XML 57 R34.htm IDEA: XBRL DOCUMENT v3.22.4
Investments (Tables)
 12 Months Ended
Dec. 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 December 31, 2022 and 2021 were as follows:
Amortized
Cost		Allowance for Credit LossesGross
Unrealized
Gains		Gross
Unrealized
Losses		Estimated
Fair Value
December 31, 2022
Fixed maturity securities:
Municipal obligations$44 $— $— $2 $43 
Corporate obligations
659 — 1 63 598 
Foreign obligations85 — — 9 76 
U.S. government obligations68 — — 4 65 
Residential mortgage-backed securities230 — 28 19 238 
Commercial mortgage-backed securities15 — — — 15 
Collateralized debt obligations141 — — 4 137 
Other asset-backed securities (1)
227 — 2 5 224 
1,469 — 31 106 1,395 
Short-term507 — — — 507 
1,977 — 31 106 1,902 
Fixed maturity securities pledged as collateral:
Short-term64 — — — 64 
64 — — — 64 
Total available-for-sale investments$2,041 $— $31 $106 $1,966 
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 investments2,140 $— $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 December 31, 2022, by contractual maturity, were as follows:
Amortized
Cost		Estimated
Fair Value
Due in one year or less$606 $605 
Due after one year through five years456 427 
Due after five years through ten years317 277 
Due after ten years51 43 
1,429 1,353 
Residential mortgage-backed securities230 238 
Commercial mortgage-backed securities15 15 
Collateralized debt obligations141 137 
Other asset-backed securities227 224 
Total$2,041 $1,966 
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 December 31, 2022, 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 December 31, 2022 and 2021:
Less Than 12 Months12 Months or MoreTotal
Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
December 31, 2022
Fixed maturity securities:
Municipal obligations$21 $1 $7 $1 $28 $2 
Corporate obligations280 21 279 42 559 63 
Foreign obligations27 2 47 7 73 9 
U.S. government obligations40 3 19 1 58 4 
Residential mortgage-backed securities132 19 — — 132 19 
Commercial mortgage-backed securities3 — — — 3 — 
Collateralized debt obligations90 3 36 1 126 4 
Other asset-backed securities198 4 5 1 203 5 
791 53 392 53 1,183 106 
Short-term78 — 8 — 86 — 
Total temporarily impaired securities$869 $53 $400 $53 $1,269 $106 
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:
Year Ended December 31,202220212020
Gross realized gains on securities$36 $14 $38 
Gross realized losses on securities(18)(2)(12)
Foreign exchange (losses) gains14 (5)(4)
Credit impairments— — — 
Intent / requirement to sell impairments— — — 
Net investment gains (losses), including impairments$31 $7 $22 
Summary of Net Investment Income
The portion of net unrealized gains (losses) related to securities classified as trading and equity securities, excluding those reported using the equity method, still held at the end of each period is as follows:
Year Ended December 31,202220212020
Net gains (losses) recognized during the period on trading securities$(48)$23 $— 
Less: net gains (losses) recognized during the reporting period on trading securities sold during the period(26)1 (18)
Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date$(22)$22 $18 
Investment In addition to these investments, Ambac has unfunded commitments of $53 to private credit and private equity funds at December 31, 2022.
Class of Funds
December 31,
20222021Redemption FrequencyRedemption Notice Period
Hedge funds (1)
$186 $216 quarterly or semi-annually90 days
Private credit (4)
84 88 quarterly if permitted180 days if permitted
High yield and leveraged loans (5)
80 78 daily0 - 30 days
Equity market investments (3) (11)
64 98 daily or quarterly0 - 90 days
Investment grade floating rate income (2)
63 107 weekly0 days
Private equity (6)
47 37 quarterly if permitted90 days if permitted
Real estate properties (7)
22 33 quarterly10 business days
Convertible bonds (10)(11)
8 — daily0 days
Emerging markets debt (8) (11)
— 24 daily0 days
Insurance-linked investments (9)
1 2 see footnote (9)see footnote (9)
Total equity investments in pooled funds$556 $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 of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes.
(3)    This class of funds aim to achieve long-term growth through diversified exposure to global equity markets.
(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 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.
(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 long-term income and growth through investments in the bonds of issuers in emerging markets.
(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 to generate total return from portfolios focused primarily on convertible securities
(11)    These categories include fair value amounts totaling $61 and $106 at December 31, 2022 and 2021, respectively, that are readily determinable and are priced through pricing vendors, for Equity market investments of $53 and $82; Convertible bonds investments $8 and $—; and for Emerging markets debt of $— and $24.