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Derivative Instruments
 6 Months Ended
Jun. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
7.    DERIVATIVE INSTRUMENTS
The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of June 30, 2022 and December 31, 2021:
Gross
Amounts of
Recognized
Assets /
Liabilities		Gross
Amounts
Offset in the
Consolidated
Balance Sheet		Net Amounts
of Assets/
Liabilities
Presented in the Consolidated
Balance Sheet		Gross Amount
of Collateral
Received /
Pledged Not
Offset in the
Consolidated
Balance Sheet		Net
Amount
June 30, 2022:
Derivative Assets:
Interest rate swaps$40 $1 $39 $— $39 
Warrants1 — 1 — 1 
Total non-VIE derivative assets$41 $1 $40 $— $40 
Derivative Liabilities:
Interest rate swaps59 1 58 54 4 
Futures contracts3 — 3 — 3 
Total non-VIE derivative liabilities$62 $1 $61 $54 $8 
Variable Interest Entities Derivative Assets:
Currency swaps$51 $— $51 $— $51 
Total VIE derivative assets$51 $— $51 $— $51 
Variable Interest Entities Derivative Liabilities:
Interest rate swaps$1,476 $— $1,476 $— $1,476 
Total VIE derivative liabilities$1,476 $— $1,476 $— $1,476 
December 31, 2021:
Derivative Assets:
Interest rate swaps$76 $— $76 $— $76 
Total non-VIE derivative assets$76 $— $76 $— $76 
Derivative Liabilities:
Credit derivatives$— $— $— $— $— 
Interest rate swaps94 — 94 93 1 
Futures contracts— — — — — 
Total non-VIE derivative liabilities$95 $— $95 $93 $2 
Variable Interest Entities Derivative Assets:
Currency swaps$38 $— $38 $— $38 
Total VIE derivative assets$38 $— $38 $— $38 
Variable Interest Entities Derivative Liabilities:
Interest rate swaps$1,940 $— $1,940 $— $1,940 
Total VIE derivative liabilities$1,940 $— $1,940 $— $1,940 
Amounts representing the right to reclaim cash collateral or the obligation to return cash collateral are not offset against fair value amounts recognized for derivative instruments on the Unaudited Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $13 and $13 as of June 30, 2022 and December 31, 2021, respectively. There were no amounts held representing an obligation to return cash collateral as of June 30, 2022 and December 31, 2021.
The following tables summarize the location and amount of gains and losses of derivative contracts in the Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three and six months ended June 30, 2022 and 2021:
Location of Gain (Loss)
Recognized in Consolidated
Statements of Total
Comprehensive Income (Loss)		Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
Three Months Ended June 30,Six Months Ended June 30,
2022202120222021
Non-VIE derivatives:
Credit derivativesNet gains (losses) on derivative contracts$1 $— $— $— 
Interest rate swapsNet gains (losses) on derivative contracts17 (7)47 10 
WarrantsNet gains (losses) on derivative contracts1 — 1 — 
Futures contractsNet gains (losses) on derivative contracts11 (5)37 4 
Total Non-VIE derivatives$29 $(11)86 14 
Variable Interest Entities:
Currency swapsIncome (loss) on variable interest entities$14 $(1)20 (3)
Interest rate swapsIncome (loss) on variable interest entities264 (60)269 37 
Total Variable Interest Entities278 (61)289 35 
Total derivative contracts$307 $(72)$376 $49 

Interest Rate Derivatives:
Ambac, through its subsidiary Ambac Financial Services (“AFS”), uses interest rate swaps, US Treasury futures contracts and other derivatives, to provide a partial economic hedge against the effects of rising interest rates elsewhere in the Legacy Financial Guarantee Insurance segment, including on Ambac’s financial guarantee exposures. Additionally, AFS provided interest rate swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. As of June 30, 2022 and December 31, 2021, the notional amounts of AFS’s derivatives are as follows:
Notional
Type of DerivativeJune 30,
2022		December 31,
2021
Interest rate swaps—pay-fixed/receive-variable$1,338 $1,275 
US Treasury futures contracts—short470 470 
Interest rate swaps—receive-fixed/pay-variable180 185 
Other Derivatives:
Credit derivatives were privately negotiated contracts that provided counterparties with credit protection against payment default relating to an underlying obligation. There were no remaining credit derivative contracts outstanding at June 30, 2022. The principal notional outstanding for credit derivative contracts was $0 and $201 as of June 30, 2022 and December 31, 2021, respectively.
As of June 30, 2022 Ambac holds warrants to purchase preferred stock of a development stage company.
Derivatives of Consolidated Variable Interest Entities
Certain VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts to meet specified purposes
within the securitization structure. The notional for VIE derivatives outstanding as of June 30, 2022 and December 31, 2021, were as follows:
Notional
Type of VIE DerivativeJune 30,
2022		December 31,
2021
Interest rate swaps—receive-fixed/pay-variable$1,099 $1,221 
Interest rate swaps—pay-fixed/receive-variable930 1,069 
Currency swaps230 272 
Contingent Features in Derivatives Related to Ambac Credit Risk
Ambac’s over-the-counter interest rate swaps are centrally cleared when eligible. Certain interest rate swaps remain with professional swap-dealer counterparties and direct customer counterparties. These non-cleared swaps are generally executed under standardized derivative documents including collateral support and master netting agreements. Under these agreements, Ambac is required to post collateral in the event net unrealized losses exceed predetermined threshold levels. Additionally, given that AAC is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions.
As of June 30, 2022 and December 31, 2021, the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $54 and $93, respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $65 and $109, respectively. All such ratings-based contingent features have been triggered requiring maximum collateral levels to be posted by Ambac while preserving counterparties’ rights to terminate the contracts. Assuming all such contracts terminated at fair value on June 30, 2022, settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in
accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac’s financial statements.