Document and Entity Information
Document and Entity Information - $ / shares | 3 Months Ended | |||
Mar. 31, 2020 | Feb. 24, 2020 | Dec. 31, 2019 | Apr. 30, 2013 | |
Entity Information [Line Items] | ||||
Document Type | 10-Q | |||
Document Quarterly Report | true | |||
Document Period End Date | Mar. 31, 2020 | |||
Entity Ex Transition Period | false | |||
Entity File Number | 1-10777 | |||
Entity Registrant Name | AMBAC FINANCIAL GROUP INC | |||
Entity Incorporation, State or Country Code | DE | |||
Entity Tax Identification Number | 13-3621676 | |||
Entity Address, Address Line One | One State Street Plaza | |||
Entity Address, City or Town | New York | |||
Entity Address, State or Province | NY | |||
Entity Address, Postal Zip Code | 10004 | |||
City Area Code | (212) | |||
Local Phone Number | 658-7470 | |||
Entity Current Reporting Status | Yes | |||
Entity Interactive Data Current | Yes | |||
Entity Filer Category | Large Accelerated Filer | |||
Entity Small Business | false | |||
Entity Emerging Growth Company | false | |||
Entity Shell Company | false | |||
Entity Bankruptcy Proceedings, Reporting Current | true | |||
Entity Common Stock, Shares Outstanding | 45,779,023 | |||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | $ 0.01 | |
Amendment Flag | false | |||
Document Fiscal Year Focus | 2019 | |||
Document Fiscal Period Focus | Q3 | |||
Entity Central Index Key | 0000874501 | |||
Current Fiscal Year End Date | --12-31 | |||
Common Stock [Member] | ||||
Entity Information [Line Items] | ||||
Title of 12(b) Security | Common stock par value $0.01 per share | |||
Trading Symbol | AMBC | |||
Security Exchange Name | NYSE | |||
Warrants [Member] | ||||
Entity Information [Line Items] | ||||
Title of 12(b) Security | Warrants | |||
Trading Symbol | AMBC WS | |||
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 3,037 | |
Short-term investments, at fair value (amortized cost of $586 and $653) | 586 | $ 653 |
Other investments | 363 | 478 |
Total investments (net of allowance for credit losses of $0 at March 31, 2020) | 3,400 | 3,792 |
Cash and cash equivalents | 58 | 24 |
Restricted Cash | 31 | 55 |
Premium receivables (net of allowance for credit losses of $14 at March 31, 2020) | 403 | 416 |
Reinsurance recoverable on paid and unpaid losses | 36 | 26 |
Deferred ceded premium | 79 | 82 |
Subrogation recoverable | 2,192 | 2,029 |
Derivative assets | 88 | 75 |
Income Taxes Receivable | 16 | 11 |
Insurance intangible asset | 406 | 427 |
Other assets | 144 | 95 |
Total assets | 12,777 | 13,320 |
Liabilities: | ||
Unearned premiums | 507 | 518 |
Loss and loss expense reserves | 1,797 | 1,548 |
Ceded premiums payable | 28 | 29 |
Long-term debt | 2,760 | 2,822 |
Accrued interest payable | 457 | 441 |
Derivative Liability | 137 | 90 |
Other liabilities | 131 | 93 |
Total liabilities | 11,716 | 11,783 |
Stockholders’ equity: | ||
Preferred stock, par value $0.01 per share; 20,000,000 shares authorized; issued and outstanding shares—none | 0 | 0 |
Common Stock, Value, Issued | 0 | 0 |
Additional paid-in capital | 235 | 232 |
Accumulated other comprehensive income | (149) | 42 |
Retained earnings | 917 | 1,203 |
Treasury stock, shares at cost: 0 and 8,202 | (2) | 0 |
Total Ambac Financial Group, Inc. stockholders’ equity | 1,002 | 1,477 |
Noncontrolling interest | 60 | 60 |
Total stockholders’ equity | 1,062 | 1,536 |
Total liabilities and stockholders’ equity | 12,777 | 13,320 |
Deferred Income Tax Liabilities, Net | 26 | 32 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Assets: | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,928 | 3,121 |
Restricted Cash | 2 | 2 |
Derivative assets | 62 | 52 |
Other assets | 1 | 3 |
Total assets | 5,925 | 6,286 |
Liabilities: | ||
Long-term debt | 4,263 | 4,554 |
Accrued interest payable | 0 | 1 |
Derivative Liability | 1,610 | 1,657 |
Total liabilities | 5,873 | 6,212 |
Stockholders’ equity: | ||
Financing Receivable, after Allowance for Credit Loss | 2,932 | 3,108 |
Fixed Income Securities [Member] | ||
Assets: | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,367 | 2,577 |
Collateral Pledged [Member] | Fixed Income Securities [Member] | ||
Assets: | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 85 | $ 85 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale, Amortized Cost | $ 3,038,000,000 | $ 3,187,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Premium Receivable, Allowance for Credit Loss | $ 14,352,000 | |
Preferred stock, par value | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 20,000,000 | 20,000,000 |
Preferred Stock, Shares Issued | 0 | 0 |
Preferred Stock, Shares Outstanding | 0 | 0 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 130,000,000 | 130,000,000 |
Common stock, shares issued | 45,865,081 | 45,571,743 |
Common stock, shares outstanding | 45,779,023 | 45,555,400 |
Treasury stock, shares | 86,058 | 16,343 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Long-term debt | $ 4,092,000,000 | $ 4,351,000,000 |
Equity investments in pooled funds [Member] | ||
Other Investment Not Readily Marketable, Fair Value | $ 317,000,000 | $ 432,000,000 |
Consolidated Statements of Tota
Consolidated Statements of Total Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Revenues: | ||
Net premiums earned | $ 10 | $ 28 |
Net investment income: | ||
Securities available-for-sale and short-term | 31 | 47 |
Net investment income (loss) | (21) | 55 |
Other-than-temporary impairment losses: | ||
Available-for-sale Securities, Gross Realized Gain (Loss), Excluding Other than Temporary Impairments | 8 | 17 |
Realized Investment Gains (Losses) | 8 | 17 |
Change in fair value of credit derivatives: | ||
Unrealized gains (losses) | (2) | 0 |
Derivative, Gain (Loss) on Derivative, Net | (70) | (16) |
Other Operating Income (Expense), Net | 0 | 1 |
Income (loss) on variable interest entities | 3 | 16 |
Total revenues | (70) | 100 |
Expenses: | ||
Losses and loss expenses (benefit) | 117 | 12 |
Insurance intangible amortization | 13 | 36 |
Operating expenses | 24 | 25 |
Interest expense | 63 | 68 |
Total expenses | 217 | 142 |
Pre-tax income (loss) | (287) | (41) |
Provision (benefit) for income taxes | (7) | 2 |
Net income (loss) | (280) | (43) |
Net income (loss) attributable to common stockholders | (280) | (43) |
Other comprehensive income (loss), after tax: | ||
Net income (loss) | (280) | (43) |
Unrealized gains (losses) on securities, net of income tax provision (benefit) of $(0) and $(1) | (146) | 56 |
Gains (losses) on foreign currency translation, net of income tax provision (benefit) of $0 and $0 | (46) | 15 |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, after Tax | 3 | 0 |
Changes to postretirement benefit, net of income tax provision (benefit) of $0 and $0 | (2) | 0 |
Total other comprehensive income (loss), net of income tax | (191) | 71 |
Total comprehensive income (loss) | (470) | 28 |
Less: comprehensive (gain) loss attributable to the noncontrolling interest: | ||
Total comprehensive income (loss) attributable to common stockholders | $ (470) | $ 28 |
Earnings Per Share, Basic | $ (6.07) | $ (0.94) |
Earnings Per Share, Diluted | $ (6.07) | $ (0.94) |
Weighted Average Number of Shares Outstanding, Basic | 46,060,324 | 45,832,297 |
Weighted Average Number of Shares Outstanding, Diluted | 46,060,324 | 45,832,297 |
Consolidated Statements of To_2
Consolidated Statements of Total Comprehensive Income (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Income Statement [Abstract] | ||
Unrealized (loss) gain on securities, taxes | $ (492) | $ (598) |
Gain (loss) on foreign currency translation, taxes | 0 | 0 |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, Tax | 681 | 32 |
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Plan Amendments, Tax Effect | $ 0 | $ 0 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders' Equity - USD ($) $ in Millions | Total | Retained Earnings [Member] | AOCI Attributable to Parent [Member] | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Treasury Stock [Member] | Noncontrolling Interest [Member] |
Beginning balance at Dec. 31, 2018 | $ 1,633 | $ 1,421 | $ (49) | $ 0 | $ 0 | $ 219 | $ 0 | $ 41 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | 28 | (43) | 71 | 0 | 0 | 0 | 0 | 0 |
Stock-based compensation | 4 | 0 | 0 | 0 | 0 | 4 | 0 | 0 |
Shares Issued, Value, Share-based Payment Arrangement, after Forfeiture | (2) | (2) | 0 | 0 | 0 | 0 | 0 | 0 |
AMPS Impact on Stockholders Equity | 3 | 0 | 0 | 0 | 0 | 0 | 0 | 3 |
Ending balance at Mar. 31, 2019 | 1,666 | 1,376 | 23 | 0 | 0 | 224 | (1) | 44 |
Beginning balance at Dec. 31, 2019 | 1,536 | 1,203 | 42 | 0 | 0 | 232 | 0 | 60 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | (470) | (280) | (191) | 0 | 0 | 0 | 0 | 0 |
Stock-based compensation | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 0 |
Shares Issued, Value, Share-based Payment Arrangement, after Forfeiture | (3) | (1) | 0 | 0 | 0 | 0 | (1) | 0 |
Ending balance at Mar. 31, 2020 | $ 1,062 | $ 917 | $ (149) | $ 0 | $ 0 | $ 235 | $ (2) | $ 60 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Cash Flows [Abstract] | ||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | $ 91 | $ 25 |
Cash flows from operating activities: | ||
Net income attributable to common shareholders | (280) | (43) |
Net income (loss) | (280) | (43) |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Depreciation and amortization | 0 | 0 |
Amortization of bond premium and discount | (4) | (12) |
Share-based compensation | 3 | 4 |
Deferred income taxes | (6) | (1) |
Current income taxes | (5) | 4 |
Unearned premiums, net | (7) | (36) |
Losses and loss expenses, net | 77 | (119) |
Ceded premiums payable | (1) | (1) |
Premium receivables | 13 | 8 |
Accrued interest payable | 23 | 29 |
Amortization of insurance intangible assets | 13 | 36 |
Net mark-to-market (gains) losses | 2 | 0 |
Net realized investment gains | (8) | (17) |
Variable interest entity activities | (3) | (16) |
Increase (Decrease) in Derivative Assets and Liabilities | 32 | 12 |
Other, net | 63 | 57 |
Net cash used in operating activities | (87) | (95) |
Cash flows from investing activities: | ||
Proceeds from sales of bonds | 221 | 641 |
Proceeds from matured bonds | 49 | 35 |
Purchases of bonds | (150) | (183) |
Proceeds from sales of other invested assets | 243 | 2 |
Purchases of other invested assets | (195) | (29) |
Change in short-term investments | 67 | (478) |
Change in cash collateral receivable | (56) | 57 |
Proceeds From Financial Guaranty Variable Interest Entity Assets | 66 | 67 |
Other, net | (1) | 0 |
Net cash provided by investing activities | 244 | 112 |
Cash flows from financing activities: | ||
Paydown of Ambac Note | (77) | (13) |
Paydown of Financial Guaranty Variable Interest Entity Liabilities | (66) | (63) |
AMPS Proceeds | 0 | 3 |
Payment, Tax Withholding, Share-based Payment Arrangement | (3) | (2) |
Net cash used in financing activities | (146) | (76) |
Effect of Exchange Rate on Cash and Cash Equivalents | 0 | 0 |
Net cash flow | 10 | (58) |
Cash, cash equivalents, and restricted cash at end of period | $ 58 | $ 22 |
Background and Business Descrip
Background and Business Description | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Background and Business Description | 1. BACKGROUND AND BUSINESS DESCRIPTION The following description provides an update of Note 1. Background and Business Description in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 , and should be read in conjunction with the complete descriptions provided in the Form 10-K. Capitalized terms used, but not defined herein, and in the other footnotes to the Consolidated Financial Statements included in this Quarterly Report on Form 10-Q shall have the meanings ascribed thereto in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . Ambac Financial Group, Inc. (“AFG”), headquartered in New York City, is a financial services holding company incorporated in the state of Delaware on April 29, 1991 . References to “Ambac,” the “Company,” “we,” “our,” and “us” are to AFG and its subsidiaries, as the context requires. AFG’s subsidiary, Ambac Assurance Corporation (“Ambac Assurance" or "AAC") and its subsidiary, Ambac Assurance UK Limited (“Ambac UK”), are both financial guarantee insurance companies in run-off. Insurance policies issued by Ambac Assurance and Ambac UK generally guarantee payment when due of the principal and interest on the obligations guaranteed. Management reviews financial information, allocates resources and measures financial performance on a consolidated basis. As a result, the Company has a single reportable segment. Strategies to Enhance Shareholder Value The Company's primary goal is to maximize shareholder value through executing the following key strategies: • Active runoff of Ambac Assurance and its subsidiaries through transaction terminations, policy commutations, reinsurance, settlements and restructurings, with a focus on our watch list credits and known and potential future adversely classified credits, that we believe will improve our risk profile, and maximizing the risk-adjusted return on invested assets; • Ongoing rationalization of Ambac's capital and liability structures; • Loss recovery through active litigation management and exercise of contractual and legal rights; • Ongoing review of the effectiveness and efficiency of Ambac's operating platform; and • Evaluation of opportunities in certain business sectors that meet acceptable criteria that will generate long-term stockholder value with attractive risk-adjusted returns. With respect to our new business strategy, we continue to evaluate and pursue strategic opportunities in credit, insurance, asset management and other financial services that we believe would be synergistic to Ambac and would leverage our core competencies. While we have increased our efforts in evaluating such potential opportunities, we continue to be measured and disciplined in our approach as we seek to deploy our capital on opportunities that will generate sustainable long-term shareholder value. Although we are exploring new business opportunities for AFG, no assurance can be given that we will be able to identify or execute a suitable transaction and/or obtain the financial and other resources that may be required to finance the acquisition or develop any new businesses or assets. As a consequence of the coronavirus disease 2019 ("COVID-19") pandemic, risks associated with our new businesses strategy have increased given uncertainties related to the resulting global recession, increase in business risk in our target sectors and disruption to the capital markets. Due to these factors, as well as uncertainties relating to the ability of Ambac Assurance to deliver value to Ambac, the value of our securities remains speculative. The execution of AFG’s strategy to extract and increase the value of its investment in Ambac Assurance is subject to the restrictions set forth in the Settlement Agreement, dated as of June 7, 2010 (the "Settlement Agreement"), by and among Ambac Assurance, Ambac Credit Products LLC ("ACP"), AFG and certain counterparties to credit default swaps with ACP that were guaranteed by Ambac Assurance, as well as the Stipulation and Order and in the indenture for the Tier 2 Notes, each of which requires the Office of the Commissioner of Insurance for the State of Wisconsin (“OCI”) and, under certain circumstances, holders of the debt instruments benefiting from such restrictions, to approve certain actions taken by or in respect of Ambac Assurance. In exercising its approval rights, OCI will act for the benefit of policyholders, and will not take into account the interests of AFG. AFG's strategy to extract and increase the value of its investment in Ambac Assurance is also subject to significantly more risk and uncertainty due to the consequences of the COVID-19 pandemic on the global economy, issuers of debt insured by Ambac, and issuers of debt and other investments owned by Ambac. These consequences may include material losses in Ambac's insured and investment portfolio, higher earnings volatility, increased liquidity demands and greater counterparty risk. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Organization, Consolidation, Basis of Presentation, Business Description and Accounting Policies [Text Block] | 2. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES The Company has disclosed its significant accounting policies in Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . The following significant accounting policies provide an update to those included in the Company’s Annual Report on Form 10-K. Consolidation: The consolidated financial statements include the accounts of AFG and all other entities in which AFG (directly or through its subsidiaries) has a controlling financial interest, including variable interest entities (“VIEs”) for which AFG or an AFG subsidiary is deemed the primary beneficiary in accordance with the Consolidation Topic of the Accounting Standards Codification ("ASC"). All significant intercompany balances have been eliminated. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as VIEs, through arrangements that do not involve controlling voting interests. A VIE is an entity: a) that lacks enough equity investment at risk to permit the entity to finance its activities without additional subordinated financial support from other parties; or b) where the group of equity holders does not have: (1) the power, through voting rights or similar rights, to direct the activities of an entity that most significantly impact the entity’s economic performance; (2) the obligation to absorb the entity’s expected losses; or (3) the right to receive the entity’s expected residual returns. The determination of whether a variable interest holder is the primary beneficiary involves performing a qualitative analysis of the VIE that includes, among other factors, its capital structure, contractual terms including the rights of each variable interest holder, the activities of the VIE, whether the variable interest holder has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, whether the variable interest holder has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, related party relationships and the design of the VIE. An entity that is deemed the primary beneficiary of a VIE is required to consolidate the VIE. See Note 3. Variable Interest Entities , for a detailed discussion of Ambac’s involvement in VIEs, Ambac’s methodology for determining whether Ambac is required to consolidate a VIE and the effects of VIEs being consolidated and deconsolidated. Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial reporting and with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and disclosures required by GAAP for annual periods. These consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Annual Report on Form 10-K for the year ended December 31, 2019 . The accompanying consolidated financial statements have not been audited by an independent registered public accounting firm in accordance with the standards of the Public Company Accounting Oversight Board (U.S.), but in the opinion of management such financial statements include all adjustments necessary for the fair presentation of the Company’s consolidated financial position and results of operations. The results of operations for the three months ended March 31, 2020 may not be indicative of the results that may be expected for the year ending December 31, 2020 . The December 31, 2019 consolidated balance sheet was derived from audited financial statements. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. As additional information becomes available or actual amounts become determinable, the recorded estimates are revised and reflected in operating results. Foreign Currency: Financial statement accounts expressed in foreign currencies are translated into U.S. dollars in accordance with the Foreign Currency Matters Topic of the ASC. The functional currencies of AFG's subsidiaries are the local currencies of the country where the respective subsidiaries are based, which are also the primary operating environments in which the subsidiaries operate. Foreign currency translation : Functional currency assets and liabilities of AFG’s foreign subsidiaries are translated into U.S. dollars using exchange rates in effect at the balance sheet dates and the related translation adjustments, net of deferred taxes, are included as a component of Accumulated Other Comprehensive Income in Stockholders' Equity. Functional currency operating results of foreign subsidiaries are translated using average exchange rates. Foreign currency transactions : The impact of non-functional currency transactions and the remeasurement of non-functional currency assets and liabilities into the respective subsidiaries' functional currency (collectively "foreign currency transactions gains/(losses)") are $1 and $2 for the three months ended March 31, 2020 and 2019 , respectively. Foreign currency transactions gains/(losses) are primarily the result of remeasuring Ambac UK's assets and liabilities denominated in currencies other than its functional currency, primarily the U.S. dollar and the Euro. Supplemental Disclosure of Cash Flow Information Three Months Ended March 31, 2020 2019 Cash paid during the period for: Income taxes $ 2 $ 1 Interest on long-term debt 31 38 Non-cash financing activities: Exchange of investments in Puerto Rico COFINA bonds for new bonds issued in the Plan of Adjustment $ — $ 510 March 31, 2020 2019 Reconciliation of cash, cash equivalents, and restricted cash reported within the Consolidated Balance Sheets to the Consolidated Statements of Cash Flows: Cash and cash equivalents $ 58 $ 22 Restricted cash 31 — Variable Interest Entity Restricted cash 2 3 Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows $ 91 $ 25 Reclassifications and Rounding Reclassifications may have been made to prior years' amounts to conform to the current year's presentation. Certain amounts and tables in the consolidated financial statements and associated notes may not add due to rounding. Adopted Accounting Standards: Effective January 1, 2020 , the Company adopted the following accounting standards: Measurement of Credit Losses on Financial Instruments (CECL) In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments, subsequently amended by ASU 2018-19 , Codification Improvements to Topic 326, Financial Instruments - Credit Losses; ASU 2019-04 , Codification Improvements to Topic 326, Financial Instruments—Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments ; ASU 2019-05, Financial Instruments—Credit Losses (Topic 326): Targeted Transition Relief ; and ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses (collectively the Current Expected Credit Loss standard or "CECL") The new CECL standard affects how reporting entities measure credit losses for financial assets that are not accounted for at fair value through net income. For Ambac, these financial assets include available-for-sale debt securities, premium receivables, reinsurance recoverables, and loans. CECL does not apply to recoveries of previously paid losses on financial guarantee insurance contracts accounted for under ASC 944 nor does it apply to equity method investments accounted for under ASC 323. For available-for-sale debt securities, the updated guidance was applied prospectively and for financial instruments measured at amortized cost, the updated guidance was applied by a cumulative effect adjustment to the opening balance of retained earnings at January 1, 2020. This adjustment was not material to retained earnings or any individual balance sheet line item. As a result of adopting CECL, management revised its policies and procedures around the credit impairment evaluation process. CECL also introduced new disclosures related to the credit impairment process, including certain accounting policy elections that Ambac made under the the new standard. Enhanced disclosures related to accounting policies for each type of asset impacted by CECL are discussed below. The disclosures below should be read in conjunction with disclosures in Note 2. Basis of Presentation and Significant Accounting Policies , Note 6. Financial Guarantee Insurance Contracts and Note 8. Investments in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . Available-for-Sale Securities For available-for-sale debt securities, credit losses under CECL are measured similarly to other-than-temporary impairments under prior GAAP. However, under CECL, the recognition of credit losses for available-for-sale debt securities will be recorded as an allowance for credit losses with an offsetting charge to net income, rather than as a direct write-down of the security as was required under prior GAAP. As a result, improvements to estimated credit losses for available-for-sale debt securities will be recognized immediately in net income rather than as interest income over time. Furthermore, as required under CECL, Ambac no longer considers the length of time a security has continuously been in an unrealized loss in the credit impairment process. Ambac has made certain accounting policy elections related to accrued interest receivable ("AIR") for available-for-sale investments under CECL, which are consistent with past practices under prior GAAP. Elections include: i) not measuring AIR for credit impairment, instead AIR is written off when it becomes 90 days past due; ii) writing off AIR by reversing interest income; iii) presenting AIR separately in Other Assets on the balance sheet and iv) excluding AIR from amortized cost balances in required CECL disclosures found in Note 8. Investments . AIR at March 31, 2020 was $12 . Refer to Note 8. Investments for further credit impairment disclosures. Amortized cost assets For financial assets measured at amortized cost, CECL replaces the "incurred loss" model used for certain types of assets which generally delayed recognition of the full amount of credit losses until the loss was probable of occurring, with an "expected loss" model, which reflects an entity's current estimate of all expected lifetime credit losses. The estimate of expected lifetime credit losses should consider historical information, current information, as well as reasonable and supportable forecasts. Expected lifetime credit losses for amortized cost assets will be recorded as an allowance for credit losses, with subsequent increases or decreases in the allowance reflected in net income each period. The CECL measurement approach for Ambac's affected asset types were not materially different than the approaches under prior GAAP. Refer to the discussion below for each asset type. Premium receivables. For financial guarantee contracts, the receipt of premiums and payment of policy losses are both dependent on the issuer of the insured obligation's ability and willingness to pay. As such, management leverages its existing loss reserve estimation process to evaluate credit impairment for premium receivables. Key factors in assessing credit impairment include historical premium collection data, internal risk classifications, credit ratings and loss severities. For structured finance transactions involving special purpose entities, we further evaluate the priority of premiums paid to Ambac within the contractual waterfall, as required by bond indentures. Management utilizes either a discounted cash flow ("DCF") or probability of default/loss given default ("PD/LGD") approach to estimate credit impairment. The DCF approach utilizes expected cash flows developed by Ambac's Risk Management Group using the same (or similar) models used for estimating loss reserves where such models can identify shortfalls in premiums. Credit impairment using the DCF approach is equal to the difference between amortized cost and the present value of expected cash flows. Credit impairment under the PD/LGD approach is the product of (i) the premium receivable carrying value, (ii) internally developed default probability (considering internal ratings and average life), and (iii) internally developed loss severities. Refer to Note 6. Financial Guarantee Insurance Contracts for further credit impairment disclosures. Loans. The key factors in assessing credit impairment for loans are internal credit ratings and loss severities. Management utilizes a PD/LGD approach, similar to the one described above for premium receivables, which is applied to the loan carrying value. Reinsurance recoverables. Ambac has elected the to use the practical expedient of considering the fair value of collateral posted by reinsurers when evaluating credit impairment. To determine the total unsecured recoverable to be evaluated for impairment, Ambac nets the reinsurance recoverable amount by ceded premiums payable and the fair value of collateral posted, if any. The key factors in assessing credit impairment for reinsurance recoverables are independent rating agency credit ratings and loss severities. Management utilizes a PD/LGD approach, similar to the one described above for premium receivables, which is applied to the net unsecured reinsurance recoverable amount. Refer to Note 6. Financial Guarantee Insurance Contracts for further credit impairment disclosures. Fair Value Measurement Disclosures In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820) - Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement . The ASU modified various disclosure requirements on fair value measurements. Relevant disclosures that were removed, modified and added are as follows: • Removals : 1) Amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, 2) Policy for timing of transfers between levels, and 3) Valuation processes for Level 3 fair value measurements. • Modifications : 1) For investments in certain entities that calculate net asset value, disclosures are required for the timing of liquidation of an investee's assets and the date when restrictions from redemption might lapse, only if the investee has communicated the timing to the reporting entity or publicly announced it and 2) Clarification that the measurement uncertainty disclosure is to communicate information about the uncertainty in measurement as of the reporting date and not possible future changes. • Additions : 1) Changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and 2) Range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements. Alternatively, an entity may disclose other quantitative information (such as the median or arithmetic average) if it determines that it is a more reasonable and rational method to reflect the distribution of unobservable inputs used. Disclosure amendments related to changes in unrealized gains and losses included in other comprehensive income (loss) for Level 3 instruments, the range and weighted average of significant unobservable inputs, and the narrative description of measurement uncertainty were applied prospectively only for the most recent interim or annual period presented. All other disclosure amendments were applied retrospectively to all periods presented. Refer to Note 7. Fair Value Measurements for further disclosures. VIE Related Party Guidance In October 2018, the FASB issued ASU 2018-17, Consolidation (Topic 810) - Targeted Improvements to Related Party Guidance for Variable Interest Entities. To determine whether a decision-making fee is a variable interest, under the new guidance a reporting entity must consider indirect interests held through related parties under common control on a proportional basis rather than as a direct interest in its entirety (as was previously required under prior GAAP). These amendments create alignment between determining whether a decision making fee is a variable interest and determining whether a reporting entity within a related party group is the primary beneficiary of a VIE. Adoption of this ASU did not impact Ambac's financial statements. Cloud Computing Arrangement Service Contracts In August 2018, the FASB issued ASU 2018-15, Intangibles—Goodwill and Other— Internal-Use Software (Subtopic 350-40) - Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract. The new guidance requires a customer in a cloud computing arrangement that is a service contract to capitalize certain implementation costs as if the arrangement was an internal-use software project. The internal-use software guidance requires the capitalization of certain costs incurred only during the application development stage. That guidance also requires entities to expense costs during the preliminary project and post-implementation stages as they are incurred. Adoption of this ASU did not impact Ambac's financial statements. Future Application of Accounting Standards: Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The ASU provides companies with optional guidance to ease the potential accounting burden related to transitioning away from reference rates, such as LIBOR, that are expected to be discontinued as a result of initiatives undertaken by various jurisdictions around the world. For example, under current GAAP, contract modifications which change a reference rate are required to be evaluated in determining whether the modifications result in the establishment of new contracts or the continuation of existing contracts. The amendments in this ASU provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The ASU can be applied prospectively as of the beginning of the interim period that includes March 12, 2020 (January 1, 2020 for calendar year companies) or any date thereafter, but does not apply to contract modifications and other transactions entered into or evaluated after December 31, 2022. Management has not determined if and when it will adopt this ASU, and the impact on Ambac's financial statements is being evaluated. |
Special Purpose Entities, Inclu
Special Purpose Entities, Including Variable Interest Entities | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Special Purpose Entities, Including Variable Interest Entities | 3. VARIABLE INTEREST ENTITIES A mbac, with its subsidiaries, has engaged in transactions with variable interest entities ("VIEs,") in various capacities. • Ambac provides financial guarantees, including credit derivative contracts, for various debt obligations issued by special purpose entities, including VIEs ("FG VIEs"); • Ambac sponsors special purpose entities that issued notes to investors for various purposes; and • Ambac is an investor in collateralized debt obligations, mortgage-backed and other asset-backed securities issued by VIEs and its ownership interest is generally insignificant to the VIE and/or Ambac does not have rights that direct the activities that are most significant to such VIE. FG VIEs: Ambac’s subsidiaries provide financial guarantees in respect of assets held or debt obligations of VIEs. Ambac’s primary variable interest exists through this financial guarantee insurance or credit derivative contract. The transaction structures provide certain financial protection to Ambac. Generally, upon deterioration in the performance of a transaction or upon an event of default as specified in the transaction legal documents, Ambac will obtain certain control rights that enable Ambac to remediate losses. These rights may enable Ambac to direct the activities of the entity that most significantly impact the entity’s economic performance. Under a 2018 Stipulation and Order, the OCI requires Ambac Assurance to obtain their approval with respect to the exercise of certain significant control rights in connection with policies that had previously been allocated to the Segregated Account. Accordingly, Ambac Assurance does not have the right to direct the most significant activities of those FG VIEs. • We determined that Ambac’s subsidiaries generally have the obligation to absorb a FG VIE's expected losses given that they have issued financial guarantees supporting certain liabilities (and in some cases certain assets). As further described below, Ambac consolidates certain FG VIEs in cases where we also have the power to direct the activities that most significantly impact the VIE’s economic performance due to one or more of the following: (i) the transaction experiencing deterioration and breaching performance triggers, giving Ambac the ability to exercise certain control rights, (ii) Ambac being involved in the design of the VIE and receiving control rights from its inception, such as may occur from loss remediation activities, or (iii) the transaction not experiencing deterioration, however due to the passive nature of the VIE, Ambac's contingent control rights upon a future breach of performance triggers is considered to be the power over the most significant activity. • A VIE is deconsolidated in the period that Ambac no longer has such control rights, which could occur in connection with the execution of remediation activities on the transaction or amortization of insured exposure, either of which may reduce the degree of Ambac’s control over a VIE. • Assets and liabilities of FG VIEs that are consolidated are reported within Variable interest entity assets or Variable interest entity liabilities on the Consolidated Balance Sheets. • The election to use the fair value option is made on an instrument by instrument basis. Ambac has elected the fair value option for consolidated FG VIE financial assets and financial liabilities, except in cases where Ambac was involved in the design of the VIE and was granted control rights at its inception. ◦ When the fair value option is elected, changes in the fair value of the FG VIE's financial assets and liabilities are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income (Loss), except for the portion of the total change in fair value of financial liabilities caused by changes in the instrument-specific credit risk which is presented separately in Other comprehensive income (loss). ◦ In cases where the fair value option has not been elected, the FG VIE's invested assets are fixed income securities and are considered available-for-sale as defined by the Investments - Debt Securities Topic of the ASC. These assets are reported in the financial statements at fair value with unrealized gains and losses reflected in Accumulated Other Comprehensive Income in Stockholders' Equity. The financial liabilities of these FG VIEs consist of long term debt obligations and are carried at par less unamortized discount. Income from the FG VIE's available-for-sale securities (including investment income, realized gains and losses and credit impairments as applicable) and interest expense on long term debt are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income (Loss). • Upon initial consolidation of a FG VIE, Ambac recognizes a gain or loss in earnings for the difference between: (i) the fair value of the consideration paid, the fair value of any non-controlling interests and the reported amount of any previously held interests and (ii) the net amount, as measured on a fair value basis, of the assets and liabilities consolidated. Upon deconsolidation of a FG VIE, we recognize a gain or loss for the difference between: (i) the fair value of any consideration received, the fair value of any retained non-controlling investment in the VIE and the carrying amount of any non-controlling interest in the VIE and (ii) the carrying amount of the VIE’s assets and liabilities. Gains or losses from consolidation and deconsolidation that are reported in earnings are reported within Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). • The impact of consolidating such FG VIEs on Ambac’s balance sheet is the elimination of transactions between the consolidated FG VIEs and Ambac’s operating subsidiaries and the inclusion of the FG VIE’s third party assets and liabilities. For a financial guarantee insurance policy issued to a consolidated VIE, Ambac does not reflect the financial guarantee insurance policy in accordance with the related insurance accounting rules under the Financial Services – Insurance Topic of the ASC. Consequently, upon consolidation, Ambac eliminates the insurance assets and liabilities associated with the policy from the Consolidated Balance Sheets. Such insurance assets and liabilities may include premium receivables, reinsurance recoverable, deferred ceded premium, subrogation recoverable, unearned premiums, loss and loss expense reserves, ceded premiums payable and insurance intangible assets. For investment securities owned by Ambac that are debt instruments issued by the VIE, the investment securities balance is eliminated upon consolidation. FG VIEs which are consolidated may include non-recourse assets or liabilities. FG VIEs' liabilities (and in some cases assets) that are insured by the Company are with recourse, because the Company guarantees the payment of principal and interest in the event the issuer defaults. FG VIEs' assets and liabilities that are not insured by the Company are without recourse, because Ambac has not issued a financial guarantee and is under no obligation for the payment of principal and interest of these instruments. Therefore, the Company’s exposure to consolidated FG VIEs is limited to the financial guarantees issued for recourse assets and liabilities and any additional variable interests held by Ambac. Additionally, Ambac’s general creditors, other than those specific policy holders which own the VIE debt obligations, do not have rights with regard to the assets of the VIEs. Ambac evaluates the net income effects and earnings per share effects to determine attributions between Ambac and non-controlling interests as a result of consolidating a VIE. Ambac has determined that the net income and earnings per share effect of consolidated FG VIEs are attributable to Ambac’s interests through financial guarantee premium and loss payments with the VIE. The following table summarizes the carrying values of assets and liabilities, along with other supplemental information related to VIEs that are consolidated as a result of financial guarantees of Ambac UK and Ambac Assurance: March 31, 2020 December 31, 2019 Ambac UK Ambac Assurance Total VIEs Ambac UK Ambac Assurance Total VIEs Fixed income securities, at fair value: Corporate obligations, fair value option $ 2,806 $ — $ 2,806 $ 2,957 $ — $ 2,957 Municipal obligations, available-for-sale (1) — 122 122 — 164 164 Total FG VIE fixed income securities, at fair value 2,806 122 2,928 2,957 164 3,121 Restricted cash 1 1 2 1 1 2 Loans, at fair value (2) 2,932 — 2,932 3,108 — 3,108 Derivative assets 62 — 62 52 — 52 Other assets — 1 1 1 2 3 Total FG VIE assets $ 5,801 $ 124 $ 5,925 $ 6,119 $ 167 $ 6,286 Accrued interest payable $ — $ — $ — $ 1 $ — $ 1 Long-term debt: Long-term debt, at fair value (3) 4,092 — 4,092 4,351 — 4,351 Long-term debt, at par less unamortized discount — 171 171 — 203 203 Total long-term debt 4,092 171 4,263 4,351 203 4,554 Derivative liabilities 1,610 — 1,610 1,657 — 1,657 Total FG VIE liabilities $ 5,702 $ 171 $ 5,873 $ 6,009 $ 203 $ 6,212 Number of FG VIEs consolidated 6 1 7 6 1 7 (1) Available-for-sale FG VIE fixed income securities consist of municipal obligations with an amortized cost basis of $116 and $139 , and aggregate gross unrealized gains and (losses) of $6 and $25 at March 31, 2020 and December 31, 2019 , respectively. All such securities had contractual maturities due after ten years as of March 31, 2020 . (2) The unpaid principal balances of loan assets carried at fair value were $2,439 as of March 31, 2020 and $2,618 as of December 31, 2019 . (3) The unpaid principal balances of long-term debt carried at fair value were $3,550 as of March 31, 2020 and $3,800 as of December 31, 2019 . The following schedule details the components of Income (loss) on variable interest entities for the affected periods: Three Months Ended March 31, 2020 2019 Net change in fair value of VIE assets and liabilities reported under the fair value option $ — $ 2 Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss) (4 ) — Net change in fair value of VIE assets and liabilities reported in earnings (4 ) 2 Investment income on available-for-sale securities 2 2 Net realized investment gains (losses) on available-for-sale securities 8 — Interest expense on long-term debt carried at par less unamortized cost (2 ) (2 ) Other expenses — — Gain (loss) from consolidating FG VIEs — 15 Income (loss) on variable interest entities $ 3 $ 16 As further discussed in Note 7. Financial Guarantee Insurance Contracts in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, on February 12, 2019, in connection with the COFINA POA, the COFINA Class 2 Trust was established. Ambac was required to consolidate the COFINA Class 2 Trust, which resulted in a gain of $15 . The 2019 balance sheet impact of this additional VIE on the date of consolidation was an increase to total consolidated assets and liabilities by $292 and $364 , respectively. Ambac did not consolidate any VIE for the three months ended March 31, 2020. Ambac also deconsolidated no VIE for the three months ended March 31, 2020 , and no VIEs for the three months ended March 31, 2019 . 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 March 31, 2020 and December 31, 2019 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) March 31, 2020: Global structured finance: Mortgage-backed—residential $ 5,063 $ 2,075 $ 609 — Other consumer asset-backed 1,276 30 235 — Other commercial asset-backed 100 3 2 — Other 1,046 6 18 9 Total global structured finance 7,485 2,114 864 9 Global public finance 22,533 285 329 (2 ) Total $ 30,018 $ 2,399 $ 1,193 $ 7 December 31, 2019: Global structured finance: Mortgage-backed—residential $ 5,373 $ 1,913 $ 523 $ — Other consumer asset-backed 1,373 31 216 — Other commercial asset-backed 314 9 6 — Other 1,107 7 18 8 Total global structured finance 8,165 1,961 762 8 Global public finance 23,341 287 321 — Total $ 31,506 $ 2,247 $ 1,083 $ 7 (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 credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets. Ambac Sponsored Non-consolidated VIEs: In 1994, Ambac established a VIE to provide certain financial guarantee clients with funding for their debt obligations. This VIE was established as a separate legal entity, demonstrably distinct from Ambac and that Ambac, its affiliates or its agents could not unilaterally dissolve. The permitted activities of this entity are contractually limited to purchasing assets from Ambac, issuing medium-term notes ("MTNs") to fund such purchases, executing derivative hedges and obtaining financial guarantee policies with respect to indebtedness incurred. Ambac does not consolidate this entity because the exercise of related control rights in such policies remain subject to OCI approval under the Stipulation and Order, as discussed above. Ambac elected to account for its equity interest in this entity at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC. We believe that the fair value of the investments in this entity provides for greater transparency for recording profit or loss as compared to the equity method under the Investments – Equity Method and Joint Ventures Topic of the ASC. Refer to Note 7. Fair Value Measurements for further information on the valuation technique and inputs used to measure the fair value of Ambac’s equity interest in this entity. At March 31, 2020 and December 31, 2019 the fair value of this entity was $3 and $3 , respectively, and is reported within Other assets on the Consolidated Balance Sheets. • Total principal amount of debt outstanding was $378 and $403 at March 31, 2020 and December 31, 2019 , respectively. In each case, Ambac sold assets to this entity, which are composed of utility obligations with a weighted average rating of BBB+ at March 31, 2020 and weighted average life of 0.9 years . The purchase by this entity of financial assets was financed through the issuance of MTNs, which are cross-collateralized by the purchased assets. The MTNs have the same expected weighted average life as the purchased assets. Derivative contracts (interest rate swaps) are used within the entity for economic hedging purposes only. Derivative positions were established at the time MTNs were issued to purchase financial assets. As of March 31, 2020 Ambac Assurance had financial guarantee insurance policies issued for all assets, MTNs and derivative contracts owned and outstanding by the entity. • Insurance premiums paid to Ambac Assurance by this entity are earned in a manner consistent with other insurance policies, over the risk period. Additionally, any losses incurred on such insurance policies are included in Ambac’s Consolidated Statements of Total Comprehensive Income (Loss). Under the terms of an Administrative Agency Agreement, Ambac provides certain administrative duties, primarily collecting amounts due on the obligations and making interest payments on the MTNs. On August 28, 2014, Ambac monetized its ownership of the junior surplus note issued to it by Ambac Assurance by depositing the junior surplus note into a newly formed VIE trust in exchange for cash and an owner trust certificate, which represents Ambac's right to residual cash flows from the junior surplus note. Ambac does not consolidate the VIE since it does not have a variable interest in the trust. Ambac reports its owner trust certificate as an equity investment within Other investments on the Consolidated Balance Sheets with associated results from operations included within Net investment income (loss): Other investments on the Consolidated Statements of Total Comprehensive Income (Loss). The equity investment had a carrying value of $47 and $46 as of March 31, 2020 and December 31, 2019 , respectively. On February 12, 2018, Ambac formed a VIE, Ambac LSNI, LLC ("Ambac LSNI"). Ambac LSNI issued Secured Notes in connection with the Rehabilitation Exit Transactions. Ambac does not consolidate the VIE since it does not have a variable interest in the trust. Ambac reports its holdings of Secured Notes within Fixed Income Securities in the Consolidated Balance Sheets. The carrying value of Secured Notes held by Ambac was $495 and $535 at March 31, 2020 and December 31, 2019 , respectively. Ambac's debt obligation to the VIE (the Ambac Note) had a carrying value of $1,685 and $1,763 at March 31, 2020 and December 31, 2019 , respectively, and is reported within Long-term debt on the Consolidated Balance Sheets. |
Comprehensive Income
Comprehensive Income | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Comprehensive Income | 4. COMPREHENSIVE INCOME The following tables detail the changes in the balances of each component of accumulated other comprehensive income for the affected periods: Unrealized Gains (1) Amortization of (1) Gain (Loss) on (1) Credit Risk Changes of Fair Value Option Liabilities (1) (2) Total Three Months Ended March 31, 2020: Beginning Balance $ 151 $ 8 $ (116 ) $ (2 ) $ 42 Other comprehensive income (loss) before reclassifications (139 ) (2 ) (46 ) — (187 ) Amounts reclassified from accumulated other comprehensive income (loss) (7 ) — — 3 (4 ) Net current period other comprehensive income (loss) (146 ) (2 ) (46 ) 3 (191 ) Balance at March 31, 2020 $ 5 $ 6 $ (162 ) $ 2 $ (149 ) Three Months Ended March 31, 2019: Beginning Balance $ 86 $ 9 $ (142 ) $ (2 ) $ (49 ) Other comprehensive income (loss) before reclassifications 73 1 15 — 89 Amounts reclassified from accumulated other comprehensive income (loss) (17 ) — — — (17 ) Net current period other comprehensive income (loss) 56 — 15 — 71 Balance at March 31, 2019 $ 142 $ 9 $ (127 ) $ (2 ) $ 23 (1) All amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate reductions to Accumulated Other Comprehensive Income. (2) Represents the changes in fair value attributable to instrument-specific credit risk of liabilities for which the fair value option is elected. The following table details the significant amounts reclassified from each component of accumulated other comprehensive income, shown in the above rollforward tables, for the affected periods: Details about Accumulated Other Comprehensive Income Components Amount Reclassified from Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, 2020 2019 Unrealized Gains (Losses) on Available-for-Sale Securities $ (8 ) $ (17 ) Net realized investment gains (losses) and other-than-temporary impairment losses 1 (1 ) Provision for income taxes $ (7 ) $ (17 ) Net of tax and noncontrolling interest Amortization of Postretirement Benefit Prior service cost $ — $ — Other income Actuarial (losses) — — Other income — — Total before tax — — Provision for income taxes $ — $ — Net of tax and noncontrolling interest Credit risk changes of fair value option liabilities $ 4 $ — Credit Risk Changes of Fair Value Option Liabilities (1 ) — Provision for income taxes $ 3 $ — Net of tax and noncontrolling interest Total reclassifications for the period $ (4 ) $ (17 ) Net of tax and noncontrolling interest |
Net Income Per Share
Net Income Per Share | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Net Income Per Share | 5. NET INCOME PER SHARE As of March 31, 2020 , 45,779,023 shares of Ambac's common stock (par value $0.01 ) and warrants entitling holders to acquire up to 4,877,749 shares of new common stock at an exercise price of $16.67 per share were issued and outstanding. Common shares outstanding increased by 223,623 during the three months ended March 31, 2020 , primarily due to settlements of employee restricted and performance stock units. Basic net income per share is computed by dividing net income attributable to common stockholders by the weighted-average number of common shares outstanding and vested restricted stock units (together, "Basic Weighted Average Shares Outstanding"). Diluted net income per share is computed by dividing net income attributable to common stockholders by the Basic Weighted Average Shares Outstanding plus all potential dilutive common shares outstanding during the period. All potential dilutive common shares outstanding consider common stock deliverable pursuant to warrants, vested and unvested options, unvested restricted stock units and performance stock units granted under employee and director compensation plans. The following table provides a reconciliation of the common shares used for basic net income per share to the diluted shares used for diluted net income per share: Three Months Ended March 31, 2020 2019 Basic weighted average shares outstanding 46,060,324 45,832,297 Effect of potential dilutive shares (1) : Stock options — — Warrants — — Restricted stock units — — Performance stock units (2) — — Diluted weighted average shares outstanding 46,060,324 45,832,297 Anti-dilutive shares excluded from the above reconciliation: Stock options 16,667 16,667 Warrants 4,877,749 4,877,783 Restricted stock units 236,189 271,763 Performance stock units (2) 738,039 478,739 (1) For the three months ended March 31, 2020 and the three months ended March 31, 2019 , Ambac had a net loss and accordingly excluded all potentially dilutive securities from the determination of diluted loss per share as their impact was anti-dilutive. (2) Performance stock units are reflected based on the performance metrics through the balance sheet date. Vesting of these units is contingent upon meeting certain performance metrics. Although a portion of these performance metrics have been achieved as of the respective period end, it is possible that awards may no longer meet the metric at the end of the performance period. |
Financial Guarantee Insurance C
Financial Guarantee Insurance Contracts | 3 Months Ended |
Mar. 31, 2020 | |
Insurance [Abstract] | |
Financial Guarantee Insurance Contracts | 6. FINANCIAL GUARANTEE INSURANCE CONTRACTS Amounts presented in this Note relate only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, including VIEs, for which we do not consolidate the VIE. Net Premiums Earned: Gross premiums are received either upfront or in installments. For premiums received upfront, an unearned premium revenue (“UPR”) liability is established, which is initially recorded as the cash amount received. For installment premium transactions, a premium receivable asset and offsetting UPR liability is initially established in an amount equal to: (i) the present value of future contractual premiums due (the “contractual” method) or (ii) if the assets underlying the insured obligation are homogenous pools which are contractually prepayable, the present value of premiums to be collected over the expected life of the transaction (the “expected” method). An appropriate risk-free rate corresponding to the weighted average life of each policy and currency is used to discount the future premiums contractually due or expected to be collected. For example, U.S. dollar exposures are discounted using U.S. Treasury rates. The weighted average risk-free rate at March 31, 2020 and December 31, 2019 , was 2.2% and 2.4% , respectively, and the weighted average period of future premiums used to estimate the premium receivable at March 31, 2020 and December 31, 2019 , was 8.7 years and 8.5 years, respectively. Below is the gross premium receivable roll-forward for the respective periods, net of allowance for credit losses: Three Months Ended March 31, 2020 2019 Beginning premium receivable $ 416 $ 495 Adjustment to initially apply ASU 2016-13 (3 ) — Premium receipts (12 ) (13 ) Adjustments for changes in expected and contractual cash flows (1) 10 — Accretion of premium receivable discount 2 3 Changes to allowance for credit losses (2 ) — Other adjustments (including foreign exchange) (8 ) 2 Ending premium receivable (2) $ 403 $ 487 (1) Adjustments for changes in expected and contractual cash flows primarily due to changes in indexation rates on certain UK transactions partially offset by reductions in insured exposure as a result of early policy terminations and unscheduled principal paydowns. (2) Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At March 31, 2020 and 2019 , premium receivables include British Pounds of $128 ( £103 ) and $142 ( £109 ), respectively, and Euros of $24 ( €22 ) and $30 ( €27 ), respectively. When a bond issue insured by Ambac Assurance has been retired early, typically due to an issuer call, any remaining UPR is recognized at that time to the extent the financial guarantee contract is legally extinguished, causing accelerated premium revenue. For installment premium paying transactions, we offset the recognition of any remaining UPR by the reduction of the related premium receivable to zero (as it will not be collected as a result of the retirement), which may cause negative accelerated premium revenue. Ambac’s accelerated premium revenue for retired obligations for the three months ended March 31, 2020 and 2019 was less than a million dollars and $12 , respectively. The effect of reinsurance on premiums written and earned for the respective periods was as follows: Three Months Ended March 31, 2020 2019 Written Earned Written Earned Direct $ 11 $ 13 $ 3 $ 29 Assumed — 1 — — Ceded (1 ) 3 (1 ) 2 Net premiums $ 12 $ 10 $ 4 $ 28 The following table summarizes net premiums earned by location of risk for the respective periods: Three Months Ended March 31, 2020 2019 United States $ 7 $ 28 United Kingdom 4 4 Other international — (5 ) Total $ 10 $ 28 The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at March 31, 2020 : Future Premiums Collected (1) Future (2) Three months ended: June 30, 2020 $ 12 $ 10 September 30, 2020 10 10 December 31, 2020 10 10 Twelve months ended: December 31, 2021 37 36 December 31, 2022 35 34 December 31, 2023 34 32 December 31, 2024 32 30 Five years ended: December 31, 2029 142 125 December 31, 2034 104 83 December 31, 2039 52 38 December 31, 2044 23 14 December 31, 2049 9 5 December 31, 2054 1 1 Total $ 501 $ 428 (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 Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2019 . 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. Credit impairment (Premium receivables and reinsurance recoverables): Management evaluates premium receivables and reinsurance recoverables for expected credit losses ("credit impairment") in accordance with the new CECL standard adopted January 1, 2020, which is further described in Note 2. Basis of Presentation and Significant Accounting Policies . Management's evaluation of credit impairment under prior GAAP rules was not materially different. Most credit impairment disclosures below were only made prospectively from the CECL adoption date as they were not required under prior GAAP rules. As further discussed in Note 2. Basis of Presentation and Significant Accounting Policies , the key indicator management uses to assess the credit quality of premium receivables is Ambac's internal risk classifications for the insured obligation determined by the Risk Management Group. Below is the amortized cost basis of premium receivables by risk classification code and asset class as of March 31, 2020 : Surveillance Categories as of March 31, 2020 Type of Guaranteed Bond I IA II III IV Total Public Finance: Housing revenue $ 162 $ 13 $ — $ — $ — $ 175 Other 16 — — — — 16 Total Public Finance 178 13 — — — 191 Structured Finance: Mortgage-backed and home equity 4 — 1 3 18 26 Structured insurance 19 — — — — 19 Student loan 4 — 3 13 — 19 Other 6 — — — — 6 Total Structured Finance 32 — 4 16 18 70 International: Sovereign/sub-sovereign 86 13 — 14 — 113 Investor-owned and public utilities 29 — — — — 29 Other 15 — — — — 15 Total International 130 13 — 14 — 157 Total (1) $ 340 $ 26 $ 4 $ 30 $ 18 $ 417 (1) The underwriting origination dates for all policies included are greater than five years prior to the current reporting date. Below is a rollforward of the premium receivable allowance for credit losses as of March 31, 2020: Beginning balance (1) $ 9 Current period provision (2) 5 Write-offs of the allowance — Recoveries of previously written-off amounts — Ending balance $ 14 (1) At December 31, 2019, $9 of premiums receivable were deemed uncollectible as determined under prior GAAP rules. (2) Includes $3 from the adoption of ASU 2016-13 on January 1, 2020. At March 31, 2020 , Ambac had past due premiums of $1 , of which $1 was over 120 days past due and has been included in the allowance for credit losses. The key indicator management uses to assess the credit quality of reinsurance recoverables is collateral posted by the reinsurers and independent rating agency credit ratings. For all reinsurance contracts where Ambac has recorded a recoverable, the fair value of collateral posted by the reinsurer to Ambac Assurance exceeds Ambac Assurance's reinsurance recoverable carrying value, net of ceded premiums payable. As a result, Ambac Assurance has no net credit exposure and there is no allowance for credit losses at March 31, 2020 . Loss and Loss Expense Reserves: Ambac’s loss and loss expense reserves (“loss reserves”) are based on management’s on-going review of the financial guarantee credit portfolio. Below are the components of the loss reserves liability and the Subrogation recoverable asset at March 31, 2020 and December 31, 2019 : March 31, 2020: December 31, 2019: Present Value of Expected Unearned Gross Loss and Present Value of Expected Unearned Gross Loss and Balance Sheet Line Item Claims and Recoveries Claims and Recoveries Loss and loss expense reserves $ 2,112 $ (245 ) $ (70 ) $ 1,797 $ 1,835 $ (233 ) $ (54 ) $ 1,548 Subrogation recoverable 135 (2,327 ) — (2,192 ) 131 (2,160 ) — (2,029 ) Totals $ 2,247 $ (2,572 ) $ (70 ) $ (395 ) $ 1,966 $ (2,394 ) $ (54 ) $ (482 ) Below is the loss reserves roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: Three Months Ended March 31, 2020 2019 Beginning gross loss and loss expense reserves $ (482 ) $ (107 ) Reinsurance recoverable 26 23 Beginning balance of net loss and loss expense reserves (508 ) (130 ) Losses and loss expenses (benefit): Current year 27 1 Prior years 90 12 Total (1) (2) 117 12 Loss and loss expenses paid (recovered): Current year — — Prior years 39 64 Total 39 64 Foreign exchange effect — 6 Ending net loss and loss expense reserves (430 ) (176 ) Impact of VIE consolidation — (72 ) Reinsurance recoverable (3) 35 26 Ending gross loss and loss expense reserves $ (395 ) $ (222 ) (1) Total losses and loss expenses (benefit) includes $(10) and $(5) for the three months ended March 31, 2020 and 2019 , 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&Ws for the three months ended March 31, 2020 and 2019 was $(36) and $4 , 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 March 31, 2020 and 2019 , respectively, related to previously presented loss and loss expenses and subrogation. For 2020 , the adverse development in prior years was primarily a result of deterioration in Public Finance credits, primarily Puerto Rico, partially offset by positive development in the RMBS portfolio. For 2019 , the adverse development in prior years was primarily a result of deterioration in Public Finance credits, partially offset by positive development in the RMBS and Ambac UK portfolios. The tables below summarize information related to policies currently included in Ambac’s loss reserves or subrogation recoverable at March 31, 2020 and December 31, 2019 . 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 March 31, 2020 and December 31, 2019 was 0.9% and 2.1% , respectively. Surveillance Categories as of March 31, 2020 I IA II III IV V Total Number of policies 33 22 14 16 136 3 224 Remaining weighted-average contract period (in years) (1) 24 21 9 17 15 2 15 Gross insured contractual payments outstanding: Principal $ 727 $ 483 $ 607 $ 1,524 $ 3,667 $ 37 $ 7,046 Interest 394 507 512 326 1,608 11 3,358 Total $ 1,121 $ 991 $ 1,119 $ 1,850 $ 5,275 $ 48 $ 10,404 Gross undiscounted claim liability $ 18 $ 44 $ 41 $ 521 $ 1,778 $ 48 $ 2,450 Discount, gross claim liability (1 ) (2 ) (1 ) (71 ) (184 ) — (259 ) Gross claim liability before all subrogation and before reinsurance 17 42 41 450 1,594 47 2,191 Less: Gross RMBS subrogation (2) — — — — (1,771 ) — (1,771 ) Discount, RMBS subrogation — — — — 7 — 7 Discounted RMBS subrogation, before reinsurance — — — — (1,764 ) — (1,764 ) Less: Gross other subrogation (3) — — — (39 ) (777 ) (13 ) (829 ) Discount, other subrogation — — — 1 18 1 21 Discounted other subrogation, before reinsurance — — — (38 ) (759 ) (11 ) (809 ) Gross claim liability, net of all subrogation and discounts, before reinsurance 17 42 41 412 (929 ) 36 (381 ) Less: Unearned premium revenue (2 ) (9 ) (5 ) (19 ) (34 ) — (70 ) Plus: Loss expense reserves — 1 1 4 50 — 55 Gross loss and loss expense reserves $ 15 $ 34 $ 36 $ 397 $ (914 ) $ 36 $ (395 ) Reinsurance recoverable reported on Balance Sheet (4) $ — $ 6 $ 9 $ 27 $ (7 ) $ — $ 36 (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 $35 related to future loss and loss expenses and $1 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2019 I IA II III IV V Total Number of policies 34 18 11 16 139 3 221 Remaining weighted-average contract period (in years) (1) 8 21 9 17 14 3 15 Gross insured contractual payments outstanding: Principal $ 668 $ 510 $ 277 $ 857 $ 3,819 $ 37 $ 6,168 Interest 340 507 128 366 1,678 11 3,029 Total $ 1,007 $ 1,016 $ 404 $ 1,223 $ 5,498 $ 48 $ 9,197 Gross undiscounted claim liability $ 2 $ 44 $ 21 $ 541 $ 1,778 $ 48 $ 2,434 Discount, gross claim liability — (5 ) (1 ) (152 ) (381 ) (2 ) (541 ) Gross claim liability before all subrogation and before reinsurance 2 39 20 389 1,397 46 1,893 Less: Gross RMBS subrogation (2) — — — — (1,777 ) — (1,777 ) Discount, RMBS subrogation — — — — 49 — 49 Discounted RMBS subrogation, before reinsurance — — — — (1,727 ) — (1,727 ) Less: Gross other subrogation (3) — — — (41 ) (666 ) (13 ) (720 ) Discount, other subrogation — — — 4 47 3 53 Discounted other subrogation, before reinsurance — — — (37 ) (620 ) (10 ) (666 ) Gross claim liability, net of all subrogation and discounts, before reinsurance 2 39 20 353 (950 ) 36 (501 ) Less: Unearned premium revenue (1 ) (9 ) (1 ) (7 ) (35 ) — (54 ) Plus: Loss expense reserves 1 1 1 4 67 — 73 Gross loss and loss expense reserves $ 1 $ 30 $ 20 $ 349 $ (918 ) $ 36 $ (482 ) Reinsurance recoverable reported on Balance Sheet (4) $ — $ 6 $ 7 $ 24 $ (10 ) $ — $ 26 (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 Balance Sheet includes reinsurance recoverables of $26 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. COVID-19 As a result of the COVID-19 related economic disruption on markets where Ambac provides financial guarantees, including lower tax, project, and business revenues and increases in forbearances or delinquencies on mortgage and student loan payments, we have increased our loss reserves. The duration and depth of the recession; actions such as monetary policy and fiscal stimulus, including the CARES Act in the US that was signed into law on March 27, 2020, and future fiscal stimulus programs; and our insured obligors' financial flexibility and ability to mitigate the operational and economic impact of the recession will determine the ultimate impact to Ambac's insured portfolio. Accordingly, our loss reserves may be under-estimated as a result of the ultimate scope, duration and magnitude of the effects of COVID-19. Puerto Rico: Ambac has exposure to the Commonwealth of Puerto Rico (the "Commonwealth") and its instrumentalities across several different issuing entities with total net par exposure of $1,105 . Components of Puerto Rico net par outstanding include capital appreciation bonds which are reported at the par amount at the time of issuance of the related insurance policy as opposed to the current accreted value of the bonds. Each issuing entity has its own credit risk profile attributable to discrete revenue sources, direct general obligation pledges or general obligation guarantees. The Commonwealth of Puerto Rico and certain of its instrumentalities have defaulted and may continue to default on debt service payments, including payments owed on bonds insured by Ambac Assurance. Ambac Assurance may be required to make significant amounts of policy payments over the next several years, the recoverability of which is subject to great uncertainty, which may lead to a material increase in permanent losses causing a material adverse impact on our results of operations and financial condition. Our exposure to Puerto Rico is impacted by the amount of monies available for debt service, which is in turn affected by a number of factors including demographic trends, economic conditions (including the impact from the COVID-19 pandemic), tax policy and revenues, impact of reforms, fiscal plans, government actions, political instability, budgetary performance and flexibility, weather and seismic events, litigation outcomes, as well as federal funding of Commonwealth needs. In the near term, the financial and economic outlook for Puerto Rico is dependent upon a still fragile infrastructure, heightening its vulnerability to additional natural disasters. The longer term recovery of the Commonwealth economy and its essential infrastructure will likely be dependent on, among other factors, the management, usage and efficacy of federal resources. It is difficult to predict the long-term capacity and willingness of the Puerto Rico government and its instrumentalities to pay debt service on bonded debt and how their debt burden and financial flexibility might affect Ambac Assurance's claim potential, risk profile and long-term financial strength. Substantial uncertainty exists with respect to the ultimate outcome for creditors in Puerto Rico, such as Ambac Assurance, due to, amongst other matters, legislation enacted by the Commonwealth and the federal government, including PROMESA; actions taken pursuant to such laws, including the Title III filings; the economic consequences of the COVID-19 pandemic; as well as political uncertainty and leadership turnover. Ambac Assurance is involved in multiple litigations relating to actions taken by the Commonwealth or the Financial Oversight and Management Board for Puerto Rico (the “Oversight Board”) pursuant to certain enacted legislation, court rulings, and other issues and may not be successful in pursuing claims or protecting its interests. As a result of litigation or other aspects of the restructuring processes, the differences among the credits insured by Ambac Assurance may not be respected. Ambac Assurance has participated and may continue to participate in mediation related to potential debt restructurings. Mediation may not be productive or may not resolve Ambac Assurance's claims in a manner that avoids significant losses. No assurances can be given that negotiations will be successfully concluded, that Commonwealth, Oversight Board and creditor parties will reach definitive agreements on additional debt restructurings, that any additional negotiated transaction debt restructuring, definitive agreement or Plans of Adjustment will be approved by the court and completed, or that any transaction or Plans of Adjustment will not have a material adverse impact on Ambac's financial condition or results of operations. It is possible that certain restructuring process solutions, together with associated legislation, budgetary, and/or public policy proposals could be adopted and could further impair our exposures, causing losses that could have a material adverse impact on our results of operations and financial condition. While our reserving scenarios account for a wide range of possible outcomes, reflecting the significant uncertainty regarding future developments and outcomes, given our exposure to Puerto Rico and the economic, fiscal, legal and political uncertainties associated therewith as well as the uncertainties emanating from the COVID-19 pandemic and the damage caused by hurricanes Maria and Irma, our loss reserves may ultimately prove to be insufficient to cover our losses, potentially having a material adverse effect on our results of operations and financial position. Ambac has considered these developments and other factors in evaluating its Puerto Rico loss reserves. During the three months ended March 31, 2020 , Ambac had incurred losses associated with its Domestic Public Finance insured portfolio of $178 , which was primarily impacted by lower discount rates and the continued uncertainty and volatility of the situation in Puerto Rico. While management believes its reserves are adequate to cover losses in its Public Finance insured portfolio, there can be no assurance that Ambac may not incur additional losses in the future, given the circumstances described herein. Such additional losses may have a material adverse effect on Ambac’s results of operations and financial condition and may result in adverse consequences such as impairing the ability of Ambac Assurance to honor its financial obligations; the initiation of rehabilitation proceedings against Ambac Assurance; decreased likelihood of Ambac Assurance delivering value to Ambac, through dividends or otherwise; and a significant drop in the value of securities issued or insured by Ambac or Ambac Assurance. For public finance credits, including Puerto Rico, for which Ambac has an estimate of expected loss at March 31, 2020 , the possible increase in loss reserves under stress or other adverse conditions and circumstances was estimated to be approximately $1,220 . This possible increase in loss reserves under stress or other adverse conditions is significant and if we were to experience such incremental losses, our stockholders’ equity as of March 31, 2020 would decrease from $1,062 to $(158) . There can be no assurance that losses may not exceed such amount. Representation and Warranty Recoveries: Ambac records estimated subrogation recoveries for breaches of R&Ws by sponsors of certain RMBS transactions. For a discussion of the approach utilized to estimate R&W subrogation recoveries, see Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . Ambac has recorded R&W subrogation recoveries of $1,764 ( $1,738 net of reinsurance) and $1,727 ( $1,702 net of reinsurance) at March 31, 2020 and December 31, 2019 , respectively. R&W recovery proceeds up to the first $1,400 and above $1,600 have been pledged as security on certain of Ambac's long-term debt obligations as described further in Note 1. Background and Business Description in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . Below is the rollforward of R&W subrogation for the affected periods: Three Months Ended March 31, 2020 2019 Discounted R&W subrogation (gross of reinsurance) at beginning of period $ 1,727 $ 1,771 All other changes (1) 36 (43 ) Discounted R&W subrogation (gross of reinsurance) at end of period $ 1,764 $ 1,727 (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. Our ability to realize R&W subrogation recoveries is subject to significant uncertainty, including risks inherent in litigation; collectability of such amounts from counterparties (and/or their respective parents and affiliates); timing of receipt of any such recoveries; intervention by OCI, which could impede our ability to take actions required to realize such recoveries; and uncertainty inherent in the assumptions used in estimating such recoveries. Failure to realize R&W subrogation recoveries for any reason or the realization of R&W subrogation recoveries materially below the amount recorded on Ambac's consolidated balance sheet would have a material adverse effect on our results of operations and financial condition and may result in adverse consequences such as impairing the ability of Ambac Assurance to honor its financial obligations; the initiation of rehabilitation proceedings against Ambac Assurance; decreased likelihood of Ambac Assurance delivering value to Ambac, through dividends or otherwise; and a significant drop in the value of securities issued or insured by Ambac or Ambac Assurance. Insurance intangible asset: The insurance intangible amortization expense is included in insurance intangible amortization on the Consolidated Statements of Total Comprehensive Income (Loss). For the three months ended March 31, 2020 and 2019 , the insurance intangible amortization expense was $13 and $36 , respectively. As of March 31, 2020 and December 31, 2019 , the gross carrying value of the insurance intangible asset was $1,261 and $1,273 , respectively. Accumulated amortization of the insurance intangible asset was $854 and $847 , as of March 31, 2020 and December 31, 2019 , respectively, resulting in a net insurance intangible asset of $406 and $427 , respectively. The estimated future amortization expense for the net insurance intangible asset is as follows: Amortization expense (1) (2) 2020 (nine months) $ 33 2021 39 2022 35 2023 32 2024 29 Thereafter 239 (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 may have the right to call or prepay certain obligations. If those bonds types are retired early, amortization expense may differ in the period of call or refinancing. (2) The weighted-average amortizations period is 7.6 years . |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 7. FAIR VALUE MEASUREMENTS The Fair Value Measurement Topic of the ASC establishes a framework for measuring fair value and disclosures about fair value measurements. Fair Value Hierarchy: The Fair Value Measurement Topic of the ASC specifies a fair value hierarchy based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company-based assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows: l Level 1 Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury and other foreign government obligations traded in highly liquid and transparent markets, certain highly liquid pooled fund investments, exchange traded futures contracts, variable rate demand obligations and money market funds. l Level 2 Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Assets and liabilities classified as Level 2 generally include investments in fixed income securities representing municipal, asset-backed and corporate obligations, certain interest rate swap contracts and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. l Level 3 Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the use of observable market data when available. Assets and liabilities classified as Level 3 include credit derivative contracts, certain uncollateralized interest rate swap contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include loan receivables, and certain long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC. The Fair Value Measurement Topic of the ASC permits, as a practical expedient, the estimation of fair value of certain investments in funds using the net asset value per share of the investment or its equivalent (“NAV”). Investments in funds valued using NAV are not categorized as Level 1, 2 or 3 under the fair value hierarchy. The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of March 31, 2020 and December 31, 2019 , including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Carrying Total Fair Fair Value Measurements Categorized as: March 31, 2020: Level 1 Level 2 Level 3 Financial assets: Fixed income securities: Municipal obligations $ 218 $ 218 $ — $ 218 $ — Corporate obligations 1,261 1,261 — 1,261 — Foreign obligations 42 42 42 — — U.S. government obligations 177 177 177 — — Residential mortgage-backed securities 203 203 — 203 — Commercial mortgage-backed securities 51 51 — 51 — Collateralized debt obligations 132 132 — 132 — Other asset-backed securities 283 283 — 217 66 Fixed income securities, pledged as collateral: Short-term 85 85 85 — — Short term investments 586 586 528 57 — Other investments (1) 363 345 84 — 30 Cash, cash equivalents and restricted cash 89 89 86 3 — Derivative assets: Credit derivatives — — — Interest rate swaps—asset position 89 89 — 10 79 Interest rate swaps—liability position (1 ) (1 ) — (1 ) — Other assets - equity in sponsored VIE 3 3 — — 3 Other assets-Loans 10 11 — — 11 Variable interest entity assets: Fixed income securities: Corporate obligations 2,806 2,806 — — 2,806 Fixed income securities: Municipal obligations 122 122 — 122 — Restricted cash 2 2 2 — — Loans 2,932 2,932 — — 2,932 Derivative assets: Currency swaps-asset position 62 62 — 62 — Total financial assets $ 9,513 $ 9,498 $ 1,004 $ 2,335 $ 5,927 Financial liabilities: Long term debt, including accrued interest $ 3,217 $ 2,924 $ — $ 2,584 $ 341 Derivative liabilities: Credit derivatives 2 2 — — 2 Interest rate swaps—asset position (1 ) (1 ) — (1 ) — Interest rate swaps—liability position 136 136 — 136 — Liabilities for net financial guarantees written (2) (763 ) 1,057 — — 1,057 Variable interest entity liabilities: Long-term debt (includes $4,092 at fair value) 4,263 4,274 — 4,115 158 Derivative liabilities: Interest rate swaps—liability position 1,610 1,610 — 1,610 — Total financial liabilities $ 8,464 $ 10,001 $ — $ 8,444 $ 1,558 Carrying Total Fair Fair Value Measurements Categorized as: December 31, 2019: Level 1 Level 2 Level 3 Financial assets: Fixed income securities: Municipal obligations $ 215 $ 215 $ — $ 215 $ — Corporate obligations 1,430 1,430 — 1,430 — Foreign obligations 44 44 44 — — U.S. government obligations 156 156 156 — — Residential mortgage-backed securities 248 248 — 248 — Commercial mortgage-backed securities 50 50 — 50 — Collateralized debt obligations 146 146 — 146 — Other asset-backed securities 287 287 — 215 72 Fixed income securities, pledged as collateral: Short-term 85 85 85 — — Short term investments 653 653 598 55 — Other investments (1) 478 493 136 — 61 Cash and cash equivalents and restricted cash 79 79 70 9 — Derivative assets: Interest rate swaps—asset position 75 75 — 8 67 Other assets - equity in sponsored VIE 3 3 — — 3 Other assets-loans 10 13 — — 13 Variable interest entity assets: Fixed income securities: Corporate obligations 2,957 2,957 — — 2,957 Fixed income securities: Municipal obligations 164 164 — 164 — Restricted cash 2 2 2 — — Loans 3,108 3,108 — — 3,108 Derivative assets: Currency swaps—asset position 52 52 — 52 — Total financial assets $ 10,242 $ 10,260 $ 1,091 $ 2,593 $ 6,281 Financial liabilities: Long term debt, including accrued interest $ 3,262 $ 3,274 $ — $ 2,829 $ 445 Derivative liabilities: Interest rate swaps—liability position 89 89 — 89 — Liabilities for net financial guarantees written (2) (863 ) 284 — — 284 Variable interest entity liabilities: Long-term debt 4,554 4,567 — 4,408 159 Derivative liabilities: Interest rate swaps—liability position 1,657 1,657 — 1,657 — Total financial liabilities $ 8,699 $ 9,872 $ — $ 8,983 $ 889 (1) Excluded from the fair value measurement categories in the table above are investment funds of $232 and $296 as of March 31, 2020 and December 31, 2019 , respectively, which are measured using NAV as a practical expedient. (2) The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. Determination of Fair Value: When available, Ambac uses quoted active market prices specific to the financial instrument to determine fair value, and classifies such items within Level 1. The determination of fair value for financial instruments categorized in Level 2 or 3 involves judgment due to the complexity of factors contributing to the valuation. Third-party sources from which we obtain independent market quotes also use assumptions, judgments and estimates in determining financial instrument values and different third parties may use different methodologies or provide different values for financial instruments. In addition, the use of internal valuation models may require assumptions about hypothetical or inactive markets. As a result of these factors, the actual trade value of a financial instrument in the market, or exit value of a financial instrument position by Ambac, may be significantly different from its recorded fair value. Ambac’s financial instruments carried at fair value are mainly comprised of investments in fixed income securities, equity interests in pooled investment funds, derivative instruments, certain variable interest entity assets and liabilities and interests in Ambac sponsored special purpose entities. Valuation of financial instruments is performed by Ambac’s finance group using methods approved by senior financial management with consultation from risk management and portfolio managers as appropriate. Preliminary valuation results are discussed with portfolio managers quarterly to assess consistency with market transactions and trends as applicable. Market transactions such as trades or negotiated settlements of similar positions, if any, are reviewed to validate fair value model results. However, many of the financial instruments valued using significant unobservable inputs have very little or no observable market activity. Methods and significant inputs and assumptions used to determine fair values across portfolios are reviewed quarterly by senior financial management. Other valuation control procedures specific to particular portfolios are described further below. Fixed Income Securities: The fair values of fixed income investment securities are based primarily on market prices received from quotes or alternative pricing sources. Because many fixed income securities do not trade on a daily basis, pricing sources apply available market information through processes such as matrix pricing to calculate fair value. Such prices generally consider a variety of factors, including recent trades of the same and similar securities. In those cases, the items are classified within Level 2. For those fixed income investments where quotes were not available or cannot be reasonably corroborated, fair values are based on internal valuation models. Key inputs to the internal valuation models generally include maturity date, coupon and yield curves for asset-type and credit rating characteristics that closely match those characteristics of the specific investment securities being valued. Items valued using valuation models are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified in Level 3 even though there may be significant inputs that are readily observable. Longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value. Generally, lower credit ratings or longer expected maturities will be accompanied by higher yields used to value a security. At March 31, 2020 , approximately 4% , 94% and 2% of the fixed income investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively. At December 31, 2019 , approximately 4% , 94% and 2% of the fixed income investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively. Ambac performs various review and validation procedures to quoted and modeled prices for fixed income securities, including price variance analyses, missing and static price reviews, overall valuation analysis by portfolio managers and finance managers and reviews associated with our ongoing impairment analysis. Unusual prices identified through these procedures will be evaluated further against alternative third party quotes (if available) and/or internally modeled prices, and the pricing source values will be challenged as necessary. Price challenges generally result in the use of the pricing source’s quote as originally provided or as revised by the source following their internal diligence process. A price challenge may result in a determination by either the pricing source or Ambac management that the pricing source cannot provide a reasonable value for a security or cannot adequately support a quote, in which case Ambac would resort to using either other quotes or internal models. Results of price challenges are reviewed by portfolio managers and finance managers. Information about the valuation inputs for fixed income securities classified as Level 3 is included below: Other asset-backed securities: This security is a subordinated tranche of a resecuritization collateralized by Ambac-insured military housing bonds. The fair value classified as Level 3 was $66 and $72 at March 31, 2020 and December 31, 2019 , respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield consistent with the security type and rating. Significant inputs for the valuation at March 31, 2020 and December 31, 2019 include the following: March 31, 2020: a. Coupon rate: 5.98% b. Average Life: 15.36 years c. Yield: 13.00% December 31, 2019: a. Coupon rate: 5.97% b. Average Life: 15.58 years c. Yield: 11.75% Other Investments: Other investments primarily relate to investments in pooled investment funds. The fair value of pooled investment funds is determined using dealer quotes or alternative pricing sources when such investments have readily determinable fair values. When fair value is not readily determinable, pooled investment funds are valued using NAV as a practical expedient as permitted under the Fair Value Measurement Topic of the ASC. Refer to Note 8. Investments for additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient. Other investments also includes Ambac's equity interest in a non-consolidated VIE created in connection with Ambac's monetization of Ambac Assurance junior surplus notes. This equity interest is carried under the equity method. Fair value for the non-consolidated VIE equity interest is internally calculated using a market approach and is classified as Level 3. Derivative Instruments: Ambac’s derivative instruments primarily comprise interest rate swaps, credit default swaps and exchange traded futures contracts. Fair value is determined based upon market quotes from independent sources, when available. When independent quotes are not available, fair value is determined using valuation models. These valuation models require market-driven inputs, including contractual terms, credit spreads and ratings on underlying referenced obligations, yield curves and tax-exempt interest ratios. The valuation of certain derivative contracts also require the use of data inputs and assumptions that are determined by management and are not readily observable in the market. Under the Fair Value Measurement Topic of the ASC, Ambac is required to consider its own credit risk when measuring the fair value of derivatives and other liabilities. Factors considered in estimating the amount of any Ambac credit valuation adjustment ("CVA") on such contracts include collateral posting provisions, right of set-off with the counterparty, the period of time remaining on the derivative and the pricing of recent terminations. The fair value of credit derivative liabilities was reduced by $0 and $0 at March 31, 2020 and December 31, 2019 , respectively, as a result of incorporating an Ambac CVA into the valuation model for these contracts. Interest rate swap liabilities are collateralized and are not adjusted with an Ambac CVA at March 31, 2020 and December 31, 2019 . Interest rate swaps that are not centrally cleared are valued using vendor-developed models that incorporate interest rates and yield curves that are observable and regularly quoted. These models provide the net present value of the derivatives based on contractual terms and observable market data. Generally, the need for counterparty (or Ambac) CVAs on interest rate derivatives is mitigated by the existence of collateral posting agreements under which adequate collateral has been posted. Certain of these derivative contracts entered into with financial guarantee customers are not subject to collateral posting agreements. Counterparty credit risk related to such customer derivative assets is included in our determination of their fair value. Ambac's remaining credit derivatives ("CDS") are valued using an internal model that uses traditional financial guarantee CDS pricing to calculate the fair value of the derivative contract based on the reference obligation's current pricing, remaining life and credit rating and Ambac's own credit risk. The model calculates the difference between the present value of the projected fees receivable under the CDS and our estimate of the fees a financial guarantor of comparable credit quality would charge to provide the same protection at the balance sheet date. Unobservable inputs used include Ambac's internal reference obligation credit ratings and expected life, estimates of fees that would be charged to assume the credit derivative obligation and Ambac's CVA. Ambac is party to only one remaining credit derivative with internal credit rating of AA at March 31, 2020 . Ambac has not made any significant changes to its modeling techniques or related model inputs for the periods presented. Financial Guarantees: Fair value of net financial guarantees written represents our estimate of the cost to Ambac to completely transfer its insurance obligation to another market participant of comparable credit worthiness. In theory, this amount should be the same amount that another market participant of comparable credit worthiness would hypothetically charge in the market place, on a present value basis, to provide the same protection as of the balance sheet date. This fair value estimate of financial guarantees is presented on a net basis and includes direct and assumed contracts written, net of ceded reinsurance contracts. Long-term Debt: Long-term debt includes Ambac Assurance surplus notes and junior surplus notes, the Ambac Note and Tier 2 Notes issued in connection with the Rehabilitation Exit Transactions and the Ambac UK debt issued in connection with the Ballantyne commutation. The fair values of surplus notes, the Ambac Note and Tier 2 Notes are classified as Level 2. The fair value of junior surplus notes and Ambac UK debt are classified as Level 3. Other Financial Assets and Liabilities: Included in Other assets are Loans and Ambac’s equity interest in an Ambac sponsored VIE established to provide certain financial guarantee clients with funding for their debt obligations. The fair values of these financial assets are estimated based upon internal valuation models and are classified as Level 3. Variable Interest Entity Assets and Liabilities: The financial assets and liabilities of VIEs consolidated under the Consolidation Topic of the ASC consist primarily of fixed income securities, loans, derivative and debt instruments and are generally carried at fair value. These consolidated VIEs are securitization entities which have liabilities and/or assets guaranteed by Ambac Assurance or Ambac UK. The fair values of VIE debt instruments are determined using the same methodologies used to value Ambac’s fixed income securities in its investment portfolio as described above. VIE debt fair value is based on market prices received from independent market sources. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. VIE debt fair value balances at March 31, 2020 and December 31, 2019 were based on market prices received from independent market sources and do not use significant unobservable inputs. Comparable to the sensitivities of investments in fixed income securities described above, longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value liability measurement for VIE debt. VIE derivative asset and liability fair values are determined using valuation models. When specific derivative contractual terms are available and may be valued primarily by reference to interest rates, foreign exchange rates and yield curves that are observable and regularly quoted, the derivatives are valued using vendor-developed models. Other derivatives within the VIEs that include significant unobservable valuation inputs are valued using internally developed models. VIE derivative liability fair value balances at March 31, 2020 and December 31, 2019 were developed using vendor-developed models and do not use significant unobservable inputs. The fair value of VIE assets are obtained from market quotes when available. Typically VIE asset fair values are not readily available from market quotes and are estimated internally. The consolidated VIEs are entities in which net cash flows from assets and derivatives (after adjusting for financial guarantor cash flows and other expenses) will be paid out to note holders or equity interests. Internal valuations of VIE assets (fixed income securities or loans), therefore, are generally derived from the fair value of notes and derivatives, as described above, adjusted for the fair value of cash flows from Ambac’s financial guarantee. The fair value of financial guarantee cash flows include: (i) estimated future premiums discounted at a rate consistent with that implicit in the fair value of the VIE’s liabilities and (ii) internal estimates of future loss payments by Ambac discounted at a rate that includes Ambac’s own credit risk. Estimated future premium payments to be paid by the VIEs were discounted at a par-weighted average rate of 2.5% and 2.7% at March 31, 2020 and December 31, 2019 , respectively. At March 31, 2020 , the range of these discount rates was between 2.3% and 11.0% . The value of future loss payments to be paid by Ambac to the VIEs was adjusted to include an Ambac CVA appropriate for the term of expected Ambac claim payments. Additional Fair Value Information for Financial Assets and Liabilities Accounted for at Fair Value: The following tables present the changes in the Level 3 fair value category for the periods presented in 2020 and 2019 . Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. Level 3 - Financial Assets and Liabilities Accounted for at Fair Value VIE Assets and Liabilities Investments Other (1) Derivatives Investments Loans Long-term Total Three Months Ended March 31, 2020: Balance, beginning of period $ 72 $ 3 $ 66 $ 2,957 $ 3,108 $ — $ 6,207 Total gains/(losses) realized and unrealized: Included in earnings — — 12 30 88 — 130 Included in other comprehensive income (6 ) — — (181 ) (190 ) — (377 ) Purchases — — — — — — — Issuances — — — — — — — Sales — — — — — — — Settlements — — (1 ) — (74 ) — (76 ) Balance, end of period $ 66 $ 3 $ 77 $ 2,806 $ 2,932 $ — $ 5,884 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — $ 12 $ 30 $ 88 $ — $ 129 The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ (6 ) $ — $ — $ (181 ) $ (190 ) $ — $ (377 ) Three Months Ended March 31, 2019: Balance, beginning of period $ 72 $ 5 $ 46 $ 2,737 $ 4,288 $ (217 ) $ 6,930 Total gains/(losses) realized and unrealized: Included in earnings — — 8 67 88 (3 ) 160 Included in other comprehensive income — — — 54 85 (4 ) 135 Purchases — — — — — — — Issuances — — — — — — — Sales — — — — — — — Settlements — — (1 ) — (85 ) — (87 ) Balance, end of period $ 72 $ 4 $ 53 $ 2,858 $ 4,376 $ (224 ) $ 7,139 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — $ 8 $ 67 $ 88 $ 3 $ 166 (1) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. Level 3 - Investments by Class: Three Months Ended March 31, Other Asset Backed Securities 2020 2019 Balance, beginning of period $ 72 $ 72 Total gains/(losses) realized and unrealized: Included in earnings — — Included in other comprehensive income (6 ) — Purchases — — Issuances — — Sales — — Settlements — — Balance, end of period $ 66 $ 72 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date (6 ) Level 3 - Derivatives by Class: Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 Interest Credit Total Interest Credit Total Balance, beginning of period $ 67 $ — $ 66 $ 47 $ (1 ) $ 46 Total gains/(losses) realized and unrealized: Included in earnings 13 (1 ) 12 8 — 8 Included in other comprehensive income — — — — — — Purchases — — — — — — Issuances — — — — — — Sales — — — — — — Settlements (1 ) — (1 ) (1 ) — (1 ) Balance, end of period $ 79 $ (2 ) $ 77 $ 54 $ (1 ) $ 53 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ 13 $ (2 ) $ 12 $ 8 $ — $ 8 Invested assets and VIE long-term debt are transferred into Level 3 when internal valuation models that include significant unobservable inputs are used to estimate fair value. All such securities that have internally modeled fair values have been classified as Level 3. Derivative instruments are transferred into Level 3 when the use of unobservable inputs becomes significant to the overall valuation. There were no transfers of financial instruments into or out of Level 3 in the periods disclosed. Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows: Net Net Gains (Losses) on Derivative Contracts Income Other Three Months Ended March 31, 2020: Total gains or losses included in earnings for the period $ — $ 12 $ 118 $ — Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date — 12 118 — Three Months Ended March 31, 2019: Total gains or losses included in earnings for the period $ — $ 8 $ 152 $ — Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date — 8 152 — |
Investments
Investments | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | 8. INVESTMENTS Ambac’s non-VIE invested assets are primarily comprised of fixed income securities classified as available-for-sale and interests in pooled investment funds 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. Other investments also include equity interests held by AFG including in an unconsolidated trust created in connection with its sale of Segregated Account junior surplus notes on August 28, 2014. Disclosures in this Note for the period ended March 31, 2020, are in accordance with the new CECL standard adopted January 1, 2020, which is more fully described in Note 2, Basis of Presentation and Significant Accounting Policies . To the extent disclosures for periods prior to January 1, 2020, made in accordance with prior GAAP rules differ from disclosures under the new CECL standard, such differences are explained below. Fixed Income Securities: The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2020 and December 31, 2019 were as follows: Amortized Allowance for Credit Losses Gross Gross Estimated March 31, 2020: Fixed income securities: Municipal obligations $ 196 $ — $ 23 $ 1 $ 218 Corporate obligations (1) 1,284 — 18 42 1,261 Foreign obligations 41 — 1 — 42 U.S. government obligations 168 — 10 — 177 Residential mortgage-backed securities 207 — 14 19 203 Commercial mortgage-backed securities 51 — 1 1 51 Collateralized debt obligations 144 — — 11 132 Other asset-backed securities 277 — 14 8 283 2,367 — 81 81 2,367 Short-term 586 — — — 586 2,953 — 81 81 2,952 Fixed income securities pledged as collateral: Short-term 85 — — — 85 Total collateralized investments 85 — — — 85 Total available-for-sale investments $ 3,038 $ — $ 81 $ 81 $ 3,037 Amortized Gross Gross Estimated Non-credit (2) December 31, 2019: Fixed income securities: Municipal obligations $ 194 $ 22 $ — $ 215 $ — Corporate obligations (1) 1,396 36 2 1,430 — Foreign obligations 44 1 — 44 — U.S. government obligations 157 2 2 156 — Residential mortgage-backed securities 200 47 — 248 — Commercial mortgage-backed securities 49 1 — 50 — Collateralized debt obligations 147 — 1 146 — Other asset-backed securities 263 24 — 287 — 2,450 132 5 2,577 — Short-term 653 — — 653 — 3,103 132 5 3,230 — Fixed income securities pledged as collateral: Short-term 85 — — 85 — Total collateralized investments 85 — — 85 — Total available-for-sale investments $ 3,187 $ 132 $ 5 $ 3,314 $ — (1) Includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. (2) At December 31, 2019, represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses at December 31, 2019. The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2020 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 683 $ 683 Due after one year through five years 1,083 1,062 Due after five years through ten years 447 462 Due after ten years 145 161 2,359 2,368 Residential mortgage-backed securities 207 203 Commercial mortgage-backed securities 51 51 Collateralized debt obligations 144 132 Other asset-backed securities 277 283 Total $ 3,038 $ 3,037 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 Income Securities: The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, excluding VIE investments, which at March 31, 2020, did not have an allowance for credit losses under the new CECL standard and, at December 31, 2019 did not have other-than-temporary impairments recorded in earnings under prior GAAP. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at March 31, 2020 and December 31, 2019 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross March 31, 2020: Fixed income securities: Municipal obligations $ 15 $ 1 $ 8 $ — $ 23 $ 1 Corporate obligations 769 42 — — 769 42 Foreign obligations 1 — — — 1 — U.S. government obligations 3 — — — 3 — Residential mortgage-backed securities 125 19 — — 125 19 Commercial mortgage-backed securities 24 1 — — 24 1 Collateralized debt obligations 99 8 33 3 132 11 Other asset-backed securities 83 7 7 1 90 8 1,119 77 48 4 1,167 81 Short-term 50 — — — 50 — Total securities $ 1,169 $ 77 $ 48 $ 4 $ 1,217 $ 81 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2019: Fixed income securities: Municipal obligations $ 13 $ — $ 10 $ — $ 23 $ — Corporate obligations 63 2 5 — 68 2 Foreign obligations 20 — — — 20 — U.S. government obligations 36 2 2 — 38 2 Residential mortgage-backed securities 5 — — — 5 — Commercial mortgage-backed securities 7 — — — 7 — Collateralized debt obligations 53 — 63 1 116 1 Other asset-backed securities 2 — 7 — 10 — 200 4 88 1 288 5 Short-term 201 — — — 201 — Total securities $ 401 $ 4 $ 88 $ 1 $ 489 $ 5 Management has determined that the securities in the above table do not have credit impairment as of March 31, 2020 and December 31, 2019 , based upon various factors, including (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 March 31, 2020 includes the expectation that all principal and interest payments on securities guaranteed by Ambac Assurance or Ambac UK will be made timely and in full. As of March 31, 2020 , corporate securities in an unrealized loss position included $456 of Secured Notes issued by Ambac LSNI with an unrealized loss $24 . The Secured Notes are insured under a financial guarantee policy issued by Ambac Assurance. Corporate securities also included $12 million of other non-investment grade securities with an aggregate gross unrealized loss of $4 . The determination that these securities were not credit impaired was based on a security level assessment of default probability derived from historical data for the applicable asset class and credit rating. This assessment also considered the potential increased risk under a stressed macroeconomic environment. The remaining corporate securities carry investment grade credit ratings and suffered temporary price declines consistent with the broader bond market. There are no expected defaults among these securities. Residential mortgage backed securities ("RMBS") and other asset backed securities in an unrealized loss position at March 31, 2020, are primarily RMBS and student loan securities guaranteed by Ambac Assurance. For these securities, management compared the present value of cash flows expected to be collected to the amortized cost basis of the securities to assess whether the amortized cost will be recovered. Cash flows considered full payment of interest and principal through Ambac's financial guarantee. For floating rate securities, future cash flows were adjusted to reflect changes in the index rate applicable to each security as of the evaluation date. Cash flows were discounted at the effective interest rate. Adverse changes in cash flows attributable solely to changes in the index rate of securities are not considered impaired. Collateralized debt obligations in an unrealized loss position at March 31, 2020, are highly rated collateralized loan obligations ("CLOs"). The CLO market experienced indiscriminate price declines as certain market participants sought to generate excess liquidity. Management determined that these price declines are temporary and that the CLOs are not credit impaired as of March 31, 2020. Ambac’s assessment about whether a decline in value is other-than-temporary reflects management’s current judgment regarding facts and circumstances specific to a security and other factors. If that judgment changes, Ambac may record a charge for credit impairment in future periods. Realized Gains and Losses including Impairments: The following table details amounts included in net realized gains (losses) and impairments included in earnings for the affected periods: Three Months Ended March 31, 2020 2019 Gross realized gains on securities $ 6 $ 24 Gross realized losses on securities — (4 ) Net foreign exchange (losses) gains 2 (3 ) Credit impairments (1) — — Intent / requirement to sell impairments (2) — — Net realized gains (losses) $ 8 $ 17 (1) Includes securities which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis. (2) Includes securities which management either intends sell or it is more likely than not that the company will be required to sell before recovery of the amortized cost basis. The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income under prior GAAP for the period ended December 31, 2019: Three Months Ended March 31, 2019 Balance, beginning of period $ 12 Additions for credit impairments recognized on: Securities not previously impaired — Securities previously impaired — Reductions for credit impairments previously recognized on: Securities that matured or were sold during the period — Balance, end of period $ 12 Ambac had zero allowance for credit losses at March 31, 2020 . Ambac did not purchase any financial assets with credit deterioration for the three month period ended March 31, 2020 . 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 $85 and $85 at March 31, 2020 and December 31, 2019 , 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 income securities pledged as collateral, at fair value”. Refer to Note 9. Derivative Instruments for further information on cash collateral. There were no securities received from other counterparties that were re-pledged by Ambac. Securities carried at $7 and $6 at March 31, 2020 and December 31, 2019 , respectively, were deposited by Ambac and Everspan with governmental authorities or designated custodian banks as required by laws affecting insurance companies. Invested assets carried at $1 at March 31, 2020 and December 31, 2019 were deposited as security in connection with a letter of credit issued for an office lease. Securities with a fair value of $174 and $197 at March 31, 2020 and December 31, 2019 , respectively, were pledged as collateral and as sources of funding to repay the Secured Notes issued by Ambac LSNI. The securities may not be transferred or repledged by Ambac LSNI. Collateral may be sold to fund redemptions of the Secured Notes. Ambac Assurance also pledged for the benefit of the holders of Secured Notes (other than Ambac Assurance) the proceeds of interest payments and partial redemptions of the Secured Notes held by Ambac Assurance. The amount of such proceeds held by Ambac Assurance was $31 and $55 at March 31, 2020 and December 31, 2019 , respectively, and is included in Restricted cash on the Consolidated Balance Sheet. Ambac Assurance may, from time to time, sell all or a portion of the Secured Notes it owns. In the event that Ambac Assurance sells any of the Secured Notes it owns, the proceeds must be used to redeem a like amount of the Ambac Note at par. The price at which Ambac Assurance sells the Secured Notes may differ from the price at which it redeems the Secured Notes. Guaranteed Securities: Ambac’s fixed income portfolio includes securities covered by guarantees issued by Ambac Assurance 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, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at March 31, 2020 and December 31, 2019 , respectively: Municipal Corporate (2) Mortgage Total Weighted (1) March 31, 2020: Ambac Assurance Corporation $ 181 $ 495 $ 396 $ 1,072 B National Public Finance Guarantee Corporation 9 — — 9 BBB- Total $ 189 $ 495 $ 396 $ 1,081 B December 31, 2019: Ambac Assurance Corporation $ 176 $ 535 $ 442 $ 1,153 B- National Public Finance Guarantee Corporation 11 — — 11 BBB- Total $ 187 $ 535 $ 442 $ 1,164 B- (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Represents Ambac's holdings of secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. These secured notes are insured by Ambac Assurance. 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. In addition to these investments, Ambac has unfunded commitments at March 31, 2020 of $76 to private credit, private equity and hedge funds. Fair Value Class of Funds March 31, December 31, Redemption Frequency Redemption Notice Period Real estate properties (1) $ 15 $ 16 quarterly 10 business days Hedge funds (2) 60 65 quarterly 90 days High yields and leveraged loans (3) (10) 57 176 daily 0 - 30 days Private credit (4) 47 51 quarterly 180 days if permitted Insurance-linked investments (5) 3 3 fully redeemed none Equity market investments (6) (10) 58 55 daily 0 days Investment grade floating rate income (7) 52 66 weekly 0 days Private equity (8) 4 — quarterly 90 days if permitted Emerging markets debt (9) (10) 16 — daily 0 days Total equity investments in pooled funds $ 312 $ 432 (1) Investments consist of UK property to generate income and capital growth. (2) This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies within structured credit markets, including mortgage-backed securities, commercial real estate securities and loans, CLOs, REITs and asset backed securities. (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 aims to obtain high long-term return primarily through credit and preferred equity investments with low liquidity and defined term. (5) This class seeks to generate returns from insurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. (6) This class of funds aim to achieve long term growth through diversified exposure to global equity markets. (7) This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes as well as ultra-short term bonds and money market instruments. (8) This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments. (9) This class seeks long-term income and growth through investments in the bonds of issuers in emerging markets. (10) These categories include fair value amounts totaling $81 and $136 at March 31, 2020 and December 31, 2019 , respectively that are readily determinable and are priced through pricing vendors, including for High yield and leveraged loans products: $17 and $81 ; for Equity market investments: $48 and $55 ; and for Emerging markets debt $16 and $0 Ambac also holds an direct equity interests including in an unconsolidated trust created in connection with the 2014 sale of Segregated Account junior surplus notes, which is accounted for under the equity method. Investment Income (loss): Net investment income (loss) was comprised of the following for the affected periods: Three Months Ended March 31, 2020 2019 Fixed income securities $ 30 $ 44 Short-term investments 2 4 Loans — — Investment expense (2 ) (1 ) Securities available-for-sale and short-term 31 47 Other investments (52 ) 8 Total net investment income (loss) $ (21 ) $ 55 Net investment income (loss) from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option, income from investment limited partnerships accounted for under the equity method and the above noted equity interest in an unconsolidated trust accounted for under the equity method. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Three Months Ended March 31, 2020 2019 Net gains (losses) recognized during the period on trading securities $ (32 ) $ 7 Less: net gains (losses) recognized during the reporting period on trading securities sold during the period (3 ) 1 Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date $ (29 ) $ 6 |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 9. DERIVATIVE INSTRUMENTS The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 : Gross Gross Net Amounts Gross Amount Net Amount March 31, 2020: Derivative Assets: Interest rate swaps $ 89 $ 1 $ 88 $ — $ 88 Total non-VIE derivative assets $ 89 $ 1 $ 88 $ — $ 88 Derivative Liabilities: Credit derivatives $ 2 $ — $ 2 $ — $ 2 Interest rate swaps 136 1 135 134 1 Total non-VIE derivative liabilities $ 138 $ 1 $ 137 $ 134 $ 3 Variable Interest Entities Derivative Assets: Currency swaps $ 62 $ — $ 62 $ — $ 62 Total VIE derivative assets $ 62 $ — $ 62 $ — $ 62 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,610 $ — $ 1,610 $ — $ 1,610 Total VIE derivative liabilities $ 1,610 $ — $ 1,610 $ — $ 1,610 December 31, 2019: Derivative Assets: Interest rate swaps $ 75 $ — $ 75 $ — $ 75 Total non-VIE derivative assets $ 75 $ — $ 75 $ — $ 75 Derivative Liabilities: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 89 — 90 89 1 Total non-VIE derivative liabilities $ 90 $ — $ 90 $ 89 $ 1 Variable Interest Entities Derivative Assets: Currency swaps $ 52 $ — $ 52 $ — $ 52 Total VIE derivative assets $ 52 $ — $ 52 $ — $ 52 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,657 $ — $ 1,657 $ — $ 1,657 Total VIE derivative liabilities $ 1,657 $ — $ 1,657 $ — $ 1,657 Amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral are not offset against fair value amounts recognized for derivative instruments on the Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $80 and $36 as of March 31, 2020 and December 31, 2019 , respectively. There were no amounts held representing an obligation to return cash collateral as of March 31, 2020 and December 31, 2019 . The following tables summarize the location and amount of gains and losses of derivative contracts in the Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three months ended March 31, 2020 and 2019 : Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss) Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) Three Months Ended March 31, 2020 2019 Non-VIE derivatives: Credit derivatives Net gains (losses) on derivative contracts $ (1 ) $ — Interest rate swaps Net gains (losses) on derivative contracts (29 ) (3 ) Futures contracts Net gains (losses) on derivative contracts (40 ) (14 ) Total Non-VIE derivatives $ (70 ) $ (16 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities $ 10 $ (7 ) Interest rate swaps Income (loss) on variable interest entities 47 (70 ) Total Variable Interest Entities 57 (77 ) Total derivative contracts $ (13 ) $ (93 ) Credit Derivatives: Credit derivatives, which are privately negotiated contracts, provide the counterparty with credit protection against the occurrence of a specific event such as a payment default or bankruptcy relating to an underlying obligation. Credit derivatives issued are insured by Ambac Assurance. None of the outstanding credit derivative transactions at March 31, 2020 , include ratings based collateral-posting triggers or otherwise require Ambac to post collateral regardless of Ambac’s ratings or the size of the mark to market exposure to Ambac. The portfolio of our credit derivatives were written on a “pay-as-you-go” basis. Similar to an insurance policy execution, pay-as-you-go provides that Ambac pays interest shortfalls on the referenced transaction as they are incurred on each scheduled payment date, but only pays principal shortfalls upon the earlier of (i) the date on which the assets designated to fund the referenced obligation have been disposed of and (ii) the legal final maturity date of the referenced obligation. Ambac maintains internal credit ratings on its guaranteed obligations, including credit derivative contracts, solely to indicate management’s view of the underlying credit quality of the guaranteed obligations. The gross principal notional outstanding for credit derivate contracts was $275 and $280 as of March 31, 2020 and December 31, 2019 , respectively, all of which had internal Ambac ratings of AA in both periods. Interest Rate Derivatives: Ambac, through its subsidiary Ambac Financial Services (“AFS”), uses interest rate swaps and US Treasury futures contracts to provide a partial economic hedge against the effects of rising interest rates elsewhere in the Company, including on Ambac’s financial guarantee exposures. Additionally, AFS provided interest rate swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. As of March 31, 2020 and December 31, 2019 the notional amounts of AFS’s derivatives are as follows: Notional Type of Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 328 $ 332 Interest rate swaps—pay-fixed/receive-variable 1,261 1,261 US Treasury futures contracts—short 240 755 Derivatives of Consolidated Variable Interest Entities Certain VIEs consolidated under the Consolidation Topic of the ASC entered into derivative contracts to meet specified purposes within the securitization structure. The notional for VIE derivatives outstanding as of March 31, 2020 and December 31, 2019 are as follows: Notional Type of VIE Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 1,121 $ 1,194 Interest rate swaps—pay-fixed/receive-variable 1,093 1,176 Currency swaps 302 329 Credit derivatives 8 9 Contingent Features in Derivatives Related to Ambac Credit Risk Ambac’s over-the-counter interest rate swaps are centrally cleared when eligible. Certain interest rate swaps remain with professional swap-dealer counterparties and direct customer counterparties. These non-cleared swaps are generally executed under standardized derivative documents including collateral support and master netting agreements. Under these agreements, Ambac is required to post collateral in the event net unrealized losses exceed predetermined threshold levels. Additionally, given that Ambac Assurance is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions. As of March 31, 2020 and December 31, 2019 , the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $132 and $89 , respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $154 and $109 , respectively. All such ratings-based contingent features have been triggered requiring maximum collateral levels to be posted by Ambac while preserving counterparties’ rights to terminate the contracts. Assuming all such contracts terminated on March 31, 2020 , settlement of collateral balances and net derivative liabilities would result in a net receipt of cash and/or securities by Ambac. If counterparties elect to exercise their right to terminate, the actual termination payment amounts will be determined in accordance with derivative contract terms, which may result in amounts that differ from market values as reported in Ambac’s financial statements. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | 10. INCOME TAXES AFG files a consolidated Federal income tax return with its subsidiaries. AFG and its subsidiaries also file separate or combined income tax returns in various states, local and foreign jurisdictions. The following are the major jurisdictions in which Ambac and its subsidiaries operate and the earliest tax years subject to examination: Jurisdiction Tax Year United States 2010 New York State 2013 New York City 2015 United Kingdom 2016 Italy 2015 In accordance with the Income Tax Topic of the ASC, a valuation allowance is recognized if, based on the weight of available evidence, it is more-likely-than-not that some, or all, of the deferred tax asset will not be realized. As a result of the risks and uncertainties associated with future operating results, management believes it is more likely than not that the Company will not generate sufficient U.S. federal, state and/or local taxable income to recover the deferred tax operating assets and therefore maintains a full valuation allowance. Consolidated Pretax Income (Loss) U.S. and foreign components of pre-tax income (loss) were as follows: Three Months Ended March 31, 2020 2019 U.S. $ (257 ) $ (63 ) Foreign (30 ) 22 Total $ (287 ) $ (41 ) Provision (Benefit) for Income Taxes The components of the provision for income taxes were as follows: Three Months Ended March 31, 2020 2019 Current taxes U. S. federal $ — $ — U.S. state and local — (4 ) Foreign (2 ) 6 Current taxes (2 ) 3 Deferred taxes Foreign (5 ) (1 ) Deferred taxes (5 ) (1 ) Provision for income taxes $ (7 ) $ 2 NOL Usage Pursuant to the intercompany tax sharing agreement, to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with "Allocated NOLs" of $3,650 , it is obligated to make payments (“Tolling Payments”), subject to certain credits, to Ambac in accordance with the following NOL usage table, where the “Applicable Percentage” is applied to the aggregate amount of federal income tax liability that would have been paid if the Allocated NOLs were not available. Pursuant to the Closing Agreement between Ambac and the Internal Revenue Service ("IRS"), the IRS will receive 12.5% of Tier C and 17.5% of Tier D payments, if made. NOL Usage Table NOL Usage Tier Allocated NOLs Applicable Percentage A The first $479 15% B The next $1,057 after Tier A 40% C The next $1,057 after Tier B 10% D The next $1,057 after Tier C 15% As of December 31, 2018, Ambac Assurance generated cumulative taxable income of $1,508 , leaving $2,142 of the $3,650 Allocated NOLs subject to Tolling Payments. For the year ended December 31, 2019 , and three months ended March 31, 2020 , Ambac Assurance generated NOLs of approximately $143 and $172 , respectively, which will need to be utilized before any new Tolling Payments will be generated. If not utilized, the NOLs will begin expiring in 2029, and will fully expire in 2040, with the exception of the tax loss generated during the three months ended March 31, 2020 of approximately $168 , which if Ambac remains in a loss position at year end 2020, will expire in 2041. As a result of positive income at Ambac Assurance in 2017, Ambac accrued $28 of tax tolling payments. In May 2018, Ambac executed a waiver under the intercompany tax sharing agreement pursuant to which Ambac Assurance was relieved of the requirement to make the 2017 tax tolling payment by June 1, 2018. Ambac also agreed to continue to defer receipt of the 2017 tax tolling payment from Ambac Assurance until such time as OCI consents to the payment. While OCI has not defined the conditions under which it will consent to the 2017 tax tolling payment, OCI has indicated that it will consider a number of factors, including asset quality and loss and reserve trends. We can provide no assurance as to whether, or when, OCI will consent to the 2017 tax tolling payment. Ambac's tax positions are subject to review by the OCI, which may lead to the adoption of positions that reduce the amount of tolling payments otherwise available to Ambac. As of March 31, 2020 , the remaining balance of the $3,650 NOL allocated to Ambac Assurance, and new NOLs accrued during 2019 & 2020, totaled approximately $2,457 . As of March 31, 2020 the consolidated group's NOL is approximately $3,703 , of which Ambac's NOL was approximately $1,246 . |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 11. COMMITMENTS AND CONTINGENCIES The following commitments and contingencies provide an update of those discussed in Note 17: Commitments and Contingencies in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 , and should be read in conjunction with the complete descriptions provided in the aforementioned Form 10-K. Litigation Against Ambac Financial Oversight and Management Board for Puerto Rico, et al. v. Autonomy Master Fund Limited, et al. (United States District Court, District of Puerto Rico, No. 19-ap-00291, filed May 2, 2019). On May 2, 2019, the Financial Oversight and Management Board for Puerto Rico (the "Oversight Board"), together with the Official Committee of Unsecured Creditors for the Commonwealth (the "Committee") filed an adversary proceeding against certain parties that filed proofs of claim on account of general obligation bonds issued by the Commonwealth of Puerto Rico, including Ambac Assurance. The complaint seeks declarations that the general obligation bonds are unsecured obligations and, in the alternative, seeks to avoid any security interests that holders of such bonds may have. On June 12, 2019, a group of general obligation bondholders moved to dismiss the complaint. On June 13, 2019, at the request of the Plaintiffs, the District Court stayed the case until September 1, 2019 as to all defendants; on July 24, 2019, the District Court referred this matter to mediation and ordered it stayed during the pendency of such mediation. Ambac Assurance filed a statement of position and reservation of rights on February 5, 2020; certain other defendants filed motions to dismiss on this same date. On February 9, 2020, the Oversight Board announced that it intends to file, and to seek to confirm, an amended plan of adjustment (the “Amended POA”). On March 10, 2020, the District Court ordered that this case remain stayed while the Oversight Board attempts to confirm the Amended POA. Financial Oversight and Management Board for Puerto Rico v. Ambac Assurance Corp., et al. (United States District Court, District of Puerto Rico, No. 20-ap-00003, filed Jan. 16, 2020). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the team of mediators designated in the Commonwealth’s restructuring cases (the “Mediation Team“), on January 16, 2020, the Oversight Board filed an adversary proceeding against monoline insurers insuring bonds issued by the Puerto Rico Infrastructure Financing Authority (“PRIFA”) and the PRIFA bond trustee, all of which Defendants filed proofs of claim against the Commonwealth relating to PRIFA bonds. The complaint seeks to disallow Defendants’ proofs of claim against the Commonwealth in their entirety, including for lack of secured status. Briefing on motions for summary judgment is expected to conclude on June 16, 2020, and a hearing is scheduled for June 23, 2020. Financial Oversight and Management Board for Puerto Rico v. Ambac Assurance Corp., et al. (United States District Court, District of Puerto Rico, No. 20-ap-00004, filed Jan. 16, 2020). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the Mediation Team, on January 16, 2020, the Oversight Board filed an adversary proceeding against monoline insurers insuring bonds issued by the Puerto Rico Convention Center District Authority (“PRCCDA”) and the PRCCDA bond trustee, all of which Defendants filed proofs of claim against the Commonwealth relating to PRCCDA bonds. The complaint seeks to disallow Defendants’ proofs of claim against the Commonwealth in their entirety, including for lack of secured status. Briefing on motions for summary judgment is expected to conclude on June 16, 2020, and a hearing is scheduled for June 23, 2020. Financial Oversight and Management Board for Puerto Rico v. Ambac Assurance Corp., et al. (United States District Court, District of Puerto Rico, No. 20-ap-00005, filed Jan. 16, 2020). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the Mediation Team, on January 16, 2020, the Oversight Board filed an adversary proceeding against monoline insurers insuring bonds issued by the Puerto Rico Highways and Transportation Authority ("PRHTA“), certain PRHTA bondholders, and the PRHTA fiscal agent for bondholders, all of which Defendants filed proofs of claim against the Commonwealth relating to PRHTA bonds. The complaint seeks to disallow Defendants’ proofs of claim against the Commonwealth in their entirety, including for lack of secured status. Briefing on motions for summary judgment is expected to conclude on June 16, 2020, and a hearing is scheduled for June 23, 2020. Financial Oversight and Management Board for Puerto Rico v. Ambac Assurance Corp., et al. (United States District Court, District of Puerto Rico, No. 20-ap-00007, filed Jan. 16, 2020). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the Mediation Team, on January 16, 2020, the Oversight Board and the Committee filed an adversary proceeding against monoline insurers insuring bonds issued by PRHTA, certain PRHTA bondholders, and the PRHTA fiscal agent for bondholders, all of which Defendants filed proofs of claim against PRHTA relating to PRHTA bonds. The complaint seeks to disallow portions of Defendants’ proofs of claim against the PRHTA, including for lack of secured status. On March 10, 2020, the District Court stayed this case. NC Residuals Owners Trust, et al. v. Wilmington Trust Co., et al. (Delaware Court of Chancery, C.A. No. 2019-0880, filed Nov. 1, 2019). On November 1, 2019, Ambac Assurance became aware of a new declaratory judgment action filed by certain residual equity interest holders (“NC Owners” or “Plaintiffs”) in fourteen National Collegiate Student Loan Trusts (the “Trusts”) against Wilmington Trust Company, the Owner Trustee for the Trusts; U.S. Bank National Association, the Indenture Trustee; GSS Data Services, Inc., the Administrator; and Ambac Assurance. Through this action, Plaintiffs seek a number of judicial determinations. On January 21, 2020, the presiding Vice Chancellor entered an order consolidating the action with previously filed litigation relating to the Trusts. On February 13, 2020, Ambac Assurance, the Owner Trustee, the Indenture Trustee, and other parties filed declaratory judgment counterclaims. Several parties, including Plaintiffs and Ambac Assurance, have filed motions for judgment on the pleadings in support of their requested judicial determinations, and briefing on those motions is complete. Ambac Assurance’s estimates of projected losses for RMBS transactions consider, among other things, the RMBS transactions’ payment waterfall structure, including the application of interest and principal payments and recoveries, and depend in part on our interpretations of contracts and other bases of our legal rights. From time to time, bond trustees and other transaction participants have employed different contractual interpretations and have commenced, or threatened to commence, litigation to resolve these differences. It is not possible to predict whether additional disputes will arise, nor the outcomes of any potential litigation. It is possible that there could be unfavorable outcomes in this or other disputes or proceedings and that our interpretations may prove to be incorrect, which could lead to changes to our estimate of loss reserves. Ambac Assurance has periodically received various regulatory inquiries and requests for information with respect to investigations and inquiries that such regulators are conducting. Ambac Assurance has complied with all such inquiries and requests for information. The Company is involved from time to time in various routine legal proceedings, including proceedings related to litigation with present or former employees. Although the Company’s litigation with present or former employees is routine and incidental to the conduct of its business, such litigation can result in large monetary awards when a civil jury is allowed to determine compensatory and/or punitive damages for, among other things, termination of employment that is wrongful or in violation of implied contracts. From time to time, Ambac is subject to allegations concerning its corporate governance that may lead to litigation, including derivative litigation, and while the monetary impacts may not be material, the matters may distract management and the Board of Directors from their principal focus on Ambac's business, strategy and objectives. It is not reasonably possible to predict whether additional suits will be filed or whether additional inquiries or requests for information will be made, and it is also not possible to predict the outcome of litigation, inquiries or requests for information. It is possible that there could be unfavorable outcomes in these or other proceedings. Legal accruals for litigation against the Company which are probable and reasonably estimable, and management's estimated range of loss for such matters, are either not applicable or are not material to the operating results or financial position of the Company. For the litigation matters the Company is defending that do not meet the “probable and reasonably estimable” accrual threshold and where no loss estimates have been provided above, management is unable to make a meaningful estimate of the amount or range of loss that could result from unfavorable outcomes. Under some circumstances, adverse results in any such proceedings could be material to our business, operations, financial position, profitability or cash flows. The Company believes that it has substantial defenses to the claims above and, to the extent that these actions proceed, the Company intends to defend itself vigorously; however, the Company is not able to predict the outcomes of these actions. Litigation Filed or Joined by Ambac In the ordinary course of their businesses, certain of Ambac’s subsidiaries assert claims in legal proceedings against third parties to recover losses already paid and/or mitigate future losses. The amounts recovered and/or losses avoided which may result from these proceedings is uncertain, although recoveries and/or losses avoided in any one or more of these proceedings during any quarter or fiscal year could be material to Ambac’s results of operations in that quarter or fiscal year. Puerto Rico Financial Oversight and Management Board for Puerto Rico v. Public Buildings Authority (United States District Court, District of Puerto Rico, No. 1:18-ap-00149, filed December 21, 2018). On December 21, 2018, the Oversight Board, together with the Committee, as Plaintiffs, filed a complaint against the Puerto Rico Public Buildings Authority (“PBA”) seeking declaratory judgment that the leases between PBA and its lessees-many of whom are agencies and instrumentalities of the Commonwealth-are “disguised financings,” not true leases, and therefore should not be afforded administrative expense priority under the Bankruptcy Code. On March 12, 2019, Ambac Assurance and other interested parties were permitted to intervene in order to argue that the PBA leases are valid leases, and are entitled to administrative expense treatment under the Bankruptcy Code. On June 16, 2019, the Oversight Board announced that it had entered into a plan support agreement ("PSA") with certain general obligation and PBA bondholders that includes a proposed resolution of claim objections to and issues surrounding both general obligation and PBA bonds, including a proposed settlement of this adversary proceeding. On July 24, 2019, the District Court referred this matter to mediation and ordered it stayed during the pendency of such mediation. On September 27, 2019, the Oversight Board filed a joint plan of adjustment and disclosure statement for the Commonwealth, PBA, and the Employees’ Retirement System for Puerto Rico. On February 9, 2020, the Oversight Board executed a new plan support agreement with additional creditors (the “New PSA”) and announced that it intends to file, and seek to confirm, the Amended POA. On March 10, 2020, the District Court ordered that this case remain stayed while the Oversight Board attempts to confirm the Amended POA. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Omnibus Objection of (I) Financial Oversight and Management Board, Acting Through its Special Claims Committee, and (II) Official Committee of Unsecured Creditors, Pursuant to Bankruptcy Code Section 502 and Bankruptcy Rule 3007, to Claims Filed or Asserted by Holders of Certain Commonwealth General Obligation Bonds (Dkt. No. 4784, filed January 14, 2019) (“GO Bond Claim Objection Procedures”). On January 14, 2019, the Oversight Board and the Committee filed an omnibus claim objection in the Commonwealth’s Title III case challenging claims arising from certain general obligation bonds issued by the Commonwealth in 2012 and 2014 totaling approximately $6 billion, none of which are held or insured by Ambac Assurance. The court subsequently ordered certain consolidated procedures permitting parties in interest an opportunity to participate in litigation of the objection. On April 11, 2019, Ambac Assurance filed a notice of participation in support of the objection, advancing the argument, among other things, that the PBA leases are true leases, but the associated debt nonetheless should be included in the Commonwealth’s debt ceiling calculation such that the 2012 and 2014 general obligation bond issuances are null and void and claims arising therefrom should be disallowed. On June 16, 2019, the Oversight Board announced that it had entered into a PSA with certain general obligation and PBA bondholders that includes a proposed resolution of claim objections to and issues surrounding both general obligation and PBA bonds, including a proposed settlement of this omnibus claim objection. On June 25, 2019, the Oversight Board moved to stay proceedings related to this omnibus claim objection while it pursues confirmation of the plan contemplated in the PSA. On July 24, 2019, the District Court referred this matter to mediation and ordered it stayed during the pendency of such mediation. On February 5, 2020, certain parties filed motions to dismiss the claim objection. On February 9, 2020, the Oversight Board executed the New PSA and announced that it intends to file, and seek to confirm, the Amended POA. Additional motions to dismiss were filed on February 19, 2020. On March 10, 2020, the District Court ordered that this matter remain stayed while the Oversight Board attempts to confirm the Amended POA. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Ambac Assurance Corporation’s Motion to Strike Certain Provisions of the Plan Support Agreement By and Among the Financial Oversight and Management Board for Puerto Rico, Certain GO Holders, and Certain PBA Holders (Dkt. No. 8020, filed July 16, 2019) (“Ambac Assurance Motion to Strike PSA”). On June 16, 2019, the Oversight Board announced that it had entered into a PSA with certain general obligation and PBA bondholders that includes a proposed resolution of claim objections to and issues surrounding both general obligation and PBA bonds. On July 16, 2019, Ambac Assurance filed a motion to strike certain provisions of the PSA that it believes violate PROMESA, including the potential payment of a breakup fee to creditors who have supported the PSA. On July 24, 2019, the District Court referred this matter to mediation and ordered it stayed during the pendency of such mediation. On February 9, 2020, the Oversight Board executed the New PSA. On March 10, 2020, the District Court denied Ambac Assurance’s motion without prejudice given the execution of the New PSA. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Ambac Assurance Corporation's Motion and Memorandum of Law in Support of Its Motion Concerning Application of the Automatic Stay to the Revenues Securing PRIFA Rum Tax Bonds (Dkt. No. 7176, filed May 30, 2019) (“PRIFA Stay Motion”). On May 30, 2019, Ambac Assurance filed a motion seeking an order that the automatic stay does not apply to certain lawsuits Ambac Assurance seeks to bring or to continue relating to bonds issued by PRIFA, or, in the alternative, for relief from the automatic stay to pursue such lawsuits or for adequate protection of Ambac Assurance's collateral. On July 24, 2019, the District Court referred this matter to mediation and ordered it stayed during the pendency of such mediation. On January 31, 2020, the District Court granted a motion filed by Ambac Assurance, together with Assured Guaranty Corporation, Assured Guaranty Municipal Corporation, and Financial Guaranty Insurance Company to amend the PRIFA Stay Motion in order to allow the PRIFA bond trustee to join the amended motion and to allow movants to address recent, controlling precedent from the First Circuit, and Ambac Assurance filed the amended motion the same day. A preliminary hearing on the amended motion is scheduled for June 4, 2020. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Motion of Assured Guaranty Corp., Assured Municipal Corp., Ambac Assurance Corporation, National Public Finance Guarantee Corporation, and Financial Guaranty Insurance Company for Relief from the Automatic Stay, or, in the Alternative, Adequate Protection (Dkt. No. 10102, filed January 16, 2020) (“PRHTA Stay Motion”). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the Mediation Team, on January 16, 2020, Ambac Assurance, together with Assured Guaranty Corp., Assured Municipal Corp., National Public Finance Guarantee Corporation, and Financial Guaranty Insurance Company filed a motion seeking an order that the automatic stay does not apply to movants’ enforcement of the application of pledged revenues to the PRHTA bonds or the enforcement of movants’ liens on revenues pledged to such bonds, or, in the alternative, for adequate protection of movants’ interests in the revenues pledged to PRHTA bonds. A preliminary hearing on the motion is scheduled for June 4, 2020. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Ambac Assurance Corporation, Financial Guaranty Insurance Company, Assured Guaranty Corp., Assured Municipal Corp., and the Bank of New York Mellon’s Motion Concerning Application of the Automatic Stay to the Revenues Securing the CCDA Bonds (Dkt. No. 10104, filed January 16, 2020) (“PRCCDA Stay Motion”). Pursuant to an order of the District Court setting out an agreed schedule for litigation submitted by the Mediation Team, on January 16, 2020, Ambac Assurance, together with Financial Guaranty Insurance Company, Assured Guaranty Corp., Assured Municipal Corp., and the PRCCDA bond trustee, filed a motion seeking an order either (i) that the automatic stay does not apply to movants’ enforcement of their rights to revenues pledged to PRCCDA bonds by bringing an enforcement action against PRCCDA; or, in the alternative, (ii) lifting the automatic stay to enable movants to pursue an enforcement action against PRCCDA; or, in the further alternative, (iii) ordering adequate protection of movants’ interests in the PRCCDA pledged to PRCCDA bonds. A preliminary hearing on the motion is scheduled for June 4, 2020. Ambac Assurance Corporation v. Merrill Lynch, Pierce, Fenner & Smith Incorporated, Goldman Sachs & Co. LLC, Citigroup Global Markets Inc., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC, Samuel A. Ramirez & Co. Inc., Raymond James & Associates, Inc., and UBS Financial Services Inc. (Commonwealth of Puerto Rico, Court of First Instance, San Juan Superior Court, Case No. CV-000248923, filed February 19, 2020). On February 19, 2020, Ambac Assurance filed a complaint in the Commonwealth of Puerto Rico, Court of First Instance, San Juan Superior Court, against certain underwriters of Ambac-insured bonds issued by PRIFA and PRCCDA, with causes of action under the Puerto Rico civil law doctrines of actos proprios and Unilateral Declaration of Will. Ambac Assurance alleges defendants engaged in inequitable conduct in underwriting Ambac-insured bonds issued by PRIFA and PRCCDA, including failing to investigate and adequately disclose material information in the official statements for the bonds that defendants provided to Ambac Assurance regarding systemic deficiencies in the Commonwealth’s financial reporting. Ambac Assurance seeks damages in compensation for claims paid by Ambac Assurance on its financial guaranty insurance policies insuring such bonds, pre-judgment and post-judgment interest, and attorneys’ fees. On March 20, 2020, Defendants removed this case to the Title III Court. On April 20, 2020, Ambac moved to remand the case back to the Court of First Instance. Briefing on the motion to remand is scheduled to conclude on June 10, 2020. Ambac Assurance Corporation v. Autopistas Metropolitanas de Puerto Rico, LLC (United States District Court for the District of Puerto Rico) Case No. 3:20-cv-01094, filed February 19, 2020). On February 19, 2020, Ambac Assurance filed a complaint in the U.S. District Court for the District of Puerto Rico, against Autopistas Metropolitanas de Puerto Rico, LLC (“Metropistas”), which holds a concession from PRHTA for two Puerto Rico highways, PR-5 and PR-22, in connection with a 10-year extension of the concession that was entered into in April 2016. The complaint includes claims for fraudulent conveyance and unjust enrichment, alleging that the consideration paid by Metropistas for the extension was less than reasonably equivalent value and most of the benefit of such payment was received by the Commonwealth instead of PRHTA. Ambac Assurance also seeks a declaratory judgment that it has a valid and continuing lien on certain toll revenues that are being collected by Metropistas. On March 31, 2020, the Oversight Board filed a motion before the Title III Court seeking an order directing Ambac to withdraw its complaint. On April 20, 2020, the District Court ordered this case stayed pending briefing before the Title III Court on the Oversight Board’s motion to withdraw. A hearing before the Title III Court on the motion to withdraw is scheduled for June 3, 2020. Student Loans Exposure CFPB v. Nat’l Collegiate Master Student Loan Trust (United States District Court, District of Delaware, Case No. 1:17-cv-01323, filed September 18, 2017). The Consumer Financial Protection Bureau (“CFPB”) filed a complaint against fifteen National Collegiate Student Loan Trusts, regarding alleged improprieties and deficiencies in servicing practices. Simultaneous with the filing of its complaint, CFPB also filed a motion for entry of a proposed consent judgment that would grant monetary damages and injunctive relief against the Trusts. Ambac Assurance guaranteed certain securities issued by three of the Trusts and indirectly insures six other Trusts. On September 20, 2017, Ambac Assurance filed a motion to intervene in the action, which motion was granted on October 19, 2018. On November 29, 2018, the court set a bifurcated discovery and briefing schedule. Discovery and briefing is now complete as to certain threshold issues. Additionally, on March 19, 2020, Intervenor Transworld Systems Inc. filed a motion to dismiss the action for lack of subject matter jurisdiction. RMBS Litigation In connection with Ambac Assurance’s efforts to seek redress for breaches of representations and warranties and fraud related to the information provided by both the underwriters and the sponsors of various transactions and for failure to comply with the obligation by the sponsors to repurchase ineligible loans, Ambac Assurance has filed various lawsuits: • Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Countrywide Securities Corp., Countrywide Financial Corp. (a.k.a. Bank of America Home Loans) and Bank of America Corp. (Supreme Court of the State of New York, County of New York, Case No. 651612/2010, filed on September 28, 2010). Ambac Assurance’s Second Amended Complaint, filed on May 28, 2013, asserted claims against Countrywide and Bank of America (as successor to Countrywide’s liabilities) for, among other things, breach of contract and fraudulent inducement. In August and October 2018, Defendants filed various pre-trial motions. On December 30, 2018, the court denied all of these pre-trial motions in their entirety and Defendants appealed. On September 17, 2019, the First Department affirmed in part and reversed in part the trial court’s rulings. On October 17, 2019, Countrywide filed a motion for leave to appeal certain issues to the New York Court of Appeals and for reargument or leave to appeal certain other issues. On January 16, 2020, the First Department recalled and vacated its September 17, 2019 decision and order and substituted a new decision and order. On the same date, the First Department denied Countrywide’s motion seeking leave to appeal, without prejudice to seeking such leave from the reissued decision and order. On January 30, 2020, Countrywide filed a new motion for leave to appeal the First Department’s denial of its motions, which Ambac Assurance opposed. On January 14, 2020, the trial court granted Ambac Assurance’s motion to supplement and amend certain of its expert reports, and expert discovery is ongoing. Due to the impact of COVID-19 on the court system in New York State, which has caused the postponement of all in-person proceedings, the Court vacated the previously scheduled July 13, 2020 trial date. Given the difficulty or impossibility of predicting the scope, duration and magnitude of the effect of COVID-19 on the New York court system, and the possibility of other intervening causes of delay, we can provide no assurance as to when the trial will be rescheduled. • Ambac Assurance Corporation v. U.S. Bank National Association (United States District Court, Southern District of New York, Docket No. 18-cv-5182 (LGS), filed June 8, 2018 (the “SDNY Action”)); In the matter of HarborView Mortgage Loan Trust 2005-10 (Minnesota state court, Docket No. 27-TR-CV-17-32 (the “Minnesota Action”)). These two actions relate to U.S. Bank National Association’s (“U.S. Bank”) acceptance of a proposed settlement in a separate litigation that U.S. Bank is prosecuting, as trustee, related to the Harborview Mortgage Loan Trust, Series 2005-10 (“Harborview 2005-10”), a residential mortgage-backed securitization for which Ambac Assurance issued an insurance policy. On March 6, 2017, U.S. Bank filed a petition commencing the Minnesota Action, a trust instruction proceeding in Minnesota state court concerning the proposed settlement, and on June 12, 2017, U.S. Bank filed an amended petition. Ambac Assurance filed a motion to dismiss the Minnesota Action, which was denied on November 13, 2017, and the denial was affirmed on appeal. On September 6, 2018, U.S. Bank filed its Second Amended Petition, and Ambac Assurance and certain other certificateholders objected to, or otherwise responded to, the petition. Discovery in the Minnesota Action is ongoing, and the court has set June 20, 2020 as the date for the start of the trial. On June 8, 2018, Ambac Assurance filed the SDNY Action asserting claims arising out of U.S. Bank’s acceptance of the proposed settlement and treatment of trust recoveries. Ambac Assurance asserted claims for declaratory judgment, breach of contract, and breach of fiduciary duty. On July 16, 2019, the court dismissed Ambac Assurance's breach-of-contract and breach-of-fiduciary-duty claims based on U.S. Bank's acceptance of the settlement; and dismissed Ambac Assurance's declaratory judgment claims regarding the occurrence of an Event of Default and U.S. Bank's future distribution of trust recoveries through the waterfall. The court denied the motion to dismiss Ambac Assurance's breach-of-contract claims based on U.S. Bank's past distribution of trust recoveries through the waterfall. On January 17, 2020, U.S. Bank moved for summary judgment regarding the remaining claim relating to distributions. On February 7, 2020, Ambac Assurance cross-moved for summary judgment. These summary judgment motions are fully briefed. • In re application of Deutsche Bank National Trust Company as Trustee of the Harborview Mortgage Loan Trust Mortgage Loan Pass-Through Certificates, Series 2006-9 (Supreme Court of the State of New York, County of New York, No. 654208/2018), filed August 23, 2018 (the “Trust Instruction Proceeding”). This action relates to Deutsche Bank National Trust Company’s (“DBNT”) proposed settlement of claims related to the Harborview Mortgage Loan Trust Series 2006-9 (“Harborview 2006-09”). On August 23, 2018, DBNT filed a Petition commencing the Trust Instruction Proceeding, seeking judicial instruction pursuant to CPLR Article 77, inter alia , to accept the proposed settlement with respect of claims relating to Harborview 2006-9. On November 2, 2018, Ambac Assurance and other interested persons filed notices of intention to appear and answers to DBNT’s petition. Ambac Assurance sought a period of discovery before resolution on the merits. Under the current case schedule discovery is to be completed by May 20, 2020 and merits briefing by July 10, 2020. Ambac Assurance expects this schedule to be modified. |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP") for interim financial reporting and with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and disclosures required by GAAP for annual periods. These consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Annual Report on Form 10-K for the year ended December 31, 2019 . The accompanying consolidated financial statements have not been audited by an independent registered public accounting firm in accordance with the standards of the Public Company Accounting Oversight Board (U.S.), but in the opinion of management such financial statements include all adjustments necessary for the fair presentation of the Company’s consolidated financial position and results of operations. The results of operations for the three months ended March 31, 2020 may not be indicative of the results that may be expected for the year ending December 31, 2020 . The December 31, 2019 consolidated balance sheet was derived from audited financial statements. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. As additional information becomes available or actual amounts become determinable, the recorded estimates are revised and reflected in operating results. |
Foreign Currency Transactions and Translations Policy [Policy Text Block] | Foreign Currency: Financial statement accounts expressed in foreign currencies are translated into U.S. dollars in accordance with the Foreign Currency Matters Topic of the ASC. The functional currencies of AFG's subsidiaries are the local currencies of the country where the respective subsidiaries are based, which are also the primary operating environments in which the subsidiaries operate. Foreign currency translation : Functional currency assets and liabilities of AFG’s foreign subsidiaries are translated into U.S. dollars using exchange rates in effect at the balance sheet dates and the related translation adjustments, net of deferred taxes, are included as a component of Accumulated Other Comprehensive Income in Stockholders' Equity. Functional currency operating results of foreign subsidiaries are translated using average exchange rates. Foreign currency transactions : The impact of non-functional currency transactions and the remeasurement of non-functional currency assets and liabilities into the respective subsidiaries' functional currency (collectively "foreign currency transactions gains/(losses)") are $1 and $2 for the three months ended March 31, 2020 and 2019 , respectively. Foreign currency transactions gains/(losses) are primarily the result of remeasuring Ambac UK's assets and liabilities denominated in currencies other than its functional currency, primarily the U.S. dollar and the Euro. Supplemental Disclosure of Cash Flow Information Three Months Ended March 31, 2020 2019 Cash paid during the period for: Income taxes $ 2 $ 1 Interest on long-term debt 31 38 Non-cash financing activities: Exchange of investments in Puerto Rico COFINA bonds for new bonds issued in the Plan of Adjustment $ — $ 510 March 31, 2020 2019 Reconciliation of cash, cash equivalents, and restricted cash reported within the Consolidated Balance Sheets to the Consolidated Statements of Cash Flows: Cash and cash equivalents $ 58 $ 22 Restricted cash 31 — Variable Interest Entity Restricted cash 2 3 Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows $ 91 $ 25 |
Reclassifications | Reclassifications and Rounding Reclassifications may have been made to prior years' amounts to conform to the current year's presentation. Certain amounts and tables in the consolidated financial statements and associated notes may not add due to rounding. |
New Accounting Pronouncements, Policy [Policy Text Block] | Adopted Accounting Standards: Effective January 1, 2020 , the Company adopted the following accounting standards: Measurement of Credit Losses on Financial Instruments (CECL) In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments, subsequently amended by ASU 2018-19 , Codification Improvements to Topic 326, Financial Instruments - Credit Losses; ASU 2019-04 , Codification Improvements to Topic 326, Financial Instruments—Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments ; ASU 2019-05, Financial Instruments—Credit Losses (Topic 326): Targeted Transition Relief ; and ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses (collectively the Current Expected Credit Loss standard or "CECL") The new CECL standard affects how reporting entities measure credit losses for financial assets that are not accounted for at fair value through net income. For Ambac, these financial assets include available-for-sale debt securities, premium receivables, reinsurance recoverables, and loans. CECL does not apply to recoveries of previously paid losses on financial guarantee insurance contracts accounted for under ASC 944 nor does it apply to equity method investments accounted for under ASC 323. For available-for-sale debt securities, the updated guidance was applied prospectively and for financial instruments measured at amortized cost, the updated guidance was applied by a cumulative effect adjustment to the opening balance of retained earnings at January 1, 2020. This adjustment was not material to retained earnings or any individual balance sheet line item. As a result of adopting CECL, management revised its policies and procedures around the credit impairment evaluation process. CECL also introduced new disclosures related to the credit impairment process, including certain accounting policy elections that Ambac made under the the new standard. Enhanced disclosures related to accounting policies for each type of asset impacted by CECL are discussed below. The disclosures below should be read in conjunction with disclosures in Note 2. Basis of Presentation and Significant Accounting Policies , Note 6. Financial Guarantee Insurance Contracts and Note 8. Investments in the Notes to Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . Available-for-Sale Securities For available-for-sale debt securities, credit losses under CECL are measured similarly to other-than-temporary impairments under prior GAAP. However, under CECL, the recognition of credit losses for available-for-sale debt securities will be recorded as an allowance for credit losses with an offsetting charge to net income, rather than as a direct write-down of the security as was required under prior GAAP. As a result, improvements to estimated credit losses for available-for-sale debt securities will be recognized immediately in net income rather than as interest income over time. Furthermore, as required under CECL, Ambac no longer considers the length of time a security has continuously been in an unrealized loss in the credit impairment process. Ambac has made certain accounting policy elections related to accrued interest receivable ("AIR") for available-for-sale investments under CECL, which are consistent with past practices under prior GAAP. Elections include: i) not measuring AIR for credit impairment, instead AIR is written off when it becomes 90 days past due; ii) writing off AIR by reversing interest income; iii) presenting AIR separately in Other Assets on the balance sheet and iv) excluding AIR from amortized cost balances in required CECL disclosures found in Note 8. Investments . AIR at March 31, 2020 was $12 . Refer to Note 8. Investments for further credit impairment disclosures. Amortized cost assets For financial assets measured at amortized cost, CECL replaces the "incurred loss" model used for certain types of assets which generally delayed recognition of the full amount of credit losses until the loss was probable of occurring, with an "expected loss" model, which reflects an entity's current estimate of all expected lifetime credit losses. The estimate of expected lifetime credit losses should consider historical information, current information, as well as reasonable and supportable forecasts. Expected lifetime credit losses for amortized cost assets will be recorded as an allowance for credit losses, with subsequent increases or decreases in the allowance reflected in net income each period. The CECL measurement approach for Ambac's affected asset types were not materially different than the approaches under prior GAAP. Refer to the discussion below for each asset type. Premium receivables. For financial guarantee contracts, the receipt of premiums and payment of policy losses are both dependent on the issuer of the insured obligation's ability and willingness to pay. As such, management leverages its existing loss reserve estimation process to evaluate credit impairment for premium receivables. Key factors in assessing credit impairment include historical premium collection data, internal risk classifications, credit ratings and loss severities. For structured finance transactions involving special purpose entities, we further evaluate the priority of premiums paid to Ambac within the contractual waterfall, as required by bond indentures. Management utilizes either a discounted cash flow ("DCF") or probability of default/loss given default ("PD/LGD") approach to estimate credit impairment. The DCF approach utilizes expected cash flows developed by Ambac's Risk Management Group using the same (or similar) models used for estimating loss reserves where such models can identify shortfalls in premiums. Credit impairment using the DCF approach is equal to the difference between amortized cost and the present value of expected cash flows. Credit impairment under the PD/LGD approach is the product of (i) the premium receivable carrying value, (ii) internally developed default probability (considering internal ratings and average life), and (iii) internally developed loss severities. Refer to Note 6. Financial Guarantee Insurance Contracts for further credit impairment disclosures. Loans. The key factors in assessing credit impairment for loans are internal credit ratings and loss severities. Management utilizes a PD/LGD approach, similar to the one described above for premium receivables, which is applied to the loan carrying value. Reinsurance recoverables. Ambac has elected the to use the practical expedient of considering the fair value of collateral posted by reinsurers when evaluating credit impairment. To determine the total unsecured recoverable to be evaluated for impairment, Ambac nets the reinsurance recoverable amount by ceded premiums payable and the fair value of collateral posted, if any. The key factors in assessing credit impairment for reinsurance recoverables are independent rating agency credit ratings and loss severities. Management utilizes a PD/LGD approach, similar to the one described above for premium receivables, which is applied to the net unsecured reinsurance recoverable amount. Refer to Note 6. Financial Guarantee Insurance Contracts for further credit impairment disclosures. Fair Value Measurement Disclosures In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820) - Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement . The ASU modified various disclosure requirements on fair value measurements. Relevant disclosures that were removed, modified and added are as follows: • Removals : 1) Amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, 2) Policy for timing of transfers between levels, and 3) Valuation processes for Level 3 fair value measurements. • Modifications : 1) For investments in certain entities that calculate net asset value, disclosures are required for the timing of liquidation of an investee's assets and the date when restrictions from redemption might lapse, only if the investee has communicated the timing to the reporting entity or publicly announced it and 2) Clarification that the measurement uncertainty disclosure is to communicate information about the uncertainty in measurement as of the reporting date and not possible future changes. • Additions : 1) Changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and 2) Range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements. Alternatively, an entity may disclose other quantitative information (such as the median or arithmetic average) if it determines that it is a more reasonable and rational method to reflect the distribution of unobservable inputs used. Disclosure amendments related to changes in unrealized gains and losses included in other comprehensive income (loss) for Level 3 instruments, the range and weighted average of significant unobservable inputs, and the narrative description of measurement uncertainty were applied prospectively only for the most recent interim or annual period presented. All other disclosure amendments were applied retrospectively to all periods presented. Refer to Note 7. Fair Value Measurements for further disclosures. VIE Related Party Guidance In October 2018, the FASB issued ASU 2018-17, Consolidation (Topic 810) - Targeted Improvements to Related Party Guidance for Variable Interest Entities. To determine whether a decision-making fee is a variable interest, under the new guidance a reporting entity must consider indirect interests held through related parties under common control on a proportional basis rather than as a direct interest in its entirety (as was previously required under prior GAAP). These amendments create alignment between determining whether a decision making fee is a variable interest and determining whether a reporting entity within a related party group is the primary beneficiary of a VIE. Adoption of this ASU did not impact Ambac's financial statements. Cloud Computing Arrangement Service Contracts In August 2018, the FASB issued ASU 2018-15, Intangibles—Goodwill and Other— Internal-Use Software (Subtopic 350-40) - Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract. The new guidance requires a customer in a cloud computing arrangement that is a service contract to capitalize certain implementation costs as if the arrangement was an internal-use software project. The internal-use software guidance requires the capitalization of certain costs incurred only during the application development stage. That guidance also requires entities to expense costs during the preliminary project and post-implementation stages as they are incurred. Adoption of this ASU did not impact Ambac's financial statements. |
Description of New Accounting Pronouncements Not yet Adopted [Text Block] | Future Application of Accounting Standards: Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The ASU provides companies with optional guidance to ease the potential accounting burden related to transitioning away from reference rates, such as LIBOR, that are expected to be discontinued as a result of initiatives undertaken by various jurisdictions around the world. For example, under current GAAP, contract modifications which change a reference rate are required to be evaluated in determining whether the modifications result in the establishment of new contracts or the continuation of existing contracts. The amendments in this ASU provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The ASU can be applied prospectively as of the beginning of the interim period that includes March 12, 2020 (January 1, 2020 for calendar year companies) or any date thereafter, but does not apply to contract modifications and other transactions entered into or evaluated after December 31, 2022. Management has not determined if and when it will adopt this ASU, and the impact on Ambac's financial statements is being evaluated. |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies Supplemental Cash Flow Information (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Schedule of Cash Flow Supplemental Information [Line Items] | |
Schedule of Cash Flow, Supplemental Disclosures [Table Text Block] | Supplemental Disclosure of Cash Flow Information Three Months Ended March 31, 2020 2019 Cash paid during the period for: Income taxes $ 2 $ 1 Interest on long-term debt 31 38 Non-cash financing activities: Exchange of investments in Puerto Rico COFINA bonds for new bonds issued in the Plan of Adjustment $ — $ 510 March 31, 2020 2019 Reconciliation of cash, cash equivalents, and restricted cash reported within the Consolidated Balance Sheets to the Consolidated Statements of Cash Flows: Cash and cash equivalents $ 58 $ 22 Restricted cash 31 — Variable Interest Entity Restricted cash 2 3 Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows $ 91 $ 25 |
Special Purpose Entities, Inc_2
Special Purpose Entities, Including Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Variable Interest Entity [Line Items] | |
Schedule of Variable Interest Entities [Table Text Block] | 3. VARIABLE INTEREST ENTITIES A mbac, with its subsidiaries, has engaged in transactions with variable interest entities ("VIEs,") in various capacities. • Ambac provides financial guarantees, including credit derivative contracts, for various debt obligations issued by special purpose entities, including VIEs ("FG VIEs"); • Ambac sponsors special purpose entities that issued notes to investors for various purposes; and • Ambac is an investor in collateralized debt obligations, mortgage-backed and other asset-backed securities issued by VIEs and its ownership interest is generally insignificant to the VIE and/or Ambac does not have rights that direct the activities that are most significant to such VIE. FG VIEs: Ambac’s subsidiaries provide financial guarantees in respect of assets held or debt obligations of VIEs. Ambac’s primary variable interest exists through this financial guarantee insurance or credit derivative contract. The transaction structures provide certain financial protection to Ambac. Generally, upon deterioration in the performance of a transaction or upon an event of default as specified in the transaction legal documents, Ambac will obtain certain control rights that enable Ambac to remediate losses. These rights may enable Ambac to direct the activities of the entity that most significantly impact the entity’s economic performance. Under a 2018 Stipulation and Order, the OCI requires Ambac Assurance to obtain their approval with respect to the exercise of certain significant control rights in connection with policies that had previously been allocated to the Segregated Account. Accordingly, Ambac Assurance does not have the right to direct the most significant activities of those FG VIEs. • We determined that Ambac’s subsidiaries generally have the obligation to absorb a FG VIE's expected losses given that they have issued financial guarantees supporting certain liabilities (and in some cases certain assets). As further described below, Ambac consolidates certain FG VIEs in cases where we also have the power to direct the activities that most significantly impact the VIE’s economic performance due to one or more of the following: (i) the transaction experiencing deterioration and breaching performance triggers, giving Ambac the ability to exercise certain control rights, (ii) Ambac being involved in the design of the VIE and receiving control rights from its inception, such as may occur from loss remediation activities, or (iii) the transaction not experiencing deterioration, however due to the passive nature of the VIE, Ambac's contingent control rights upon a future breach of performance triggers is considered to be the power over the most significant activity. • A VIE is deconsolidated in the period that Ambac no longer has such control rights, which could occur in connection with the execution of remediation activities on the transaction or amortization of insured exposure, either of which may reduce the degree of Ambac’s control over a VIE. • Assets and liabilities of FG VIEs that are consolidated are reported within Variable interest entity assets or Variable interest entity liabilities on the Consolidated Balance Sheets. • The election to use the fair value option is made on an instrument by instrument basis. Ambac has elected the fair value option for consolidated FG VIE financial assets and financial liabilities, except in cases where Ambac was involved in the design of the VIE and was granted control rights at its inception. ◦ When the fair value option is elected, changes in the fair value of the FG VIE's financial assets and liabilities are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income (Loss), except for the portion of the total change in fair value of financial liabilities caused by changes in the instrument-specific credit risk which is presented separately in Other comprehensive income (loss). ◦ In cases where the fair value option has not been elected, the FG VIE's invested assets are fixed income securities and are considered available-for-sale as defined by the Investments - Debt Securities Topic of the ASC. These assets are reported in the financial statements at fair value with unrealized gains and losses reflected in Accumulated Other Comprehensive Income in Stockholders' Equity. The financial liabilities of these FG VIEs consist of long term debt obligations and are carried at par less unamortized discount. Income from the FG VIE's available-for-sale securities (including investment income, realized gains and losses and credit impairments as applicable) and interest expense on long term debt are reported within Income (loss) on variable interest entities in the Consolidated Statements of Total Comprehensive Income (Loss). • Upon initial consolidation of a FG VIE, Ambac recognizes a gain or loss in earnings for the difference between: (i) the fair value of the consideration paid, the fair value of any non-controlling interests and the reported amount of any previously held interests and (ii) the net amount, as measured on a fair value basis, of the assets and liabilities consolidated. Upon deconsolidation of a FG VIE, we recognize a gain or loss for the difference between: (i) the fair value of any consideration received, the fair value of any retained non-controlling investment in the VIE and the carrying amount of any non-controlling interest in the VIE and (ii) the carrying amount of the VIE’s assets and liabilities. Gains or losses from consolidation and deconsolidation that are reported in earnings are reported within Income (loss) on variable interest entities on the Consolidated Statements of Total Comprehensive Income (Loss). • The impact of consolidating such FG VIEs on Ambac’s balance sheet is the elimination of transactions between the consolidated FG VIEs and Ambac’s operating subsidiaries and the inclusion of the FG VIE’s third party assets and liabilities. For a financial guarantee insurance policy issued to a consolidated VIE, Ambac does not reflect the financial guarantee insurance policy in accordance with the related insurance accounting rules under the Financial Services – Insurance Topic of the ASC. Consequently, upon consolidation, Ambac eliminates the insurance assets and liabilities associated with the policy from the Consolidated Balance Sheets. Such insurance assets and liabilities may include premium receivables, reinsurance recoverable, deferred ceded premium, subrogation recoverable, unearned premiums, loss and loss expense reserves, ceded premiums payable and insurance intangible assets. For investment securities owned by Ambac that are debt instruments issued by the VIE, the investment securities balance is eliminated upon consolidation. FG VIEs which are consolidated may include non-recourse assets or liabilities. FG VIEs' liabilities (and in some cases assets) that are insured by the Company are with recourse, because the Company guarantees the payment of principal and interest in the event the issuer defaults. FG VIEs' assets and liabilities that are not insured by the Company are without recourse, because Ambac has not issued a financial guarantee and is under no obligation for the payment of principal and interest of these instruments. Therefore, the Company’s exposure to consolidated FG VIEs is limited to the financial guarantees issued for recourse assets and liabilities and any additional variable interests held by Ambac. Additionally, Ambac’s general creditors, other than those specific policy holders which own the VIE debt obligations, do not have rights with regard to the assets of the VIEs. Ambac evaluates the net income effects and earnings per share effects to determine attributions between Ambac and non-controlling interests as a result of consolidating a VIE. Ambac has determined that the net income and earnings per share effect of consolidated FG VIEs are attributable to Ambac’s interests through financial guarantee premium and loss payments with the VIE. The following table summarizes the carrying values of assets and liabilities, along with other supplemental information related to VIEs that are consolidated as a result of financial guarantees of Ambac UK and Ambac Assurance: March 31, 2020 December 31, 2019 Ambac UK Ambac Assurance Total VIEs Ambac UK Ambac Assurance Total VIEs Fixed income securities, at fair value: Corporate obligations, fair value option $ 2,806 $ — $ 2,806 $ 2,957 $ — $ 2,957 Municipal obligations, available-for-sale (1) — 122 122 — 164 164 Total FG VIE fixed income securities, at fair value 2,806 122 2,928 2,957 164 3,121 Restricted cash 1 1 2 1 1 2 Loans, at fair value (2) 2,932 — 2,932 3,108 — 3,108 Derivative assets 62 — 62 52 — 52 Other assets — 1 1 1 2 3 Total FG VIE assets $ 5,801 $ 124 $ 5,925 $ 6,119 $ 167 $ 6,286 Accrued interest payable $ — $ — $ — $ 1 $ — $ 1 Long-term debt: Long-term debt, at fair value (3) 4,092 — 4,092 4,351 — 4,351 Long-term debt, at par less unamortized discount — 171 171 — 203 203 Total long-term debt 4,092 171 4,263 4,351 203 4,554 Derivative liabilities 1,610 — 1,610 1,657 — 1,657 Total FG VIE liabilities $ 5,702 $ 171 $ 5,873 $ 6,009 $ 203 $ 6,212 Number of FG VIEs consolidated 6 1 7 6 1 7 (1) Available-for-sale FG VIE fixed income securities consist of municipal obligations with an amortized cost basis of $116 and $139 , and aggregate gross unrealized gains and (losses) of $6 and $25 at March 31, 2020 and December 31, 2019 , respectively. All such securities had contractual maturities due after ten years as of March 31, 2020 . (2) The unpaid principal balances of loan assets carried at fair value were $2,439 as of March 31, 2020 and $2,618 as of December 31, 2019 . (3) The unpaid principal balances of long-term debt carried at fair value were $3,550 as of March 31, 2020 and $3,800 as of December 31, 2019 . The following schedule details the components of Income (loss) on variable interest entities for the affected periods: Three Months Ended March 31, 2020 2019 Net change in fair value of VIE assets and liabilities reported under the fair value option $ — $ 2 Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss) (4 ) — Net change in fair value of VIE assets and liabilities reported in earnings (4 ) 2 Investment income on available-for-sale securities 2 2 Net realized investment gains (losses) on available-for-sale securities 8 — Interest expense on long-term debt carried at par less unamortized cost (2 ) (2 ) Other expenses — — Gain (loss) from consolidating FG VIEs — 15 Income (loss) on variable interest entities $ 3 $ 16 As further discussed in Note 7. Financial Guarantee Insurance Contracts in the Notes to Consolidated Financial Statements included Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, on February 12, 2019, in connection with the COFINA POA, the COFINA Class 2 Trust was established. Ambac was required to consolidate the COFINA Class 2 Trust, which resulted in a gain of $15 . The 2019 balance sheet impact of this additional VIE on the date of consolidation was an increase to total consolidated assets and liabilities by $292 and $364 , respectively. Ambac did not consolidate any VIE for the three months ended March 31, 2020. Ambac also deconsolidated no VIE for the three months ended March 31, 2020 , and no VIEs for the three months ended March 31, 2019 . 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 March 31, 2020 and December 31, 2019 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) March 31, 2020: Global structured finance: Mortgage-backed—residential $ 5,063 $ 2,075 $ 609 — Other consumer asset-backed 1,276 30 235 — Other commercial asset-backed 100 3 2 — Other 1,046 6 18 9 Total global structured finance 7,485 2,114 864 9 Global public finance 22,533 285 329 (2 ) Total $ 30,018 $ 2,399 $ 1,193 $ 7 December 31, 2019: Global structured finance: Mortgage-backed—residential $ 5,373 $ 1,913 $ 523 $ — Other consumer asset-backed 1,373 31 216 — Other commercial asset-backed 314 9 6 — Other 1,107 7 18 8 Total global structured finance 8,165 1,961 762 8 Global public finance 23,341 287 321 — Total $ 31,506 $ 2,247 $ 1,083 $ 7 (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 credit derivative contracts and interest rate swaps on Ambac’s Consolidated Balance Sheets. Ambac Sponsored Non-consolidated VIEs: In 1994, Ambac established a VIE to provide certain financial guarantee clients with funding for their debt obligations. This VIE was established as a separate legal entity, demonstrably distinct from Ambac and that Ambac, its affiliates or its agents could not unilaterally dissolve. The permitted activities of this entity are contractually limited to purchasing assets from Ambac, issuing medium-term notes ("MTNs") to fund such purchases, executing derivative hedges and obtaining financial guarantee policies with respect to indebtedness incurred. Ambac does not consolidate this entity because the exercise of related control rights in such policies remain subject to OCI approval under the Stipulation and Order, as discussed above. Ambac elected to account for its equity interest in this entity at fair value under the fair value option in accordance with the Financial Instruments Topic of the ASC. We believe that the fair value of the investments in this entity provides for greater transparency for recording profit or loss as compared to the equity method under the Investments – Equity Method and Joint Ventures Topic of the ASC. Refer to Note 7. Fair Value Measurements for further information on the valuation technique and inputs used to measure the fair value of Ambac’s equity interest in this entity. At March 31, 2020 and December 31, 2019 the fair value of this entity was $3 and $3 , respectively, and is reported within Other assets on the Consolidated Balance Sheets. • Total principal amount of debt outstanding was $378 and $403 at March 31, 2020 and December 31, 2019 , respectively. In each case, Ambac sold assets to this entity, which are composed of utility obligations with a weighted average rating of BBB+ at March 31, 2020 and weighted average life of 0.9 years . The purchase by this entity of financial assets was financed through the issuance of MTNs, which are cross-collateralized by the purchased assets. The MTNs have the same expected weighted average life as the purchased assets. Derivative contracts (interest rate swaps) are used within the entity for economic hedging purposes only. Derivative positions were established at the time MTNs were issued to purchase financial assets. As of March 31, 2020 Ambac Assurance had financial guarantee insurance policies issued for all assets, MTNs and derivative contracts owned and outstanding by the entity. • Insurance premiums paid to Ambac Assurance by this entity are earned in a manner consistent with other insurance policies, over the risk period. Additionally, any losses incurred on such insurance policies are included in Ambac’s Consolidated Statements of Total Comprehensive Income (Loss). Under the terms of an Administrative Agency Agreement, Ambac provides certain administrative duties, primarily collecting amounts due on the obligations and making interest payments on the MTNs. On August 28, 2014, Ambac monetized its ownership of the junior surplus note issued to it by Ambac Assurance by depositing the junior surplus note into a newly formed VIE trust in exchange for cash and an owner trust certificate, which represents Ambac's right to residual cash flows from the junior surplus note. Ambac does not consolidate the VIE since it does not have a variable interest in the trust. Ambac reports its owner trust certificate as an equity investment within Other investments on the Consolidated Balance Sheets with associated results from operations included within Net investment income (loss): Other investments on the Consolidated Statements of Total Comprehensive Income (Loss). The equity investment had a carrying value of $47 and $46 as of March 31, 2020 and December 31, 2019 , respectively. On February 12, 2018, Ambac formed a VIE, Ambac LSNI, LLC ("Ambac LSNI"). Ambac LSNI issued Secured Notes in connection with the Rehabilitation Exit Transactions. Ambac does not consolidate the VIE since it does not have a variable interest in the trust. Ambac reports its holdings of Secured Notes within Fixed Income Securities in the Consolidated Balance Sheets. The carrying value of Secured Notes held by Ambac was $495 and $535 at March 31, 2020 and December 31, 2019 , respectively. Ambac's debt obligation to the VIE (the Ambac Note) had a carrying value of $1,685 and $1,763 at March 31, 2020 and December 31, 2019 , respectively, and is reported within Long-term debt on the Consolidated Balance Sheets. |
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 March 31, 2020 2019 Net change in fair value of VIE assets and liabilities reported under the fair value option $ — $ 2 Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss) (4 ) — Net change in fair value of VIE assets and liabilities reported in earnings (4 ) 2 Investment income on available-for-sale securities 2 2 Net realized investment gains (losses) on available-for-sale securities 8 — Interest expense on long-term debt carried at par less unamortized cost (2 ) (2 ) Other expenses — — Gain (loss) from consolidating FG VIEs — 15 Income (loss) on variable interest entities $ 3 $ 16 |
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 March 31, 2020 and December 31, 2019 : Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) March 31, 2020: Global structured finance: Mortgage-backed—residential $ 5,063 $ 2,075 $ 609 — Other consumer asset-backed 1,276 30 235 — Other commercial asset-backed 100 3 2 — Other 1,046 6 18 9 Total global structured finance 7,485 2,114 864 9 Global public finance 22,533 285 329 (2 ) Total $ 30,018 $ 2,399 $ 1,193 $ 7 December 31, 2019: Global structured finance: Mortgage-backed—residential $ 5,373 $ 1,913 $ 523 $ — Other consumer asset-backed 1,373 31 216 — Other commercial asset-backed 314 9 6 — Other 1,107 7 18 8 Total global structured finance 8,165 1,961 762 8 Global public finance 23,341 287 321 — Total $ 31,506 $ 2,247 $ 1,083 $ 7 (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 credit derivative contracts and 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 VIEs that are consolidated as a result of financial guarantees of Ambac UK and Ambac Assurance: March 31, 2020 December 31, 2019 Ambac UK Ambac Assurance Total VIEs Ambac UK Ambac Assurance Total VIEs Fixed income securities, at fair value: Corporate obligations, fair value option $ 2,806 $ — $ 2,806 $ 2,957 $ — $ 2,957 Municipal obligations, available-for-sale (1) — 122 122 — 164 164 Total FG VIE fixed income securities, at fair value 2,806 122 2,928 2,957 164 3,121 Restricted cash 1 1 2 1 1 2 Loans, at fair value (2) 2,932 — 2,932 3,108 — 3,108 Derivative assets 62 — 62 52 — 52 Other assets — 1 1 1 2 3 Total FG VIE assets $ 5,801 $ 124 $ 5,925 $ 6,119 $ 167 $ 6,286 Accrued interest payable $ — $ — $ — $ 1 $ — $ 1 Long-term debt: Long-term debt, at fair value (3) 4,092 — 4,092 4,351 — 4,351 Long-term debt, at par less unamortized discount — 171 171 — 203 203 Total long-term debt 4,092 171 4,263 4,351 203 4,554 Derivative liabilities 1,610 — 1,610 1,657 — 1,657 Total FG VIE liabilities $ 5,702 $ 171 $ 5,873 $ 6,009 $ 203 $ 6,212 Number of FG VIEs consolidated 6 1 7 6 1 7 (1) Available-for-sale FG VIE fixed income securities consist of municipal obligations with an amortized cost basis of $116 and $139 , and aggregate gross unrealized gains and (losses) of $6 and $25 at March 31, 2020 and December 31, 2019 , respectively. All such securities had contractual maturities due after ten years as of March 31, 2020 . (2) The unpaid principal balances of loan assets carried at fair value were $2,439 as of March 31, 2020 and $2,618 as of December 31, 2019 . (3) The unpaid principal balances of long-term debt carried at fair value were $3,550 as of March 31, 2020 and $3,800 as of December 31, 2019 . |
Comprehensive Income (Tables)
Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income | The following tables detail the changes in the balances of each component of accumulated other comprehensive income for the affected periods: Unrealized Gains (1) Amortization of (1) Gain (Loss) on (1) Credit Risk Changes of Fair Value Option Liabilities (1) (2) Total Three Months Ended March 31, 2020: Beginning Balance $ 151 $ 8 $ (116 ) $ (2 ) $ 42 Other comprehensive income (loss) before reclassifications (139 ) (2 ) (46 ) — (187 ) Amounts reclassified from accumulated other comprehensive income (loss) (7 ) — — 3 (4 ) Net current period other comprehensive income (loss) (146 ) (2 ) (46 ) 3 (191 ) Balance at March 31, 2020 $ 5 $ 6 $ (162 ) $ 2 $ (149 ) Three Months Ended March 31, 2019: Beginning Balance $ 86 $ 9 $ (142 ) $ (2 ) $ (49 ) Other comprehensive income (loss) before reclassifications 73 1 15 — 89 Amounts reclassified from accumulated other comprehensive income (loss) (17 ) — — — (17 ) Net current period other comprehensive income (loss) 56 — 15 — 71 Balance at March 31, 2019 $ 142 $ 9 $ (127 ) $ (2 ) $ 23 (1) All amounts are net of tax and noncontrolling interest. Amounts in parentheses indicate reductions to Accumulated Other Comprehensive Income. (2) Represents the changes in fair value attributable to instrument-specific credit risk of liabilities for which the fair value option is elected. |
Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income | The following table details the significant amounts reclassified from each component of accumulated other comprehensive income, shown in the above rollforward tables, for the affected periods: Details about Accumulated Other Comprehensive Income Components Amount Reclassified from Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, 2020 2019 Unrealized Gains (Losses) on Available-for-Sale Securities $ (8 ) $ (17 ) Net realized investment gains (losses) and other-than-temporary impairment losses 1 (1 ) Provision for income taxes $ (7 ) $ (17 ) Net of tax and noncontrolling interest Amortization of Postretirement Benefit Prior service cost $ — $ — Other income Actuarial (losses) — — Other income — — Total before tax — — Provision for income taxes $ — $ — Net of tax and noncontrolling interest Credit risk changes of fair value option liabilities $ 4 $ — Credit Risk Changes of Fair Value Option Liabilities (1 ) — Provision for income taxes $ 3 $ — Net of tax and noncontrolling interest Total reclassifications for the period $ (4 ) $ (17 ) Net of tax and noncontrolling interest |
Net Income Per Share (Tables)
Net Income Per Share (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share | The following table provides a reconciliation of the common shares used for basic net income per share to the diluted shares used for diluted net income per share: Three Months Ended March 31, 2020 2019 Basic weighted average shares outstanding 46,060,324 45,832,297 Effect of potential dilutive shares (1) : Stock options — — Warrants — — Restricted stock units — — Performance stock units (2) — — Diluted weighted average shares outstanding 46,060,324 45,832,297 Anti-dilutive shares excluded from the above reconciliation: Stock options 16,667 16,667 Warrants 4,877,749 4,877,783 Restricted stock units 236,189 271,763 Performance stock units (2) 738,039 478,739 (1) For the three months ended March 31, 2020 and the three months ended March 31, 2019 , Ambac had a net loss and accordingly excluded all potentially dilutive securities from the determination of diluted loss per share as their impact was anti-dilutive. (2) Performance stock units are reflected based on the performance metrics through the balance sheet date. Vesting of these units is contingent upon meeting certain performance metrics. Although a portion of these performance metrics have been achieved as of the respective period end, it is possible that awards may no longer meet the metric at the end of the performance period. |
Financial Guarantee Insurance_2
Financial Guarantee Insurance Contracts (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Insurance [Line Items] | |
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block] | Below are the components of the loss reserves liability and the Subrogation recoverable asset at March 31, 2020 and December 31, 2019 : March 31, 2020: December 31, 2019: Present Value of Expected Unearned Gross Loss and Present Value of Expected Unearned Gross Loss and Balance Sheet Line Item Claims and Recoveries Claims and Recoveries Loss and loss expense reserves $ 2,112 $ (245 ) $ (70 ) $ 1,797 $ 1,835 $ (233 ) $ (54 ) $ 1,548 Subrogation recoverable 135 (2,327 ) — (2,192 ) 131 (2,160 ) — (2,029 ) Totals $ 2,247 $ (2,572 ) $ (70 ) $ (395 ) $ 1,966 $ (2,394 ) $ (54 ) $ (482 ) |
Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) | Below is the gross premium receivable roll-forward for the respective periods, net of allowance for credit losses: Three Months Ended March 31, 2020 2019 Beginning premium receivable $ 416 $ 495 Adjustment to initially apply ASU 2016-13 (3 ) — Premium receipts (12 ) (13 ) Adjustments for changes in expected and contractual cash flows (1) 10 — Accretion of premium receivable discount 2 3 Changes to allowance for credit losses (2 ) — Other adjustments (including foreign exchange) (8 ) 2 Ending premium receivable (2) $ 403 $ 487 (1) Adjustments for changes in expected and contractual cash flows primarily due to changes in indexation rates on certain UK transactions partially offset by reductions in insured exposure as a result of early policy terminations and unscheduled principal paydowns. (2) Premium receivable includes premiums to be received in foreign denominated currencies most notably in British Pounds and Euros. At March 31, 2020 and 2019 , premium receivables include British Pounds of $128 ( £103 ) and $142 ( £109 ), respectively, and Euros of $24 ( €22 ) and $30 ( €27 ), respectively. |
Effect of Reinsurance on Premiums Written and Earned | The effect of reinsurance on premiums written and earned for the respective periods was as follows: Three Months Ended March 31, 2020 2019 Written Earned Written Earned Direct $ 11 $ 13 $ 3 $ 29 Assumed — 1 — — Ceded (1 ) 3 (1 ) 2 Net premiums $ 12 $ 10 $ 4 $ 28 |
Schedule of Revenue from External Customers Attributed to Foreign Countries by Geographic Area [Table Text Block] | The following table summarizes net premiums earned by location of risk for the respective periods: Three Months Ended March 31, 2020 2019 United States $ 7 $ 28 United Kingdom 4 4 Other international — (5 ) Total $ 10 $ 28 |
Summarized Future Gross Undiscounted Premiums Expected to be Collected and Future Expected Premiums Earned, Net of Reinsurance | The table below summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at March 31, 2020 : Future Premiums Collected (1) Future (2) Three months ended: June 30, 2020 $ 12 $ 10 September 30, 2020 10 10 December 31, 2020 10 10 Twelve months ended: December 31, 2021 37 36 December 31, 2022 35 34 December 31, 2023 34 32 December 31, 2024 32 30 Five years ended: December 31, 2029 142 125 December 31, 2034 104 83 December 31, 2039 52 38 December 31, 2044 23 14 December 31, 2049 9 5 December 31, 2054 1 1 Total $ 501 $ 428 (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 Note 2. Basis of Presentation and Significant Accounting Policies in the Notes to Consolidated Financial Statements included in Ambac's Annual Report on Form 10-K for the year ended December 31, 2019 |
Premium Receivable, Allowance for Credit Loss [Table Text Block] | Below is a rollforward of the premium receivable allowance for credit losses as of March 31, 2020: Beginning balance (1) $ 9 Current period provision (2) 5 Write-offs of the allowance — Recoveries of previously written-off amounts — Ending balance $ 14 (1) At December 31, 2019, $9 of premiums receivable were deemed uncollectible as determined under prior GAAP rules. (2) Includes $3 from the adoption of ASU 2016-13 on January 1, 2020. |
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance | Below is the loss reserves roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: Three Months Ended March 31, 2020 2019 Beginning gross loss and loss expense reserves $ (482 ) $ (107 ) Reinsurance recoverable 26 23 Beginning balance of net loss and loss expense reserves (508 ) (130 ) Losses and loss expenses (benefit): Current year 27 1 Prior years 90 12 Total (1) (2) 117 12 Loss and loss expenses paid (recovered): Current year — — Prior years 39 64 Total 39 64 Foreign exchange effect — 6 Ending net loss and loss expense reserves (430 ) (176 ) Impact of VIE consolidation — (72 ) Reinsurance recoverable (3) 35 26 Ending gross loss and loss expense reserves $ (395 ) $ (222 ) (1) Total losses and loss expenses (benefit) includes $(10) and $(5) for the three months ended March 31, 2020 and 2019 , 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&Ws for the three months ended March 31, 2020 and 2019 was $(36) and $4 , 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 March 31, 2020 and 2019 , 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 reserves or subrogation recoverable at March 31, 2020 and December 31, 2019 . 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 March 31, 2020 and December 31, 2019 was 0.9% and 2.1% , respectively. Surveillance Categories as of March 31, 2020 I IA II III IV V Total Number of policies 33 22 14 16 136 3 224 Remaining weighted-average contract period (in years) (1) 24 21 9 17 15 2 15 Gross insured contractual payments outstanding: Principal $ 727 $ 483 $ 607 $ 1,524 $ 3,667 $ 37 $ 7,046 Interest 394 507 512 326 1,608 11 3,358 Total $ 1,121 $ 991 $ 1,119 $ 1,850 $ 5,275 $ 48 $ 10,404 Gross undiscounted claim liability $ 18 $ 44 $ 41 $ 521 $ 1,778 $ 48 $ 2,450 Discount, gross claim liability (1 ) (2 ) (1 ) (71 ) (184 ) — (259 ) Gross claim liability before all subrogation and before reinsurance 17 42 41 450 1,594 47 2,191 Less: Gross RMBS subrogation (2) — — — — (1,771 ) — (1,771 ) Discount, RMBS subrogation — — — — 7 — 7 Discounted RMBS subrogation, before reinsurance — — — — (1,764 ) — (1,764 ) Less: Gross other subrogation (3) — — — (39 ) (777 ) (13 ) (829 ) Discount, other subrogation — — — 1 18 1 21 Discounted other subrogation, before reinsurance — — — (38 ) (759 ) (11 ) (809 ) Gross claim liability, net of all subrogation and discounts, before reinsurance 17 42 41 412 (929 ) 36 (381 ) Less: Unearned premium revenue (2 ) (9 ) (5 ) (19 ) (34 ) — (70 ) Plus: Loss expense reserves — 1 1 4 50 — 55 Gross loss and loss expense reserves $ 15 $ 34 $ 36 $ 397 $ (914 ) $ 36 $ (395 ) Reinsurance recoverable reported on Balance Sheet (4) $ — $ 6 $ 9 $ 27 $ (7 ) $ — $ 36 (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 $35 related to future loss and loss expenses and $1 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2019 I IA II III IV V Total Number of policies 34 18 11 16 139 3 221 Remaining weighted-average contract period (in years) (1) 8 21 9 17 14 3 15 Gross insured contractual payments outstanding: Principal $ 668 $ 510 $ 277 $ 857 $ 3,819 $ 37 $ 6,168 Interest 340 507 128 366 1,678 11 3,029 Total $ 1,007 $ 1,016 $ 404 $ 1,223 $ 5,498 $ 48 $ 9,197 Gross undiscounted claim liability $ 2 $ 44 $ 21 $ 541 $ 1,778 $ 48 $ 2,434 Discount, gross claim liability — (5 ) (1 ) (152 ) (381 ) (2 ) (541 ) Gross claim liability before all subrogation and before reinsurance 2 39 20 389 1,397 46 1,893 Less: Gross RMBS subrogation (2) — — — — (1,777 ) — (1,777 ) Discount, RMBS subrogation — — — — 49 — 49 Discounted RMBS subrogation, before reinsurance — — — — (1,727 ) — (1,727 ) Less: Gross other subrogation (3) — — — (41 ) (666 ) (13 ) (720 ) Discount, other subrogation — — — 4 47 3 53 Discounted other subrogation, before reinsurance — — — (37 ) (620 ) (10 ) (666 ) Gross claim liability, net of all subrogation and discounts, before reinsurance 2 39 20 353 (950 ) 36 (501 ) Less: Unearned premium revenue (1 ) (9 ) (1 ) (7 ) (35 ) — (54 ) Plus: Loss expense reserves 1 1 1 4 67 — 73 Gross loss and loss expense reserves $ 1 $ 30 $ 20 $ 349 $ (918 ) $ 36 $ (482 ) Reinsurance recoverable reported on Balance Sheet (4) $ — $ 6 $ 7 $ 24 $ (10 ) $ — $ 26 (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 Balance Sheet includes reinsurance recoverables of $26 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. |
Summary of Rollforward of RMBS Subrogation, by Estimation Approach | Below is the rollforward of R&W subrogation for the affected periods: Three Months Ended March 31, 2020 2019 Discounted R&W subrogation (gross of reinsurance) at beginning of period $ 1,727 $ 1,771 All other changes (1) 36 (43 ) Discounted R&W subrogation (gross of reinsurance) at end of period $ 1,764 $ 1,727 (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. |
Insurance Intangible Asset [Member] | |
Insurance [Line Items] | |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense [Table Text Block] | The estimated future amortization expense for the net insurance intangible asset is as follows: Amortization expense (1) (2) 2020 (nine months) $ 33 2021 39 2022 35 2023 32 2024 29 Thereafter 239 (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 may have the right to call or prepay certain obligations. If those bonds types are retired early, amortization expense may differ in the period of call or refinancing. (2) The weighted-average amortizations period is 7.6 years . |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities | The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of March 31, 2020 and December 31, 2019 , including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Carrying Total Fair Fair Value Measurements Categorized as: March 31, 2020: Level 1 Level 2 Level 3 Financial assets: Fixed income securities: Municipal obligations $ 218 $ 218 $ — $ 218 $ — Corporate obligations 1,261 1,261 — 1,261 — Foreign obligations 42 42 42 — — U.S. government obligations 177 177 177 — — Residential mortgage-backed securities 203 203 — 203 — Commercial mortgage-backed securities 51 51 — 51 — Collateralized debt obligations 132 132 — 132 — Other asset-backed securities 283 283 — 217 66 Fixed income securities, pledged as collateral: Short-term 85 85 85 — — Short term investments 586 586 528 57 — Other investments (1) 363 345 84 — 30 Cash, cash equivalents and restricted cash 89 89 86 3 — Derivative assets: Credit derivatives — — — Interest rate swaps—asset position 89 89 — 10 79 Interest rate swaps—liability position (1 ) (1 ) — (1 ) — Other assets - equity in sponsored VIE 3 3 — — 3 Other assets-Loans 10 11 — — 11 Variable interest entity assets: Fixed income securities: Corporate obligations 2,806 2,806 — — 2,806 Fixed income securities: Municipal obligations 122 122 — 122 — Restricted cash 2 2 2 — — Loans 2,932 2,932 — — 2,932 Derivative assets: Currency swaps-asset position 62 62 — 62 — Total financial assets $ 9,513 $ 9,498 $ 1,004 $ 2,335 $ 5,927 Financial liabilities: Long term debt, including accrued interest $ 3,217 $ 2,924 $ — $ 2,584 $ 341 Derivative liabilities: Credit derivatives 2 2 — — 2 Interest rate swaps—asset position (1 ) (1 ) — (1 ) — Interest rate swaps—liability position 136 136 — 136 — Liabilities for net financial guarantees written (2) (763 ) 1,057 — — 1,057 Variable interest entity liabilities: Long-term debt (includes $4,092 at fair value) 4,263 4,274 — 4,115 158 Derivative liabilities: Interest rate swaps—liability position 1,610 1,610 — 1,610 — Total financial liabilities $ 8,464 $ 10,001 $ — $ 8,444 $ 1,558 Carrying Total Fair Fair Value Measurements Categorized as: December 31, 2019: Level 1 Level 2 Level 3 Financial assets: Fixed income securities: Municipal obligations $ 215 $ 215 $ — $ 215 $ — Corporate obligations 1,430 1,430 — 1,430 — Foreign obligations 44 44 44 — — U.S. government obligations 156 156 156 — — Residential mortgage-backed securities 248 248 — 248 — Commercial mortgage-backed securities 50 50 — 50 — Collateralized debt obligations 146 146 — 146 — Other asset-backed securities 287 287 — 215 72 Fixed income securities, pledged as collateral: Short-term 85 85 85 — — Short term investments 653 653 598 55 — Other investments (1) 478 493 136 — 61 Cash and cash equivalents and restricted cash 79 79 70 9 — Derivative assets: Interest rate swaps—asset position 75 75 — 8 67 Other assets - equity in sponsored VIE 3 3 — — 3 Other assets-loans 10 13 — — 13 Variable interest entity assets: Fixed income securities: Corporate obligations 2,957 2,957 — — 2,957 Fixed income securities: Municipal obligations 164 164 — 164 — Restricted cash 2 2 2 — — Loans 3,108 3,108 — — 3,108 Derivative assets: Currency swaps—asset position 52 52 — 52 — Total financial assets $ 10,242 $ 10,260 $ 1,091 $ 2,593 $ 6,281 Financial liabilities: Long term debt, including accrued interest $ 3,262 $ 3,274 $ — $ 2,829 $ 445 Derivative liabilities: Interest rate swaps—liability position 89 89 — 89 — Liabilities for net financial guarantees written (2) (863 ) 284 — — 284 Variable interest entity liabilities: Long-term debt 4,554 4,567 — 4,408 159 Derivative liabilities: Interest rate swaps—liability position 1,657 1,657 — 1,657 — Total financial liabilities $ 8,699 $ 9,872 $ — $ 8,983 $ 889 (1) Excluded from the fair value measurement categories in the table above are investment funds of $232 and $296 as of March 31, 2020 and December 31, 2019 , respectively, which are measured using NAV as a practical expedient. (2) The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities. |
Summary of Changes in Level 3 Fair Value Category | The following tables present the changes in the Level 3 fair value category for the periods presented in 2020 and 2019 . Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. Level 3 - Financial Assets and Liabilities Accounted for at Fair Value VIE Assets and Liabilities Investments Other (1) Derivatives Investments Loans Long-term Total Three Months Ended March 31, 2020: Balance, beginning of period $ 72 $ 3 $ 66 $ 2,957 $ 3,108 $ — $ 6,207 Total gains/(losses) realized and unrealized: Included in earnings — — 12 30 88 — 130 Included in other comprehensive income (6 ) — — (181 ) (190 ) — (377 ) Purchases — — — — — — — Issuances — — — — — — — Sales — — — — — — — Settlements — — (1 ) — (74 ) — (76 ) Balance, end of period $ 66 $ 3 $ 77 $ 2,806 $ 2,932 $ — $ 5,884 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — $ 12 $ 30 $ 88 $ — $ 129 The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ (6 ) $ — $ — $ (181 ) $ (190 ) $ — $ (377 ) Three Months Ended March 31, 2019: Balance, beginning of period $ 72 $ 5 $ 46 $ 2,737 $ 4,288 $ (217 ) $ 6,930 Total gains/(losses) realized and unrealized: Included in earnings — — 8 67 88 (3 ) 160 Included in other comprehensive income — — — 54 85 (4 ) 135 Purchases — — — — — — — Issuances — — — — — — — Sales — — — — — — — Settlements — — (1 ) — (85 ) — (87 ) Balance, end of period $ 72 $ 4 $ 53 $ 2,858 $ 4,376 $ (224 ) $ 7,139 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — $ 8 $ 67 $ 88 $ 3 $ 166 (1) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. Level 3 - Investments by Class: Three Months Ended March 31, Other Asset Backed Securities 2020 2019 Balance, beginning of period $ 72 $ 72 Total gains/(losses) realized and unrealized: Included in earnings — — Included in other comprehensive income (6 ) — Purchases — — Issuances — — Sales — — Settlements — — Balance, end of period $ 66 $ 72 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ — $ — The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date (6 ) Level 3 - Derivatives by Class: Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 Interest Credit Total Interest Credit Total Balance, beginning of period $ 67 $ — $ 66 $ 47 $ (1 ) $ 46 Total gains/(losses) realized and unrealized: Included in earnings 13 (1 ) 12 8 — 8 Included in other comprehensive income — — — — — — Purchases — — — — — — Issuances — — — — — — Sales — — — — — — Settlements (1 ) — (1 ) (1 ) — (1 ) Balance, end of period $ 79 $ (2 ) $ 77 $ 54 $ (1 ) $ 53 The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date $ 13 $ (2 ) $ 12 $ 8 $ — $ 8 |
Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings | Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows: Net Net Gains (Losses) on Derivative Contracts Income Other Three Months Ended March 31, 2020: Total gains or losses included in earnings for the period $ — $ 12 $ 118 $ — Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date — 12 118 — Three Months Ended March 31, 2019: Total gains or losses included in earnings for the period $ — $ 8 $ 152 $ — Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date — 8 152 — |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments | The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2020 and December 31, 2019 were as follows: Amortized Allowance for Credit Losses Gross Gross Estimated March 31, 2020: Fixed income securities: Municipal obligations $ 196 $ — $ 23 $ 1 $ 218 Corporate obligations (1) 1,284 — 18 42 1,261 Foreign obligations 41 — 1 — 42 U.S. government obligations 168 — 10 — 177 Residential mortgage-backed securities 207 — 14 19 203 Commercial mortgage-backed securities 51 — 1 1 51 Collateralized debt obligations 144 — — 11 132 Other asset-backed securities 277 — 14 8 283 2,367 — 81 81 2,367 Short-term 586 — — — 586 2,953 — 81 81 2,952 Fixed income securities pledged as collateral: Short-term 85 — — — 85 Total collateralized investments 85 — — — 85 Total available-for-sale investments $ 3,038 $ — $ 81 $ 81 $ 3,037 Amortized Gross Gross Estimated Non-credit (2) December 31, 2019: Fixed income securities: Municipal obligations $ 194 $ 22 $ — $ 215 $ — Corporate obligations (1) 1,396 36 2 1,430 — Foreign obligations 44 1 — 44 — U.S. government obligations 157 2 2 156 — Residential mortgage-backed securities 200 47 — 248 — Commercial mortgage-backed securities 49 1 — 50 — Collateralized debt obligations 147 — 1 146 — Other asset-backed securities 263 24 — 287 — 2,450 132 5 2,577 — Short-term 653 — — 653 — 3,103 132 5 3,230 — Fixed income securities pledged as collateral: Short-term 85 — — 85 — Total collateralized investments 85 — — 85 — Total available-for-sale investments $ 3,187 $ 132 $ 5 $ 3,314 $ — (1) Includes Ambac's holdings of the secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. (2) At December 31, 2019, represents the amount of non-credit other-than-temporary impairment losses remaining in accumulated other comprehensive income on securities that also had a credit impairment. These losses are included in gross unrealized losses at December 31, 2019. |
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 March 31, 2020 , by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 683 $ 683 Due after one year through five years 1,083 1,062 Due after five years through ten years 447 462 Due after ten years 145 161 2,359 2,368 Residential mortgage-backed securities 207 203 Commercial mortgage-backed securities 51 51 Collateralized debt obligations 144 132 Other asset-backed securities 277 283 Total $ 3,038 $ 3,037 |
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 March 31, 2020, did not have an allowance for credit losses under the new CECL standard and, at December 31, 2019 did not have other-than-temporary impairments recorded in earnings under prior GAAP. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at March 31, 2020 and December 31, 2019 : Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross March 31, 2020: Fixed income securities: Municipal obligations $ 15 $ 1 $ 8 $ — $ 23 $ 1 Corporate obligations 769 42 — — 769 42 Foreign obligations 1 — — — 1 — U.S. government obligations 3 — — — 3 — Residential mortgage-backed securities 125 19 — — 125 19 Commercial mortgage-backed securities 24 1 — — 24 1 Collateralized debt obligations 99 8 33 3 132 11 Other asset-backed securities 83 7 7 1 90 8 1,119 77 48 4 1,167 81 Short-term 50 — — — 50 — Total securities $ 1,169 $ 77 $ 48 $ 4 $ 1,217 $ 81 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2019: Fixed income securities: Municipal obligations $ 13 $ — $ 10 $ — $ 23 $ — Corporate obligations 63 2 5 — 68 2 Foreign obligations 20 — — — 20 — U.S. government obligations 36 2 2 — 38 2 Residential mortgage-backed securities 5 — — — 5 — Commercial mortgage-backed securities 7 — — — 7 — Collateralized debt obligations 53 — 63 1 116 1 Other asset-backed securities 2 — 7 — 10 — 200 4 88 1 288 5 Short-term 201 — — — 201 — Total securities $ 401 $ 4 $ 88 $ 1 $ 489 $ 5 |
Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments | The following table details amounts included in net realized gains (losses) and impairments included in earnings for the affected periods: Three Months Ended March 31, 2020 2019 Gross realized gains on securities $ 6 $ 24 Gross realized losses on securities — (4 ) Net foreign exchange (losses) gains 2 (3 ) Credit impairments (1) — — Intent / requirement to sell impairments (2) — — Net realized gains (losses) $ 8 $ 17 (1) Includes securities which management does not intend to sell and it is not more likely than not that the company will be required to sell before recovery of the amortized cost basis. (2) |
Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income | The following table presents a roll-forward of Ambac’s cumulative credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income under prior GAAP for the period ended December 31, 2019: Three Months Ended March 31, 2019 Balance, beginning of period $ 12 Additions for credit impairments recognized on: Securities not previously impaired — Securities previously impaired — Reductions for credit impairments previously recognized on: Securities that matured or were sold during the period — Balance, end of period $ 12 |
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, including the value of the financial guarantee, and weighted-average underlying rating, excluding the financial guarantee, of the insured securities at March 31, 2020 and December 31, 2019 , respectively: Municipal Corporate (2) Mortgage Total Weighted (1) March 31, 2020: Ambac Assurance Corporation $ 181 $ 495 $ 396 $ 1,072 B National Public Finance Guarantee Corporation 9 — — 9 BBB- Total $ 189 $ 495 $ 396 $ 1,081 B December 31, 2019: Ambac Assurance Corporation $ 176 $ 535 $ 442 $ 1,153 B- National Public Finance Guarantee Corporation 11 — — 11 BBB- Total $ 187 $ 535 $ 442 $ 1,164 B- (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. (2) Represents Ambac's holdings of secured notes issued by Ambac LSNI in connection with the Rehabilitation Exit Transactions. These secured notes are insured by Ambac Assurance. |
Equity Method Investments [Table Text Block] | unfunded commitments at March 31, 2020 of $76 to private credit, private equity and hedge funds. Fair Value Class of Funds March 31, December 31, Redemption Frequency Redemption Notice Period Real estate properties (1) $ 15 $ 16 quarterly 10 business days Hedge funds (2) 60 65 quarterly 90 days High yields and leveraged loans (3) (10) 57 176 daily 0 - 30 days Private credit (4) 47 51 quarterly 180 days if permitted Insurance-linked investments (5) 3 3 fully redeemed none Equity market investments (6) (10) 58 55 daily 0 days Investment grade floating rate income (7) 52 66 weekly 0 days Private equity (8) 4 — quarterly 90 days if permitted Emerging markets debt (9) (10) 16 — daily 0 days Total equity investments in pooled funds $ 312 $ 432 |
Summary of Net Investment Income | Net investment income (loss) was comprised of the following for the affected periods: Three Months Ended March 31, 2020 2019 Fixed income securities $ 30 $ 44 Short-term investments 2 4 Loans — — Investment expense (2 ) (1 ) Securities available-for-sale and short-term 31 47 Other investments (52 ) 8 Total net investment income (loss) $ (21 ) $ 55 Net investment income (loss) from Other investments primarily represents changes in fair value on securities classified as trading or under the fair value option, income from investment limited partnerships accounted for under the equity method and the above noted equity interest in an unconsolidated trust accounted for under the equity method. The portion of net unrealized gains (losses) related to trading securities still held at the end of each period is as follows: Three Months Ended March 31, 2020 2019 Net gains (losses) recognized during the period on trading securities $ (32 ) $ 7 Less: net gains (losses) recognized during the reporting period on trading securities sold during the period (3 ) 1 Unrealized gains (losses) recognized during the reporting period on trading securities still held at the reporting date $ (29 ) $ 6 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Summary of Gross Fair Values of Individual Derivative Instruments | The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 : Gross Gross Net Amounts Gross Amount Net Amount March 31, 2020: Derivative Assets: Interest rate swaps $ 89 $ 1 $ 88 $ — $ 88 Total non-VIE derivative assets $ 89 $ 1 $ 88 $ — $ 88 Derivative Liabilities: Credit derivatives $ 2 $ — $ 2 $ — $ 2 Interest rate swaps 136 1 135 134 1 Total non-VIE derivative liabilities $ 138 $ 1 $ 137 $ 134 $ 3 Variable Interest Entities Derivative Assets: Currency swaps $ 62 $ — $ 62 $ — $ 62 Total VIE derivative assets $ 62 $ — $ 62 $ — $ 62 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,610 $ — $ 1,610 $ — $ 1,610 Total VIE derivative liabilities $ 1,610 $ — $ 1,610 $ — $ 1,610 December 31, 2019: Derivative Assets: Interest rate swaps $ 75 $ — $ 75 $ — $ 75 Total non-VIE derivative assets $ 75 $ — $ 75 $ — $ 75 Derivative Liabilities: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 89 — 90 89 1 Total non-VIE derivative liabilities $ 90 $ — $ 90 $ 89 $ 1 Variable Interest Entities Derivative Assets: Currency swaps $ 52 $ — $ 52 $ — $ 52 Total VIE derivative assets $ 52 $ — $ 52 $ — $ 52 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,657 $ — $ 1,657 $ — $ 1,657 Total VIE derivative liabilities $ 1,657 $ — $ 1,657 $ — $ 1,657 |
Summary of Location and Amount of Gains and Losses of Derivative Contracts | The following tables summarize the location and amount of gains and losses of derivative contracts in the Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three months ended March 31, 2020 and 2019 : Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss) Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) Three Months Ended March 31, 2020 2019 Non-VIE derivatives: Credit derivatives Net gains (losses) on derivative contracts $ (1 ) $ — Interest rate swaps Net gains (losses) on derivative contracts (29 ) (3 ) Futures contracts Net gains (losses) on derivative contracts (40 ) (14 ) Total Non-VIE derivatives $ (70 ) $ (16 ) Variable Interest Entities: Currency swaps Income (loss) on variable interest entities $ 10 $ (7 ) Interest rate swaps Income (loss) on variable interest entities 47 (70 ) Total Variable Interest Entities 57 (77 ) Total derivative contracts $ (13 ) $ (93 ) |
Summary of Notional Amounts of AFS's Trading Derivative Products | As of March 31, 2020 and December 31, 2019 the notional amounts of AFS’s derivatives are as follows: Notional Type of Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 328 $ 332 Interest rate swaps—pay-fixed/receive-variable 1,261 1,261 US Treasury futures contracts—short 240 755 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | |
Summary of Notional Amounts of AFS's Trading Derivative Products | The notional for VIE derivatives outstanding as of March 31, 2020 and December 31, 2019 are as follows: Notional Type of VIE Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 1,121 $ 1,194 Interest rate swaps—pay-fixed/receive-variable 1,093 1,176 Currency swaps 302 329 Credit derivatives 8 9 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Major Jurisdictions | The following are the major jurisdictions in which Ambac and its subsidiaries operate and the earliest tax years subject to examination: Jurisdiction Tax Year United States 2010 New York State 2013 New York City 2015 United Kingdom 2016 Italy 2015 |
Schedule of Income before Income Tax, Domestic and Foreign [Table Text Block] | U.S. and foreign components of pre-tax income (loss) were as follows: Three Months Ended March 31, 2020 2019 U.S. $ (257 ) $ (63 ) Foreign (30 ) 22 Total $ (287 ) $ (41 ) |
Schedule of Components of Income Tax Expense (Benefit) | The components of the provision for income taxes were as follows: Three Months Ended March 31, 2020 2019 Current taxes U. S. federal $ — $ — U.S. state and local — (4 ) Foreign (2 ) 6 Current taxes (2 ) 3 Deferred taxes Foreign (5 ) (1 ) Deferred taxes (5 ) (1 ) Provision for income taxes $ (7 ) $ 2 |
Schedule of Net Operating Loss And Tax Credit Carryovers | Pursuant to the intercompany tax sharing agreement, to the extent Ambac Assurance generates taxable income after September 30, 2011, which is offset with "Allocated NOLs" of $3,650 , it is obligated to make payments (“Tolling Payments”), subject to certain credits, to Ambac in accordance with the following NOL usage table, where the “Applicable Percentage” is applied to the aggregate amount of federal income tax liability that would have been paid if the Allocated NOLs were not available. Pursuant to the Closing Agreement between Ambac and the Internal Revenue Service ("IRS"), the IRS will receive 12.5% of Tier C and 17.5% of Tier D payments, if made. NOL Usage Table NOL Usage Tier Allocated NOLs Applicable Percentage A The first $479 15% B The next $1,057 after Tier A 40% C The next $1,057 after Tier B 10% D The next $1,057 after Tier C 15% As of December 31, 2018, Ambac Assurance generated cumulative taxable income of $1,508 , leaving $2,142 of the $3,650 Allocated NOLs subject to Tolling Payments. For the year ended December 31, 2019 , and three months ended March 31, 2020 , Ambac Assurance generated NOLs of approximately $143 and $172 , respectively, which will need to be utilized before any new Tolling Payments will be generated. If not utilized, the NOLs will begin expiring in 2029, and will fully expire in 2040, with the exception of the tax loss generated during the three months ended March 31, 2020 of approximately $168 , which if Ambac remains in a loss position at year end 2020, will expire in 2041. |
Background and Business Descr_2
Background and Business Description - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2020 | |
Background And Basis Of Presentation [Line Items] | |
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 |
Basis of Presentation and Sig_4
Basis of Presentation and Significant Accounting Policies FX gain (loss) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Foreign Currency Transaction Gain (Loss), before Tax | $ 1 | $ 2 |
Gain (Loss) on Investments [Member] | ||
Foreign Currency Transaction Gain (Loss), before Tax | $ 2 | $ (3) |
Basis of Presentation and Sig_5
Basis of Presentation and Significant Accounting Policies Additional Information (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Preferred Stock, Shares Outstanding | 0 | 0 |
Stockholders' Equity Attributable to Noncontrolling Interest | $ 60 | $ 60 |
Preferred Stock, Shares Issued | 0 | 0 |
Basis of Presentation and Sig_6
Basis of Presentation and Significant Accounting Policies Supplemental Cash Flow information (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Non Cash Exchange of Puerto Rico Bonds | $ 510 | |||
Income Taxes Paid | $ 2 | 1 | ||
Cash and cash equivalents | 58 | 22 | $ 24 | |
Restricted Cash | 31 | 0 | 55 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | 91 | 25 | 81 | $ 83 |
Long-term Debt [Member] | ||||
Interest Paid, Including Capitalized Interest, Operating and Investing Activities | 31 | 38 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Restricted Cash | $ 2 | $ 3 | $ 2 |
Special Purpose Entities, Inc_3
Special Purpose Entities, Including Variable Interest Entities - Additional Information (Detail) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020USD ($)Entity | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($)Entity | |
Variable Interest Entities [Line Items] | |||
Variable Interest Entity Change in Fair Value of Assets and Liabilities | $ 0 | $ 2 | |
Realized Investment Gains (Losses) | 8 | 17 | |
Equity Method Investments | 47 | $ 46 | |
Deconsolidated VIE Assets | 292 | ||
Deconsolidated VIE Liabilities | 364 | ||
Fair value of special purpose entities | 3 | 3 | |
variable interest entities deconsolidation gain loss | 0 | 15 | |
Variable Interest Entity, Measure of Activity, Income or Loss before Tax | 3 | 16 | |
Other investments | 363 | 478 | |
Long-term debt | $ 2,760 | 2,822 | |
Asset-Backed Securities and Utility Obligations [Member] | |||
Variable Interest Entities [Line Items] | |||
Weighted average life | 10 months 24 days | ||
Average rating of assets held by sponsored special purpose entities | BBB+ | ||
Sponsored Variable Interest Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Total principal amount of debt outstanding | $ 378 | 403 | |
Variable Interest Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Reclassification Adjustment from AOCI for Derecognition, before Tax | (4) | 0 | |
VIE Change in FV of Assets Liabilities, Net of Credit Risk Change | (4) | 2 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Interest Expense, Long-term Debt | (2) | (2) | |
Other Expenses | 0 | $ 0 | |
Long-term debt | $ 4,263 | $ 4,554 | |
Consolidated Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Number of Newly Consolidated Variable Interest Entities | 0 | 0 | |
Number of DeConsolidated Variable Interest Entities | 0 | 0 | |
Number Of Consolidated Variable Interest Entities | Entity | 7 | 7 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Number of DeConsolidated Variable Interest Entities | 0 | 0 | |
Ambac UK [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Long-term debt | $ 4,092 | $ 4,351 | |
Ambac UK [Member] | Consolidated Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Number Of Consolidated Variable Interest Entities | Entity | 6 | 6 | |
Ambac Assurance [Member] | |||
Variable Interest Entities [Line Items] | |||
Carry Value Secured Notes from LSNI | $ 495 | $ 535 | |
Fixed Income Investments [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Gross Investment Income, Operating | 2 | $ 2 | |
Realized Investment Gains (Losses) | 8 | $ 0 | |
Ambac Note Post Exit From Rehabilitation [Member] | Ambac Assurance Corporation [Member] | |||
Variable Interest Entities [Line Items] | |||
Long-term debt | $ 1,685 | $ 1,763 |
Special Purpose Entities, Inc_4
Special Purpose Entities, Including Variable Interest Entities - Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entities [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,480,532 and $3,020,744) | $ 3,038 | $ 3,187 |
Investments: | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 81 | 132 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81 | 5 |
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | ||
Investments: | ||
Loans Unpaid Principal Balance | 2,439 | 2,618 |
Long Term Debt Unpaid Principal Balance | 3,550 | 3,800 |
Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entities [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,480,532 and $3,020,744) | 116 | 139 |
Investments: | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | $ 6 | $ 25 |
Special Purpose Entities, Inc_5
Special Purpose Entities, Including Variable Interest Entities - Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities (Detail) - Variable Interest Entities [Member] - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entities [Line Items] | ||
Loans Unpaid Principal Balance | $ 2,439 | $ 2,618 |
Long Term Debt Unpaid Principal Balance | $ 3,550 | $ 3,800 |
Special Purpose Entities, Inc_6
Special Purpose Entities, Including Variable Interest Entities - Summary of Carrying Amount of Assets, Liabilities and Maximum Exposure to Loss of Ambac's Variable Interests in Non-Consolidated Variable Interest Entities (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | $ 30,018 | $ 31,506 |
Insurance Assets | 2,399 | 2,247 |
Insurance Liabilities | 1,193 | 1,083 |
Derivative Liabilities | 7 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entities [Line Items] | ||
Derivative Liabilities | 7 | |
Global Public Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 22,533 | 23,341 |
Insurance Assets | 285 | 287 |
Insurance Liabilities | 329 | 321 |
Derivative Liabilities | (2) | 0 |
Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 7,485 | 8,165 |
Insurance Assets | 2,114 | 1,961 |
Insurance Liabilities | 864 | 762 |
Derivative Liabilities | 9 | 8 |
Global Structured Finance [Member] | Residential Mortgage-Backed Securities [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 5,063 | 5,373 |
Insurance Assets | 2,075 | 1,913 |
Insurance Liabilities | 609 | 523 |
Derivative Liabilities | 0 | 0 |
Global Structured Finance [Member] | Other Consumer Asset-Backed [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 1,276 | 1,373 |
Insurance Assets | 30 | 31 |
Insurance Liabilities | 235 | 216 |
Derivative Liabilities | 0 | 0 |
Global Structured Finance [Member] | Other Commercial Asset-Backed [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 100 | 314 |
Insurance Assets | 3 | 9 |
Insurance Liabilities | 2 | 6 |
Derivative Liabilities | 0 | 0 |
Global Structured Finance [Member] | Other [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 1,046 | 1,107 |
Insurance Assets | 6 | 7 |
Insurance Liabilities | 18 | 18 |
Derivative Liabilities | $ 9 | $ 8 |
Variable Interest Entities Spec
Variable Interest Entities Special Purpose Entities, including Variable Interest Entities - Summary of Assets and Liabilities (Details) $ in Millions | Mar. 31, 2020USD ($)Entity | Dec. 31, 2019USD ($)Entity | Mar. 31, 2019USD ($) |
Debt Securities, Available-for-sale, Amortized Cost | $ 3,038 | $ 3,187 | |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 3,037 | ||
Restricted Cash | 31 | 55 | $ 0 |
Derivative assets | 88 | 75 | |
Other assets | 144 | 95 | |
Total assets | 12,777 | 13,320 | |
Interest Payable | 457 | 441 | |
Long-term debt | 2,760 | 2,822 | |
Derivative Liability | 137 | 90 | |
Other Liabilities | 131 | 93 | |
Liabilities | 11,716 | 11,783 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 81 | 132 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,928 | 3,121 | |
Restricted Cash | 2 | 2 | $ 3 |
Financing Receivable, after Allowance for Credit Loss | 2,932 | 3,108 | |
Derivative assets | 62 | 52 | |
Other assets | 1 | 3 | |
Total assets | 5,925 | 6,286 | |
Interest Payable | 0 | 1 | |
Long-term debt | 4,092 | 4,351 | |
Long-term Debt, at par less amortized discount | 171 | 203 | |
Long-term debt | 4,263 | 4,554 | |
Derivative Liability | 1,610 | 1,657 | |
Liabilities | 5,873 | 6,212 | |
Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 | |
Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Debt Securities, Available-for-sale, Amortized Cost | 116 | 139 | |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 6 | 25 | |
Ambac UK [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 | |
Restricted Cash | 1 | 1 | |
Financing Receivable, after Allowance for Credit Loss | 2,932 | 3,108 | |
Derivative assets | 62 | 52 | |
Other assets | 0 | 1 | |
Total assets | 5,801 | 6,119 | |
Interest Payable | 0 | 1 | |
Long-term debt | 4,092 | 4,351 | |
Long-term Debt, at par less amortized discount | 0 | 0 | |
Long-term debt | 4,092 | 4,351 | |
Derivative Liability | 1,610 | 1,657 | |
Liabilities | 5,702 | 6,009 | |
Ambac UK [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 | |
Ambac UK [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 | |
Ambac Assurance [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 | |
Restricted Cash | 1 | 1 | |
Financing Receivable, after Allowance for Credit Loss | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 1 | 2 | |
Total assets | 124 | 167 | |
Interest Payable | 0 | 0 | |
Long-term debt | 0 | 0 | |
Long-term Debt, at par less amortized discount | 171 | 203 | |
Long-term debt | 171 | 203 | |
Derivative Liability | 0 | 0 | |
Liabilities | 171 | 203 | |
Ambac Assurance [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 | |
Ambac Assurance [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 122 | $ 164 | |
Consolidated Entities [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 7 | 7 | |
Consolidated Entities [Member] | Ambac UK [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 6 | 6 | |
Consolidated Entities [Member] | Ambac Assurance [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 1 | 1 |
Comprehensive Income - Schedule
Comprehensive Income - Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | $ 42 | $ (49) |
Other comprehensive income before reclassifications | 187 | (89) |
Amounts reclassified from accumulated other comprehensive income | (4) | (17) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (191) | 71 |
Ending Balance | (149) | 23 |
Income Tax Expense (Benefit) | (7) | 2 |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 151 | 86 |
Other comprehensive income before reclassifications | 139 | (73) |
Amounts reclassified from accumulated other comprehensive income | (7) | (17) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (146) | 56 |
Ending Balance | 5 | 142 |
Accumulated Translation Adjustment [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (116) | (142) |
Other comprehensive income before reclassifications | 46 | (15) |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (46) | 15 |
Ending Balance | (162) | (127) |
Accumulated Gain (Loss), Financial Liability, Fair Value Option, Attributable to Parent [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (2) | (2) |
Other comprehensive income before reclassifications | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 3 | 0 |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 3 | 0 |
Ending Balance | 2 | (2) |
Other Postretirement Benefits Plan [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 8 | 9 |
Other comprehensive income before reclassifications | 2 | (1) |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (2) | 0 |
Ending Balance | 6 | 9 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Income Tax Expense (Benefit) | 1 | (1) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | Other Postretirement Benefits Plan [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Other Comprehensive (Income) Loss, Defined Benefit Plan, Prior Service Cost (Credit), Reclassification Adjustment from AOCI, before Tax | 0 | 0 |
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss), Reclassification Adjustment from AOCI, before Tax | 0 | 0 |
Income (Loss) from Continuing Operations, Net of Tax, Including Portion Attributable to Noncontrolling Interest | 0 | 0 |
Income Tax Expense (Benefit) | $ 0 | $ 0 |
Comprehensive Income - Schedu_2
Comprehensive Income - Schedule of Amounts Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax expense (benefit) | $ 7 | $ (2) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, after Tax | 3 | 0 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (4) | (17) |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net realized investment gains | (8) | (17) |
Net of tax and noncontrolling interest | (7) | (17) |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (7) | (17) |
Accumulated Gain (Loss), Financial Liability, Fair Value Option, Attributable to Parent [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, after Tax | (3) | 0 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 3 | 0 |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, before Tax, after Reclassification Adjustment | 4 | 0 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net of tax and noncontrolling interest | (4) | (17) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax expense (benefit) | (1) | 1 |
Reclassification out of Accumulated Other Comprehensive Income [Member] | Accumulated Gain (Loss), Financial Liability, Fair Value Option, Including Portion Attributable to Noncontrolling Interest [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax expense (benefit) | 1 | 0 |
Other Postretirement Benefits Plan [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 0 | 0 |
Other Postretirement Benefits Plan [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax expense (benefit) | 0 | 0 |
Prior service cost | 0 | 0 |
Actuarial gains (losses) | 0 | 0 |
Total before tax | 0 | 0 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | $ 0 | $ 0 |
Net Income Per Share - Addition
Net Income Per Share - Additional Information (Detail) - $ / shares | 3 Months Ended | |||
Mar. 31, 2020 | Dec. 31, 2019 | May 01, 2013 | Apr. 30, 2013 | |
Schedule Of Earnings Per Share [Line Items] | ||||
Common stock, shares outstanding | 45,779,023 | 45,555,400 | ||
Par value of common stock issued | $ 0.01 | $ 0.01 | $ 0.01 | |
Exercise price of common stock | $ 16.67 | |||
Warrants outstanding | 4,877,749 | |||
Common Stock [Member] | ||||
Schedule Of Earnings Per Share [Line Items] | ||||
Number of new common stock issued | 223,623 |
Net Income Per Share - Reconcil
Net Income Per Share - Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share (Detail) - shares | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Weighted average number of common shares used for basic earnings per share | 46,060,324 | 45,832,297 |
Effect of potential dilutive shares: | ||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 46,060,324 | 45,832,297 |
Warrants [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 4,877,749 | 4,877,783 |
Share-based Payment Arrangement, Option [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 16,667 | 16,667 |
Restricted Stock Units (RSUs) [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 236,189 | 271,763 |
Performance Shares [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 738,039 | 478,739 |
Warrants [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 0 | 0 |
Share-based Payment Arrangement, Option [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 0 | 0 |
Restricted Stock Units (RSUs) [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 0 | 0 |
Performance Shares [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 0 | 0 |
Net Income Per Share Schedule o
Net Income Per Share Schedule of Basic and Dilutive Securities for EPS (Details) - shares | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Weighted Average Number of Shares Outstanding, Basic | 46,060,324 | 45,832,297 |
Weighted Average Number of Shares Outstanding, Diluted | 46,060,324 | 45,832,297 |
Restricted Stock Units (RSUs) [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 236,189 | 271,763 |
Share-based Payment Arrangement, Option [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 16,667 | 16,667 |
Warrants [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 4,877,749 | 4,877,783 |
Performance Shares [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 738,039 | 478,739 |
Performance Shares [Member] | ||
Weighted Average Number Diluted Shares Outstanding Adjustment | 0 | 0 |
Restricted Stock Units (RSUs) [Member] | ||
Weighted Average Number Diluted Shares Outstanding Adjustment | 0 | 0 |
Financial Guarantee Insurance_3
Financial Guarantee Insurance Contracts - Additional Information (Detail) € in Millions, £ in Millions | 3 Months Ended | 12 Months Ended | |||||||
Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2019EUR (€) | Mar. 31, 2020EUR (€) | Mar. 31, 2020GBP (£) | Mar. 31, 2020USD ($) | Dec. 31, 2019GBP (£) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Insurance [Line Items] | |||||||||
Reinsurance Recoverable, Allowance for Credit Loss | $ 0 | ||||||||
Public Finance Puerto Rico Net Par Outstanding | 1,105,000,000 | ||||||||
Schedule Of Insured Financial Obligations With Credit Deterioration Reductions Of Gross Claim Liability Rmbs Subrogation | 1,764,000,000 | $ 1,727,000,000 | |||||||
Financial Guarantee Insurance Contracts, Premium Receivable | $ 487,000,000 | $ 403,000,000 | $ 416,000,000 | $ 495,000,000 | |||||
Estimated Future Premium Payments Weighted Average Discounted Rate | 2.40% | 2.20% | 2.20% | 2.20% | 2.40% | 2.40% | |||
Reinsurance Payable | $ 28,000,000 | $ 29,000,000 | |||||||
Weighted average period of future premiums | 8 years 8 months 12 days | 8 years 6 months | |||||||
Uncollectable premium receivables | 14,352,000 | ||||||||
Accelerated premium revenue for retired obligations | $ 187,000 | 12,000,000 | |||||||
Reinsurance recoveries of losses included in losses and loss expenses | (10,000,000) | (5,000,000) | |||||||
Losses and loss expense reserves ceded to reinsurers | 26,000,000 | 35,000,000 | 26,000,000 | 23,000,000 | |||||
Subrogation recoveries, net of reinsurance | (1,738,000,000) | (1,702,000,000) | |||||||
Intangible amortization expense | $ 13,000,000 | 36,000,000 | |||||||
Intangible Assets, Gross (Excluding Goodwill) | 1,261,000,000 | 1,273,000,000 | |||||||
Finite-Lived Intangible Assets, Accumulated Amortization | 854,000,000 | 847,000,000 | |||||||
Insurance intangible asset | 406,000,000 | 427,000,000 | |||||||
Possible Increase in Loss Reserves Related to Puerto Rico | 1,220,000,000 | ||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | $ 1,666,000,000 | 1,062,000,000 | 1,536,000,000 | $ 1,633,000,000 | |||||
Stockholders Equity After Possible Increase in Domestic Public Finance Loss Reserves | (158,000,000) | ||||||||
Loss Reserves [Member] | |||||||||
Insurance [Line Items] | |||||||||
Weighted average risk-free rate used to discount loss reserves | 0.90% | 2.10% | |||||||
United Kingdom, Pounds | |||||||||
Insurance [Line Items] | |||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | £ 103 | 128,000,000 | £ 109 | 142,000,000 | |||||
Euro Member Countries, Euro | |||||||||
Insurance [Line Items] | |||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | € 27 | € 22 | 24,000,000 | $ 30,000,000 | |||||
Commonwealth of Puerto Rico [Member] | |||||||||
Insurance [Line Items] | |||||||||
Domestic Public Finance Losses | $ 178,000,000 | ||||||||
Long-term Debt [Member] | |||||||||
Insurance [Line Items] | |||||||||
Gain Contingency, Unrecorded Amount | 1,600,000,000 | ||||||||
Long-term Debt [Member] | |||||||||
Insurance [Line Items] | |||||||||
Gain Contingency, Unrecorded Amount | $ 1,400,000,000 |
Financial Guarantee Insurance_4
Financial Guarantee Insurance Contracts - Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Detail) $ in Thousands, € in Millions, £ in Millions | 3 Months Ended | |||||
Mar. 31, 2020EUR (€) | Mar. 31, 2020GBP (£) | Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | Jan. 01, 2020USD ($) | Dec. 31, 2019USD ($) | |
Insurance [Line Items] | ||||||
Allowance for Doubtful Accounts, Premiums and Other Receivables | $ 14,000 | $ 9,000 | ||||
Premiums Receivable, Gross | 417,000 | |||||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | 187 | $ 12,000 | ||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||
Beginning premium receivable | 416,000 | 495,000 | ||||
Premium receipts | 12,000 | 13,000 | ||||
Adjustments for changes in expected and contractual cash flows | 10,000 | 0 | ||||
Accretion of premium receivable discount | 2,000 | 3,000 | ||||
Uncollectable premiums | (2,000) | |||||
Other adjustments (including foreign exchange) | (8,000) | 2,000 | ||||
Ending premium receivable | 403,000 | $ 487,000 | ||||
Premium Receivable, Allowance for Credit Loss | 14,352 | |||||
Premium Receivable, Credit Loss Expense (Reversal) | 5,000 | |||||
Premium Receivable, Allowance for Credit Loss, Writeoff | 0 | |||||
Premium Receivable, Allowance for Credit Loss, Recovery | 0 | |||||
Financing Receivable, Past Due | 1,000 | |||||
Financing Receivable, 90 Days or More Past Due, Still Accruing | 1,000 | |||||
United Kingdom, Pounds | ||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||
Beginning premium receivable | £ 109 | 142,000 | ||||
Ending premium receivable | £ 103 | 128,000 | ||||
Euro Member Countries, Euro | ||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||
Beginning premium receivable | € 27 | 30,000 | ||||
Ending premium receivable | € 22 | 24,000 | ||||
Accounting Standards Update 2016-13 [Member] | ||||||
Insurance [Line Items] | ||||||
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (4,000) | |||||
Premiums Receivable [Member] | Accounting Standards Update 2016-13 [Member] | ||||||
Insurance [Line Items] | ||||||
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (3,000) | |||||
Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 26,000 | |||||
Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 4,000 | |||||
Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 30,000 | |||||
Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 18,000 | |||||
Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 340,000 | |||||
Structured Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 70,000 | |||||
Structured Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Structured Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 4,000 | |||||
Structured Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 16,000 | |||||
Structured Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 18,000 | |||||
Structured Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 32,000 | |||||
International Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 157,000 | |||||
International Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 13,000 | |||||
International Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
International Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 14,000 | |||||
International Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
International Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 130,000 | |||||
Public Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 191,000 | |||||
Public Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 13,000 | |||||
Public Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Public Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Public Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Public Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 178,000 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 16,000 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Public Finance Sectors [Member] | Public Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 16,000 | |||||
Other International [Member] | International Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 15,000 | |||||
Other International [Member] | International Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other International [Member] | International Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other International [Member] | International Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other International [Member] | International Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other International [Member] | International Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 15,000 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 26,000 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 1,000 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 3,000 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 18,000 | |||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 4,000 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 19,000 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Structured Insurance [Domain] | Structured Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 19,000 | |||||
Student Loans [Member] | Structured Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 19,000 | |||||
Student Loans [Member] | Structured Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Student Loans [Member] | Structured Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 3,000 | |||||
Student Loans [Member] | Structured Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 13,000 | |||||
Student Loans [Member] | Structured Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Student Loans [Member] | Structured Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 4,000 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 6,000 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Other Structured Finance [Member] | Structured Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 6,000 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 113,000 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 13,000 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 14,000 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 86,000 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 29,000 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 29,000 | |||||
Housing Revenue [Member] | Public Finance [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 175,000 | |||||
Housing Revenue [Member] | Public Finance [Member] | Surveillance Category Onea [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 13,000 | |||||
Housing Revenue [Member] | Public Finance [Member] | Surveillance Category Two [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Housing Revenue [Member] | Public Finance [Member] | Surveillance Category Three [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Housing Revenue [Member] | Public Finance [Member] | Surveillance Category Four [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | 0 | |||||
Housing Revenue [Member] | Public Finance [Member] | Surveillance Category One [Member] | ||||||
Insurance [Line Items] | ||||||
Premiums Receivable, Gross | $ 162,000 |
Financial Guarantee Insurance_5
Financial Guarantee Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||
Direct Premiums Written | $ 11 | $ 3 |
Assumed Reinsurance Premiums Written | 0 | 0 |
Ceded Reinsurance Premiums Written | (1) | (1) |
Premiums written, net of reinsurance | (12) | (4) |
Direct Premiums Earned | 13 | 29 |
Assumed Reinsurance Premiums Earned | 1 | 0 |
Ceded Reinsurance Premiums Earned | 3 | 2 |
Reinsurance on premiums earned, Net | $ 10 | $ 28 |
Financial Guarantee Insurance_6
Financial Guarantee Insurance Contracts - Summarized Future Gross Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Detail) $ in Millions | Mar. 31, 2020USD ($) |
Future premiums expected to be collected, June 30. 2020 | $ 12 |
Future premiums expected to be collected, September 30, 2020 | 10 |
Future premiums expected to be collected, December 31, 2020 | 10 |
Future premiums expected to be collected, December 31, 2021 | 37 |
Future premiums expected to be collected, December 31, 2022 | 35 |
Future premiums expected to be collected, December 31, 2023 | 34 |
Future premiums expected to be collected, December 31, 2024 | 32 |
Future premiums expected to be collected, December 31, 2029 | 142 |
Future premiums expected to be collected, December 31, 2034 | 104 |
Future premiums expected to be collected, December 31, 2039 | 52 |
Future premiums expected to be collected, December 31, 2044 | 23 |
Future premiums expected to be collected, December 31, 2049 | 9 |
Future premiums expected to be collected, December 31, 2054 | 1 |
Future premiums expected to be collected, Total | 501 |
Future expected premiums to be earned, net of reinsurance, June 30, 2020 | 10 |
Future expected premiums to be earned, net of reinsurance, September 30, 2020 | 10 |
Future expected premiums to be earned, net of reinsurance, December 31, 2020 | 10 |
Future expected premiums to be earned, net of reinsurance, December 31, 2021 | 36 |
Future expected premiums to be earned, net of reinsurance, December 31, 2022 | 34 |
Future expected premiums to be earned, net of reinsurance, December 31, 2023 | 32 |
Future expected premiums to be earned, net of reinsurance, December 31, 2024 | 30 |
Future expected premiums to be earned, net of reinsurance, December 31, 2029 | 125 |
Future expected premiums to be earned, net of reinsurance, December 31, 2034 | 83 |
Future expected premiums to be earned, net of reinsurance, December 31, 2039 | 38 |
Future expected premiums to be earned, net of reinsurance, December 31, 2044 | 14 |
Future expected premiums to be earned, net of reinsurance, December 31, 2049 | 5 |
Future expected premiums to be earned, net of reinsurance, December 31, 2054 | 1 |
Future expected premiums to be earned, net of reinsurance, Total | $ 428 |
Financial Guarantee Insurance_7
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 1 | $ 1 | $ 0 | |
Loss Reserves Ceded To Reinsurers | 35 | 26 | 26 | $ 23 |
Policyholder Benefits and Claims Incurred, Ceded | 10 | 5 | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | (430) | $ (176) | (508) | $ (130) |
Loss and loss expense reserves | 1,797 | 1,548 | ||
Subrogation recoverable | (2,192) | (2,029) | ||
Claim liability reported on Balance Sheet, before reinsurance | (395) | (482) | ||
Present Value of Expected Net Cash Flows- Claims and Loss Expenses [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | 2,112 | 1,835 | ||
Subrogation recoverable | 135 | 131 | ||
Claim liability reported on Balance Sheet, before reinsurance | 2,247 | 1,966 | ||
Present Value of Expected Net Cash Flows-Recoveries [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | (245) | (233) | ||
Subrogation recoverable | (2,327) | (2,160) | ||
Claim liability reported on Balance Sheet, before reinsurance | (2,572) | (2,394) | ||
Unearned Premium Reserve [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Loss and loss expense reserves | (70) | (54) | ||
Subrogation recoverable | 0 | 0 | ||
Claim liability reported on Balance Sheet, before reinsurance | $ (70) | $ (54) |
Financial Guarantee Insurance_8
Financial Guarantee Insurance Contracts - Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Detail) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | |
Loss And Loss Adjustment Expense Reserves [Line Items] | ||||||
Impact of VIE Consolidation on Gross Loss and Loss Reserves | $ 0 | $ (72) | ||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||||
Beginning gross loss and loss expense reserves | $ (482) | $ (107) | ||||
Less reinsurance on loss and loss expense reserves | 26 | 23 | ||||
Beginning balance of net loss and loss expense reserves | (508) | (130) | ||||
Current Year Claims and Claims Adjustment Expense | 27 | 1 | ||||
Prior Year Claims and Claims Adjustment Expense | 90 | 12 | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Incurred Claims | 117 | 12 | ||||
Claim and loss expense payments, net of subrogation and reinsurance | 0 | 0 | ||||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance | (39) | (64) | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Claims Paid | 39 | 64 | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Foreign Currency Translation Gain (Loss) | 0 | 6 | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | (508) | (130) | $ (130) | (430) | $ (508) | (176) |
Add reinsurance on loss and loss expense reserves | 35 | 26 | 23 | |||
Ending gross loss and loss expense reserves | (395) | (222) | (107) | |||
Policyholder Benefits and Claims Incurred, Ceded | 10 | $ 5 | ||||
Net Incurred RMBS Subrogation Recoveries | $ 36 | $ (4) | ||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 1 | $ 0 | $ 1 |
Financial Guarantee Insurance_9
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Detail) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020USD ($)Policies | Dec. 31, 2019USD ($)Policies | Mar. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | $ 35 | $ 26 | $ 26 | $ 23 |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 1 | $ 0 | $ 1 | |
Number of policies | Policies | 224 | 221 | ||
Remaining weighted-average contract period (in years) | 15 years | 15 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 7,046 | $ 6,168 | ||
Interest | 3,358 | 3,029 | ||
Total | 10,404 | 9,197 | ||
Gross undiscounted claim liability | 2,450 | 2,434 | ||
Discount, gross claim liability | 259 | 541 | ||
Gross claim liability before all subrogation and before reinsurance | 2,191 | 1,893 | ||
Less: | ||||
Gross RMBS subrogation | (1,771) | (1,777) | ||
Discount, RMBS subrogation | 7 | 49 | ||
Discounted RMBS subrogation, before reinsurance | (1,764) | (1,727) | ||
Less: | ||||
Gross other subrogation | (829) | (720) | ||
Discount, other subrogation | 21 | 53 | ||
Discounted other subrogation, before reinsurance | (809) | (666) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | (381) | (501) | ||
Less: Unearned premium reserves | (70) | (54) | ||
Plus: Loss adjustment expenses reserves | 55 | 73 | ||
Claim liability reported on Balance Sheet, before reinsurance | (395) | (482) | ||
Reinsurance recoverable reported on Balance Sheet | $ 36 | $ 26 | ||
I/SL [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 33 | 34 | ||
Remaining weighted-average contract period (in years) | 24 years | 8 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 727 | $ 668 | ||
Interest | 394 | 340 | ||
Total | 1,121 | 1,007 | ||
Gross undiscounted claim liability | 18 | 2 | ||
Discount, gross claim liability | 1 | 0 | ||
Gross claim liability before all subrogation and before reinsurance | 17 | 2 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | 0 | 0 | ||
Discount, other subrogation | 0 | 0 | ||
Discounted other subrogation, before reinsurance | 0 | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 17 | 2 | ||
Less: Unearned premium reserves | (2) | (1) | ||
Plus: Loss adjustment expenses reserves | 0 | 1 | ||
Claim liability reported on Balance Sheet, before reinsurance | 15 | 1 | ||
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 0 | ||
IA [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 22 | 18 | ||
Remaining weighted-average contract period (in years) | 21 years | 21 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 483 | $ 510 | ||
Interest | 507 | 507 | ||
Total | 991 | 1,016 | ||
Gross undiscounted claim liability | 44 | 44 | ||
Discount, gross claim liability | 2 | 5 | ||
Gross claim liability before all subrogation and before reinsurance | 42 | 39 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | 0 | 0 | ||
Discount, other subrogation | 0 | 0 | ||
Discounted other subrogation, before reinsurance | 0 | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 42 | 39 | ||
Less: Unearned premium reserves | (9) | (9) | ||
Plus: Loss adjustment expenses reserves | 1 | 1 | ||
Claim liability reported on Balance Sheet, before reinsurance | 34 | 30 | ||
Reinsurance recoverable reported on Balance Sheet | $ 6 | $ 6 | ||
II [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 14 | 11 | ||
Remaining weighted-average contract period (in years) | 9 years | 9 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 607 | $ 277 | ||
Interest | 512 | 128 | ||
Total | 1,119 | 404 | ||
Gross undiscounted claim liability | 41 | 21 | ||
Discount, gross claim liability | 1 | 1 | ||
Gross claim liability before all subrogation and before reinsurance | 41 | 20 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | 0 | 0 | ||
Discount, other subrogation | 0 | 0 | ||
Discounted other subrogation, before reinsurance | 0 | 0 | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 41 | 20 | ||
Less: Unearned premium reserves | (5) | (1) | ||
Plus: Loss adjustment expenses reserves | 1 | 1 | ||
Claim liability reported on Balance Sheet, before reinsurance | 36 | 20 | ||
Reinsurance recoverable reported on Balance Sheet | $ 9 | $ 7 | ||
III [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 16 | 16 | ||
Remaining weighted-average contract period (in years) | 17 years | 17 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 1,524 | $ 857 | ||
Interest | 326 | 366 | ||
Total | 1,850 | 1,223 | ||
Gross undiscounted claim liability | 521 | 541 | ||
Discount, gross claim liability | 71 | 152 | ||
Gross claim liability before all subrogation and before reinsurance | 450 | 389 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | (39) | (41) | ||
Discount, other subrogation | 1 | 4 | ||
Discounted other subrogation, before reinsurance | (38) | (37) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 412 | 353 | ||
Less: Unearned premium reserves | (19) | (7) | ||
Plus: Loss adjustment expenses reserves | 4 | 4 | ||
Claim liability reported on Balance Sheet, before reinsurance | 397 | 349 | ||
Reinsurance recoverable reported on Balance Sheet | $ 27 | $ 24 | ||
IV [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 136 | 139 | ||
Remaining weighted-average contract period (in years) | 15 years | 14 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 3,667 | $ 3,819 | ||
Interest | 1,608 | 1,678 | ||
Total | 5,275 | 5,498 | ||
Gross undiscounted claim liability | 1,778 | 1,778 | ||
Discount, gross claim liability | 184 | 381 | ||
Gross claim liability before all subrogation and before reinsurance | 1,594 | 1,397 | ||
Less: | ||||
Gross RMBS subrogation | (1,771) | (1,777) | ||
Discount, RMBS subrogation | 7 | 49 | ||
Discounted RMBS subrogation, before reinsurance | (1,764) | (1,727) | ||
Less: | ||||
Gross other subrogation | (777) | (666) | ||
Discount, other subrogation | 18 | 47 | ||
Discounted other subrogation, before reinsurance | (759) | (620) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | (929) | (950) | ||
Less: Unearned premium reserves | (34) | (35) | ||
Plus: Loss adjustment expenses reserves | 50 | 67 | ||
Claim liability reported on Balance Sheet, before reinsurance | (914) | (918) | ||
Reinsurance recoverable reported on Balance Sheet | $ (7) | $ (10) | ||
V [Member] | ||||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Number of policies | Policies | 3 | 3 | ||
Remaining weighted-average contract period (in years) | 2 years | 3 years | ||
Gross insured contractual payments outstanding: | ||||
Principal | $ 37 | $ 37 | ||
Interest | 11 | 11 | ||
Total | 48 | 48 | ||
Gross undiscounted claim liability | 48 | 48 | ||
Discount, gross claim liability | 0 | 2 | ||
Gross claim liability before all subrogation and before reinsurance | 47 | 46 | ||
Less: | ||||
Gross RMBS subrogation | 0 | 0 | ||
Discount, RMBS subrogation | 0 | 0 | ||
Discounted RMBS subrogation, before reinsurance | 0 | 0 | ||
Less: | ||||
Gross other subrogation | (13) | (13) | ||
Discount, other subrogation | 1 | 3 | ||
Discounted other subrogation, before reinsurance | (11) | (10) | ||
Gross claim liability, net of all subrogation and discounts, before reinsurance | 36 | 36 | ||
Less: Unearned premium reserves | 0 | 0 | ||
Plus: Loss adjustment expenses reserves | 0 | 0 | ||
Claim liability reported on Balance Sheet, before reinsurance | 36 | 36 | ||
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 0 |
Financial Guarantee Insuranc_10
Financial Guarantee Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Phantom) (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | ||||
Loss Reserves Ceded To Reinsurers | $ 35 | $ 26 | $ 26 | $ 23 |
Loss and loss expense reserves | 1,797 | 1,548 | ||
Subrogation recoverable | (2,192) | (2,029) | ||
Liability for Claims | (395) | (482) | (222) | $ (107) |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 1 | $ 0 | $ 1 |
Financial Guarantee Insuranc_11
Financial Guarantee Insurance Contracts - Summary of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Detail) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||||
Balance Of Rmbs Subrogation Recoveries Net Of Reinsurance | $ (1,738) | $ (1,702) | ||
Subrogation recoveries | 1,764 | 1,727 | ||
Random Samples [Member] | ||||
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||||
Subrogation recoveries | 1,764 | $ 1,727 | $ 1,727 | $ 1,771 |
Other Changes Rmbs Subrogation | $ 36 | $ (43) |
Financial Guarantee Insuranc_12
Financial Guarantee Insurance Contracts - Summary of Rollforward of RMBS Subrogation, by Estimation Approach (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Subrogation By Estimation Approach [Roll Forward] | ||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | $ 1,727 | |
Changes recognized | ||
Discounted RMBS subrogation (gross of reinsurance), ending balance | 1,764 | |
Random Samples [Member] | ||
Subrogation By Estimation Approach [Roll Forward] | ||
Discounted RMBS subrogation (gross of reinsurance), beginning balance | 1,727 | $ 1,771 |
Changes recognized | ||
Other Changes Rmbs Subrogation | 36 | (43) |
Discounted RMBS subrogation (gross of reinsurance), ending balance | $ 1,764 | $ 1,727 |
Financial Guarantee Insuranc_13
Financial Guarantee Insurance Contracts Financial Guarantee Insurance Contracts - Summary of Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Insurance [Abstract] | ||||
Loss Reserves Ceded To Reinsurers | $ 35 | $ 26 | $ 26 | $ 23 |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 1 | $ 0 | $ 1 |
Financial Guarantee Insuranc_14
Financial Guarantee Insurance Contracts - Estimated Future Amortization Expense for Insurance Intangible Asset (Detail) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Amortization Of Intangible Assets [Line Items] | |||
Acquired Finite-lived Intangible Assets, Weighted Average Useful Life | 7 years 7 months 6 days | ||
Amortization of insurance intangible assets | $ 13 | $ 36 | |
Intangible Assets, Gross (Excluding Goodwill) | 1,261 | $ 1,273 | |
Finite-Lived Intangible Assets, Accumulated Amortization | 854 | 847 | |
2019 | 33 | ||
2020 | 39 | ||
2021 | 35 | ||
2022 | 32 | ||
2023 | 29 | ||
Thereafter | 239 | ||
Insurance intangible asset | $ 406 | $ 427 |
Financial Guarantee Insuranc_15
Financial Guarantee Insurance Contracts Earned Premiums by Geographic Location (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Premiums Earned, Net, Financial Guarantee Insurance Contracts | $ 10 | $ 28 |
United States [Member] | Reportable Geographical Components [Member] | ||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 7 | 28 |
United Kingdom [Member] | Reportable Geographical Components [Member] | ||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | 4 | 4 |
Other International [Member] | Reportable Geographical Components [Member] | ||
Premiums Earned, Net, Financial Guarantee Insurance Contracts | $ 0 | $ (5) |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 3,037 | |
Financial assets: | ||
Short term investments | 586 | $ 653 |
Other investments | 363 | 478 |
Derivative assets | 89 | 75 |
Other assets | 3 | 3 |
Long-term Debt | 2,760 | 2,822 |
Financial liabilities: | ||
Derivative liabilities | 138 | 90 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,928 | 3,121 |
Financial assets: | ||
Loans | 2,932 | 3,108 |
Derivative assets | 62 | 52 |
Long-term Debt | 4,263 | 4,554 |
Financial liabilities: | ||
Derivative liabilities | 1,610 | 1,657 |
Long-term debt | 4,092 | 4,351 |
Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 586 | 653 |
Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 |
Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 |
Total Fair Value [Member] | ||
Financial assets: | ||
Cash | 89 | 79 |
Reported Value Measurement [Member] | ||
Financial assets: | ||
Cash | 89 | 79 |
Loans | 10 | |
Other assets | 3 | 3 |
Total financial assets | 9,513 | 10,242 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | (763) | (863) |
Long-term debt | 3,217 | 3,262 |
Total financial liabilities | 8,464 | 8,699 |
Reported Value Measurement [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 2 | 2 |
Loans | 2,932 | 3,108 |
Financial liabilities: | ||
Long-term debt | 4,263 | 4,554 |
Reported Value Measurement [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 586 | 653 |
Reported Value Measurement [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 363 | 478 |
Reported Value Measurement [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 |
Reported Value Measurement [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 |
Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 1 | |
Derivative liabilities | 136 | 89 |
Reported Value Measurement [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,610 | 1,657 |
Reported Value Measurement [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Derivative assets | 62 | 52 |
Reported Value Measurement [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 2 | |
Other Assets [Member] | Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 89 | 75 |
Interest Rate Swaps - Liability Position [Member] | Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative Asset, Fair Value, Gross Liability | 1 | |
Level 1 [Member] | ||
Financial assets: | ||
Cash | 86 | 70 |
Total financial assets | 1,004 | 1,091 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 0 | 0 |
Total financial liabilities | 0 | 0 |
Level 1 [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 2 | 2 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 0 | 0 |
Level 1 [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 528 | 598 |
Level 1 [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 0 | 0 |
Level 1 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 0 | |
Level 1 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 84 | 136 |
Level 1 [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Level 1 [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Level 1 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
Derivative liabilities | 0 | 0 |
Level 1 [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 1 [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Level 1 [Member] | Other Credit Derivatives [Member] | ||
Financial assets: | ||
Derivative assets | 0 | |
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 1 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Level 1 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative Asset, Fair Value, Gross Liability | 0 | |
Level 2 [Member] | ||
Financial assets: | ||
Cash | 3 | 9 |
Total financial assets | 2,335 | 2,593 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 2,584 | 2,829 |
Total financial liabilities | 8,444 | 8,983 |
Level 2 [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 0 | 0 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 4,115 | 4,408 |
Level 2 [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 57 | 55 |
Level 2 [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 0 | 0 |
Level 2 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 0 | |
Level 2 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 0 | 0 |
Level 2 [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Level 2 [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 |
Level 2 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 1 | |
Derivative liabilities | 136 | 89 |
Level 2 [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,610 | 1,657 |
Level 2 [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Derivative assets | 62 | 52 |
Level 2 [Member] | Other Credit Derivatives [Member] | ||
Financial assets: | ||
Derivative assets | ||
Financial liabilities: | ||
Derivative liabilities | 0 | |
Level 2 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 10 | 8 |
Level 2 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative Asset, Fair Value, Gross Liability | 1 | |
Level 3 [Member] | ||
Financial assets: | ||
Cash | 0 | 0 |
Total financial assets | 5,927 | 6,281 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 1,057 | 284 |
Long-term debt | 341 | 445 |
Total financial liabilities | 1,558 | 889 |
Level 3 [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 0 | 0 |
Loans | 2,932 | 3,108 |
Financial liabilities: | ||
Long-term debt | 158 | 159 |
Level 3 [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 0 | 0 |
Level 3 [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 3 | 3 |
Level 3 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 11 | |
Level 3 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 30 | 61 |
Level 3 [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 |
Level 3 [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Level 3 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 0 | |
Derivative liabilities | 0 | 0 |
Level 3 [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 3 [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Level 3 [Member] | Other Credit Derivatives [Member] | ||
Financial assets: | ||
Derivative assets | ||
Financial liabilities: | ||
Derivative liabilities | 2 | |
Level 3 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 79 | 67 |
Level 3 [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative Asset, Fair Value, Gross Liability | 0 | |
Commercial Mortgage Backed Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 51 | 50 |
Municipal Bonds [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 218 | 215 |
Corporate Debt Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 1,261 | 1,430 |
Debt Security, Government, Non-US [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 42 | 44 |
US Government Debt Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 177 | 156 |
Residential Mortgage-Backed Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 203 | 248 |
Collateralized Debt Obligations [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 132 | 146 |
Asset-backed Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 283 | 287 |
Fair Value, Recurring [Member] | ||
Financial assets: | ||
Total financial assets | 9,498 | 10,260 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 1,057 | 284 |
Long-term debt | 2,924 | 3,274 |
Total financial liabilities | 10,001 | 9,872 |
Fair Value, Recurring [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 2 | 2 |
Loans | 2,932 | 3,108 |
Financial liabilities: | ||
Long-term debt | 4,274 | 4,567 |
Fair Value, Recurring [Member] | Commercial Mortgage Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 51 | 50 |
Fair Value, Recurring [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 586 | 653 |
Fair Value, Recurring [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 3 | 3 |
Fair Value, Recurring [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 11 | |
Fair Value, Recurring [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 345 | 493 |
Fair Value, Recurring [Member] | Asset-backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 283 | 287 |
Fair Value, Recurring [Member] | Collateralized Debt Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 132 | 146 |
Fair Value, Recurring [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 203 | 248 |
Fair Value, Recurring [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 177 | 156 |
Fair Value, Recurring [Member] | Debt Security, Government, Non-US [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 42 | 44 |
Fair Value, Recurring [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 1,261 | 1,430 |
Fair Value, Recurring [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,806 | 2,957 |
Fair Value, Recurring [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 218 | 215 |
Fair Value, Recurring [Member] | Municipal Bonds [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 122 | 164 |
Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities - interest rate swaps - asset position | 1 | |
Derivative liabilities | 136 | 89 |
Fair Value, Recurring [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,610 | 1,657 |
Fair Value, Recurring [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Financial assets: | ||
Derivative assets | 62 | 52 |
Fair Value, Recurring [Member] | Other Credit Derivatives [Member] | ||
Financial assets: | ||
Derivative assets | 0 | |
Financial liabilities: | ||
Derivative liabilities | 2 | |
Fair Value, Recurring [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 89 | 75 |
Fair Value, Recurring [Member] | Interest Rate Swaps - Liability Position [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative Asset, Fair Value, Gross Liability | 1 | |
Fair Value, Recurring [Member] | Level 1 [Member] | Commercial Mortgage Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Asset-backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Collateralized Debt Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 177 | 156 |
Fair Value, Recurring [Member] | Level 1 [Member] | Debt Security, Government, Non-US [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 42 | 44 |
Fair Value, Recurring [Member] | Level 1 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 2 [Member] | Commercial Mortgage Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 51 | 50 |
Fair Value, Recurring [Member] | Level 2 [Member] | Asset-backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 217 | 215 |
Fair Value, Recurring [Member] | Level 2 [Member] | Collateralized Debt Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 132 | 146 |
Fair Value, Recurring [Member] | Level 2 [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 203 | 248 |
Fair Value, Recurring [Member] | Level 2 [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 2 [Member] | Debt Security, Government, Non-US [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 2 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 1,261 | 1,430 |
Fair Value, Recurring [Member] | Level 2 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 218 | 215 |
Fair Value, Recurring [Member] | Level 3 [Member] | Commercial Mortgage Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Asset-backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 66 | 72 |
Fair Value, Recurring [Member] | Level 3 [Member] | Collateralized Debt Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Debt Security, Government, Non-US [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | 0 |
Collateral Pledged [Member] | Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 85 | |
Collateral Pledged [Member] | Short-term Investments [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85 | |
Collateral Pledged [Member] | Fair Value, Recurring [Member] | Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85 | |
Collateral Pledged [Member] | Fair Value, Recurring [Member] | Level 1 [Member] | Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85 | |
Collateral Pledged [Member] | Fair Value, Recurring [Member] | Level 2 [Member] | Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | |
Collateral Pledged [Member] | Fair Value, Recurring [Member] | Level 3 [Member] | Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | $ 0 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020USD ($) | Mar. 31, 2019 | Dec. 31, 2019USD ($) | |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Fair Value Assets, Level 1 to Level 2 Transfers, Number | 0 | 0 | |
Derivative Credit Risk Valuation Adjustment, Derivative Liabilities | $ 0 | $ 0 | |
Other investments | 363 | 478 | |
Derivative liabilities | $ 138 | $ 90 | |
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 2.20% | 2.40% | |
Fair Value Assets, Level 2 to Level 1 Transfers, Number | 0 | 0 | |
Fair Value Assets, Level 2 to Level 3 Transfers, Number | 0 | 0 | |
Fair Value Assets, Level 3 to Level 2 Transfers, Number | 0 | 0 | |
Fair Value Measured at Net Asset Value Per Share [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Other investments | $ 232 | $ 296 | |
Fixed Income Securities [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Percentage of investment portfolio valued using dealer quotes | 4.00% | 4.00% | |
Minimum [Member] | Fixed Income Securities [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Percentage of investment portfolio valued using internal valuation models | 2.00% | 2.00% | |
Maximum [Member] | Fixed Income Securities [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Percentage of investment portfolio valued using external pricing services | 94.00% | 94.00% | |
Variable Interest Entity [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 2.50% | 2.70% | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | |||
Derivative liabilities | $ 1,610 | $ 1,657 |
Fair Value Measurements - Infor
Fair Value Measurements - Information about Valuation Inputs for Fixed Income Securities Classified as Level 3 (Detail) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | $ 5,884 | $ 7,139 | $ 6,207 | $ 6,930 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 130 | 160 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (377) | 135 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (76) | (87) | ||
Derivative [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 77 | 53 | 66 | 46 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 12 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | (1) | ||
Credit Derivative [Member] | Credit Derivative [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (2) | (1) | 0 | (1) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (1) | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Interest Rate Swap [Member] | Interest Rate Swap [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 79 | 54 | $ 67 | $ 47 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 13 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | $ (1) | $ (1) |
Fair Value Measurements - Sum_2
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | $ 363 | $ 478 |
Fair value of derivative liabilities | 134 | |
Real Estate [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | 15 | 16 |
Interest Rate Contract [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | 57 | 176 |
Illiquid Investments [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | $ 47 | $ 51 |
Asset-backed Securities [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Fair Value Inputs Coupon Rate | 5.98% | 5.97% |
Fair Value Inputs Maturity | 15 years 4 months 9 days | 15 years 6 months 29 days |
Fair Value Inputs Yield | 13.00% | 11.75% |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Fair value of derivative liabilities | $ 0 |
Fair Value Measurements - Inf_2
Fair Value Measurements - Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Detail) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | $ 5,884 | $ 7,139 | $ 6,207 | $ 6,930 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 130 | 160 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (377) | 135 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (76) | (87) | ||
Fair Value, Inputs, Level 3 [Member] | Investments [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 66 | 72 | 72 | 72 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (6) | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Fair Value, Inputs, Level 3 [Member] | Other Assets [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 3 | 4 | 3 | 5 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
Derivative Financial Instruments, Liabilities [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 77 | 53 | 66 | 46 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 12 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | (1) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Loans Receivable [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,932 | 4,376 | 3,108 | 4,288 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 88 | 88 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (190) | 85 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (74) | (85) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Long-term Debt [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 0 | (224) | 0 | (217) |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | (3) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | (4) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Corporate Debt Securities [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,806 | 2,858 | $ 2,957 | $ 2,737 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 30 | 67 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | $ (181) | $ 54 | ||
Variable Interest Entity [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Estimated Future Premium Payments Minimum Discounted Rate | 2.30% | |||
Estimated Future Premium Payments Maximum Discounted Rate | 11.00% |
Fair Value Measurements - Sum_3
Fair Value Measurements - Summary of Changes in Level 3 Fair Value Category (Detail) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Asset-backed Securities [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 66 | $ 72 | $ 72 | $ 72 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 0 | 0 | ||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Inputs Reconciliation, Gain (Loss) Included in Earnings | 0 | 0 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | (6) | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases | 0 | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Issuances | 0 | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 0 | 0 | ||
Interest Rate Swap [Member] | Interest Rate Swap [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 79 | 54 | 67 | 47 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 13 | 8 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 13 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | (1) | ||
Credit Derivative [Member] | Credit Derivative [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | (2) | (1) | 0 | (1) |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (2) | 0 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (1) | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Derivative [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 77 | 53 | 66 | 46 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 12 | 8 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 12 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Purchases | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Issues | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Sales | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | (1) | ||
Level 3 [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 5,884 | 7,139 | 6,207 | 6,930 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 129 | 166 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (377) | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 130 | 160 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (377) | 135 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (76) | (87) | ||
Level 3 [Member] | Asset-backed Securities [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (6) | |||
Level 3 [Member] | Investments [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 66 | 72 | 72 | 72 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (6) | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (6) | 0 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Level 3 [Member] | Other Assets [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 3 | 4 | 3 | 5 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 0 | 0 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
Level 3 [Member] | Derivative Financial Instruments, Liabilities [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 77 | 53 | 66 | 46 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 12 | 8 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 12 | 8 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | (1) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Long-term Debt [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 0 | (224) | 0 | (217) |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 0 | 3 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | (3) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | 0 | (4) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | 0 | 0 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Loans Receivable [Member] | Loans [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,932 | 4,376 | 3,108 | 4,288 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 88 | 88 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (190) | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 88 | 88 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (190) | 85 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (74) | (85) | ||
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Corporate Debt Securities [Member] | Investments Contract [Member] | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability | 2,806 | 2,858 | $ 2,957 | $ 2,737 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | 30 | 67 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (181) | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 30 | 67 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | $ (181) | $ 54 |
Fair Value Measurements - Sum_4
Fair Value Measurements - Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Net Investment Income [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Total gains or losses included in earnings for the period | $ 0 | $ 0 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 0 | 0 |
Gain (Loss) on Derivative Instruments [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Total gains or losses included in earnings for the period | 12 | 8 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 12 | 8 |
Income Loss On Variable Interest Entities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Total gains or losses included in earnings for the period | 118 | 152 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | 118 | 152 |
Other Income or (Loss) [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Total gains or losses included in earnings for the period | 0 | 0 |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | $ 0 | $ 0 |
Investments - Summary of Amorti
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | $ 1,217,000,000 | $ 489,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 3,038,000,000 | 3,187,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 81,000,000 | 132,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,169,000,000 | 401,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 77,000,000 | 4,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 48,000,000 | 88,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 4,000,000 | 1,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81,000,000 | 5,000,000 |
Available-for-sale Securities, Current | 3,037,000,000 | 3,314,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 3,037,000,000 | |
Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 50,000,000 | 201,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 586,000,000 | 653,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 50,000,000 | 201,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 586,000,000 | 653,000,000 |
Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,167,000,000 | 288,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 2,367,000,000 | 2,450,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 81,000,000 | 132,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,119,000,000 | 200,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 77,000,000 | 4,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 48,000,000 | 88,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 4,000,000 | 1,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81,000,000 | 5,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,367,000,000 | 2,577,000,000 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 23,000,000 | 23,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 196,000,000 | 194,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 23,000,000 | 22,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 15,000,000 | 13,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1,000,000 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 8,000,000 | 10,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 1,000,000 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 218,000,000 | 215,000,000 |
Fixed Income Securities [Member] | Corporate Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 769,000,000 | 68,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 1,284,000,000 | 1,396,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 18,000,000 | 36,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 769,000,000 | 63,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 42,000,000 | 2,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 5,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 42,000,000 | 2,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 1,261,000,000 | 1,430,000,000 |
Fixed Income Securities [Member] | Foreign Obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,000,000 | 20,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 41,000,000 | 44,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 1,000,000 | 1,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,000,000 | 20,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 42,000,000 | 44,000,000 |
Fixed Income Securities [Member] | US Government Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 3,000,000 | 38,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 168,000,000 | 157,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 10,000,000 | 2,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 3,000,000 | 36,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 2,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 2,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 2,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 177,000,000 | 156,000,000 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 125,000,000 | 5,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 207,000,000 | 200,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 14,000,000 | 47,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 125,000,000 | 5,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 19,000,000 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 19,000,000 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 203,000,000 | 248,000,000 |
Fixed Income Securities [Member] | Collateralized Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 51,000,000 | 49,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 1,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 1,000,000 | 50,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 0 | |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 132,000,000 | 116,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 144,000,000 | 147,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 99,000,000 | 53,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 8,000,000 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 33,000,000 | 63,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 3,000,000 | 1,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 11,000,000 | 1,000,000 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 132,000,000 | 146,000,000 |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 90,000,000 | 10,000,000 |
Debt Securities, Available-for-sale, Amortized Cost | 277,000,000 | 263,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 14,000,000 | 24,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 83,000,000 | 2,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 7,000,000 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 7,000,000 | 7,000,000 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 1,000,000 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 8,000,000 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 283,000,000 | 287,000,000 |
Fixed Income Investments And Other Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 2,953,000,000 | 3,103,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 132,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 81,000,000 | 5,000,000 |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81,000,000 | |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 2,952,000,000 | 3,230,000,000 |
Collateral Pledged [Member] | Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Non - credit other - than - temporary Impairments | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85,000,000 | |
Collateral Pledged [Member] | Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 85,000,000 | 85,000,000 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85,000,000 | 85,000,000 |
Collateral Pledged [Member] | Fixed Income Securities [Member] | Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 85,000,000 | 85,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |
Fixed income securities, at fair value (amortized cost of $2,367 and $2,450) | 85,000,000 | |
Asset Pledged as Collateral [Member] | Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 85,000,000 | $ 85,000,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Non-investment Grade [Member] | Fixed Income Securities [Member] | Corporate Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 12,000,000 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 4,000,000 | |
Ambac LSNI [Member] | Fixed Income Securities [Member] | Corporate Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 456,000,000 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | $ 24,000,000 |
Investments - Summary of Amor_2
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity (Detail) $ in Millions | Mar. 31, 2020USD ($) |
Debt Securities, Available-for-sale [Line Items] | |
Amortized Cost, Due in one year or less | $ 683 |
Amortized Cost, Due after one year through five years | 1,083 |
Amortized Cost, Due after five years through ten years | 447 |
Amortized Cost, Due after ten years | 145 |
Amortized Cost, Total | 2,359 |
Estimated Fair Value, Due in one year or less | 683 |
Estimated Fair Value, Due after one year through five years | 1,062 |
Estimated Fair Value, Due after five years through ten years | 462 |
Estimated Fair Value, Due after ten years | 161 |
Estimated Fair Value due, Total | $ 2,368 |
Investments - Summary of Gross
Investments - Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 1,169 | $ 401 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 77 | 4 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 48 | 88 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 4 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,217 | 489 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81 | 5 |
Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 50 | 201 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 50 | 201 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Fixed Income Investments And Other Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81 | |
Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,119 | 200 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 77 | 4 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 48 | 88 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 4 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,167 | 288 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 81 | 5 |
Fixed Income Securities [Member] | Municipal Bonds [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 15 | 13 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 8 | 10 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 23 | 23 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 1 | 0 |
Fixed Income Securities [Member] | Corporate Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 769 | 63 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 42 | 2 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 5 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 769 | 68 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 42 | 2 |
Fixed Income Securities [Member] | Debt Security, Government, Non-US [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1 | 20 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1 | 20 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Fixed Income Securities [Member] | US Government Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 3 | 36 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 2 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 2 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 3 | 38 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 2 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 125 | 5 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 19 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 125 | 5 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 19 | 0 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 99 | 53 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 8 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 33 | 63 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 3 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 132 | 116 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 11 | 1 |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 83 | 2 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 7 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 7 | 7 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 1 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 90 | 10 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 8 | 0 |
Collateral Pledged [Member] | Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |
Collateral Pledged [Member] | Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | $ 0 |
Collateral Pledged [Member] | Fixed Income Securities [Member] | Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | $ 0 |
Investments - Additional Inform
Investments - Additional Information (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Investments [Line Items] | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 0 | |
Other investments | 363,000,000 | $ 478,000,000 |
Securities fair value | 7,000,000 | 6,000,000 |
Ambac Assurance [Member] | ||
Schedule of Investments [Line Items] | ||
Unsettled Amounts Secured Notes from LSNI | 31,000,000 | 55,000,000 |
Interest Rate Contract [Member] | ||
Schedule of Investments [Line Items] | ||
Other investments | 57,000,000 | $ 176,000,000 |
Commitments [Member] | Partnership Interest [Member] | ||
Schedule of Investments [Line Items] | ||
Other investments | $ 76,000,000 |
Investments - Summary of Amount
Investments - Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investment [Line Items] | ||
Gross realized gains on securities | $ 6 | $ 24 |
Gross realized losses on securities | 0 | (4) |
Foreign exchange (losses) gains | 1 | 2 |
Debt Securities, Available-for-sale, Allowance for Credit Loss, Not to Sell before Recovery, Credit Loss, Previously Recorded, Expense (Reversal) | 0 | 0 |
Debt Securities, Available-for-sale, Allowance for Credit Loss, Sell before Recovery | 0 | 0 |
Net realized (losses) gains | 8 | 17 |
Gain (Loss) on Investments [Member] | ||
Investment [Line Items] | ||
Foreign exchange (losses) gains | $ 2 | $ (3) |
Investments - Summary of Roll-F
Investments - Summary of Roll-Forward of Ambac's Cumulative Credit Losses on Debt Securities for Which Portion of Other-than-Temporary Impairment was Recognized in Other Comprehensive Income (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Balance at beginning | $ 12 | $ 12 |
Additions for credit impairments recognized on: | ||
Securities not previously impaired | 0 | |
Securities previously impaired | 0 | |
Reductions for credit impairments previously recognized on: | ||
Securities that matured or were sold during the period | 0 | |
Balance at end | $ 12 | $ 12 |
Investments - Summary of Source
Investments - Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Investment [Line Items] | ||
Fair Value Of Securities Deposited With Governmental Authorities | $ 7 | $ 6 |
Fair Value of Securities Deposited in Connection wtih Letter of Credit | 1 | |
Market Value of Secured Note Collateral | 174 | 197 |
Investment Portfolio [Member] | ||
Investment [Line Items] | ||
Fair Value of Cash and Securities Pledged to Derivative Counterparties | 85 | 85 |
Ambac Assurance [Member] | ||
Investment [Line Items] | ||
Unsettled Amounts Secured Notes from LSNI | 31 | 55 |
Standard & Poor's, B Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 1,081 | |
Standard & Poor's, B Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 189 | |
Standard & Poor's, B Rating [Member] | Corporate Debt Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 495 | |
Standard & Poor's, B Rating [Member] | Mortgage And Other Asset Backed Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 396 | |
Standard & Poor's, B- Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 1,164 | |
Standard & Poor's, B- Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 187 | |
Standard & Poor's, B- Rating [Member] | Corporate Debt Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 535 | |
Standard & Poor's, B- Rating [Member] | Mortgage And Other Asset Backed Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 442 | |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 1,072 | 1,153 |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 181 | 176 |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | Corporate Debt Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 495 | 535 |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | Mortgage And Other Asset Backed Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 396 | 442 |
National Public Finance Guarantee Corporation [Member] | Standard & Poor's, BBB- Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 9 | 11 |
National Public Finance Guarantee Corporation [Member] | Standard & Poor's, BBB- Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 9 | 11 |
National Public Finance Guarantee Corporation [Member] | Standard & Poor's, BBB- Rating [Member] | Corporate Debt Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | $ 0 | $ 0 |
Investments - Summary of Fair V
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Standard & Poor's, B- Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 1,164 | |
Standard & Poor's, B Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 1,081 | |
Standard & Poor's, B Rating [Member] | Ambac Assurance Corporation [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 1,072 | $ 1,153 |
Investments - Summary of Fair_2
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Phantom) (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investment [Line Items] | ||
Net Realized and Unrealized Gain (Loss) on Trading Securities | $ (32) | $ 7 |
Trading Securities, Realized Gain (Loss) | (3) | 1 |
Investment expense | (2) | (1) |
Securities available-for-sale and short-term | 31 | 47 |
Net investment income (loss) | (21) | 55 |
Gains (losses) on securities held as of reporting date [Member] | ||
Investment [Line Items] | ||
Other Investments Income | (29) | 6 |
Fixed Income Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 30 | 44 |
Short-Term [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 2 | 4 |
Loans Receivable [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 0 | 0 |
Other Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | $ (52) | $ 8 |
Investments Investments - Equit
Investments Investments - Equity Investments (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Equity Method Investments [Line Items] | ||
Other investments | $ 363 | $ 478 |
Real Estate [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 15 | 16 |
Hedge Funds, Multi-strategy [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 60 | 65 |
Interest Rate Contract [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 57 | 176 |
Illiquid Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 47 | 51 |
Insurance Linked [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 3 | 3 |
Equity [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 58 | 55 |
Credit Index Product [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 52 | 66 |
Private Equity Funds [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 4 | 0 |
Emerging Market Debt [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 16 | 0 |
Equity investments in pooled funds [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 312 | 432 |
Priced Through Pricing Vendors [Member] | Interest Rate Contract [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 17 | 81 |
Priced Through Pricing Vendors [Member] | Equity [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 48 | 55 |
Priced Through Pricing Vendors [Member] | Emerging Market Debt [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | 16 | $ 0 |
Commitments [Member] | Partnership Interest [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Other investments | $ 76 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Gross Fair Values of Individual Derivative Instruments (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 80 | $ 36 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 88 | 75 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 137 | 90 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 134 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 89 | |
Net Amount, Derivative Assets | 88 | 75 |
Derivative Asset, Fair Value, Gross Asset | 89 | 75 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 1 | 0 |
Derivative liabilities | 138 | 90 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 1 | 0 |
Derivative Liabilities Net Amount | 3 | 1 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 62 | 52 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,610 | 1,657 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 0 | |
Net Amount, Derivative Assets | 62 | 52 |
Derivative Asset, Fair Value, Gross Asset | 62 | 52 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative liabilities | 1,610 | 1,657 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 1,610 | 1,657 |
Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 88 | 75 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 135 | 90 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 134 | 89 |
Net Amount, Derivative Assets | 88 | 75 |
Derivative Asset, Fair Value, Gross Asset | 89 | 75 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 1 | 0 |
Derivative liabilities | 136 | 89 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 1 | 0 |
Derivative Liabilities Net Amount | 1 | 1 |
Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,610 | 1,657 |
Derivative liabilities | 1,610 | 1,657 |
Derivative Liabilities Net Amount | 1,610 | 1,657 |
Other Credit Derivatives [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 2 | 0 |
Derivative liabilities | 2 | 0 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 2 | 0 |
Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 62 | 52 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | |
Net Amount, Derivative Assets | 62 | 52 |
Derivative Asset, Fair Value, Gross Asset | 62 | $ 52 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 0 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2019 | |
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||||
Value of right to reclaim cash collateral and posted margin, recorded in Other assets | $ 80,000,000 | $ 36,000,000 | ||
Value of obligation to return cash collateral, recorded in "Other liabilities" | 0 | |||
Gains in change in fair value of the call options | (70,000,000) | $ (16,000,000) | $ (16,000,000) | |
Net liability fair value of all derivative instruments linked to Ambac's own credit risk | 132,000,000 | 89,000,000 | ||
Fair value of posted assets as collateral | $ 154,000,000 | $ 109,000,000 |
Derivative Instruments - Summ_2
Derivative Instruments - Summary of Location and Amount of Gains and Losses of Derivative Contracts (Detail) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2018 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Unrealized gains (losses) | $ (2) | $ 0 | |
Derivative, Gain (Loss) on Derivative, Net | (70) | $ (16) | $ (16) |
Derivative, Gain (Loss) on Derivatives, Total Net | (13) | (93) | |
Net gains (losses) on derivative contracts [Domain] | Credit Derivatives [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | (1) | 0 | |
Net gains (losses) on derivative contracts [Domain] | Interest Rate Swap [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | (29) | (3) | |
Net gains (losses) on derivative contracts [Domain] | Futures Contracts [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | (40) | (14) | |
Income Loss On Variable Interest Entities [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 57 | (77) | |
Income Loss On Variable Interest Entities [Member] | Interest Rate Swap [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 47 | (70) | |
Income Loss On Variable Interest Entities [Member] | Currency Swaps [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ 10 | $ (7) |
Derivative Instruments - Summ_3
Derivative Instruments - Summary of Notional Amounts of AFS's Trading Derivative Products (Detail) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
AFS [Member] | Interest Rate Swap [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 328 | $ 332 |
AFS [Member] | Interest Rate Swaps-Pay-Fixed/Receive-Variable [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 1,261 | 1,261 |
AFS [Member] | Futures Contracts [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 240 | 755 |
Variable Interest Entity, Primary Beneficiary [Member] | Other Credit Derivatives [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 8 | 9 |
Variable Interest Entity, Primary Beneficiary [Member] | Interest Rate Swap [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 1,121 | 1,194 |
Variable Interest Entity, Primary Beneficiary [Member] | Interest Rate Swaps-Pay-Fixed/Receive-Variable [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 1,093 | 1,176 |
Other Credit Derivatives [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 275 | $ 280 |
Derivative Instruments - Summ_4
Derivative Instruments - Summary of Notional for VIE Derivatives Outstanding (Detail) - Variable Interest Entity, Primary Beneficiary [Member] - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Interest Rate Swap [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 1,121 | $ 1,194 |
Interest Rate Swaps-Pay-Fixed/Receive-Variable [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 1,093 | 1,176 |
Currency Swaps [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | 302 | 329 |
Other Credit Derivatives [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 8 | $ 9 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Sep. 30, 2011 | |
Tax Credit Carryforward [Line Items] | ||
NOL allocated amount | $ 3,650 | |
Afg [Member] | ||
Tax Credit Carryforward [Line Items] | ||
NOL allocated amount | $ 1,246 | |
Minimum [Member] | ||
Tax Credit Carryforward [Line Items] | ||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2029 | |
Maximum [Member] | ||
Tax Credit Carryforward [Line Items] | ||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2040 |
Income Taxes Income Taxes - Pro
Income Taxes Income Taxes - Provision for Income Taxes Charged To Income From Continuing Operations (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Provision for Income Taxes [Line Items] | ||
Current Federal Tax Expense (Benefit) | $ 0 | $ 0 |
Income (Loss) from Continuing Operations before Income Taxes, Domestic | (257) | (63) |
Current Income Tax Expense (Benefit) | (2) | 3 |
Deferred Foreign Income Tax Expense (Benefit) | (5) | (1) |
Deferred Income Tax Expense (Benefit) | (5) | (1) |
Income Tax Expense (Benefit) | (7) | 2 |
Income (Loss) from Continuing Operations before Income Taxes, Foreign | (30) | 22 |
Pre-tax income (loss) | (287) | (41) |
Current State and Local Tax Expense (Benefit) | 0 | (4) |
Current Foreign Tax Expense (Benefit) | $ (2) | $ 6 |
Income Taxes Income Taxes - NOL
Income Taxes Income Taxes - NOL Usage Table (Details) - USD ($) $ in Millions | 3 Months Ended | 87 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2018 | Sep. 30, 2011 | |
Net Income Loss Reconciliation [Line Items] | |||
AACNetTaxableIncome | $ 1,508 | ||
Remaining Net Operating Loss Carryforward, Amount | $ 2,142 | ||
Tolling Payment Payable to AFG, Gross | $ 28 | ||
NOL allocated amount | $ 3,650 | ||
Tier C Tolling Payments Payable to IRS | 12.50% | ||
Tier D Tolling Payments Payable to IRS | 17.50% | ||
Ambac Assurance [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
AACNetTaxableIncome | $ 172 | ||
NOL allocated amount | 2,457 | ||
Operating Loss Generated in Current Year | 143 | ||
Afg [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | 1,246 | ||
Operating Loss Generated in Current Year | 168 | ||
Domestic Tax Authority [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
NOL allocated amount | $ 3,703 | ||
Minimum [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2029 | ||
Maximum [Member] | |||
Net Income Loss Reconciliation [Line Items] | |||
Operating Loss Carryforwards, Expiration Date | Dec. 31, 2040 |
Income Taxes Schedule of Income
Income Taxes Schedule of Income Before Income Taxes (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Schedule of Income Before Income Tax, Domestic and Foreign [Line Items] | ||
Income (Loss) from Continuing Operations before Income Taxes, Domestic | $ (257) | $ (63) |
Income (Loss) from Continuing Operations before Income Taxes, Foreign | (30) | 22 |
Pre-tax income (loss) | $ (287) | $ (41) |
Uncategorized Items - a02-020am
Label | Element | Value |
Accounting Standards Update 2016-13 [Member] | Retained Earnings [Member] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | us-gaap_CumulativeEffectOfNewAccountingPrincipleInPeriodOfAdoption | $ (4,000,000) |