Financial Guarantee Insurance Contracts (Tables)

6 Months Ended

Jun. 30, 2021

Insurance [Line Items]

Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block]

at June 30, 2021 and December 31, 2020:

	June 30, 2021:								December 31, 2020:
Balance Sheet Line Item	Claims and Loss Expenses (1)		Recoveries		Unearned Premium Revenue		Gross Loss and Loss Expense Reserves		Claims and Loss Expenses		Recoveries		Unearned Premium Revenue		Gross Loss and Loss Expense Reserves
Loss and loss expense reserves	$	1,881	$	(180)	$	(59)	$	1,641	$	2,060	$	(229)	$	(72)	$	1,759
Subrogation recoverable	90		(2,188)		—		(2,097)		100		(2,256)		—		(2,156)
Totals	$	1,971	$	(2,368)	$	(59)	$	(456)	$	2,160	$	(2,486)	$	(72)	$	(397)

(1)Includes loss and loss expense reserves for the specialty property and casualty business.

Schedule of Finite-Lived Intangible Assets, Future Amortization Expense

The estimated future amortization expense for intangible assets is as follows:

Amortization expense	Insurance Intangible Asset (1) (2)		Other Intangible Assets		Total
2021 (Six months)	$	19	$	1	$	20
2022	34		3		37
2023	31		3		34
2024	28		3		31
2025	26		3		28
Thereafter	205		22		228

(1)The insurance intangible asset will be amortized using a level-yield method based on par exposure of the related financial guarantee insurance or reinsurance contracts. Future amortization considers the use of contractual lives for many bond types which do not have homogeneous pools of underlying collateral. Actual maturities will differ from contractual maturities because borrowers have the right to call or prepay certain obligations. If those obligations are retired early, amortization expense may differ in the period of call or refinancing. from the amounts provided in the table above.

(2)The weighted-average insurance intangible amortization and other intangible amortization periods are 7.4 years and 6.7 years, respectively.

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 June 30, 2021 and December 31, 2020:

Surveillance Categories as of June 30, 2021
Type of Guaranteed Bond	I		IA		II		III		IV		Total
Public Finance:
Housing revenue	$	153	$	4	$	5	$	—	$	—	$	162
Other	2		—		—		—		—		2
Total Public Finance	155		4		5		—		—		164
Structured Finance:
Mortgage-backed and home equity	2		—		1		3		13		19
Structured insurance	11		—		—		—		—		11
Student loan	2		—		2		10		—		13
Other	7		—		—		—		—		7
Total Structured Finance	21		—		2		12		13		49
International:
Sovereign/sub-sovereign	87		7		—		12		—		106
Investor-owned and public utilities	29		—		—		—		—		29
Other	6		—		—		—		—		6
Total International	122		7		—		12		—		141
Total (1) (2)	$	299	$	11	$	7	$	24	$	13	$	355
Surveillance Categories as of December 31, 2020
Type of Guaranteed Bond	I		IA		II		III		IV		Total
Public Finance:
Housing revenue	$	155	$	13	$	—	$	—	$	—	$	168
Other	2		15		—		—		—		17
Total Public Finance	157		27		—		—		—		185
Structured Finance:
Mortgage-backed and home equity	3		—		1		3		15		22
Structured insurance	14		—		—		—		—		14
Student loan	3		—		2		11		—		16
Other	7		—		—		—		—		7
Total Structured Finance	27		—		3		14		15		59
International:
Sovereign/sub-sovereign	82		13		—		13		—		108
Investor-owned and public utilities	31		—		—		—		—		31
Other	5		—		—		—		—		5
Total International	118		13		—		13		—		144
Total (2)	$	302	$	40	$	3	$	27	$	15	$	387

(1)    Excludes specialty property and casualty premium receivables of $1.

(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 a rollforward of the premium receivable allowance for credit losses as of June 30, 2021 and 2020:

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Beginning balance (1)	$	13	$	14	$	17	$	9
Current period provision (2)	(1)		2		(5)		7
Write-offs of the allowance	(1)		—		(1)		—
Recoveries of previously written-off amounts	—		—		—		—
Ending balance	$	11	$	16	$	11	$	16

(1)At December 31, 2019, $9 of premiums receivable were deemed uncollectible as determined under prior GAAP rules.

(2)The three and six months ended June 30, 2020, includes $3 from the adoption of CECL.

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:

Six Months Ended June 30,	2021		2020
Beginning gross loss and loss expense reserves	$	(397)	$	(482)
Reinsurance recoverable	33		26
Beginning balance of net loss and loss expense reserves	(430)		(508)
Losses and loss expenses (benefit):
Current year	—		16
Prior years	(18)		116
Total (1) (2)	(18)		132
Loss and loss expenses paid (recovered):
Current year	—		—
Prior years	38		61
Total	38		61
Foreign exchange effect	—		—
Ending net loss and loss expense reserves	(486)		(437)
Reinsurance recoverable (3)	30		35
Ending gross loss and loss expense reserves	$	(456)	$	(401)

(1)Total losses and loss expenses (benefit) includes $2 and $(11) for the six months ended June 30, 2021 and 2020, respectively, related to ceded reinsurance.

(2)Ambac records the impact of estimated recoveries related to securitized loans in RMBS transactions that breached certain representations and warranties ("R&W's) by transaction sponsors within losses and loss expenses (benefit). The losses and loss expense (benefit) incurred associated with changes in estimated R&W's for the six months ended June 30, 2021 and 2020, was $10 and $(30), respectively.

(3)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 $1 and $1 as of June 30, 2021 and 2020, 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 June 30, 2021 and December 31, 2020. 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 June 30, 2021 and December 31, 2020,was 1.5% and 1.1%, respectively.

Surveillance Categories as of June 30, 2021
	I		IA		II		III		IV		V		Total
Number of policies	40		27		20		16		134		5		242
Remaining weighted-average contract period (in years) (1)	10		14		14		15		13		7		13
Gross insured contractual payments outstanding:
Principal	$	894	$	508	$	705	$	1,389	$	3,009	$	40	$	6,545
Interest	328		716		425		185		1,350		24		3,028
Total	$	1,222	$	1,224	$	1,130	$	1,574	$	4,359	$	65	$	9,573
Gross undiscounted claim liability	$	4	$	13	$	59	$	559	$	1,539	$	65	$	2,239
Discount, gross claim liability	—		(1)		(3)		(114)		(198)		(4)		(320)
Gross claim liability before all subrogation and before reinsurance	4		12		56		445		1,341		60		1,919
Less:
Gross RMBS subrogation (2)	—		—		—		—		(1,742)		—		(1,742)
Discount, RMBS subrogation	—		—		—		—		2		—		2
Discounted RMBS subrogation, before reinsurance	—		—		—		—		(1,741)		—		(1,741)
Less:
Gross other subrogation (3)	—		(6)		—		(35)		(601)		(12)		(654)
Discount, other subrogation	—		—		—		2		23		2		27
Discounted other subrogation, before reinsurance	—		(6)		—		(33)		(578)		(10)		(627)
Gross claim liability, net of all subrogation and discounts, before reinsurance	4		6		56		413		(977)		50		(449)
Less: Unearned premium revenue	(2)		(4)		(9)		(15)		(28)		(1)		(59)
Plus: Loss expense reserves	2		—		1		4		45		—		52
Gross loss and loss expense reserves	$	3	$	2	$	47	$	402	$	(960)	$	49	$	(456)
Reinsurance recoverable reported on Balance Sheet (4)	$	1	$	1	$	13	$	23	$	(8)	$	—	$	30

(1)Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.

(2)RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches.

(3)Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions including RMBS.

(4)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.

Surveillance Categories as of December 31, 2020
	I		IA		II		III		IV		V		Total
Number of policies	40		25		15		15		132		5		232
Remaining weighted-average contract period (in years) (1)	10		18		8		16		14		7		14
Gross insured contractual payments outstanding:
Principal	$	842	$	1,375	$	595	$	1,469	$	3,246	$	47	$	7,573
Interest	279		1,011		484		215		1,427		26		3,443
Total	$	1,121	$	2,386	$	1,079	$	1,685	$	4,673	$	72	$	11,016
Gross undiscounted claim liability	$	3	$	49	$	40	$	541	$	1,690	$	72	$	2,395
Discount, gross claim liability	—		(2)		(1)		(85)		(213)		(3)		(303)
Gross claim liability before all subrogation and before reinsurance	3		47		40		456		1,477		69		2,092
Less:
Gross RMBS subrogation (2)	—		—		—		—		(1,753)		—		(1,753)
Discount, RMBS subrogation	—		—		—		—		3		—		3
Discounted RMBS subrogation, before reinsurance	—		—		—		—		(1,751)		—		(1,751)
Less:
Gross other subrogation (3)	—		—		—		(36)		(706)		(12)		(755)
Discount, other subrogation	—		—		—		1		18		1		20
Discounted other subrogation, before reinsurance	—		—		—		(35)		(689)		(11)		(735)
Gross claim liability, net of all subrogation and discounts, before reinsurance	3		47		39		421		(963)		58		(394)
Less: Unearned premium revenue	(2)		(16)		(5)		(17)		(30)		(1)		(72)
Plus: Loss expense reserves	1		2		1		5		59		—		68
Gross loss and loss expense reserves	$	2	$	32	$	35	$	409	$	(933)	$	57	$	(397)
Reinsurance recoverable reported on Balance Sheet (4)	$	—	$	6	$	9	$	24	$	(6)	$	—	$	33

(1)Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies.

(2)RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for R&W breaches.

(3)Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions, including RMBS.

(4)Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $33 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

Below is the rollforward of RMBS R&W subrogation for the affected periods:

Six Months Ended June 30,	2021		2020
Discounted R&W subrogation (gross of reinsurance) at beginning of period	$	1,751	$	1,727
All other changes (1)	(10)		30
Discounted R&W subrogation (gross of reinsurance) at end of period	$	1,741	$	1,757

(1)All other changes which may impact RMBS R&W subrogation recoveries include changes in actual or projected collateral performance, changes in the creditworthiness of a sponsor and/or the projected timing of recoveries.