,862 |  |  | 1,977 |  |  | — |  |  | 31 |  |  | 106 |  |  | 1,902 |
Fixed maturity securities pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Short-term |  | 61 |  |  | — |  |  | — |  |  | — |  |  | 61 |  |  | 64 |  |  | — |  |  | — |  |  | — |  |  | 64 |
|  | 61 |  |  | — |  |  | — |  |  | — |  |  | 61 |  |  | 64 |  |  | — |  |  | — |  |  | — |  |  | 64 |
Total available-for-sale investments |  | $ | 1,983 |  |  | $ | 1 |  |  | $ | 31 |  |  | $ | 90 |  |  | $ | 1,923 |  |  | $ | 2,041 |  |  | $ | — |  |  | $ | 31 |  |  | $ | 106 |  |  | $ | 1,966 |
(1)Consists primarily of Ambac's holdings of military housing and student loan securities. (2)For the three months ended March 31, 2023, the allowance for credit losses increased $1 on residential mortgage-backed securities on which credit losses were not previously recorded.

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: | dtr-types: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 https://asc.fasb.org/topic&trid=2196928 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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 https://asc.fasb.org/extlink&oid=114001798&loc=d3e33918-111571 + Details
Name: | us-gaap_EquityMethodInvestmentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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: | dtr-types: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 https://asc.fasb.org/extlink&oid=126953954&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 https://asc.fasb.org/extlink&oid=120400993&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 https://asc.fasb.org/extlink&oid=126953954&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 https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227 + Details
Name: | us-gaap_InvestmentIncomeTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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: | dtr-types: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 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 https://asc.fasb.org/extlink&oid=126970911&loc=d3e27290-111563 + Details
Name: | us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration