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Derivative Instruments | 12 Months Ended
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Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | 9. DERIVATIVE INSTRUMENTS The following tables summarize the location and gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets, as of December 31, 2023 and 2022.
| December 31, 2023: |  | December 31, 2022:
| Gross Amounts of Recognized Assets / Liabilities |  | Gross Amounts Offset in the Consolidated Balance Sheet |  | Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet |  | Gross Amount of Collateral Received / Pledged not Offset in the Consolidated Balance Sheet |  | Net Amount |  | Gross Amounts of Recognized Assets / Liabilities |  | Gross Amounts Offset in the Consolidated Balance Sheet |  | Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet |  | Gross Amount of Collateral Received / Pledged not Offset in the Consolidated Balance Sheet |  | Net Amount
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 25 |  |  | $ | — |  |  | $ | 25 |  |  | $ | — |  |  | $ | 25 |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |
Warrants | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |
Total non-VIE derivative assets | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | 28 |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |  |  | $ | 38 |  |  | $ | — |  |  | $ | 38 |  |  | $ | 38 |  |  | $ | — |
Total non-VIE derivative liabilities | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |  |  | $ | 38 |  |  | $ | — |  |  | $ | 38 |  |  | $ | 38 |  |  | $ | — |
Variable interest entities assets: Derivative and other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |
Currency swaps | 36 |  |  | — |  |  | 36 |  |  | 36 |  |  | — |  |  | $ | 49 |  |  | $ | — |  |  | $ | 49 |  |  | $ | — |  |  | $ | 49 |
Total VIE derivative assets | $ | 226 |  |  | $ | — |  |  | $ | 226 |  |  | $ | 226 |  |  | $ | — |  |  | $ | 239 |  |  | $ | — |  |  | $ | 239 |  |  | $ | — |  |  | $ | 239 |
Variable interest entities liabilities: Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |
Total VIE derivative liabilities | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |
Amounts representing the right to reclaim cash collateral or the obligation to return cash collateral are not offset against fair value amounts recognized for derivative instruments on the Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $23 and $6 as of December 31, 2023 and 2022, respectively. Amounts representing an obligation to return cash collateral were $235 and $0 as of December 31, 2023 and 2022, respectively and are reported in "Variable interest entity liabilities: Other liabilities". The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income (Loss) for the years ended December 31, 2023, 2022 and 2021:
| Location of Gain (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss) |  | Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) – Year Ended December 31,
|  | 2023 |  | 2022 |  | 2021
Non-VIE derivatives: |  |  |  |  |  |  |
Interest rate swaps | Net gains (losses) on derivative contracts |  | (1) |  |  | 65 |  |  | 13 |
Warrants | Net gains (losses) on derivative contracts |  | — |  |  | 1 |  |  | — |
Futures contracts | Net gains (losses) on derivative contracts |  | — |  |  | 62 |  |  | 9 |
Total Non-VIE derivatives |  |  |  |  | (1) |  |  | 129 |  |  | 22 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Currency swaps | Income (loss) on variable interest entities |  | (1) |  |  | 24 |  |  | 2 |
Interest rate swaps | Income (loss) on variable interest entities |  | (62) |  |  | 541 |  |  | (152) |
Total Variable Interest Entities |  |  |  |  | (63) |  |  | 565 |  |  | (150) |
Total derivative contracts |  |  |  |  | $ | (64) |  |  | $ | 694 |  |  | $ | (128) |
Interest Rate Derivatives AFS provided interest rate derivatives to financial guarantee customers and used derivatives to provide a partial hedge against interest rate risk in AAC's insurance and investment portfolios. Since June 30, 2023, AFS's only remaining derivative positions include a limited number of legacy customer swaps and their associated hedges. As of December 31, 2023 and 2022, the notional amounts of AFS's derivatives are as follows:
| Notional - December 31,
Type of Derivative | 2023 |  | 2022
Interest rate swaps—pay-fixed/receive-variable | $ | 141 |  |  | $ | 989 |
Interest rate swaps—receive-fixed/pay-variable | 167 |  |  | 337 |
Warrants: At December 31, 2023 and 2022, Ambac holds warrants to purchase preferred stock of a development stage company. Derivatives of Consolidated Variable Interest Entities Certain VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts to meet specified purposes within the securitization structure. The notional for VIE derivatives outstanding as of December 31, 2023 and 2022, were as follows:
| Notional - December 31,
Type of VIE Derivative | 2023 |  | 2022
Interest rate swaps—receive-fixed/pay-variable | $ | 1,662 |  |  | $ | 1,573 |
Interest rate swaps—pay-fixed/receive-variable | 864 |  |  | 887 |
Currency swaps | 149 |  |  | 176 |
Contingent Features in Derivatives Related to Ambac Credit Risk Certain interest rate swaps remain with professional swap-dealer counterparties executed under standardized derivative documents including collateral support and master netting agreements. Under these agreements, Ambac is required to post collateral in the event net unrealized losses exceed predetermined threshold levels. Additionally, given that AAC is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions. As of December 31, 2023 and 2022, the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $35 and $38, respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $50 and $54, respectively. All such ratings-based contingent features have been triggered requiring maximum collateral levels to be posted by Ambac while preserving counterparties’ rights to terminate the contracts. Assuming all such contracts terminated at fair value on December 31, 2023, settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac’s financial statements.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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