Document and Entity Information
Document and Entity Information - $ / shares | 3 Months Ended | ||
Mar. 31, 2022 | May 06, 2022 | Apr. 30, 2013 | |
Entity Information [Line Items] | |||
Document Type | 10-Q | ||
Document Quarterly Report | true | ||
Document Period End Date | Mar. 31, 2022 | ||
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 World Trade Center | ||
Entity Address, City or Town | New York | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10007 | ||
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 | 45,039,916 | ||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |
Amendment Flag | false | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | Q1 | ||
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 Thousands | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Assets: | ||
Fixed maturity securities, at fair value | $ 2,036,000 | |
Total investments (net of allowance for credit losses of $1 and $0) | 2,815,000 | $ 2,955,000 |
Cash and cash equivalents | 60,000 | 17,000 |
Restricted Cash | 7,000 | 5,000 |
Premiums Receivable, Net | 317,000 | 323,000 |
Premium Receivable, Allowance for Credit Loss | 8,000 | 9,000 |
Reinsurance Recoverable, Allowance for Credit Loss | 49 | 10 |
Reinsurance Recoverables, Including Reinsurance Premium Paid | 48,000 | 55,000 |
Deferred ceded premium | 100,000 | 90,000 |
Subrogation recoverable | 1,714,000 | 2,092,000 |
Derivative assets | 55,000 | 76,000 |
Intangible assets | 350,000 | 362,000 |
Goodwill | 46,000 | 46,000 |
Other assets | 94,000 | 68,000 |
Total assets | 11,531,000 | 12,303,000 |
Liabilities: | ||
Unearned premiums | 393,000 | 395,000 |
Loss and loss expense reserves | 1,067,000 | 1,570,000 |
Ceded premiums payable | 40,000 | 33,000 |
Long-term debt | 2,242,000 | 2,230,000 |
Accrued interest payable | 593,000 | 576,000 |
Derivative Liability | 76,000 | 95,000 |
Other liabilities | 135,000 | 133,000 |
Total liabilities | 10,538,000 | 11,187,000 |
Liabilities | 10,538,000 | 11,187,000 |
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 | 262,000 | 257,000 |
Accumulated other comprehensive income | (70,000) | 58,000 |
Retained earnings | 723,000 | 726,000 |
Treasury stock, shares at cost: 0 and 8,202 | (2,000) | (3,000) |
Total Ambac Financial Group, Inc. stockholders’ equity | 914,000 | 1,038,000 |
Noncontrolling interest | 60,000 | 60,000 |
Total stockholders’ equity | 974,000 | 1,098,000 |
Total liabilities and stockholders’ equity | 11,531,000 | 12,303,000 |
Available-for-sale Securities, Amortized Cost Basis | 2,006,000 | 2,140,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1,000 | 0 |
Debt Securities, Available-for-sale, Amortized Cost | 2,005,000 | |
Xchange | ||
Liabilities: | ||
Redeemable Noncontrolling Interest, Equity, Redemption Value | 18,000 | |
Redeemable Noncontrolling Interest, Equity, Carrying Amount | 18,000 | |
Short-term Investments [Member] | ||
Assets: | ||
Fixed maturity securities, at fair value | 540,000 | 414,000 |
Stockholders’ equity: | ||
Available-for-sale Securities, Amortized Cost Basis | 540,000 | 415,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Assets: | ||
Fixed maturity securities, at fair value | 3,364,000 | 3,455,000 |
Restricted Cash | 49,000 | 2,000 |
Derivative assets | 42,000 | 38,000 |
Other assets | 1,000 | 2,000 |
Total assets | 5,925,000 | 6,216,000 |
Liabilities: | ||
Long-term debt | 4,124,000 | 4,216,000 |
Derivative Liability | 1,866,000 | 1,940,000 |
Other liabilities | 3,000 | 0 |
Total liabilities | 5,993,000 | 6,156,000 |
Liabilities | 5,993,000 | 6,156,000 |
Stockholders’ equity: | ||
Financing Receivable, after Allowance for Credit Loss | 2,469,000 | 2,718,000 |
Gross Investment Income, Operating | (4,000) | |
Fixed Income Securities [Member] | ||
Assets: | ||
Fixed maturity securities, at fair value | 1,383,000 | 1,730,000 |
Stockholders’ equity: | ||
Available-for-sale Securities, Amortized Cost Basis | 1,352,000 | 1,605,000 |
Available-for-sale Securities | 1,383,000 | 1,730,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1,000 | 0 |
Short-term Investments [Member] | ||
Stockholders’ equity: | ||
Available-for-sale Securities | 540,000 | 414,000 |
Gross Investment Income, Operating | 0 | |
Other Investments [Member] | ||
Stockholders’ equity: | ||
Available-for-sale Securities | 660,000 | 690,000 |
Gross Investment Income, Operating | 0 | |
Fixed Income Securities, Trading | ||
Stockholders’ equity: | ||
Available-for-sale Securities, Amortized Cost Basis | 119,000 | 0 |
Available-for-sale Securities | 119,000 | |
Gross Investment Income, Operating | (9,000) | |
Collateral Pledged [Member] | Fixed Income Securities [Member] | ||
Assets: | ||
Fixed maturity securities, at fair value | 114,000 | 120,000 |
Stockholders’ equity: | ||
Debt Securities, Available-for-sale, Amortized Cost | 15,000 | 15,000 |
Collateral Pledged [Member] | Fixed Income Securities [Member] | Short-term Investments [Member] | ||
Assets: | ||
Fixed maturity securities, at fair value | 99,000 | 105,000 |
Stockholders’ equity: | ||
Available-for-sale Securities, Amortized Cost Basis | 99,000 | 105,000 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 |
Collateral Pledged [Member] | Short-term Investments | ||
Stockholders’ equity: | ||
Available-for-sale Securities, Amortized Cost Basis | 99,000 | 105,000 |
Collateralized Securities | Fixed Income Securities [Member] | ||
Stockholders’ equity: | ||
Available-for-sale Securities | 15,000 | 15,000 |
Collateralized Securities | Short-term Investments [Member] | ||
Stockholders’ equity: | ||
Available-for-sale Securities | $ 99,000 | $ 105,000 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale, Amortized Cost | $ 2,005 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | $ 0 |
Premium Receivable, Allowance for Credit Loss | $ 8 | $ 9 |
Preferred stock, par value | $ 0.01 | |
Preferred stock, shares authorized | 20,000,000 | |
Preferred Stock, Shares Issued | 0 | |
Common stock, par value | $ 0.01 | |
Common stock, shares authorized | 130,000,000 | |
Common stock, shares issued | 46,658,990 | 46,477,068 |
Common stock, shares outstanding | 46,545,232 | |
Treasury stock, shares | 113,758 | 172,929 |
Equity investments in pooled funds [Member] | ||
Other Investment Not Readily Marketable, Fair Value | $ 652 | $ 683 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Long-term debt | $ 3,701 | $ 4,056 |
Consolidated Statements of Tota
Consolidated Statements of Total Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Net investment income: | ||
Securities available-for-sale and short-term | $ 14 | $ 22 |
Net investment income | 5 | 49 |
Realized Investment Gains (Losses) | 10 | 2 |
Change in fair value of credit derivatives: | ||
Derivative, Gain (Loss) on Derivative, Net | 57 | 25 |
Net realized gains (losses) on extinguishment of debt | 0 | 33 |
Insurance Commissions and Fees | 9 | 7 |
Other Operating Income (Expense), Net | 2 | (2) |
Income (loss) on variable interest entities | 22 | 0 |
Total revenues | 119 | 129 |
Expenses: | ||
Losses and loss expenses (benefit) | 24 | 8 |
Intangible amortization | 14 | 19 |
Operating expenses | 34 | 33 |
Interest expense | 44 | 50 |
Total expenses | 116 | 110 |
Pre-tax income (loss) | 3 | 19 |
Provision (benefit) for income taxes | 0 | 2 |
Net Income (Loss) Attributable to Nonredeemable Noncontrolling Interest | 0 | 0 |
Net income (loss) | 2 | 17 |
Net income attributable to common stockholders | 2 | 17 |
Other comprehensive income (loss), after tax: | ||
Net income (loss) | 2 | 17 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, after Tax | (105) | (24) |
Other Comprehensive Income (Loss), Foreign Currency Transaction and Translation Adjustment, Net of Tax | (23) | 6 |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, after Tax | 0 | (1) |
Other Comprehensive (Income) Loss, Defined Benefit Plan, after Reclassification Adjustment, after Tax | 0 | 0 |
Total other comprehensive income (loss), net of income tax | (127) | (18) |
Total comprehensive income (loss) | (125) | (1) |
Less: comprehensive (gain) loss attributable to the noncontrolling interest | ||
Total comprehensive income (loss) attributable to common stockholders | (125) | (2) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Noncontrolling Interest | $ 0 | $ 0 |
Earnings Per Share, Basic | $ 0.04 | $ 0.08 |
Earnings Per Share, Diluted | $ 0.04 | $ 0.08 |
Weighted Average Number of Shares Outstanding, Basic | 46,731,459 | 46,314,049 |
Weighted Average Number of Shares Outstanding, Diluted | 47,359,731 | 46,858,064 |
Unrealized (loss) gain on securities, taxes | $ (2) | $ (2) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, Tax | 0 | 0 |
Gain (loss) on foreign currency translation, taxes | 0 | 0 |
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Plan Amendments, Tax Effect | 0 | 0 |
Premiums Earned, Net | $ 15 | $ 14 |
Consolidated Statements of To_2
Consolidated Statements of Total Comprehensive Income (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Income Statement [Abstract] | ||
Unrealized (loss) gain on securities, taxes | $ (2) | $ (2) |
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 | 0 | 0 |
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, 2020 | $ 1,140 | $ 759 | $ 79 | $ 0 | $ 0 | $ 242 | $ (1) | $ 60 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | (2) | 17 | (18) | 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 | (6) | (2) | 0 | 0 | 0 | 0 | (4) | 0 |
Ending balance at Mar. 31, 2021 | 1,123 | 761 | 61 | 0 | 0 | 246 | (5) | 60 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | (1) | |||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (18) | |||||||
Noncontrolling Interest, Change in Redemption Value | (13) | (13) | ||||||
Beginning balance at Dec. 31, 2021 | 1,098 | 726 | 58 | 0 | 0 | 257 | (3) | 60 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | (125) | |||||||
Stock-based compensation | 5 | 0 | 0 | 0 | 0 | 5 | 0 | 0 |
Shares Issued, Value, Share-based Payment Arrangement, after Forfeiture | (3) | (5) | 0 | 0 | 0 | 0 | 1 | 0 |
Ending balance at Mar. 31, 2022 | 974 | 723 | (70) | 0 | 0 | 262 | (2) | 60 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Total comprehensive income (loss) | (125) | |||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (127) | 2 | $ (127) | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
Noncontrolling Interest, Change in Redemption Value | 0 | $ 0 | ||||||
Public Finance Puerto Rico Net Par Outstanding | $ 784 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash flows from operating activities: | ||
Net income attributable to common shareholders | $ 2 | $ 17 |
Net Income (Loss) Attributable to Nonredeemable Noncontrolling Interest | 0 | 0 |
Net income (loss) | 2 | 17 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Amortization of bond premium and discount | (3) | (3) |
Share-based compensation | 5 | 4 |
Unearned premiums, net | (11) | (22) |
Losses and loss expenses, net | (6) | (17) |
Ceded premiums payable | 7 | (2) |
Premium receivables | 6 | 14 |
Accrued interest payable | 24 | 23 |
Amortization of intangible assets | 14 | 19 |
Net investment gains (losses), including impairments | (10) | (2) |
Net realized gains (losses) on extinguishment of debt | 0 | (33) |
Variable interest entity activities | (22) | 0 |
Derivative assets and liabilities | (46) | (22) |
Other, net | 48 | (16) |
Net cash provided by (used in) operating activities | 9 | (40) |
Cash flows from investing activities: | ||
Proceeds from sales of bonds | 141 | 44 |
Proceeds from matured bonds | 20 | 39 |
Purchases of bonds | (33) | (128) |
Proceeds from sales of other invested assets | 45 | 48 |
Purchases of other invested assets | (25) | (41) |
Change in short-term investments | (114) | 94 |
Change in cash collateral receivable | 54 | 11 |
Proceeds from paydowns of consolidated VIE assets | 47 | 50 |
Other, net | 0 | (1) |
Net cash provided by investing activities | 136 | 116 |
Cash flows from financing activities: | ||
Paydowns of LSNI Ambac Note | 0 | (16) |
Tax payments related to shares withheld for share-based compensation plans | (3) | (6) |
Payments of consolidated VIE liabilities | (49) | (48) |
Net cash used in financing activities | (52) | (69) |
Effect of foreign exchange on cash, cash equivalents and restricted cash | 0 | 0 |
Net cash flow | 93 | 6 |
Cash, cash equivalents, and restricted cash at beginning of period | 23 | 35 |
Cash, cash equivalents, and restricted cash at end of period | $ 116 | $ 42 |
Background and Business Descrip
Background and Business Description | 3 Months Ended |
Mar. 31, 2022 | |
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 the Consolidated Financial Statements included in Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021, 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, 2021. 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. Ambac's business operations include: • Legacy Financial Guarantee Insurance — Ambac's financial guarantee business includes the activities of Ambac Assurance Corporation ("AAC") and its wholly owned subsidiaries, including Ambac Assurance UK Limited (“Ambac UK”) and Ambac Financial Services LLC ("AFS"). Both AAC and Ambac UK (the "Legacy Financial Guarantee Companies") have financial guarantee portfolios that have been in runoff since 2008. AFS uses derivatives to hedge interest rate risk in AAC's insurance and investment portfolios. • Specialty Property & Casualty Insurance — Ambac's participatory fronting Specialty Property & Casualty Insurance business. Currently includes five admitted carriers (Everspan Insurance Company, Providence Washington Insurance Company, 21st Century Indemnity Insurance Company, 21st Century Pacific Insurance Company and 21st Century Auto Insurance Company of New Jersey) and an excess and surplus lines (“E&S” or “nonadmitted”) insurer Everspan Indemnity Insurance Company (collectively, “Everspan”). The 21st Century companies were acquired in 2022. Everspan carriers that are part of the intercompany pooling agreement received an AM Best rating of 'A-' (Excellent) in February 2021. • Insurance Distribution — Ambac's specialty property and casualty ("P&C") insurance distribution business, which could include Managing General Agents and Underwriters (collectively "MGAs"), insurance wholesalers, and other distribution businesses. Currently includes Xchange Benefits, LLC (“Xchange”) a P&C MGA specializing in accident and health products, 80% of which was acquired by AFG on December 31, 2020. Refer to Note 3. Business Combination 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, 2021, for further information relating to this acquisition. Beginning in the first quarter of 2022, the Company is reporting these three business operations as segments; see Note 3. Segment Information for further information. Strategies to Enhance Shareholder Value The Company's primary goal is to maximize shareholder value through the execution of key strategies for both its (i) Specialty P&C Insurance Platform and (ii) Legacy Financial Guarantee Companies. Specialty P&C Insurance Platform strategic priorities include: • Growing and diversifying the Specialty Property & Casualty insurance business with existing and new program partners. • Building a leading insurance Distribution business through additional acquisitions and de novo builds, supported by a centralized business services unit including core technology solutions. • Making opportunistic investments that are strategic to the overall Specialty P&C Insurance Platform. Legacy Financial Guarantee Companies’ strategic priorities include: • Actively managing, de-risking and mitigating insured portfolio risk. • Pursuing loss recovery through active litigation and other means, particularly residential mortgage back security representation and warranty litigation. • Improving operating efficiency and optimizing our asset and liability profile. • Exploring, at the appropriate time, strategic options to further maximize value for AFG. The execution of Ambac’s strategy to increase the value of its investment in AAC is subject to the restrictions set forth in the Settlement Agreement, dated as of June 7, 2010 (the "Settlement Agreement"), by and among AAC, Ambac Credit Products LLC ("ACP"), AFG and certain counterparties to credit default swaps with ACP that were guaranteed by AAC; as well as the Stipulation and Order among the Office of the Commissioner of Insurance for the State of Wisconsin (“OCI”), AFG and AAC that became effective on February 12, 2018, as amended (the “Stipulation and Order”); and the indenture for the Tier 2 Notes (as defined below), each of which requires OCI and, under certain circumstances, holders of the debt instruments benefiting from such restrictions, to approve certain actions taken by or in respect of AAC. In exercising its approval rights, OCI will act for the benefit of policyholders, and will not take into account the interests of AFG. Opportunities for remediating losses on poorly performing insured transactions also depend on market conditions, including the perception of AAC’s creditworthiness, the structure of the underlying risk and associated policy as well as other counterparty specific factors. AAC's ability to commute policies or purchase certain investments may also be limited by available liquidity. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure | 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, 2021. 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. See Note 9. 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, 2021. 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, 2022, may not be indicative of the results that may be expected for the year ending December 31, 2022. The December 31, 2021, 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: 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 $(5) for the three months ended March 31, 2022 and 2021, 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. Redeemable Noncontrolling Interest: The acquisition by AFG of 80% of the ownership interests of Xchange is further described in Note 3. Business Combinations in the Notes to Consolidated Financial Statements included in Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021. Under the terms of the acquisition agreement, Ambac received a call option to purchase the remaining 20% of Xchange from the minority owners (i.e., noncontrolling interests) and the minority owners received a put option to sell the remaining 20% to Ambac. The call and put options are exercisable after different time periods elapse. Because the exercise of the put option is outside the control of Ambac, in accordance with the Distinguishing Liabilities from Equity Topic of the ASC, Ambac reports redeemable noncontrolling interests in the mezzanine section of its consolidated balance sheet. The redeemable noncontrolling interest is remeasured each period as the greater of: i. the carrying value under ASC 810, which attributes a portion of consolidated net income (loss) to the redeemable noncontrolling interest; and ii. the redemption value of the put option under ASC 480 as if it were exercisable at the end of the reporting period. Any increase (decrease) in the carrying amount of the redeemable noncontrolling interest as a result of adjusting to the redemption value of the put option is recorded as an offset to retained earnings. The impact of such differences on earnings per share are presented in Note 12. Net Income Per Share . Following is a rollforward of redeemable noncontrolling interest. Three Months Ended March 31, 2022 2021 Beginning balance $ 18 $ 7 Net income attributable to redeemable noncontrolling interest (ASC 810) — — Adjustment to redemption value (ASC 480) — 13 Ending balance $ 18 $ 20 Supplemental Disclosure of Cash Flow Information Three Months Ended March 31, 2022 2021 Cash paid during the period for: Income taxes $ 2 $ 8 Interest on long-term debt 15 25 Non-cash investing and financing activities: Decrease in long-term debt as a result of surplus notes exchanges $ — $ 71 Exchange of investments in Puerto Rico bonds for new securities issued in the restructuring transactions 185 — March 31, 2022 2021 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 $ 60 $ 23 Restricted cash 7 16 Variable Interest Entity restricted cash 49 2 Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows $ 116 $ 42 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, 2022, the Company adopted the following accounting standard: Equity-classified Written Call Options In May 2021, the FASB issued ASU 2021-04, Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options . The ASU clarifies and reduces diversity in practice for an issuer's accounting for modifications or exchanges of equity-classified written call options (e.g. warrants) that remain equity-classified after the modification or exchange. The ASU requires an issuer to account for the modification or exchange based on the economic substance of the transaction. For example, if the modification or exchange is related to the issuance of debt or equity, any change in the fair value of the written call option would be accounted for as part of the debt issuance cost in accordance with the debt guidance or equity issuance cost in accordance with the equity guidance, respectively. The ASU did not have a consequential impact on Ambac's financial statements. Convertible Instruments and Contracts in an Entity's Own Equity In August 2020, the FASB issued ASU 2020-06, Accounting for Convertible Instruments and Contracts in an Entity's Own Equity . The ASU i) simplifies the accounting for convertible debt and convertible preferred stock by reducing the number of accounting models, and amends certain disclosures, ii) amends and simplifies the derivative scope exception guidance for contracts in an entity's own equity, including share-based compensation, and iii) amends the diluted earnings per share calculations for convertible instruments and contracts in an entity's own equity. The ASU did not have a consequential impact on 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 or is subsequent to March 12, 2020, or any date thereafter, but does not apply to contract modifications and other transactions entered into or evaluated after December 31, 2022. On April 20, 2022, the FASB issued a proposed ASU that would extend the sunset date to December 31, 2024 and make certain definitional changes, with feedback required by June 6, 2022. Management has not determined when it will adopt this ASU, and the impact on Ambac's financial statements is being evaluated. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2022 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure | 3. SEGMENT INFORMATION The Company reports its results of operations in three segments: Legacy Financial Guarantee Insurance, Specialty Property and Casualty Insurance and Insurance Distribution, separate from Corporate and Other, which is consistent with the manner in which the Company's chief operating decision maker ("CODM") reviews the business to assess performance and allocate resources. See Note 1. Background and Business Description for a description of each of the Company's business segments. The following tables summarize the components of the Company’s total revenues and expenses, pretax income (loss), net income (loss), net income (loss) attributable to common shareholders and total assets by reportable business segment. Information provided below for “Corporate and Other” primarily relates to the operations of AFG, which will include investment income on its investment portfolio and costs to maintain the operations of AFG, including public company reporting, and business development costs for the acquisition and development of new business initiatives. Legacy Financial Guarantee Insurance Specialty Property & Casualty Insurance Insurance Distribution Corporate & Other Consolidated (2) Three Months Ended March 31, 2022 Revenues: Net premiums earned $ 13 $ 1 $ 15 Net investment income 5 — — 5 Net gains on derivative contracts 57 57 Commission income $ 9 9 Other revenues (1) 34 — — — 34 Total revenues (2) 109 2 9 — 119 Expenses: Loss and loss expenses 23 1 24 Operating expenses (3) 21 3 1 3 29 Sub-producer commissions (3) 5 5 Depreciation expense (3) — — — — — Intangible amortization 14 1 14 Interest expense 44 44 Total expenses (2) 102 4 6 3 116 Pretax income (loss) $ 6 $ (2) $ 2 $ (3) $ 3 Total assets (2) $ 11,075 $ 191 $ 97 $ 168 $ 11,531 Legacy Financial Guarantee Insurance Specialty Property & Casualty Insurance Insurance Distribution Corporate & Other Consolidated (2) Three Months Ended March 31, 2021 Revenues: Net premiums earned $ 14 $ — $ 14 Net investment income 49 — — 49 Net gains on derivative contracts 25 25 Commission income $ 7 7 Other revenues (1) 29 — — 4 33 Total revenues (2) 118 — 7 4 129 Expenses: Loss and loss expenses 8 — 8 Operating expenses (3) 17 1 1 10 29 Sub-producer commissions (3) 4 4 Depreciation expense (3) — — — — — Intangible amortization 19 1 19 Interest expense 50 50 Total expenses 94 1 5 10 110 Pretax income (loss) (2) $ 24 $ (1) $ 2 $ (6) $ 19 Total assets (2) $ 12,470 $ 108 $ 98 $ 165 $ 12,840 (1) Other revenues include the following line items on the Consolidated Statements of Total Comprehensive Income: Net investment gains (losses), including impairments, Net realized gains (losses) on extinguishment of debt, income (loss) on variable interest entities and other income (expense). (2) Inter-segment revenues and inter-segment pre-tax income (loss) amounts are insignificant and are not presented separately. Total assets noted in the Corporate and Other Column is net of AFG's investment in surplus notes issued by the Legacy Financial Guarantee Segment with fair values of $77 and $114 at March 31, 2022 and 2021 . (3) The Consolidated Statements of Comprehensive Income presents the sum of these items as Operating Expenses. |
Investments
Investments | 3 Months Ended |
Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | 4. INVESTMENTS Ambac’s non-VIE invested assets are primarily comprised of fixed maturity securities classified as either available-for-sale or trading securities, 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. Fixed maturity securities classified as trading are unrated municipal bond obligations of Puerto Rico issuing entities that are part of the the PROMESA restructuring process as described further in Note 6. Insurance Contracts. Fixed Maturity Securities: The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2022 and December 31, 2021, were as follows: Amortized Allowance for Credit Losses Gross Gross Estimated March 31, 2022: Fixed maturity securities: Municipal obligations $ 65 $ — $ 5 $ 1 $ 69 Corporate obligations 610 1 2 34 577 Foreign obligations 92 — — 4 88 U.S. government obligations 53 — — 2 51 Residential mortgage-backed securities 179 — 47 — 225 Collateralized debt obligations 121 — — 1 120 Other asset-backed securities (1) 232 — 20 — 252 1,352 1 73 42 1,383 Short-term 540 — — — 540 1,892 1 73 42 1,922 Fixed maturity securities pledged as collateral: U.S. government obligations 15 — — — 15 Short-term 99 — — — 99 114 — — — 114 Total available-for-sale investments $ 2,006 $ 1 $ 73 $ 43 $ 2,036 December 31, 2021: Fixed maturity securities: Municipal obligations $ 315 $ — $ 28 $ 3 $ 340 Corporate obligations 612 — 10 9 613 Foreign obligations 89 — — 2 87 U.S. government obligations 45 — 1 1 45 Residential mortgage-backed securities 182 — 70 — 252 Collateralized debt obligations 128 — — — 128 Other asset-backed securities (1) 234 — 32 — 265 1,605 — 141 16 1,730 Short-term 415 — — — 414 2,020 — 141 16 2,145 Fixed maturity securities pledged as collateral: U.S. government obligations 15 — — — 15 Short-term 105 — — — 105 120 — — — 120 Total available-for-sale investments $ 2,140 $ — $ 141 $ 16 $ 2,265 (1) Consists primarily of Ambac's holdings of military housing and student loan securities. The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at March 31, 2022, by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 683 $ 683 Due after one year through five years 431 416 Due after five years through ten years 317 300 Due after ten years 41 39 1,472 1,438 Residential mortgage-backed securities 179 225 Collateralized debt obligations 121 120 Other asset-backed securities 232 252 Total $ 2,005 $ 2,036 Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties. Unrealized Losses on Fixed Maturity Securities: The following table shows gross unrealized losses and fair values of Ambac’s available-for-sale investments, excluding VIE investments, which at March 31, 2022 and December 31, 2021, did not have an allowance for credit losses under the CECL standard. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at March 31, 2022 and December 31, 2021: Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross March 31, 2022: Fixed maturity securities: Municipal obligations $ 19 $ 1 $ 1 $ — $ 19 $ 1 Corporate obligations 349 21 117 13 466 34 Foreign obligations 36 1 51 3 87 4 U.S. government obligations 44 1 5 — 49 2 Residential mortgage-backed securities 16 — 1 — 17 — Collateralized debt obligations 111 1 9 — 120 1 Other asset-backed securities 6 — — — 6 — 580 26 184 16 764 42 Short-term 18 — 12 — 30 — 598 26 196 17 794 42 Fixed income securities, pledged as collateral: Short-term 15 — — — 15 — Total collateralized investments 15 — — — 15 — Total temporarily impaired securities $ 613 $ 26 $ 196 $ 17 $ 809 $ 43 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2021: Fixed maturity securities: Municipal obligations $ 117 $ 3 $ 2 $ — $ 118 $ 3 Corporate obligations 363 8 17 1 380 9 Foreign obligations 75 2 3 — 78 2 U.S. government obligations 25 — 2 — 27 1 Residential mortgage-backed securities — — 1 — 2 — Collateralized debt obligations 68 — 3 — 71 — Other asset-backed securities 6 — — — 6 — 654 14 28 1 682 16 Short-term 114 — 13 — 128 — 768 14 41 1 810 16 Fixed income securities, pledged as collateral: U. S. government obligations 15 — — — 15 — Total collateralized investments 15 — — — 15 — Total temporarily impaired securities $ 783 $ 14 $ 41 $ 1 $ 825 $ 16 Management has determined that the securities in the above table do not have credit impairment as of March 31, 2022 and December 31, 2021, based upon (i) no actual or expected principal and interest payment defaults on these securities; (ii) analysis of the creditworthiness of the issuer and financial guarantor, as applicable, and (iii) for debt securities that are non-highly rated beneficial interests in securitized financial assets, analysis of whether there was an adverse change in projected cash flows. Management's evaluation as of March 31, 2022, includes the expectation that all principal and interest payments on securities guaranteed by AAC or Ambac UK will be made timely and in full. Ambac’s assessment about whether a security is credit impaired reflects management’s current judgment regarding facts and circumstances specific to the security and other factors. If that judgment changes, Ambac may record a charge for credit impairment in future periods. Investment Income (Loss) Net investment income (loss) was comprised of the following for the affected periods: Three Months Ended March 31, 2022 2021 Fixed maturity securities $ 15 $ 23 Short-term investments — — Investment expense (1) (1) Securities available-for-sale and short-term 14 22 Fixed maturity securities - trading (9) — Other investments — 27 Total net investment income (loss) $ 5 $ 49 Net investment income (loss) from Other investments primarily represents changes in fair value on equity securities, including certain pooled investment funds, and income from investment limited partnerships and other equity interests accounted for under the equity method. Net Investments Gains (Losses), including Impairments: The following table details amounts included in net investment gains (losses) and impairments included in earnings for the affected periods: Three Months Ended March 31, 2022 2021 Gross realized gains on securities $ 23 $ 7 Gross realized losses on securities (15) (1) Foreign exchange gains (losses) 3 (4) Credit impairments (1) — Intent / requirement to sell impairments — — Net investment gains (losses), including impairments $ 10 $ 2 Ambac had an allowance for credit losses of $1 and $— at March 31, 2022 and 2021, respectively. Ambac did not purchase any financial assets with credit deterioration for the three months ended March 31, 2022 and 2021. Counterparty Collateral, Deposits with Regulators and Other Restrictions: Ambac routinely pledges and receives collateral related to certain transactions. Securities held directly in Ambac’s investment portfolio with a fair value of $114 and $120 at March 31, 2022 and December 31, 2021, respectively, were pledged to derivative counterparties. Ambac’s derivative counterparties have the right to re-pledge the investment securities and as such, these pledged securities are separately classified on the Consolidated Balance Sheets as “Fixed maturity securities pledged as collateral, at fair value” and "Short-term investments pledged as collateral, at fair value." Refer to Note 7. Derivative Instruments for further information on cash collateral. There was no cash or securities received from other counterparties that were re-pledged by Ambac. Securities carried at $23 and $17 at March 31, 2022 and December 31, 2021, respectively, were deposited by Ambac's insurance subsidiaries with governmental authorities or designated custodian banks as required by laws affecting insurance companies. Invested assets carried at $1 and $1 at March 31, 2022 and December 31, 2021, were deposited as security in connection with a letter of credit issued for an office lease. Securities with a fair value of $644 and $669 at March 31, 2022 and December 31, 2021, respectively, were held by Ambac UK, the capital stock of which was pledged as collateral for the Sitka AAC Note. Refer to Note 12. Long-term Debt in the Notes to the Consolidated Financial Statements included in Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021 for further information about the Sitka AAC Note. Guaranteed Securities: Ambac’s fixed maturity portfolio includes securities covered by guarantees issued by AAC and other financial guarantors (“insured securities”). The published rating agency ratings on these securities reflect the higher of the financial strength rating of the financial guarantor or the rating of the underlying issuer. Rating agencies do not always publish separate underlying ratings (those ratings excluding the insurance by the financial guarantor). In the event these underlying ratings are not available from the rating agencies, Ambac will assign an internal rating. The following table represents the fair value and weighted-average underlying rating of insured securities in Ambac's investment portfolio at March 31, 2022 and December 31, 2021, respectively: Municipal Mortgage Total Weighted (1) March 31, 2022: Ambac Assurance Corporation $ 47 $ 403 $ 451 B Assured Guaranty Municipal Corporation 1 — 1 A Total $ 48 $ 403 $ 451 B December 31, 2021: Ambac Assurance Corporation $ 316 $ 439 $ 754 B National Public Finance Guarantee Corporation 2 — 2 BBB- Assured Guaranty Municipal Corporation 1 — 1 A- Total $ 318 $ 439 $ 757 B (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. Other Investments: Ambac's investment portfolio includes interests in various pooled investment funds. Fair value and additional information about investments in pooled funds, by investment type, is summarized in the table below. Except as noted in the table, fair value as reported is determined using net asset value ("NAV") as a practical expedient. Redemption of certain funds valued using NAV may be subject to withdrawal limitations and/or redemption fees which vary with the timing and notification of withdrawal provided by the investor. In addition to these investments, Ambac has unfunded commitments of $70 to private credit and private equity funds at March 31, 2022. Fair Value Class of Funds March 31, December 31, 2021 Redemption Frequency Redemption Notice Period Real estate properties (1) $ 40 $ 33 quarterly 10 business days Hedge funds (2) 196 216 quarterly or semi-annually 90 days High yields and leveraged loans (3) 88 78 daily 0 - 30 days Private credit (4) 87 88 quarterly if permitted 180 days if permitted Insurance-linked investments (5) 1 2 see footnote (9) see footnote (9) Equity market investments (6) (10) 91 98 daily or quarterly 0 - 90 days Investment grade floating rate income (7) 90 107 weekly 0 days Private equity (8) 41 37 quarterly if permitted 90 days if permitted Emerging markets debt (9) (10) 17 24 daily 0 days Total equity investments in pooled funds $ 652 $ 683 (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 across a range of asset types. (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 returns 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. This investment is restricted in connection with the unwind of certain insurance linked exposures. Ambac has redeemed its investment to the extent permitted by the fund. (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. (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 $92 and $106 at March 31, 2022 and December 31, 2021, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments: $75 and $82; and for Emerging markets debt $17 and $24. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 5. 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 has 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 maturity 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, certain equity investments and certain investments in fixed maturity 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 Investments — Equity Securities Topic of the ASC permits the measurement of certain equity securities without a readily determinable fair value at cost, less impairment, and adjusted to fair value when observable price changes in identical or similar investments from the same issuer occur (the "measurement alternative"). The fair values of investments measured under this measurement alternative are not included in the below disclosures of fair value of financial instruments. The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of March 31, 2022 and December 31, 2021, 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, 2022: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 188 $ 188 $ — $ 188 $ — Corporate obligations 577 577 1 564 12 Foreign obligations 88 88 88 — — U.S. government obligations 51 51 51 — — Residential mortgage-backed securities 225 225 — 225 — Collateralized debt obligations 120 120 — 120 — Other asset-backed securities 252 252 — 178 74 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 99 99 99 — — Short term investments 540 540 526 13 — Other investments (1) 660 652 92 — — Cash, cash equivalents and restricted cash 67 67 67 — — Derivative assets: Interest rate swaps—asset position 56 56 — 3 52 Other assets-Loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,131 3,131 — — 3,131 Fixed maturity securities: Municipal obligation, trading 114 114 — 114 — Fixed maturity securities: Municipal obligations, available-for-sale 119 119 — 119 — Restricted cash 49 49 49 — — Loans 2,469 2,469 — — 2,469 Derivative assets: Currency swaps-asset position 42 42 — 42 — Total financial assets $ 8,864 $ 8,856 $ 988 $ 1,567 $ 5,741 Financial liabilities: Long term debt, including accrued interest $ 2,834 $ 2,315 $ — $ 2,296 $ 19 Derivative liabilities: Credit derivatives 1 1 — — 1 Interest rate swaps—liability position 75 75 — 75 — Futures contracts 1 1 1 — — Liabilities for net financial guarantees written (2) (970) (197) — — (197) Variable interest entity liabilities: Long-term debt (includes $3,701 at fair value) 4,124 4,161 — 4,001 160 Derivative liabilities: Interest rate swaps—liability position 1,866 1,866 — 1,866 — Total financial liabilities $ 7,930 $ 8,221 $ 1 $ 8,238 $ (17) Carrying Total Fair Fair Value Measurements Categorized as: December 31, 2021: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 340 $ 340 $ — $ 340 $ — Corporate obligations 613 613 1 600 12 Foreign obligations 87 87 87 — — U.S. government obligations 45 45 45 — — Residential mortgage-backed securities 252 252 — 252 — Collateralized debt obligations 128 128 — 128 — Other asset-backed securities 265 265 — 187 79 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 105 105 105 — — Short term investments 414 414 369 46 — Other investments (1) 690 683 106 — — Cash, cash equivalents and restricted cash 21 21 21 1 — Derivative assets: Interest rate swaps—asset position 76 76 — 5 71 Other assets - equity in sponsored VIE — — — — — Other assets-loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,320 3,320 — — 3,320 Fixed maturity securities: Municipal obligations, available-for-sale 136 136 — 136 — Restricted cash 2 2 2 — — Loans 2,718 2,718 — — 2,718 Derivative assets: Currency swaps—asset position 38 38 — 38 — Total financial assets $ 9,268 $ 9,261 $ 750 $ 1,732 $ 6,202 Financial liabilities: Long term debt, including accrued interest $ 2,806 $ 2,598 $ — $ 2,575 $ 22 Derivative liabilities: Credit derivatives — — — — — Interest rate swaps—liability position 94 94 — 94 — Futures contracts — — — — — Liabilities for net financial guarantees written (2) (866) (112) — — (112) Variable interest entity liabilities: Long-term debt (includes $4,056 at fair value) 4,216 4,255 — 4,086 169 Derivative liabilities: Interest rate swaps—liability position 1,940 1,940 — 1,940 — Total financial liabilities $ 8,190 $ 8,775 $ — $ 8,695 $ 79 (1) Excluded from the fair value measurement categories in the table above are investment funds of $560 and $577 as of March 31, 2022 and December 31, 2021, respectively, which are measured using NAV as a practical expedient. Also excluded from the fair value measurements in the table above are equity securities with a carrying value of $8 and $8 as of March 31, 2022 and December 31, 2021, respectively, that do not have readily determinable fair values and have carrying amounts determined using the measurement alternative. (2) The carrying value of net financial guarantees written includes financial guarantee amounts in 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 maturity securities, equity interests in pooled investment funds, derivative instruments and certain variable interest entity assets and liabilities. 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 Maturity Securities: The fair values of fixed maturity investment securities are based primarily on market prices received from broker quotes or alternative pricing sources. Because many fixed maturity 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 maturity 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, 2022, approximately 6%, 90% and 4% of the fixed maturity investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively. At December 31, 2021, approximately 6%, 90% and 4% of the fixed maturity 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 maturity 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), internally modeled prices and/or other relevant data, 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 maturity securities classified as Level 3 is included below: Other asset-backed securities: This security is a subordinated tranche of a securitization collateralized by Ambac-insured military housing bonds. The fair value classified as Level 3 was $74 and $79 at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021 include the following: March 31, 2022: a. Coupon rate: 5.98% b. Average Life: 13.97 years c. Yield: 11.00% December 31, 2021: a. Coupon rate: 5.97% b. Average Life: 14.14 years c. Yield: 10.20% Corporate obligations: This includes certain investments in convertible debt securities. The fair value classified as Level 3 was $12 and $12 at March 31, 2022 and December 31, 2021, respectively. Fair value was calculated by discounting cash flows to average maturity of 2.5 years and yield of 9.3% at March 31, 2022 and average maturity of 2.75 years and yield of 7.2% at December 31, 2021. Yields used are consistent with the security type and rating. 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 4. Investments for additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient. 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 aggregate Ambac CVA impact reduced the fair value of derivative liabilities by less than a million dollars at both March 31, 2022 and December 31, 2021, respectively 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 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 remaining 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 an internal credit rating of AA at March 31, 2022. 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 marketplace, 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 AAC surplus notes, the Sitka AAC Note, 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, Sitka AAC Note and Tier 2 Notes are classified as Level 2. The fair value of Ambac UK debt is classified as Level 3. Other Financial Assets and Liabilities: Included in Other assets are loans, the fair values of which 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 Legacy Financial Guarantee Insurance VIEs ("FG VIEs") consolidated under the Consolidation Topic of the ASC consist primarily of fixed maturity securities and loans held by the VIEs, derivative instruments and notes issued by the VIEs which are reported as long-term debt. As described in Note 9. Variable Interest Entities , these FG VIEs are securitization entities which have liabilities and/or assets guaranteed by AAC or Ambac UK. The fair values of FG VIE long-term debt are based on price quotes received from independent market sources when available. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. For those instruments where quotes were not available or cannot be reasonably corroborated, fair values are based on internal valuation models. Comparable to the sensitivities of investments in fixed maturity 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 FG VIE long-term debt. FG VIE derivative asset and liability fair values are determined using vendor-developed valuation models, which incorporated observable market data related to specific derivative contractual terms including interest rates, foreign exchange rates and yield curves. The fair value of FG VIE fixed maturity securities and loan assets are generally based on Level 2 market price quotes received from independent market sources when available. When FG VIE asset fair values are not readily available from market quotes, values are estimated internally. Internal valuations of FG VIE’s fixed maturity securities or loan assets are derived from the fair values of the notes issued by the respective VIE and the VIE’s derivatives, determined as described above, adjusted for the fair values of Ambac’s financial guarantees associated with the VIE. The fair value of financial guarantees consist of: (i) estimated future premium cash flows discounted at a rate consistent with that implicit in the fair value of the VIE’s liabilities and (ii) estimates of future claim payments 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 weighted average rate of 3.9% and 3.0% at March 31, 2022 and December 31, 2021, respectively. At March 31, 2022, the range of these discount rates was between 3.2% and 5.3%. 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 2022 and 2021. 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 Investments (1) Other (2) Derivatives Investments Loans Total Three Months Ended March 31, 2022: Balance, beginning of period $ 91 $ — $ 70 $ 3,320 $ 2,718 $ 6,199 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (93) (96) (204) Included in other comprehensive income (4) — — (96) (76) (176) Purchases — — — — — — Settlements (1) — (2) — (78) (80) Balance, end of period $ 86 $ — $ 52 $ 3,131 $ 2,469 $ 5,738 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 $ — $ — $ (17) $ (93) $ (96) $ (204) 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 $ (4) $ — $ — $ (96) $ (76) $ (176) Three Months Ended March 31, 2021: Balance, beginning of period $ 78 $ 1 $ 84 $ 3,215 $ 2,998 $ 6,376 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (138) 9 (145) Included in other comprehensive income (2) — — 26 24 49 Purchases — — — — — — Settlements — — (2) — (84) (86) Balance, end of period $ 76 $ 1 $ 65 $ 3,103 $ 2,948 $ 6,194 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 $ — $ — $ (17) $ (138) $ 9 $ (145) 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 $ (2) $ — $ — $ 26 $ 24 $ 49 (1) Investments classified as Level 3 consist of a single other asset-backed security. (2) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. 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 Income Other Three Months Ended March 31, 2022: Total gains (losses) included in earnings for the period $ — $ (17) $ (188) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (188) — Three Months Ended March 31, 2021: Total gains (losses) included in earnings for the period $ — $ (17) $ (129) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (129) — |
Insurance Contracts
Insurance Contracts | 3 Months Ended |
Mar. 31, 2022 | |
Insurance [Abstract] | |
Fair Value Measurements | 5. 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 has 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 maturity 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, certain equity investments and certain investments in fixed maturity 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 Investments — Equity Securities Topic of the ASC permits the measurement of certain equity securities without a readily determinable fair value at cost, less impairment, and adjusted to fair value when observable price changes in identical or similar investments from the same issuer occur (the "measurement alternative"). The fair values of investments measured under this measurement alternative are not included in the below disclosures of fair value of financial instruments. The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of March 31, 2022 and December 31, 2021, 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, 2022: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 188 $ 188 $ — $ 188 $ — Corporate obligations 577 577 1 564 12 Foreign obligations 88 88 88 — — U.S. government obligations 51 51 51 — — Residential mortgage-backed securities 225 225 — 225 — Collateralized debt obligations 120 120 — 120 — Other asset-backed securities 252 252 — 178 74 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 99 99 99 — — Short term investments 540 540 526 13 — Other investments (1) 660 652 92 — — Cash, cash equivalents and restricted cash 67 67 67 — — Derivative assets: Interest rate swaps—asset position 56 56 — 3 52 Other assets-Loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,131 3,131 — — 3,131 Fixed maturity securities: Municipal obligation, trading 114 114 — 114 — Fixed maturity securities: Municipal obligations, available-for-sale 119 119 — 119 — Restricted cash 49 49 49 — — Loans 2,469 2,469 — — 2,469 Derivative assets: Currency swaps-asset position 42 42 — 42 — Total financial assets $ 8,864 $ 8,856 $ 988 $ 1,567 $ 5,741 Financial liabilities: Long term debt, including accrued interest $ 2,834 $ 2,315 $ — $ 2,296 $ 19 Derivative liabilities: Credit derivatives 1 1 — — 1 Interest rate swaps—liability position 75 75 — 75 — Futures contracts 1 1 1 — — Liabilities for net financial guarantees written (2) (970) (197) — — (197) Variable interest entity liabilities: Long-term debt (includes $3,701 at fair value) 4,124 4,161 — 4,001 160 Derivative liabilities: Interest rate swaps—liability position 1,866 1,866 — 1,866 — Total financial liabilities $ 7,930 $ 8,221 $ 1 $ 8,238 $ (17) Carrying Total Fair Fair Value Measurements Categorized as: December 31, 2021: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 340 $ 340 $ — $ 340 $ — Corporate obligations 613 613 1 600 12 Foreign obligations 87 87 87 — — U.S. government obligations 45 45 45 — — Residential mortgage-backed securities 252 252 — 252 — Collateralized debt obligations 128 128 — 128 — Other asset-backed securities 265 265 — 187 79 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 105 105 105 — — Short term investments 414 414 369 46 — Other investments (1) 690 683 106 — — Cash, cash equivalents and restricted cash 21 21 21 1 — Derivative assets: Interest rate swaps—asset position 76 76 — 5 71 Other assets - equity in sponsored VIE — — — — — Other assets-loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,320 3,320 — — 3,320 Fixed maturity securities: Municipal obligations, available-for-sale 136 136 — 136 — Restricted cash 2 2 2 — — Loans 2,718 2,718 — — 2,718 Derivative assets: Currency swaps—asset position 38 38 — 38 — Total financial assets $ 9,268 $ 9,261 $ 750 $ 1,732 $ 6,202 Financial liabilities: Long term debt, including accrued interest $ 2,806 $ 2,598 $ — $ 2,575 $ 22 Derivative liabilities: Credit derivatives — — — — — Interest rate swaps—liability position 94 94 — 94 — Futures contracts — — — — — Liabilities for net financial guarantees written (2) (866) (112) — — (112) Variable interest entity liabilities: Long-term debt (includes $4,056 at fair value) 4,216 4,255 — 4,086 169 Derivative liabilities: Interest rate swaps—liability position 1,940 1,940 — 1,940 — Total financial liabilities $ 8,190 $ 8,775 $ — $ 8,695 $ 79 (1) Excluded from the fair value measurement categories in the table above are investment funds of $560 and $577 as of March 31, 2022 and December 31, 2021, respectively, which are measured using NAV as a practical expedient. Also excluded from the fair value measurements in the table above are equity securities with a carrying value of $8 and $8 as of March 31, 2022 and December 31, 2021, respectively, that do not have readily determinable fair values and have carrying amounts determined using the measurement alternative. (2) The carrying value of net financial guarantees written includes financial guarantee amounts in 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 maturity securities, equity interests in pooled investment funds, derivative instruments and certain variable interest entity assets and liabilities. 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 Maturity Securities: The fair values of fixed maturity investment securities are based primarily on market prices received from broker quotes or alternative pricing sources. Because many fixed maturity 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 maturity 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, 2022, approximately 6%, 90% and 4% of the fixed maturity investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively. At December 31, 2021, approximately 6%, 90% and 4% of the fixed maturity 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 maturity 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), internally modeled prices and/or other relevant data, 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 maturity securities classified as Level 3 is included below: Other asset-backed securities: This security is a subordinated tranche of a securitization collateralized by Ambac-insured military housing bonds. The fair value classified as Level 3 was $74 and $79 at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021 include the following: March 31, 2022: a. Coupon rate: 5.98% b. Average Life: 13.97 years c. Yield: 11.00% December 31, 2021: a. Coupon rate: 5.97% b. Average Life: 14.14 years c. Yield: 10.20% Corporate obligations: This includes certain investments in convertible debt securities. The fair value classified as Level 3 was $12 and $12 at March 31, 2022 and December 31, 2021, respectively. Fair value was calculated by discounting cash flows to average maturity of 2.5 years and yield of 9.3% at March 31, 2022 and average maturity of 2.75 years and yield of 7.2% at December 31, 2021. Yields used are consistent with the security type and rating. 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 4. Investments for additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient. 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 aggregate Ambac CVA impact reduced the fair value of derivative liabilities by less than a million dollars at both March 31, 2022 and December 31, 2021, respectively 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 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 remaining 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 an internal credit rating of AA at March 31, 2022. 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 marketplace, 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 AAC surplus notes, the Sitka AAC Note, 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, Sitka AAC Note and Tier 2 Notes are classified as Level 2. The fair value of Ambac UK debt is classified as Level 3. Other Financial Assets and Liabilities: Included in Other assets are loans, the fair values of which 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 Legacy Financial Guarantee Insurance VIEs ("FG VIEs") consolidated under the Consolidation Topic of the ASC consist primarily of fixed maturity securities and loans held by the VIEs, derivative instruments and notes issued by the VIEs which are reported as long-term debt. As described in Note 9. Variable Interest Entities , these FG VIEs are securitization entities which have liabilities and/or assets guaranteed by AAC or Ambac UK. The fair values of FG VIE long-term debt are based on price quotes received from independent market sources when available. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. For those instruments where quotes were not available or cannot be reasonably corroborated, fair values are based on internal valuation models. Comparable to the sensitivities of investments in fixed maturity 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 FG VIE long-term debt. FG VIE derivative asset and liability fair values are determined using vendor-developed valuation models, which incorporated observable market data related to specific derivative contractual terms including interest rates, foreign exchange rates and yield curves. The fair value of FG VIE fixed maturity securities and loan assets are generally based on Level 2 market price quotes received from independent market sources when available. When FG VIE asset fair values are not readily available from market quotes, values are estimated internally. Internal valuations of FG VIE’s fixed maturity securities or loan assets are derived from the fair values of the notes issued by the respective VIE and the VIE’s derivatives, determined as described above, adjusted for the fair values of Ambac’s financial guarantees associated with the VIE. The fair value of financial guarantees consist of: (i) estimated future premium cash flows discounted at a rate consistent with that implicit in the fair value of the VIE’s liabilities and (ii) estimates of future claim payments 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 weighted average rate of 3.9% and 3.0% at March 31, 2022 and December 31, 2021, respectively. At March 31, 2022, the range of these discount rates was between 3.2% and 5.3%. 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 2022 and 2021. 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 Investments (1) Other (2) Derivatives Investments Loans Total Three Months Ended March 31, 2022: Balance, beginning of period $ 91 $ — $ 70 $ 3,320 $ 2,718 $ 6,199 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (93) (96) (204) Included in other comprehensive income (4) — — (96) (76) (176) Purchases — — — — — — Settlements (1) — (2) — (78) (80) Balance, end of period $ 86 $ — $ 52 $ 3,131 $ 2,469 $ 5,738 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 $ — $ — $ (17) $ (93) $ (96) $ (204) 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 $ (4) $ — $ — $ (96) $ (76) $ (176) Three Months Ended March 31, 2021: Balance, beginning of period $ 78 $ 1 $ 84 $ 3,215 $ 2,998 $ 6,376 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (138) 9 (145) Included in other comprehensive income (2) — — 26 24 49 Purchases — — — — — — Settlements — — (2) — (84) (86) Balance, end of period $ 76 $ 1 $ 65 $ 3,103 $ 2,948 $ 6,194 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 $ — $ — $ (17) $ (138) $ 9 $ (145) 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 $ (2) $ — $ — $ 26 $ 24 $ 49 (1) Investments classified as Level 3 consist of a single other asset-backed security. (2) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. 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 Income Other Three Months Ended March 31, 2022: Total gains (losses) included in earnings for the period $ — $ (17) $ (188) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (188) — Three Months Ended March 31, 2021: Total gains (losses) included in earnings for the period $ — $ (17) $ (129) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (129) — |
Financial Guarantees In Force | Amounts presented in this Note relate only to Ambac’s non-derivative insurance business for insurance policies issued to beneficiaries, excluding consolidated VIEs. Premiums: The effect of reinsurance on premiums written and earned was as follows: Three Months Ended March 31, 2022 2021 Written Earned Written Earned Direct $ 30 $ 23 $ (2) $ 17 Assumed — — — — Ceded 18 8 7 3 Net premiums $ 12 $ 15 $ (9) $ 14 The following table summarizes net premiums earned by location of risk: Three Months Ended March 31, 2022 2021 United States $ 9 $ 7 United Kingdom 4 3 Other international 1 3 Total $ 15 $ 14 Premium Receivables, including credit impairments: Premium receivables at March 31, 2022 and December 31, 2021 were $317 and $323, respectively. • Legacy financial guarantee premium receivables are discounted using an appropriate risk-free rate corresponding to the weighted average life of each policy and currency to discount the future premiums contractually due or expected to be collected. The weighted average risk-free rate at March 31, 2022 and December 31, 2021, was 2.6% and 2.2%, respectively, and the weighted average period of future premiums used to estimate the premium receivable at March 31, 2022 and December 31, 2021, was 8.2 years and 8.0 years, respectively. • Specialty property and casualty premium receivables are not discounted and are typically paid upfront. Any receivables for such amounts are generally collected in the following period. Non-payment of premium by the policyholder may lead to policy cancellation. Management evaluates premium receivables for expected credit losses ("credit impairment") in accordance with the CECL standard adopted January 1, 2020, which is 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, 2021. The key indicator management uses to assess the credit quality of the legacy financial guarantee 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 financial guarantee premium receivables by risk classification code and asset class as of March 31, 2022 and December 31, 2021: Surveillance Categories as of March 31, 2022 Type of Guaranteed Bond I IA II III IV Total Public Finance: Housing revenue $ 147 $ 3 $ 5 $ — $ — $ 155 Other 2 — — — — 2 Total Public Finance 149 3 5 — — 157 Structured Finance: Mortgage-backed and home equity 1 — — 2 11 15 Structured insurance 9 — — — — 9 Student loan 1 1 — 8 — 11 Other 6 — — — — 6 Total Structured Finance 18 1 — 11 11 41 International: Sovereign/sub-sovereign 74 8 — 10 — 92 Investor-owned and public utilities 21 — — — — 21 Other 5 — — — — 5 Total International 100 8 — 10 — 118 Total (1) (2) $ 267 $ 12 $ 5 $ 21 $ 11 $ 316 Surveillance Categories as of December 31, 2021 Type of Guaranteed Bond I IA II III IV Total Public Finance: Housing revenue $ 149 $ 3 $ 5 $ — $ — $ 157 Other 2 — — — — 2 Total Public Finance 151 3 5 — — 159 Structured Finance: Mortgage-backed and home equity 1 — 1 2 12 16 Student loan 1 1 — 9 — 12 Structured insurance 10 — — — — 10 Other 7 — — — — 7 Total Structured Finance 19 1 1 12 12 45 International: Sovereign/sub-sovereign 74 8 — 11 — 93 Investor-owned and public utilities 28 — — — — 28 Other 5 — — — — 5 Total International 107 8 — 11 — 125 Total (1) (2) $ 277 $ 12 $ 6 $ 22 $ 12 $ 329 (1) Excludes specialty property and casualty premium receivables of $9 and $2 at March 31, 2022 and December 31, 2021, respectively . (2) 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, 2022 and 2021: Three Months Ended March 31, 2022 2021 Beginning balance $ 9 $ 17 Current period provision (benefit) (1) (4) Write-offs of the allowance — — Recoveries of previously written-off amounts — — Ending balance (1) $ 8 $ 13 (1) At March 31, 2022 and 2021, $1 and $— of premiums were past due. Legacy Financial Guarantee Premium Receivables: 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 policies, 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). Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: Three Months Ended March 31, 2022 2021 Beginning premium receivable $ 320 $ 370 Premium receipts (15) (12) Adjustments for changes in expected and contractual cash flows for contracts (1) 3 (8) Accretion of premium receivable discount for contracts 2 2 Changes to allowance for credit losses 1 4 Other adjustments (including foreign exchange) (3) — Ending premium receivable (2) $ 308 $ 356 (1) Adjustments for changes in expected and contractual cash flows primarily due to indexation 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, 2022 and 2021, premium receivables include British Pounds of $101 (£77) and $122 (£89), respectively, and Euros of $16 (€15) and $21 (€18), respectively. The following table summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at March 31, 2022: Future Premiums Collected (1) Future (2) Three months ended: June 30, 2022 $ 8 $ 6 September 30, 2022 9 6 December 31, 2022 6 6 Twelve months ended: December 31, 2023 30 24 December 31, 2024 29 23 December 31, 2025 28 22 December 31, 2026 27 22 Five years ended: December 31, 2031 115 89 December 31, 2036 77 55 December 31, 2041 34 22 December 31, 2046 16 9 December 31, 2051 5 3 December 31, 2056 — — Total $ 384 $ 288 (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, 2021. 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. Loss and Loss Expense Reserves: Ambac’s loss and loss expense reserves (“loss reserves”) are based on management’s on-going review of the insured portfolio. Below are the components of the loss and loss expense reserves and the subrogation recoverable asset at at March 31, 2022 and December 31, 2021: Legacy Financial Guarantee Specialty Property and Casualty Present Value of Expected Net Cash Flows Balance Sheet Line Item Gross Loss Claims and Recoveries Unearned Gross Loss March 31, 2022: Loss and loss expense reserves $ 36 $ 1,168 $ (95) $ (42) $ 1,067 Subrogation recoverable — 52 (1,766) — (1,714) Totals $ 36 $ 1,221 $ (1,861) $ (42) $ (647) December 31, 2021: Loss and loss expense reserves $ 32 $ 1,749 $ (155) $ (56) $ 1,570 Subrogation recoverable — 88 (2,180) — (2,092) Totals $ 32 $ 1,837 $ (2,335) $ (56) $ (522) Below is the loss and loss reserve expense roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: Three Months Ended March 31, 2022 2021 Beginning gross loss and loss expense reserves $ (522) $ (397) Reinsurance recoverable 55 33 Beginning balance of net loss and loss expense reserves (578) (430) Losses and loss expenses (benefit): Current year 1 — Prior years 23 8 Total (1) (2) 24 8 Loss and loss expenses paid (recovered): Current year — — Prior years (150) 25 Total (150) 25 Foreign exchange effect (1) — Ending net loss and loss expense reserves (404) (447) Impact of VIE consolidation (292) — Reinsurance recoverable (3) 49 33 Ending gross loss and loss expense reserves $ (647) $ (414) (1) Total losses and loss expenses (benefit) includes $(7) and $(1) for the three months ended March 31, 2022 and 2021, 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 incurred associated with changes in estimated R&W's for the three months ended March 31, 2022 and 2021, was $224 and $3, 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 $0 and $0 as of March 31, 2022 and 2021, respectively, related to previously presented loss and loss expenses and subrogation. For 2022, the adverse development in prior years was primarily attributable to the reduction in the R&W recoverable partially offset by the positive benefit of the Puerto Rico restructuring. For 2021, the adverse development in prior years was primarily due to deterioration of Puerto Rico credits. Legacy Financial Guarantee Loss Reserves: The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at March 31, 2022 and December 31, 2021, excluding consolidated VIEs. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at March 31, 2022 and December 31, 2021,was 2.4% and 1.2%, respectively. Surveillance Categories as of March 31, 2022 I IA II III IV V Total Number of policies 34 14 8 14 124 5 199 Remaining weighted-average contract period (in years) (1) 9 17 14 15 14 7 14 Gross insured contractual payments outstanding: Principal $ 1,297 $ 305 $ 457 $ 1,265 $ 2,105 $ 40 $ 5,469 Interest 608 348 308 174 683 22 2,143 Total $ 1,905 $ 653 $ 766 $ 1,439 $ 2,788 $ 62 $ 7,612 Gross undiscounted claim liability $ 8 $ 5 $ 45 $ 572 $ 867 $ 62 $ 1,559 Discount, gross claim liability (1) (1) (5) (155) (208) (7) (377) Gross claim liability before all subrogation and before reinsurance 7 5 40 416 659 55 1,182 Less: Gross RMBS subrogation (2) — — — — (1,537) — (1,537) Discount, RMBS subrogation — — — — 35 — 35 Discounted RMBS subrogation, before reinsurance — — — — (1,502) — (1,502) Less: Gross other subrogation (3) — (5) — (33) (350) (12) (401) Discount, other subrogation — — — 4 34 3 41 Discounted other subrogation, before reinsurance — (5) — (29) (316) (10) (360) Gross claim liability, net of all subrogation and discounts, before reinsurance 7 — 40 387 (1,159) 45 (680) Less: Unearned premium revenue (5) (3) (5) (12) (16) (1) (42) Plus: Loss expense reserves 1 — — 3 35 — 39 Gross loss and loss expense reserves $ 3 $ (3) $ 35 $ 378 $ (1,140) $ 44 $ (683) Reinsurance recoverable reported on Balance Sheet (4) $ 1 $ — $ 9 $ 22 $ (18) $ — $ 14 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (3) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions including RMBS. (4) Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $14 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2021 I IA II III IV V Total Number of policies 34 15 7 14 130 5 205 Remaining weighted-average contract period (in years) (1) 9 12 14 15 13 7 14 Gross insured contractual payments outstanding: Principal $ 904 $ 840 $ 459 $ 1,300 $ 2,759 $ 40 $ 6,302 Interest 589 612 308 169 1,284 22 2,984 Total $ 1,493 $ 1,452 $ 767 $ 1,469 $ 4,043 $ 62 $ 9,286 Gross undiscounted claim liability $ 5 $ 16 $ 45 $ 544 $ 1,423 $ 62 $ 2,095 Discount, gross claim liability — (1) (3) (109) (185) (4) (303) Gross claim liability before all subrogation and before reinsurance 5 15 42 435 1,238 57 1,792 Less: Gross RMBS subrogation (2) — — — — (1,737) — (1,737) Discount, RMBS subrogation — — — — 7 — 7 Discounted RMBS subrogation, before reinsurance — — — — (1,730) — (1,730) Less: Gross other subrogation (3) — (5) — (33) (583) (12) (633) Discount, other subrogation — — — 2 24 2 28 Discounted other subrogation, before reinsurance — (5) — (31) (559) (10) (605) Gross claim liability, net of all subrogation and discounts, before reinsurance 5 10 42 404 (1,051) 47 (543) Less: Unearned premium revenue (3) (10) (5) (14) (24) (1) (56) Plus: Loss expense reserves 1 — — 4 40 — 45 Gross loss and loss expense reserves $ 3 $ 1 $ 38 $ 394 $ (1,036) $ 46 $ (554) Reinsurance recoverable reported on Balance Sheet (4) $ 1 $ 1 $ 10 $ 22 $ (11) $ — $ 23 (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 $24 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. COVID-19: The COVID-19 pandemic had an impact on general economic conditions; including, but not limited to, higher unemployment; volatility in the capital markets; closure or severe curtailment of the operations and, hence, revenues, of many businesses and public and private enterprises to which we are directly or indirectly exposed. While the impact of the pandemic on the economy and markets in general has mostly subsided, there remains lingering effects, such as government relief programs, supply chain disruptions, inflation, and employment shortages, which may continue to adversely impact transactions insured in our legacy financial guarantee business. In particular, this includes the U.S. government's temporary relief measures that required mortgage loan servicers to offer relief to borrowers who suffer hardship as a result of COVID-19. These relief measures included moratoriums on foreclosures and evictions as well as the expansion of forbearance and subsequent repayment options. While these relief measures have largely since expired, the resulting delays in starting mortgage foreclosure processes and the impact of potential post-forbearance related mortgage loan modifications may have an adverse impact on our insured RMBS transactions. Consequently, we could experience a modest increase in claim payments for certain of our insured RMBS obligations following the resumption of foreclosure activity and the implementation of post-forbearance mortgage loan modifications. We are continuously evaluating and updating our view of the macro economic environment as well as our specific credit view of each of our insured exposures considering the significant uncertainties brought upon us by the COVID-19 pandemic. Accordingly, despite the current economic recovery, our loss reserves may be under-estimated as a result of the ultimate scope, duration and magnitude of the effects of COVID-19 pandemic. Through March 31, 2022, we have not paid any claims related to 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 $784. 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. The Commonwealth of Puerto Rico and certain of its instrumentalities have defaulted on their debt service payments, including payments owed on bonds insured by AAC. We have been paying claims for several years on most of our exposure to Puerto Rico, which consisted of several different issuing entities (all below investment grade). These issuing entities, which have been part of the PROMESA restructuring process that began in 2016, each have their own credit risk profile attributable to discrete revenue sources, direct general obligation pledges, and/or general obligation guarantees. On March 15, 2022, the Eighth Amended Plan Title III Joint Plan of Adjustment for the Commonwealth of Puerto Rico, et al. ("Eighth Amended POA") together with the Qualifying Modifications for PRIFA and CCDA ("PRIFA QM" and "CCDA QM", respectively) became effective and resolved the PROMESA restructuring process for the GO, PBA, PRIFA and CCDA issuing entities that have portions of their bonds insured by AAC. Ambac insured bond effective date transactions On March 15, 2022, and pursuant to bondholder elections: (i) all of the remaining outstanding AAC-insured GO and PBA bonds or about 94 were satisfied and eliminated via commutation or acceleration and (ii) about 39% and 19% of the par of AAC's outstanding AAC-insured PRIFA and CCDA bonds, respectively, or about $172, were reduced via commutation. The AAC-insured PRIFA and CCDA bondholders who failed to elect commutation had their bondholders’ respective shares of consideration available under the Commonwealth Plan and the PRIFA QM, or CCDA QM, as applicable, deposited into newly formed trusts. These trusts are being consolidated by Ambac as further discussed in Note 9. Variable Interest Entities . Since the effective date, the remainder of those PRIFA and CCDA bonds belonging to bondholders who elected not to commute their AAC insurance policies and were deposited into trusts together with such policies have all been accelerated, satisfying and eliminating all of the Ambac-insured PRIFA and CCDA bonds. Puerto Rico Highway and Transportation Authority Bonds AAC's remaining unrestructured PROMESA Puerto Rico exposure, the Puerto Rico Highway and Transportation Authority ("PRHTA"), is subject to the PRHTA Plan of Adjustment ("PRHTA POA"), which was filed on May 2, 2022. A confirmation hearing for the PRHTA POA is expected to follow later in 2022. Creditor recoveries under the PRHTA POA are based upon the PRHTA/CCDA PSA. AAC signed a joinder to the PRHTA/ CCDA PSA on July 15, 2021. The PRHTA/CCDA PSA, originally executed on May 5, 2021, provides for certain consideration for holders of bonds issued by certain Commonwealth instrumentalities, PRHTA, and CCDA on account of their claims against the Commonwealth arising from such bonds ("Clawback" claims). Under the PRHTA/CCDA PSA, PRHTA creditors will share $389 of cash proceeds, including a $264 interim distribution, payable once the PRHTA distribution condition has been met pursuant to the Eighth Amended POA. In addition, PRHTA creditors will receive an approximately 69% share, subject to a lifetime nominal cap of $3,698, of the Clawback Creditors' portion of the outperformance of the Commonwealth's sales and use tax ("SUT") relative to the certified 2020 Commonwealth Fiscal Plan's projections (the "Clawback CVI"). The Clawback CVI instrument will be distributed once the PRHTA distribution condition has been met pursuant to the Eighth Amended POA. The PRHTA Clawback CVI is subject to a PRHTA-specific waterfall: holders of PRHTA ’68 bonds will receive the first dollars of Clawback CVI, followed by holders of PRHTA ’98 bonds. The value of the Clawback CVI is highly uncertain, given the contingent, outperformance-driven structure of the instrument. Changes in our assumed values of the Clawback CVI or in the actual performance of the Clawback CVI could cause an adverse change in our reserves, which could be material. As a result, a significant decrease in our assumed values of the Clawback CVI could have a material adverse impact on our results of operations and financial condition. PRHTA bondholders will also receive new PRHTA bonds or cash with a face amount of $1,245. Of the $1,245 in new bonds or cash, approximately $646.4 will be allocated to holders of PRHTA '68 bonds and approximately $598.6 will be allocated to holders of PRHTA '98 bonds. The new PRHTA bonds or cash will be distributed to creditors upon consummation of the PRHTA POA. AAC and other PRHTA creditors will receive restriction fees and consummation costs payable at the effective date of the PRHTA POA. Puerto Rico Considerations The Eighth Amended POA and the qualifying modifications for PRIFA and CCDA became effective on March 15, 2022, and on that date and since, AAC-insured Puerto Rico exposures have been significantly reduced via commutation and acceleration. However, uncertainty remains as to our remaining exposures as to (i) the value or perceived value of the consideration provided by or on behalf of the debtors under the Eighth Amended POA, PRIFA QM, and CCDA QM; (ii) the extent to which exposure management strategies, such as commutation and acceleration, will be executed for PRHTA; (iii) the tax treatment of the consideration provided by or on behalf of the debtors under the Eighth Amended POA, PRIFA QM, and CCDA QM; (iv) whether and when the PRHTA POA will be confirmed; and (vii) other factors, including market conditions such as interest rate movements and credit spread changes on the new CVI instruments. Ambac’s loss reserves may prove to be understated or overstated, possibly materially, due to favorable or unfavorable developments or results with respect to these factors. While our reserving scenarios account for a wide range of possible outcomes, reflecting the significant uncertainty regarding future developments and outcomes, given our significant exposure to Puerto Rico and the economic, fiscal, legal and political uncertainties associated therewith, 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, and may be subject to material volatility. Conversely, Ambac’s loss reserves may prove to be overstated, possibly materially, due to favorable developments or results with respect to the factors described in the preceding paragraph. Ambac has considered these developments and other factors in evaluating its Puerto Rico loss reserves. 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 AAC to honor its financial obligations; the initiation of rehabilitation proceedings against AAC; decreased likelihood of AAC delivering value to Ambac, through dividends or otherwise; and a significant drop in the value of securities issued or insured by Ambac or AAC. For public finance credits, including Puerto Rico, as well as other issuers, for which Ambac has an estimate of expected loss at March 31, 2022, the possible increase in loss reserves under stress or other adverse conditions and circumstances was estimated to be approximately $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, 2022, would decrease from $974 to $754. However, there can be no assurance that losses may not exceed such amount. Representation and Warranty Recoveries: Ambac records estimated RMBS R&W subrogation recoveries for breaches of R&W by sponsors of certain RMBS transactions. For a discussion of the approach utilized to estimate RMBS 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, 2021. Ambac has recorded RMBS R&W subrogation recoveries of $1,502 ($1,480 net of reinsurance) and $1,730 ($1,704 net of reinsurance) at March 31, 2022 and December 31, 2021, respectively. The reduction in recorded RMBS R&W recoveries since December 31, 2021, is primarily attributable to management’s view of the effect on certain of AAC’s R&W litigations of the March 17, 2022 decision of the New York Court of Appeals in the case entitled U.S. Bank National Association v. DLJ Mortgage Capital, Inc. relating to Home Equity Asset Trust 2007-1, a residential mortgage-backed securities trust. The decision is relevant to AAC's breach-of-contract cases relating to its insured RMBS transactions and may affect one of the bases upon which AAC seeks recovery with respect to a significant portion of breaching loans in AAC's RMBS cases. However, management believes there remain other alternative paths to recovery for such breaching loans. Our ability to realize R&W subrogation recoveries is subject to significant uncertainty, including risks inherent in litigation, including adverse rulings or decisions in our cases or in litigations to which AAC is not a party that set precedents or resolve questions of law that impact our own claims; 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. If we were unable to realize R&W subrogation recoveries recorded on Ambac's consolidated balance sheet, our stockholders’ equity as of March 31, 2022, would decrease from $974 to $(505). Additionally, failure to realize R&W subrogation recoveries, or the realization of recoveries significantly below those recorded on the balance sheet, may result in adverse consequences such as impairing the ability of AAC to honor its financial obligations; the initiation of rehabilitation proceedings against AAC; AAC not being able to deliver value to Ambac, through dividends or otherwise; and a significant drop in the value of securities issued or insured by Ambac or AAC. Reinsurance Recoverables, Including Credit Impairments: Amounts recoverable from reinsurers are estimated in a manner consistent with the associated loss and loss expense reserves. The Company reports its reinsurance recoverables net of an allowance for amounts that are estimated to be uncollectible. The allowance for credit losses is based upon Ambac's ongoing review of amounts outstanding. Key indicators management uses to assess the credit quality of reinsurance recoverables are financial performance of the reinsurers, collateral posted by the reinsurers and independent rating agency credit ratings. The evaluation begins with a comparison of the fair value of collateral posted by the reinsurer to the recoverable, net of ceded premiums payable. Any shortfall of collateral posted is evaluated against our assessment of the reinsurer's financial strength, including its credit rating to determine whether an allowance is considered necessary. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 7. 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, 2022 and December 31, 2021: Gross Gross Net Amounts Gross Amount Net March 31, 2022: Derivative Assets: Interest rate swaps $ 56 $ — $ 55 $ — $ 55 Total non-VIE derivative assets $ 56 $ — $ 55 $ — $ 55 Derivative Liabilities: Credit derivatives $ 1 $ — $ 1 $ — $ 1 Interest rate swaps 75 — 74 73 2 Futures contracts 1 — 1 — 1 Total non-VIE derivative liabilities $ 76 $ — $ 76 $ 73 $ 3 Variable Interest Entities Derivative Assets: Currency swaps $ 42 $ — $ 42 $ — $ 42 Total VIE derivative assets $ 42 $ — $ 42 $ — $ 42 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,866 $ — $ 1,866 $ — $ 1,866 Total VIE derivative liabilities $ 1,866 $ — $ 1,866 $ — $ 1,866 December 31, 2021: Derivative Assets: Interest rate swaps $ 76 $ — $ 76 $ — $ 76 Total non-VIE derivative assets $ 76 $ — $ 76 $ — $ 76 Derivative Liabilities: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 94 — 94 93 1 Futures contracts — — — — — Total non-VIE derivative liabilities $ 95 $ — $ 95 $ 93 $ 2 Variable Interest Entities Derivative Assets: Currency swaps $ 38 $ — $ 38 $ — $ 38 Total VIE derivative assets $ 38 $ — $ 38 $ — $ 38 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,940 $ — $ 1,940 $ — $ 1,940 Total VIE derivative liabilities $ 1,940 $ — $ 1,940 $ — $ 1,940 Amounts representing 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 Unaudited Consolidated Balance Sheets. The amounts representing the right to reclaim cash collateral and posted margin, recorded in “Other assets” were $6 and $13 as of March 31, 2022 and December 31, 2021, respectively. There were no amounts held representing an obligation to return cash collateral as of March 31, 2022 and December 31, 2021. 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, 2022 and 2021: Location of Gain (Loss) Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) Three Months Ended March 31, 2022 2021 Non-VIE derivatives: Interest rate swaps Net gains (losses) on derivative contracts $ 30 $ 17 Futures contracts Net gains (losses) on derivative contracts 27 8 Total Non-VIE derivatives $ 57 $ 25 Variable Interest Entities: Currency swaps Income (loss) on variable interest entities $ 6 $ (2) Interest rate swaps Income (loss) on variable interest entities 5 97 Total Variable Interest Entities 11 96 Total derivative contracts $ 68 $ 121 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 AAC. The outstanding credit derivative transaction at March 31, 2022, does not 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. Our credit derivatives were written on a “pay-as-you-go” basis. Similar to an insurance policy, 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 principal notional outstanding for credit derivative contracts was $196 and $201 as of March 31, 2022 and December 31, 2021, 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, US Treasury futures contracts and other derivatives, to provide a partial economic hedge against the effects of rising interest rates elsewhere in the Legacy Financial Guarantee Insurance segment, 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, 2022 and December 31, 2021, the notional amounts of AFS’s derivatives are as follows: Notional Type of Derivative March 31, December 31, Interest rate swaps—pay-fixed/receive-variable $ 1,262 $ 1,275 US Treasury futures contracts—short 470 470 Interest rate swaps—receive-fixed/pay-variable 181 185 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, 2022 and December 31, 2021, were as follows: Notional Type of VIE Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 1,185 $ 1,221 Interest rate swaps—pay-fixed/receive-variable 1,020 1,069 Currency swaps 256 272 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 AAC is no longer rated by an independent rating agency, counterparties have the right to terminate the swap positions. As of March 31, 2022 and December 31, 2021, the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $73 and $93, respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $87 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 at fair value on March 31, 2022, 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. |
Intangible Assets
Intangible Assets | 3 Months Ended |
Mar. 31, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Intangible Assets Disclosure [Text Block] | 8. INTANGIBLE ASSETS Insurance intangible asset: The insurance intangible asset and accumulated amortization are included in the Consolidated Balance Sheets, as shown below. March 31, December 31, Finite-lived Intangible Assets: Insurance intangible: Gross carrying value $ 1,264 $ 1,278 Accumulated amortization 961 958 Net insurance intangible asset 303 320 Other intangibles: Gross carrying value $ 36 36 Accumulated amortization 3 3 Net other intangible assets 32 33 Total finite-lived intangible assets 336 353 Indefinite-lived Intangible Assets: Insurance licenses 14 9 Total intangible assets $ 350 362 Amortization Expense: Amortization expense is included in the Consolidated Statements of Total Comprehensive Income (Loss), as shown below. Three Months Ended March 31, 2022 2021 Insurance amortization expense $ 14 $ 19 Other amortization expense 1 1 Total $ 14 $ 19 The estimated future amortization expense for finite-lived intangible assets is as follows: Amortization expense Insurance Intangible Asset (1) Other Intangible Assets (1) Total 2022 (Nine months) $ 24 $ 2 $ 26 2023 30 3 32 2024 27 3 30 2025 25 3 27 2026 22 2 25 Thereafter 176 20 196 |
Revenue Recognition and Deferre
Revenue Recognition and Deferred Revenue | 3 Months Ended |
Mar. 31, 2022 | |
Revenue Recognition and Deferred Revenue [Abstract] | |
Revenue from Contract with Customer | The following table presents the Insurance Distribution business operations revenues recognized in accordance with the Revenue from Contracts with Customers Topic of the ASC disaggregated by policy type for the affected periods: Three Months Ended March 31, Employer Stop Loss Affinity Other Total 2022 $ 4 $ 5 $ — $ 9 2021 $ 3 $ 4 $ — $ 7 |
Comprehensive Income
Comprehensive Income | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Comprehensive Income | 11. 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, 2022: Beginning Balance $ 154 $ 4 $ (100) $ (1) $ 58 Other comprehensive income (loss) before reclassifications (104) — (23) — (127) Amounts reclassified from accumulated other comprehensive income (loss) (1) — — — (1) Net current period other comprehensive income (loss) (105) — (23) — (127) Balance at March 31, 2022 $ 49 $ 4 $ (123) $ (1) $ (70) Three Months Ended March 31, 2021: Beginning Balance $ 166 $ 5 $ (92) $ — $ 79 Other comprehensive income (loss) before reclassifications (21) — 6 — (15) Amounts reclassified from accumulated other comprehensive income (loss) (3) — — (1) (4) Net current period other comprehensive income (loss) (24) — 6 (1) (18) Balance at March 31, 2021 $ 142 $ 5 $ (86) $ (1) $ 61 (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 Amount Reclassified from Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, 2022 2021 Unrealized Gains (Losses) on Available-for-Sale Securities $ (1) $ (2) Net realized investment gains (losses) — (1) Provision for income taxes $ (1) $ (3) 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 $ 1 $ (1) Credit risk changes of fair value option liabilities — — Provision for income taxes $ — $ (1) Net of tax and noncontrolling interest Total reclassifications for the period $ (1) $ (3) Net of tax and noncontrolling interest |
Net Income Per Share
Net Income Per Share | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
Net Income Per Share | 12. NET INCOME PER SHARE As of March 31, 2022, 46,545,232 shares of AFG's common stock (par value $0.01) and warrants entitling holders to acquire up to 4,877,617 shares of new common stock at an exercise price of $16.67 per share were issued and outstanding. Common shares outstanding increased by 241,093 during the three months ended March 31, 2022, primarily due to settlements of employee restricted and performance stock units. Share Repurchases On March 29, 2022, AFG's Board of Directors approved a share repurchase program authorizing up to $20 in share repurchases, with an expiration date of March 31, 2024, which may be terminated at any time. As of March 31, 2022, no shares were repurchased under this program. From April 1, 2022, through May 10, 2022, AFG repurchased 1,505,316 shares for $13.2 with an average purchase price of $8.78 per share. On May 5, 2022, the Board of Directors authorized an additional $15 in share repurchase bringing the total unused authorized amount to $21.8. Earnings Per Share Calculation The numerator of the basic and diluted earnings per share computation represents net income (loss) attributable to common stockholders adjusted by the retained earnings impact of the noncontrolling adjustment to redemption value under ASC 480. The redemption value adjustment is further described in the Redeemable Noncontrolling Interest section of 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, 2021. The following table provides a reconciliation of net income attributable to common stockholders to the numerator in the basic and diluted earnings per share calculation, together with the resulting earnings per share amounts: Three Months Ended March 31, 2022 2021 Net income attributable to common stockholders $ 2 $ 17 Adjustment to redemption value (ASC 480) — (13) Numerator of basic and diluted EPS $ 2 $ 4 Per Share: Basic $ 0.04 $ 0.08 Diluted $ 0.04 $ 0.08 The denominator of the basic earnings per share computation represents the weighted average common shares outstanding plus vested restricted stock units (together, "Basic Weighted Average Shares Outstanding"). The denominator of diluted earnings per share adjusts the basic weighted average shares outstanding for all potential dilutive common shares outstanding during the period. All potential dilutive common shares outstanding consider common stock deliverable pursuant to warrants, unvested restricted stock units and performance stock units granted under existing compensation plans. The following table provides a reconciliation of the weighted average shares denominator used for basic net income per share to the denominator used for diluted net income per share: Three Months Ended March 31, 2022 2021 Basic weighted average shares outstanding denominator 46,731,459 46,314,049 Effect of potential dilutive shares : Warrants — 214,904 Restricted stock units 82,066 121,215 Performance stock units (1) 546,206 207,896 Diluted weighted average shares outstanding denominator 47,359,731 46,858,064 Anti-dilutive shares excluded from the above reconciliation: Warrants 4,877,617 — Restricted stock units 253,828 165,529 Performance stock units (2) — — |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | 13. 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 2017 United Kingdom 2018 Italy 2017 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 its 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, 2022 2021 U.S. $ (1) $ 17 Foreign 4 2 Total $ 3 $ 19 Provision (Benefit) for Income Taxes The components of the provision for income taxes were as follows: Three Months Ended March 31, 2022 2021 Current taxes U. S. federal $ — $ — U.S. state and local — 2 Foreign 1 3 Total Current taxes 2 5 Deferred taxes Foreign (1) (3) Total Deferred taxes (1) (3) Provision for income taxes $ — $ 2 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 14. COMMITMENTS AND CONTINGENCIES The following commitments and contingencies provide an update of those discussed in Note 19: 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, 2021, and should be read in conjunction with the complete descriptions provided in the aforementioned Form 10-K. Litigation Against Ambac Monterey Bay Military Housing, LLC, et al. v. Ambac Assurance Corporation, et al. (United States District Court, Southern District of New York, Case No. 1:19-cv-09193-PGG, transferred on October 4, 2019 from the United States District Court, Northern District of California, San Jose Division, Case No. 17-cv-04992-BLF, filed August 28, 2017). Plaintiffs, the corporate developers of various military housing projects, filed an amended complaint on October 27, 2017 against AAC, a former employee of AAC, and certain unaffiliated persons and entities, asserting claims for (i) violation of 18 U.S.C §§ 1962(c) and 1962(d) (civil Racketeer Influenced and Corrupt Organizations Act (“RICO”) and conspiracy to commit civil RICO), (ii) breach of fiduciary duty, (iii) aiding and abetting breach of fiduciary duty, (iv) fraudulent misrepresentation, (v) fraudulent concealment and (vi) conspiracy to commit fraud. (After the case was transferred to the SDNY, the court dismissed the claims against AAC and its former employee for breach of fiduciary duty and for aiding and abetting breach of AAC’s or its former employee’s fiduciary duty; dismissed two plaintiffs’ RICO claims against AAC and its former employee; and in all other respects allowed plaintiffs' claims to go forward.) On April 6, 2022, certain co-defendants filed a motion to sever the plaintiffs’ claims and to dismiss all claims except for claims asserted by the Monterey Bay plaintiffs. 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 AAC. 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 13, 2019, the District Court stayed the case; the case remained stayed until early 2020. On March 10, 2020, the District Court again ordered that this case remain stayed while the Oversight Board attempted to confirm the a plan of adjustment for the Commonwealth (as amended, the “Commonwealth Plan”). On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the issues raised in this adversary proceeding. Several parties appealed the District Court’s confirmation order to the First Circuit, including a number of teachers’ unions (the “Teachers’ Unions”), a number of credit unions (the “Credit Unions”), Suiza Dairy Corporation (“Suiza”), the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. On May 9, 2022, the Court dismissed this adversary proceeding, subject to a request for reinstatement if and when the First Circuit’s dispositions of the appeals concerning the confirmation order are final. 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). 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. On August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of an agreement with the Oversight Board with respect to the treatment of PRIFA bonds (the “PRIFA Settlement”), an agreement with the Oversight Board with respect to the treatment of bonds issued by the Puerto Rico Highways and Transportation Authority (“PRHTA”) and the Puerto Rico Convention Center District Authority (“PRCCDA”) (the “PRHTA/PRCCDA Settlement”), and the settlement related to general obligation and PBA bonds (“GO/PBA Settlement”). On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the issues raised in this adversary proceeding. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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). On January 16, 2020, the Oversight Board filed an adversary proceeding against monoline insurers insuring bonds issued by the 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. On August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the issues raised in this adversary proceeding. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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). On January 16, 2020, the Oversight Board 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 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. On August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the issues raised in this adversary proceeding. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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). 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 August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. On April 14, 2022, the Oversight Board filed a notice that this case has not been resolved by the Commonwealth Plan and should remain pending. On May 2, 2022, the Oversight Board filed a disclosure statement (the “PRHTA DS”) and plan of adjustment (the “PRHTA POA”) for PRHTA; if confirmed, the PRHTA POA would resolve this litigation. A hearing on approval of the PRHTA DS is scheduled for June 17, 2022. 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 April 1, 2022, the Vice Chancellor entered another thirty-day stay to facilitate good-faith settlement discussions. AAC’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. AAC has periodically received various regulatory inquiries and requests for information with respect to investigations and inquiries that such regulators are conducting. AAC 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 July 24, 2019, the District Court stayed the case; on March 10, 2020, the District Court again ordered that this case be stayed while the Oversight Board attempted to confirm the Commonwealth Plan. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves this litigation. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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”). 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 AAC. On April 11, 2019, AAC 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 July 24, 2019, the District Court stayed the case; the case remained stayed until early 2020. On March 10, 2020, the District Court again ordered that this matter remain stayed while the Oversight Board attempted to confirm the Commonwealth Plan. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the GO Bond Claim Objection. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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, AAC filed a motion seeking an order that the automatic stay does not apply to certain lawsuits AAC 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 AAC's collateral. On July 2 and September 9, 2020, the District Court denied the motion to lift the stay. On March 3, 2021, the First Circuit affirmed the District Court’s opinions denying the motion to lift the stay. On August 3, 2021, the District Court ordered that this matter be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan; on January 20, 2022, the Court entered an order approving the Title VI Qualifying Modification for PRIFA (the “PRIFA QM”). The Commonwealth Plan and the PRIFA QM resolve the PRIFA Stay Motion. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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, AAC, 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. On July 2 and September 9, 2020, the District Court denied the motion to lift the stay. On March 3, 2021, the First Circuit affirmed the District Court’s opinions denying the motion to lift the stay. On August 3, 2021, the District Court ordered that this matter be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves the PRHTA Stay Motion. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. 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, AAC, 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. On July 2, 2020, the District Court denied the motion to lift the stay on certain grounds, but found that the movants had stated a colorable claim that a certain account was the “Transfer Account” on which movants hold a lien. On September 9, 2020, the District Court denied the motion to lift the stay on the additional grounds, and found that a final determination on issues related to the identity of the Transfer Account would be made in the decision on the motions for summary judgment issued in the PRCCDA-related adversary proceeding, No. 20-ap-00004. On August 3, 2021, the District Court ordered that this matter be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan; on January 20, 2022, the Court entered an order approving the Title VI Qualifying Modification for PRCCDA (the “PRCCDA QM”). The Commonwealth Plan and the PRCCDA QM resolve the PRCCDA Stay Motion. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. Ambac Assurance Corporation v. Merrill Lynch, Pierce, Fenner & Smith Incorporated, Citigroup Global Markets Inc., Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC, Oriental Financial Services LLC; Popular Securities LLC; Raymond James & Associates, Inc., RBC Capital Markets LLC; Samuel A. Ramirez & Co. Inc., Santander Securities LLC; UBS Financial Services Inc.; and UBS Securities LLC (Commonwealth of Puerto Rico, Court of First Instance, San Juan Superior Court, Case No. SJ-2020-CV-01505, filed February 19, 2020). On April 27, 2022, the Commonwealth Court of Appeals affirmed the dismissal by the Commonwealth court of AAC’s Amended Complaint. Ambac Assurance Corporation v. Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 3:20-ap-00068, filed May 26, 2020). On May 26, 2020, AAC filed an adversary complaint before the Title III Court seeking (i) a declaration that titles I, II, and III of PROMESA are unconstitutional because they violate the Bankruptcy Clause of the U.S. Constitution (which requires all bankruptcy laws to be uniform) and (ii) dismissal of the pending Title III petitions. On August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves this litigation. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17-bk-03283), Objection of Ambac Assurance Corporation, Pursuant to Bankruptcy Code Section 502 and Bankruptcy Rule 3007, to Claim Asserted by the Official Committee of Retired Employees of the Commonwealth of Puerto Rico Appointed in the Commonwealth’s Title III Case (Dkt. No. 16884, filed June 3, 2021) (“Pension Claim Objection”). On June 3, 2021, AAC filed a claim objection in the Commonwealth’s Title III case challenging the amount of the claim filed by the Retiree Committee against the Commonwealth, which asserted pension liabilities of at least $58.5 billion. AAC contended that this asserted pension liability was overstated by at least $9 billion, and sought disallowance of the Retiree Committee’s proof of claim to the extent of the overstatement. On August 3, 2021, the District Court ordered that this case be stayed on the joint motion of the parties as a result of the PRIFA Settlement, the PRHTA/PRCCDA Settlement, and the GO/PBA Settlement. On January 18, 2022, the Court entered an order confirming the Commonwealth Plan. The Commonwealth Plan resolves this matter. Several parties appealed the District Court’s confirmation order to the First Circuit, including the Teachers’ Unions, the Credit Unions, Suiza, the Oversight Board, and certain individual creditors. On April 26, 2022, the First Circuit rejected the Teachers’ Unions’ challenges to the Commonwealth Plan and affirmed the confirmation order; on May 10, 2022, the Teachers’ Unions petitioned for rehearing en banc . All other appeals remain pending. In re Financial Oversight and Management Board for Puerto Rico (United States District Court, District of Puerto Rico, No. 1:17- bk-03567). On May 21, 2017, the Oversight Board filed a petition to adjust PRHTA’s debts under Title III of PROMESA, resulting in an automatic stay of litigation against PRHTA. On May 2, 2022, the Oversight Board filed the PRHTA DS and PRHTA POA. A hearing on approval of the PRHTA DS is scheduled for June 17, 2022. 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). On March 3, 2022, the CFPB filed its opposition to the petition filed on February 21, 2022 by the Trusts and several intervenors, including AAC, for permission to appeal to the Third Circuit the District Court’s order denying their motion to dismiss the amended complaint. On April 29, 2022, the Third Circuit granted the Trusts' and intervenors' petition. RMBS Litigation In connection with AAC’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, AAC has filed various lawsuits: • Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. First Franklin Financial Corporation, Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch Mortgage Investors, Inc. (Supreme Court of the State of New York, County of New York, Case No. 651217/2012, filed April 16, 2012). On March 17, 2022, the New York Court of Appeals decided an appeal in an unrelated RMBS case involving the issue of whether an RMBS sponsor can be held liable for damages for breaching loans that a trustee does not provide specific notice of pre-suit. The decision may affect one of the bases upon which AAC seeks recovery with respect to a significant portion of breaching loans. On April 27, 2022, the parties jointly requested an extension of the deadline for AAC to file a note of issue to June 23, 2022 (from April 28, 2022) and the deadline for summary judgment motions to August 22, 2022 (from June 27, 2022). • 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). On March 17, 2022, the New York Court of Appeals decided an appeal in an unrelated RMBS case involving the issue of whether an RMBS sponsor can be held liable for damages for breaching loans that a trustee does not provide specific notice of pre-suit. The decision is relevant to this action and may affect one of the bases upon which AAC seeks recovery with respect to a significant portion of breaching loans. • Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Nomura Credit & Capital, Inc. and Nomura Holding America Inc. (Supreme Court of the State of New York, County of New York, Case No. 651359/2013, filed on April 15, 2013). On March 21, 2022, each party filed an opposition to the motion for summary judgment filed by the other on December 21, 2021. • Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation v. Countrywide Home Loans, Inc. (Supreme Court of the State of New York, County of New York, Case No. 652321/2015, filed on June 30, 2015). On March 11, 2022, AAC filed a motion for leave to appeal to the New York Court of Appeals, to which Countrywide filed a response on March 28, 2022. • Ambac Assurance Corporation and the Segregated Account of Ambac Assurance Corporation v. Countrywide Home Loans, Inc., Countrywide Securities Corp., Countrywide Financial Corp., and Bank of America Corp. (Supreme Court of the State of New York, County of New York, Case No. 653979/2014, filed on December 30, 2014). On April 4, 2022, AAC filed its opposition to the motion for summary judgment that Countrywide filed on February 18, 2022, which was fully submitted as of May 4, 2022. • In the matter of HarborView Mortgage Loan Trust 2005-10 (Minnesota state court, Docket No. 27-TR-CV-17-32 (the “Minnesota Action”)). Trial was completed on May 6, 2022. Proposed findings of facts and conclusions of law and post-trial briefs are due on June 30, 2022, and the court will hear oral arguments on July 14, 2022. • Ambac Assurance Corporation v. U.S. Bank National Association |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Organization, Consolidation, Basis of Presentation, Business Description and Accounting Policies [Text Block] | 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. See Note 9. Variable Interest Entities |
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, 2021. 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, 2022, may not be indicative of the results that may be expected for the year ending December 31, 2022. The December 31, 2021, consolidated balance sheet was derived from audited financial statements. |
Foreign Currency Transactions and Translations Policy [Policy Text Block] | Foreign Currency: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 $(5) for the three months ended March 31, 2022 and 2021, 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. |
Noncontrolling Interest Disclosure | Redeemable Noncontrolling Interest: The acquisition by AFG of 80% of the ownership interests of Xchange is further described in Note 3. Business Combinations in the Notes to Consolidated Financial Statements included in Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021. Under the terms of the acquisition agreement, Ambac received a call option to purchase the remaining 20% of Xchange from the minority owners (i.e., noncontrolling interests) and the minority owners received a put option to sell the remaining 20% to Ambac. The call and put options are exercisable after different time periods elapse. Because the exercise of the put option is outside the control of Ambac, in accordance with the Distinguishing Liabilities from Equity Topic of the ASC, Ambac reports redeemable noncontrolling interests in the mezzanine section of its consolidated balance sheet. The redeemable noncontrolling interest is remeasured each period as the greater of: i. the carrying value under ASC 810, which attributes a portion of consolidated net income (loss) to the redeemable noncontrolling interest; and ii. the redemption value of the put option under ASC 480 as if it were exercisable at the end of the reporting period. Any increase (decrease) in the carrying amount of the redeemable noncontrolling interest as a result of adjusting to the redemption value of the put option is recorded as an offset to retained earnings. The impact of such differences on earnings per share are presented in Note 12. Net Income Per Share . Following is a rollforward of redeemable noncontrolling interest. Three Months Ended March 31, 2022 2021 Beginning balance $ 18 $ 7 Net income attributable to redeemable noncontrolling interest (ASC 810) — — Adjustment to redemption value (ASC 480) — 13 Ending balance $ 18 $ 20 |
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, 2022, the Company adopted the following accounting standard: Equity-classified Written Call Options In May 2021, the FASB issued ASU 2021-04, Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options . The ASU clarifies and reduces diversity in practice for an issuer's accounting for modifications or exchanges of equity-classified written call options (e.g. warrants) that remain equity-classified after the modification or exchange. The ASU requires an issuer to account for the modification or exchange based on the economic substance of the transaction. For example, if the modification or exchange is related to the issuance of debt or equity, any change in the fair value of the written call option would be accounted for as part of the debt issuance cost in accordance with the debt guidance or equity issuance cost in accordance with the equity guidance, respectively. The ASU did not have a consequential impact on Ambac's financial statements. Convertible Instruments and Contracts in an Entity's Own Equity In August 2020, the FASB issued ASU 2020-06, Accounting for Convertible Instruments and Contracts in an Entity's Own Equity . The ASU i) simplifies the accounting for convertible debt and convertible preferred stock by reducing the number of accounting models, and amends certain disclosures, ii) amends and simplifies the derivative scope exception guidance for contracts in an entity's own equity, including share-based compensation, and iii) amends the diluted earnings per share calculations for convertible instruments and contracts in an entity's own equity. The ASU did not have a consequential impact on 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 or is subsequent to March 12, 2020, or any date thereafter, but does not apply to contract modifications and other transactions entered into or evaluated after December 31, 2022. On April 20, 2022, the FASB issued a proposed ASU that would extend the sunset date to December 31, 2024 and make certain definitional changes, with feedback required by June 6, 2022. Management has not determined when it will adopt this ASU, and the impact on Ambac's financial statements is being evaluated. |
Segment Reporting (Policies)
Segment Reporting (Policies) | 3 Months Ended |
Mar. 31, 2022 | |
Segment Reporting [Abstract] | |
Segment Reporting, Policy | The Company reports its results of operations in three segments: Legacy Financial Guarantee Insurance, Specialty Property and Casualty Insurance and Insurance Distribution, separate from Corporate and Other, which is consistent with the manner in which the Company's chief operating decision maker ("CODM") reviews the business to assess performance and allocate resources. |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies Supplemental Cash Flow Information (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Supplemental Cash Flow Elements [Abstract] | |
Schedule of Cash Flow, Supplemental Disclosures [Table Text Block] | Supplemental Disclosure of Cash Flow Information Three Months Ended March 31, 2022 2021 Cash paid during the period for: Income taxes $ 2 $ 8 Interest on long-term debt 15 25 Non-cash investing and financing activities: Decrease in long-term debt as a result of surplus notes exchanges $ — $ 71 Exchange of investments in Puerto Rico bonds for new securities issued in the restructuring transactions 185 — March 31, 2022 2021 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 $ 60 $ 23 Restricted cash 7 16 Variable Interest Entity restricted cash 49 2 Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows $ 116 $ 42 |
Redeemable Noncontrolling Interest | Following is a rollforward of redeemable noncontrolling interest. Three Months Ended March 31, 2022 2021 Beginning balance $ 18 $ 7 Net income attributable to redeemable noncontrolling interest (ASC 810) — — Adjustment to redemption value (ASC 480) — 13 Ending balance $ 18 $ 20 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment | The following tables summarize the components of the Company’s total revenues and expenses, pretax income (loss), net income (loss), net income (loss) attributable to common shareholders and total assets by reportable business segment. Information provided below for “Corporate and Other” primarily relates to the operations of AFG, which will include investment income on its investment portfolio and costs to maintain the operations of AFG, including public company reporting, and business development costs for the acquisition and development of new business initiatives. Legacy Financial Guarantee Insurance Specialty Property & Casualty Insurance Insurance Distribution Corporate & Other Consolidated (2) Three Months Ended March 31, 2022 Revenues: Net premiums earned $ 13 $ 1 $ 15 Net investment income 5 — — 5 Net gains on derivative contracts 57 57 Commission income $ 9 9 Other revenues (1) 34 — — — 34 Total revenues (2) 109 2 9 — 119 Expenses: Loss and loss expenses 23 1 24 Operating expenses (3) 21 3 1 3 29 Sub-producer commissions (3) 5 5 Depreciation expense (3) — — — — — Intangible amortization 14 1 14 Interest expense 44 44 Total expenses (2) 102 4 6 3 116 Pretax income (loss) $ 6 $ (2) $ 2 $ (3) $ 3 Total assets (2) $ 11,075 $ 191 $ 97 $ 168 $ 11,531 Legacy Financial Guarantee Insurance Specialty Property & Casualty Insurance Insurance Distribution Corporate & Other Consolidated (2) Three Months Ended March 31, 2021 Revenues: Net premiums earned $ 14 $ — $ 14 Net investment income 49 — — 49 Net gains on derivative contracts 25 25 Commission income $ 7 7 Other revenues (1) 29 — — 4 33 Total revenues (2) 118 — 7 4 129 Expenses: Loss and loss expenses 8 — 8 Operating expenses (3) 17 1 1 10 29 Sub-producer commissions (3) 4 4 Depreciation expense (3) — — — — — Intangible amortization 19 1 19 Interest expense 50 50 Total expenses 94 1 5 10 110 Pretax income (loss) (2) $ 24 $ (1) $ 2 $ (6) $ 19 Total assets (2) $ 12,470 $ 108 $ 98 $ 165 $ 12,840 (1) Other revenues include the following line items on the Consolidated Statements of Total Comprehensive Income: Net investment gains (losses), including impairments, Net realized gains (losses) on extinguishment of debt, income (loss) on variable interest entities and other income (expense). (2) Inter-segment revenues and inter-segment pre-tax income (loss) amounts are insignificant and are not presented separately. Total assets noted in the Corporate and Other Column is net of AFG's investment in surplus notes issued by the Legacy Financial Guarantee Segment with fair values of $77 and $114 at March 31, 2022 and 2021 . (3) The Consolidated Statements of Comprehensive Income presents the sum of these items as Operating Expenses. |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022 and December 31, 2021, were as follows: Amortized Allowance for Credit Losses Gross Gross Estimated March 31, 2022: Fixed maturity securities: Municipal obligations $ 65 $ — $ 5 $ 1 $ 69 Corporate obligations 610 1 2 34 577 Foreign obligations 92 — — 4 88 U.S. government obligations 53 — — 2 51 Residential mortgage-backed securities 179 — 47 — 225 Collateralized debt obligations 121 — — 1 120 Other asset-backed securities (1) 232 — 20 — 252 1,352 1 73 42 1,383 Short-term 540 — — — 540 1,892 1 73 42 1,922 Fixed maturity securities pledged as collateral: U.S. government obligations 15 — — — 15 Short-term 99 — — — 99 114 — — — 114 Total available-for-sale investments $ 2,006 $ 1 $ 73 $ 43 $ 2,036 December 31, 2021: Fixed maturity securities: Municipal obligations $ 315 $ — $ 28 $ 3 $ 340 Corporate obligations 612 — 10 9 613 Foreign obligations 89 — — 2 87 U.S. government obligations 45 — 1 1 45 Residential mortgage-backed securities 182 — 70 — 252 Collateralized debt obligations 128 — — — 128 Other asset-backed securities (1) 234 — 32 — 265 1,605 — 141 16 1,730 Short-term 415 — — — 414 2,020 — 141 16 2,145 Fixed maturity securities pledged as collateral: U.S. government obligations 15 — — — 15 Short-term 105 — — — 105 120 — — — 120 Total available-for-sale investments $ 2,140 $ — $ 141 $ 16 $ 2,265 |
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, 2022, by contractual maturity, were as follows: Amortized Estimated Due in one year or less $ 683 $ 683 Due after one year through five years 431 416 Due after five years through ten years 317 300 Due after ten years 41 39 1,472 1,438 Residential mortgage-backed securities 179 225 Collateralized debt obligations 121 120 Other asset-backed securities 232 252 Total $ 2,005 $ 2,036 |
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, 2022 and December 31, 2021, did not have an allowance for credit losses under the CECL standard. This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at March 31, 2022 and December 31, 2021: Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross March 31, 2022: Fixed maturity securities: Municipal obligations $ 19 $ 1 $ 1 $ — $ 19 $ 1 Corporate obligations 349 21 117 13 466 34 Foreign obligations 36 1 51 3 87 4 U.S. government obligations 44 1 5 — 49 2 Residential mortgage-backed securities 16 — 1 — 17 — Collateralized debt obligations 111 1 9 — 120 1 Other asset-backed securities 6 — — — 6 — 580 26 184 16 764 42 Short-term 18 — 12 — 30 — 598 26 196 17 794 42 Fixed income securities, pledged as collateral: Short-term 15 — — — 15 — Total collateralized investments 15 — — — 15 — Total temporarily impaired securities $ 613 $ 26 $ 196 $ 17 $ 809 $ 43 Less Than 12 Months 12 Months or More Total Fair Value Gross Fair Value Gross Fair Value Gross December 31, 2021: Fixed maturity securities: Municipal obligations $ 117 $ 3 $ 2 $ — $ 118 $ 3 Corporate obligations 363 8 17 1 380 9 Foreign obligations 75 2 3 — 78 2 U.S. government obligations 25 — 2 — 27 1 Residential mortgage-backed securities — — 1 — 2 — Collateralized debt obligations 68 — 3 — 71 — Other asset-backed securities 6 — — — 6 — 654 14 28 1 682 16 Short-term 114 — 13 — 128 — 768 14 41 1 810 16 Fixed income securities, pledged as collateral: U. S. government obligations 15 — — — 15 — Total collateralized investments 15 — — — 15 — Total temporarily impaired securities $ 783 $ 14 $ 41 $ 1 $ 825 $ 16 |
Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments | The following table details amounts included in net investment gains (losses) and impairments included in earnings for the affected periods: Three Months Ended March 31, 2022 2021 Gross realized gains on securities $ 23 $ 7 Gross realized losses on securities (15) (1) Foreign exchange gains (losses) 3 (4) Credit impairments (1) — Intent / requirement to sell impairments — — Net investment gains (losses), including impairments $ 10 $ 2 |
Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities | The following table represents the fair value and weighted-average underlying rating of insured securities in Ambac's investment portfolio at March 31, 2022 and December 31, 2021, respectively: Municipal Mortgage Total Weighted (1) March 31, 2022: Ambac Assurance Corporation $ 47 $ 403 $ 451 B Assured Guaranty Municipal Corporation 1 — 1 A Total $ 48 $ 403 $ 451 B December 31, 2021: Ambac Assurance Corporation $ 316 $ 439 $ 754 B National Public Finance Guarantee Corporation 2 — 2 BBB- Assured Guaranty Municipal Corporation 1 — 1 A- Total $ 318 $ 439 $ 757 B (1) Ratings are based on the lower of Standard & Poor’s or Moody’s rating. If unavailable, Ambac’s internal rating is used. |
Equity Method Investments [Table Text Block] | In addition to these investments, Ambac has unfunded commitments of $70 to private credit and private equity funds at March 31, 2022. Fair Value Class of Funds March 31, December 31, 2021 Redemption Frequency Redemption Notice Period Real estate properties (1) $ 40 $ 33 quarterly 10 business days Hedge funds (2) 196 216 quarterly or semi-annually 90 days High yields and leveraged loans (3) 88 78 daily 0 - 30 days Private credit (4) 87 88 quarterly if permitted 180 days if permitted Insurance-linked investments (5) 1 2 see footnote (9) see footnote (9) Equity market investments (6) (10) 91 98 daily or quarterly 0 - 90 days Investment grade floating rate income (7) 90 107 weekly 0 days Private equity (8) 41 37 quarterly if permitted 90 days if permitted Emerging markets debt (9) (10) 17 24 daily 0 days Total equity investments in pooled funds $ 652 $ 683 (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 across a range of asset types. (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 returns 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. This investment is restricted in connection with the unwind of certain insurance linked exposures. Ambac has redeemed its investment to the extent permitted by the fund. (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. (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. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022 and December 31, 2021, 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, 2022: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 188 $ 188 $ — $ 188 $ — Corporate obligations 577 577 1 564 12 Foreign obligations 88 88 88 — — U.S. government obligations 51 51 51 — — Residential mortgage-backed securities 225 225 — 225 — Collateralized debt obligations 120 120 — 120 — Other asset-backed securities 252 252 — 178 74 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 99 99 99 — — Short term investments 540 540 526 13 — Other investments (1) 660 652 92 — — Cash, cash equivalents and restricted cash 67 67 67 — — Derivative assets: Interest rate swaps—asset position 56 56 — 3 52 Other assets-Loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,131 3,131 — — 3,131 Fixed maturity securities: Municipal obligation, trading 114 114 — 114 — Fixed maturity securities: Municipal obligations, available-for-sale 119 119 — 119 — Restricted cash 49 49 49 — — Loans 2,469 2,469 — — 2,469 Derivative assets: Currency swaps-asset position 42 42 — 42 — Total financial assets $ 8,864 $ 8,856 $ 988 $ 1,567 $ 5,741 Financial liabilities: Long term debt, including accrued interest $ 2,834 $ 2,315 $ — $ 2,296 $ 19 Derivative liabilities: Credit derivatives 1 1 — — 1 Interest rate swaps—liability position 75 75 — 75 — Futures contracts 1 1 1 — — Liabilities for net financial guarantees written (2) (970) (197) — — (197) Variable interest entity liabilities: Long-term debt (includes $3,701 at fair value) 4,124 4,161 — 4,001 160 Derivative liabilities: Interest rate swaps—liability position 1,866 1,866 — 1,866 — Total financial liabilities $ 7,930 $ 8,221 $ 1 $ 8,238 $ (17) Carrying Total Fair Fair Value Measurements Categorized as: December 31, 2021: Level 1 Level 2 Level 3 Financial assets: Fixed maturity securities: Municipal obligations $ 340 $ 340 $ — $ 340 $ — Corporate obligations 613 613 1 600 12 Foreign obligations 87 87 87 — — U.S. government obligations 45 45 45 — — Residential mortgage-backed securities 252 252 — 252 — Collateralized debt obligations 128 128 — 128 — Other asset-backed securities 265 265 — 187 79 Fixed maturity securities, pledged as collateral: U.S. government obligations 15 15 15 — — Short-term 105 105 105 — — Short term investments 414 414 369 46 — Other investments (1) 690 683 106 — — Cash, cash equivalents and restricted cash 21 21 21 1 — Derivative assets: Interest rate swaps—asset position 76 76 — 5 71 Other assets - equity in sponsored VIE — — — — — Other assets-loans 3 3 — — 3 Variable interest entity assets: Fixed maturity securities: Corporate obligations, fair value option 3,320 3,320 — — 3,320 Fixed maturity securities: Municipal obligations, available-for-sale 136 136 — 136 — Restricted cash 2 2 2 — — Loans 2,718 2,718 — — 2,718 Derivative assets: Currency swaps—asset position 38 38 — 38 — Total financial assets $ 9,268 $ 9,261 $ 750 $ 1,732 $ 6,202 Financial liabilities: Long term debt, including accrued interest $ 2,806 $ 2,598 $ — $ 2,575 $ 22 Derivative liabilities: Credit derivatives — — — — — Interest rate swaps—liability position 94 94 — 94 — Futures contracts — — — — — Liabilities for net financial guarantees written (2) (866) (112) — — (112) Variable interest entity liabilities: Long-term debt (includes $4,056 at fair value) 4,216 4,255 — 4,086 169 Derivative liabilities: Interest rate swaps—liability position 1,940 1,940 — 1,940 — Total financial liabilities $ 8,190 $ 8,775 $ — $ 8,695 $ 79 (1) Excluded from the fair value measurement categories in the table above are investment funds of $560 and $577 as of March 31, 2022 and December 31, 2021, respectively, which are measured using NAV as a practical expedient. Also excluded from the fair value measurements in the table above are equity securities with a carrying value of $8 and $8 as of March 31, 2022 and December 31, 2021, respectively, that do not have readily determinable fair values and have carrying amounts determined using the measurement alternative. (2) The carrying value of net financial guarantees written includes financial guarantee amounts in 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 2022 and 2021. 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 Investments (1) Other (2) Derivatives Investments Loans Total Three Months Ended March 31, 2022: Balance, beginning of period $ 91 $ — $ 70 $ 3,320 $ 2,718 $ 6,199 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (93) (96) (204) Included in other comprehensive income (4) — — (96) (76) (176) Purchases — — — — — — Settlements (1) — (2) — (78) (80) Balance, end of period $ 86 $ — $ 52 $ 3,131 $ 2,469 $ 5,738 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 $ — $ — $ (17) $ (93) $ (96) $ (204) 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 $ (4) $ — $ — $ (96) $ (76) $ (176) Three Months Ended March 31, 2021: Balance, beginning of period $ 78 $ 1 $ 84 $ 3,215 $ 2,998 $ 6,376 Total gains/(losses) realized and unrealized: Included in earnings — — (17) (138) 9 (145) Included in other comprehensive income (2) — — 26 24 49 Purchases — — — — — — Settlements — — (2) — (84) (86) Balance, end of period $ 76 $ 1 $ 65 $ 3,103 $ 2,948 $ 6,194 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 $ — $ — $ (17) $ (138) $ 9 $ (145) 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 $ (2) $ — $ — $ 26 $ 24 $ 49 (1) Investments classified as Level 3 consist of a single other asset-backed security. (2) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE. |
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 Income Other Three Months Ended March 31, 2022: Total gains (losses) included in earnings for the period $ — $ (17) $ (188) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (188) — Three Months Ended March 31, 2021: Total gains (losses) included in earnings for the period $ — $ (17) $ (129) $ — Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date — (17) (129) — |
Insurance Contracts (Tables)
Insurance Contracts (Tables) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Insurance [Line Items] | ||
Schedule of Loss And Loss Expense Reserves And Subrogation Recoverable Table [Table Text Block] | Ambac’s loss and loss expense reserves (“loss reserves”) are based on management’s on-going review of the insured portfolio. Below are the components of the loss and loss expense reserves and the subrogation recoverable asset at at March 31, 2022 and December 31, 2021: Legacy Financial Guarantee Specialty Property and Casualty Present Value of Expected Net Cash Flows Balance Sheet Line Item Gross Loss Claims and Recoveries Unearned Gross Loss March 31, 2022: Loss and loss expense reserves $ 36 $ 1,168 $ (95) $ (42) $ 1,067 Subrogation recoverable — 52 (1,766) — (1,714) Totals $ 36 $ 1,221 $ (1,861) $ (42) $ (647) December 31, 2021: Loss and loss expense reserves $ 32 $ 1,749 $ (155) $ (56) $ 1,570 Subrogation recoverable — 88 (2,180) — (2,092) Totals $ 32 $ 1,837 $ (2,335) $ (56) $ (522) | |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | The estimated future amortization expense for finite-lived intangible assets is as follows: Amortization expense Insurance Intangible Asset (1) Other Intangible Assets (1) Total 2022 (Nine months) $ 24 $ 2 $ 26 2023 30 3 32 2024 27 3 30 2025 25 3 27 2026 22 2 25 Thereafter 176 20 196 | |
Premiums Receivable by Risk Classification Code [Table Text Block] | Below is the amortized cost basis of financial guarantee premium receivables by risk classification code and asset class as of March 31, 2022 and December 31, 2021: Surveillance Categories as of March 31, 2022 Type of Guaranteed Bond I IA II III IV Total Public Finance: Housing revenue $ 147 $ 3 $ 5 $ — $ — $ 155 Other 2 — — — — 2 Total Public Finance 149 3 5 — — 157 Structured Finance: Mortgage-backed and home equity 1 — — 2 11 15 Structured insurance 9 — — — — 9 Student loan 1 1 — 8 — 11 Other 6 — — — — 6 Total Structured Finance 18 1 — 11 11 41 International: Sovereign/sub-sovereign 74 8 — 10 — 92 Investor-owned and public utilities 21 — — — — 21 Other 5 — — — — 5 Total International 100 8 — 10 — 118 Total (1) (2) $ 267 $ 12 $ 5 $ 21 $ 11 $ 316 Surveillance Categories as of December 31, 2021 Type of Guaranteed Bond I IA II III IV Total Public Finance: Housing revenue $ 149 $ 3 $ 5 $ — $ — $ 157 Other 2 — — — — 2 Total Public Finance 151 3 5 — — 159 Structured Finance: Mortgage-backed and home equity 1 — 1 2 12 16 Student loan 1 1 — 9 — 12 Structured insurance 10 — — — — 10 Other 7 — — — — 7 Total Structured Finance 19 1 1 12 12 45 International: Sovereign/sub-sovereign 74 8 — 11 — 93 Investor-owned and public utilities 28 — — — — 28 Other 5 — — — — 5 Total International 107 8 — 11 — 125 Total (1) (2) $ 277 $ 12 $ 6 $ 22 $ 12 $ 329 (1) Excludes specialty property and casualty premium receivables of $9 and $2 at March 31, 2022 and December 31, 2021, respectively . (2) The underwriting origination dates for all policies included are greater than five years prior to the current reporting date. | |
Premium Receivable, Allowance for Credit Loss [Table Text Block] | Below is a rollforward of the premium receivable allowance for credit losses as of March 31, 2022 and 2021: Three Months Ended March 31, 2022 2021 Beginning balance $ 9 $ 17 Current period provision (benefit) (1) (4) Write-offs of the allowance — — Recoveries of previously written-off amounts — — Ending balance (1) $ 8 $ 13 (1) At March 31, 2022 and 2021, $1 and $— of premiums were past due. | |
Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance | Below is the loss and loss reserve expense roll-forward, net of subrogation recoverable and reinsurance, for the affected periods: Three Months Ended March 31, 2022 2021 Beginning gross loss and loss expense reserves $ (522) $ (397) Reinsurance recoverable 55 33 Beginning balance of net loss and loss expense reserves (578) (430) Losses and loss expenses (benefit): Current year 1 — Prior years 23 8 Total (1) (2) 24 8 Loss and loss expenses paid (recovered): Current year — — Prior years (150) 25 Total (150) 25 Foreign exchange effect (1) — Ending net loss and loss expense reserves (404) (447) Impact of VIE consolidation (292) — Reinsurance recoverable (3) 49 33 Ending gross loss and loss expense reserves $ (647) $ (414) (1) Total losses and loss expenses (benefit) includes $(7) and $(1) for the three months ended March 31, 2022 and 2021, 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 incurred associated with changes in estimated R&W's for the three months ended March 31, 2022 and 2021, was $224 and $3, 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 $0 and $0 as of March 31, 2022 and 2021, respectively, related to previously presented loss and loss expenses and subrogation. | |
Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable | The tables below summarize information related to policies currently included in Ambac’s loss and loss expense reserves or subrogation recoverable at March 31, 2022 and December 31, 2021, excluding consolidated VIEs. Gross par exposures include capital appreciation bonds which are reported at the par amount at the time of issuance of the insurance policy as opposed to the current accreted value of the bond. The weighted average risk-free rate used to discount loss reserves at March 31, 2022 and December 31, 2021,was 2.4% and 1.2%, respectively. Surveillance Categories as of March 31, 2022 I IA II III IV V Total Number of policies 34 14 8 14 124 5 199 Remaining weighted-average contract period (in years) (1) 9 17 14 15 14 7 14 Gross insured contractual payments outstanding: Principal $ 1,297 $ 305 $ 457 $ 1,265 $ 2,105 $ 40 $ 5,469 Interest 608 348 308 174 683 22 2,143 Total $ 1,905 $ 653 $ 766 $ 1,439 $ 2,788 $ 62 $ 7,612 Gross undiscounted claim liability $ 8 $ 5 $ 45 $ 572 $ 867 $ 62 $ 1,559 Discount, gross claim liability (1) (1) (5) (155) (208) (7) (377) Gross claim liability before all subrogation and before reinsurance 7 5 40 416 659 55 1,182 Less: Gross RMBS subrogation (2) — — — — (1,537) — (1,537) Discount, RMBS subrogation — — — — 35 — 35 Discounted RMBS subrogation, before reinsurance — — — — (1,502) — (1,502) Less: Gross other subrogation (3) — (5) — (33) (350) (12) (401) Discount, other subrogation — — — 4 34 3 41 Discounted other subrogation, before reinsurance — (5) — (29) (316) (10) (360) Gross claim liability, net of all subrogation and discounts, before reinsurance 7 — 40 387 (1,159) 45 (680) Less: Unearned premium revenue (5) (3) (5) (12) (16) (1) (42) Plus: Loss expense reserves 1 — — 3 35 — 39 Gross loss and loss expense reserves $ 3 $ (3) $ 35 $ 378 $ (1,140) $ 44 $ (683) Reinsurance recoverable reported on Balance Sheet (4) $ 1 $ — $ 9 $ 22 $ (18) $ — $ 14 (1) Remaining weighted-average contract period is weighted based on projected gross claims over the lives of the respective policies. (2) RMBS subrogation represents Ambac’s estimate of subrogation recoveries from RMBS transaction sponsors for representation and warranty ("R&W") breaches. (3) Other subrogation represents subrogation related to excess spread and other contractual cash flows on public finance and structured finance transactions including RMBS. (4) Reinsurance recoverable reported on the Balance Sheet includes reinsurance recoverables of $14 related to future loss and loss expenses and $0 related to presented loss and loss expenses and subrogation. Surveillance Categories as of December 31, 2021 I IA II III IV V Total Number of policies 34 15 7 14 130 5 205 Remaining weighted-average contract period (in years) (1) 9 12 14 15 13 7 14 Gross insured contractual payments outstanding: Principal $ 904 $ 840 $ 459 $ 1,300 $ 2,759 $ 40 $ 6,302 Interest 589 612 308 169 1,284 22 2,984 Total $ 1,493 $ 1,452 $ 767 $ 1,469 $ 4,043 $ 62 $ 9,286 Gross undiscounted claim liability $ 5 $ 16 $ 45 $ 544 $ 1,423 $ 62 $ 2,095 Discount, gross claim liability — (1) (3) (109) (185) (4) (303) Gross claim liability before all subrogation and before reinsurance 5 15 42 435 1,238 57 1,792 Less: Gross RMBS subrogation (2) — — — — (1,737) — (1,737) Discount, RMBS subrogation — — — — 7 — 7 Discounted RMBS subrogation, before reinsurance — — — — (1,730) — (1,730) Less: Gross other subrogation (3) — (5) — (33) (583) (12) (633) Discount, other subrogation — — — 2 24 2 28 Discounted other subrogation, before reinsurance — (5) — (31) (559) (10) (605) Gross claim liability, net of all subrogation and discounts, before reinsurance 5 10 42 404 (1,051) 47 (543) Less: Unearned premium revenue (3) (10) (5) (14) (24) (1) (56) Plus: Loss expense reserves 1 — — 4 40 — 45 Gross loss and loss expense reserves $ 3 $ 1 $ 38 $ 394 $ (1,036) $ 46 $ (554) Reinsurance recoverable reported on Balance Sheet (4) $ 1 $ 1 $ 10 $ 22 $ (11) $ — $ 23 (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 $24 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 | The reduction in recorded RMBS R&W recoveries since December 31, 2021, is primarily attributable to management’s view of the effect on certain of AAC’s R&W litigations of the March 17, 2022 decision of the New York Court of Appeals in the case entitled U.S. Bank National Association v. DLJ Mortgage Capital, Inc. relating to Home Equity Asset Trust 2007-1, a residential mortgage-backed securities trust. The decision is relevant to AAC's breach-of-contract cases relating to its insured RMBS transactions and may affect one of the bases upon which AAC seeks recovery with respect to a significant portion of breaching loans in AAC's RMBS cases. However, management believes there remain other alternative paths to recovery for such breaching loans. | |
Effects of Reinsurance | The effect of reinsurance on premiums written and earned was as follows: Three Months Ended March 31, 2022 2021 Written Earned Written Earned Direct $ 30 $ 23 $ (2) $ 17 Assumed — — — — Ceded 18 8 7 3 Net premiums $ 12 $ 15 $ (9) $ 14 The following table summarizes net premiums earned by location of risk: Three Months Ended March 31, 2022 2021 United States $ 9 $ 7 United Kingdom 4 3 Other international 1 3 Total $ 15 $ 14 | |
Premiums Receivable for Financial Guarantees | Below is the gross premium receivable roll-forward (direct and assumed contracts) for the affected periods: Three Months Ended March 31, 2022 2021 Beginning premium receivable $ 320 $ 370 Premium receipts (15) (12) Adjustments for changes in expected and contractual cash flows for contracts (1) 3 (8) Accretion of premium receivable discount for contracts 2 2 Changes to allowance for credit losses 1 4 Other adjustments (including foreign exchange) (3) — Ending premium receivable (2) $ 308 $ 356 (1) Adjustments for changes in expected and contractual cash flows primarily due to indexation 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, 2022 and 2021, premium receivables include British Pounds of $101 (£77) and $122 (£89), respectively, and Euros of $16 (€15) and $21 (€18), respectively. | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period | The following table summarizes the future gross undiscounted premiums to be collected and future premiums earned, net of reinsurance at March 31, 2022: Future Premiums Collected (1) Future (2) Three months ended: June 30, 2022 $ 8 $ 6 September 30, 2022 9 6 December 31, 2022 6 6 Twelve months ended: December 31, 2023 30 24 December 31, 2024 29 23 December 31, 2025 28 22 December 31, 2026 27 22 Five years ended: December 31, 2031 115 89 December 31, 2036 77 55 December 31, 2041 34 22 December 31, 2046 16 9 December 31, 2051 5 3 December 31, 2056 — — Total $ 384 $ 288 (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, 2021. 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. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022 and December 31, 2021: Gross Gross Net Amounts Gross Amount Net March 31, 2022: Derivative Assets: Interest rate swaps $ 56 $ — $ 55 $ — $ 55 Total non-VIE derivative assets $ 56 $ — $ 55 $ — $ 55 Derivative Liabilities: Credit derivatives $ 1 $ — $ 1 $ — $ 1 Interest rate swaps 75 — 74 73 2 Futures contracts 1 — 1 — 1 Total non-VIE derivative liabilities $ 76 $ — $ 76 $ 73 $ 3 Variable Interest Entities Derivative Assets: Currency swaps $ 42 $ — $ 42 $ — $ 42 Total VIE derivative assets $ 42 $ — $ 42 $ — $ 42 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,866 $ — $ 1,866 $ — $ 1,866 Total VIE derivative liabilities $ 1,866 $ — $ 1,866 $ — $ 1,866 December 31, 2021: Derivative Assets: Interest rate swaps $ 76 $ — $ 76 $ — $ 76 Total non-VIE derivative assets $ 76 $ — $ 76 $ — $ 76 Derivative Liabilities: Credit derivatives $ — $ — $ — $ — $ — Interest rate swaps 94 — 94 93 1 Futures contracts — — — — — Total non-VIE derivative liabilities $ 95 $ — $ 95 $ 93 $ 2 Variable Interest Entities Derivative Assets: Currency swaps $ 38 $ — $ 38 $ — $ 38 Total VIE derivative assets $ 38 $ — $ 38 $ — $ 38 Variable Interest Entities Derivative Liabilities: Interest rate swaps $ 1,940 $ — $ 1,940 $ — $ 1,940 Total VIE derivative liabilities $ 1,940 $ — $ 1,940 $ — $ 1,940 |
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, 2022 and 2021: Location of Gain (Loss) Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss) Three Months Ended March 31, 2022 2021 Non-VIE derivatives: Interest rate swaps Net gains (losses) on derivative contracts $ 30 $ 17 Futures contracts Net gains (losses) on derivative contracts 27 8 Total Non-VIE derivatives $ 57 $ 25 Variable Interest Entities: Currency swaps Income (loss) on variable interest entities $ 6 $ (2) Interest rate swaps Income (loss) on variable interest entities 5 97 Total Variable Interest Entities 11 96 Total derivative contracts $ 68 $ 121 |
Summary of Notional Amounts of AFS's Trading Derivative Products | As of March 31, 2022 and December 31, 2021, the notional amounts of AFS’s derivatives are as follows: Notional Type of Derivative March 31, December 31, Interest rate swaps—pay-fixed/receive-variable $ 1,262 $ 1,275 US Treasury futures contracts—short 470 470 Interest rate swaps—receive-fixed/pay-variable 181 185 |
Variable Interest Entity, Primary Beneficiary [Member] | |
Summary of Notional Amounts of AFS's Trading Derivative Products | The notional for VIE derivatives outstanding as of March 31, 2022 and December 31, 2021, were as follows: Notional Type of VIE Derivative March 31, December 31, Interest rate swaps—receive-fixed/pay-variable $ 1,185 $ 1,221 Interest rate swaps—pay-fixed/receive-variable 1,020 1,069 Currency swaps 256 272 |
Intangible Assets (Tables)
Intangible Assets (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Finite-Lived Intangible Assets [Line Items] | |
Finite-lived Intangible Assets Amortization Expense | Amortization expense is included in the Consolidated Statements of Total Comprehensive Income (Loss), as shown below. Three Months Ended March 31, 2022 2021 Insurance amortization expense $ 14 $ 19 Other amortization expense 1 1 Total $ 14 $ 19 |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | The estimated future amortization expense for finite-lived intangible assets is as follows: Amortization expense Insurance Intangible Asset (1) Other Intangible Assets (1) Total 2022 (Nine months) $ 24 $ 2 $ 26 2023 30 3 32 2024 27 3 30 2025 25 3 27 2026 22 2 25 Thereafter 176 20 196 |
Insurance Intangible Asset [Member] | |
Finite-Lived Intangible Assets [Line Items] | |
Schedule of Finite-Lived Intangible Assets | The insurance intangible asset and accumulated amortization are included in the Consolidated Balance Sheets, as shown below. March 31, December 31, Finite-lived Intangible Assets: Insurance intangible: Gross carrying value $ 1,264 $ 1,278 Accumulated amortization 961 958 Net insurance intangible asset 303 320 Other intangibles: Gross carrying value $ 36 36 Accumulated amortization 3 3 Net other intangible assets 32 33 Total finite-lived intangible assets 336 353 Indefinite-lived Intangible Assets: Insurance licenses 14 9 Total intangible assets $ 350 362 |
Special Purpose Entities, Inclu
Special Purpose Entities, Including Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Variable Interest Entity [Line Items] | |
Components of VIE Gain (Loss) [Table Text Block] | The following schedule details the components of Income (loss) on variable interest entities for the affected periods: Three Months Ended March 31, 2022 2021 Net change in fair value of VIE assets and liabilities reported under the fair value option $ (1) $ (1) Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss) (1) 1 Net change in fair value of VIE assets and liabilities reported in earnings under the fair value option (1) (1) Investment income (loss) (4) 2 Net realized investment gains (losses) on available-for-sale securities 1 1 Interest expense on long-term debt carried at par less unamortized cost (2) (1) Gain (loss) from consolidating VIEs 28 — Income (loss) on variable interest entities $ 22 $ — |
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, 2022 and December 31, 2021: Carrying Value of Assets and Liabilities Maximum (1) Insurance (2) Insurance (3) Net Derivative (4) March 31, 2022: Global structured finance: Mortgage-backed—residential $ 3,089 $ 1,637 $ 466 $ — Other consumer asset-backed 743 16 231 — Other 775 2 9 3 Total global structured finance 4,608 1,655 706 3 Global public finance 19,910 244 255 (1) Total $ 24,517 $ 1,899 $ 962 $ 2 December 31, 2021: Global structured finance: Mortgage-backed—residential $ 3,265 $ 1,929 $ 521 $ — Other consumer asset-backed 788 17 234 — Other 826 3 10 5 Total global structured finance 4,879 1,949 765 5 Global public finance 20,233 246 257 — Total $ 25,112 $ 2,195 $ 1,023 $ 5 (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 FG VIEs that are consolidated as a result of financial guarantees of Ambac UK and AAC: March 31, 2022 December 31, 2021 Ambac UK Ambac Assurance Total VIEs Ambac UK Ambac Assurance Total VIEs ASSETS: Fixed maturity securities, at fair value: Corporate obligations, fair value option $ 3,131 $ — $ 3,131 $ 3,320 $ — $ 3,320 Municipal obligations, trading — 114 114 — — — Municipal obligations, available-for-sale (1) — 119 119 — 136 136 Total FG VIE fixed maturity securities, at fair value 3,131 233 3,364 3,320 136 3,455 Restricted cash 1 48 49 1 1 2 Loans, at fair value (2) 2,469 — 2,469 2,718 — 2,718 Derivative assets 42 — 42 38 — 38 Other assets — 1 1 — 2 2 Total FG VIE assets $ 5,643 $ 283 $ 5,925 $ 6,077 $ 139 $ 6,216 LIABILITIES: Long-term debt: Long-term debt, at fair value (3) $ 3,701 $ — $ 3,701 $ 4,056 $ — $ 4,056 Long-term debt, at par less unamortized discount — 422 422 — 160 160 Total long-term debt 3,701 422 4,124 4,056 160 4,216 Derivative liabilities 1,866 — 1,866 1,940 — 1,940 Other liabilities — 3 3 — — — Total FG VIE liabilities $ 5,568 $ 426 $ 5,993 $ 5,996 $ 160 $ 6,156 Number of FG VIEs consolidated 5 3 8 5 1 6 (1) Available-for-sale FG VIE fixed maturity securities consist of municipal obligations with an amortized cost basis of $103 and $106, and aggregate gross unrealized gains of $17 and $29 at March 31, 2022 and December 31, 2021, respectively. All such securities had contractual maturities due after ten years as of March 31, 2022. (2) The unpaid principal balances of loan assets carried at fair value were $2,257 as of March 31, 2022 and $2,363 as of December 31, 2021. (3) The unpaid principal balances of long-term debt carried at fair value were $3,439 as of March 31, 2022 and $3,579 as of December 31, 2021. |
Revenue Recognition and Defer_2
Revenue Recognition and Deferred Revenue (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Revenue Recognition and Deferred Revenue [Abstract] | |
Disaggregation of Revenue | The following table presents the Insurance Distribution business operations revenues recognized in accordance with the Revenue from Contracts with Customers Topic of the ASC disaggregated by policy type for the affected periods: Three Months Ended March 31, Employer Stop Loss Affinity Other Total 2022 $ 4 $ 5 $ — $ 9 2021 $ 3 $ 4 $ — $ 7 |
Contract with Customer, Contract Asset, Contract Liability, and Receivable | The balances of contract assets and contract liabilities with customers were as follows: March 31, 2022 December 31, 2021 Commissions receivable $ 3 $ 2 Contract assets 6 4 Contract liabilities 1 1 |
Comprehensive Income (Tables)
Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022: Beginning Balance $ 154 $ 4 $ (100) $ (1) $ 58 Other comprehensive income (loss) before reclassifications (104) — (23) — (127) Amounts reclassified from accumulated other comprehensive income (loss) (1) — — — (1) Net current period other comprehensive income (loss) (105) — (23) — (127) Balance at March 31, 2022 $ 49 $ 4 $ (123) $ (1) $ (70) Three Months Ended March 31, 2021: Beginning Balance $ 166 $ 5 $ (92) $ — $ 79 Other comprehensive income (loss) before reclassifications (21) — 6 — (15) Amounts reclassified from accumulated other comprehensive income (loss) (3) — — (1) (4) Net current period other comprehensive income (loss) (24) — 6 (1) (18) Balance at March 31, 2021 $ 142 $ 5 $ (86) $ (1) $ 61 (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 Amount Reclassified from Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, 2022 2021 Unrealized Gains (Losses) on Available-for-Sale Securities $ (1) $ (2) Net realized investment gains (losses) — (1) Provision for income taxes $ (1) $ (3) 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 $ 1 $ (1) Credit risk changes of fair value option liabilities — — Provision for income taxes $ — $ (1) Net of tax and noncontrolling interest Total reclassifications for the period $ (1) $ (3) Net of tax and noncontrolling interest |
Net Income Per Share (Tables)
Net Income Per Share (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share | The following table provides a reconciliation of the weighted average shares denominator used for basic net income per share to the denominator used for diluted net income per share: Three Months Ended March 31, 2022 2021 Basic weighted average shares outstanding denominator 46,731,459 46,314,049 Effect of potential dilutive shares : Warrants — 214,904 Restricted stock units 82,066 121,215 Performance stock units (1) 546,206 207,896 Diluted weighted average shares outstanding denominator 47,359,731 46,858,064 Anti-dilutive shares excluded from the above reconciliation: Warrants 4,877,617 — Restricted stock units 253,828 165,529 Performance stock units (2) — — |
Schedule of Earnings Per Share, Basic and Diluted | The following table provides a reconciliation of net income attributable to common stockholders to the numerator in the basic and diluted earnings per share calculation, together with the resulting earnings per share amounts: Three Months Ended March 31, 2022 2021 Net income attributable to common stockholders $ 2 $ 17 Adjustment to redemption value (ASC 480) — (13) Numerator of basic and diluted EPS $ 2 $ 4 Per Share: Basic $ 0.04 $ 0.08 Diluted $ 0.04 $ 0.08 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 2017 United Kingdom 2018 Italy 2017 |
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, 2022 2021 U.S. $ (1) $ 17 Foreign 4 2 Total $ 3 $ 19 |
Schedule of Components of Income Tax Expense (Benefit) | The components of the provision for income taxes were as follows: Three Months Ended March 31, 2022 2021 Current taxes U. S. federal $ — $ — U.S. state and local — 2 Foreign 1 3 Total Current taxes 2 5 Deferred taxes Foreign (1) (3) Total Deferred taxes (1) (3) Provision for income taxes $ — $ 2 |
Background and Business Descr_2
Background and Business Description - Additional Information (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Background And Basis Of Presentation [Line Items] | |||
Entity Incorporation, Date of Incorporation | Apr. 29, 1991 | ||
Net realized gains (losses) on extinguishment of debt | $ 0 | $ 33,000,000 | |
Realized Investment Gains (Losses) | 10,000,000 | $ 2,000,000 | |
Business Acquisition, Percentage of Voting Interests Acquired | 80.00% | ||
Long-term debt | $ 2,242,000,000 | $ 2,230,000,000 | |
Number of Nonadmitted Carriers Owned | 5 | ||
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 the Consolidated Financial Statements included in Part II, Item 8 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021, 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, 2021. 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. Ambac's business operations include: • Legacy Financial Guarantee Insurance — Ambac's financial guarantee business includes the activities of Ambac Assurance Corporation ("AAC") and its wholly owned subsidiaries, including Ambac Assurance UK Limited (“Ambac UK”) and Ambac Financial Services LLC ("AFS"). Both AAC and Ambac UK (the "Legacy Financial Guarantee Companies") have financial guarantee portfolios that have been in runoff since 2008. AFS uses derivatives to hedge interest rate risk in AAC's insurance and investment portfolios. • Specialty Property & Casualty Insurance — Ambac's participatory fronting Specialty Property & Casualty Insurance business. Currently includes five admitted carriers (Everspan Insurance Company, Providence Washington Insurance Company, 21st Century Indemnity Insurance Company, 21st Century Pacific Insurance Company and 21st Century Auto Insurance Company of New Jersey) and an excess and surplus lines (“E&S” or “nonadmitted”) insurer Everspan Indemnity Insurance Company (collectively, “Everspan”). The 21st Century companies were acquired in 2022. Everspan carriers that are part of the intercompany pooling agreement received an AM Best rating of 'A-' (Excellent) in February 2021. • Insurance Distribution — Ambac's specialty property and casualty ("P&C") insurance distribution business, which could include Managing General Agents and Underwriters (collectively "MGAs"), insurance wholesalers, and other distribution businesses. Currently includes Xchange Benefits, LLC (“Xchange”) a P&C MGA specializing in accident and health products, 80% of which was acquired by AFG on December 31, 2020. Refer to Note 3. Business Combination 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, 2021, for further information relating to this acquisition. Beginning in the first quarter of 2022, the Company is reporting these three business operations as segments; see Note 3. Segment Information for further information. Strategies to Enhance Shareholder Value The Company's primary goal is to maximize shareholder value through the execution of key strategies for both its (i) Specialty P&C Insurance Platform and (ii) Legacy Financial Guarantee Companies. Specialty P&C Insurance Platform strategic priorities include: • Growing and diversifying the Specialty Property & Casualty insurance business with existing and new program partners. • Building a leading insurance Distribution business through additional acquisitions and de novo builds, supported by a centralized business services unit including core technology solutions. • Making opportunistic investments that are strategic to the overall Specialty P&C Insurance Platform. Legacy Financial Guarantee Companies’ strategic priorities include: • Actively managing, de-risking and mitigating insured portfolio risk. • Pursuing loss recovery through active litigation and other means, particularly residential mortgage back security representation and warranty litigation. • Improving operating efficiency and optimizing our asset and liability profile. • Exploring, at the appropriate time, strategic options to further maximize value for AFG. The execution of Ambac’s strategy to increase the value of its investment in AAC is subject to the restrictions set forth in the Settlement Agreement, dated as of June 7, 2010 (the "Settlement Agreement"), by and among AAC, Ambac Credit Products LLC ("ACP"), AFG and certain counterparties to credit default swaps with ACP that were guaranteed by AAC; as well as the Stipulation and Order among the Office of the Commissioner of Insurance for the State of Wisconsin (“OCI”), AFG and AAC that became effective on February 12, 2018, as amended (the “Stipulation and Order”); and the indenture for the Tier 2 Notes (as defined below), each of which requires OCI and, under certain circumstances, holders of the debt instruments benefiting from such restrictions, to approve certain actions taken by or in respect of AAC. In exercising its approval rights, OCI will act for the benefit of policyholders, and will not take into account the interests of AFG. Opportunities for remediating losses on poorly performing insured transactions also depend on market conditions, including the perception of AAC’s creditworthiness, the structure of the underlying risk and associated policy as well as other counterparty specific factors. AAC's ability to commute policies or purchase certain investments may also be limited by available liquidity. |
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, 2022 | Mar. 31, 2021 | |
Foreign Currency Transaction Gain (Loss), before Tax | $ 1 | $ (5) |
Gain (Loss) on Investments [Member] | ||
Foreign Currency Transaction Gain (Loss), before Tax | $ 3 | $ (4) |
Basis of Presentation and Sig_5
Basis of Presentation and Significant Accounting Policies Additional Information (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 60,000,000 | $ 60,000,000 | ||
Preferred Stock, Shares Issued | 0 | |||
Net Income (Loss) Attributable to Redeemable Noncontrolling Interest | $ 0 | $ 0 | ||
Net Income (Loss) Attributable to Nonredeemable Noncontrolling Interest | 0 | 0 | ||
Noncontrolling Interest, Change in Redemption Value | $ 0 | $ (13,000,000) | ||
Business Acquisition, Percentage of Voting Interests Acquired | 80.00% | |||
Business Combination, Redeemable Noncontrolling Percentage | 20.00% | |||
Number of Variable Interest Entities Consolidated During the Period | 2 | 0 | ||
Xchange | ||||
Derivative [Line Items] | ||||
Redeemable Noncontrolling Interest, Equity, Carrying Amount | $ 18,000,000 | $ 7,000,000 | ||
Redeemable Noncontrolling Interest, Equity, Redemption Value | $ 18,000,000 | $ 20,000,000 | ||
Retained Earnings [Member] | ||||
Derivative [Line Items] | ||||
Noncontrolling Interest, Change in Redemption Value | $ 0 | $ (13,000,000) |
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, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Reduction in Long-term Debt Through Long-term Debt Exchange | $ 0 | $ 71 | ||
Exchange of investments in Puerto Rico bonds for new securities issued in the restructuring transactions | 185 | |||
Income Taxes Paid | 2 | $ 8 | ||
Cash and cash equivalents | 60 | 23 | 17 | |
Restricted Cash | 7 | 16 | 5 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | 116 | 42 | 23 | $ 35 |
Long-term Debt [Member] | ||||
Interest Paid, Including Capitalized Interest, Operating and Investing Activities | 15 | 25 | ||
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Restricted Cash | $ 49 | $ 2 | $ 2 |
Segment Reporting (Details)
Segment Reporting (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022USD ($)level3FinancialInstruments | Mar. 31, 2021USD ($) | Dec. 31, 2021USD ($) | |
Segment Reporting, Revenue Reconciling Item [Line Items] | |||
Number of Reportable Segments | level3FinancialInstruments | 3 | ||
Revenues | $ 119 | $ 129 | |
Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest | 3 | 19 | |
Provision (benefit) for income taxes | 0 | 2 | |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 2 | 17 | |
Premiums Earned, Net | 15 | 14 | |
Net investment income, including realized gains (loss) | 5 | 49 | |
Amortization of intangible assets | 14 | 19 | |
Interest Expense | 44 | 50 | |
Total assets | 11,531 | 12,840 | $ 12,303 |
Premiums Written, Net | 12 | (9) | |
Derivative, Gain (Loss) on Derivative, Net | 57 | 25 | |
Insurance Commissions and Fees | 9 | 7 | |
Other revenues, operating | 34 | 33 | |
Losses and loss expenses (benefit) | 24 | 8 | |
Operating Expenses | 29 | 29 | |
Insurance Commissions | 5 | 4 | |
Depreciation | 0 | 0 | |
Benefits, Losses and Expenses | 116 | 110 | |
Net Income (Loss) Attributable to Nonredeemable Noncontrolling Interest | 0 | 0 | |
Net income attributable to common shareholders | 2 | 17 | |
Financial Guarantee | |||
Segment Reporting, Revenue Reconciling Item [Line Items] | |||
Revenues | 109 | 118 | |
Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest | 6 | 24 | |
Premiums Earned, Net | 13 | 14 | |
Net investment income, including realized gains (loss) | 5 | 49 | |
Amortization of intangible assets | 14 | 19 | |
Interest Expense | 44 | 50 | |
Total assets | 11,075 | 12,470 | |
Derivative, Gain (Loss) on Derivative, Net | 57 | 25 | |
Other revenues, operating | 34 | 29 | |
Losses and loss expenses (benefit) | 23 | 8 | |
Operating Expenses | 21 | 17 | |
Depreciation | 0 | 0 | |
Benefits, Losses and Expenses | 102 | 94 | |
Specialty Property & Casualty Program | |||
Segment Reporting, Revenue Reconciling Item [Line Items] | |||
Revenues | 2 | 0 | |
Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest | (2) | (1) | |
Premiums Earned, Net | 1 | 0 | |
Net investment income, including realized gains (loss) | 0 | 0 | |
Total assets | 191 | 108 | |
Other revenues, operating | 0 | 0 | |
Losses and loss expenses (benefit) | 1 | 0 | |
Operating Expenses | 3 | 1 | |
Depreciation | 0 | 0 | |
Benefits, Losses and Expenses | 4 | 1 | |
Managing General Agency Underwriter | |||
Segment Reporting, Revenue Reconciling Item [Line Items] | |||
Revenues | 9 | 7 | |
Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest | 2 | 2 | |
Amortization of intangible assets | 1 | 1 | |
Total assets | 97 | 98 | |
Insurance Commissions and Fees | 9 | 7 | |
Other revenues, operating | 0 | 0 | |
Operating Expenses | 1 | 1 | |
Insurance Commissions | 5 | 4 | |
Depreciation | 0 | 0 | |
Benefits, Losses and Expenses | 6 | 5 | |
Corporate and Other | |||
Segment Reporting, Revenue Reconciling Item [Line Items] | |||
Revenues | 0 | 4 | |
Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest | (3) | (6) | |
Net investment income, including realized gains (loss) | 0 | 0 | |
Total assets | 168 | 165 | |
Other revenues, operating | 0 | 4 | |
Operating Expenses | 3 | 10 | |
Depreciation | 0 | 0 | |
Benefits, Losses and Expenses | 3 | 10 | |
Surplus Notes | $ 77 | $ 114 |
Investments - Summary of Amorti
Investments - Summary of Amortized Cost and Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | $ 794 | $ 810 | |
Debt Securities, Available-for-sale, Amortized Cost | 2,006 | 2,140 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | 0 | $ 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 73 | 141 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 598 | 768 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 26 | 14 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 196 | 41 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 17 | 1 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 43 | 16 | |
Available-for-sale Securities, Current | 2,036 | 2,265 | |
Fixed maturity securities, at fair value | 2,036 | ||
Short-term Investments [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 30 | 128 | |
Debt Securities, Available-for-sale, Amortized Cost | 540 | 415 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 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 | 18 | 114 | |
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 | 12 | 13 | |
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 maturity securities, at fair value | 540 | 414 | |
Fixed Income Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 764 | 682 | |
Debt Securities, Available-for-sale, Amortized Cost | 1,352 | 1,605 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 73 | 141 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 580 | 654 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 26 | 14 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 184 | 28 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 16 | 1 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 42 | 16 | |
Fixed maturity securities, at fair value | 1,383 | 1,730 | |
Fixed Income Securities [Member] | Municipal Bonds [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 19 | 118 | |
Debt Securities, Available-for-sale, Amortized Cost | 65 | 315 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 5 | 28 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 19 | 117 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 3 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 1 | 2 | |
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 | 3 | |
Fixed maturity securities, at fair value | 69 | 340 | |
Fixed Income Securities [Member] | Corporate Debt Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 466 | 380 | |
Debt Securities, Available-for-sale, Amortized Cost | 610 | 612 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 2 | 10 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 349 | 363 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 21 | 8 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 117 | 17 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 13 | 1 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 34 | 9 | |
Fixed maturity securities, at fair value | 577 | 613 | |
Fixed Income Securities [Member] | Foreign Obligations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 87 | 78 | |
Debt Securities, Available-for-sale, Amortized Cost | 92 | 89 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 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 | 36 | 75 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 2 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 51 | 3 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 3 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 4 | 2 | |
Fixed maturity securities, at fair value | 88 | 87 | |
Fixed Income Securities [Member] | US Government Debt Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 49 | 27 | |
Debt Securities, Available-for-sale, Amortized Cost | 53 | 45 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 1 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 44 | 25 | |
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 | 5 | 2 | |
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 | 2 | 1 | |
Fixed maturity securities, at fair value | 51 | 45 | |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 17 | 2 | |
Debt Securities, Available-for-sale, Amortized Cost | 179 | 182 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 47 | 70 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 16 | 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 | 1 | 1 | |
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 maturity securities, at fair value | 225 | 252 | |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 120 | 71 | |
Debt Securities, Available-for-sale, Amortized Cost | 121 | 128 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 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 | 111 | 68 | |
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 | 9 | 3 | |
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 | 0 | |
Fixed maturity securities, at fair value | 120 | 128 | |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Unrealized Loss Position | 6 | 6 | |
Debt Securities, Available-for-sale, Amortized Cost | 232 | 234 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 20 | 32 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 6 | 6 | |
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 maturity securities, at fair value | 252 | 265 | |
Fixed Income Investments And Other Investments [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 1,892 | 2,020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 73 | 141 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 42 | 16 | |
Fixed maturity securities, at fair value | 1,922 | 2,145 | |
Collateral Pledged [Member] | Fixed Income Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
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 maturity securities, at fair value | 114 | 120 | |
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 | 99 | 105 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
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 maturity securities, at fair value | 99 | 105 | |
Collateral Pledged [Member] | Fixed Income Securities [Member] | US Treasury and Government | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 15 | 15 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 | |
Fixed maturity securities, at fair value | 15 | 15 | |
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | |
Asset Pledged as Collateral [Member] | Fixed Income Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 114 | 120 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 0 | $ 0 |
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 (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | $ 2,005 | |
Fixed maturity securities, at fair value | 2,036 | |
Amortized Cost, Due in one year or less | 683 | |
Amortized Cost, Due after one year through five years | 431 | |
Amortized Cost, Due after five years through ten years | 317 | |
Amortized Cost, Due after ten years | 41 | |
Amortized Cost, Total | 1,472 | |
Estimated Fair Value, Due in one year or less | 683 | |
Estimated Fair Value, Due after one year through five years | 416 | |
Estimated Fair Value, Due after five years through ten years | 300 | |
Estimated Fair Value, Due after ten years | 39 | |
Estimated Fair Value due, Total | 1,438 | |
Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fixed maturity securities, at fair value | 1,383 | $ 1,730 |
Fixed Income Securities [Member] | Residential Mortgage-Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 179 | |
Fixed maturity securities, at fair value | 225 | 252 |
Fixed Income Securities [Member] | Collateralized Debt Obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 121 | |
Fixed maturity securities, at fair value | 120 | 128 |
Fixed Income Securities [Member] | Asset-backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 232 | |
Fixed maturity securities, at fair value | $ 252 | $ 265 |
Investments - Summary of Gross
Investments - Summary of Gross Unrealized Losses and Fair Values of Ambac's Available-for-Sale Investments (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 598 | $ 768 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 26 | 14 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 196 | 41 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 17 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 794 | 810 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 43 | 16 |
Debt Securities , Available for sale, Continuous Unrealized Loss Position, | 613 | 783 |
Debt Securities, Available for sale, Unrealized Loss Position, Including Pledged Securities | 809 | 825 |
Short-term Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 18 | 114 |
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 | 12 | 13 |
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 | 30 | 128 |
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 | 42 | 16 |
Fixed Income Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 580 | 654 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 26 | 14 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 184 | 28 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 16 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 764 | 682 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 42 | 16 |
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 | 19 | 117 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 3 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 1 | 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 | 19 | 118 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 1 | 3 |
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 | 349 | 363 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 21 | 8 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 117 | 17 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 13 | 1 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 466 | 380 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 34 | 9 |
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 | 36 | 75 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 2 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 51 | 3 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 3 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 87 | 78 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 4 | 2 |
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 | 44 | 25 |
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 | 5 | 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 | 49 | 27 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2 | 1 |
Fixed Income Securities [Member] | US Government Debt Securities [Member] | Asset Pledged as Collateral [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 15 | 15 |
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 | 15 | 15 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
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 | 16 | 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 | 1 | 1 |
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 | 17 | 2 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 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 | 111 | 68 |
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 | 9 | 3 |
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 | 120 | 71 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 1 | 0 |
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 | 6 | 6 |
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 | 6 | 6 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 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 | $ 0 |
Investments - Additional Inform
Investments - Additional Information (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Schedule of Investments [Line Items] | |||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 1 | $ 0 | $ 0 |
Securities fair value | 23 | 17 | |
Interest Rate Contract [Member] | |||
Schedule of Investments [Line Items] | |||
Other investments | 88 | 78 | |
Reported Value Measurement [Member] | |||
Schedule of Investments [Line Items] | |||
Other investments | 92 | $ 106 | |
Commitments [Member] | Partnership Interest [Member] | |||
Schedule of Investments [Line Items] | |||
Other investments | $ 70 |
Investments - Summary of Amount
Investments - Summary of Amounts Included in Net Realized (Losses) Gains and Other-Than-Temporary Impairments (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Investment [Line Items] | |||
Foreign exchange (losses) gains | $ 1 | $ (5) | |
Debt Securities, Available-for-sale, Allowance for Credit Loss, Not to Sell before Recovery, Credit Loss, Previously Recorded, Expense (Reversal) | (1) | 0 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss, Sell before Recovery | 0 | 0 | |
Realized Investment Gains (Losses) | 10 | 2 | |
Fair Value of Securities Deposited in Connection wtih Letter of Credit | 1 | $ 1 | |
Debt Securities, Available-for-sale, Realized Gain | 23 | 7 | |
Debt Securities, Available-for-sale, Realized Loss | 15 | 1 | |
Gain (Loss) on Investments [Member] | |||
Investment [Line Items] | |||
Foreign exchange (losses) gains | $ 3 | $ (4) |
Investments - Summary of Source
Investments - Summary of Sources of Collateral Received and Various Investment Agreement in which Collateral Pledged (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Investment [Line Items] | ||
Fair Value Of Securities Deposited With Governmental Authorities | $ 23 | $ 17 |
Fair Value of Securities Deposited in Connection wtih Letter of Credit | 1 | 1 |
Fair Value of Securities Held by AmbacUK Where Capital Stock of AUK is Pledged as Collateral for Sitka AAC Note | 644 | 669 |
Investment Portfolio [Member] | ||
Investment [Line Items] | ||
Fair Value of Cash and Securities Pledged to Derivative Counterparties | 114 | 120 |
Standard & Poor's, B Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 451 | 757 |
Standard & Poor's, B Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 48 | 318 |
Standard & Poor's, B Rating [Member] | Mortgage And Other Asset Backed Securities [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 403 | 439 |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 451 | 754 |
Ambac Assurance Corporation [Member] | Standard & Poor's, B Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 47 | 316 |
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 | $ 403 | 439 |
National Public Finance Guarantee Corporation [Member] | Standard & Poor's, BBB- Rating [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | 2 | |
National Public Finance Guarantee Corporation [Member] | Standard & Poor's, BBB- Rating [Member] | Municipal Bonds [Member] | ||
Investment [Line Items] | ||
Investment Owned, at Fair Value | $ 2 |
Investments - Summary of Fair V
Investments - Summary of Fair Value, Including Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Standard & Poor's, B Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | $ 451 | $ 757 |
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 | 451 | 754 |
Standard & Poor's, BBB- Rating [Member] | National Public Finance Guarantee Corporation [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2 | |
Standard & Poor's, C Rating | Assured Guaranty Municipal Corporation | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 1 | |
Standard & Poor's, A Rating | Assured Guaranty Municipal Corporation | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 1 | |
Municipal Bonds [Member] | Standard & Poor's, B Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 48 | 318 |
Municipal Bonds [Member] | 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 | 47 | 316 |
Municipal Bonds [Member] | Standard & Poor's, BBB- Rating [Member] | National Public Finance Guarantee Corporation [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 2 | |
Municipal Bonds [Member] | Standard & Poor's, C Rating | Assured Guaranty Municipal Corporation | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 1 | |
Municipal Bonds [Member] | Standard & Poor's, A Rating | Assured Guaranty Municipal Corporation | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 1 | |
Mortgage And Other Asset Backed Securities [Member] | Standard & Poor's, B Rating [Member] | ||
Schedule of Investments [Line Items] | ||
Fair value of securities that include benefit of guarantees provided by financial guarantors | 403 | 439 |
Mortgage And Other Asset Backed Securities [Member] | 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 | $ 403 | $ 439 |
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) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Investment [Line Items] | ||
Net Realized and Unrealized Gain (Loss) on Trading Securities | $ (13) | $ 7 |
Investment expense | (1) | (1) |
Securities available-for-sale and short-term | 14 | 22 |
Net investment income | 5 | 49 |
Gains (losses) on securities held as of reporting date [Member] | ||
Investment [Line Items] | ||
Other Investments Income | (10) | 6 |
Fixed Income Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 15 | 23 |
Short-Term [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 0 | 0 |
Other Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | $ 0 | $ 27 |
Investments - Summary of Net In
Investments - Summary of Net Investment Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Investment [Line Items] | ||
Equity Securities, FV-NI, Realized Gain (Loss) | $ (3) | $ 0 |
Short-term Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 0 | 0 |
Fixed Income Investments [Member] | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | 15 | $ 23 |
Fixed Income Securities, Trading | ||
Investment [Line Items] | ||
Gross Investment Income, Operating | $ (9) |
Investments Investments - Equit
Investments Investments - Equity Investments (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | |||
Equity Securities Excluded From Fair Value Table | $ 8 | $ 8 | |
Equity Securities, FV-NI, Realized Gain (Loss) | (3) | $ 0 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 1 | $ 0 | 0 |
Real Estate [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 40 | 33 | |
Hedge Funds, Multi-strategy [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 196 | 216 | |
Interest Rate Contract [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 88 | 78 | |
Illiquid Investments [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 87 | 88 | |
Insurance Linked [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 1 | 2 | |
Equity [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 91 | 98 | |
Credit Index Product [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 90 | 107 | |
Private Equity Funds [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 41 | 37 | |
Emerging Market Debt [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 17 | 24 | |
Equity investments in pooled funds [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 652 | 683 | |
Equity Securities Excluded From Fair Value | |||
Schedule of Equity Method Investments [Line Items] | |||
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Priced Through Pricing Vendors [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 92 | 106 | |
Priced Through Pricing Vendors [Member] | Equity [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 75 | 82 | |
Priced Through Pricing Vendors [Member] | Emerging Market Debt [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | 17 | $ 24 | |
Commitments [Member] | Partnership Interest [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Other investments | $ 70 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | $ 2,036,000 | |
Financial assets: | ||
Derivative assets | 56,000 | $ 76,000 |
Other assets | 0 | |
Long-term Debt | 2,242,000 | 2,230,000 |
Financial liabilities: | ||
Derivative liabilities | 76,000 | 95,000 |
Equity Securities Excluded From Fair Value Table | 8,000 | 8,000 |
Short-term Investments [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 540,000 | 414,000 |
Total Fair Value [Member] | ||
Financial assets: | ||
Cash | 67,000 | 21,000 |
Reported Value Measurement [Member] | ||
Financial assets: | ||
Other investments | 92,000 | 106,000 |
Cash | 67,000 | 21,000 |
Loans | 3,000 | 3,000 |
Other assets | 0 | |
Total financial assets | 8,864,000 | 9,268,000 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | (970,000) | (866,000) |
Long-term debt | 2,834,000 | 2,806,000 |
Total financial liabilities | 7,930,000 | 8,190,000 |
Reported Value Measurement [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 540,000 | 414,000 |
Reported Value Measurement [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 660,000 | 690,000 |
Reported Value Measurement [Member] | Future [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 75,000 | 94,000 |
Reported Value Measurement [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Other Assets [Member] | Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 56,000 | 76,000 |
Level 1 [Member] | ||
Financial assets: | ||
Cash | 67,000 | 21,000 |
Total financial assets | 988,000 | 750,000 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 0 | 0 |
Total financial liabilities | 1,000 | 0 |
Level 1 [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 526,000 | 369,000 |
Level 1 [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 0 | |
Level 1 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 0 | 0 |
Level 1 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 92,000 | 106,000 |
Level 1 [Member] | Future [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Level 1 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 1 [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 1 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Level 2 [Member] | ||
Financial assets: | ||
Cash | 0 | 1,000 |
Total financial assets | 1,567,000 | 1,732,000 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | 0 | 0 |
Long-term debt | 2,296,000 | 2,575,000 |
Total financial liabilities | 8,238,000 | 8,695,000 |
Level 2 [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 13,000 | 46,000 |
Level 2 [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 0 | |
Level 2 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 0 | 0 |
Level 2 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 0 | 0 |
Level 2 [Member] | Future [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 2 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 75,000 | 94,000 |
Level 2 [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 2 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 3,000 | 5,000 |
Level 3 [Member] | ||
Financial assets: | ||
Cash | 0 | 0 |
Total financial assets | 5,741,000 | 6,202,000 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | (197,000) | (112,000) |
Long-term debt | 19,000 | 22,000 |
Total financial liabilities | (17,000) | 79,000 |
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 | 0 | |
Level 3 [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 3,000 | 3,000 |
Level 3 [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 0 | 0 |
Level 3 [Member] | Future [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 3 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Level 3 [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Level 3 [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 52,000 | 71,000 |
Municipal Bonds [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 188,000 | 340,000 |
Corporate Debt Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 577,000 | 613,000 |
Debt Security, Government, Non-US [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 88,000 | 87,000 |
US Government Debt Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 51,000 | 45,000 |
Residential Mortgage-Backed Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 225,000 | 252,000 |
Collateralized Debt Obligations [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 120,000 | 128,000 |
Asset-backed Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 252,000 | 265,000 |
Fair Value, Recurring [Member] | ||
Financial assets: | ||
Total financial assets | 8,856,000 | 9,261,000 |
Financial liabilities: | ||
Liabilities for net financial guarantees written | (197,000) | (112,000) |
Long-term debt | 2,315,000 | 2,598,000 |
Total financial liabilities | 8,221,000 | 8,775,000 |
Fair Value, Recurring [Member] | Short-term Investments [Member] | ||
Financial assets: | ||
Short term investments | 540,000 | 414,000 |
Fair Value, Recurring [Member] | Equity Method Investments [Member] | ||
Financial assets: | ||
Other assets | 0 | |
Fair Value, Recurring [Member] | Loans Receivable [Member] | ||
Financial assets: | ||
Loans | 3,000 | 3,000 |
Fair Value, Recurring [Member] | Other Debt Obligations [Member] | ||
Financial assets: | ||
Other investments | 652,000 | 683,000 |
Fair Value, Recurring [Member] | Asset-backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 252,000 | 265,000 |
Fair Value, Recurring [Member] | Collateralized Debt Obligations [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 120,000 | 128,000 |
Fair Value, Recurring [Member] | Residential Mortgage-Backed Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 225,000 | 252,000 |
Fair Value, Recurring [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 51,000 | 45,000 |
Fair Value, Recurring [Member] | Debt Security, Government, Non-US [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 88,000 | 87,000 |
Fair Value, Recurring [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 577,000 | 613,000 |
Fair Value, Recurring [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 188,000 | 340,000 |
Fair Value, Recurring [Member] | Future [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 75,000 | 94,000 |
Fair Value, Recurring [Member] | Other Credit Derivatives [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,000 | 0 |
Fair Value, Recurring [Member] | Other Assets [Member] | Interest Rate Swap [Member] | ||
Financial assets: | ||
Derivative assets | 56,000 | 76,000 |
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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 51,000 | 45,000 |
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 maturity securities, at fair value | 88,000 | 87,000 |
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 maturity securities, at fair value | 1,000 | 1,000 |
Fair Value, Recurring [Member] | Level 1 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
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 maturity securities, at fair value | 178,000 | 187,000 |
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 maturity securities, at fair value | 120,000 | 128,000 |
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 maturity securities, at fair value | 225,000 | 252,000 |
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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 564,000 | 600,000 |
Fair Value, Recurring [Member] | Level 2 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 188,000 | 340,000 |
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 maturity securities, at fair value | 74,000 | 79,000 |
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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 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 maturity securities, at fair value | 12,000 | 12,000 |
Fair Value, Recurring [Member] | Level 3 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
Collateral Pledged [Member] | US Government Debt Securities [Member] | Reported Value Measurement [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 15,000 | 15,000 |
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 maturity securities, at fair value | 99,000 | 105,000 |
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 maturity securities, at fair value | 99,000 | 105,000 |
Collateral Pledged [Member] | Fair Value, Recurring [Member] | US Government Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 15,000 | 15,000 |
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 maturity securities, at fair value | 99,000 | 105,000 |
Collateral Pledged [Member] | 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 maturity securities, at fair value | 15,000 | 15,000 |
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 maturity securities, at fair value | 0 | 0 |
Collateral Pledged [Member] | 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 maturity securities, at fair value | 0 | 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 maturity securities, at fair value | 0 | 0 |
Collateral Pledged [Member] | 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 maturity securities, at fair value | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 3,364,000 | 3,455,000 |
Financial assets: | ||
Loans | 2,469,000 | 2,718,000 |
Derivative assets | 42,000 | 38,000 |
Long-term Debt | 4,124,000 | 4,216,000 |
Financial liabilities: | ||
Derivative liabilities | 1,866,000 | 1,940,000 |
Long-term debt | 3,701,000 | 4,056,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 3,131,000 | 3,320,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 119,000 | 136,000 |
Variable Interest Entity, Primary Beneficiary [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 114,000 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 49,000 | 2,000 |
Loans | 2,469,000 | 2,718,000 |
Financial liabilities: | ||
Long-term debt | 4,124,000 | 4,216,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 3,131,000 | 3,320,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 119,000 | 136,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,866,000 | 1,940,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | Currency Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 42,000 | 38,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Reported Value Measurement [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 114,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 49,000 | 2,000 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | Currency Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 1 [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 0 | 0 |
Loans | 0 | 0 |
Financial liabilities: | ||
Long-term debt | 4,001,000 | 4,086,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 119,000 | 136,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,866,000 | 1,940,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | Currency Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 42,000 | 38,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 2 [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 114,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 0 | 0 |
Loans | 2,469,000 | 2,718,000 |
Financial liabilities: | ||
Long-term debt | 160,000 | 169,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 3,131,000 | 3,320,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | Currency Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 0 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | Level 3 [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | ||
Financial assets: | ||
Restricted Cash and Cash Equivalents, Current | 49,000 | 2,000 |
Loans | 2,469,000 | 2,718,000 |
Financial liabilities: | ||
Long-term debt | 4,161,000 | 4,255,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | Corporate Debt Securities [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 3,131,000 | 3,320,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | Municipal Bonds [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | 119,000 | 136,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Financial liabilities: | ||
Derivative liabilities | 1,866,000 | 1,940,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | Currency Swaps [Member] | ||
Financial assets: | ||
Derivative assets | 42,000 | $ 38,000 |
Variable Interest Entity, Primary Beneficiary [Member] | Fair Value, Recurring [Member] | US States and Political Subdivisions Debt Securities | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Fixed maturity securities, at fair value | $ 114,000 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Details) $ in Thousands | Mar. 31, 2022USD ($)level3FinancialInstruments | Dec. 31, 2021USD ($) |
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Derivative Credit Risk Valuation Adjustment, Derivative Liabilities | $ 283 | $ 19 |
Derivative liabilities | $ 76,000 | $ 95,000 |
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 2.60% | 2.20% |
Number of Credit Risk Derivatives Held | level3FinancialInstruments | 1 | |
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 | $ 560,000 | $ 577,000 |
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 | 6.00% | 6.00% |
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 | 4.00% | 4.00% |
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 | 90.00% | 90.00% |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Of Assets And Liabilities Measured On Non Recurring Basis [Line Items] | ||
Derivative liabilities | $ 1,866,000 | $ 1,940,000 |
Weighted average discounted rate of estimated future premium payments to be paid by the VIEs | 3.90% | 3.00% |
Fair Value Measurements - Infor
Fair Value Measurements - Information about Valuation Inputs for Fixed Income Securities Classified as Level 3 (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Inputs Yield Rate | 9.30% | 7.20% | ||
Asset-backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Coupon rate | 5.98% | 5.97% | ||
Fair Value Inputs Maturity | 13 years 11 months 19 days | 14 years 1 month 20 days | ||
Yield | 11.00% | 10.20% | ||
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 | $ 5,738 | $ 6,194 | $ 6,199 | $ 6,376 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (204) | (145) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (176) | 49 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (80) | (86) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (204) | (145) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (176) | 49 | ||
Fair Value, Inputs, Level 3 [Member] | Investments [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 | 86 | 76 | 91 | 78 |
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 | (4) | (2) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | 0 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (4) | (2) | ||
Fair Value, Inputs, Level 3 [Member] | Other Assets [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 | 0 | 1 | $ 0 | 1 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
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 | $ 0 | ||
Corporate Obligations [Member] | Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Fair Value Inputs Maturity | 2 years 6 months | 2 years 9 months | ||
Derivative Financial Instruments, Liabilities [Member] | Fair Value, Inputs, Level 3 [Member] | Derivative Financial Instruments, Liabilities [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 | 52 | $ 65 | $ 70 | 84 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (17) | (17) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (2) | (2) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (17) | (17) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | 0 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Corporate Obligations [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 | 3,131 | 3,103 | 3,320 | 3,215 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (93) | (138) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (96) | 26 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (93) | (138) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (96) | 26 | ||
Variable Interest Entity, Primary Beneficiary [Member] | Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Loans Receivable [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 | 2,469 | 2,948 | $ 2,718 | $ 2,998 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (96) | 9 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (76) | 24 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (78) | (84) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (96) | 9 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | $ (76) | $ 24 |
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 (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Fair value of derivative liabilities | $ 73 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Fair value of derivative liabilities | 0 | |
Real Estate [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | 40 | $ 33 |
Interest Rate Contract [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | 88 | 78 |
Illiquid Investments [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Other investments | $ 87 | $ 88 |
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 | 13 years 11 months 19 days | 14 years 1 month 20 days |
Fair Value Inputs Yield | 11.00% | 10.20% |
Fair Value Measurements - Inf_2
Fair Value Measurements - Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||||
Estimated Future Premium Payments Minimum Discounted Rate | 3.20% | |||
Estimated Future Premium Payments Maximum Discounted Rate | 5.30% | |||
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 | $ 5,738 | $ 6,194 | $ 6,199 | $ 6,376 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (204) | (145) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (176) | 49 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (80) | (86) | ||
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 | 86 | 76 | 91 | 78 |
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 | (4) | (2) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | 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 | 0 | 1 | 0 | 1 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | 0 | 0 | ||
Loan Origination Commitments [Member] | Fair Value, Inputs, Level 3 [Member] | Loans Receivable [Member] | Variable Interest Entity, Primary Beneficiary [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 | 2,469 | 2,948 | 2,718 | 2,998 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (96) | 9 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (76) | 24 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (78) | (84) | ||
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 | 52 | 65 | 70 | 84 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (17) | (17) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (2) | (2) | ||
Investment Contracts [Member] | Fair Value, Inputs, Level 3 [Member] | Corporate Debt Securities [Member] | Variable Interest Entity, Primary Beneficiary [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 | 3,131 | 3,103 | $ 3,320 | $ 3,215 |
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Earnings | (93) | (138) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | $ (96) | $ 26 |
Fair Value Measurements - Sum_3
Fair Value Measurements - Summary of Changes in Level 3 Fair Value Category (Details) $ in Millions | 3 Months Ended | |||
Mar. 31, 2022USD ($)level3FinancialInstruments | Mar. 31, 2021USD ($)level3FinancialInstruments | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
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, Transfers into or out of Level 3 | level3FinancialInstruments | 0 | 0 | ||
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 | $ 5,738 | $ 6,194 | $ 6,199 | $ 6,376 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (204) | (145) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (176) | 49 | ||
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 | (204) | (145) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (176) | 49 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (80) | (86) | ||
Level 3 [Member] | Loans Receivable [Member] | Loans [Member] | Variable Interest Entity, Primary Beneficiary [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 | 2,469 | 2,948 | 2,718 | 2,998 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (96) | 9 | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (76) | 24 | ||
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 | (96) | 9 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | (76) | 24 | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (78) | (84) | ||
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 | 86 | 76 | 91 | 78 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (4) | (2) | ||
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 | (4) | (2) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (1) | 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 | 0 | 1 | 0 | 1 |
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 | 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 | 52 | 65 | 70 | 84 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (17) | (17) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 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 Or Liability Gain Loss Included In Earnings | (17) | (17) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Settlements | (2) | (2) | ||
Level 3 [Member] | Corporate Debt Securities [Member] | Investment Contracts [Member] | Variable Interest Entity, Primary Beneficiary [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 | 3,131 | 3,103 | $ 3,320 | $ 3,215 |
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss) | (93) | (138) | ||
Fair Value, Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (96) | 26 | ||
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 | (93) | (138) | ||
Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Asset Or Liability Gain Loss Included In Other Comprehensive Income Loss | $ (96) | $ 26 |
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 (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
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 | (17) | (17) |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (17) | (17) |
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 | (188) | (129) |
Fair Value Asset Or Liability Measured On Recurring Basis Change In Unrealized Gains Losses Still Held | (188) | (129) |
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 |
Insurance Contracts - Additiona
Insurance Contracts - Additional Information (Details) $ in Thousands, € in Millions, £ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
Mar. 31, 2022USD ($) | Mar. 31, 2021USD ($) | Sep. 30, 2021 | Dec. 31, 2021USD ($) | Mar. 31, 2022GBP (£) | Mar. 31, 2022EUR (€) | Mar. 31, 2021GBP (£) | Mar. 31, 2021EUR (€) | Dec. 31, 2020USD ($) | |
Insurance [Line Items] | |||||||||
Reinsurance Recoverable Credit Exposure | $ 30,000 | $ 31,000 | |||||||
Reinsurance Recoverable, Allowance for Credit Loss | 49 | 10 | |||||||
Public Finance Puerto Rico Net Par Outstanding | 784,000 | ||||||||
Schedule Of Insured Financial Obligations With Credit Deterioration Reductions Of Gross Claim Liability Rmbs Subrogation | 1,502,000 | 1,730,000 | |||||||
Financial Guarantee Insurance Contracts, Premium Receivable | $ 308,000 | $ 356,000 | $ 320,000 | $ 370,000 | |||||
Estimated Future Premium Payments Weighted Average Discounted Rate | 2.60% | 2.20% | 2.60% | 2.60% | |||||
Reinsurance Payable | $ 40,000 | $ 33,000 | |||||||
Weighted average period of future premiums | 8 years 2 months 12 days | 8 years | |||||||
Uncollectable premium receivables | $ 8,000 | $ 9,000 | |||||||
Accelerated premium revenue for retired obligations | 0 | 0 | |||||||
Reinsurance recoveries of losses included in losses and loss expenses | (7,000) | (1,000) | |||||||
Subrogation recoveries, net of reinsurance | (1,480,000) | (1,704,000) | |||||||
Amortization of intangible assets | 14,000 | 19,000 | |||||||
Intangible assets | 350,000 | 362,000 | |||||||
Possible Increase in Loss Reserves Related to Puerto Rico | 220,000 | ||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | 974,000 | 1,123,000 | $ 1,098,000 | $ 1,140,000 | |||||
Stockholders Equity After Possible Increase in Domestic Public Finance Loss Reserves | 754,000 | ||||||||
Stockholders Equity After Possible Inability to Realize R&W Subrogation Recoveries | (505,000) | ||||||||
Uncollateralized Credit Exposure Supported by Unlimited Uncapped Indemnity | 29,000 | ||||||||
Past Due Premiums | 1,000 | 0 | |||||||
Financial Guaranty | |||||||||
Insurance [Line Items] | |||||||||
Losses and loss expense reserves ceded to reinsurers | $ 14,000 | ||||||||
Loss Reserves [Member] | |||||||||
Insurance [Line Items] | |||||||||
Weighted average risk-free rate used to discount loss reserves | 2.40% | 1.20% | |||||||
United Kingdom, Pounds | |||||||||
Insurance [Line Items] | |||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | $ 101,000 | 122,000 | £ 77 | £ 89 | |||||
Euro Member Countries, Euro | |||||||||
Insurance [Line Items] | |||||||||
Financial Guarantee Insurance Contracts, Premium Receivable | $ 16,000 | $ 21,000 | € 15 | € 18 |
Financial Guarantee Insurance C
Financial Guarantee Insurance Contracts - Summary of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Details) $ in Thousands, € in Millions, £ in Millions | 3 Months Ended | |||||||
Mar. 31, 2022USD ($) | Mar. 31, 2022GBP (£) | Mar. 31, 2022EUR (€) | Mar. 31, 2021USD ($) | Mar. 31, 2021GBP (£) | Mar. 31, 2021EUR (€) | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
Insurance [Line Items] | ||||||||
Allowance for Doubtful Accounts, Premiums and Other Receivables | $ 8,000 | $ 13,000 | $ 9,000 | $ 17,000 | ||||
Financial Guarantee Insurance Contracts, Accelerated Premium Revenue, Amount | 0 | 0 | ||||||
Past Due Premiums Receivable | 19 | 0 | ||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Beginning premium receivable | 320,000 | 370,000 | ||||||
Premium receipts | 15,000 | 12,000 | ||||||
Adjustments for changes in expected and contractual cash flows | 3,000 | (8,000) | ||||||
Accretion of premium receivable discount | 2,000 | 2,000 | ||||||
Uncollectable premiums | 1,000 | 4,000 | ||||||
Other adjustments (including foreign exchange) | (3,000) | 0 | ||||||
Ending premium receivable | 308,000 | 356,000 | ||||||
Premium Receivable, Allowance for Credit Loss | 8,000 | 9,000 | ||||||
Premium Receivable, Credit Loss Expense (Reversal) | (1,000) | (4,000) | ||||||
Premium Receivable, Allowance for Credit Loss, Writeoff | 0 | 0 | ||||||
Premium Receivable, Allowance for Credit Loss, Recovery | 0 | 0 | ||||||
Financing Receivable, 90 Days or More Past Due, Still Accruing | 14 | 0 | ||||||
Premiums Receivable, Gross | 316,000 | 329,000 | ||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | 974,000 | 1,123,000 | 1,098,000 | $ 1,140,000 | ||||
Premiums Receivable, Net | 317,000 | 323,000 | ||||||
Specialty Property & Casualty Program | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 9,000 | 2,000 | ||||||
Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 157,000 | 159,000 | ||||||
Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 41,000 | 45,000 | ||||||
International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 118,000 | 125,000 | ||||||
I/SL [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 267,000 | 277,000 | ||||||
I/SL [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 149,000 | 151,000 | ||||||
I/SL [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 18,000 | 19,000 | ||||||
I/SL [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 100,000 | 107,000 | ||||||
IA [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 12,000 | 12,000 | ||||||
IA [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 3,000 | 3,000 | ||||||
IA [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 1,000 | 1,000 | ||||||
IA [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 8,000 | 8,000 | ||||||
II [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 5,000 | 6,000 | ||||||
II [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 5,000 | 5,000 | ||||||
II [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 1,000 | ||||||
II [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
III [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 21,000 | 22,000 | ||||||
III [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
III [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 11,000 | 12,000 | ||||||
III [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 10,000 | 11,000 | ||||||
IV [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 11,000 | 12,000 | ||||||
IV [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
IV [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 11,000 | 12,000 | ||||||
IV [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
United Kingdom, Pounds | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Ending premium receivable | 101,000 | £ 77 | 122,000 | £ 89 | ||||
Euro Member Countries, Euro | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Ending premium receivable | 16,000 | € 15 | $ 21,000 | € 18 | ||||
Other Public Finance Sectors [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 2,000 | 2,000 | ||||||
Other Public Finance Sectors [Member] | I/SL [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 2,000 | 2,000 | ||||||
Other Public Finance Sectors [Member] | IA [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Public Finance Sectors [Member] | II [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Public Finance Sectors [Member] | III [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Public Finance Sectors [Member] | IV [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other International [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 5,000 | 5,000 | ||||||
Other International [Member] | I/SL [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 5,000 | 5,000 | ||||||
Other International [Member] | IA [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other International [Member] | II [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other International [Member] | III [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other International [Member] | IV [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Mortgage Backed And Home Equity [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 15,000 | 16,000 | ||||||
Mortgage Backed And Home Equity [Member] | I/SL [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 1,000 | 1,000 | ||||||
Mortgage Backed And Home Equity [Member] | IA [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Mortgage Backed And Home Equity [Member] | II [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 1,000 | ||||||
Mortgage Backed And Home Equity [Member] | III [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 2,000 | 2,000 | ||||||
Mortgage Backed And Home Equity [Member] | IV [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 11,000 | 12,000 | ||||||
Structured Insurance [Domain] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 9,000 | 10,000 | ||||||
Structured Insurance [Domain] | I/SL [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 9,000 | 10,000 | ||||||
Structured Insurance [Domain] | IA [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Structured Insurance [Domain] | II [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Structured Insurance [Domain] | III [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Structured Insurance [Domain] | IV [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Student Loans [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 11,000 | 12,000 | ||||||
Student Loans [Member] | I/SL [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 1,000 | 1,000 | ||||||
Student Loans [Member] | IA [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 1,000 | 1,000 | ||||||
Student Loans [Member] | II [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Student Loans [Member] | III [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 8,000 | 9,000 | ||||||
Student Loans [Member] | IV [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Structured Finance [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 6,000 | 7,000 | ||||||
Other Structured Finance [Member] | I/SL [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 6,000 | 7,000 | ||||||
Other Structured Finance [Member] | IA [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Structured Finance [Member] | II [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Structured Finance [Member] | III [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Other Structured Finance [Member] | IV [Member] | Structured Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Sovereign And Sub Sovereign [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 92,000 | 93,000 | ||||||
Sovereign And Sub Sovereign [Member] | I/SL [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 74,000 | 74,000 | ||||||
Sovereign And Sub Sovereign [Member] | IA [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 8,000 | 8,000 | ||||||
Sovereign And Sub Sovereign [Member] | II [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Sovereign And Sub Sovereign [Member] | III [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 10,000 | 11,000 | ||||||
Sovereign And Sub Sovereign [Member] | IV [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Investor Owned And Public Utilities [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 21,000 | 28,000 | ||||||
Investor Owned And Public Utilities [Member] | I/SL [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 21,000 | 28,000 | ||||||
Investor Owned And Public Utilities [Member] | IA [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Investor Owned And Public Utilities [Member] | II [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Investor Owned And Public Utilities [Member] | III [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Investor Owned And Public Utilities [Member] | IV [Member] | International Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Housing Revenue [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 155,000 | 157,000 | ||||||
Housing Revenue [Member] | I/SL [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 147,000 | 149,000 | ||||||
Housing Revenue [Member] | IA [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 3,000 | 3,000 | ||||||
Housing Revenue [Member] | II [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 5,000 | 5,000 | ||||||
Housing Revenue [Member] | III [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | 0 | 0 | ||||||
Housing Revenue [Member] | IV [Member] | Public Finance [Member] | ||||||||
Financial Guarantee Insurance Contracts, Premium Receivable [Roll Forward] | ||||||||
Premiums Receivable, Gross | $ 0 | $ 0 |
Insurance Contracts - Effect of
Insurance Contracts - Effect of Reinsurance on Premiums Written and Earned (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||
Direct Premiums Written | $ 30 | $ (2) |
Assumed Reinsurance Premiums Written | 0 | 0 |
Ceded Reinsurance Premiums Written | 18 | 7 |
Premiums written, net of reinsurance | (12) | 9 |
Direct Premiums Earned | 23 | 17 |
Assumed Reinsurance Premiums Earned | 0 | 0 |
Ceded Reinsurance Premiums Earned | $ 8 | $ 3 |
Insurance Contracts - Summarize
Insurance Contracts - Summarized Future Gross Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Details) $ in Millions | Mar. 31, 2022USD ($) |
Future premiums expected to be collected, September 30, 2021 | $ 9 |
Future premiums expected to be collected, December 31, 2021 | 6 |
Future premiums expected to be collected, December 31, 2022 | 30 |
Future premiums expected to be collected, December 31, 2023 | 29 |
Future premiums expected to be collected, December 31, 2024 | 28 |
Future premiums expected to be collected, December 31, 2025 | 27 |
Future premiums expected to be collected, December 31, 2030 | 115 |
Future premiums expected to be collected, December 31, 2035 | 77 |
Future premiums expected to be collected, December 31, 2040 | 34 |
Future premiums expected to be collected, December 31, 2045 | 16 |
Future premiums expected to be collected, December 31, 2050 | 5 |
Future premiums expected to be collected, December 31, 2055 | 0 |
Future premiums expected to be collected, Total | 384 |
Future expected premiums to be earned, net of reinsurance, June 30, 2021 | 8 |
Future expected premiums to be earned, net of reinsurance, September 30, 2021 | 6 |
Future expected premiums to be earned, net of reinsurance, December 31, 2021 | 6 |
Future expected premiums to be earned, net of reinsurance, December 31, 2022 | 24 |
Future expected premiums to be earned, net of reinsurance, December 31, 2023 | 23 |
Future expected premiums to be earned, net of reinsurance, December 31, 2024 | 22 |
Future expected premiums to be earned, net of reinsurance, December 31, 2025 | 22 |
Future expected premiums to be earned, net of reinsurance, December 31, 2030 | 89 |
Future expected premiums to be earned, net of reinsurance, December 31, 2035 | 55 |
Future expected premiums to be earned, net of reinsurance, December 31, 2040 | 22 |
Future expected premiums to be earned, net of reinsurance, December 31, 2045 | 9 |
Future expected premiums to be earned, net of reinsurance, December 31, 2050 | 3 |
Future expected premiums to be earned, net of reinsurance, December 31, 2055 | 0 |
Future expected premiums to be earned, net of reinsurance, Total | 288 |
Financial Guarantee Insurance Contract, Premium Revenue to be Recognized, First Quarter | $ 6 |
Insurance Contracts Financial G
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, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 | |||
Policyholder Benefits and Claims Incurred, Ceded | $ 7 | 1 | ||
Subrogation recoverable | (1,714) | $ (2,092) | ||
Claim liability reported on Balance Sheet, before reinsurance | (683) | (554) | ||
Liability for Claims and Claims Adjustment Expense | 1,067 | 1,570 | ||
Liability for Claim and Claim Adjustment Expenses Net of Subrogation recoverables | (647) | $ (414) | (522) | $ (397) |
Property and Casualty, Commercial Insurance | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Liability for Claims and Claims Adjustment Expense | 36 | 32 | ||
Liability for Claim and Claim Adjustment Expenses Net of Subrogation recoverables | 36 | 32 | ||
Present Value of Expected Net Cash Flows- Claims and Loss Expenses [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Subrogation recoverable | 52 | 88 | ||
Claim liability reported on Balance Sheet, before reinsurance | 1,221 | 1,837 | ||
Liability for Claims and Claims Adjustment Expense | 1,168 | 1,749 | ||
Present Value of Expected Net Cash Flows-Recoveries [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Subrogation recoverable | (1,766) | (2,180) | ||
Claim liability reported on Balance Sheet, before reinsurance | (1,861) | (2,335) | ||
Liability for Claims and Claims Adjustment Expense | (95) | (155) | ||
Unearned Premium Reserve [Member] | ||||
Components of Loss and Loss Expense Reserves and Subrogation Recoverable [Line Items] | ||||
Subrogation recoverable | 0 | 0 | ||
Claim liability reported on Balance Sheet, before reinsurance | (42) | (56) | ||
Liability for Claims and Claims Adjustment Expense | $ (42) | $ (56) |
Insurance Contracts - Summary o
Insurance Contracts - Summary of Loss Reserve Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Loss And Loss Adjustment Expense Reserves [Line Items] | ||||
Impact of VIE Consolidation on Gross Loss and Loss Reserves | $ (292) | $ 0 | ||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||
Beginning balance of net loss and loss expense reserves | (578) | (430) | ||
Current Year Claims and Claims Adjustment Expense | 1 | 0 | ||
Prior Year Claims and Claims Adjustment Expense | 23 | 8 | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Incurred Claims | 24 | 8 | ||
Claim and loss expense payments, net of subrogation and reinsurance | 0 | 0 | ||
Claim and loss expense (payments) recoveries, net of subrogation and reinsurance | 150 | (25) | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Claims Paid | (150) | 25 | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Foreign Currency Translation Gain (Loss) | (1) | 0 | ||
Liability for Unpaid Claims and Claims Adjustment Expense, Net | (404) | (447) | $ (578) | $ (430) |
Reinsurance Recoverable for Unpaid Claims and Claims Adjustments | 49 | 33 | 55 | 33 |
Policyholder Benefits and Claims Incurred, Ceded | 7 | 1 | ||
Net Incurred RMBS Subrogation Recoveries | (224) | (3) | ||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | 0 | |||
Liability for Claim and Claim Adjustment Expenses Net of Subrogation recoverables | $ (647) | $ (414) | (522) | $ (397) |
Financial Guarantee | ||||
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | 0 | |||
Loss Reserves Ceded To Reinsurers | $ 24 |
Insurance Contracts - Summary_2
Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022USD ($)Policies | Dec. 31, 2021USD ($)Policies | Mar. 31, 2021USD ($) | |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 | ||
Number of policies | Policies | 199 | 205 | |
Remaining weighted-average contract period (in years) | 14 years | 14 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 5,469 | $ 6,302 | |
Interest | 2,143 | 2,984 | |
Total | 7,612 | 9,286 | |
Gross undiscounted claim liability | 1,559 | 2,095 | |
Discount, gross claim liability | 377 | 303 | |
Gross claim liability before all subrogation and before reinsurance | 1,182 | 1,792 | |
Less: | |||
Gross RMBS subrogation | (1,537) | (1,737) | |
Discount, RMBS subrogation | 35 | 7 | |
Discounted RMBS subrogation, before reinsurance | (1,502) | (1,730) | |
Less: | |||
Gross other subrogation | (401) | (633) | |
Discount, other subrogation | 41 | 28 | |
Discounted other subrogation, before reinsurance | (360) | (605) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | (680) | (543) | |
Less: Unearned premium reserves | (42) | (56) | |
Plus: Loss adjustment expenses reserves | 39 | 45 | |
Claim liability reported on Balance Sheet, before reinsurance | (683) | (554) | |
Reinsurance recoverable reported on Balance Sheet | 14 | 23 | |
Financial Guarantee | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 | ||
Financial Guarantee | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Loss Reserves Ceded To Reinsurers | 24 | ||
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 | ||
I/SL [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 34 | 34 | |
Remaining weighted-average contract period (in years) | 9 years | 9 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 1,297 | $ 904 | |
Interest | 608 | 589 | |
Total | 1,905 | 1,493 | |
Gross undiscounted claim liability | 8 | 5 | |
Discount, gross claim liability | 1 | 0 | |
Gross claim liability before all subrogation and before reinsurance | 7 | 5 | |
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 | 7 | 5 | |
Less: Unearned premium reserves | (5) | (3) | |
Plus: Loss adjustment expenses reserves | 1 | 1 | |
Claim liability reported on Balance Sheet, before reinsurance | 3 | 3 | |
Reinsurance recoverable reported on Balance Sheet | $ 1 | $ 1 | |
IA [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 14 | 15 | |
Remaining weighted-average contract period (in years) | 17 years | 12 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 305 | $ 840 | |
Interest | 348 | 612 | |
Total | 653 | 1,452 | |
Gross undiscounted claim liability | 5 | 16 | |
Discount, gross claim liability | 1 | 1 | |
Gross claim liability before all subrogation and before reinsurance | 5 | 15 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (5) | (5) | |
Discount, other subrogation | 0 | 0 | |
Discounted other subrogation, before reinsurance | (5) | (5) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 0 | 10 | |
Less: Unearned premium reserves | (3) | (10) | |
Plus: Loss adjustment expenses reserves | 0 | 0 | |
Claim liability reported on Balance Sheet, before reinsurance | (3) | 1 | |
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 1 | |
II [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 8 | 7 | |
Remaining weighted-average contract period (in years) | 14 years | 14 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 457 | $ 459 | |
Interest | 308 | 308 | |
Total | 766 | 767 | |
Gross undiscounted claim liability | 45 | 45 | |
Discount, gross claim liability | 5 | 3 | |
Gross claim liability before all subrogation and before reinsurance | 40 | 42 | |
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 | 40 | 42 | |
Less: Unearned premium reserves | (5) | (5) | |
Plus: Loss adjustment expenses reserves | 0 | 0 | |
Claim liability reported on Balance Sheet, before reinsurance | 35 | 38 | |
Reinsurance recoverable reported on Balance Sheet | $ 9 | $ 10 | |
III [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 14 | 14 | |
Remaining weighted-average contract period (in years) | 15 years | 15 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 1,265 | $ 1,300 | |
Interest | 174 | 169 | |
Total | 1,439 | 1,469 | |
Gross undiscounted claim liability | 572 | 544 | |
Discount, gross claim liability | 155 | 109 | |
Gross claim liability before all subrogation and before reinsurance | 416 | 435 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (33) | (33) | |
Discount, other subrogation | 4 | 2 | |
Discounted other subrogation, before reinsurance | (29) | (31) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 387 | 404 | |
Less: Unearned premium reserves | (12) | (14) | |
Plus: Loss adjustment expenses reserves | 3 | 4 | |
Claim liability reported on Balance Sheet, before reinsurance | 378 | 394 | |
Reinsurance recoverable reported on Balance Sheet | $ 22 | $ 22 | |
IV [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 124 | 130 | |
Remaining weighted-average contract period (in years) | 14 years | 13 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 2,105 | $ 2,759 | |
Interest | 683 | 1,284 | |
Total | 2,788 | 4,043 | |
Gross undiscounted claim liability | 867 | 1,423 | |
Discount, gross claim liability | 208 | 185 | |
Gross claim liability before all subrogation and before reinsurance | 659 | 1,238 | |
Less: | |||
Gross RMBS subrogation | (1,537) | (1,737) | |
Discount, RMBS subrogation | 35 | 7 | |
Discounted RMBS subrogation, before reinsurance | (1,502) | (1,730) | |
Less: | |||
Gross other subrogation | (350) | (583) | |
Discount, other subrogation | 34 | 24 | |
Discounted other subrogation, before reinsurance | (316) | (559) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | (1,159) | (1,051) | |
Less: Unearned premium reserves | (16) | (24) | |
Plus: Loss adjustment expenses reserves | 35 | 40 | |
Claim liability reported on Balance Sheet, before reinsurance | (1,140) | (1,036) | |
Reinsurance recoverable reported on Balance Sheet | $ (18) | $ (11) | |
V [Member] | |||
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Number of policies | Policies | 5 | 5 | |
Remaining weighted-average contract period (in years) | 7 years | 7 years | |
Gross insured contractual payments outstanding: | |||
Principal | $ 40 | $ 40 | |
Interest | 22 | 22 | |
Total | 62 | 62 | |
Gross undiscounted claim liability | 62 | 62 | |
Discount, gross claim liability | 7 | 4 | |
Gross claim liability before all subrogation and before reinsurance | 55 | 57 | |
Less: | |||
Gross RMBS subrogation | 0 | 0 | |
Discount, RMBS subrogation | 0 | 0 | |
Discounted RMBS subrogation, before reinsurance | 0 | 0 | |
Less: | |||
Gross other subrogation | (12) | (12) | |
Discount, other subrogation | 3 | 2 | |
Discounted other subrogation, before reinsurance | (10) | (10) | |
Gross claim liability, net of all subrogation and discounts, before reinsurance | 45 | 47 | |
Less: Unearned premium reserves | (1) | (1) | |
Plus: Loss adjustment expenses reserves | 0 | 0 | |
Claim liability reported on Balance Sheet, before reinsurance | 44 | 46 | |
Reinsurance recoverable reported on Balance Sheet | $ 0 | $ 0 |
Insurance Contracts - Summary_3
Insurance Contracts - Summary of Information Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Phantom) (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Schedule of Insured Financial Obligations with Credit Deterioration [Line Items] | |||
Loss and loss expense reserves | $ 1,067 | $ 1,570 | |
Subrogation recoverable | (1,714) | (2,092) | |
Liability for Claims | $ 1,067 | $ 1,570 | |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 |
Insurance Contracts - Summary_4
Insurance Contracts - Summary of Balance of RMBS Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Schedule Of Balance Of Rmbs Subrogation Recoveries And Related Claim Liabilities By Estimation Approach [Line Items] | ||
Balance Of Rmbs Subrogation Recoveries Net Of Reinsurance | $ (1,480) | $ (1,704) |
Subrogation recoveries | $ 1,502 | $ 1,730 |
Insurance Contracts Financial_2
Insurance Contracts Financial Guarantee Insurance Contracts - Summary of Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Details) $ in Millions | Mar. 31, 2021USD ($) |
Insurance [Abstract] | |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 |
Insurance Contracts - Estimated
Insurance Contracts - Estimated Future Amortization Expense for Insurance Intangible Asset (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Amortization Of Intangible Assets [Line Items] | |||
Amortization of intangible assets | $ 14 | $ 19 | |
2019 | 26 | ||
2020 | 32 | ||
2021 | 30 | ||
2022 | 27 | ||
2023 | 25 | ||
Thereafter | 196 | ||
Intangible assets | $ 350 | $ 362 | |
Insurance Intangible Asset [Member] | |||
Amortization Of Intangible Assets [Line Items] | |||
Acquired Finite-lived Intangible Assets, Weighted Average Useful Life | 7 years 3 months 18 days | ||
Amortization of intangible assets | $ 14 | $ 19 | |
Intangible Assets, Gross (Excluding Goodwill) | 1,264 | 1,278 | |
Finite-Lived Intangible Assets, Accumulated Amortization | 961 | 958 | |
2019 | 24 | ||
2020 | 30 | ||
2021 | 27 | ||
2022 | 25 | ||
2023 | 22 | ||
Thereafter | 176 | ||
Intangible assets | $ 303 | $ 320 |
Insurance - Summary of Percenta
Insurance - Summary of Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Summary of Ceded Par and Net Unsecured Reinsurance Recoverable [Line Items] | |||
Reinsurance Recoverable, Allowance for Credit Loss | $ 49 | $ 10 | |
Ceded Loss And Loss Expenses Paid Not Yet Recovered | $ 0 |
Insurance Contracts Financial_3
Insurance Contracts Financial Guarantee Insurance Contracts - Insurance Intangible Asset (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Intangible assets | $ 350 | $ 362 | |
Amortization of intangible assets | $ 14 | $ 19 |
Insurance Contracts - Premium E
Insurance Contracts - Premium Earned (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Insurance [Line Items] | |||
Premiums Earned, Net | $ 15 | $ 14 | |
Direct Premiums Written | 30 | (2) | |
Direct Premiums Earned | 23 | 17 | |
Assumed Reinsurance Premiums Written | 0 | 0 | |
Assumed Reinsurance Premiums Earned | 0 | 0 | |
Ceded Premiums Written | 18 | 7 | |
Ceded Reinsurance Premiums Earned | 8 | 3 | |
Premiums Written, Net | 12 | (9) | |
Premiums Receivable, Net | $ 317 | $ 323 | |
Estimated Future Premium Payments Weighted Average Discounted Rate | 2.60% | 2.20% | |
Weighted average period of future premiums | 8 years 2 months 12 days | 8 years | |
Reportable Geographical Components [Member] | United States [Member] | |||
Insurance [Line Items] | |||
Premiums Earned, Net | $ 9 | 7 | |
Reportable Geographical Components [Member] | United Kingdom [Member] | |||
Insurance [Line Items] | |||
Premiums Earned, Net | 4 | 3 | |
Reportable Geographical Components [Member] | Other International [Member] | |||
Insurance [Line Items] | |||
Premiums Earned, Net | $ 1 | $ 3 |
Insurance Contracts-Puerto Rico
Insurance Contracts-Puerto Rico | Mar. 15, 2022USD ($) |
Insurance [Line Items] | |
Percent of Par of AACs Outstanding AAC-Insured PRIFA Eliminated | 19.00% |
Amount of AAC-Insured Par of PRIFA and CCDA Eliminated | $ 172,000,000 |
Cash Shared by PRHTA Creditors Under the PRHTA/CCDA/PSA | $ 389,000,000 |
Percent of Creditor Clawback of SUE, Subject to Lifetime Cap | 69.00% |
Lifetime Cap of Creditor Clawback of SUI | $ 3,698,000,000 |
New PRHTA Bonds to be Issued | 1,245,000,000 |
Interim Cash Shared by PRHTA Creditors Under the PRHTA/CCSA/PSA | $ 264,000,000 |
Percent of Par of AACs Outstanding AAC-Insured PRIFA Eliminated | 39.00% |
AAC Insured GO / PBA Bonds Satisfied or Eliminated | $ 94 |
PRHTA 1968 Bonds | |
Insurance [Line Items] | |
New PRHTA Bonds to be Issued | 646,400,000 |
PRHTA 1998 Bonds | |
Insurance [Line Items] | |
New PRHTA Bonds to be Issued | $ 598,600,000 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Gross Fair Values of Individual Derivative Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 6 | $ 13 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 55 | 76 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 76 | 95 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 73 | |
Gross Amount of Collateral Received/Pledged Not Offset in the Consolidated Balance Sheet, Derivative Liabilities | 93 | |
Net Amount, Derivative Assets | 55 | 76 |
Derivative Asset, Fair Value, Gross Asset | 56 | 76 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative liabilities | 76 | 95 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 3 | 2 |
Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 55 | 76 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 74 | 94 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 73 | 93 |
Net Amount, Derivative Assets | 55 | 76 |
Derivative Asset, Fair Value, Gross Asset | 56 | 76 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative liabilities | 75 | 94 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 2 | 1 |
Other Credit Derivatives [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1 | 0 |
Derivative liabilities | 1 | 0 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 1 | 0 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 42 | 38 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,866 | 1,940 |
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 | 42 | 38 |
Derivative Asset, Fair Value, Gross Asset | 42 | 38 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative liabilities | 1,866 | 1,940 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 0 | 0 |
Derivative Liabilities Net Amount | 1,866 | 1,940 |
Variable Interest Entity, Primary Beneficiary [Member] | Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Derivative Liabilities | 1,866 | 1,940 |
Derivative liabilities | 1,866 | 1,940 |
Derivative Liabilities Net Amount | 1,866 | 1,940 |
Variable Interest Entity, Primary Beneficiary [Member] | Currency Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Derivative Assets | 42 | 38 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 0 | |
Net Amount, Derivative Assets | 42 | 38 |
Derivative Asset, Fair Value, Gross Asset | 42 | $ 38 |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 0 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
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 | $ 6,000,000 | $ 13,000,000 | |
Value of obligation to return cash collateral, recorded in "Other liabilities" | 0 | ||
Gains in change in fair value of the call options | 57,000,000 | $ 25,000,000 | |
Net liability fair value of all derivative instruments linked to Ambac's own credit risk | 73,000,000 | 93,000,000 | |
Fair value of posted assets as collateral | $ 87,000,000 | $ 109,000,000 |
Derivative Instruments - Summ_2
Derivative Instruments - Summary of Location and Amount of Gains and Losses of Derivative Contracts (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Debt and Equity Securities, FV-NI [Line Items] | ||
Derivative, Gain (Loss) on Derivative, Net | $ 57 | $ 25 |
Derivative, Gain (Loss) on Derivatives, Total Net | 68 | 121 |
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 | 30 | 17 |
Net gains (losses) on derivative contracts [Domain] | Futures Contracts [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Derivative, Gain (Loss) on Derivative, Net | 27 | 8 |
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 | 11 | 96 |
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 | 5 | 97 |
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 | $ 6 | $ (2) |
Derivative Instruments - Summ_3
Derivative Instruments - Summary of Notional Amounts of AFS's Trading Derivative Products (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
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 | $ 181 | $ 185 |
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 | 1,262 | 1,275 |
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 | 470 | 470 |
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 | 1,185 | 1,221 |
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 | 1,020 | 1,069 |
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 | $ 196 | $ 201 |
Derivative Instruments - Summ_4
Derivative Instruments - Summary of Notional for VIE Derivatives Outstanding (Details) - Variable Interest Entity, Primary Beneficiary [Member] - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
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 | $ 1,185 | $ 1,221 |
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 | 1,020 | 1,069 |
Currency Swaps [Member] | ||
Schedule Of Loans And Allowance For Loan By Class Individually And Collectively Evaluated For Impairment [Line Items] | ||
Derivative products, Notional Amount | $ 256 | $ 272 |
Intangible Assets (Details)
Intangible Assets (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Intangible assets | $ 350 | $ 362 | |
Amortization of intangible assets | 14 | $ 19 | |
2019 | 26 | ||
2020 | 32 | ||
2021 | 30 | ||
2022 | 27 | ||
2023 | 25 | ||
Thereafter | 196 | ||
Finite-Lived Intangible Assets, Net | 336 | 353 | |
PWIC | |||
Business Combination, Recognized Identifiable Assets Acquired and Liabilities Assumed, Intangible Assets, Other than Goodwill | 14 | 9 | |
Insurance Intangible Asset [Member] | |||
Intangible Assets, Gross (Excluding Goodwill) | 1,264 | 1,278 | |
Finite-Lived Intangible Assets, Accumulated Amortization | 961 | 958 | |
Intangible assets | 303 | 320 | |
Amortization of intangible assets | 14 | 19 | |
2019 | 24 | ||
2020 | 30 | ||
2021 | 27 | ||
2022 | 25 | ||
2023 | 22 | ||
Thereafter | $ 176 | ||
Acquired Finite-lived Intangible Assets, Weighted Average Useful Life | 7 years 3 months 18 days | ||
Other Intangible Assets | |||
Intangible Assets, Gross (Excluding Goodwill) | $ 36 | 36 | |
Finite-Lived Intangible Assets, Accumulated Amortization | 3 | 3 | |
Intangible assets | 32 | $ 33 | |
Amortization of intangible assets | 1 | $ 1 | |
2019 | 2 | ||
2020 | 3 | ||
2021 | 3 | ||
2022 | 3 | ||
2023 | 2 | ||
Thereafter | $ 20 | ||
Acquired Finite-lived Intangible Assets, Weighted Average Useful Life | 5 years 9 months 18 days |
Special Purpose Entities, Inc_2
Special Purpose Entities, Including Variable Interest Entities - Additional Information (Details) | 3 Months Ended | ||
Mar. 31, 2022USD ($)consolidationVIEEntity | Mar. 31, 2021USD ($)consolidationVIE | Dec. 31, 2021USD ($)Entity | |
Variable Interest Entities [Line Items] | |||
Variable Interest Entity Change in Fair Value of Assets and Liabilities | $ (1,000,000) | $ (1,000,000) | |
Realized Investment Gains (Losses) | 10,000,000 | 2,000,000 | |
Other Operating Income (Expense), Net | 2,000,000 | (2,000,000) | |
Fair value of special purpose entities | 0 | ||
Variable Interest Entity, Measure of Activity, Income or Loss before Tax | 22,000,000 | $ 0 | |
Long-term debt | $ 2,242,000,000 | $ 2,230,000,000 | |
Number of Variable Interest Entities Consolidated During the Period | 2 | 0 | |
Number of Variable Interest Entities Deconsolidated During Period | consolidationVIE | 0 | 0 | |
Gain (loss) from consolidating VIEs | $ 28,000,000 | $ 0 | |
Number of Trusts Established Resulting From Puerto Rico Restructuring Transaction | 2 | ||
Consolidated Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Number Of Consolidated Variable Interest Entities | Entity | 8 | 6 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Reclassification Adjustment from AOCI for Derecognition, before Tax | $ (1,000,000) | 1,000,000 | |
VIE Change in FV of Assets Liabilities, Net of Credit Risk Change | (1,000,000) | (1,000,000) | |
Gross Investment Income, Operating | (4,000,000) | 2,000,000 | |
Interest Expense, Long-term Debt | (2,000,000) | (1,000,000) | |
Long-term debt | $ 4,124,000,000 | $ 4,216,000,000 | |
Ambac UK [Member] | Consolidated Entities [Member] | |||
Variable Interest Entities [Line Items] | |||
Number Of Consolidated Variable Interest Entities | Entity | 5 | 5 | |
Ambac UK [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Long-term debt | $ 3,701,000,000 | $ 4,056,000,000 | |
Fixed Income Investments [Member] | Variable Interest Entity, Primary Beneficiary [Member] | |||
Variable Interest Entities [Line Items] | |||
Realized Investment Gains (Losses) | $ 1,000,000 | $ 1,000,000 |
Special Purpose Entities, Inc_3
Special Purpose Entities, Including Variable Interest Entities - Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Variable Interest Entities [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | $ 2,005 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 73 | $ 141 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 43 | 16 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entities [Line Items] | ||
Loans Unpaid Principal Balance | 2,257 | 2,363 |
Long Term Debt Unpaid Principal Balance | 3,439 | 3,579 |
Variable Interest Entity, Primary Beneficiary [Member] | Municipal Bonds [Member] | ||
Variable Interest Entities [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 103 | 106 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | $ 17 | $ 29 |
Special Purpose Entities, Inc_4
Special Purpose Entities, Including Variable Interest Entities - Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Variable Interest Entities [Line Items] | ||
Long-term debt | $ 2,242 | $ 2,230 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entities [Line Items] | ||
Long-term debt | 4,124 | 4,216 |
Long-term debt, Estimated fair value | 3,701 | 4,056 |
Loans Unpaid Principal Balance | 2,257 | 2,363 |
Long Term Debt Unpaid Principal Balance | $ 3,439 | $ 3,579 |
Special Purpose Entities, Inc_5
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 (Details) - USD ($) $ in Millions | Mar. 31, 2022 | Dec. 31, 2021 |
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | $ 24,517 | $ 25,112 |
Insurance Assets | 1,899 | 2,195 |
Insurance Liabilities | 962 | 1,023 |
Derivative Liabilities | 2 | |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entities [Line Items] | ||
Derivative Liabilities | 5 | |
Global Public Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 19,910 | 20,233 |
Insurance Assets | 244 | 246 |
Insurance Liabilities | 255 | 257 |
Derivative Liabilities | (1) | 0 |
Global Structured Finance [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 4,608 | 4,879 |
Insurance Assets | 1,655 | 1,949 |
Insurance Liabilities | 706 | 765 |
Derivative Liabilities | 3 | 5 |
Global Structured Finance [Member] | Residential Mortgage-Backed Securities [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 3,089 | 3,265 |
Insurance Assets | 1,637 | 1,929 |
Insurance Liabilities | 466 | 521 |
Derivative Liabilities | 0 | 0 |
Global Structured Finance [Member] | Other Consumer Asset-Backed [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 743 | 788 |
Insurance Assets | 16 | 17 |
Insurance Liabilities | 231 | 234 |
Derivative Liabilities | 0 | 0 |
Global Structured Finance [Member] | Other [Member] | ||
Variable Interest Entities [Line Items] | ||
Maximum Exposure To Loss | 775 | 826 |
Insurance Assets | 2 | 3 |
Insurance Liabilities | 9 | 10 |
Derivative Liabilities | $ 3 | $ 5 |
Variable Interest Entities Spec
Variable Interest Entities Special Purpose Entities, including Variable Interest Entities - Summary of Assets and Liabilities (Details) $ in Millions | Mar. 31, 2022USD ($)Entity | Dec. 31, 2021USD ($)Entity | Mar. 31, 2021USD ($) |
Debt Securities, Available-for-sale, Amortized Cost | $ 2,005 | ||
Fixed maturity securities, at fair value | 2,036 | ||
Restricted Cash | 7 | $ 5 | $ 16 |
Derivative assets | 55 | 76 | |
Other assets | 94 | 68 | |
Total assets | 11,531 | 12,303 | 12,840 |
Interest Payable | 593 | 576 | |
Long-term debt | 2,242 | 2,230 | |
Derivative Liability | 76 | 95 | |
Other Liabilities | 135 | 133 | |
Liabilities | 10,538 | 11,187 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 73 | 141 | |
Ambac Assurance Corporation [Member] | Sitka AAC Note | |||
Long-term debt | 1,155 | 1,154 | |
Variable Interest Entity, Primary Beneficiary [Member] | |||
Fixed maturity securities, at fair value | 3,364 | 3,455 | |
Restricted Cash | 49 | 2 | $ 2 |
Financing Receivable, after Allowance for Credit Loss | 2,469 | 2,718 | |
Derivative assets | 42 | 38 | |
Other assets | 1 | 2 | |
Total assets | 5,925 | 6,216 | |
Long-term debt | 3,701 | 4,056 | |
Long-term Debt, at par less amortized discount | 422 | 160 | |
Long-term debt | 4,124 | 4,216 | |
Derivative Liability | 1,866 | 1,940 | |
Other Liabilities | 3 | 0 | |
Liabilities | 5,993 | 6,156 | |
Variable Interest Entity, Primary Beneficiary [Member] | Corporate Debt Securities [Member] | |||
Fixed maturity securities, at fair value | 3,131 | 3,320 | |
Variable Interest Entity, Primary Beneficiary [Member] | Municipal Bonds [Member] | |||
Debt Securities, Available-for-sale, Amortized Cost | 103 | 106 | |
Fixed maturity securities, at fair value | 119 | 136 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 17 | 29 | |
Variable Interest Entity, Primary Beneficiary [Member] | US States and Political Subdivisions Debt Securities | |||
Fixed maturity securities, at fair value | 114 | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac UK [Member] | |||
Fixed maturity securities, at fair value | 3,131 | 3,320 | |
Restricted Cash | 1 | 1 | |
Financing Receivable, after Allowance for Credit Loss | 2,469 | 2,718 | |
Derivative assets | 42 | 38 | |
Other assets | 0 | 0 | |
Total assets | 5,643 | 6,077 | |
Long-term debt | 3,701 | 4,056 | |
Long-term Debt, at par less amortized discount | 0 | 0 | |
Long-term debt | 3,701 | 4,056 | |
Derivative Liability | 1,866 | 1,940 | |
Other Liabilities | 0 | 0 | |
Liabilities | 5,568 | 5,996 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac UK [Member] | Corporate Debt Securities [Member] | |||
Fixed maturity securities, at fair value | 3,131 | 3,320 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac UK [Member] | Municipal Bonds [Member] | |||
Fixed maturity securities, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac UK [Member] | US States and Political Subdivisions Debt Securities | |||
Fixed maturity securities, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac Assurance [Member] | |||
Fixed maturity securities, at fair value | 233 | 136 | |
Restricted Cash | 48 | 1 | |
Financing Receivable, after Allowance for Credit Loss | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 1 | 2 | |
Total assets | 283 | 139 | |
Long-term debt | 0 | 0 | |
Long-term Debt, at par less amortized discount | 422 | 160 | |
Long-term debt | 422 | 160 | |
Derivative Liability | 0 | 0 | |
Other Liabilities | 3 | 0 | |
Liabilities | 426 | 160 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac Assurance [Member] | Corporate Debt Securities [Member] | |||
Fixed maturity securities, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac Assurance [Member] | Municipal Bonds [Member] | |||
Fixed maturity securities, at fair value | 119 | 136 | |
Variable Interest Entity, Primary Beneficiary [Member] | Ambac Assurance [Member] | US States and Political Subdivisions Debt Securities | |||
Fixed maturity securities, at fair value | $ 114 | $ 0 | |
Consolidated Entities [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 8 | 6 | |
Consolidated Entities [Member] | Ambac UK [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 5 | 5 | |
Consolidated Entities [Member] | Ambac Assurance [Member] | |||
Number Of Consolidated Variable Interest Entities | Entity | 3 | 1 |
Revenue Recognition and Defer_3
Revenue Recognition and Deferred Revenue (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2022USD ($) | Mar. 31, 2021USD ($) | Dec. 31, 2021USD ($) | |
Contract with Customer, Liability, Revenue Recognized | $ 1 | ||
Revenue from Contract with Customer, Excluding Assessed Tax | 9 | $ 7 | |
Contract with Customer, Receivable, after Allowance for Credit Loss | 3 | $ 2 | |
Contract with Customer, Asset, after Allowance for Credit Loss | 6 | 4 | |
Contract with Customer, Liability | 1 | $ 1 | |
Contract with Customer, Performance Obligation Satisfied in Previous Period | 4 | 3 | |
Employer Stop Loss | |||
Revenue from Contract with Customer, Excluding Assessed Tax | 4 | 3 | |
Affinity Products | |||
Revenue from Contract with Customer, Excluding Assessed Tax | 5 | 4 | |
Other Income From Revenue From Contract with Customer | |||
Revenue from Contract with Customer, Excluding Assessed Tax | $ 0 | $ 0 | |
Minimum [Member] | |||
Employee Stop Loss Time When Base Commissions Recognized Begin and End In Months | 17 | ||
Maximum [Member] | |||
Employee Stop Loss Time When Base Commissions Recognized Begin and End In Months | 20 |
Comprehensive Income - Schedule
Comprehensive Income - Schedule of Changes in Balances of Each Component of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | $ 58 | $ 79 |
Other comprehensive income before reclassifications | 127 | 15 |
Amounts reclassified from accumulated other comprehensive income | (1) | (4) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (127) | (18) |
Ending Balance | (70) | 61 |
Income Tax Expense (Benefit) | 0 | 2 |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 154 | 166 |
Other comprehensive income before reclassifications | 104 | 21 |
Amounts reclassified from accumulated other comprehensive income | (1) | (3) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (105) | (24) |
Ending Balance | 49 | 142 |
Accumulated Translation Adjustment [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (100) | (92) |
Other comprehensive income before reclassifications | 23 | (6) |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (23) | 6 |
Ending Balance | (123) | (86) |
Accumulated Gain (Loss), Financial Liability, Fair Value Option, Attributable to Parent [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (1) | 0 |
Other comprehensive income before reclassifications | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 0 | (1) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | (1) |
Ending Balance | (1) | (1) |
Other Postretirement Benefits Plan [Member] | ||
Changes In Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 4 | 5 |
Other comprehensive income before reclassifications | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 0 | 0 |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | 0 |
Ending Balance | 4 | 5 |
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) | 0 | (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 (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax expense (benefit) | $ 0 | $ (2) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, after Tax | 0 | (1) |
Net of tax and noncontrolling interest | 2 | 4 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (1) | (4) |
Unrealized Gains (Losses) on Available-for-Sale Securities [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net realized investment gains | (1) | (2) |
Net of tax and noncontrolling interest | (1) | (3) |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | (1) | (3) |
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 | 0 | 1 |
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 0 | (1) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, before Tax, after Reclassification Adjustment | 1 | (1) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net of tax and noncontrolling interest | (1) | (3) |
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) | 0 | 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) | 0 | 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 (Details) | 1 Months Ended | 3 Months Ended | ||||
May 10, 2022USD ($)$ / shares | Mar. 31, 2022USD ($)$ / sharesshares | Mar. 31, 2021USD ($)$ / shares | May 05, 2022USD ($) | May 01, 2013$ / shares | Apr. 30, 2013$ / shares | |
Schedule Of Earnings Per Share [Line Items] | ||||||
Common stock, shares outstanding | shares | 46,545,232 | |||||
Par value of common stock issued | $ / shares | $ 0.01 | $ 0.01 | ||||
Exercise price of common stock | $ / shares | $ 16.67 | |||||
Warrants outstanding | shares | 4,877,617 | |||||
Earnings Per Share, Basic | $ / shares | $ 0.04 | $ 0.08 | ||||
Earnings Per Share, Diluted | $ / shares | $ 0.04 | $ 0.08 | ||||
Noncontrolling Interest, Change in Redemption Value | $ 0 | $ (13,000,000) | ||||
Net Income (Loss) Available to Common Stockholders, Basic | 2,000,000 | $ 4,000,000 | ||||
Stock Repurchase Program, Authorized Amount | $ 20,000,000 | |||||
Stock Repurchased During Period, Shares | shares | 0 | |||||
Subsequent Event | Common Stock Repurchase | ||||||
Schedule Of Earnings Per Share [Line Items] | ||||||
Stock Repurchase Program, Authorized Amount | $ 15,000,000 | |||||
Common Shares, Number Repurchased | 1,505,316 | |||||
Payments for Repurchase of Common Stock | $ 13,200,000 | |||||
Payments for Common Stock per share | $ / shares | $ 8.78 | |||||
Common Stock Remaining Repurchase Dollar Amount | $ 21,800,000 | |||||
Common Stock [Member] | ||||||
Schedule Of Earnings Per Share [Line Items] | ||||||
Number of new common stock issued | shares | 241,093 |
Net Income Per Share - Reconcil
Net Income Per Share - Reconciliation of Common Shares Used for Basic and Diluted Earnings Per Share (Details) - shares | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Weighted average number of common shares used for basic earnings per share | 46,731,459 | 46,314,049 |
Effect of potential dilutive shares: | ||
Weighted average number of common shares and potential dilutive shares used for diluted earnings per share | 47,359,731 | 46,858,064 |
Warrants [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 4,877,617 | 0 |
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 | 253,828 | 165,529 |
Performance Shares [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 0 | 0 |
Warrants [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 0 | 214,904 |
Restricted Stock Units (RSUs) [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 82,066 | 121,215 |
Performance Shares [Member] | ||
Effect of potential dilutive shares: | ||
Effect of potential dilutive shares | 546,206 | 207,896 |
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, 2022 | Mar. 31, 2021 | |
Weighted Average Number of Shares Outstanding, Basic | 46,731,459 | 46,314,049 |
Weighted Average Number of Shares Outstanding, Diluted | 47,359,731 | 46,858,064 |
Restricted Stock Units (RSUs) [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 253,828 | 165,529 |
Warrants [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 4,877,617 | 0 |
Performance Shares [Member] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 0 | 0 |
Performance Shares [Member] | ||
Weighted Average Number Diluted Shares Outstanding Adjustment | 546,206 | 207,896 |
Restricted Stock Units (RSUs) [Member] | ||
Weighted Average Number Diluted Shares Outstanding Adjustment | 82,066 | 121,215 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022 | Mar. 31, 2021 | |
Provision for Income Taxes [Line Items] | ||
Current Federal Tax Expense (Benefit) | $ 0 | $ 0 |
Income (Loss) from Continuing Operations before Income Taxes, Domestic | (1) | 17 |
Current Income Tax Expense (Benefit) | 2 | 5 |
Deferred Foreign Income Tax Expense (Benefit) | (1) | (3) |
Deferred Income Tax Expense (Benefit) | (1) | (3) |
Income Tax Expense (Benefit) | 0 | 2 |
Income (Loss) from Continuing Operations before Income Taxes, Foreign | 4 | 2 |
Pre-tax income (loss) | 3 | 19 |
Current State and Local Tax Expense (Benefit) | 0 | 2 |
Current Foreign Tax Expense (Benefit) | $ 1 | $ 3 |
Income Taxes Income Taxes - NOL
Income Taxes Income Taxes - NOL Usage Table (Details) | 3 Months Ended |
Mar. 31, 2022 | |
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, 2022 | Mar. 31, 2021 | |
Schedule of Income Before Income Tax, Domestic and Foreign [Line Items] | ||
Income (Loss) from Continuing Operations before Income Taxes, Domestic | $ (1) | $ 17 |
Income (Loss) from Continuing Operations before Income Taxes, Foreign | 4 | 2 |
Pre-tax income (loss) | $ 3 | $ 19 |