Special Purpose Entities, Including Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2023

Variable Interest Entity [Line Items]

Components of VIE Gain (Loss) [Table Text Block]

The following schedule details the components of Income (loss) on variable interest entities for the affected periods:

	Three Months Ended June 30,				Six Months Ended June 30,
	2023		2022		2023		2022
Net change in fair value of VIE assets and liabilities reported under the fair value option	$	—	$	1	$	2	$	1
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss)	1		(1)		1		(2)
Net change in fair value of VIE assets and liabilities reported in earnings under the fair value option	—		—		3		(1)
Investment income (loss)	3		(1)		5		(5)
Net realized investment gains (losses) on available-for-sale securities	—		—		—		1
Interest expense on long-term debt carried at par less unamortized cost	(3)		(5)		(8)		(7)
Gain (loss) from consolidating VIEs	—		—		—		28
Income (loss) on variable interest entities	$	—	$	(6)	$	(1)	$	15

Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities

The following table displays the carrying amount of the assets, liabilities and maximum exposure to loss of Ambac’s variable interests in non-consolidated VIEs resulting from financial guarantee and derivative contracts by major underlying asset classes, as of June 30, 2023 and December 31, 2022:

	June 30, 2023:								December 31, 2022:
	Carrying Value of Assets and Liabilities								Carrying Value of Assets and Liabilities
	Maximum Exposure To Loss (1)		Insurance Assets (2)		Insurance Liabilities (3)		Net Derivative Assets (Liabilities) (4)		Maximum Exposure To Loss (1)		Insurance Assets (2)		Insurance Liabilities (3)		Net Derivative Assets (Liabilities) (4)
Global structured finance:
Mortgage-backed—residential	$	2,475	$	135	$	434	$	—	$	2,559	$	266	$	400	$	—
Other consumer asset-backed	595		5		226		—		652		6		225		—
Other	432		2		2		—		430		2		2		1
Total global structured finance	3,503		142		662		—		3,642		274		628		1
Global public finance	17,981		218		215		—		17,997		216		212		—
Total	$	21,484	$	361	$	877	$	—	$	21,639	$	490	$	840	$	1

(1)Maximum exposure to loss represents the maximum future payments of principal and interest on insured obligations and derivative contracts. Ambac’s maximum exposure to loss does not include the benefit of any financial instruments (such as reinsurance or hedge contracts) that Ambac may utilize to mitigate the risks associated with these variable interests.

(2)Insurance assets represent the amount included in “Premium receivables” and “Subrogation recoverable” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.

(3)Insurance liabilities represent the amount included in “Loss and loss expense reserves” and “Unearned premiums” for financial guarantee insurance contracts on Ambac’s Consolidated Balance Sheets.

(4)Net derivative assets (liabilities) represent the fair value recognized on interest rate swaps on Ambac’s Consolidated Balance Sheets.

Schedule of Variable Interest Entities Assets and Liabilities [Table Text Block]

The following table summarizes the carrying values of assets and liabilities, along with other supplemental information related to FG VIEs that are consolidated as a result of financial guarantees of Ambac UK and AAC:

	June 30, 2023						December 31, 2022
	Ambac UK		Ambac Assurance		Total VIEs		Ambac UK		Ambac Assurance		Total VIEs
ASSETS:
Fixed maturity securities, at fair value:
Corporate obligations, fair value option	$	1,952	$	—	$	1,952	$	1,828	$	—	$	1,828
Municipal obligations, trading	—		—		—		—		43		43
Municipal obligations, available-for-sale (1)	—		104		104		—		96		96
Total FG VIE fixed maturity securities, at fair value	1,952		104		2,056		1,828		139		1,967
Restricted cash	264		1		266		1		16		17
Loans, at fair value (2)	1,772		—		1,772		1,829		—		1,829
Derivative assets	224		—		224		239		—		239
Other assets	—		2		2		—		2		2
Total FG VIE assets	$	4,213	$	107	$	4,320	$	3,896	$	157	$	4,054
LIABILITIES:
Long-term debt:
Long-term debt, at fair value (3)	$	2,785	$	—	$	2,785	$	2,788	$	—	$	2,788
Long-term debt, at par less unamortized discount	—		171		171		—		319		319
Total long-term debt	2,785		171		2,956		2,788		319		3,107
Derivative liabilities	1,106		—		1,106		1,048		—		1,048
Cash collateral payable	263		—		263		—		—		—
Other liabilities	—		1		1		—		5		5
Total FG VIE liabilities	$	4,154	$	172	$	4,326	$	3,836	$	324	$	4,160
Number of FG VIEs consolidated	4		4		8		5		4		9

(1)Available-for-sale FG VIE fixed maturity securities consist of municipal obligations with an amortized cost basis of $99 and $99 at June 30, 2023 and December 31, 2022, respectively. At June 30, 2023, there were $5 aggregate gross unrealized gains and $0 aggregated gross unrealized losses. At December 31, 2022, there were $1 aggregate gross unrealized gains and $(4) aggregated gross unrealized losses. All such securities had contractual maturities due after ten years as of June 30, 2023.

(2)The unpaid principal balances of loan assets carried at fair value were $1,988 as of June 30, 2023 and $1,977 as of December 31, 2022.

(3)The unpaid principal balances of long-term debt carried at fair value were $3,133 as of June 30, 2023 and $3,064 as of December 31, 2022.