v3.24.2.u1
Derivative Instruments
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
6.    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 June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
Gross
Amounts of
Recognized
Assets /
Liabilities		Gross
Amounts
Offset in the
Consolidated
Balance Sheet		Net Amounts
of Assets/
Liabilities
Presented
in the Consolidated
Balance Sheet		Gross Amount
of Collateral
Received /
Pledged Not
Offset in the
Consolidated
Balance 
Sheet		Net
Amount		Gross
Amounts of
Recognized
Assets /
Liabilities		Gross
Amounts
Offset in the
Consolidated
Balance Sheet		Net Amounts
of Assets/
Liabilities
Presented
in the Consolidated
Balance Sheet		Gross Amount
of Collateral
Received /
Pledged Not
Offset in the
Consolidated
Balance 
Sheet		Net
Amount
Other assets:
Interest rate swaps$18 $— $18 $— $18 $25 $— $25 $— $25 
Warrants1 — 1 — 1 1 — 1 — 1 
Total non-VIE derivative assets$18 $— $18 $— $18 $26 $— $26 $— $26 
Other liabilities:
Interest rate swaps$25 $— $25 $25 $— $35 $— $35 $35 $— 
FX forward— — — — — — — — — — 
Total non-VIE derivative liabilities$26 $— $26 $25 $— $35 $— $35 $35 $— 
Variable interest entities assets: Derivative and other assets:
Interest rate swaps$174 $— $174 $174 $— $190 $— $190 $190 $— 
Currency swaps34 — 34 34 — 36 — 36 36 — 
Total VIE derivative assets$208 $— $208 $208 $— $226 $— $226 $226 $— 
Variable Interest Entities Derivative Liabilities:
Interest rate swaps$1,136 $— $1,136 $— $1,136 $1,197 $— $1,197 $— $1,197 
Total VIE derivative liabilities$1,136 $— $1,136 $— $1,136 $1,197 $— $1,197 $— $1,197 
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 $18 and $23 as of June 30, 2024 and December 31, 2023, respectively. Amounts representing an obligation to return cash collateral were $52 and $235 as of June 30, 2024 and December 31, 2023, respectively and are reported in "Variable interest entity liabilities: Other liabilities".
The following tables summarize the location and amount of gains and losses of derivative contracts in the Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three and six months ended June 30, 2024 and 2023:
Location of Gain (Loss)
Recognized in
Consolidated Statements of Total
Comprehensive Income (Loss)		Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
Three Months Ended June 30,Six Months Ended June 30,
2024202320242023
Non-VIE derivatives:
Interest rate swapsNet gains (losses) on derivative contracts1 1 2 (3)
WarrantsNet gains (losses) on derivative contracts— — — — 
FX ForwardNet gains (losses) on derivative contracts— — — — 
Total Non-VIE derivatives$— $— 2 (3)
Variable Interest Entities:
Currency swapsIncome (loss) on variable interest entities$— $(1)2 (3)
Interest rate swapsIncome (loss) on variable interest entities43 97 57 (2)
Total Variable Interest Entities44 96 59 (5)
Total derivative contracts$44 $97 $61 $(8)

Interest Rate Derivatives:
AFS provided interest rate derivatives to financial guarantee customers and used derivatives to provide a partial hedge against interest rate risk in AAC's insurance and investment portfolios. Additionally, AFS provided interest rate swaps to states, municipalities and their authorities, asset-backed issuers and other entities in connection with their financings. AFS's only remaining derivative positions include a limited number of legacy customer swaps and their associated hedges. As of June 30, 2024 and
December 31, 2023, the notional amounts of AFS’s derivatives are as follows:
Notional
Type of DerivativeJune 30,
2024		December 31,
2023
Interest rate swaps—pay-fixed/receive-variable$140 $141 
Interest rate swaps—receive-fixed/pay-variable159 167 
Other Derivatives:
As of June 30, 2024 Ambac holds warrants to purchase equity shares of development stage companies and is party to a US dollar / British pound sterling foreign exchange forward contract to protect against currency fluctuations related to the purchase of Beat.
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 amounts for VIE derivatives outstanding as of June 30, 2024 and December 31, 2023, were as follows:
Notional
Type of VIE DerivativeJune 30,
2024		December 31,
2023
Interest rate swaps—receive-fixed/pay-variable$1,648 $1,662 
Interest rate swaps—pay-fixed/receive-variable820 864 
Currency swaps136 149 
Contingent Features in Derivatives Related to Ambac Credit Risk
Certain of Ambac's interest rate swaps remain with professional swap-dealer counterparties 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 June 30, 2024 and December 31, 2023, the net liability fair value of derivative instruments with contingent features linked to Ambac’s own credit risk was $25 and $35, respectively, related to which Ambac had posted cash and securities as collateral with a fair value of $44 and $50, 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 June 30, 2024, 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.