Special Purpose Entities, Including Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2020

Variable Interest Entity [Line Items]

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

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Net change in fair value of VIE assets and liabilities reported under the fair value option	$	(1)	$	2	$	(3)	$	7
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss)	—		—		(2)		—
Net change in fair value of VIE assets and liabilities reported in earnings	—		2		(5)		6
Investment income on available-for-sale securities	2		3		5		8
Net realized investment gains (losses) on available-for-sale securities	—		12		8		13
Interest expense on long-term debt carried at par less unamortized cost	(1)		(3)		(5)		(9)
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	$	—	$	11	$	3	$	30

Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities

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 September 30, 2020 and December 31, 2019:

	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss (1)		Insurance Assets (2)		Insurance Liabilities (3)		Net Derivative Assets (Liabilities) (4)
September 30, 2020:
Global structured finance:
Mortgage-backed—residential	$	4,535	$	2,063	$	604	$	—
Other consumer asset-backed	1,120		26		240		—
Other commercial asset-backed	52		3		1		—
Other	991		—		15		8
Total global structured finance	6,698		2,093		860		8
Global public finance	22,183		268		316		(1)
Total	$	28,881	$	2,361	$	1,177	$	7
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

(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.

Schedule of Variable Interest Entities Assets and Liabilities [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:

	September 30, 2020						December 31, 2019
	Ambac UK		Ambac Assurance		Total VIEs		Ambac UK		Ambac Assurance		Total VIEs
Fixed income securities, at fair value:
Corporate obligations, fair value option	$	3,029	$	—	$	3,029	$	2,957	$	—	$	2,957
Municipal obligations, available-for-sale (1)	—		131		131		—		164		164
Total FG VIE fixed income securities, at fair value	3,029		131		3,160		2,957		164		3,121
Restricted cash	1		1		2		1		1		2
Loans, at fair value (2)	2,783		—		2,783		3,108		—		3,108
Derivative assets	53		—		53		52		—		52
Other assets	—		1		1		1		2		3
Total FG VIE assets	$	5,865	$	133	$	5,998	$	6,119	$	167	$	6,286
Accrued interest payable	$	—	$	—	$	—	$	1	$	—	$	1
Long-term debt:
Long-term debt, at fair value (3)	4,002		—		4,002		4,351		—		4,351
Long-term debt, at par less unamortized discount	—		167		167		—		203		203
Total long-term debt	4,002		167		4,169		4,351		203		4,554
Derivative liabilities	1,771		—		1,771		1,657		—		1,657
Total FG VIE liabilities	$	5,773	$	167	$	5,940	$	6,009	$	203	$	6,212
Number of FG VIEs consolidated	5		1		6		6		1		7

(1)Available-for-sale FG VIE fixed income securities consist of municipal obligations with an amortized cost basis of $112 and $139, and aggregate gross unrealized gains of $19 and $25 at September 30, 2020 and December 31, 2019, respectively. All such securities had contractual maturities due after ten years as of September 30, 2020.

(2)The unpaid principal balances of loan assets carried at fair value were $2,450 as of September 30, 2020 and $2,618 as of December 31, 2019.

(3)The unpaid principal balances of long-term debt carried at fair value were $3,604 as of September 30, 2020 and $3,800 as of December 31, 2019.