XML 43 R25.htm IDEA: XBRL DOCUMENT

Investments (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022 and December 31, 2021, were as follows:


	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
March 31, 2022:
Fixed maturity securities:
Municipal obligations	$	65	$	—	$	5	$	1	$	69
Corporate obligations	610		1		2		34		577
Foreign obligations	92		—		—		4		88
U.S. government obligations	53		—		—		2		51

Residential mortgage-backed securities	179		—		47		—		225

Collateralized debt obligations	121		—		—		1		120
Other asset-backed securities (1)	232		—		20		—		252
	1,352		1		73		42		1,383
Short-term	540		—		—		—		540
	1,892		1		73		42		1,922
Fixed maturity securities pledged as collateral:
U.S. government obligations	15		—		—		—		15
Short-term	99		—		—		—		99
	114		—		—		—		114
Total available-for-sale investments	$	2,006	$	1	$	73	$	43	$	2,036



December 31, 2021:
Fixed maturity securities:
Municipal obligations	$	315	$	—	$	28	$	3	$	340
Corporate obligations	612		—		10		9		613
Foreign obligations	89		—		—		2		87
U.S. government obligations	45		—		1		1		45

Residential mortgage-backed securities	182		—		70		—		252

Collateralized debt obligations	128		—		—		—		128
Other asset-backed securities (1)	234		—		32		—		265
	1,605		—		141		16		1,730
Short-term	415		—		—		—		414
	2,020		—		141		16		2,145
Fixed maturity securities pledged as collateral:
U.S. government obligations	15		—		—		—		15
Short-term	105		—		—		—		105
	120		—		—		—		120
Total available-for-sale investments	$	2,140	$	—	$	141	$	16	$	2,265

(1)Consists primarily of Ambac's holdings of military housing and student loan securities.

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, 2022, 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	431		416
Due after five years through ten years	317		300
Due after ten years	41		39
	1,472		1,438
Residential mortgage-backed securities	179		225

Collateralized debt obligations	121		120
Other asset-backed securities	232		252
Total	$	2,005	$	2,036

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, 2022 and December 31, 2021, did not have an allowance for credit losses under the CECL standard. 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, 2022 and December 31, 2021:


	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, 2022:
Fixed maturity securities:
Municipal obligations	$	19	$	1	$	1	$	—	$	19	$	1
Corporate obligations	349		21		117		13		466		34
Foreign obligations	36		1		51		3		87		4
U.S. government obligations	44		1		5		—		49		2

Residential mortgage-backed securities	16		—		1		—		17		—

Collateralized debt obligations	111		1		9		—		120		1
Other asset-backed securities	6		—		—		—		6		—
	580		26		184		16		764		42
Short-term	18		—		12		—		30		—
	598		26		196		17		794		42
Fixed income securities, pledged as collateral:
Short-term	15		—		—		—		15		—
Total collateralized investments	15		—		—		—		15		—
Total temporarily impaired securities	$	613	$	26	$	196	$	17	$	809	$	43


	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, 2021:
Fixed maturity securities:
Municipal obligations	$	117	$	3	$	2	$	—	$	118	$	3
Corporate obligations	363		8		17		1		380		9
Foreign obligations	75		2		3		—		78		2
U.S. government obligations	25		—		2		—		27		1

Residential mortgage-backed securities	—		—		1		—		2		—

Collateralized debt obligations	68		—		3		—		71		—
Other asset-backed securities	6		—		—		—		6		—
	654		14		28		1		682		16
Short-term	114		—		13		—		128		—
	768		14		41		1		810		16
Fixed income securities, pledged as collateral:
U. S. government obligations	15		—		—		—		15		—
Total collateralized investments	15		—		—		—		15		—
Total temporarily impaired securities	$	783	$	14	$	41	$	1	$	825	$	16

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

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


	Three Months Ended March 31,
	2022		2021
Gross realized gains on securities	$	23	$	7
Gross realized losses on securities	(15)		(1)
Foreign exchange gains (losses)	3		(4)
Credit impairments	(1)		—
Intent / requirement to sell impairments	—		—
Net investment gains (losses), including impairments	$	10	$	2

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 March 31, 2022 and December 31, 2021, respectively:


	Municipal Obligations		Mortgage and Asset- backed Securities		Total		Weighted Average Underlying Rating (1)
March 31, 2022:
Ambac Assurance Corporation	$	47	$	403	$	451	B

Assured Guaranty Municipal Corporation	1		—		1		A



Total	$	48	$	403	$	451	B

December 31, 2021:
Ambac Assurance Corporation	$	316	$	439	$	754	B
National Public Finance Guarantee Corporation	2		—		2		BBB-
Assured Guaranty Municipal Corporation	1		—		1		A-



Total	$	318	$	439	$	757	B

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

Equity Method Investments [Table Text Block]

In addition to these investments, Ambac has unfunded commitments of $70 to private credit and private equity funds at March 31, 2022.


	Fair Value
Class of Funds	March 31, 2022		December 31, 2021		Redemption Frequency	Redemption Notice Period
Real estate properties (1)	$	40	$	33	quarterly	10 business days
Hedge funds (2)	196		216		quarterly or semi-annually	90 days
High yields and leveraged loans (3)	88		78		daily	0 - 30 days
Private credit (4)	87		88		quarterly if permitted	180 days if permitted
Insurance-linked investments (5)	1		2		see footnote (9)	see footnote (9)
Equity market investments (6) (10)	91		98		daily or quarterly	0 - 90 days
Investment grade floating rate income (7)	90		107		weekly	0 days
Private equity (8)	41		37		quarterly if permitted	90 days if permitted
Emerging markets debt (9) (10)	17		24		daily	0 days
Total equity investments in pooled funds	$	652	$	683

(1)Investments consist of UK property to generate income and capital growth.

(2)This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies across a range of asset types.

(3)This class of funds includes investments in a range of instruments including high-yield bonds, leveraged loans, CLOs, ABS and floating rate notes to generate income and capital appreciation.

(4)This class aims to obtain high long-term returns primarily through credit and preferred equity investments with low liquidity and defined term.

(5)This class seeks to generate returns from insurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. This investment is restricted in connection with the unwind of certain insurance linked exposures. Ambac has redeemed its investment to the extent permitted by the fund.

(6)This class of funds aim to achieve long term growth through diversified exposure to global equity-markets.

(7)This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes.

(8)This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments.

(9)This class seeks long-term income and growth through investments in the bonds of issuers in emerging markets.

(10)These categories include fair value amounts totaling $92 and $106 at March 31, 2022 and December 31, 2021, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments: $75 and $82; and for Emerging markets debt $17 and $24.