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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2024
Summary of Gross Fair Values of Individual 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 September 30, 2024 and December 31, 2023:
| September 30, 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 | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | 25 |  |  | $ | — |  |  | $ | 25 |  |  | $ | — |  |  | $ | 25 |
Warrants | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |
FX forwards | 6 |  |  | — |  |  | 6 |  |  | — |  |  | 6 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total non-VIE derivative assets | $ | 33 |  |  | $ | — |  |  | $ | 33 |  |  | $ | — |  |  | $ | 33 |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |
Total non-VIE derivative liabilities | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | 35 |  |  | $ | 35 |  |  | $ | — |
Variable interest entities assets: Derivative and other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 189 |  |  | $ | — |  |  | $ | 189 |  |  | $ | 189 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | 190 |  |  | $ | — |
Currency swaps | 26 |  |  | — |  |  | 26 |  |  | 26 |  |  | — |  |  | 36 |  |  | — |  |  | 36 |  |  | 36 |  |  | — |
Total VIE derivative assets | $ | 216 |  |  | $ | — |  |  | $ | 216 |  |  | $ | 216 |  |  | $ | — |  |  | $ | 226 |  |  | $ | — |  |  | $ | 226 |  |  | $ | 226 |  |  | $ | — |
Variable Interest Entities Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 1,223 |  |  | $ | — |  |  | $ | 1,223 |  |  | $ | — |  |  | $ | 1,223 |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |
Total VIE derivative liabilities | $ | 1,223 |  |  | $ | — |  |  | $ | 1,223 |  |  | $ | — |  |  | $ | 1,223 |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | — |  |  | $ | 1,197 |
Summary of Location and Amount of Gains and Losses of Derivative Contracts | 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 and nine months ended September 30, 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 September 30, |  | Nine Months Ended September 30,
|  | 2024 |  | 2023 |  | 2024 |  | 2023
Non-VIE derivatives: |  |  |  |  |  |  |  |  |
Interest rate swaps | Net gains (losses) on derivative contracts |  | (1) |  |  | 4 |  |  | 1 |  |  | 2 |
Warrants | Net gains (losses) on derivative contracts |  | — |  |  | — |  |  | — |  |  | — |
FX forwards | Net gains (losses) on derivative contracts |  | 7 |  |  | — |  |  | 6 |  |  | — |
Total Non-VIE derivatives |  |  | $ | 5 |  |  | $ | 4 |  |  | 7 |  |  | 1 |
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Currency swaps | Income (loss) on variable interest entities |  | $ | (7) |  |  | $ | 7 |  |  | (5) |  |  | 4 |
Interest rate swaps | Income (loss) on variable interest entities |  | (15) |  |  | 26 |  |  | 42 |  |  | 24 |
Total Variable Interest Entities |  | (22) |  |  | 33 |  |  | 37 |  |  | 28 |
Total derivative contracts |  |  | $ | (17) |  |  | $ | 38 |  |  | $ | 44 |  |  | $ | 29 |
Schedule of Foreign Exchange Contracts, Statement of Financial Position | Ambac had no FX forward contacts as of December 31, 2023. Information about FX forward contracts as of September 30, 2024, is summarized below:
Derivative Type |  | Weighted Average Remaining Term (years) |  | Face Amount (Buy) |  | Face Amount (Sell) |  | Fair Value Asset (Liability)
FX Forwards-Buy GBP/Sell USD |  | 0.07 |  | 251 |  |  | 318 |  |  | 18 |
FX Forwards-Buy USD/Sell GBP |  | 0.01 |  | 298 |  |  | 232 |  |  | (12) |
FX Forwards-Buy GBP/Sell CAD |  | 0.20 |  | — |  | 1 |  | —
Summary of Notional Amounts of AFS's Trading Derivative Products | As of September 30, 2024 and December 31, 2023, the notional amounts of AFS’s derivatives are as follows:
|  | Notional
Type of Derivative |  | September 30, 2024 |  | December 31, 2023
Interest rate swaps—pay-fixed/receive-variable |  | $ | 137 |  |  | $ | 141 |
Interest rate swaps—receive-fixed/pay-variable |  | 153 |  |  | 167 |
Variable Interest Entity, Primary Beneficiary [Member] |
Summary of Notional Amounts of AFS's Trading Derivative Products | The notional amounts for VIE derivatives outstanding as of September 30, 2024 and December 31, 2023, were as follows:
|  | Notional
Type of VIE Derivative |  | September 30, 2024 |  | December 31, 2023
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,743 |  |  | $ | 1,662 |
Interest rate swaps—pay-fixed/receive-variable |  | 847 |  |  | 864 |
Currency swaps |  | 129 |  |  | 149 |

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