Investments (Tables)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2020 and December 31, 2019 were as follows:

	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains in AOCI		Gross Unrealized Losses in AOCI		Estimated Fair Value
March 31, 2020:
Fixed income securities:
Municipal obligations	$	196	$	—	$	23	$	1	$	218
Corporate obligations (1)	1,284		—		18		42		1,261
Foreign obligations	41		—		1		—		42
U.S. government obligations	168		—		10		—		177
Residential mortgage-backed securities	207		—		14		19		203
Commercial mortgage-backed securities	51		—		1		1		51
Collateralized debt obligations	144		—		—		11		132
Other asset-backed securities	277		—		14		8		283
	2,367		—		81		81		2,367
Short-term	586		—		—		—		586
	2,953		—		81		81		2,952
Fixed income securities pledged as collateral:
Short-term	85		—		—		—		85
Total collateralized investments	85		—		—		—		85
Total available-for-sale investments	$	3,038	$	—	$	81	$	81	$	3,037

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Non-credit Other-than temporary Impairments (2)
December 31, 2019:
Fixed income securities:
Municipal obligations	$	194	$	22	$	—	$	215	$	—
Corporate obligations (1)	1,396		36		2		1,430		—
Foreign obligations	44		1		—		44		—
U.S. government obligations	157		2		2		156		—
Residential mortgage-backed securities	200		47		—		248		—
Commercial mortgage-backed securities	49		1		—		50		—
Collateralized debt obligations	147		—		1		146		—
Other asset-backed securities	263		24		—		287		—
	2,450		132		5		2,577		—
Short-term	653		—		—		653		—
	3,103		132		5		3,230		—
Fixed income securities pledged as collateral:
Short-term	85		—		—		85		—
Total collateralized investments	85		—		—		85		—
Total available-for-sale investments	$	3,187	$	132	$	5	$	3,314	$	—

(1) Includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions.

(2) At December 31, 2019, represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses at December 31, 2019.

Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2020, by contractual maturity, were as follows:

	Amortized Cost		Estimated Fair Value
Due in one year or less	$	683	$	683
Due after one year through five years	1,083		1,062
Due after five years through ten years	447		462
Due after ten years	145		161
	2,359		2,368
Residential mortgage-backed securities	207		203
Commercial mortgage-backed securities	51		51
Collateralized debt obligations	144		132
Other asset-backed securities	277		283
Total	$	3,038	$	3,037

Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments

The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, excluding VIE investments, which at March 31, 2020, did not have an allowance for credit losses under the new CECL standard and, at December 31, 2019 did not have other-than-temporary impairments recorded in earnings under prior GAAP. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at March 31, 2020 and December 31, 2019:

	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
March 31, 2020:
Fixed income securities:
Municipal obligations	$	15	$	1	$	8	$	—	$	23	$	1
Corporate obligations	769		42		—		—		769		42
Foreign obligations	1		—		—		—		1		—
U.S. government obligations	3		—		—		—		3		—
Residential mortgage-backed securities	125		19		—		—		125		19
Commercial mortgage-backed securities	24		1		—		—		24		1
Collateralized debt obligations	99		8		33		3		132		11
Other asset-backed securities	83		7		7		1		90		8
	1,119		77		48		4		1,167		81
Short-term	50		—		—		—		50		—
Total securities	$	1,169	$	77	$	48	$	4	$	1,217	$	81

	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
December 31, 2019:
Fixed income securities:
Municipal obligations	$	13	$	—	$	10	$	—	$	23	$	—
Corporate obligations	63		2		5		—		68		2
Foreign obligations	20		—		—		—		20		—
U.S. government obligations	36		2		2		—		38		2
Residential mortgage-backed securities	5		—		—		—		5		—
Commercial mortgage-backed securities	7		—		—		—		7		—
Collateralized debt obligations	53		—		63		1		116		1
Other asset-backed securities	2		—		7		—		10		—
	200		4		88		1		288		5
Short-term	201		—		—		—		201		—
Total securities	$	401	$	4	$	88	$	1	$	489	$	5

Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments

The following table details amounts included in net realized gains (losses) and impairments included in earnings for the affected periods:

	Three Months Ended March 31,
	2020		2019
Gross realized gains on securities	$	6	$	24
Gross realized losses on securities	—		(4		)
Net foreign exchange (losses) gains	2		(3		)
Credit impairments (1)	—		—
Intent / requirement to sell impairments (2)	—		—
Net realized gains (losses)	$	8	$	17

(1) Includes securities which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis.

(2)

Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income

The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income under prior GAAP for the period ended December 31, 2019:

Three Months Ended March 31, 2019
Balance, beginning of period	$	12
Additions for credit impairments recognized on:
Securities not previously impaired	—
Securities previously impaired	—
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period	—
Balance, end of period	$	12

Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities

The following table represents the fair value, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at March 31, 2020 and December 31, 2019, respectively: 

	Municipal Obligations		Corporate Obligations (2)		Mortgage and Asset- backed Securities		Total		Weighted Average Underlying Rating (1)
March 31, 2020:
Ambac Assurance Corporation	$	181	$	495	$	396	$	1,072	B
National Public Finance Guarantee Corporation	9		—		—		9		BBB-
Total	$	189	$	495	$	396	$	1,081	B
December 31, 2019:
Ambac Assurance Corporation	$	176	$	535	$	442	$	1,153	B-
National Public Finance Guarantee Corporation	11		—		—		11		BBB-
Total	$	187	$	535	$	442	$	1,164	B-

 

(1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used.

(2)

Represents Ambac's holdings of secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. These secured notes are insured by Ambac Assurance.

Equity Method Investments [Table Text Block]

unfunded commitments at March 31, 2020 of $76 to private credit, private equity and hedge funds.

	Fair Value
Class of Funds	March 31, 2020		December 31, 2019		Redemption Frequency	Redemption Notice Period
Real estate properties (1)	$	15	$	16	quarterly	10 business days
Hedge funds (2)	60		65		quarterly	90 days
High yields and leveraged loans (3) (10)	57		176		daily	0 - 30 days
Private credit (4)	47		51		quarterly	180 days if permitted
Insurance-linked investments (5)	3		3		fully redeemed	none
Equity market investments (6) (10)	58		55		daily	0 days
Investment grade floating rate income (7)	52		66		weekly	0 days
Private equity (8)	4		—		quarterly	90 days if permitted
Emerging markets debt (9) (10)	16		—		daily	0 days
Total equity investments in pooled funds	$	312	$	432

Summary of Net Investment Income

Net investment income (loss) was comprised of the following for the affected periods:

	Three Months Ended March 31,
	2020			2019
Fixed income securities	$	30		$	44
Short-term investments	2			4
Loans	—			—
Investment expense	(2		)	(1		)
Securities available-for-sale and short-term	31			47
Other investments	(52		)	8
Total net investment income (loss)	$	(21	)	$	55

Net investment income (loss) from Other investments primarily represents changes in fair value on securities classified as trading

or under the fair value option, income from investment limited partnerships accounted for under the equity method and the above noted equity interest in an unconsolidated trust accounted for under the equity method.

The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows:

	Three Months Ended March 31,
	2020			2019
Net gains (losses) recognized during the period on trading securities	$	(32	)	$	7
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period	(3		)	1
Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date	$	(29	)	$	6