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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.

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