Investments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2022 and December 31, 2021, were as follows:

	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
June 30, 2022:
Fixed maturity securities:
Municipal obligations	$	55	$	—	$	4	$	1	$	58
Corporate obligations	695		—		1		52		644
Foreign obligations	86		—		—		5		81
U.S. government obligations	63		—		1		2		62
Residential mortgage-backed securities	176		—		27		5		197
Collateralized debt obligations	137		—		—		5		132
Other asset-backed securities (1)	230		—		6		1		236
	1,442		—		39		71		1,410
Short-term	452		—		—		—		452
	1,895		—		39		71		1,862
Fixed maturity securities pledged as collateral:
U.S. government obligations	15		—		—		—		15
Short-term	70		—		—		—		70
	85		—		—		—		85
Total available-for-sale investments	$	1,979	$	—	$	39	$	71	$	1,947

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 June 30, 2022, by contractual maturity, were as follows:

	Amortized Cost		Estimated Fair Value
Due in one year or less	$	558	$	558
Due after one year through five years	502		481
Due after five years through ten years	330		303
Due after ten years	45		40
	1,436		1,382
Residential mortgage-backed securities	176		197
Collateralized debt obligations	137		132
Other asset-backed securities	230		236
Total	$	1,979	$	1,947

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 June 30, 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 June 30, 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
June 30, 2022:
Fixed maturity securities:
Municipal obligations	$	17	$	1	$	1	$	—	$	18	$	1
Corporate obligations	489		33		117		19		606		52
Foreign obligations	38		2		42		3		80		5
U.S. government obligations	38		1		4		—		42		2
Residential mortgage-backed securities	100		5		1		—		101		5
Collateralized debt obligations	120		4		11		—		130		5
Other asset-backed securities	60		1		—		—		60		1
	861		48		177		23		1,037		71
Short-term	181		—		10		—		191		—
	1,041		48		186		23		1,228		71
Fixed income securities, pledged as collateral:
Short-term	15		—		—		—		15		—
Total collateralized investments	15		—		—		—		15		—
Total temporarily impaired securities	$	1,056	$	48	$	186	$	23	$	1,243	$	71

	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 June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Gross realized gains on securities	$	—	$	2	$	23	$	9
Gross realized losses on securities	(2)		(1)		(16)		(2)
Foreign exchange gains (losses)	8		(2)		11		(6)
Credit impairments	—		—		—		—
Intent / requirement to sell impairments	—		—		—		—
Net investment gains (losses), including impairments	$	7	$	(2)	$	17	$	1

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 June 30, 2022 and December 31, 2021, respectively: 

	Municipal Obligations		Corporate Obligations (2)		Mortgage and Asset- backed Securities		Total		Weighted Average Underlying Rating (1)
June 30, 2022:
Ambac Assurance Corporation	$	44	$	74	$	363	$	481	B
Assured Guaranty Municipal Corporation	1		—		—		1		A
Total	$	44	$	74	$	363	$	482	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.

(2)Represents Ambac's holdings of Sitka Senior Secured Notes.

Equity Method Investments [Table Text Block]

In addition to these investments, Ambac has unfunded commitments of $65 to private credit and private equity funds at June 30, 2022.

	Fair Value
Class of Funds	June 30, 2022		December 31, 2021		Redemption Frequency	Redemption Notice Period
Real estate properties (1)	$	39	$	33	quarterly	10 business days
Hedge funds (2)	188		216		quarterly or semi-annually	90 days
High yields and leveraged loans (3)	70		78		daily	0 - 30 days
Private credit (4)	86		88		quarterly if permitted	180 days if permitted
Insurance-linked investments (5)	1		2		see footnote (9)	see footnote (9)
Equity market investments (6) (11)	75		98		daily or quarterly	0 - 90 days
Investment grade floating rate income (7)	83		107		weekly	0 days
Private equity (8)	42		37		quarterly if permitted	90 days if permitted
Emerging markets debt (9) (11)	—		24		daily	0 days
Convertible bonds (10)	8		—		daily	0 days
Total equity investments in pooled funds	$	590	$	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)This class seeks to generate total returns from portfolios focused primarily on convertible securities.

(11)These categories include fair value amounts totaling $72 and $106 at June 30, 2022 and December 31, 2021, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments: $72 and $82; and for Emerging markets debt $0 and $24.