Special Purpose Entities, Including Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Net change in fair value of VIE assets and liabilities reported under the fair value option	$	1	$	2	$	1	$	1
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss)	(1)		—		(2)		1
Net change in fair value of VIE assets and liabilities reported in earnings under the fair value option	—		2		(1)		1
Investment income (loss)	(1)		2		(5)		3
Net realized investment gains (losses) on available-for-sale securities	—		—		1		1
Interest expense on long-term debt carried at par less unamortized cost	(5)		(1)		(7)		(3)
Gain (loss) from consolidating VIEs	—		—		28		—
Income (loss) on variable interest entities	$	(6)	$	2	$	15	$	2

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 June 30, 2022 and December 31, 2021:

	Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss (1)		Insurance Assets (2)		Insurance Liabilities (3)		Net Derivative Assets (Liabilities) (4)
June 30, 2022:
Global structured finance:
Mortgage-backed—residential	$	2,607	$	1,594	$	422	$	—
Other consumer asset-backed	706		14		232		—
Other	725		2		7		3
Total global structured finance	4,038		1,610		662		3
Global public finance	19,204		232		240		—
Total	$	23,242	$	1,842	$	902	$	3
December 31, 2021:
Global structured finance:
Mortgage-backed—residential	$	3,265	$	1,929	$	521	$	—
Other consumer asset-backed	788		17		234		—
Other	826		3		10		5
Total global structured finance	4,879		1,949		765		5
Global public finance	20,233		246		257		—
Total	$	25,112	$	2,195	$	1,023	$	5

(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 FG VIEs that are consolidated as a result of financial guarantees of Ambac UK and AAC:

	June 30, 2022						December 31, 2021
	Ambac UK		Ambac Assurance		Total VIEs		Ambac UK		Ambac Assurance		Total VIEs
ASSETS:
Fixed maturity securities, at fair value:
Corporate obligations, fair value option	$	2,533	$	—	$	2,533	$	3,320	$	—	$	3,320
Municipal obligations, available-for-sale (1)	—		109		109		—		136		136
Total FG VIE fixed maturity securities, at fair value	2,533		109		2,642		3,320		136		3,455
Restricted cash	1		1		2		1		1		2
Loans, at fair value (2)	2,144		—		2,144		2,718		—		2,718
Derivative assets	51		—		51		38		—		38
Other assets	—		2		2		—		2		2
Total FG VIE assets	$	4,728	$	113	$	4,841	$	6,077	$	139	$	6,216
LIABILITIES:
Long-term debt:
Long-term debt, at fair value (3)	$	3,184	$	—	$	3,184	$	4,056	$	—	$	4,056
Long-term debt, at par less unamortized discount	—		155		155		—		160		160
Total long-term debt	3,184		155		3,340		4,056		160		4,216
Derivative liabilities	1,476		—		1,476		1,940		—		1,940
Total FG VIE liabilities	$	4,661	$	156	$	4,816	$	5,996	$	160	$	6,156
Number of FG VIEs consolidated	5		3		8		5		1		6

(1)Available-for-sale FG VIE fixed maturity securities consist of municipal obligations with an amortized cost basis of $103 and $106, and aggregate gross unrealized gains of $6 and $29 at June 30, 2022 and December 31, 2021, respectively. All such securities had contractual maturities due after ten years as of June 30, 2022.

(2)The unpaid principal balances of loan assets carried at fair value were $2,072 as of June 30, 2022 and $2,363 as of December 31, 2021.

(3)The unpaid principal balances of long-term debt carried at fair value were $3,168 as of June 30, 2022 and $3,579 as of December 31, 2021.