Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2019

Variable Interest Entity Not Primary Beneficiary Table [Line Items]

Schedule of Variable Interest Entities Assets and Liabilities [Table Text Block]

The following schedule details the components of Income (loss) on variable interest entities for the affected periods:



Year ended December 31,	2019			2018			2017
Net change in fair value of VIE assets and liabilities reported under the fair value option	$	13		$	3		$	20
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss)	—			(1		)	—
Net change in fair value of VIE assets and liabilities reported in earnings	14			2			20
Investment income on available-for-sale securities	10			—			—
Net realized investment gains (losses) on available-for-sale securities	13			—			—
Interest expense on long-term debt carried at par less unamortized cost	(11		)	—			—
Other expenses	(1		)	—			—
Gain (loss) from consolidating FG VIEs	15			—			—
Gain (loss) from de-consolidating FG VIEs	(2		)	2			—
Income (loss) on variable interest entities	$	38		$	3		$	20

Variable Interest Entity Not Primary Beneficiary Table [Table Text Block]

The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and derivative contracts by major underlying asset classes, as of December 31, 2019 and 2018:



	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss ⁽¹⁾		Insurance Assets ⁽²⁾		Insurance Liabilities ⁽³⁾		Net Derivative Assets (Liabilities) ⁽⁴⁾
December 31, 2019:
Global structured finance:
Mortgage-backed—residential	$	5,373	$	1,913	$	523	$	—
Other consumer asset-backed	1,373		31		216		—
Other commercial asset-backed	314		9		6		—
Other	1,107		7		18		8
Total global structured finance	8,165		1,961		762		8
Global public finance	23,341		287		321		—
Total	$	31,506	$	2,247	$	1,083	$	7

December 31, 2018:
Global structured finance:
Collateralized debt obligations	$	10	$	—	$	—	$	—
Mortgage-backed—residential	6,713		1,859		547		—
Other consumer asset-backed	1,701		15		238		—
Other commercial asset-backed	873		21		12		—
Other	2,123		53		301		7
Total global structured finance	11,420		1,949		1,098		7
Global public finance	24,146		309		335		(1		)
Total	$	35,566	$	2,258	$	1,434	$	6


(1)	Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts. Ambac’s maximum exposure to loss does not include the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests.


(2)	Insurance assets represent the amount included in “Premium receivables” and “Subrogation recoverable” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.


(3)	Insurance liabilities represent the amount included in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.


(4)	Net derivative assets (liabilities) represent the fair value recognized on credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets.

Components of VIE Gain (Loss) [Table Text Block]

The following table summarizes the carrying values of assets and liabilities, along with other supplemental information related to VIEs that are consolidated as a result of financial guarantees of Ambac UK and Ambac Assurance:



December 31,	2019						2018
ASSETS:	Ambac UK		Ambac Assurance		Total VIEs		Ambac UK		Ambac Assurance		Total VIEs
Fixed income securities, at fair value:
Corporate obligations, fair value option	$	2,957	$	—	$	2,957	$	2,737	$	—	$	2,737
Municipal obligations, available-for-sale⁽¹⁾	—		164		164		—		—		—
Total FG VIE fixed income securities, at fair value	2,957		164		3,121		2,737		—		2,737
Restricted cash	1		1		2		1		—		1
Loans, at fair value⁽²⁾	3,108		—		3,108		4,288		—		4,288
Derivative assets	52		—		52		66		—		66
Other assets	1		2		3		1		—		1
Total FG VIE assets	$	6,119	$	167	$	6,286	$	7,093	$	—	$	7,093
LIABILITIES:
Accrued interest payable	$	1	$	—	$	1	$	1	$	—	$	1
Long-term debt:
Long-term debt, at fair value ⁽³⁾	4,351		—		4,351		5,269		—		5,269
Long-term debt, at par less unamortized discount	—		203		203		—		—		—
Total long-term debt	4,351		203		4,554		5,269		—		5,269
Derivative liabilities	1,657		—		1,657		1,712		—		1,712
Total FG VIE liabilities	$	6,009	$	203	$	6,212	$	6,981	$	—	$	6,981
Number of FG VIEs consolidated	6		1		7		7		—		7


(1)	Available-for-sale securities consist of municipal obligations with an amortized cost basis of $139 and aggregate gross unrealized gains and (losses) of $25 at December 31, 2019. All such securities had contractual maturities due after ten years as of December 31, 2019.


(2)	The unpaid principal balances of loan assets carried at fair value were $2,618 as of December 31, 2019 and $3,418 as of December 31, 2018.

(3)

The unpaid principal balances of long-term debt carried at fair value were $3,800 as of December 31, 2019 and $4,553 as of December 31, 2018.