v3.24.2.u1
Investments (Tables)
 6 Months Ended
Jun. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
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 June 30, 2024, by contractual maturity, were as follows:
Amortized
Cost		Estimated
Fair Value
Due in one year or less$439 $437 
Due after one year through five years543 521 
Due after five years through ten years304 279 
Due after ten years132 124 
1,418 1,361 
Residential mortgage-backed securities240 253 
Commercial mortgage-backed securities46 46 
Collateralized debt obligations141 141 
Other asset-backed securities234 241 
Total$2,078 $2,043 
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 June 30, 2024 and December 31, 2023, did not have an allowance for credit losses This information is aggregated by investment category and length of time that the individual securities have been in a continuous unrealized loss position, at June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
Less Than 12 Months12 Months or MoreTotalLess Than 12 Months12 Months or MoreTotal
Fair 
Value		Gross
Unrealized
Loss		Fair 
Value		Gross
Unrealized
Loss		Fair 
Value		Gross
Unrealized
Loss		Fair 
Value		Gross
Unrealized
Loss		Fair 
Value		Gross
Unrealized
Loss		Fair 
Value		Gross
Unrealized
Loss
Fixed maturity securities:
Municipal obligations$21 $— $15 $1 $35 $2 $7 $— $16 $1 $23 $1 
Corporate obligations125 3 493 43 618 46 75 2 509 43 584 44 
Foreign obligations25 — 55 7 80 7 8 — 56 6 64 6 
U.S. government obligations58 1 37 3 95 4 27 1 37 2 63 4 
Residential mortgage-backed securities16 — 113 13 129 13 6 — 98 14 104 14 
Commercial mortgage-backed securities17 — — — 17 — 3 — — — 3 — 
Collateralized debt obligations18 — 3 — 22 — 1 — 93 1 95 1 
Other asset-backed securities45 1 72 4 117 5 57 1 35 1 92 1 
326 5 787 71 1,113 77 184 4 844 68 1,028 71 
Short-term46 — — — 46 — 4 — — — 4 — 
372 5 787 71 1,159 77 187 4 844 68 1,032 71 
U. S. government obligations25 1 — — 25 1 — — — — — — 
Total collateralized investments25 1 — — 25 1 — — — — — — 
Total temporarily impaired securities$398 $7 $787 $71 $1,184 $78 $187 $4 $844 $68 $1,032 $71 
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 June 30,Six Months Ended June 30,
2024202320242023
Gross realized gains on securities$7 $— $7 $1 
Gross realized losses on securities(1)(2)(1)(3)
Foreign exchange gains (losses) (1)(2)— (4)
Credit impairments(2)— (1)(1)
Intent / requirement to sell impairments— — — — 
Net investment gains (losses), including impairments$4 $(3)$4 $(8)
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 June 30, 2024 and December 31, 2023,
respectively: 
June 30, 2024December 31, 2023
Municipal obligations$8 $9 
Mortgage-backed securities244 240 
Asset-backed securities151 232 
Total$403 482 
Weighted average underlying ratingB-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 $30 to private credit and private equity funds at June 30, 2024.
Fair Value
Class of FundsJune 30,
2024		December 31, 2023Redemption FrequencyRedemption Notice Period
Hedge funds (1)
$117 $112 quarterly or semi-annually90 days
Private credit (2)
83 84 quarterly if permitted180 days if permitted
High yields and leveraged loans (3) (10)
137 85 daily0 - 30 days
Equity market investments (4) (10)
40 38 daily0 days
Investment grade floating rate income (5)
53 52 weekly0 days
Private equity (6)
79 70 quarterly if permitted90 days if permitted
Real estate properties (7)
— 21 
see footnote (7)
see footnote (7)
Convertible bonds (8)(10)
23 — daily0 days
Insurance-linked investments (9)
— 1 
see footnote (9)
see footnote (9)
Total equity investments in pooled funds$533 $463 
(1)This class seeks to generate superior risk-adjusted returns through selective asset sourcing, active trading and hedging strategies across a range of asset types.
(2)This class aims to obtain high long-term returns primarily through credit and preferred equity investments with low liquidity and defined term.
(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 of funds aim to achieve long term growth through diversified exposure to global equity-markets.
(5)This class of funds includes investments in high quality floating rate debt securities including ABS and corporate floating rate notes.
(6)This class seeks to generate long-term capital appreciation through investments in private equity, equity-related and other instruments.
(7)Investments consisted of UK property to generate income and capital growth. The fund in which Ambac was invested has terminated on May 30, 2024 and is in the process of distributing remaining capital. Amounts owed Ambac from the fund are included in Other assets on the Consolidated Balance Sheet as of June 30, 2024.
(8)This class seeks to generate total returns from portfolios focused primarily on convertible securities.
(9)This class seeks to generate returns from insurance markets through investments in catastrophe bonds, life insurance and other insurance linked investments. This investment was restricted in connection with the unwind of certain insurance linked exposures. Ambac's investment was fully redeemed by March 31, 2024.
(10)These categories include fair value amounts totaling $153 and $77 at June 30, 2024 and December 31, 2023, respectively, that are readily determinable and are priced through pricing vendors, including for Equity market investments $40 and $38, High yield and leveraged loans products $89 and $39, and Convertible bonds investments $23 and $0.
Summary of Net Investment Income
Net investment income (loss) was comprised of the following for the affected periods:
Three Months Ended June 30,Six Months Ended June 30,
2024202320242023
Fixed maturity securities$22 $19 $45 $35 
Short-term investments5 5 10 10 
Investment expense(1)(1)(3)(3)
Securities available-for-sale and short-term26 22 52 43 
Fixed maturity securities - trading2 4 4 5 
Other investments8 9 21 22 
Total net investment income (loss)$36 $35 $78 $69 
Debt Securities, Available-for-Sale
The amortized cost and estimated fair value of available-for-sale investments, excluding VIE investments, at June 30, 2024 and December 31, 2023, were as follows:
June 30, 2024:December 31, 2023:
Amortized
Cost
Allowance for Credit Losses (2)
Gross UnrealizedEstimated
Fair Value		Amortized
Cost		Allowance for Credit LossesGross UnrealizedEstimated
Fair Value
GainsLossesGainsLosses
Fixed maturity securities:
Municipal obligations$71 $— $1 $2 $71 $72 — $1 $1 $72 
Corporate obligations786 — 2 46 742 785 — 4 44 745 
Foreign obligations111 — — 7 105 105 — 1 6 100 
U.S. government obligations108 — — 4 105 85 — 1 4 82 
Residential mortgage-backed securities240 3 28 13 253 239 3 28 14 250 
Commercial mortgage-backed securities46 — — — 46 19 — — — 19 
Collateralized debt obligations141 — 1 — 141 139 — 1 1 139 
Other asset-backed securities (1)
234 — 12 5 241 301 — 3 1 303 
1,737 3 45 77 1,703 1,744 3 40 71 1,710 
Short-term314 — — — 314 426 — — — 426 
2,051 3 45 77 2,017 2,170 3 40 71 2,135 
Fixed maturity securities pledged as collateral:
U.S. government obligations27 — — 1 25 — — — — — 
Short-term— — — — — 27 — — — 27 
27 — — 1 25 27 — — — 27 
Total available-for-sale investments$2,078 $3 $45 $78 $2,043 $2,197 3 $40 $71 $2,162 
(1)Consists primarily of military housing and student loan securities.
(2)For the three and six months ended June 30, 2024, the allowance for credit losses changed by $0 on residential mortgage-backed securities for which credit losses were not previously recorded.