XML 39 R25.htm IDEA: XBRL DOCUMENT v3.22.2.2
Investments (Tables)
 9 Months Ended
Sep. 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 September 30, 2022 and December 31, 2021, were as follows:
Amortized
Cost		Allowance for Credit LossesGross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated
Fair Value
September 30, 2022:
Fixed maturity securities:
Municipal obligations$55 $— $3 $2 $56 
Corporate obligations724 — 2 69 658 
Foreign obligations80 — — 11 69 
U.S. government obligations64 — 1 3 63 
Residential mortgage-backed securities174 — 23 17 180 
Collateralized debt obligations141 — — 6 135 
Other asset-backed securities (1)
229 — 4 8 224 
1,467 — 33 116 1,384 
Short-term523 — — — 523 
1,990 — 33 116 1,907 
Fixed maturity securities pledged as collateral:
U.S. government obligations15 — — — 15 
Short-term55 — — — 55 
70 — — — 69 
Total available-for-sale investments$2,060 $— $33 $116 $1,977 
December 31, 2021:
Fixed maturity securities:
Municipal obligations$315 $— $28 $3 $340 
Corporate obligations612 — 10 9 613 
Foreign obligations89 — — 2 87 
U.S. government obligations45 — 1 1 45 
Residential mortgage-backed securities182 — 70 — 252 
Collateralized debt obligations128 — — — 128 
Other asset-backed securities (1)
234 — 32 — 265 
1,605 — 141 16 1,730 
Short-term415 — — — 414 
2,020 — 141 16 2,145 
Fixed maturity securities pledged as collateral:
U.S. government obligations15 — — — 15 
Short-term105 — — — 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 September 30, 2022, by contractual maturity, were as follows:
Amortized
Cost		Estimated
Fair Value
Due in one year or less$622 $622 
Due after one year through five years537 506 
Due after five years through ten years309 268 
Due after ten years48 41 
1,516 1,437 
Residential mortgage-backed securities174 180 
Collateralized debt obligations141 135 
Other asset-backed securities229 224 
Total$2,060 $1,977 
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 September 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 September 30, 2022 and December 31, 2021:
Less Than 12 Months12 Months or MoreTotal
Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
September 30, 2022:
Fixed maturity securities:
Municipal obligations$15 $1 $5 $1 $20 $2 
Corporate obligations445 35 169 34 614 69 
Foreign obligations29 4 38 7 67 11 
U.S. government obligations35 2 11 1 47 3 
Residential mortgage-backed securities116 17 — — 116 17 
Collateralized debt obligations121 5 12 1 133 6 
Other asset-backed securities201 8 — — 201 8 
962 72 236 43 1,198 116 
Short-term77 — 8 — 85 — 
1,039 72 244 43 1,283 116 
Fixed income securities, pledged as collateral:
Short-term15 — — — 15 — 
Total collateralized investments15 — — — 15 — 
Total temporarily impaired securities$1,054 $72 $244 $43 $1,298 $116 
Less Than 12 Months12 Months or MoreTotal
Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
December 31, 2021:
Fixed maturity securities:
Municipal obligations$117 $3 $2 $— $118 $3 
Corporate obligations363 8 17 1 380 9 
Foreign obligations75 2 3 — 78 2 
U.S. government obligations25 — 2 — 27 1 
Residential mortgage-backed securities— — 1 — 2 — 
Collateralized debt obligations68 — 3 — 71 — 
Other asset-backed securities6 — — — 6 — 
654 14 28 1 682 16 
Short-term114 — 13 — 128 — 
768 14 41 1 810 16 
Fixed income securities, pledged as collateral:
U. S. government obligations15 — — — 15 — 
Total collateralized investments15 — — — 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 September 30,Nine Months Ended September 30,
2022202120222021
Gross realized gains on securities$6 $1 $29 $9 
Gross realized losses on securities(1)— (17)(2)
Foreign exchange gains (losses) 9 3 20 (3)
Credit impairments— — — — 
Intent / requirement to sell impairments— — — — 
Net investment gains (losses), including impairments$14 $3 $31 $4 
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 September 30, 2022 and December 31, 2021, respectively: 
Municipal
Obligations
Corporate
Obligations (2)
Mortgage
and Asset-
backed
Securities		Total
Weighted
Average
Underlying
Rating (1)
September 30, 2022:
Ambac Assurance Corporation$42 $87 $338 $468 B
Assured Guaranty Municipal Corporation1 — — 1 A
Total$43 $87 $338 $468 B
December 31, 2021:
Ambac Assurance Corporation$316 $— $439 $754 B
National Public Finance Guarantee Corporation2 — — 2 BBB-
Assured Guaranty Municipal Corporation1 — — 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 $60 to private credit and private equity funds at September 30, 2022.
Fair Value
Class of FundsSeptember 30,
2022		December 31, 2021Redemption FrequencyRedemption Notice Period
Hedge funds (1)
$186 $216 quarterly or semi-annually90 days
Private credit (2)
81 88 quarterly if permitted180 days if permitted
High yields and leveraged loans (3)
69 78 daily0 - 30 days
Equity market investments (4) (11)
67 98 daily or quarterly0 - 90 days
Investment grade floating rate income (5)
58 107 weekly0 days
Private equity (6)
43 37 quarterly if permitted90 days if permitted
Real estate properties (7)
34 33 quarterly10 business days
Convertible bonds (8)(11)
7 — daily0 days
Insurance-linked investments (9)
1 2 
see footnote (5)
see footnote (5)
Emerging markets debt (10) (11)
— 24 daily 0 days
Total equity investments in pooled funds$547 $683 

(1)This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies across a range of asset types.
(2)This class aims to obtain high long-term returns primarily through credit and preferred equity investments with low liquidity and defined term.
(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 of funds aim to achieve long term growth through diversified exposure to global equity-markets.
(5)This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes.
(6)This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments.
(7)Investments consist of UK property to generate income and capital growth.
(8)This class seeks to generate total returns from portfolios focused primarily on convertible securities.
(9)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.
(10)This class seeks long-term income and growth through investments in the bonds of issuers in emerging markets.
(11)These categories include fair value amounts totaling $64 and $106 at September 30, 2022 and December 31, 2021, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments $57 and $82; Convertible
bonds investments $7 and —; and for Emerging markets debt $0 and $24.
Summary of Net Investment Income
Net investment income (loss) was comprised of the following for the affected periods:
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
Fixed maturity securities$16 $16 $45 $63 
Short-term investments3 — 4 — 
Investment expense(2)(1)(4)(4)
Securities available-for-sale and short-term17 15 44 59 
Fixed maturity securities - trading(1)— (22)— 
Other investments(5)6 (28)53 
Total net investment income (loss)$11 $21 $(6)$112