XML 33 R14.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

Derivative Instruments | 3 Months Ended
--- | ---
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | 7. DERIVATIVE INSTRUMENTS The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of March 31, 2024 and December 31, 2023:
| March 31, 2024 |  | December 31, 2023
| 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 | $ | 21 |  |  | $ | — |  |  | $ | 21 |  |  | $ | — |  |  | $ | 21 |  |  | $ | 25 |  |  | $ | — |  |  | $ | 25 |  |  | $ | — |  |  | $ | 25 |
Warrants | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |
Total non-VIE derivative assets | $ | 21 |  |  | $ | — |  |  | $ | 21 |  |  | $ | — |  |  | $ | 21 |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 29 |  |  | $ | — |  |  | $ | 29 |  |  | $ | 28 |  |  | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |
Total non-VIE derivative liabilities | $ | 29 |  |  | $ | — |  |  | $ | 29 |  |  | $ | 28 |  |  | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |
Variable interest entities assets: Derivative and other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 186 |  |  | $ | — |  |  | $ | 186 |  |  | $ | 186 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | 190 |  |  | $ | — |
Currency swaps | 35 |  |  | — |  |  | 35 |  |  | 35 |  |  | — |  |  | 36 |  |  | — |  |  | 36 |  |  | 36 |  |  | — |
Total VIE derivative assets | $ | 221 |  |  | $ | — |  |  | $ | 221 |  |  | $ | 221 |  |  | $ | — |  |  | $ | 226 |  |  | $ | — |  |  | $ | 226 |  |  | $ | 226 |  |  | $ | — |
Variable Interest Entities Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 1,170 |  |  | $ | — |  |  | $ | 1,170 |  |  | $ | — |  |  | $ | 1,170 |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |
Total VIE derivative liabilities | $ | 1,170 |  |  | $ | — |  |  | $ | 1,170 |  |  | $ | — |  |  | $ | 1,170 |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |
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 Unaudited Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $18 and $23 as of March 31, 2024 and December 31, 2023, respectively. Amounts representing an obligation to return cash collateral were $239 and $235 as of March 31, 2024 and December 31, 2023, 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 Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three months ended March 31, 2024 and 2023:
| 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)
|  | Three Months Ended March 31, |  |
|  | 2024 |  | 2023 |  |  |  |
Non-VIE derivatives: |  |  |  |  |  |  |  |  |
Interest rate swaps | Net gains (losses) on derivative contracts |  | 2 |  |  | (3) |  |  |  |  |
Warrants | Net gains (losses) on derivative contracts |  | — |  |  | — |  |  |  |  |
Total Non-VIE derivatives |  |  | $ | 2 |  |  | $ | (4) |  |  |  |  |
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Currency swaps | Income (loss) on variable interest entities |  | $ | 2 |  |  | $ | (99) |  |  |  |  |
Interest rate swaps | Income (loss) on variable interest entities |  | 14 |  |  | (3) |  |  |  |  |
Total Variable Interest Entities |  | 16 |  |  | (102) |  |  |  |  |
Total derivative contracts |  |  | $ | 17 |  |  | $ | (105) |  |  |  |  |
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. Additionally, AFS provided interest rate swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. AFS's only remaining derivative positions include a limited number of legacy customer swaps and their associated hedges. As of March 31, 2024 and December 31, 2023, the notional amounts of AFS’s derivatives are as follows:
|  | Notional
Type of Derivative |  | March 31, 2024 |  | December 31, 2023
Interest rate swaps—pay-fixed/receive-variable |  | $ | 141 |  |  | $ | 141 |
Interest rate swaps—receive-fixed/pay-variable |  | 159 |  |  | 167 |
Other Derivatives: As of March 31, 2024 Ambac holds warrants to purchase preferred stock of development stage companies. 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 amounts for VIE derivatives outstanding as of March 31, 2024 and December 31, 2023, were as follows:
|  | Notional
Type of VIE Derivative |  | March 31, 2024 |  | December 31, 2023
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,645 |  |  | $ | 1,662 |
Interest rate swaps—pay-fixed/receive-variable |  | 837 |  |  | 864 |
Currency swaps |  | 143 |  |  | 149 |
Contingent Features in Derivatives Related to Ambac Credit Risk Certain of Ambac's 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 March 31, 2024 and December 31, 2023, the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $28 and $35, respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $44 and $50, 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 March 31, 2024, 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.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration