XML 44 R29.htm IDEA: XBRL DOCUMENT v3.24.3
Insurance Contracts (Tables)
 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Insurance [Line Items]    
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block]
Ambac’s loss and loss expense reserves (“loss reserves”) are based on management’s on-going review of the insured portfolio. Below are the components of the loss and loss expense reserves and the subrogation recoverable asset at September 30, 2024 and December 31, 2023:
September 30, 2024December 31, 2023
Specialty Property and CasualtyLegacy Financial GuaranteeSpecialty Property and CasualtyLegacy Financial Guarantee
Present Value of Expected Net Cash FlowsPresent Value of Expected Net Cash Flows
Balance Sheet Line ItemGross Loss
and Loss
Expense
Reserves		Claims and
Loss Expenses		RecoveriesUnearned
Premium
Revenue		Gross Loss
and Loss
Expense
Reserves		Gross Loss
and Loss
Expense
Reserves		Claims and
Loss Expenses		RecoveriesUnearned
Premium
Revenue		Gross Loss
and Loss
Expense
Reserves
Loss and loss expense reserves$323 $693 $(63)$(15)$938 $197 $779 $(55)$(28)$893 
Subrogation recoverable— 8 (131)— (124)— 1 (139)— (137)
Totals$323 $700 $(195)$(15)$814 $197 $780 $(194)$(28)$756 
  
Premiums Receivable by Risk Classification Code [Table Text Block]
Below is the amortized cost basis of financial guarantee premium receivables by risk classification code and asset class as of September 30, 2024 and December 31, 2023:
Surveillance Categories as of September 30, 2024Surveillance Categories as of December 31, 2023
Type of Guaranteed BondIIAIIIIIIVTotalIIAIIIIIIVTotal
Public Finance:
Housing revenue$125 $3 $4 $— $— $132 $131 $3 $5 $— $— $139 
Other1 — — — — 1 1 — — — — 1 
Total Public Finance126 3 4 — — 133 133 3 5 — — 140 
Structured Finance:
Mortgage-backed and home equity— — — — 10 11 — — — — 11 12 
Student loan— — — 3 — 4 — — — 7 — 7 
Other3 — — — — 3 4 — — — — 4 
Total Structured Finance3 — — 3 11 17 4 — — 7 11 22 
International:
Sovereign/sub-sovereign52 8 — — — 60 51 13 — — — 64 
Investor-owned and public utilities17 — — — — 17 18 — — — — 18 
Other2 — — — — 2 3 — — — — 3 
Total International71 8 — — — 80 72 13 — — — 85 
Total (1) (2)
$201 $11 $5 $3 $11 $230 $210 $16 $5 $7 $11 $248 
(1)    Excludes specialty property and casualty premium receivables of $114 and $46 at September 30, 2024 and December 31, 2023, respectively.
(2)    The underwriting origination dates for all policies included are greater than five years prior to the current reporting date.
  
Premium Receivable, Allowance for Credit Loss [Table Text Block]
Below is the gross premium receivable roll-forward, net of the allowance for credit losses, for the affected periods:
Nine Months Ended September 30,20242023
Beginning premiums receivable290 269 
Premiums written on new business, net of commissions246 141 
Premium receipts(200)(146)
Adjustments for changes in expected and contractual cash flows for contracts (1)
(5)6 
Accretion of premium receivable discount for contracts6 6 
Changes in allowance for credit losses1 1 
Foreign exchange gains (losses)3 1 
Ending premium receivable (2)
342 278 
(1)Adjustments for changes in expected and contractual cash flows are primarily due to inflation indexation and reductions in insured exposure as a result of early policy terminations and unscheduled principal paydowns for financial guarantee policies.
(2)Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At September 30, 2024 and 2023, premium receivables include British Pounds of $67 (£50) and $71 (£58), respectively, and Euros of $12 (€11) and $13 (€13), respectively.
Below is a rollforward of the premium receivable allowance for credit losses as of September 30, 2024 and 2023:

Three Months Ended September 30,Nine Months Ended September 30,
2024202320242023
Beginning balance$3 $5 $4 $5 
Current period provision (benefit)— — (2)(1)
Write-offs of the allowance— — — — 
Recoveries of previously written-off amounts— — — — 
Ending balance (1)
$3 $4 $3 $4 
(1)At September 30, 2024 and 2023, $3 and $2 of premiums were past due.
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance
Below is the loss and loss reserve expense roll-forward, net of subrogation recoverable and reinsurance, for the affected periods:
Nine Months Ended September 30,20242023
Beginning gross loss and loss expense reserves$756 $534 
Reinsurance recoverable186 115 
Beginning balance of net loss and loss expense reserves570 419 
Losses and loss expenses (benefit):
Current year60 20 
Prior years(6)(71)
Total (1)
54 (51)
Loss and loss expenses paid (recovered):
Current year10 2 
Prior years68 (139)
Total78 (137)
Foreign exchange effect(1)— 
Ending net loss and loss expense reserves 545 506 
Reinsurance recoverable (2)
269 165 
Ending gross loss and loss expense reserves$814 $670 
(1)Total losses and loss expenses (benefit) includes $(74) and $(75) for the nine months ended September 30, 2024 and 2023, respectively, related to ceded reinsurance.
(2)Represents reinsurance recoverable on future loss and loss expenses. Additionally, the Balance Sheet line "Reinsurance recoverable on paid and unpaid losses" includes reinsurance recoverables (payables) of $42 and $7 as of September 30, 2024 and 2023, respectively, related to previously presented loss and loss expenses and subrogation.
  
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable
The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at September 30, 2024 and December 31, 2023, excluding consolidated VIEs. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at September 30, 2024 and December 31, 2023,was 3.8% and 4.6%, respectively.
Surveillance Categories as of September 30, 2024
IIAIIIIIIVVTotal
Number of policies25 6 13 11 99 4 158 
Remaining weighted-average contract period (in years) (1)
518121012811
Gross insured contractual payments outstanding:
Principal$428 $198 $437 $260 $1,390 $21 $2,736 
Interest68 180 252 91 545 16 1,152 
Total$497 $379 $689 $351 $1,935 $37 $3,887 
Gross undiscounted claim liability$1 $9 $39 $220 $797 $37 $1,103 
Discount, gross claim liability— (2)(6)(65)(324)(7)(404)
Gross claim liability before all subrogation and before reinsurance1 7 33 155 473 30 700 
Less:
Gross other subrogation (2)
(12)(3)(1)(32)(205)(11)(263)
Discount, other subrogation2 — — 3 60 3 69 
Discounted other subrogation, before reinsurance(10)(3)— (28)(145)(8)(195)
Gross claim liability, net of all subrogation and discounts, before reinsurance(9)4 33 127 329 22 505 
Less: Unearned premium revenue(1)(2)(4)2 (9)(1)(15)
Plus: Loss expense reserves— — — — — — 1 
Gross loss and loss expense reserves$(10)$2 $29 $128 $320 $21 $491 
Reinsurance recoverable reported on Balance Sheet (3)
$— $— $8 $13 $5 $— $27 
(1)Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.
(2)Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(3)Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $26 related to future loss and loss expenses and $1 related to presented loss and loss expenses and subrogation.
Surveillance Categories as of December 31, 2023
IIAIIIIIIVVTotal
Number of policies18 8 9 13 88 5 141 
Remaining weighted-average contract period (in years) (1)
99131312712
Gross insured contractual payments outstanding:
Principal$429 $1,084 $430 $394 $1,473 $27 $3,838 
Interest75 328 262 139 600 17 1,421 
Total$505 $1,412 $692 $534 $2,073 $44 $5,259 
Gross undiscounted claim liability$1 $19 $41 $324 $772 $44 $1,202 
Discount, gross claim liability— (2)(7)(86)(323)(8)(426)
Gross claim liability before all subrogation and before reinsurance1 17 34 239 450 36 777 
Less:
Gross other subrogation (2)
(13)(2)— (27)(208)(11)(263)
Discount, other subrogation2 — — 4 60 3 69 
Discounted other subrogation, before reinsurance(11)(2)— (23)(149)(8)(194)
Gross claim liability, net of all subrogation and discounts, before reinsurance(10)15 34 215 301 28 583 
Less: Unearned premium revenue— (12)(4)— (10)(1)(28)
Plus: Loss expense reserves— 3 — — 1 — 4 
Gross loss and loss expense reserves$(10)$6 $30 $215 $292 $27 $559 
Reinsurance recoverable reported on Balance Sheet (4)
$1 $— $8 $18 $3 $— $30 
(1)Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.
(2)Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.
(3)Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $30 related to future loss and loss expenses and $(1) related to presented loss and loss expenses and subrogation 		 
Summary of Rollforward of RMBS Subrogation, by Estimation Approach .  
Effects of Reinsurance
The effect of reinsurance on premiums written and earned was as follows:
Three Months Ended September 30,
20242023
WrittenEarnedWrittenEarned
Direct$91 $89 $65 $59 
Assumed22 17 14 3 
Ceded83 73 52 45 
Net premiums
$31 $33 $27 $18 
Nine Months Ended September 30,
20242023
WrittenEarnedWrittenEarned
Direct$265 $243 $181 $157 
Assumed60 50 14 3 
Ceded232 194 195 113 
Net premiums$92 $99 $— $47 
The following table summarizes net premiums earned by location of risk:
Three Months Ended September 30,Nine Months Ended September 30,
2024202320242023
United States$30 $15 $90 $38 
United Kingdom3 3 8 8 
Other international— — 1 2 
Total$33 $18 $99 $47 
  
Financial Guarantee Insurance Contracts, Premium Received over Contract Period
The following table summarizes the future Legacy Financial Guarantee gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at September 30, 2024:
Future Premiums
to be
Collected (1)
Future
Premiums to
be Earned Net of
Reinsurance (2)
Three months ended:
December 31, 202454
Twelve months ended:
December 31, 20252615
December 31, 20262516
December 31, 20272415
December 31, 20282314
Five years ended:
December 31, 20339255
December 31, 20385327
December 31, 2043249
December 31, 2048114
December 31, 205321
December 31, 2058——
Total$284$160
(1)Future premiums to be collected are undiscounted, gross of allowance for credit losses, and are used to derive the discounted premium receivable asset recorded on Ambac's balance sheet.
(2)Future premiums to be earned, net of reinsurance relate to the unearned premiums liability and deferred ceded premium asset recorded on Ambac’s balance sheet. The use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral is required in the calculation of the premium receivable, as further described in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2023. This results in a different premium receivable balance than if expected lives were considered. If installment paying policies are retired or prepay early, premiums reflected in the premium receivable asset and amounts reported in the above table for such policies may not be collected. Future premiums to be earned also considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral, which may result in different unearned premium than if expected lives were considered. If those bonds types are retired early, premium earnings may be negative in the period of call or refinancing.
  
Reinsurance Recoverable, Credit Quality Indicator The following table sets forth our three most significant reinsurers by amount of reinsurance recoverable as of September 30, 2024.
Reinsurers
Type of Insurance
Rating
 (1)
Reinsurance
Recoverable
(2)
Unsecured
Recoverable
(3)
General Reinsurance CompanySpecialty P&CA++$129 $111 
QBE Insurance CorporationSpecialty P&CA33 33 
Assured Guaranty Re Ltd.Financial
Guarantee		AA23 — 
All other
reinsurers
126 56 
Total recoverables
$311 $200 
(1)Represents financial strength ratings from S&P for financial guarantee reinsurers and AM Best for specialty P&C reinsurers.
(2)Represents reinsurance recoverables on paid and unpaid losses. Unsecured amounts from QBE Insurance Corporation is also supported by an unlimited, uncapped indemnity from Enstar Holdings (US).
(3)Reinsurance recoverables reduced by ceded premiums payables due to reinsurers, letters of credit, and collateral posted for the benefit of Ambac.