Investments (Tables)

9 Months Ended

Sep. 30, 2024

Investments, Debt and Equity Securities [Abstract]

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, 2024, by contractual maturity, were as follows:

	Amortized Cost		Estimated Fair Value
Due in one year or less	$	441	$	439
Due after one year through five years	510		498
Due after five years through ten years	307		289
Due after ten years	177		176
	1,436		1,402
Residential mortgage-backed securities	255		281
Commercial mortgage-backed securities	24		24
Collateralized debt obligations	113		113
Other asset-backed securities	242		252
Total	$	2,069	$	2,073

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, 2024 and December 31, 2023, did not have an allowance for credit losses 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, 2024 and December 31, 2023:

	September 30, 2024												December 31, 2023
	Less Than 12 Months				12 Months or More				Total				Less Than 12 Months				12 Months or More				Total
	Fair  Value		Gross Unrealized Loss		Fair  Value		Gross Unrealized Loss		Fair  Value		Gross Unrealized Loss		Fair  Value		Gross Unrealized Loss		Fair  Value		Gross Unrealized Loss		Fair  Value		Gross Unrealized Loss
Fixed maturity securities:
Municipal obligations	$	3	$	—	$	15	$	1	$	18	$	1	$	7	$	—	$	16	$	1	$	23	$	1
Corporate obligations	118		3		448		30		566		34		75		2		509		43		584		44
Foreign obligations	16		—		52		6		68		6		8		—		56		6		64		6
U.S. government obligations	18		1		24		1		43		2		27		1		37		2		63		4
Residential mortgage-backed securities	7		—		102		4		109		5		6		—		98		14		104		14
Commercial mortgage-backed securities	4		—				—		4		—		3		—		—		—		3		—
Collateralized debt obligations	28		—		—		—		28		—		1		—		93		1		95		1
Other asset-backed securities	40		1		73		1		114		2		57		1		35		1		92		1
	234		6		714		43		949		49		184		4		844		68		1,028		71
Short-term	—		—		—		—		—		—		4		—		—		—		4		—
	235		6		714		43		949		49		187		4		844		68		1,032		71
U. S. government obligations	—		—		—		—		—		—		—		—		—		—		—		—
Total collateralized investments	—		—		—		—		—		—		—		—		—		—		—		—
Total temporarily impaired securities	$	235	$	6	$	714	$	43	$	949	$	49	$	187	$	4	$	844	$	68	$	1,032	$	71

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,
	2024		2023		2024		2023
Gross realized gains on securities	$	4	$	—	$	11	$	1
Gross realized losses on securities	(1)		(1)		(2)		(4)
Foreign exchange gains (losses)	(5)		2		(6)		(2)
Credit impairments	—		(1)		(1)		(2)
Intent / requirement to sell impairments	—		—		—		—
Net investment gains (losses), including impairments	$	(1)	$	1	$	3	$	(7)

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, 2024 and December 31, 2023,

respectively: 

	September 30, 2024		December 31, 2023
Municipal obligations	$	8	$	9
Mortgage-backed securities	258		240
Asset-backed securities	154		232
Total	$	421	482
Weighted average underlying rating	B-		B-

(1)Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used.

Equity Method Investments [Table Text Block]

In addition to these investments, Ambac has unfunded commitments of $26 to private credit and private equity funds at September 30, 2024.

	Fair Value
Class of Funds	September 30, 2024		December 31, 2023		Redemption Frequency	Redemption Notice Period
Hedge funds (1)	$	87	$	112	quarterly or semi-annually	90 days
Private credit (2)	84		84		quarterly if permitted	180 days if permitted
High yields and leveraged loans (3) (10)	134		85		daily	0 - 30 days
Equity market investments (4) (10)	67		38		daily	0 days
Investment grade floating rate income (5)	57		52		weekly	0 days
Private equity (6)	81		70		quarterly if permitted	90 days if permitted
Real estate properties (7)	—		21		see footnote (7)	see footnote (7)
Convertible bonds (8)(10)	26		—		daily	0 days
Insurance-linked investments (9)	—		1		see footnote (9)	see footnote (9)
Total equity investments in pooled funds	$	535	$	463

(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 consisted of UK property to generate income and capital growth. The fund in which Ambac was invested has terminated on May 30, 2024 and is in the process of distributing remaining capital. Amounts owed Ambac from the fund are included in Other assets on the Consolidated Balance Sheet as of September 30, 2024.

(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 was restricted in connection with the unwind of certain insurance linked exposures. Ambac's investment was fully redeemed by March 31, 2024.

(10)These categories include fair value amounts totaling $174 and $77 at September 30, 2024 and December 31, 2023, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments $67 and $38, High yield and leveraged loans products $82 and $39, and Convertible bonds investments $26 and $0.

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,
	2024		2023		2024		2023
Fixed maturity securities	$	22	$	20	$	67	$	55
Short-term investments	4		5		14		16
Investment expense	(1)		(1)		(4)		(4)
Securities available-for-sale and short-term	24		24		77		67
Fixed maturity securities - trading	—		—		4		5
Other investments	14		6		35		28
Total net investment income (loss)	$	38	$	30	$	116	$	100

Debt Securities, Available-for-Sale

The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at September 30, 2024 and December 31, 2023, were as follows:

	September 30, 2024:										December 31, 2023:
	Amortized Cost		Allowance for Credit Losses (2)		Gross Unrealized				Estimated Fair Value		Amortized Cost		Allowance for Credit Losses	Gross Unrealized				Estimated Fair Value
					Gains		Losses							Gains		Losses
Fixed maturity securities:
Municipal obligations	$	83	$	—	$	2	$	1	$	84	$	72	—	$	1	$	1	$	72
Corporate obligations	808		—		5		34		779		785		—	4		44		745
Foreign obligations	120		—		1		6		115		105		—	1		6		100
U.S. government obligations	92		—		1		2		91		85		—	1		4		82
Residential mortgage-backed securities	255		1		32		5		281		239		3	28		14		250
Commercial mortgage-backed securities	24		—		—		—		24		19		—	—		—		19
Collateralized debt obligations	113		—		1		—		113		139		—	1		1		139
Other asset-backed securities (1)	242		—		13		2		252		301		—	3		1		303
	1,737		1		54		49		1,740		1,744		3	40		71		1,710
Short-term	305		—		—		—		305		426		—	—		—		426
	2,042		1		54		49		2,046		2,170		3	40		71		2,135
Fixed maturity securities pledged as collateral:
U.S. government obligations	27		—		—		—		27		—		—	—		—		—
Short-term	—		—		—		—		—		27		—	—		—		27
	27		—		—		—		27		27		—	—		—		27
Total available-for-sale investments	$	2,069	$	1	$	54	$	49	$	2,073	$	2,197	3	$	40	$	71	$	2,162

(1)Consists primarily of military housing and student loan securities.

(2)For the three and nine months ended September 30, 2024, the allowance for credit losses changed by $— and $— respectively on residential mortgage-backed securities for which credit losses were not previously recorded.