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Financial Guarantee Insurance Contracts (Tables)
 3 Months Ended
Mar. 31, 2020
Insurance [Line Items]  
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block] Below are the components of the loss reserves liability and the Subrogation recoverable asset at March 31, 2020 and December 31, 2019:
 
 
March 31, 2020:
 
December 31, 2019:
 
 
Present Value of Expected
Net Cash Flows
 
Unearned
Premium
Revenue
 
Gross Loss and
Loss Expense
Reserves
 
Present Value of Expected
Net Cash Flows
 
Unearned
Premium
Revenue
 
Gross Loss and
Loss Expense
Reserves
Balance Sheet Line Item
 
Claims and
Loss Expenses
 
Recoveries
 
 
 
Claims and
Loss Expenses
 
Recoveries
 
 
Loss and loss expense reserves
 
$
2,112

 
$
(245
)
 
$
(70
)
 
$
1,797

 
$
1,835

 
$
(233
)
 
$
(54
)
 
$
1,548

Subrogation recoverable
 
135

 
(2,327
)
 
—

 
(2,192
)
 
131

 
(2,160
)
 
—

 
(2,029
)
Totals
 
$
2,247

 
$
(2,572
)
 
$
(70
)
 
$
(395
)
 
$
1,966

 
$
(2,394
)
 
$
(54
)
 
$
(482
)
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts)
Below is the gross premium receivable roll-forward for the respective periods, net of allowance for credit losses:
 
 
Three Months Ended March 31,
 
 
2020
 
2019
Beginning premium receivable
 
$
416

 
$
495

Adjustment to initially apply ASU 2016-13
 
(3
)
 
—

Premium receipts
 
(12
)
 
(13
)
Adjustments for changes in expected and contractual cash flows (1)
 
10

 
—

Accretion of premium receivable discount
 
2

 
3

Changes to allowance for credit losses
 
(2
)
 
—

Other adjustments (including foreign exchange)
 
(8
)
 
2

Ending premium receivable (2)
 
$
403

 
$
487


(1)
Adjustments for changes in expected and contractual cash flows primarily due to changes in indexation rates on certain UK transactions partially offset by reductions in insured exposure as a result of early policy terminations and unscheduled principal paydowns.
(2)
Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At March 31, 2020 and 2019, premium receivables include British Pounds of $128 (£103) and $142 (£109), respectively, and Euros of $24 (€22) and $30 (€27), respectively.
Effect of Reinsurance on Premiums Written and Earned
The effect of reinsurance on premiums written and earned for the respective periods was as follows:
 
Three Months Ended March 31,
 
2020
 
2019
 
Written
 
Earned
 
Written
 
Earned
Direct
$
11

 
$
13

 
$
3

 
$
29

Assumed
—

 
1

 
—

 
—

Ceded
(1
)
 
3

 
(1
)
 
2

Net premiums
$
12

 
$
10

 
$
4

 
$
28
Schedule of Revenue from External Customers Attributed to Foreign Countries by Geographic Area [Table Text Block]
The following table summarizes net premiums earned by location of risk for the respective periods:
 
Three Months Ended March 31,
 
2020
 
2019
United States
$
7

 
$
28

United Kingdom
4

 
4

Other international
—

 
(5
)
Total
$
10

 
$
28
Summarized Future Gross Undiscounted Premiums Expected to be Collected and Future Expected Premiums Earned, Net of Reinsurance
The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at March 31, 2020:
 
Future Premiums
to be
Collected (1)
 
Future
Premiums to
be Earned Net of
Reinsurance (2)
Three months ended:
 
 
 
June 30, 2020
$
12

 
$
10

September 30, 2020
10

 
10

December 31, 2020
10

 
10

Twelve months ended:
 
 
 
December 31, 2021
37

 
36

December 31, 2022
35

 
34

December 31, 2023
34

 
32

December 31, 2024
32

 
30

Five years ended:
 
 
 
December 31, 2029
142

 
125

December 31, 2034
104

 
83

December 31, 2039
52

 
38

December 31, 2044
23

 
14

December 31, 2049
9

 
5

December 31, 2054
1

 
1

Total
$
501

 
$
428

(1)
Future premiums to be collected are undiscounted, gross of allowance for credit losses, and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet.
(2)
Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable, as further described in Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2019. This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing
Premium Receivable, Allowance for Credit Loss [Table Text Block]
Below is a rollforward of the premium receivable allowance for credit losses as of March 31, 2020:
Beginning balance (1)
 
$
9

Current period provision (2)
 
5

Write-offs of the allowance
 
—

Recoveries of previously written-off amounts
 
—

Ending balance
 
$
14

(1)
At December 31, 2019, $9 of premiums receivable were deemed uncollectible as determined under prior GAAP rules.
(2)
Includes $3from the adoption of ASU 2016-13 on January 1, 2020.
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance
Below is the loss reserves roll-forward, net of subrogation recoverable and reinsurance, for the affected periods:
 
Three Months Ended March 31,
 
2020
 
2019
Beginning gross loss and loss expense reserves
$
(482
)
 
$
(107
)
Reinsurance recoverable
26

 
23

Beginning balance of net loss and loss expense reserves
(508
)
 
(130
)
Losses and loss expenses (benefit):
 
 
 
Current year
27

 
1

Prior years
90

 
12

Total (1) (2)
117

 
12

Loss and loss expenses paid (recovered):
 
 
 
Current year
—

 
—

Prior years
39

 
64

Total
39

 
64

Foreign exchange effect
—

 
6

Ending net loss and loss expense reserves
(430
)
 
(176
)
Impact of VIE consolidation
—

 
(72
)
Reinsurance recoverable (3)
35

 
26

Ending gross loss and loss expense reserves
$
(395
)
 
$
(222
)

(1)
Total losses and loss expenses (benefit) includes $(10) and $(5) for the three months ended March 31, 2020 and 2019, respectively, related to ceded reinsurance.
(2)
Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties ("R&W"s) by transaction sponsors within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated R&Ws for the three months ended March 31, 2020 and 2019 was $(36) and $4, respectively.
(3)
Represents reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line "Reinsurance recoverable on paid and unpaid losses" includes reinsurance recoverables (payables) of $1 and $1 as of March 31, 2020 and 2019, respectively, related to previously presented loss and loss expenses and subrogation.
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable
The tables below summarize information related to policies currently included in Ambac’s loss reserves or subrogation recoverable at March 31, 2020 and December 31, 2019. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at March 31, 2020 and December 31, 2019 was 0.9% and 2.1%, respectively.
Surveillance Categories as of March 31, 2020
 
I
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
33

 
22

 
14

 
16

 
136

 
3

 
224

Remaining weighted-average contract period (in years) (1)
24

 
21

 
9

 
17

 
15

 
2

 
15

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
727

 
$
483

 
$
607

 
$
1,524

 
$
3,667

 
$
37

 
$
7,046

Interest
394

 
507

 
512

 
326

 
1,608

 
11

 
3,358

Total
$
1,121

 
$
991

 
$
1,119

 
$
1,850

 
$
5,275

 
$
48

 
$
10,404

Gross undiscounted claim liability
$
18

 
$
44

 
$
41

 
$
521

 
$
1,778

 
$
48

 
$
2,450

Discount, gross claim liability
(1
)
 
(2
)
 
(1
)
 
(71
)
 
(184
)
 
—

 
(259
)
Gross claim liability before all subrogation and before reinsurance
17

 
42

 
41

 
450

 
1,594

 
47

 
2,191

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(1,771
)
 
—

 
(1,771
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
7

 
—

 
7

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(1,764
)
 
—

 
(1,764
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
—

 
(39
)
 
(777
)
 
(13
)
 
(829
)
Discount, other subrogation
—

 
—

 
—

 
1

 
18

 
1

 
21

Discounted other subrogation, before reinsurance
—

 
—

 
—

 
(38
)
 
(759
)
 
(11
)
 
(809
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
17

 
42

 
41

 
412

 
(929
)
 
36

 
(381
)
Less: Unearned premium revenue
(2
)
 
(9
)
 
(5
)
 
(19
)
 
(34
)
 
—

 
(70
)
Plus: Loss expense reserves
—

 
1

 
1

 
4

 
50

 
—

 
55

Gross loss and loss expense reserves
$
15

 
$
34

 
$
36

 
$
397

 
$
(914
)
 
$
36

 
$
(395
)
Reinsurance recoverable reported on Balance Sheet (4)
$
—

 
$
6

 
$
9

 
$
27

 
$
(7
)
 
$
—

 
$
36

 
(1)
Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.
(2)
RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches.
(3)
Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $35 related to future loss and loss expenses and $1 related to presented loss and loss expenses and subrogation.
Surveillance Categories as of December 31, 2019
 
I
 
IA
 
II
 
III
 
IV
 
V
 
Total
Number of policies
34

 
18

 
11

 
16

 
139

 
3

 
221

Remaining weighted-average contract period (in years) (1)
8

 
21

 
9

 
17

 
14

 
3

 
15

Gross insured contractual payments outstanding:
 
 
 
 
 
 
 
 
 
 
 
 
 
Principal
$
668

 
$
510

 
$
277

 
$
857

 
$
3,819

 
$
37

 
$
6,168

Interest
340

 
507

 
128

 
366

 
1,678

 
11

 
3,029

Total
$
1,007

 
$
1,016

 
$
404

 
$
1,223

 
$
5,498

 
$
48

 
$
9,197

Gross undiscounted claim liability
$
2

 
$
44

 
$
21

 
$
541

 
$
1,778

 
$
48

 
$
2,434

Discount, gross claim liability
—

 
(5
)
 
(1
)
 
(152
)
 
(381
)
 
(2
)
 
(541
)
Gross claim liability before all subrogation and before reinsurance
2

 
39

 
20

 
389

 
1,397

 
46

 
1,893

Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross RMBS subrogation (2)
—

 
—

 
—

 
—

 
(1,777
)
 
—

 
(1,777
)
Discount, RMBS subrogation
—

 
—

 
—

 
—

 
49

 
—

 
49

Discounted RMBS subrogation, before reinsurance
—

 
—

 
—

 
—

 
(1,727
)
 
—

 
(1,727
)
Less:
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross other subrogation (3)
—

 
—

 
—

 
(41
)
 
(666
)
 
(13
)
 
(720
)
Discount, other subrogation
—

 
—

 
—

 
4

 
47

 
3

 
53

Discounted other subrogation, before reinsurance
—

 
—

 
—

 
(37
)
 
(620
)
 
(10
)
 
(666
)
Gross claim liability, net of all subrogation and discounts, before reinsurance
2

 
39

 
20

 
353

 
(950
)
 
36

 
(501
)
Less: Unearned premium revenue
(1
)
 
(9
)
 
(1
)
 
(7
)
 
(35
)
 
—

 
(54
)
Plus: Loss expense reserves
1

 
1

 
1

 
4

 
67

 
—

 
73

Gross loss and loss expense reserves
$
1

 
$
30

 
$
20

 
$
349

 
$
(918
)
 
$
36

 
$
(482
)
Reinsurance recoverable reported on Balance Sheet (4)
$
—

 
$
6

 
$
7

 
$
24

 
$
(10
)
 
$
—

 
$
26

(1)
Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.
(2)
RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches.
(3)
Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(4)
Reinsurance recoverable reported on Balance Sheet includes reinsurance recoverables of $26 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation.
Summary of Rollforward of RMBS Subrogation, by Estimation Approach
Below is the rollforward of R&W subrogation for the affected periods:
 
Three Months Ended March 31,
 
2020
 
2019
Discounted R&W subrogation (gross of reinsurance) at beginning of period
$
1,727

 
$
1,771

All other changes (1)
36

 
(43
)
Discounted R&W subrogation (gross of reinsurance) at end of period
$
1,764

 
$
1,727

(1)
All other changes which may impact RMBS R&W subrogation recoveries include changes in actual or projected collateral
performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries.
Insurance Intangible Asset [Member]  
Insurance [Line Items]  
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block]
The estimated future amortization expense for the net insurance intangible asset is as follows:
Amortization expense (1) (2)
 
 
2020 (nine months)
 
$
33

2021
 
39

2022
 
35

2023
 
32

2024
 
29

Thereafter
 
239

(1)  
The insurance intangible asset will be amortized using a level-yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts. Future amortization considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations. If those bonds types are retired early, amortization expense may differ in the period of call or refinancing.
(2) The weighted-average amortizations period is 7.6 years.