XML 83 R65.htm IDEA: XBRL DOCUMENT v3.20.4
Investments (Tables)
 12 Months Ended
Dec. 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 December 31, 2020 and 2019 were as follows:
Amortized
Cost		Allowance for Credit LossesGross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated
Fair Value
December 31, 2020
Fixed maturity securities:
Municipal obligations$321 $— $37 $— $358 
Corporate obligations (1)
1,059 — 24 6 1,077 
Foreign obligations97 — 1 — 98 
U.S. government obligations105 — 2 1 106 
Residential mortgage-backed securities256 — 46 — 302 
Collateralized debt obligations74 — — — 74 
Other asset-backed securities (2)
263 — 40 — 303 
2,175 — 149 8 2,317 
Short-term492 — — — 492 
2,667 — 149 8 2,809 
Fixed maturity securities pledged as collateral:
U.S. government obligations15 — — — 15 
Short-term125 — — — 125 
140 — — — 140 
Total available-for-sale investments$2,807 $— $149 $8 $2,949 

Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated
Fair Value
Non-credit
Other-than
temporary
Impairments (3)
December 31, 2019
Fixed maturity securities:
Municipal obligations$194 $22 $— $215 $— 
Corporate obligations (1)
1,396 36 2 1,430 — 
Foreign obligations44 1 — 44 — 
U.S. government obligations157 2 2 156 — 
Residential mortgage-backed securities200 47 — 248 — 
Commercial mortgage-backed securities49 1 — 50 — 
Collateralized debt obligations147 — 1 146 — 
Other asset-backed securities (2)
263 24 — 287 — 
2,450 132 5 2,577 — 
Short-term653 — — 653 — 
3,103 132 5 3,230 — 
Fixed maturity securities pledged as collateral:
Short-term85 — — 85 — 
85 — — 85 — 
Total available-for-sale investments3,187 132 5 3,314 — 
(1)Includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions.
(2)Consists primarily of Ambac's holdings of the military housing securitization bonds.
(3)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 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 December 31, 2020, by contractual maturity, were as follows:
Amortized
Cost		Estimated
Fair Value
Due in one year or less$718 $719 
Due after one year through five years873 880 
Due after five years through ten years439 459 
Due after ten years184 213 
2,214 2,271 
Residential mortgage-backed securities256 302 
Collateralized debt obligations74 74 
Other asset-backed securities263 303 
Total$2,807 $2,949 
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 December 31, 2020, did not have an allowance for credit losses under the CECL standard and at December 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 December 31, 2020 and 2019:
Less Than 12 Months12 Months or MoreTotal
Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
December 31, 2020
Fixed maturity securities:
Municipal obligations$25 $— $6 $— $31 $— 
Corporate obligations543 6 — — 543 6 
Foreign obligations3 — — — 3 — 
U.S. government obligations17 1 — — 17 1 
Residential mortgage-backed securities14 — — — 14 — 
Commercial mortgage-backed securities— — — — — — 
Collateralized debt obligations27 — 15 — 42 — 
Other asset-backed securities— — 4 — 4 — 
629 7 25 — 654 8 
Short-term187 — — — 187 — 
Total temporarily impaired securities$816 $7 $25 $— $841 $8 
December 31, 2019
Fixed maturity securities:
Municipal obligations$13 $— $10 $— $23 $— 
Corporate obligations63 2 5 — 68 2 
Foreign obligations20 — — — 20 — 
U.S. government obligations36 2 2 — 38 2 
Residential mortgage-backed securities5 — — — 5 — 
Commercial mortgage-backed securities7 — — — 7 — 
Collateralized debt obligations53 — 63 1 116 1 
Other asset-backed securities2 — 7 — 10 — 
200 4 88 1 288 5 
Short-term201 — — — 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:
Year Ended
December 31,
202020192018
Gross realized gains on securities$38 $64 $111 
Gross realized losses on securities(12)(5)(7)
Foreign exchange (losses) gains(4)22 7 
Credit impairments$— $— $— 
Intent / requirement to sell impairments$— $— $(3)
Net realized gains (losses) $22 $81 $108 
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
Year Ended December 31,20192018
Balance, beginning of period
12 67 
Additions for credit impairments recognized on:
Securities not previously impaired— 1 
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period(1)(56)
Balance, end of period
12 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 and weighted-average underlying rating of insured securities in Ambac's investment portfolio at December 31, 2020 and 2019, respectively: 
Municipal
Obligations
Corporate
Obligations (2)
Mortgage
and Asset-
backed
Securities		Total
Weighted
Average
Underlying
Rating (1)
December 31, 2020:
Ambac Assurance Corporation$320 $465 $481 $1,266 CCC+
National Public Finance Guarantee Corporation6 — — 6 BBB-
Assured Guaranty Municipal Corporation1 — — 1 C
Total$327 $465 $481 $1,273 CCC+
December 31, 2019:
Ambac Assurance Corporation$176 $535 $442 $1,153 B-
National Public Finance Guarantee Corporation11 — — 11 BBB-
Total$186 $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 AAC.
Summary of Net Investment Income
Net investment income was comprised of the following for the affected periods:
Year Ended
December 31,
202020192018
Fixed maturity securities$103 $183 $265 
Short-term investments5 17 11 
Loans1 1 1 
Investment expense(6)(6)(7)
Securities available-for-sale and short-term103 196 271 
Other investments19 32 2 
Total net investment income (loss)$122 $227 $273 
Net investment income from Other investments primarily represents changes in fair value on securities classified as trading or accounted for 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:
Year Ended
December 31,
202020192018
Net gains (losses) recognized during the period on trading securities
$— $24 $(3)
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period
(18)7 1 
Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date
$18 $17 $(4)