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Investments
 12 Months Ended
Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Investments
5.    INVESTMENTS
Ambac’s non-VIE invested assets are primarily comprised of (i) fixed maturity securities classified as either available-for-sale or trading securities, (ii) interests in pooled investment funds which are reported within Other investments on the Consolidated Balance Sheets and (iii) preferred equity investments which are reported within Other investments on the Consolidated Balance Sheets. Interests in pooled investment funds in the form of common stock or in-substance common stock are classified as trading securities, while limited partner interests in such funds are reported using the equity method. Fixed maturity securities classified as trading are unrated municipal bond and other obligations of Puerto Rico issuing entities that are part of the the PROMESA restructuring process as described further in Note 8. Insurance Contracts.
Fixed Maturity Securities
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.
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 
Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.
Unrealized Losses on Fixed Maturity Securities
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 

Management has determined that the securities in the above table do not have credit impairment as of December 31, 2022 and 2021 based upon (i) no actual or expected principal and interest payment defaults on these securities; (ii) analysis of the creditworthiness of the issuer and financial guarantor, as applicable, and (iii) for debt securities that are non-highly rated beneficial interests in securitized financial assets, analysis of whether there was an adverse change in projected cash flows. Management's evaluation as of December 31, 2022, includes the expectation that all principal and interest payments on securities guaranteed by AAC or Ambac UK will be made timely and in full.
Ambac’s assessment about whether a security is credit impaired reflects management’s current judgment regarding facts and circumstances specific to the security and other factors. If that judgment changes, Ambac may record a charge for credit impairment in future periods.
The declines in fair value and resultant unrealized losses across asset classes as of December 31, 2022 included in the above table resulted from the impact of increasing interest rates and market spreads. Management has determined that the securities with unrealized losses are not credit impaired. Further discussion of management's assessment with respect to security categories with larger unrealized loss balances is below.
Corporate obligations
The gross unrealized losses on corporate obligations as of December 31, 2022 resulted from an increase in interest rates and, to a lesser extent, market spreads since the securities were purchased. Unrealized losses of $61 related to 584 investment grade securities with an average unrealized loss equal to 10% of amortized cost at December 31, 2022. Securities that have below investment grade credit ratings or are unrated comprise $2 of the gross unrealized loss and have an average unrealized loss equal to 8% of amortized cost at December 31, 2022.
Management believes that the full and timely receipt of all principal and interest payment on corporate obligations with unrealized losses as of December 31, 2022 is probable.
Residential mortgage-backed securities and Other asset-backed securities
As of December 31, 2022, all of the $19 unrealized loss on residential mortgage-backed securities related to 13 Ambac-insured securities. Five of these account for $18 of the unrealized loss and have an average unrealized loss equal to 15% of amortized cost. The $5 unrealized loss on other asset backed securities related to 14 Ambac-insured securities or resecuritization instruments collateralized with Ambac-insured securities and have an average unrealized loss equal to 2% of amortized cost. The majority of these unrealized losses for both residential mortgage-backed and other asset-backed securities relate to securities with long dated weighted average lives making their fair values more sensitive to interest rate changes. Also, most of these securities have below investment grade credit ratings or are unrated. The unrealized losses on these obligations resulted from adverse market conditions for long dated credit assets. As noted above, expected cash flows used in evaluating credit impairment of Ambac-insured securities contemplate full and timely payment of all principal and interest payments on Ambac-insured securities. This assumption is included in the projection of model based cash flows used in evaluating credit impairments on beneficial interests in securitized financial assets, including the residential mortgage backed and student loan asset backed securities included in this group.
Investment Income (Loss)
Net investment income (loss) was comprised of the following for the affected periods:
Year Ended December 31,202220212020
Fixed maturity securities$61 $78 $103 
Short-term investments11 — 5 
Loans1 — 1 
Investment expense(6)(6)(6)
Securities available-for-sale and short-term66 74 103 
Fixed maturity securities - trading(23)— — 
Other investments(26)66 19 
Total net investment income (loss)$17 $139 $122 
Net investment income (loss) from Other investments primarily represents changes in fair value on equity securities including certain pooled investment funds, and income from investment limited partnerships and other equity interests accounted for under the equity method.
Net Investments Gains (Losses), including 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 
Ambac had an allowance for credit losses $— and $— at December 31, 2022 and 2021, respectively.
Ambac did not purchase any financial assets with credit deterioration for the years ended December 31, 2022 and 2021.
Counterparty Collateral, Deposits with Regulators and Other Restrictions
Ambac routinely pledges and receives collateral related to certain transactions. Securities held directly in Ambac’s investment portfolio with a fair value of $64 and $120 at December 31, 2022 and 2021, respectively, were pledged to derivative counterparties. Ambac’s derivative counterparties have the right to re-pledge the investment securities and as such, these pledged securities are separately classified on the Consolidated Balance Sheets as “Fixed maturity securities pledged as collateral, at fair value” and "Short-term investments pledged as collateral, at fair value". Refer to Note 10. Derivative Instruments for further information on cash collateral. There was no cash or securities received from other counterparties that were re-pledged by Ambac.
Securities carried at $23 and $17 at December 31, 2022 and 2021, respectively, were deposited by Ambac's insurance subsidiaries with governmental authorities or designated custodian banks as required by laws affecting insurance companies. Invested assets carried at $1 as December 31, 2022, were deposited as security in connection with a letter of credit issued for an office lease.
Securities with a fair value of $669 at December 31, 2021, were held by Ambac UK, the capital stock of which was pledged as collateral for the Sitka AAC Note. The Sitka AAC Note was fully redeemed as of October 29, 2022, and therefore the pledge of Ambac UK's capital stock was subsequently released. Refer to Note 13. Long-term Debt for further information about the Sitka AAC Note.
Guaranteed Securities
Ambac’s fixed maturity portfolio includes securities covered by guarantees issued by AAC and other financial guarantors (“insured securities”). The published rating agency ratings on these securities reflect the higher of the financial strength rating of the financial guarantor or the rating of the underlying issuer. Rating agencies do not always publish separate underlying ratings (those ratings excluding the insurance by the financial guarantor). In the event these underlying ratings are not available from the rating agencies, Ambac will assign an internal rating. The following table represents the fair value and weighted-average underlying rating of insured securities in Ambac's investment portfolio at December 31, 2022 and 2021, respectively: 
Municipal
Obligations		Corporate
Obligations 		Mortgage
and Asset-
backed
Securities		Total
Weighted
Average
Underlying
Rating (1)
December 31, 2022:
Ambac Assurance Corporation$10 $— $394 $403 B
Total$10 $— $394 $403 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.
Other Investments
Ambac's investment portfolio includes interests in various pooled investment funds. Fair value and additional information about investments in pooled funds, by investment type, is summarized in the table below. Except as noted in the table, fair value as reported is determined using net asset value ("NAV") as a practical expedient. Redemption of certain funds valued using NAV may be subject to withdrawal limitations and/or redemption fees which vary with the timing and notification of withdrawal provided by the investor. 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.
Other investments also includes preferred equity investments with a carrying value of $12 and $8 as of December 31, 2022 and 2021, respectively, that do not have readily determinable fair values and are carried at cost, less any impairments as permitted under the Investments — Equity Securities Topic of the ASC. There were no impairments recorded on these investments or adjustments to fair value to reflect observable price changes in identical or similar investments from the same issuer during the periods presented.
The portion of net unrealized gains (losses) related to securities classified as trading and equity securities, excluding those reported using the equity method, still held at the end of each period is as follows:
Year Ended December 31,202220212020
Net gains (losses) recognized during the period on trading securities$(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 
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 December 31, 2022 and 2021, respectively: 
Municipal
Obligations		Corporate
Obligations 		Mortgage
and Asset-
backed
Securities		Total
Weighted
Average
Underlying
Rating (1)
December 31, 2022:
Ambac Assurance Corporation$10 $— $394 $403 B
Total$10 $— $394 $403 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.