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As Of Filer Filing For·On·As Docs:Size 11/08/22 Ambac Financial Group Inc. 10-Q 9/30/22 108:25M |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 5.88M 2: EX-31.1 Certification -- §302 - SOA'02 HTML 37K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 37K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 36K 10: R1 Document and Entity Information HTML 96K 11: R2 Consolidated Balance Sheets HTML 209K 12: R3 Consolidated Balance Sheets (Parenthetical) HTML 66K 13: R4 Consolidated Statements of Total Comprehensive HTML 179K Income 14: R5 Consolidated Statements of Total Comprehensive HTML 45K Income (Parenthetical) 15: R6 Consolidated Statements of Stockholders' Equity HTML 91K 16: R7 Consolidated Statements of Cash Flows HTML 152K 17: R8 Background and Business Description HTML 47K 18: R9 Basis of Presentation and Significant Accounting HTML 76K Policies (Notes) 19: R10 Segment Reporting HTML 220K 20: R11 Investments HTML 360K 21: R12 Fair Value Measurements HTML 429K 22: R13 Insurance Contracts HTML 429K 23: R14 Derivative Instruments HTML 173K 24: R15 Intangible Assets HTML 79K 25: R16 Revenue Recognition and Deferred Revenue HTML 60K 26: R17 Comprehensive Income HTML 165K 27: R18 Net Income Per Share HTML 82K 28: R19 Income Taxes HTML 76K 29: R20 Commitments and Contingencies HTML 110K 30: R21 Basis of Presentation and Significant Accounting HTML 68K Policies (Policies) 31: R22 Segment Reporting (Policies) HTML 37K 32: R23 Financial Services, Insurance (Tables) HTML 44K 33: R24 Basis of Presentation and Significant Accounting HTML 63K Policies Supplemental Cash Flow Information (Tables) 34: R25 Investments (Tables) HTML 358K 35: R26 Fair Value Measurements (Tables) HTML 402K 36: R27 Insurance Contracts (Tables) HTML 490K 37: R28 Derivative Instruments (Tables) HTML 173K 38: R29 Intangible Assets (Tables) HTML 85K 39: R30 Special Purpose Entities, Including Variable HTML 162K Interest Entities (Tables) 40: R31 Revenue Recognition and Deferred Revenue (Tables) HTML 57K 41: R32 Comprehensive Income (Tables) HTML 156K 42: R33 Net Income Per Share (Tables) HTML 80K 43: R34 Income Taxes (Tables) HTML 77K 44: R35 Background and Business Description - Additional HTML 76K Information (Details) 45: R36 Background and Business Description (Details) HTML 61K 46: R37 Basis of Presentation and Significant Accounting HTML 37K Policies FX gain (Loss) (Details) 47: R38 Basis of Presentation and Significant Accounting HTML 70K Policies Additional Information (Details) 48: R39 Basis of Presentation and Significant Accounting HTML 53K Policies Supplemental Cash Flow information (Details) 49: R40 Segment Reporting (Details) HTML 153K 50: R41 Investments - Summary of Amortized Cost and HTML 139K Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments (Details) 51: R42 Investments - Summary of Amortized Cost and HTML 77K Estimated Fair Value of Available-for-Sale Investments, Excluding VIE Investments Held by Successor Ambac, by Contractual Maturity (Details) 52: R43 Investments - Summary of Gross Unrealized Losses HTML 105K and Fair Values of Ambac's Available-for-Sale Investments (Details) 53: R44 Investments - Additional Information (Details) HTML 72K 54: R45 Investments - Summary of Amounts Included in Net HTML 60K Realized (Losses) Gains and Other-Than-Temporary Impairments (Details) 55: R46 Investments - Summary of Sources of Collateral HTML 65K Received and Various Investment Agreement in which Collateral Pledged (Details) 56: R47 Investments - Summary of Fair Value, Including HTML 67K Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Details) 57: R48 Investments - Summary of Fair Value, Including HTML 56K Financial Guarantee, and Weighted-Average Underlying Rating, Excluding Financial Guarantee, of Insured Securities (Phantom) (Details) 58: R49 Investments - Summary of Net Investment Income HTML 45K (Details) 59: R50 Investments Investments - Equity Investments HTML 84K (Details) 60: R51 Fair Value Measurements - Summary of Carrying HTML 250K Amount and Fair Value of Ambac's Financial Assets and Liabilities (Details) 61: R52 Fair Value Measurements - Additional Information HTML 68K (Details) 62: R53 Fair Value Measurements - Information about HTML 142K Valuation Inputs for Fixed Income Securities Classified as Level 3 (Details) 63: R54 Fair Value Measurements - Summary of Information HTML 56K about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Details) 64: R55 Fair Value Measurements - Information about HTML 122K Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 (Details) 65: R56 Fair Value Measurements - Summary of Changes in HTML 133K Level 3 Fair Value Category (Details) 66: R57 Fair Value Measurements - Summary of Gains and HTML 56K Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings (Details) 67: R58 Insurance Contracts - Additional Information HTML 104K (Details) 68: R59 Financial Guarantee Insurance Contracts - Summary HTML 299K of Gross Premium Receivable Roll-Forward (Direct and Assumed Contracts) (Details) 69: R60 Insurance Contracts - Effect of Reinsurance on HTML 52K Premiums Written and Earned (Details) 70: R61 Insurance Contracts - Summarized Future Gross HTML 92K Undiscounted Premiums Expected to be Collected, and Future Expected Premiums Earned, Net of Reinsurance (Details) 71: R62 Insurance Contracts Financial Guarantee Insurance HTML 62K Contracts - Components of Loss and Loss Expense Reserves and Subrogation Recoverable (Details) 72: R63 Insurance Contracts - Summary of Loss Reserve HTML 73K Roll-Forward, Net of Subrogation Recoverable and Reinsurance (Details) 73: R64 Insurance Contracts - Summary of Information HTML 170K Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Details) 74: R65 Insurance Contracts - Summary of Information HTML 44K Related to Policies Currently Included in Ambac's Loss Reserves or Subrogation Recoverable (Phantom) (Details) 75: R66 Insurance Contracts - Summary of Balance of RMBS HTML 38K Subrogation Recoveries and Related Claim Liabilities, by Estimation Approach (Details) 76: R67 Insurance Contracts Financial Guarantee Insurance HTML 35K Contracts - Summary of Percentage Ceded to Reinsurers and Reinsurance Recoverable and Rating Levels (Details) 77: R68 Insurance Contracts - Estimated Future HTML 65K Amortization Expense for Insurance Intangible Asset (Details) 78: R69 Insurance - Summary of Percentage Ceded to HTML 38K Reinsurers and Reinsurance Recoverable and Rating Levels (Details) 79: R70 Insurance Contracts Financial Guarantee Insurance HTML 37K Contracts - Insurance Intangible Asset (Details) 80: R71 Insurance Contracts-Puerto Rico HTML 65K 81: R72 Insurance Contracts - Premium Earned (Details) HTML 70K 82: R73 Derivative Instruments - Summary of Gross Fair HTML 92K Values of Individual Derivative Instruments (Details) 83: R74 Derivative Instruments - Additional Information HTML 58K (Details) 84: R75 Derivative Instruments - Summary of Location and HTML 54K Amount of Gains and Losses of Derivative Contracts (Details) 85: R76 Derivative Instruments - Summary of Notional HTML 49K Amounts of AFS's Trading Derivative Products (Details) 86: R77 Derivative Instruments - Summary of Notional for HTML 43K VIE Derivatives Outstanding (Details) 87: R78 Intangible Assets (Details) HTML 76K 88: R79 Special Purpose Entities, Including Variable HTML 90K Interest Entities - Additional Information (Details) 89: R80 Special Purpose Entities, Including Variable HTML 49K Interest Entities - Summary of Fair Value of Fixed Income Securities, by Asset-Type, Held by Consolidated Variable Interest Entities (Details) 90: R81 Special Purpose Entities, Including Variable HTML 45K Interest Entities - Supplemental Information about Loans Held as Assets and Long-Term Debt Associated with Consolidated Variable Interest Entities (Details) 91: R82 Special Purpose Entities, Including Variable HTML 61K 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) 92: R83 Variable Interest Entities Special Purpose HTML 114K Entities, including Variable Interest Entities - Summary of Assets and Liabilities (Details) 93: R84 Revenue Recognition and Deferred Revenue (Details) HTML 62K 94: R85 Comprehensive Income - Schedule of Changes in HTML 95K Balances of Each Component of Accumulated Other Comprehensive Income (Details) 95: R86 Comprehensive Income - Schedule of Amounts HTML 92K Reclassed Out of Each Component of Accumulated Other Comprehensive Income (Details) 96: R87 Net Income Per Share - Additional Information HTML 84K (Details) 97: R88 Net Income Per Share - Reconciliation of Common HTML 60K Shares Used for Basic and Diluted Earnings Per Share (Details) 98: R89 Net Income Per Share Schedule of Basic and HTML 51K Dilutive Securities for EPS (Details) 99: R90 Income Taxes - Additional Information (Details) HTML 38K 100: R91 Income Taxes Income Taxes - Provision for Income HTML 64K Taxes Charged To Income From Continuing Operations (Details) 101: R92 Income Taxes Income Taxes - NOL Usage Table HTML 38K (Details) 102: R93 Income Taxes Schedule of Income Before Income HTML 43K Taxes (Details) 103: R94 Commitments and Contingencies - Additional HTML 37K Information (Details) 106: XML IDEA XML File -- Filing Summary XML 290K 104: XML XBRL Instance -- ambc-20220930_htm XML 7.72M 105: EXCEL IDEA Workbook of Financial Reports XLSX 306K 6: EX-101.CAL XBRL Calculations -- ambc-20220930_cal XML 269K 7: EX-101.DEF XBRL Definitions -- ambc-20220930_def XML 2.33M 8: EX-101.LAB XBRL Labels -- ambc-20220930_lab XML 3.02M 9: EX-101.PRE XBRL Presentations -- ambc-20220930_pre XML 2.56M 5: EX-101.SCH XBRL Schema -- ambc-20220930 XSD 319K 107: JSON XBRL Instance as JSON Data -- MetaLinks 665± 1.16M 108: ZIP XBRL Zipped Folder -- 0000874501-22-000158-xbrl Zip 1.18M
ambc-20220930 |
FORM | i 10-Q |
i ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
i ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Commission File Number: | i 1-10777 |
i AMBAC FINANCIAL GROUP, INC. |
i Delaware | i 13-3621676 | |||||||||||||
(State of incorporation) | (I.R.S. employer identification no.) | |||||||||||||
i One World Trade Center | i New York | i NY | i 10007 | |||||||||||
(Address of principal executive offices) | (Zip code) |
i (212) | i 658-7470 | ||||||||||
(Registrant's telephone number, including area code) |
Securities registered pursuant to Section 12(b) of the Act: | ||||||||||||||
Title of each class | Trading Symbol | Name of each exchange on which registered | ||||||||||||
i Common stock par value $0.01 per share | i AMBC | i New York Stock Exchange | ||||||||||||
i Warrants | i AMBC WS | i New York Stock Exchange |
Large accelerated filer | ☐ | i Accelerated filer | ☒ | Non-accelerated filer | ☐ | Smaller reporting company | i ☐ | Emerging growth company | i ☐ |
Cautionary Statement Pursuant to the Private Securities Litigation Reform Act of 1995 | ||||||||||||||||||||
Item Number | Page | Item Number | Page | |||||||||||||||||
PART I. FINANCIAL INFORMATION | PART I (CONTINUED) | |||||||||||||||||||
1 | Unaudited Consolidated Financial Statements of Ambac Financial Group, Inc. and Subsidiaries | U.S. Insurance Statutory Basis Financial Results | ||||||||||||||||||
3 | ||||||||||||||||||||
4 | ||||||||||||||||||||
2 | PART II. OTHER INFORMATION | |||||||||||||||||||
1 | ||||||||||||||||||||
1A | ||||||||||||||||||||
2 | ||||||||||||||||||||
3 | ||||||||||||||||||||
5 | Other Information | |||||||||||||||||||
6 | Exhibits | |||||||||||||||||||
September 30, | December 31, | ||||||||||
(Dollars in millions, except share data) (September 30, 2022 (Unaudited)) | 2022 | 2021 | |||||||||
Assets: | |||||||||||
Investments: | |||||||||||
Fixed maturity securities - available-for-sale, at fair value (amortized cost of $ i 1,467
and $ i 1,605) | $ | i 1,384 | $ | i 1,730 | |||||||
Fixed
maturity securities pledged as collateral, at fair value (amortized cost of $ i 15 and $ i 15) | i 15 | i 15 | |||||||||
Fixed maturity securities - trading, at fair value | i 105 | — | |||||||||
Short-term investments, at fair value (amortized cost of $ i 523
and $ i 415) | i 523 | i 414 | |||||||||
Short-term
investments pledged as collateral, at fair value (amortized cost of $ i 55 and $ i 105) | i 55 | i 105 | |||||||||
Other
investments (includes $ i 547 and $ i 683 at fair value) | i 559 | i 690 | |||||||||
Total
investments (net of allowance for credit losses of $ i 0 and $ i 0) | i 2,640 | i 2,955 | |||||||||
Cash and cash equivalents | i 29 | i 17 | |||||||||
Restricted cash | i 6 | i 5 | |||||||||
Premium
receivables (net of allowance for credit losses of $ i 6 and $ i 9) | i 268 | i 323 | |||||||||
Reinsurance
recoverable on paid and unpaid losses (net of allowance for credit losses of $0 and $0) | i 80 | i 55 | |||||||||
Deferred ceded premium | i 99 | i 90 | |||||||||
Subrogation recoverable | i 1,949 | i 2,092 | |||||||||
Derivative assets | i 28 | i 76 | |||||||||
Intangible assets | i 318 | i 362 | |||||||||
Goodwill | i 46 | i 46 | |||||||||
Other assets | i 85 | i 68 | |||||||||
Variable interest entity assets: | |||||||||||
Fixed maturity securities, at fair value | i 2,119 | i 3,455 | |||||||||
Restricted cash | i 2 | i 2 | |||||||||
Loans, at fair value | i 1,682 | i 2,718 | |||||||||
Derivative assets | i 60 | i 38 | |||||||||
Other assets | i 1 | i 2 | |||||||||
Total assets | $ | i 9,412 | $ | i 12,303 | |||||||
Liabilities and Stockholders’ Equity: | |||||||||||
Liabilities: | |||||||||||
Unearned premiums | $ | i 359 | $ | i 395 | |||||||
Loss and loss expense reserves | i 1,009 | i 1,570 | |||||||||
Ceded premiums payable | i 33 | i 33 | |||||||||
Long-term debt | i 2,201 | i 2,230 | |||||||||
Accrued interest payable | i 576 | i 576 | |||||||||
Derivative liabilities | i 40 | i 95 | |||||||||
Other liabilities | i 244 | i 133 | |||||||||
Variable interest entity liabilities: | |||||||||||
Long-term debt (includes $ i 2,603 and $ i 4,056
at fair value) | i 2,752 | i 4,216 | |||||||||
Derivative liabilities | i 1,110 | i 1,940 | |||||||||
Total liabilities | i 8,324 | i 11,187 | |||||||||
Commitments and contingencies (See Note 14) | |||||||||||
Redeemable noncontrolling interest | i 18 | i 18 | |||||||||
Stockholders’ equity: | |||||||||||
Preferred stock, par value $ i 0.01 per share; i 20,000,000
shares authorized shares; issued and outstanding shares— i none | i — | i — | |||||||||
Common
stock, par value $ i 0.01 per share; i 130,000,000 shares authorized; issued shares: i 46,658,990
and i 46,477,068 | i — | i — | |||||||||
Additional paid-in capital | i 270 | i 257 | |||||||||
Accumulated other comprehensive income (loss) | ( i 315) | i 58 | |||||||||
Retained earnings | i 1,068 | i 726 | |||||||||
Treasury
stock, shares at cost: i 1,694,971 and i 172,929 | ( i 15) | ( i 3) | |||||||||
Total Ambac Financial Group, Inc. stockholders’ equity | i 1,009 | i 1,038 | |||||||||
Nonredeemable noncontrolling interest | i 62 | i 60 | |||||||||
Total stockholders’ equity | i 1,071 | i 1,098 | |||||||||
Total liabilities, redeemable noncontrolling interest and stockholders’ equity | $ | i 9,412 | $ | i 12,303 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(Dollars in millions, except share data) | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||
Net premiums earned | $ | i 11 | $ | i 11 | $ | i 39 | i 36 | |||||||||||||||||||
Net investment income (loss) | i 11 | i 21 | ( i 6) | i 112 | ||||||||||||||||||||||
Net investment gains (losses), including impairments | i 14 | i 3 | i 31 | i 4 | ||||||||||||||||||||||
Net gains (losses) on derivative contracts | i 37 | i 5 | i 124 | i 19 | ||||||||||||||||||||||
Net realized gains (losses) on extinguishment of debt | i — | i — | i 57 | i 33 | ||||||||||||||||||||||
Commission income | i 7 | i 7 | i 22 | i 20 | ||||||||||||||||||||||
Other income (expense) | i 1 | i 1 | i 5 | i — | ||||||||||||||||||||||
Income (loss) on variable interest entities | ( i 1) | i 3 | i 14 | i 5 | ||||||||||||||||||||||
Total revenues | i 80 | i 51 | i 286 | i 229 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Losses and loss expenses (benefit) | ( i 353) | ( i 55) | ( i 341) | ( i 73) | ||||||||||||||||||||||
Intangible amortization | i 6 | i 11 | i 34 | i 44 | ||||||||||||||||||||||
Operating expenses | i 37 | i 32 | i 104 | i 94 | ||||||||||||||||||||||
Interest expense | i 49 | i 44 | i 138 | i 144 | ||||||||||||||||||||||
Total expenses | ( i 262) | i 32 | ( i 66) | i 208 | ||||||||||||||||||||||
Pretax income | i 342 | i 19 | i 352 | i 21 | ||||||||||||||||||||||
Provision for income taxes | i 2 | i 2 | i 4 | i 15 | ||||||||||||||||||||||
Net income | i 340 | i 17 | i 348 | i 6 | ||||||||||||||||||||||
Less: net (gain) loss attributable to noncontrolling interest | i — | i — | ( i 1) | ( i 1) | ||||||||||||||||||||||
Net income attributable to common stockholders | $ | i 340 | $ | i 17 | $ | i 347 | $ | i 5 | ||||||||||||||||||
Other comprehensive income (loss), after tax | ||||||||||||||||||||||||||
Net income | $ | i 340 | $ | i 17 | $ | i 348 | $ | i 6 | ||||||||||||||||||
Unrealized
gains (losses) on securities, net of income tax provision (benefit) of $( i 3), $ i —,
$( i 8) and $( i 2) | ( i 59) | ( i 4) | ( i 236) | ( i 2) | ||||||||||||||||||||||
Gains
(losses) on foreign currency translation, net of income tax provision (benefit) of $ i —, $ i —,
$ i — and $ i — | ( i 58) | ( i 19) | ( i 136) | ( i 11) | ||||||||||||||||||||||
Credit
risk changes of fair value option liabilities, net of income tax provision (benefit) of $ i —, $ i —,
$ i — and $ i — | ( i 1) | i — | i — | ( i 1) | ||||||||||||||||||||||
Changes
to postretirement benefit, net of income tax provision (benefit) of $ i —, $ i —,
$ i — and $ i — | i — | i — | ( i 1) | ( i 1) | ||||||||||||||||||||||
Total other comprehensive income (loss), net of income tax | ( i 118) | ( i 23) | ( i 372) | ( i 15) | ||||||||||||||||||||||
Total comprehensive income (loss), net of income tax | i 222 | ( i 6) | ( i 24) | ( i 9) | ||||||||||||||||||||||
Less: comprehensive (gain) loss attributable to the noncontrolling interest | i — | i — | ( i 1) | ( i 1) | ||||||||||||||||||||||
Total comprehensive income (loss) attributable to common stockholders | $ | i 222 | $ | ( i 6) | $ | ( i 25) | $ | ( i 10) | ||||||||||||||||||
Net income (loss) per share attributable to common stockholders: | ||||||||||||||||||||||||||
Basic | $ | i 7.50 | $ | i 0.35 | $ | i 7.56 | $ | ( i 0.19) | ||||||||||||||||||
Diluted | $ | i 7.41 | $ | i 0.35 | $ | i 7.48 | $ | ( i 0.19) | ||||||||||||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||||||||||||
Basic | i 45,307,019 | i 46,615,552 | i 45,847,306 | i 46,503,196 | ||||||||||||||||||||||
Diluted | i 45,846,405 | i 47,044,132 | i 46,356,094 | i 46,503,196 |
Three months ended September 30, 2022 and 2021 | |||||||||||||||||||||||||||||||||||||||||||||||
Ambac Financial Group, Inc. | |||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Total | Retained Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional
Paid-in Capital | Common Stock Held in Treasury, at Cost | Nonredeemable Noncontrolling Interest | |||||||||||||||||||||||||||||||||||||||
Balance at June 30, 2022 | $ | i 846 | $ | i 728 | $ | ( i 196) | $ | i — | $ | i — | $ | i 267 | $ | ( i 16) | $ | i 62 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | i 222 | i 340 | ( i 118) | — | — | — | — | i — | |||||||||||||||||||||||||||||||||||||||
Stock-based compensation | i 4 | — | — | — | — | i 4 | — | — | |||||||||||||||||||||||||||||||||||||||
Cost of shares (acquired) issued under equity plan | i — | ( i 1) | i — | i — | i — | i — | i — | i — | |||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2022 | $ | i 1,071 | $ | i 1,068 | $ | ( i 315) | $ | i — | $ | i — | $ | i 270 | $ | ( i 15) | $ | i 62 | |||||||||||||||||||||||||||||||
Balance at June 30, 2021 | $ | i 1,123 | $ | i 732 | $ | i 87 | $ | i — | $ | i — | $ | i 249 | $ | ( i 5) | $ | i 60 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | ( i 6) | i 17 | ( i 23) | — | — | — | — | i — | |||||||||||||||||||||||||||||||||||||||
Stock-based compensation | i 4 | — | — | — | — | i 4 | — | — | |||||||||||||||||||||||||||||||||||||||
Cost of shares (acquired) issued under equity plan | i — | ( i 2) | i — | i — | i — | i — | i 2 | i — | |||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2021 | $ | i 1,121 | $ | i 746 | $ | i 64 | $ | i — | $ | i — | $ | i 253 | $ | ( i 3) | $ | i 60 |
Nine months ended September 30, 2022 and 2021 | |||||||||||||||||||||||||||||||||||||||||||||||
Ambac Financial Group, Inc. | |||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Total | Retained Earnings | Accumulated Other Comprehensive Income | Preferred Stock | Common Stock | Additional
Paid-in Capital | Common Stock Held in Treasury, at Cost | Noncontrolling Interest | |||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2022 | $ | i 1,098 | $ | i 726 | $ | i 58 | $ | i — | $ | i — | $ | i 257 | $ | ( i 3) | $ | i 60 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | ( i 25) | i 347 | ( i 372) | — | — | — | — | i — | |||||||||||||||||||||||||||||||||||||||
Stock-based compensation | i 13 | — | — | — | — | i 13 | — | — | |||||||||||||||||||||||||||||||||||||||
Cost of shares repurchased | ( i 14) | ( i 14) | |||||||||||||||||||||||||||||||||||||||||||||
Sale of NCI in subsidiary | i 2 | i — | i 2 | ||||||||||||||||||||||||||||||||||||||||||||
Cost of shares (acquired) issued under equity plan | ( i 4) | ( i 5) | — | — | — | i 2 | i — | ||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2022 | $ | i 1,071 | $ | i 1,068 | $ | ( i 315) | $ | i — | $ | i — | $ | i 270 | $ | ( i 15) | $ | i 62 | |||||||||||||||||||||||||||||||
Balance at January 1, 2021 | $ | i 1,140 | $ | i 759 | $ | i 79 | $ | i — | $ | i — | $ | i 242 | $ | ( i 1) | $ | i 60 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | ( i 10) | i 5 | ( i 15) | — | — | — | — | i — | |||||||||||||||||||||||||||||||||||||||
Stock-based compensation | i 10 | — | — | — | — | i 10 | — | — | |||||||||||||||||||||||||||||||||||||||
Cost of shares (acquired) issued under equity plan | ( i 6) | ( i 4) | — | — | — | — | ( i 2) | i — | |||||||||||||||||||||||||||||||||||||||
Changes to redeemable NCI | ( i 14) | ( i 14) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2021 | $ | i 1,121 | $ | i 746 | $ | i 64 | $ | i — | $ | i — | $ | i 253 | $ | ( i 3) | $ | i 60 |
Nine Months Ended September 30, | ||||||||||||||
(Dollars in millions) | 2022 | 2021 | ||||||||||||
Cash flows from operating activities: | ||||||||||||||
Net income attributable to common stockholders | $ | i 347 | $ | i 5 | ||||||||||
Redeemable noncontrolling interest | ( i 1) | ( i 1) | ||||||||||||
Net income | i 348 | i 6 | ||||||||||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||||||||
Depreciation and amortization | i 1 | i 1 | ||||||||||||
Amortization of bond premium and discount | ( i 8) | ( i 9) | ||||||||||||
Share-based compensation | i 13 | i 10 | ||||||||||||
Unearned premiums, net | ( i 47) | ( i 75) | ||||||||||||
Losses and loss expenses, net | ( i 328) | ( i 148) | ||||||||||||
Ceded premiums payable | i — | i 7 | ||||||||||||
Premium receivables | i 57 | i 44 | ||||||||||||
Accrued interest payable | i 72 | i 75 | ||||||||||||
Amortization of intangible assets | i 34 | i 44 | ||||||||||||
Net investment gains (losses), including impairments | ( i 31) | ( i 4) | ||||||||||||
(Gain) loss on extinguishment of debt | ( i 57) | ( i 33) | ||||||||||||
Variable interest entity activities | ( i 14) | ( i 5) | ||||||||||||
Derivative assets and liabilities | ( i 62) | ( i 23) | ||||||||||||
Other, net | i 83 | ( i 26) | ||||||||||||
Net cash provided by (used in) operating activities | i 59 | ( i 136) | ||||||||||||
Cash flows from investing activities: | ||||||||||||||
Proceeds from sales of bonds | i 454 | i 126 | ||||||||||||
Proceeds from matured bonds | i 83 | i 658 | ||||||||||||
Purchases of bonds | ( i 273) | ( i 286) | ||||||||||||
Proceeds from sales of other invested assets | i 142 | i 75 | ||||||||||||
Purchases of other invested assets | ( i 99) | ( i 97) | ||||||||||||
Change in short-term investments | ( i 58) | i 125 | ||||||||||||
Change in cash collateral receivable | i 60 | i 11 | ||||||||||||
Proceeds from paydowns of consolidated VIE assets | i 126 | i 134 | ||||||||||||
Other, net | i — | i — | ||||||||||||
Net cash provided by investing activities | i 435 | i 745 | ||||||||||||
Cash flows from financing activities: | ||||||||||||||
Proceeds from issuance of Sitka AAC Note | — | i 1,163 | ||||||||||||
Proceeds from issuance of Surplus Notes | i — | i 7 | ||||||||||||
Paydowns of LSNI Ambac Note | — | ( i 1,641) | ||||||||||||
Payments for purchases of common stock | ( i 14) | — | ||||||||||||
Payments for extinguishment of surplus notes | ( i 58) | — | ||||||||||||
Payments for debt issuance costs | i — | ( i 12) | ||||||||||||
Tax payments related to shares withheld for share-based compensation plans | ( i 4) | ( i 6) | ||||||||||||
Distributions to noncontrolling interest holders | i 1 | ( i 1) | ||||||||||||
Payments of consolidated VIE liabilities | ( i 404) | ( i 133) | ||||||||||||
Net cash used in financing activities | ( i 479) | ( i 623) | ||||||||||||
Effect of foreign exchange on cash, cash equivalents and restricted cash | ( i 1) | i — | ||||||||||||
Net cash flow | i 14 | ( i 14) | ||||||||||||
Cash, cash equivalents, and restricted cash at beginning of period | i 23 | i 35 | ||||||||||||
Cash, cash equivalents, and restricted cash at end of period | $ | i 38 | $ | i 22 |
Note 1. Background and Business Description | Note 8. Intangible Assets | |||||||||||||||||||
Note 2. Basis of Presentation and Significant Accounting Policies | Note 9. Variable Interest Entities | |||||||||||||||||||
Note 3. Segment Information | Note 10. Revenues From Contracts with Customers | |||||||||||||||||||
Note 4. Investments | Note 11. Comprehensive Income | |||||||||||||||||||
Note 5. Fair Value Measurements | Note 12. Net Income Per Share | |||||||||||||||||||
Note 6. Insurance Contracts | Note 13. Income Taxes | |||||||||||||||||||
Note 7. Derivative Instruments | Note 14. Commitments and Contingencies | |||||||||||||||||||
Three Months Ended | September 30, 2022 | December 31, 2022 | ||||||||||||
Losses and loss benefit | $ | i 319 | $ | — | ||||||||||
Litigation recoveries | — | i 126 | ||||||||||||
Net realized gains (losses) on extinguishment of debt | — | ( i 53) | ||||||||||||
Net investment gains (losses), including impairments | — | i 5 | ||||||||||||
Impact to net income attributable to common stockholders | $ | i 319 | $ | i 78 |
Nine Months Ended September 30, | 2022 | 2021 | ||||||||||||
Beginning balance | $ | i 18 | $ | i 7 | ||||||||||
Net income attributable to redeemable noncontrolling interest (ASC 810) | i — | ( i 1) | ||||||||||||
Adjustment to redemption value (ASC 480) | i — | i 14 | ||||||||||||
Ending balance | $ | i 18 | $ | i 20 |
Supplemental
Disclosure of Cash Flow Information | Nine Months Ended September 30, | |||||||||||||
2022 | 2021 | |||||||||||||
Cash paid during the period for: | ||||||||||||||
Income taxes | $ | i 6 | $ | i 12 | ||||||||||
Interest
on long-term debt | i 51 | i 65 | ||||||||||||
Non-cash
investing and financing activities: | ||||||||||||||
Decrease in long-term debt as a result of surplus notes exchanges | $ | i — | $ | i 71 | ||||||||||
Exchange of investments in Puerto Rico bonds for new securities issued in the restructuring transactions | i 185 | — | ||||||||||||
September 30, | ||||||||||||||
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 | $ | i 29 | $ | i 14 | ||||||||||
Restricted cash | i 6 | i 6 | ||||||||||||
Variable Interest Entity restricted cash | i 2 | i 2 | ||||||||||||
Total cash, cash equivalents, and restricted cash shown on the Consolidated Statements of Cash Flows | $ | i 38 | $ | i 22 |
Legacy Financial Guarantee Insurance | Specialty Property & Casualty Insurance | Insurance Distribution | Corporate & Other | Consolidated (2) | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | i 7 | $ | i 4 | $ | i 11 | ||||||||||||||||||||||||||||||||
Net investment income | i 9 | i — | $ | i 1 | i 11 | |||||||||||||||||||||||||||||||||
Net gains on derivative contracts | i 37 | i — | i 37 | |||||||||||||||||||||||||||||||||||
Commission income | $ | i 7 | i 7 | |||||||||||||||||||||||||||||||||||
Other
(1) | i 13 | i 1 | i — | i — | i 14 | |||||||||||||||||||||||||||||||||
Total
revenues (2) | i 67 | i 6 | i 7 | i 1 | i 80 | |||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||
Loss and loss expenses (benefit) | ( i 356) | i 3 | ( i 353) | |||||||||||||||||||||||||||||||||||
Operating
expenses (3) | i 20 | i 4 | i 1 | i 6 | i 32 | |||||||||||||||||||||||||||||||||
Depreciation
expense (3) | i — | i — | i — | i — | i — | |||||||||||||||||||||||||||||||||
Intangible amortization | i 5 | i 1 | i 6 | |||||||||||||||||||||||||||||||||||
Sub-producer
commissions (3) | i 4 | i 4 | ||||||||||||||||||||||||||||||||||||
Interest expense | i 49 | i 49 | ||||||||||||||||||||||||||||||||||||
Total
expenses (2) | ( i 282) | i 7 | i 6 | i 6 | ( i 262) | |||||||||||||||||||||||||||||||||
Pretax income (loss) | $ | i 349 | $ | ( i 1) | $ | i 1 | $ | ( i 6) | $ | i 342 | ||||||||||||||||||||||||||||
Total
assets (2) | $ | i 8,902 | $ | i 259 | $ | i 94 | $ | i 157 | $ | i 9,412 | ||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | i 31 | $ | i 8 | $ | i 39 | ||||||||||||||||||||||||||||||||
Net investment income (loss) | ( i 9) | i 1 | $ | i 2 | ( i 6) | |||||||||||||||||||||||||||||||||
Net gains on derivative contracts | i 123 | i 1 | i 124 | |||||||||||||||||||||||||||||||||||
Net realized gains on extinguishment of debt | i 57 | i 57 | ||||||||||||||||||||||||||||||||||||
Commission income | $ | i 22 | i 22 | |||||||||||||||||||||||||||||||||||
Other
(1) | i 48 | i 2 | i — | i — | i 50 | |||||||||||||||||||||||||||||||||
Total
revenues (2) | i 250 | i 11 | i 22 | i 2 | i 286 | |||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||
Loss and loss expenses (benefit) | ( i 347) | i 5 | ( i 341) | |||||||||||||||||||||||||||||||||||
Operating
expenses (3) | i 64 | i 11 | i 4 | i 11 | i 90 | |||||||||||||||||||||||||||||||||
Depreciation
expense (3) | i 1 | i — | i — | i — | i 1 | |||||||||||||||||||||||||||||||||
Intangible amortization | i 32 | i 2 | i 34 | |||||||||||||||||||||||||||||||||||
Sub-producer
commissions (3) | i 13 | i 13 | ||||||||||||||||||||||||||||||||||||
Interest expense | i 138 | i 138 | ||||||||||||||||||||||||||||||||||||
Total
expenses (2) | ( i 112) | i 16 | i 19 | i 11 | ( i 66) | |||||||||||||||||||||||||||||||||
Pretax income (loss) | $ | i 362 | $ | ( i 5) | $ | i 3 | $ | ( i 8) | $ | i 352 | ||||||||||||||||||||||||||||
Legacy Financial Guarantee Insurance | Specialty Property & Casualty Insurance | Insurance Distribution | Corporate & Other | Consolidated (2) | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | i 11 | $ | i — | $ | i 11 | ||||||||||||||||||||||||||||||||
Net investment income | i 21 | i — | $ | i — | i 21 | |||||||||||||||||||||||||||||||||
Net gains (losses) on derivative contracts | i 5 | i 5 | ||||||||||||||||||||||||||||||||||||
Net realized gains on extinguishment of debt | i — | i — | ||||||||||||||||||||||||||||||||||||
Commission income | $ | i 7 | i 7 | |||||||||||||||||||||||||||||||||||
Other
(1) | i 7 | i — | i — | i — | i 7 | |||||||||||||||||||||||||||||||||
Total
revenues (2) | i 44 | i — | i 7 | i — | i 51 | |||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||
Loss and loss expenses (benefit) | ( i 55) | i — | ( i 55) | |||||||||||||||||||||||||||||||||||
Operating
expenses (3) | i 18 | i 2 | i 1 | i 6 | i 28 | |||||||||||||||||||||||||||||||||
Depreciation
expense (3) | i — | i — | i — | i — | i — | |||||||||||||||||||||||||||||||||
Intangible amortization | i 10 | i 1 | i 11 | |||||||||||||||||||||||||||||||||||
Sub-producer
commissions (3) | i 4 | i 4 | ||||||||||||||||||||||||||||||||||||
Interest expense | i 44 | i 44 | ||||||||||||||||||||||||||||||||||||
Total expenses | i 17 | i 2 | i 6 | i 6 | i 32 | |||||||||||||||||||||||||||||||||
Pretax
income (loss) (2) | $ | i 27 | $ | ( i 2) | $ | i 1 | $ | ( i 6) | $ | i 19 | ||||||||||||||||||||||||||||
Total
assets (2) | $ | i 11,837 | $ | i 113 | $ | i 96 | $ | i 183 | $ | i 12,228 | ||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||||||||
Net premiums earned | $ | i 36 | $ | i — | $ | i 36 | ||||||||||||||||||||||||||||||||
Net investment income | i 111 | i 1 | $ | i — | i 112 | |||||||||||||||||||||||||||||||||
Net gains on derivative contracts | i 19 | i 19 | ||||||||||||||||||||||||||||||||||||
Net realized gains on extinguishment of debt | i 33 | i 33 | ||||||||||||||||||||||||||||||||||||
Commission income | $ | i 20 | i 20 | |||||||||||||||||||||||||||||||||||
Other
revenues (1) | i 5 | i — | i — | i 4 | i 9 | |||||||||||||||||||||||||||||||||
Total
revenues (2) | i 204 | i 1 | i 20 | i 4 | i 229 | |||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||
Loss and loss expenses (benefit) | ( i 73) | i — | ( i 73) | |||||||||||||||||||||||||||||||||||
Operating
expenses (3) | i 56 | i 5 | i 4 | i 17 | i 82 | |||||||||||||||||||||||||||||||||
Depreciation
expense (3) | i 1 | i — | i — | i — | i 1 | |||||||||||||||||||||||||||||||||
Intangible amortization | i 42 | i 2 | i 44 | |||||||||||||||||||||||||||||||||||
Sub-producer
commissions (3) | i 11 | i 11 | ||||||||||||||||||||||||||||||||||||
Interest expense | i 144 | i 144 | ||||||||||||||||||||||||||||||||||||
Total expenses | i 169 | i 5 | i 17 | i 17 | i 208 | |||||||||||||||||||||||||||||||||
Pretax
income (loss) (2) | $ | i 35 | $ | ( i 4) | $ | i 3 | $ | ( i 12) | $ | i 21 |
Amortized Cost | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 55 | $ | i — | $ | i 3 | $ | i 2 | $ | i 56 | ||||||||||||||||||||||
Corporate obligations | i 724 | i — | i 2 | i 69 | i 658 | |||||||||||||||||||||||||||
Foreign obligations | i 80 | i — | i — | i 11 | i 69 | |||||||||||||||||||||||||||
U.S. government obligations | i 64 | i — | i 1 | i 3 | i 63 | |||||||||||||||||||||||||||
Residential mortgage-backed securities | i 174 | i — | i 23 | i 17 | i 180 | |||||||||||||||||||||||||||
Collateralized debt obligations | i 141 | i — | i — | i 6 | i 135 | |||||||||||||||||||||||||||
Other
asset-backed securities (1) | i 229 | i — | i 4 | i 8 | i 224 | |||||||||||||||||||||||||||
i 1,467 | i — | i 33 | i 116 | i 1,384 | ||||||||||||||||||||||||||||
Short-term | i 523 | i — | i — | i — | i 523 | |||||||||||||||||||||||||||
i 1,990 | i — | i 33 | i 116 | i 1,907 | ||||||||||||||||||||||||||||
Fixed maturity securities pledged as collateral: | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 15 | i — | i — | i — | i 15 | |||||||||||||||||||||||||||
Short-term | i 55 | i — | i — | i — | i 55 | |||||||||||||||||||||||||||
i 70 | i — | i — | i — | i 69 | ||||||||||||||||||||||||||||
Total available-for-sale investments | $ | i 2,060 | $ | i — | $ | i 33 | $ | i 116 | $ | i 1,977 |
December 31, 2021: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 315 | $ | i — | $ | i 28 | $ | i 3 | $ | i 340 | ||||||||||||||||||||||
Corporate obligations | i 612 | i — | i 10 | i 9 | i 613 | |||||||||||||||||||||||||||
Foreign obligations | i 89 | i — | i — | i 2 | i 87 | |||||||||||||||||||||||||||
U.S. government obligations | i 45 | i — | i 1 | i 1 | i 45 | |||||||||||||||||||||||||||
Residential mortgage-backed securities | i 182 | i — | i 70 | i — | i 252 | |||||||||||||||||||||||||||
Collateralized debt obligations | i 128 | i — | i — | i — | i 128 | |||||||||||||||||||||||||||
Other
asset-backed securities (1) | i 234 | i — | i 32 | i — | i 265 | |||||||||||||||||||||||||||
i 1,605 | i — | i 141 | i 16 | i 1,730 | ||||||||||||||||||||||||||||
Short-term | i 415 | i — | i — | i — | i 414 | |||||||||||||||||||||||||||
i 2,020 | i — | i 141 | i 16 | i 2,145 | ||||||||||||||||||||||||||||
Fixed maturity securities pledged as collateral: | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 15 | i — | i — | i — | i 15 | |||||||||||||||||||||||||||
Short-term | i 105 | i — | i — | i — | i 105 | |||||||||||||||||||||||||||
i 120 | i — | i — | i — | i 120 | ||||||||||||||||||||||||||||
Total available-for-sale investments | $ | i 2,140 | $ | i — | $ | i 141 | $ | i 16 | $ | i 2,265 |
Amortized Cost | Estimated Fair Value | |||||||||||||
Due in one year or less | $ | i 622 | $ | i 622 | ||||||||||
Due after one year through five years | i 537 | i 506 | ||||||||||||
Due after five years through ten years | i 309 | i 268 | ||||||||||||
Due after ten years | i 48 | i 41 | ||||||||||||
i 1,516 | i 1,437 | |||||||||||||
Residential mortgage-backed securities | i 174 | i 180 | ||||||||||||
Collateralized debt obligations | i 141 | i 135 | ||||||||||||
Other asset-backed securities | i 229 | i 224 | ||||||||||||
Total | $ | i 2,060 | $ | i 1,977 |
Less Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 15 | $ | i 1 | $ | i 5 | $ | i 1 | $ | i 20 | $ | i 2 | ||||||||||||||||||||||||||
Corporate obligations | i 445 | i 35 | i 169 | i 34 | i 614 | i 69 | ||||||||||||||||||||||||||||||||
Foreign obligations | i 29 | i 4 | i 38 | i 7 | i 67 | i 11 | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 35 | i 2 | i 11 | i 1 | i 47 | i 3 | ||||||||||||||||||||||||||||||||
Residential mortgage-backed securities | i 116 | i 17 | i — | i — | i 116 | i 17 | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | i 121 | i 5 | i 12 | i 1 | i 133 | i 6 | ||||||||||||||||||||||||||||||||
Other asset-backed securities | i 201 | i 8 | i — | i — | i 201 | i 8 | ||||||||||||||||||||||||||||||||
i 962 | i 72 | i 236 | i 43 | i 1,198 | i 116 | |||||||||||||||||||||||||||||||||
Short-term | i 77 | i — | i 8 | i — | i 85 | i — | ||||||||||||||||||||||||||||||||
i 1,039 | i 72 | i 244 | i 43 | i 1,283 | i 116 | |||||||||||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | ||||||||||||||||||||||||||||||||||||||
Short-term | i 15 | i — | i — | i — | i 15 | i — | ||||||||||||||||||||||||||||||||
Total collateralized investments | i 15 | i — | i — | i — | i 15 | i — | ||||||||||||||||||||||||||||||||
Total temporarily impaired securities | $ | i 1,054 | $ | i 72 | $ | i 244 | $ | i 43 | $ | i 1,298 | $ | i 116 |
Less Than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||||||||||||||||||
December 31, 2021: | ||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 117 | $ | i 3 | $ | i 2 | $ | i — | $ | i 118 | $ | i 3 | ||||||||||||||||||||||||||
Corporate obligations | i 363 | i 8 | i 17 | i 1 | i 380 | i 9 | ||||||||||||||||||||||||||||||||
Foreign obligations | i 75 | i 2 | i 3 | i — | i 78 | i 2 | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 25 | i — | i 2 | i — | i 27 | i 1 | ||||||||||||||||||||||||||||||||
Residential mortgage-backed securities | i — | i — | i 1 | i — | i 2 | i — | ||||||||||||||||||||||||||||||||
Collateralized debt obligations | i 68 | i — | i 3 | i — | i 71 | i — | ||||||||||||||||||||||||||||||||
Other asset-backed securities | i 6 | i — | i — | i — | i 6 | i — | ||||||||||||||||||||||||||||||||
i 654 | i 14 | i 28 | i 1 | i 682 | i 16 | |||||||||||||||||||||||||||||||||
Short-term | i 114 | i — | i 13 | i — | i 128 | i — | ||||||||||||||||||||||||||||||||
i 768 | i 14 | i 41 | i 1 | i 810 | i 16 | |||||||||||||||||||||||||||||||||
Fixed income securities, pledged as collateral: | ||||||||||||||||||||||||||||||||||||||
U. S. government obligations | i 15 | i — | i — | i — | i 15 | i — | ||||||||||||||||||||||||||||||||
Total collateralized investments | i 15 | i — | i — | i — | i 15 | i — | ||||||||||||||||||||||||||||||||
Total temporarily impaired securities | $ | i 783 | $ | i 14 | $ | i 41 | $ | i 1 | $ | i 825 | $ | i 16 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Fixed maturity securities | $ | i 16 | $ | i 16 | $ | i 45 | $ | i 63 | ||||||||||||||||||
Short-term investments | i 3 | i — | i 4 | i — | ||||||||||||||||||||||
Investment expense | ( i 2) | ( i 1) | ( i 4) | ( i 4) | ||||||||||||||||||||||
Securities available-for-sale and short-term | i 17 | i 15 | i 44 | i 59 | ||||||||||||||||||||||
Fixed maturity securities - trading | ( i 1) | i — | ( i 22) | i — | ||||||||||||||||||||||
Other investments | ( i 5) | i 6 | ( i 28) | i 53 | ||||||||||||||||||||||
Total net investment income (loss) | $ | i 11 | $ | i 21 | $ | ( i 6) | $ | i 112 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Gross realized gains on securities | $ | i 6 | $ | i 1 | $ | i 29 | $ | i 9 | ||||||||||||||||||
Gross realized losses on securities | ( i 1) | i — | ( i 17) | ( i 2) | ||||||||||||||||||||||
Foreign exchange gains (losses) | i 9 | i 3 | i 20 | ( i 3) | ||||||||||||||||||||||
Credit impairments | i — | i — | i — | i — | ||||||||||||||||||||||
Intent / requirement to sell impairments | i — | i — | i — | i — | ||||||||||||||||||||||
Net investment gains (losses), including impairments | $ | i 14 | $ | i 3 | $ | i 31 | $ | i 4 |
Municipal Obligations | Corporate Obligations (2) | Mortgage and Asset- backed Securities | Total | Weighted Average Underlying Rating (1) | ||||||||||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||||||||
Ambac Assurance Corporation | $ | i 42 | $ | i 87 | $ | i 338 | $ | i 468 | B | |||||||||||||||||||||||||||||
Assured Guaranty Municipal Corporation | i 1 | i — | — | i 1 | A | |||||||||||||||||||||||||||||||||
Total | $ | i 43 | $ | i 87 | $ | i 338 | $ | i 468 | B | |||||||||||||||||||||||||||||
December 31, 2021: | ||||||||||||||||||||||||||||||||||||||
Ambac Assurance Corporation | $ | i 316 | $ | — | $ | i 439 | $ | i 754 | B | |||||||||||||||||||||||||||||
National Public Finance Guarantee Corporation | i 2 | i — | — | i 2 | BBB- | |||||||||||||||||||||||||||||||||
Assured Guaranty Municipal Corporation | i 1 | i — | — | i 1 | A- | |||||||||||||||||||||||||||||||||
Total | $ | i 318 | $ | i — | $ | i 439 | $ | i 757 | B |
Fair Value | ||||||||||||||||||||||||||
Class of Funds | September 30, 2022 | December 31, 2021 | Redemption Frequency | Redemption Notice Period | ||||||||||||||||||||||
Hedge funds (1) | $ | i 186 | $ | i 216 | quarterly or semi-annually | 90 days | ||||||||||||||||||||
Private credit (2) | i 81 | i 88 | quarterly if permitted | 180 days if permitted | ||||||||||||||||||||||
High yields and leveraged loans (3) | i 69 | i 78 | daily | 0 - 30 days | ||||||||||||||||||||||
Equity market investments (4) (11) | i 67 | i 98 | daily or quarterly | 0 - 90 days | ||||||||||||||||||||||
Investment grade floating rate income (5) | i 58 | i 107 | weekly | 0 days | ||||||||||||||||||||||
Private equity (6) | i 43 | i 37 | quarterly if permitted | 90 days if permitted | ||||||||||||||||||||||
Real estate properties (7) | i 34 | i 33 | quarterly | 10 business days | ||||||||||||||||||||||
Convertible bonds (8)(11) | i 7 | — | daily | 0 days | ||||||||||||||||||||||
Insurance-linked investments
(9) | i 1 | i 2 | see
footnote (5) | see footnote (5) | ||||||||||||||||||||||
Emerging markets debt (10) (11) | i — | i 24 | daily | 0 days | ||||||||||||||||||||||
Total equity investments in pooled funds | $ | i 547 | $ | i 683 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Net gains (losses) recognized during the period on trading and equity securities | $ | ( i 7) | $ | i — | $ | ( i 49) | $ | i 16 | ||||||||||||||||||
Less: net gains (losses) recognized during the reporting period on trading and equity securities sold during the period | ( i 1) | i — | ( i 27) | i 2 | ||||||||||||||||||||||
Unrealized gains (losses) recognized during the reporting period on trading and equity securities still held at the reporting date | $ | ( i 6) | $ | ( i 1) | $ | ( i 22) | $ | i 14 |
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 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 warrants, 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. |
Carrying Amount | Total
Fair Value | Fair Value Measurements Categorized as: | ||||||||||||||||||||||||||||||
September 30, 2022: | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||
Financial assets: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 160 | $ | i 160 | $ | i — | $ | i 160 | $ | i — | ||||||||||||||||||||||
Corporate obligations | i 658 | i 658 | i — | i 646 | i 12 | |||||||||||||||||||||||||||
Foreign obligations | i 69 | i 69 | i 69 | i — | i — | |||||||||||||||||||||||||||
U.S. government obligations | i 63 | i 63 | i 63 | i — | i — | |||||||||||||||||||||||||||
Residential mortgage-backed securities | i 180 | i 180 | i — | i 180 | i — | |||||||||||||||||||||||||||
Collateralized debt obligations | i 135 | i 135 | i — | i 135 | i — | |||||||||||||||||||||||||||
Other asset-backed securities | i 224 | i 224 | i — | i 158 | i 66 | |||||||||||||||||||||||||||
Fixed maturity securities, pledged as collateral: | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 15 | i 15 | i 15 | i — | i — | |||||||||||||||||||||||||||
Short-term | i 55 | i 55 | i 55 | i — | i — | |||||||||||||||||||||||||||
Short term investments | i 523 | i 523 | i 521 | i 2 | i — | |||||||||||||||||||||||||||
Other
investments (1) | i 559 | i 547 | i 64 | i — | i — | |||||||||||||||||||||||||||
Cash, cash equivalents and restricted cash | i 35 | i 35 | i 35 | i — | i — | |||||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Interest rate swaps—asset position | i 27 | i 27 | i — | i 2 | i 25 | |||||||||||||||||||||||||||
Warrants | i 1 | i 1 | i — | i — | i 1 | |||||||||||||||||||||||||||
Other assets-Loans | i 22 | i 22 | i — | i — | i 22 | |||||||||||||||||||||||||||
Variable interest entity assets: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: Corporate obligations, fair value option | i 2,026 | i 2,026 | i — | i — | i 2,026 | |||||||||||||||||||||||||||
Fixed maturity securities: Municipal obligations, available-for-sale | i 92 | i 92 | i — | i 92 | i — | |||||||||||||||||||||||||||
Restricted cash | i 2 | i 2 | i 2 | i — | i — | |||||||||||||||||||||||||||
Loans | i 1,682 | i 1,682 | i — | i — | i 1,682 | |||||||||||||||||||||||||||
Derivative assets: Currency swaps-asset position | i 60 | i 60 | i — | i 60 | i — | |||||||||||||||||||||||||||
Total financial assets | $ | i 6,589 | $ | i 6,577 | $ | i 824 | $ | i 1,435 | $ | i 3,834 | ||||||||||||||||||||||
Financial liabilities: | ||||||||||||||||||||||||||||||||
Long term debt, including accrued interest | $ | i 2,777 | $ | i 2,183 | $ | i — | $ | i 2,171 | $ | i 13 | ||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||||||||||
Interest rate swaps—liability position | i 40 | i 40 | i — | i 40 | i — | |||||||||||||||||||||||||||
Liabilities
for net financial guarantees written (2) | ( i 1,271) | ( i 899) | i — | i — | ( i 899) | |||||||||||||||||||||||||||
Variable interest entity liabilities: | ||||||||||||||||||||||||||||||||
Long-term debt (includes $ i 2,603 at fair value) | i 2,752 | i 2,787 | i — | i 2,634 | i 153 | |||||||||||||||||||||||||||
Derivative liabilities: Interest rate swaps—liability position | i 1,110 | i 1,110 | i — | i 1,110 | i — | |||||||||||||||||||||||||||
Total financial liabilities | $ | i 5,407 | $ | i 5,221 | $ | i — | $ | i 5,954 | $ | ( i 734) |
Carrying Amount | Total
Fair Value | Fair Value Measurements Categorized as: | ||||||||||||||||||||||||||||||
December 31, 2021: | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||||
Financial assets: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: | ||||||||||||||||||||||||||||||||
Municipal obligations | $ | i 340 | $ | i 340 | $ | i — | $ | i 340 | $ | i — | ||||||||||||||||||||||
Corporate obligations | i 613 | i 613 | i 1 | i 600 | i 12 | |||||||||||||||||||||||||||
Foreign obligations | i 87 | i 87 | i 87 | i — | i — | |||||||||||||||||||||||||||
U.S. government obligations | i 45 | i 45 | i 45 | i — | i — | |||||||||||||||||||||||||||
Residential mortgage-backed securities | i 252 | i 252 | i — | i 252 | i — | |||||||||||||||||||||||||||
Collateralized debt obligations | i 128 | i 128 | i — | i 128 | i — | |||||||||||||||||||||||||||
Other asset-backed securities | i 265 | i 265 | i — | i 187 | i 79 | |||||||||||||||||||||||||||
Fixed maturity securities, pledged as collateral: | ||||||||||||||||||||||||||||||||
U.S. government obligations | i 15 | i 15 | i 15 | i — | i — | |||||||||||||||||||||||||||
Short-term | i 105 | i 105 | i 105 | i — | i — | |||||||||||||||||||||||||||
Short term investments | i 414 | i 414 | i 369 | i 46 | i — | |||||||||||||||||||||||||||
Other
investments (1) | i 690 | i 683 | i 106 | i — | i — | |||||||||||||||||||||||||||
Cash, cash equivalents and restricted cash | i 21 | i 21 | i 21 | i 1 | i — | |||||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Interest rate swaps—asset position | i 76 | i 76 | i — | i 5 | i 71 | |||||||||||||||||||||||||||
Other assets-loans | i 3 | i 3 | i — | i — | i 3 | |||||||||||||||||||||||||||
Variable interest entity assets: | ||||||||||||||||||||||||||||||||
Fixed maturity securities: Corporate obligations, fair value option | i 3,320 | i 3,320 | i — | i — | i 3,320 | |||||||||||||||||||||||||||
Fixed maturity securities: Municipal obligations, available-for-sale | i 136 | i 136 | i — | i 136 | i — | |||||||||||||||||||||||||||
Restricted cash | i 2 | i 2 | i 2 | i — | i — | |||||||||||||||||||||||||||
Loans | i 2,718 | i 2,718 | i — | i — | i 2,718 | |||||||||||||||||||||||||||
Derivative assets: Currency swaps—asset position | i 38 | i 38 | i — | i 38 | i — | |||||||||||||||||||||||||||
Total financial assets | $ | i 9,268 | $ | i 9,261 | $ | i 750 | $ | i 1,732 | $ | i 6,202 | ||||||||||||||||||||||
Financial liabilities: | ||||||||||||||||||||||||||||||||
Long term debt, including accrued interest | $ | i 2,806 | $ | i 2,598 | $ | i — | $ | i 2,575 | $ | i 22 | ||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||||||||||
Interest rate swaps—liability position | i 94 | i 94 | i — | i 94 | i — | |||||||||||||||||||||||||||
Liabilities
for net financial guarantees written (2) | ( i 866) | ( i 112) | i — | i — | ( i 112) | |||||||||||||||||||||||||||
Variable interest entity liabilities: | ||||||||||||||||||||||||||||||||
Long-term debt (includes $ i 4,056 at fair value) | i 4,216 | i 4,255 | i — | i 4,086 | i 169 | |||||||||||||||||||||||||||
Derivative liabilities: Interest rate swaps—liability position | i 1,940 | i 1,940 | i — | i 1,940 | i — | |||||||||||||||||||||||||||
Total financial liabilities | $ | i 8,190 | $ | i 8,775 | $ | i — | $ | i 8,695 | $ | i 79 |
September 30, 2022: | |||||
a. Coupon rate: | i 5.98% | ||||
b. Average Life: | i 13.63 years | ||||
c. Yield: | i 12.75% | ||||
December 31, 2021: | |||||
a. Coupon rate: | i 5.97% | ||||
b. Average Life: | i 14.14 years | ||||
c. Yield: | i 10.20% |
Level 3 - Financial Assets and Liabilities Accounted for at Fair Value | ||||||||||||||||||||||||||||||||||||||||||||
VIE Assets | ||||||||||||||||||||||||||||||||||||||||||||
Investments | Other Assets | Derivatives | Investments | Loans | Total | |||||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2022: | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | i 81 | $ | i — | $ | i 38 | $ | i 2,533 | $ | i 2,144 | $ | i 4,795 | ||||||||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||||||||||||||||||
Included in earnings | i — | i — | ( i 11) | ( i 312) | ( i 231) | ( i 553) | ||||||||||||||||||||||||||||||||||||||
Included in other comprehensive income | ( i 4) | — | — | ( i 194) | ( i 162) | ( i 360) | ||||||||||||||||||||||||||||||||||||||
Purchases | i 1 | — | — | — | — | i 1 | ||||||||||||||||||||||||||||||||||||||
Settlements | i — | — | ( i 1) | — | ( i 69) | ( i 71) | ||||||||||||||||||||||||||||||||||||||
Balance, end of period | $ | i 78 | $ | i — | $ | i 26 | $ | i 2,026 | $ | i 1,682 | $ | i 3,812 | ||||||||||||||||||||||||||||||||
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 | $ | — | $ | i — | $ | ( i 11) | $ | ( i 312) | $ | ( i 231) | $ | ( i 553) | ||||||||||||||||||||||||||||||||
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 | $ | ( i 4) | $ | i — | $ | i — | $ | ( i 194) | $ | ( i 162) | $ | ( i 360) | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2021: | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | i 80 | $ | i — | $ | i 74 | $ | i 3,175 | $ | i 2,943 | $ | i 6,273 | ||||||||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||||||||||||||||||
Included in earnings | i — | i — | i — | i 85 | ( i 10) | i 76 | ||||||||||||||||||||||||||||||||||||||
Included in other comprehensive income | ( i 2) | — | — | ( i 77) | ( i 67) | ( i 146) | ||||||||||||||||||||||||||||||||||||||
Purchases | i 13 | — | — | — | — | i 13 | ||||||||||||||||||||||||||||||||||||||
Settlements | i — | — | ( i 2) | — | ( i 81) | ( i 83) | ||||||||||||||||||||||||||||||||||||||
Balance, end of period | $ | i 91 | $ | i — | $ | i 72 | $ | i 3,184 | $ | i 2,784 | $ | i 6,132 | ||||||||||||||||||||||||||||||||
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 | $ | — | $ | i — | $ | i — | $ | i 85 | $ | ( i 10) | $ | i 75 | ||||||||||||||||||||||||||||||||
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 | $ | ( i 2) | $ | i — | $ | i — | $ | ( i 77) | $ | ( i 67) | $ | ( i 146) |
Level
3 - Financial Assets and Liabilities Accounted for at Fair Value | ||||||||||||||||||||||||||||||||||||||||||||
VIE Assets | ||||||||||||||||||||||||||||||||||||||||||||
Investments | Other Assets | Derivatives | Investments | Loans | Total | |||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022: | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | i 91 | $ | i — | $ | i 70 | $ | i 3,320 | $ | i 2,718 | $ | i 6,199 | ||||||||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||||||||||||||||||
Included in earnings | i 1 | i — | ( i 39) | ( i 770) | ( i 409) | ( i 1,217) | ||||||||||||||||||||||||||||||||||||||
Included in other comprehensive income | ( i 13) | i — | i — | ( i 505) | ( i 413) | ( i 932) | ||||||||||||||||||||||||||||||||||||||
Purchases | i 1 | i — | i — | i — | i — | i 1 | ||||||||||||||||||||||||||||||||||||||
Settlements | ( i 1) | i — | ( i 5) | ( i 18) | ( i 214) | ( i 239) | ||||||||||||||||||||||||||||||||||||||
Balance, end of period | $ | i 78 | $ | i — | $ | i 26 | $ | i 2,026 | $ | i 1,682 | $ | i 3,812 | ||||||||||||||||||||||||||||||||
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 | $ | i 1 | $ | i — | $ | ( i 40) | $ | ( i 770) | $ | ( i 409) | $ | ( i 1,218) | ||||||||||||||||||||||||||||||||
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 | $ | ( i 13) | $ | i — | $ | i — | $ | ( i 505) | $ | ( i 413) | $ | ( i 932) | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021: | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | i 78 | $ | i 1 | $ | i 84 | $ | i 3,215 | $ | i 2,998 | $ | i 6,376 | ||||||||||||||||||||||||||||||||
Total gains/(losses) realized and unrealized: | ||||||||||||||||||||||||||||||||||||||||||||
Included in earnings | i 1 | i — | ( i 6) | i 35 | i 65 | i 94 | ||||||||||||||||||||||||||||||||||||||
Included in other comprehensive income | i 1 | i — | i — | ( i 46) | ( i 38) | ( i 83) | ||||||||||||||||||||||||||||||||||||||
Purchases | i 13 | i — | i — | i — | i — | i 13 | ||||||||||||||||||||||||||||||||||||||
Settlements | ( i 1) | ( i 1) | ( i 6) | ( i 19) | ( i 241) | ( i 269) | ||||||||||||||||||||||||||||||||||||||
Balance, end of period | $ | i 91 | $ | i — | $ | i 72 | $ | i 3,184 | $ | i 2,784 | $ | i 6,132 | ||||||||||||||||||||||||||||||||
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 | $ | i 1 | $ | i — | $ | ( i 6) | $ | i 35 | $ | i 65 | $ | i 94 | ||||||||||||||||||||||||||||||||
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 | $ | i 1 | $ | i — | $ | i — | $ | ( i 46) | $ | ( i 38) | ( i 83) | |||||||||||||||||||||||||||||||||
Net Investment Income | Net Gains (Losses) on Derivative Contracts | Income
(Loss) on Variable Interest Entities | Other Income or (Expense) | |||||||||||||||||||||||
Three Months Ended September 30, 2022: | ||||||||||||||||||||||||||
Total gains (losses) included in earnings for the period | $ | i — | $ | ( i 11) | $ | ( i 543) | $ | i — | ||||||||||||||||||
Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date | i — | ( i 11) | ( i 543) | i — | ||||||||||||||||||||||
Three Months Ended September 30, 2021: | ||||||||||||||||||||||||||
Total gains (losses) included in earnings for the period | $ | i — | $ | i — | $ | i 76 | $ | i — | ||||||||||||||||||
Changes in unrealized gains (losses) relating to financial instruments still held at the reporting date | i — | i — | i 76 | i — | ||||||||||||||||||||||
Nine Months Ended September 30, 2022: | ||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | $ | i 1 | $ | ( i 39) | $ | ( i 1,179) | $ | i — | ||||||||||||||||||
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date | i — | ( i 40) | ( i 1,179) | i — | ||||||||||||||||||||||
Nine Months Ended September 30, 2021: | ||||||||||||||||||||||||||
Total gains or losses included in earnings for the period | i 1 | ( i 6) | i 100 | i — | ||||||||||||||||||||||
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date | i — | ( i 6) | i 100 | i — |
Three Months Ended September 30, | |||||||||||||||||||||||
2022 | 2021 | ||||||||||||||||||||||
Written | Earned | Written | Earned | ||||||||||||||||||||
Direct | $ | i 16 | $ | i 30 | $ | ( i 1) | $ | i 15 | |||||||||||||||
Assumed | i — | i — | i — | i — | |||||||||||||||||||
Ceded | $ | i 17 | $ | i 19 | i 14 | i 4 | |||||||||||||||||
Net premiums | i — | i 11 | $ | ( i 15) | $ | i 11 | |||||||||||||||||
Nine Months Ended September 30, | |||||||||||||||||||||||
2022 | 2021 | ||||||||||||||||||||||
Written | Earned | Written | Earned | ||||||||||||||||||||
Direct | $ | i 83 | $ | i 83 | $ | ( i 6) | $ | i 46 | |||||||||||||||
Assumed | i — | i — | i — | i — | |||||||||||||||||||
Ceded | $ | i 63 | $ | i 43 | i 29 | i 10 | |||||||||||||||||
Net premiums | i 21 | i 39 | $ | ( i 36) | $ | i 36 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
United States | $ | i 7 | $ | i 7 | $ | i 27 | $ | i 21 | |||||||||||||||
United Kingdom | i 3 | i 3 | i 10 | i 10 | |||||||||||||||||||
Other international | i 1 | i 1 | i 2 | i 5 | |||||||||||||||||||
Total | $ | i 11 | $ | i 11 | $ | i 39 | $ | i 36 |
Surveillance Categories as of September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Type of Guaranteed Bond | I | IA | II | III | IV | Total | ||||||||||||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||||||||||
Housing revenue | $ | i 143 | $ | i 3 | $ | i 5 | $ | i — | $ | i — | $ | i 151 | ||||||||||||||||||||||||||||||||
Other | i 2 | i — | i — | i — | i — | i 2 | ||||||||||||||||||||||||||||||||||||||
Total Public Finance | i 145 | i 3 | i 5 | i — | i — | i 152 | ||||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed and home equity | i — | i — | i — | i — | i 11 | i 12 | ||||||||||||||||||||||||||||||||||||||
Student loan | i 1 | i 1 | i — | i 7 | i — | i 9 | ||||||||||||||||||||||||||||||||||||||
Other | i 4 | i — | i — | i — | i — | i 4 | ||||||||||||||||||||||||||||||||||||||
Total Structured Finance | i 5 | i 1 | i — | i 8 | i 11 | i 24 | ||||||||||||||||||||||||||||||||||||||
International: | ||||||||||||||||||||||||||||||||||||||||||||
Sovereign/sub-sovereign | i 53 | i 6 | i — | i 9 | i — | i 68 | ||||||||||||||||||||||||||||||||||||||
Investor-owned and public utilities | i 16 | i — | i — | i — | i — | i 16 | ||||||||||||||||||||||||||||||||||||||
Other | i 3 | i — | i — | i — | i — | i 3 | ||||||||||||||||||||||||||||||||||||||
Total International | i 72 | i 6 | i — | i 9 | i — | i 88 | ||||||||||||||||||||||||||||||||||||||
Total
(1) (2) | $ | i 222 | $ | i 10 | $ | i 5 | $ | i 16 | $ | i 11 | $ | i 264 | ||||||||||||||||||||||||||||||||
Surveillance Categories as of December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Type of Guaranteed Bond | I | IA | II | III | IV | Total | ||||||||||||||||||||||||||||||||||||||
Public Finance: | ||||||||||||||||||||||||||||||||||||||||||||
Housing revenue | $ | i 149 | $ | i 3 | $ | i 5 | $ | i — | $ | i — | $ | i 157 | ||||||||||||||||||||||||||||||||
Other | i 2 | i — | i — | i — | i — | i 2 | ||||||||||||||||||||||||||||||||||||||
Total Public Finance | i 151 | i 3 | i 5 | i — | i — | i 159 | ||||||||||||||||||||||||||||||||||||||
Structured Finance: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed and home equity | i 1 | i — | i 1 | i 2 | i 12 | i 16 | ||||||||||||||||||||||||||||||||||||||
Student loan | i 1 | i 1 | i — | i 9 | i — | i 12 | ||||||||||||||||||||||||||||||||||||||
Structured insurance | i 10 | i — | i — | i — | i — | i 10 | ||||||||||||||||||||||||||||||||||||||
Other | i 7 | i — | i — | i — | i — | i 7 | ||||||||||||||||||||||||||||||||||||||
Total Structured Finance | i 19 | i 1 | i 1 | i 12 | i 12 | i 45 | ||||||||||||||||||||||||||||||||||||||
International: | ||||||||||||||||||||||||||||||||||||||||||||
Sovereign/sub-sovereign | i 74 | i 8 | i — | i 11 | i — | i 93 | ||||||||||||||||||||||||||||||||||||||
Investor-owned and public utilities | i 28 | i — | i — | i — | i — | i 28 | ||||||||||||||||||||||||||||||||||||||
Other | i 5 | i — | i — | i — | i — | i 5 | ||||||||||||||||||||||||||||||||||||||
Total International | i 107 | i 8 | i — | i 11 | i — | i 125 | ||||||||||||||||||||||||||||||||||||||
Total
(1) (2) | $ | i 277 | $ | i 12 | $ | i 6 | $ | i 22 | $ | i 12 | $ | i 329 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Beginning balance | $ | i 6 | $ | i 11 | $ | i 9 | $ | i 17 | ||||||||||||||||||
Current period provision (benefit) | ( i 1) | ( i 1) | ( i 3) | ( i 6) | ||||||||||||||||||||||
Write-offs of the allowance | i — | i — | i — | ( i 1) | ||||||||||||||||||||||
Recoveries of previously written-off amounts | i — | i — | i — | i — | ||||||||||||||||||||||
Ending
balance (1) | $ | i 6 | $ | i 10 | $ | i 6 | $ | i 10 |
Nine Months Ended September 30, | 2022 | 2021 | ||||||||||||
Beginning premium receivable | $ | i 320 | $ | i 370 | ||||||||||
Premium receipts | ( i 30) | ( i 28) | ||||||||||||
Adjustments
for changes in expected and contractual cash flows for contracts (1) | ( i 21) | ( i 25) | ||||||||||||
Accretion of premium receivable discount for contracts | i 6 | i 6 | ||||||||||||
Changes to allowance for credit losses | i 3 | i 7 | ||||||||||||
Other
adjustments (including foreign exchange) (2) | ( i 20) | ( i 4) | ||||||||||||
Ending
premium receivable (3) | $ | i 259 | $ | i 325 |
Future Premiums to be Collected (1) | Future Premiums to be Earned Net of Reinsurance (2) | ||||||||||
Three months ended: | |||||||||||
December 31, 2022 | $ | i 6 | $ | i 6 | |||||||
Twelve months ended: | |||||||||||
December 31, 2023 | i 27 | i 21 | |||||||||
December 31, 2024 | i 26 | i 20 | |||||||||
December 31, 2025 | i 25 | i 20 | |||||||||
December 31, 2026 | i 24 | i 19 | |||||||||
Five years ended: | |||||||||||
December 31, 2031 | i 102 | i 80 | |||||||||
December 31, 2036 | i 67 | i 50 | |||||||||
December 31, 2041 | i 31 | i 20 | |||||||||
December 31, 2046 | i 15 | i 9 | |||||||||
December 31, 2051 | i 5 | i 3 | |||||||||
December 31, 2056 | i — | i — | |||||||||
Total | $ | i 328 | $ | i 248 |
Legacy Financial Guarantee | ||||||||||||||||||||||||||||||||
Specialty Property and Casualty | Present Value of Expected Net Cash Flows | |||||||||||||||||||||||||||||||
Balance Sheet Line Item | Gross Loss and Loss Expense Reserves | Claims and Loss Expenses | Recoveries | Unearned Premium Revenue | Gross
Loss and Loss Expense Reserves | |||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||
Loss and loss expense reserves | $ | i 75 | $ | i 1,174 | $ | ( i 205) | $ | ( i 34) | $ | i 1,009 | ||||||||||||||||||||||
Subrogation recoverable | — | i 37 | ( i 1,986) | i — | ( i 1,949) | |||||||||||||||||||||||||||
Totals | $ | i 75 | $ | i 1,211 | $ | ( i 2,192) | $ | ( i 34) | $ | ( i 940) | ||||||||||||||||||||||
December 31, 2021: | ||||||||||||||||||||||||||||||||
Loss and loss expense reserves | $ | i 32 | $ | i 1,749 | $ | ( i 155) | $ | ( i 56) | $ | i 1,570 | ||||||||||||||||||||||
Subrogation recoverable | — | i 88 | ( i 2,180) | i — | ( i 2,092) | |||||||||||||||||||||||||||
Totals | $ | i 32 | $ | i 1,837 | $ | ( i 2,335) | $ | ( i 56) | $ | ( i 522) |
Nine Months Ended September 30, | 2022 | 2021 | |||||||||
Beginning gross loss and loss expense reserves | $ | ( i 522) | $ | ( i 397) | |||||||
Reinsurance recoverable | i 55 | i 33 | |||||||||
Beginning balance of net loss and loss expense reserves | ( i 578) | ( i 430) | |||||||||
Losses and loss expenses (benefit): | |||||||||||
Current year | i 6 | i — | |||||||||
Prior years | ( i 347) | ( i 73) | |||||||||
Total
(1) (2) | ( i 341) | ( i 73) | |||||||||
Loss and loss expenses paid (recovered): | |||||||||||
Current year | ( i 1) | i — | |||||||||
Prior years | ( i 195) | i 74 | |||||||||
Total | ( i 195) | i 74 | |||||||||
Foreign exchange effect | ( i 3) | i — | |||||||||
Ending net loss and loss expense reserves | ( i 727) | ( i 577) | |||||||||
Impact of VIE consolidation | ( i 292) | i — | |||||||||
Reinsurance
recoverable (3) | i 79 | i 29 | |||||||||
Ending gross loss and loss expense reserves | $ | ( i 940) | $ | ( i 549) |
Surveillance Categories as of September 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
I | IA | II | III | IV | V | Total | |||||||||||||||||||||||||||||||||||
Number of policies | i 27 | i 8 | i 8 | i 13 | i 119 | i 5 | i 180 | ||||||||||||||||||||||||||||||||||
Remaining
weighted-average contract period (in years) (1) | i 7 | i 19 | i 14 | i 14 | i 12 | i 7 | i 13 | ||||||||||||||||||||||||||||||||||
Gross insured contractual payments outstanding: | |||||||||||||||||||||||||||||||||||||||||
Principal | $ | i 1,046 | $ | i 215 | $ | i 459 | $ | i 974 | $ | i 2,084 | $ | i 34 | $ | i 4,813 | |||||||||||||||||||||||||||
Interest | i 417 | i 203 | i 296 | i 159 | i 751 | i 21 | i 1,847 | ||||||||||||||||||||||||||||||||||
Total | $ | i 1,464 | $ | i 419 | $ | i 755 | $ | i 1,134 | $ | i 2,834 | $ | i 55 | $ | i 6,660 | |||||||||||||||||||||||||||
Gross undiscounted claim liability | $ | i 4 | $ | i 4 | $ | i 45 | $ | i 444 | $ | i 1,142 | $ | i 55 | $ | i 1,694 | |||||||||||||||||||||||||||
Discount, gross claim liability | ( i 1) | ( i 1) | ( i 7) | ( i 161) | ( i 342) | ( i 10) | ( i 521) | ||||||||||||||||||||||||||||||||||
Gross claim liability before all subrogation and before reinsurance | i 3 | i 3 | i 37 | i 283 | i 800 | i 45 | i 1,173 | ||||||||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||||||||
Gross
RMBS subrogation (2) | i — | i — | i — | i — | ( i 1,814) | i — | ( i 1,814) | ||||||||||||||||||||||||||||||||||
Discount, RMBS subrogation | i — | i — | i — | i — | i 3 | i — | i 3 | ||||||||||||||||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | i — | i — | i — | i — | ( i 1,811) | i — | ( i 1,811) | ||||||||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||||||||
Gross
other subrogation (3) | i — | ( i 4) | i — | ( i 32) | ( i 388) | ( i 12) | ( i 436) | ||||||||||||||||||||||||||||||||||
Discount, other subrogation | i — | i — | i — | i 5 | i 46 | i 4 | i 56 | ||||||||||||||||||||||||||||||||||
Discounted other subrogation, before reinsurance | i — | ( i 4) | i — | ( i 26) | ( i 342) | ( i 8) | ( i 380) | ||||||||||||||||||||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | i 3 | i — | i 37 | i 257 | ( i 1,353) | i 37 | ( i 1,019) | ||||||||||||||||||||||||||||||||||
Less: Unearned premium revenue | ( i 2) | ( i 3) | ( i 5) | ( i 8) | ( i 16) | ( i 1) | ( i 34) | ||||||||||||||||||||||||||||||||||
Plus: Loss expense reserves | i 1 | i — | i — | i 3 | i 34 | i — | i 38 | ||||||||||||||||||||||||||||||||||
Gross loss and loss expense reserves | $ | i 3 | $ | ( i 3) | $ | i 33 | $ | i 252 | $ | ( i 1,336) | $ | i 36 | $ | ( i 1,015) | |||||||||||||||||||||||||||
Reinsurance
recoverable reported on Balance Sheet (4) | $ | i 1 | $ | i — | $ | i 9 | $ | i 21 | $ | ( i 21) | $ | i — | $ | i 10 |
Surveillance Categories as of December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||
I | IA | II | III | IV | V | Total | |||||||||||||||||||||||||||||||||||
Number of policies | i 34 | i 15 | i 7 | i 14 | i 130 | i 5 | i 205 | ||||||||||||||||||||||||||||||||||
Remaining
weighted-average contract period (in years) (1) | i 9 | i 12 | i 14 | i 15 | i 13 | i 7 | i 14 | ||||||||||||||||||||||||||||||||||
Gross insured contractual payments outstanding: | |||||||||||||||||||||||||||||||||||||||||
Principal | $ | i 904 | $ | i 840 | $ | i 459 | $ | i 1,300 | $ | i 2,759 | $ | i 40 | $ | i 6,302 | |||||||||||||||||||||||||||
Interest | i 589 | i 612 | i 308 | i 169 | i 1,284 | i 22 | i 2,984 | ||||||||||||||||||||||||||||||||||
Total | $ | i 1,493 | $ | i 1,452 | $ | i 767 | $ | i 1,469 | $ | i 4,043 | $ | i 62 | $ | i 9,286 | |||||||||||||||||||||||||||
Gross undiscounted claim liability | $ | i 5 | $ | i 16 | $ | i 45 | $ | i 544 | $ | i 1,423 | $ | i 62 | $ | i 2,095 | |||||||||||||||||||||||||||
Discount, gross claim liability | i — | ( i 1) | ( i 3) | ( i 109) | ( i 185) | ( i 4) | ( i 303) | ||||||||||||||||||||||||||||||||||
Gross claim liability before all subrogation and before reinsurance | i 5 | i 15 | i 42 | i 435 | i 1,238 | i 57 | i 1,792 | ||||||||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||||||||
Gross
RMBS subrogation (2) | i — | i — | i — | i — | ( i 1,737) | i — | ( i 1,737) | ||||||||||||||||||||||||||||||||||
Discount, RMBS subrogation | i — | i — | i — | i — | i 7 | i — | i 7 | ||||||||||||||||||||||||||||||||||
Discounted RMBS subrogation, before reinsurance | i — | i — | i — | i — | ( i 1,730) | i — | ( i 1,730) | ||||||||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||||||||
Gross
other subrogation (3) | i — | ( i 5) | i — | ( i 33) | ( i 583) | ( i 12) | ( i 633) | ||||||||||||||||||||||||||||||||||
Discount, other subrogation | i — | i — | i — | i 2 | i 24 | i 2 | i 28 | ||||||||||||||||||||||||||||||||||
Discounted other subrogation, before reinsurance | i — | ( i 5) | i — | ( i 31) | ( i 559) | ( i 10) | ( i 605) | ||||||||||||||||||||||||||||||||||
Gross claim liability, net of all subrogation and discounts, before reinsurance | i 5 | i 10 | i 42 | i 404 | ( i 1,051) | i 47 | ( i 543) | ||||||||||||||||||||||||||||||||||
Less: Unearned premium revenue | ( i 3) | ( i 10) | ( i 5) | ( i 14) | ( i 24) | ( i 1) | ( i 56) | ||||||||||||||||||||||||||||||||||
Plus: Loss expense reserves | i 1 | i — | i — | i 4 | i 40 | i — | i 45 | ||||||||||||||||||||||||||||||||||
Gross loss and loss expense reserves | $ | i 3 | $ | i 1 | $ | i 38 | $ | i 394 | $ | ( i 1,036) | $ | i 46 | $ | ( i 554) | |||||||||||||||||||||||||||
Reinsurance
recoverable reported on Balance Sheet (4) | $ | i 1 | $ | i 1 | $ | i 10 | $ | i 22 | $ | ( i 11) | $ | i — | $ | i 23 |
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 | |||||||||||||||||||||||||
September 30, 2022: | |||||||||||||||||||||||||||||
Derivative Assets: | |||||||||||||||||||||||||||||
Interest rate swaps | $ | i 27 | $ | i — | $ | i 27 | $ | — | $ | i 27 | |||||||||||||||||||
Warrants | i 1 | i — | i 1 | — | i 1 | ||||||||||||||||||||||||
Futures contracts | 1 | — | 1 | — | 1 | ||||||||||||||||||||||||
Total non-VIE derivative assets | $ | i 29 | $ | i — | $ | i 28 | $ | i — | $ | i 28 | |||||||||||||||||||
Derivative Liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps | i 40 | i — | i 40 | i 40 | i — | ||||||||||||||||||||||||
Total non-VIE derivative liabilities | $ | i 40 | $ | i — | $ | i 40 | $ | i 40 | $ | i — | |||||||||||||||||||
Variable Interest Entities Derivative Assets: | |||||||||||||||||||||||||||||
Interest rate swaps | $ | i 1 | $ | i 1 | $ | i — | $ | — | $ | i — | |||||||||||||||||||
Currency swaps | $ | i 60 | $ | i — | $ | i 60 | $ | — | $ | i 60 | |||||||||||||||||||
Total VIE derivative assets | $ | i 61 | $ | i 1 | $ | i 60 | $ | i — | $ | i 60 | |||||||||||||||||||
Variable Interest Entities Derivative Liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps | $ | i 1,111 | $ | i 1 | $ | i 1,110 | $ | — | $ | i 1,110 | |||||||||||||||||||
Total VIE derivative liabilities | $ | i 1,111 | $ | i 1 | $ | i 1,110 | $ | i — | $ | i 1,110 |
December 31, 2021: | |||||||||||||||||||||||||||||
Derivative Assets: | |||||||||||||||||||||||||||||
Interest rate swaps | $ | i 76 | $ | i — | $ | i 76 | $ | i — | $ | i 76 | |||||||||||||||||||
Total non-VIE derivative assets | $ | i 76 | $ | i — | $ | i 76 | $ | i — | $ | i 76 | |||||||||||||||||||
Derivative Liabilities: | |||||||||||||||||||||||||||||
Credit derivatives | $ | i — | $ | i — | $ | i — | $ | — | $ | i — | |||||||||||||||||||
Interest rate swaps | i 94 | i — | i 94 | i 93 | i 1 | ||||||||||||||||||||||||
Total non-VIE derivative liabilities | $ | i 95 | $ | i — | $ | i 95 | $ | i 93 | $ | i 2 | |||||||||||||||||||
Variable Interest Entities Derivative Assets: | |||||||||||||||||||||||||||||
Currency swaps | $ | i 38 | $ | — | $ | i 38 | $ | i — | $ | i 38 | |||||||||||||||||||
Total VIE derivative assets | $ | i 38 | $ | i — | $ | i 38 | $ | i — | $ | i 38 | |||||||||||||||||||
Variable Interest Entities Derivative Liabilities: | |||||||||||||||||||||||||||||
Interest rate swaps | $ | i 1,940 | $ | — | $ | i 1,940 | $ | — | $ | i 1,940 | |||||||||||||||||||
Total VIE derivative liabilities | $ | i 1,940 | $ | i — | $ | i 1,940 | $ | i — | $ | i 1,940 |
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 September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Non-VIE derivatives: | |||||||||||||||||||||||||||||
Interest rate swaps | Net gains (losses) on derivative contracts | i 16 | i 4 | i 63 | i 14 | ||||||||||||||||||||||||
Warrants | Net gains (losses) on derivative contracts | i — | i — | i 1 | i — | ||||||||||||||||||||||||
Futures contracts | Net gains (losses) on derivative contracts | i 22 | i 1 | i 59 | i 5 | ||||||||||||||||||||||||
Total Non-VIE derivatives | $ | i 37 | $ | i 5 | i 124 | i 19 | |||||||||||||||||||||||
Variable Interest Entities: | |||||||||||||||||||||||||||||
Currency swaps | Income (loss) on variable interest entities | $ | i 17 | $ | i 5 | i 37 | i 3 | ||||||||||||||||||||||
Interest rate swaps | Income (loss) on variable interest entities | i 250 | ( i 88) | i 519 | ( i 50) | ||||||||||||||||||||||||
Total Variable Interest Entities | i 267 | ( i 82) | i 556 | ( i 47) | |||||||||||||||||||||||||
Total derivative contracts | $ | i 304 | $ | ( i 77) | $ | i 680 | $ | ( i 29) |
Notional | ||||||||||||||
Type of Derivative | September 30, 2022 | December
31, 2021 | ||||||||||||
Interest rate swaps—pay-fixed/receive-variable | $ | i 1,042 | $ | i 1,275 | ||||||||||
US Treasury futures contracts—short | i 460 | i 470 | ||||||||||||
Interest rate swaps—receive-fixed/pay-variable | i 176 | i 185 | ||||||||||||
Notional | ||||||||||||||
Type of VIE Derivative | September
30, 2022 | December 31, 2021 | ||||||||||||
Interest rate swaps—receive-fixed/pay-variable | $ | i 1,008 | $ | i 1,221 | ||||||||||
Interest rate swaps—pay-fixed/receive-variable | i 837 | i 1,069 | ||||||||||||
Currency swaps | i 211 | i 272 | ||||||||||||
September
30, 2022 | December 31, 2021 | |||||||||||||
Finite-lived Intangible Assets: | ||||||||||||||
Insurance intangible: | ||||||||||||||
Gross carrying value | $ | i 1,233 | $ | i 1,278 | ||||||||||
Accumulated amortization | i 961 | i 958 | ||||||||||||
Net insurance intangible asset | i 272 | i 320 | ||||||||||||
Other intangibles: | ||||||||||||||
Gross carrying value | $ | i 36 | i 36 | |||||||||||
Accumulated amortization | i 5 | i 3 | ||||||||||||
Net other intangible assets | i 31 | i 33 | ||||||||||||
Total finite-lived intangible assets | i 303 | i 353 | ||||||||||||
Indefinite-lived Intangible Assets: | ||||||||||||||
Insurance licenses | i 14 | i 9 | ||||||||||||
Total intangible assets | $ | i 318 | i 362 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Insurance amortization expense | $ | i 5 | $ | i 10 | $ | i 32 | $ | i 42 | ||||||||||||||||||
Other amortization expense | i 1 | i 1 | i 2 | i 2 | ||||||||||||||||||||||
Total | $ | i 6 | $ | i 11 | $ | i 34 | $ | i 44 |
Amortization expense | Insurance Intangible Asset (1) | Other Intangible Assets (1) | Total | |||||||||||||||||
2022 (Three months) | $ | i 7 | $ | i 1 | $ | i 8 | ||||||||||||||
2023 | i 28 | i 3 | i 30 | |||||||||||||||||
2024 | i 25 | i 3 | i 28 | |||||||||||||||||
2025 | i 23 | i 3 | i 26 | |||||||||||||||||
2026 | i 21 | i 2 | i 24 | |||||||||||||||||
Thereafter | i 167 | i 20 | i 187 |
September 30, 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 | $ | i 2,026 | $ | i — | $ | i 2,026 | $ | i 3,320 | $ | i — | $ | i 3,320 | ||||||||||||||||||||||||||
Municipal
obligations, available-for-sale (1) | i — | i 92 | i 92 | i — | i 136 | i 136 | ||||||||||||||||||||||||||||||||
Total FG VIE fixed maturity securities, at fair value | i 2,026 | i 92 | i 2,119 | i 3,320 | i 136 | i 3,455 | ||||||||||||||||||||||||||||||||
Restricted cash | i 1 | i 1 | i 2 | i 1 | i 1 | i 2 | ||||||||||||||||||||||||||||||||
Loans,
at fair value (2) | i 1,682 | i — | i 1,682 | i 2,718 | i — | i 2,718 | ||||||||||||||||||||||||||||||||
Derivative assets | i 60 | i — | i 60 | i 38 | i — | i 38 | ||||||||||||||||||||||||||||||||
Other assets | i — | i 1 | i 1 | i — | i 2 | i 2 | ||||||||||||||||||||||||||||||||
Total FG VIE assets | $ | i 3,769 | $ | i 95 | $ | i 3,864 | $ | i 6,077 | $ | i 139 | $ | i 6,216 | ||||||||||||||||||||||||||
LIABILITIES: | ||||||||||||||||||||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||||||||||||||
Long-term debt, at fair value (3) | $ | i 2,603 | $ | i — | $ | i 2,603 | $ | i 4,056 | $ | i — | $ | i 4,056 | ||||||||||||||||||||||||||
Long-term debt, at par less unamortized discount | i — | i 149 | i 149 | i — | i 160 | i 160 | ||||||||||||||||||||||||||||||||
Total long-term debt | i 2,603 | i 149 | i 2,752 | i 4,056 | i 160 | i 4,216 | ||||||||||||||||||||||||||||||||
Derivative liabilities | i 1,110 | i — | i 1,110 | i 1,940 | i — | i 1,940 | ||||||||||||||||||||||||||||||||
Total FG VIE liabilities | $ | i 3,713 | $ | i 149 | $ | i 3,862 | $ | i 5,996 | $ | i 160 | $ | i 6,156 | ||||||||||||||||||||||||||
Number of FG VIEs consolidated | i 5 | i 3 | i 8 | i 5 | i 1 | i 6 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Net change in fair value of VIE assets and liabilities reported under the fair value option | $ | ( i 3) | $ | i 2 | $ | ( i 2) | $ | i 2 | ||||||||||||||||||
Less: Credit risk changes of fair value option long-term debt reported through other comprehensive income (loss) | i 1 | i — | ( i 1) | i 1 | ||||||||||||||||||||||
Net change in fair value of VIE assets and liabilities reported in earnings under the fair value option | ( i 2) | i 2 | ( i 3) | i 3 | ||||||||||||||||||||||
Investment income (loss) | i 1 | i 1 | ( i 4) | i 5 | ||||||||||||||||||||||
Net realized investment gains (losses) on available-for-sale securities | i 1 | i 1 | i 2 | i 2 | ||||||||||||||||||||||
Interest expense on long-term debt carried at par less unamortized cost | ( i 1) | ( i 1) | ( i 8) | ( i 4) | ||||||||||||||||||||||
Gain (loss) from consolidating VIEs | i — | i — | i 28 | i — | ||||||||||||||||||||||
Income (loss) on variable interest entities | $ | ( i 1) | $ | i 3 | $ | i 14 | $ | i 5 |
Carrying Value of Assets and Liabilities | |||||||||||||||||||||||
Maximum Exposure To Loss (1) | Insurance Assets (2) | Insurance Liabilities (3) | Net Derivative Assets (Liabilities) (4) | ||||||||||||||||||||
September 30, 2022: | |||||||||||||||||||||||
Global structured finance: | |||||||||||||||||||||||
Mortgage-backed—residential | $ | i 2,593 | $ | i 1,908 | $ | i 379 | $ | i — | |||||||||||||||
Other consumer asset-backed | i 685 | i 6 | i 226 | i — | |||||||||||||||||||
Other | i 410 | i 2 | i 3 | i 1 | |||||||||||||||||||
Total global structured finance | i 3,688 | i 1,916 | i 607 | i 1 | |||||||||||||||||||
Global public finance | i 18,496 | i 214 | i 222 | i — | |||||||||||||||||||
Total | $ | i 22,184 | $ | i 2,130 | $ | i 829 | $ | i 1 | |||||||||||||||
December 31, 2021: | |||||||||||||||||||||||
Global structured finance: | |||||||||||||||||||||||
Mortgage-backed—residential | $ | i 3,265 | $ | i 1,929 | $ | i 521 | $ | i — | |||||||||||||||
Other consumer asset-backed | i 788 | i 17 | i 234 | i — | |||||||||||||||||||
Other | i 826 | i 3 | i 10 | i 5 | |||||||||||||||||||
Total global structured finance | i 4,879 | i 1,949 | i 765 | i 5 | |||||||||||||||||||
Global public finance | i 20,233 | i 246 | i 257 | i — | |||||||||||||||||||
Total | $ | i 25,112 | $ | i 2,195 | $ | i 1,023 | $ | i 5 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
Employer Stop Loss | $ | i 2 | $ | i 2 | $ | i 7 | $ | i 6 | |||||||||||||||
Affinity Products | i 5 | i 4 | i 14 | i 13 | |||||||||||||||||||
Other | i — | i — | i 1 | i — | |||||||||||||||||||
Total | $ | i 7 | $ | i 7 | $ | i 22 | $ | i 20 |
September 30, 2022 | December 31, 2021 | ||||||||||
Commissions receivable | $ | i 3 | $ | i 2 | |||||||
Contract assets | i 4 | i 4 | |||||||||
Contract liabilities | i 1 | i 1 |
Unrealized Gains (Losses) on Available for Sale Securities (1) | Amortization of Postretirement Benefit (1) | Gain (Loss) on Foreign Currency Translation (1) | Credit Risk Changes of Fair Value Option Liabilities (1) (2) | Total | ||||||||||||||||||||||||||||
Three Months Ended September 30, 2022: | ||||||||||||||||||||||||||||||||
Beginning Balance | $ | ( i 23) | $ | i 4 | $ | ( i 177) | $ | i — | $ | ( i 196) | ||||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | ( i 53) | i — | ( i 58) | i — | ( i 111) | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | ( i 6) | i — | i — | ( i 1) | ( i 7) | |||||||||||||||||||||||||||
Net current period other comprehensive income (loss) | ( i 59) | i — | ( i 58) | ( i 1) | ( i 118) | |||||||||||||||||||||||||||
Balance at September 30, 2022 | $ | ( i 82) | $ | i 4 | $ | ( i 235) | $ | ( i 1) | $ | ( i 315) | ||||||||||||||||||||||
Three Months Ended September 30, 2021: | ||||||||||||||||||||||||||||||||
Beginning Balance | $ | i 168 | $ | i 5 | $ | ( i 84) | $ | ( i 1) | $ | i 87 | ||||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | ( i 1) | i — | ( i 19) | i — | ( i 20) | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | ( i 3) | i — | i — | i — | ( i 3) | |||||||||||||||||||||||||||
Net current period other comprehensive income (loss) | ( i 4) | i — | ( i 19) | i — | ( i 23) | |||||||||||||||||||||||||||
Balance at September 30, 2021 | $ | i 164 | $ | i 5 | $ | ( i 103) | $ | ( i 1) | $ | i 64 | ||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Beginning Balance | $ | i 154 | $ | i 4 | $ | ( i 100) | $ | ( i 1) | $ | i 58 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | ( i 224) | i — | ( i 136) | i — | ( i 360) | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | ( i 12) | i — | i — | i — | ( i 12) | |||||||||||||||||||||||||||
Net current period other comprehensive income | ( i 236) | ( i 1) | ( i 136) | i — | ( i 372) | |||||||||||||||||||||||||||
Balance at September 30, 2022 | $ | ( i 82) | $ | i 4 | $ | ( i 235) | $ | ( i 1) | $ | ( i 315) | ||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Beginning Balance | $ | i 166 | $ | i 5 | $ | ( i 92) | $ | i — | $ | i 79 | ||||||||||||||||||||||
Other comprehensive income before reclassifications | i 2 | i — | ( i 11) | i — | ( i 9) | |||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income | ( i 4) | ( i 1) | i — | ( i 1) | ( i 6) | |||||||||||||||||||||||||||
Net current period other comprehensive income | ( i 2) | ( i 1) | ( i 11) | ( i 1) | ( i 15) | |||||||||||||||||||||||||||
Balance at September 30, 2021 | $ | i 164 | $ | i 5 | $ | ( i 103) | $ | ( i 1) | $ | i 64 |
Details about Accumulated Other Comprehensive Income Components | Amount Reclassified from Accumulated Other Comprehensive Income | Affected Line Item in the Consolidated Statement of Total Comprehensive Income (Loss) | ||||||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||
Unrealized Gains (Losses) on Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
$ | ( i 8) | $ | ( i 3) | $ | ( i 17) | $ | ( i 4) | Net realized investment gains (losses) | ||||||||||||||||||||||||
i 2 | i 1 | i 5 | i — | Provision for income taxes | ||||||||||||||||||||||||||||
$ | ( i 6) | $ | ( i 3) | $ | ( i 12) | $ | ( i 4) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Amortization of Postretirement Benefit | ||||||||||||||||||||||||||||||||
Prior service cost | $ | i — | $ | i — | $ | i — | $ | ( i 1) | Other
income | |||||||||||||||||||||||
Actuarial (losses) | i — | i — | i — | i — | Other
income | |||||||||||||||||||||||||||
i — | i — | i — | ( i 1) | Total before tax | ||||||||||||||||||||||||||||
i — | i — | i — | i — | Provision for income taxes | ||||||||||||||||||||||||||||
$ | i — | $ | i — | $ | i — | $ | ( i 1) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Credit Risk Changes of Fair Value Option Liabilities | ||||||||||||||||||||||||||||||||
$ | ( i 1) | $ | i — | $ | i — | $ | ( i 1) | Credit risk changes of fair value option liabilities | ||||||||||||||||||||||||
i — | i — | i — | i — | Provision for income taxes | ||||||||||||||||||||||||||||
$ | ( i 1) | $ | i — | $ | i — | $ | ( i 1) | Net of tax and noncontrolling interest | ||||||||||||||||||||||||
Total reclassifications for the period | $ | ( i 7) | $ | ( i 3) | $ | ( i 12) | $ | ( i 6) | Net of tax and noncontrolling interest |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Net income attributable to common stockholders | $ | i 340 | $ | i 17 | $ | i 347 | i 5 | |||||||||||||||||||
Adjustment to redemption value (ASC 480) | i — | i — | i — | ( i 14) | ||||||||||||||||||||||
Numerator of basic and diluted EPS | $ | i 340 | $ | i 17 | $ | i 347 | ( i 9) | |||||||||||||||||||
Per Share: | ||||||||||||||||||||||||||
Basic | $ | i 7.50 | $ | i 0.35 | $ | i 7.56 | $ | ( i 0.19) | ||||||||||||||||||
Diluted | $ | i 7.41 | $ | i 0.35 | $ | i 7.48 | $ | ( i 0.19) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Basic weighted average shares outstanding denominator | i 45,307,019 | i 46,615,552 | i 45,847,306 | i 46,503,196 | ||||||||||||||||||||||
Effect of potential dilutive shares : | ||||||||||||||||||||||||||
Warrants | i — | i — | i — | i — | ||||||||||||||||||||||
Restricted stock units | i 179,293 | i 72,061 | i 105,114 | i — | ||||||||||||||||||||||
Performance
stock units (1) | i 360,093 | i 356,519 | i 403,674 | i — | ||||||||||||||||||||||
Diluted weighted average shares outstanding denominator | i 45,846,405 | i 47,044,132 | i 46,356,094 | i 46,503,196 | ||||||||||||||||||||||
Anti-dilutive shares excluded from the above reconciliation: | ||||||||||||||||||||||||||
Warrants | i 4,877,617 | i 4,877,617 | i 4,877,617 | i 4,877,665 | ||||||||||||||||||||||
Restricted
stock units | i 157,991 | i 244,694 | i 214,941 | i 466,094 | ||||||||||||||||||||||
Performance
stock units (1) | i — | i — | i — | i 582,254 |
Jurisdiction | Tax Year | ||||
United States | 2010 | ||||
New York State | 2013 | ||||
New York City | 2017 | ||||
United Kingdom | 2018 | ||||
Italy | 2017 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
U.S. | $ | i 329 | $ | i 8 | $ | i 338 | $ | ( i 2) | |||||||||||||||
Foreign | i 14 | i 11 | i 13 | i 23 | |||||||||||||||||||
Total | $ | i 342 | $ | i 19 | $ | i 352 | $ | i 21 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
Current taxes | |||||||||||||||||||||||
U. S. federal | $ | i — | $ | i — | $ | i — | $ | i — | |||||||||||||||
U.S. state and local | i — | i — | i — | i 1 | |||||||||||||||||||
Foreign | i 4 | i 2 | i 6 | i 7 | |||||||||||||||||||
Total Current taxes | i 4 | i 2 | i 6 | i 9 | |||||||||||||||||||
Deferred taxes | |||||||||||||||||||||||
Foreign | ( i 2) | i — | ( i 2) | i 6 | |||||||||||||||||||
Total Deferred taxes | ( i 2) | i — | ( i 2) | i 6 | |||||||||||||||||||
Provision for income taxes | $ | i 2 | $ | i 2 | $ | i 4 | $ | i 15 |
Page | |||||
Executive Summary | |||||
Critical Accounting Estimates | |||||
Financial Guarantees in Force | |||||
Results of Operations | |||||
Liquidity and Capital Resources | |||||
Balance Sheet | |||||
Variable Interest Entities | |||||
Accounting Standards | |||||
U.S. Insurance Statutory Basis Financial Results | |||||
Ambac UK Financial Results under UK Accounting Principles | |||||
Non-GAAP Financial Measures |
Cash and short-term investments | $ | 112 | ||||||
Other
investments (1) (2) | 97 | |||||||
Other net assets | 15 | |||||||
Total | $ | 223 |
Three and nine months ended September 30, | Three Months | Nine Months | ||||||||||||
Gross premiums written | $ | 30 | $ | 95 | ||||||||||
Net premiums written | 6 | 19 | ||||||||||||
Earnings before interest, taxes, depreciation and amortization | (1) | (5) | ||||||||||||
Pretax income (loss) | $ | (1) | $ | (5) | ||||||||||
Stockholders
Equity (1) | $ | 110 | ||||||||||||
Three and nine months ended September 30, | Three Months | Nine Months | ||||||||||||
Premiums placed | $ | 28 | $ | 97 | ||||||||||
Commission income | $ | 7 | $ | 22 | ||||||||||
Sub-producer commission expense (1) | 4 | 13 | ||||||||||||
Net commissions | 3 | 9 | ||||||||||||
Earnings before interest, taxes, depreciation and amortization | 1 | 4 | ||||||||||||
Pretax income (loss) | $ | 1 | $ | 3 | ||||||||||
Stockholders
Equity (2) | $ | 64 |
Three and nine months ended September 30, | Three Months | Nine Months | ||||||||||||
Net premiums earned | $ | 7 | $ | 31 | ||||||||||
Net investment income | 9 | (9) | ||||||||||||
Loss and loss expenses (benefit) | (356) | (347) | ||||||||||||
Operating expenses | 20 | 64 | ||||||||||||
Interest expense | 49 | 138 | ||||||||||||
Pretax income (loss) | $ | 349 | $ | 362 | ||||||||||
Stockholders
Equity (1) | $ | 681 | ||||||||||||
Adversely Classified Credit Net Par Outstanding | $ | 4,979 |
September
30, 2022 | December 31, 2021 | Decrease | |||||||||||||||||||||
Total | $ | 24,063 | $ | 28,020 | $ | (3,957) | (14) | % | |||||||||||||||
ACC | 4,979 | 6,361 | (1,382) | (22) | % | ||||||||||||||||||
Watch list | 3,184 | 3,824 | (640) | (17) | % |
Net income (1) | $ | 14 | ||||||
Gain (loss) on foreign currency translation (net of tax), included in other comprehensive income | (136) | |||||||
Foreign currency impact on unrealized gains (losses) on non-functional currency available-for-sale securities (net of tax), included in other comprehensive income | 17 | |||||||
Impact on total comprehensive income (loss) | $ | (105) |
September 30, 2022 | December 31, 2021 | ||||||||||
Public
Finance (1) (2) | $ | 11,100 | $ | 12,360 | |||||||
Structured Finance | 3,983 | 4,904 | |||||||||
International Finance | 8,980 | 10,756 | |||||||||
Total net par outstanding | $ | 24,063 | $ | 28,020 |
Risk Name | Country-Bond Type | Ambac Ratings (1) | Ultimate Maturity Year | Net Par Outstanding | % of Total Net Par Outstanding | |||||||||||||||||||||||||||||||||
IF | AUK | Anglian Water | UK-Utility | A- | 2035 | $ | 820 | 3.4 | % | |||||||||||||||||||||||||||||
IF | AUK | Capital
Hospitals plc (2) | UK-Infrastructure | A- | 2046 | 810 | 3.4 | % | ||||||||||||||||||||||||||||||
IF | AUK | Mitchells & Butlers Finance plc-UK Pub Securitisation | UK-Asset Securitizations | BBB | 2033 | 719 | 3.0 | % | ||||||||||||||||||||||||||||||
IF | AUK | National Grid Gas | UK-Utility | BBB+ | 2037 | 718 | 3.0 | % | ||||||||||||||||||||||||||||||
IF | AUK | Aspire Defence Finance plc | UK-Infrastructure | A- | 2040 | 670 | 2.8 | % | ||||||||||||||||||||||||||||||
PF | AAC | New Jersey Transportation Trust Fund Authority | US-Lease and Tax-backed Revenue | BBB- | 2036 | 623 | 2.6 | % | ||||||||||||||||||||||||||||||
IF | AUK | Posillipo Finance II S.r.l | Italy-Sub-Sovereign | BIG | 2035 | 556 | 2.3 | % | ||||||||||||||||||||||||||||||
IF | AUK | National Grid Electricity Transmission | UK-Utility | BBB+ | 2036 | 500 | 2.1 | % | ||||||||||||||||||||||||||||||
IF | AUK | Catalyst Healthcare (Manchester) Financing plc (2) | UK-Infrastructure | BBB- | 2040 | 470 | 2.0 | % | ||||||||||||||||||||||||||||||
PF | AAC | Hickam Community Housing LLC | US-Housing Revenue | BBB- | 2052 | 452 | 1.9 | % | ||||||||||||||||||||||||||||||
Total | $ | 6,338 | 26.5 | % | ||||||||||||||||||||||||||||||||||
PF
= Public Finance, SF = Structured Finance, IF = International Finance AAC = Ambac Assurance, AUK = Ambac UK |
Net Par Outstanding ($ in millions) | September 30, 2022 | December 31, 2021 | ||||||||||||
PR Highways and Transportation Authority (1998 Resolution - Senior Lien Transportation Revenue) | $ | 394 | $ | 394 | ||||||||||
PR Sales Tax Financing Corporation - Senior Sales Tax Revenue (COFINA) | 69 | 73 | ||||||||||||
PR Highways and Transportation Authority (1968 Resolution - Highway Revenue) | 4 | 4 | ||||||||||||
PR Infrastructure Financing Authority (Special Tax Revenue) | — | 403 | ||||||||||||
PR Convention Center District Authority (Hotel Occupancy Tax | — | 86 | ||||||||||||
Commonwealth of Puerto Rico - General Obligation Bonds | — | 11 | ||||||||||||
PR Public Buildings Authority - Guaranteed by the Commonwealth of Puerto Rico | — | 83 | ||||||||||||
Total Net Exposure to The Commonwealth of Puerto Rico and Related Entities | $ | 467 | $ | 1,054 |
Currency | Net
Par Amount Outstanding in Base Currency | Net Par Amount Outstanding in U.S. Dollars | ||||||||||||
U.S. Dollars | $ | 15,280 | $ | 15,280 | ||||||||||
British Pounds | £ | 6,839 | 7,642 | |||||||||||
Euros | € | 915 | 898 | |||||||||||
Australian Dollars | A$ | 380 | 243 | |||||||||||
Total | $ | 24,063 |
Net Par Outstanding | ||||||||||||||
Bond Type | September 30, 2022 | December 31, 2021 | ||||||||||||
Public Finance: | ||||||||||||||
Puerto Rico | $ | 467 | $ | 1,054 | ||||||||||
Military Housing | 367 | 370 | ||||||||||||
Other | 223 | 317 | ||||||||||||
Total Public Finance | 1,057 | 1,741 | ||||||||||||
Structured Finance: | ||||||||||||||
RMBS | 1,899 | 2,170 | ||||||||||||
Student loans | 280 | 302 | ||||||||||||
Total Structured Finance | 2,179 | 2,472 | ||||||||||||
International Finance: | ||||||||||||||
Sovereign/sub-sovereign | 654 | 774 | ||||||||||||
Transportation | 323 | 389 | ||||||||||||
Other | 2 | 62 | ||||||||||||
Total International Finance | 979 | 1,225 | ||||||||||||
Total | $ | 4,215 | $ | 5,438 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Gross premiums written | $ | 16 | $ | (1) | $ | 83 | $ | (6) | ||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||
Net premiums earned | $ | 11 | $ | 11 | $ | 39 | $ | 36 | ||||||||||||||||||
Net investment income | 11 | 21 | (6) | 112 | ||||||||||||||||||||||
Net investment gains (losses), including impairments | 14 | 3 | 31 | 4 | ||||||||||||||||||||||
Net gains (losses) on derivative contracts | 37 | 5 | 124 | 19 | ||||||||||||||||||||||
Net realized gains (losses) on extinguishment of debt | — | — | 57 | 33 | ||||||||||||||||||||||
Commission income | 7 | 7 | 22 | 20 | ||||||||||||||||||||||
Other income (expense) | 1 | 1 | 5 | — | ||||||||||||||||||||||
Income (loss) on variable interest entities | (1) | 3 | 14 | 5 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Losses and loss expenses (benefit) | (353) | (55) | (341) | (73) | ||||||||||||||||||||||
Intangible amortization | 6 | 11 | 34 | 44 | ||||||||||||||||||||||
Operating expenses | 37 | 32 | 104 | 94 | ||||||||||||||||||||||
Interest expense | 49 | 44 | 138 | 144 | ||||||||||||||||||||||
Provision (benefit) for income taxes | 2 | 2 | 4 | 15 | ||||||||||||||||||||||
Net income (loss) attributable to common stockholders | $ | 340 | $ | 17 | $ | 347 | $ | 5 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Legacy Financial Guaranty Insurance | $ | (13) | $ | (5) | $ | (12) | $ | (13) | ||||||||||||||||||
Specialty Property & Casualty Insurance | 30 | 4 | 95 | 6 | ||||||||||||||||||||||
Total | $ | 16 | $ | (1) | $ | 83 | $ | (6) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Legacy Financial Guaranty Insurance | $ | 7 | $ | 11 | $ | 31 | $ | 36 | ||||||||||||||||||
Specialty Property & Casualty Insurance | 4 | — | 8 | — | ||||||||||||||||||||||
Total | $ | 11 | $ | 11 | $ | 39 | $ | 36 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
Securities available-for-sale: Ambac-insured (including secured notes) | $ | 6 | $ | 8 | $ | 19 | $ | 37 | |||||||||||||||
Securities available-for-sale and short-term other than Ambac-insured | 11 | 7 | 26 | 22 | |||||||||||||||||||
Other investments (includes trading securities) | (7) | 6 | (50) | 53 | |||||||||||||||||||
Net investment income (loss) | $ | 11 | $ | 21 | $ | (6) | $ | 112 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Net gains (losses) on securities sold or called | $ | 5 | $ | 1 | $ | 12 | $ | 7 | ||||||||||||||||||
Net foreign exchange gains (losses) | 9 | 3 | 20 | (3) | ||||||||||||||||||||||
Credit impairments | — | — | — | — | ||||||||||||||||||||||
Intent / requirement to sell impairments | — | — | — | — | ||||||||||||||||||||||
Net investment gains (losses), including impairments | $ | 14 | $ | 3 | $ | 31 | $ | 4 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Compensation | $ | 17 | $ | 15 | $ | 49 | $ | 45 | ||||||||||||||||||
Non-compensation | 14 | 13 | 41 | 37 | ||||||||||||||||||||||
Gross operating expenses | 31 | 28 | 102 | 93 | ||||||||||||||||||||||
Sub-producer Commissions | 4 | 4 | 13 | 11 | ||||||||||||||||||||||
Amortization of deferred acquisition costs | 3 | — | 7 | — | ||||||||||||||||||||||
Reinsurance commissions, net | (2) | — | (5) | — | ||||||||||||||||||||||
Total operating expenses | $ | 37 | $ | 32 | $ | 104 | $ | 94 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Surplus notes (1) | $ | 20 | $ | 20 | $ | 61 | $ | 57 | ||||||||||||||||||
LSNI Ambac Note | — | 1 | — | 50 | ||||||||||||||||||||||
Sitka AAC note | 21 | 16 | 55 | 16 | ||||||||||||||||||||||
Tier 2 Notes | 7 | 7 | 22 | 20 | ||||||||||||||||||||||
Other | — | — | 1 | 1 | ||||||||||||||||||||||
Total interest expense | $ | 49 | $ | 44 | $ | 138 | $ | 144 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||
Net premiums earned | $ | 7 | $ | 11 | $ | 31 | $ | 36 | ||||||||||||||||||
Net investment income | 9 | 21 | (9) | 111 | ||||||||||||||||||||||
Net investment gains (losses), including impairments | 14 | 3 | 31 | — | ||||||||||||||||||||||
Net gains on derivative contracts | 37 | 5 | 123 | 19 | ||||||||||||||||||||||
Net realized gains on extinguishment of debt | — | — | 57 | 33 | ||||||||||||||||||||||
Other | (1) | 4 | 17 | 5 | ||||||||||||||||||||||
Total | 67 | 44 | 250 | 204 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Loss and loss expenses (benefit) | (356) | (55) | (347) | (73) | ||||||||||||||||||||||
Operating expenses | 20 | 18 | 64 | 56 | ||||||||||||||||||||||
Total | (336) | (37) | (283) | (17) | ||||||||||||||||||||||
Earnings
before interest, taxes, depreciation and amortization (1) | 403 | 81 | 533 | 221 | ||||||||||||||||||||||
Interest expense | 49 | 44 | 138 | 144 | ||||||||||||||||||||||
Depreciation | — | — | 1 | 1 | ||||||||||||||||||||||
Intangible amortization | 5 | 10 | 32 | 42 | ||||||||||||||||||||||
Pretax income (loss) | $ | 349 | $ | 27 | $ | 362 | $ | 35 | ||||||||||||||||||
Stockholders
equity (1) | $ | 681 | $ | 713 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Structured Finance | $ | (351) | $ | (21) | $ | (150) | $ | (44) | ||||||||||||||||||
Domestic Public Finance | (1) | (30) | (194) | (32) | ||||||||||||||||||||||
Other | (4) | (4) | (3) | 3 | ||||||||||||||||||||||
Totals
(1) | $ | (356) | $ | (55) | $ | (347) | $ | (73) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Gross premiums written | $ | 30 | $ | 4 | $ | 95 | $ | 6 | ||||||||||||||||||
Net premiums written | 6 | 1 | 19 | 1 | ||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||
Premiums earned | $ | 4 | $ | — | $ | 8 | $ | — | ||||||||||||||||||
Investment income | — | — | 1 | 1 | ||||||||||||||||||||||
Net investment gains (losses), including impairments | — | — | — | — | ||||||||||||||||||||||
Other income (program fees) | 1 | — | 2 | — | ||||||||||||||||||||||
Total | 6 | — | 11 | 1 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Losses and loss expenses incurred | 3 | — | 5 | — | ||||||||||||||||||||||
Operating expenses | 4 | 2 | 11 | 5 | ||||||||||||||||||||||
Total | 7 | 2 | 16 | 5 | ||||||||||||||||||||||
EBITDA | (1) | $ | (2) | (5) | $ | (4) | ||||||||||||||||||||
Pretax income (loss) | $ | (1) | $ | (2) | $ | (5) | $ | (4) | ||||||||||||||||||
Loss and LAE Ratio | 65.2 | % | NM | 65.7 | % | NM | ||||||||||||||||||||
Combined Ratio | 150.8 | % | NM | 176.5 | % | NM | ||||||||||||||||||||
Ambac's stockholders equity (1) | $ | 110 | $ | 104 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Premiums placed | $ | 28 | $ | 29 | $ | 97 | $ | 91 | ||||||||||||||||||
Commission income | $ | 7 | $ | 7 | $ | 22 | $ | 20 | ||||||||||||||||||
Sub-producer commission expense (1) | 4 | 4 | 13 | 11 | ||||||||||||||||||||||
Net commissions | 3 | 3 | 9 | 9 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Other Operating expenses (1) | 1 | 1 | 4 | 4 | ||||||||||||||||||||||
Net (gain) attributable to noncontrolling interest | — | — | (1) | (1) | ||||||||||||||||||||||
EBITDA | 1 | 1 | 4 | 4 | ||||||||||||||||||||||
Depreciation | — | — | — | — | ||||||||||||||||||||||
Intangible amortization | 1 | 1 | 1 | 2 | ||||||||||||||||||||||
Pretax income (loss) | $ | 1 | $ | 1 | $ | 3 | $ | 3 | ||||||||||||||||||
Ambac's
stockholders equity (2) | $ | 64 | $ | 64 |
Nine Months Ended September 30, | 2022 | 2021 | |||||||||
Cash provided by (used in): | |||||||||||
Operating activities | $ | 59 | $ | (136) | |||||||
Investing activities | 435 | 745 | |||||||||
Financing
activities (1) | (479) | (623) | |||||||||
Foreign exchange impact on cash and cash equivalents | (1) | — | |||||||||
Net cash flow | $ | 14 | $ | (14) |
Nine Months Ended September 30, | 2022 | 2021 | |||||||||
Net loss and loss expenses paid (recovered): | |||||||||||
Net losses paid | $ | 239 | $ | 95 | |||||||
Net subrogation received | (233) | (85) | |||||||||
Net loss expenses paid | 18 | 64 | |||||||||
Net cash flow | $ | 24 | $ | 74 |
Legacy Financial Guarantee Insurance | Specialty Property & Casualty Insurance | Insurance Distribution | Corporate & Other | Consolidated | ||||||||||||||||||||||||||||
September 30, 2022 | ||||||||||||||||||||||||||||||||
Fixed maturity securities | $ | 1,278 | $ | 94 | $ | — | $ | 12 | $ | 1,384 | ||||||||||||||||||||||
Fixed maturity securities - trading | 105 | — | — | — | 105 | |||||||||||||||||||||||||||
Short-term | 387 | 27 | — | 109 | 523 | |||||||||||||||||||||||||||
Other investments | 543 | — | — | 16 | 559 | |||||||||||||||||||||||||||
Fixed maturity securities pledged as collateral | 69 | — | — | — | 69 | |||||||||||||||||||||||||||
Total
investments (1) | $ | 2,382 | $ | 121 | $ | — | $ | 137 | $ | 2,640 | ||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||||||||
Fixed maturity securities | $ | 1,630 | $ | 72 | $ | — | $ | 28 | $ | 1,730 | ||||||||||||||||||||||
Fixed maturity securities - trading | — | — | — | — | — | |||||||||||||||||||||||||||
Short-term | 258 | 32 | — | 124 | 414 | |||||||||||||||||||||||||||
Other investments | 679 | — | — | 11 | 690 | |||||||||||||||||||||||||||
Fixed maturity securities pledged as collateral | 120 | — | — | — | 120 | |||||||||||||||||||||||||||
Total
investments (1) | $ | 2,687 | $ | 104 | $ | — | $ | 164 | $ | 2,955 |
Currency | Premium
Receivable in Payment Currency | Premium Receivable in U.S. Dollars | ||||||||||||
U.S. Dollars | $ | 181 | $ | 181 | ||||||||||
British Pounds | £ | 66 | 73 | |||||||||||
Euros | € | 14 | 14 | |||||||||||
Total | $ | 268 |
Specialty Property and Casualty | Legacy Financial Guarantee | |||||||||||||||||||||||||||||||
Present Value of Expected Net Cash Flows | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves | ||||||||||||||||||||||||||||||
Balance Sheet Line Item | Gross Loss and Loss Expense Reserves | Claims and Loss Expenses | Recoveries (1) | |||||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||
Loss and loss expense reserves | $ | 75 | $ | 1,174 | $ | (205) | $ | (34) | $ | 1,009 | ||||||||||||||||||||||
Subrogation recoverable | — | 37 | (1,986) | — | (1,949) | |||||||||||||||||||||||||||
Totals | $ | 75 | $ | 1,211 | $ | (2,192) | $ | (34) | $ | (940) | ||||||||||||||||||||||
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) |
Gross Par Outstanding
(1) | Present Value of Expected Net Cash Flows | Unearned Premium Revenue | Gross Loss and Loss Expense Reserves (1)(2) | |||||||||||||||||||||||||||||
Claims and Loss Expenses | Recoveries | |||||||||||||||||||||||||||||||
September 30, 2022: | ||||||||||||||||||||||||||||||||
Structured Finance | $ | 2,073 | $ | 670 | $ | (1,968) | $ | (8) | $ | (1,306) | ||||||||||||||||||||||
Domestic Public Finance (3) | 1,657 | 481 | (220) | (19) | 242 | |||||||||||||||||||||||||||
Other | 1,083 | 22 | (4) | (7) | 11 | |||||||||||||||||||||||||||
Loss expenses | — | 38 | — | — | 38 | |||||||||||||||||||||||||||
Totals | $ | 4,813 | $ | 1,211 | $ | (2,192) | $ | (34) | $ | (1,015) | ||||||||||||||||||||||
December 31, 2021: | ||||||||||||||||||||||||||||||||
Structured Finance | $ | 2,371 | $ | 852 | $ | (2,018) | $ | (12) | $ | (1,178) | ||||||||||||||||||||||
Domestic Public Finance | 2,742 | 905 | (312) | (31) | 562 | |||||||||||||||||||||||||||
Other | 1,189 | 35 | (5) | (13) | 17 | |||||||||||||||||||||||||||
Loss expenses | — | 45 | — | — | 45 | |||||||||||||||||||||||||||
Total | $ | 6,302 | $ | 1,837 | $ | (2,485) | $ | (56) | $ | (554) |
September 30, 2022 | December 31, 2021 | |||||||||||||
Surplus notes | $ | 675 | $ | 729 | ||||||||||
Sitka AAC note | 1,157 | 1,154 | ||||||||||||
Tier 2 notes | 354 | 333 | ||||||||||||
Ambac UK debt | 15 | 15 | ||||||||||||
Total Long-term Debt | $ | 2,201 | $ | 2,230 |
Legacy Financial Guarantee Insurance | Specialty Property & Casualty Insurance | Insurance Distribution | Corporate & Other | Consolidated | ||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||
Pretax
income (loss) (1) | $ | 349 | $ | (1) | $ | 1 | $ | (6) | $ | 342 | ||||||||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||||||||||||||
Interest expense | 49 | — | — | — | 49 | |||||||||||||||||||||||||||||||||
Depreciation | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Amortization of intangible assets | 5 | — | 1 | — | 6 | |||||||||||||||||||||||||||||||||
Net (gain) attributable to noncontrolling interest | — | — | — | |||||||||||||||||||||||||||||||||||
Earnings before interest, taxes, depreciation and amortization | $ | 403 | $ | (1) | $ | 1 | $ | (6) | $ | 397 | ||||||||||||||||||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
Pretax income (loss) (1) | $ | 27 | $ | (2) | $ | 1 | $ | (6) | $ | 19 | ||||||||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||||||||||||||
Interest expense | 44 | — | — | — | 44 | |||||||||||||||||||||||||||||||||
Depreciation | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Amortization of intangible assets | 10 | — | 1 | — | 11 | |||||||||||||||||||||||||||||||||
Net (gain) attributable to noncontrolling interest | — | — | ||||||||||||||||||||||||||||||||||||
Earnings before interest, taxes, depreciation and amortization | $ | 81 | $ | (2) | $ | 1 | $ | (6) | $ | 74 |
Legacy Financial Guarantee Insurance | Specialty Property & Casualty Insurance | Insurance Distribution | Corporate & Other | Consolidated | ||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||
Pretax
income (loss) (1) | $ | 362 | $ | (5) | $ | 3 | $ | (8) | $ | 352 | ||||||||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||||||||||||||
Interest expense | 138 | — | — | — | 138 | |||||||||||||||||||||||||||||||||
Depreciation | 1 | — | — | — | 1 | |||||||||||||||||||||||||||||||||
Amortization of intangible assets | 32 | — | 2 | — | 34 | |||||||||||||||||||||||||||||||||
Net (gain) attributable to noncontrolling interest | — | (1) | (1) | |||||||||||||||||||||||||||||||||||
Earnings before interest, taxes, depreciation and amortization | $ | 533 | $ | (5) | $ | 4 | $ | (8) | $ | 523 | ||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
Pretax income (loss) (1) | $ | 35 | $ | (4) | $ | 3 | $ | (12) | $ | 21 | ||||||||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||||||||||||||
Interest expense | 144 | — | — | — | 144 | |||||||||||||||||||||||||||||||||
Depreciation | 1 | — | — | — | 1 | |||||||||||||||||||||||||||||||||
Amortization of intangible assets | 42 | — | 2 | — | 44 | |||||||||||||||||||||||||||||||||
Net (gain) attributable to noncontrolling interest | (1) | (1) | ||||||||||||||||||||||||||||||||||||
Earnings before interest, taxes, depreciation and amortization | $ | 221 | $ | (4) | $ | 4 | $ | (12) | $ | 209 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
($ in millions, except share data) | $ Amount | Per Diluted Share (1) | $ Amount | Per
Diluted Share (1) | $ Amount | Per Diluted Share (1) | $ Amount | Per Diluted Share (1) | |||||||||||||||||||||||||||||||||||||||
Net income attributable to common stockholders | $ | 340 | $ | 7.41 | $ | 17 | $ | 0.35 | $ | 347 | $ | 7.48 | $ | 5 | $ | (0.19) | |||||||||||||||||||||||||||||||
Adjustments: | |||||||||||||||||||||||||||||||||||||||||||||||
Insurance intangible amortization | 5 | 0.11 | 10 | 0.22 | 32 | 0.68 | 42 | 0.90 | |||||||||||||||||||||||||||||||||||||||
Foreign exchange (gains) losses | (7) | (0.15) | (2) | (0.04) | (14) | (0.30) | 6 | 0.12 | |||||||||||||||||||||||||||||||||||||||
Adjusted earnings | $ | 338 | $ | 7.37 | $ | 25 | $ | 0.53 | $ | 365 | $ | 7.86 | $ | 53 | $ | 0.83 | |||||||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
($ in millions, except share data) | $ Amount | Per Share | $ Amount | Per Share | |||||||||||||||||||
Total Ambac Financial Group, Inc. stockholders’ equity | $ | 1,009 | $ | 22.43 | $ | 1,038 | $ | 22.42 | |||||||||||||||
Adjustments: | |||||||||||||||||||||||
Non-credit impairment fair value losses on credit derivatives | — | — | — | 0.01 | |||||||||||||||||||
Insurance intangible asset | (272) | (6.04) | (320) | (6.91) | |||||||||||||||||||
Net unearned premiums and fees in excess of expected losses | 221 | 4.92 | 310 | 6.68 | |||||||||||||||||||
Net unrealized investment (gains) losses in Accumulated Other Comprehensive Income | 82 | 1.82 | (154) | (3.32) | |||||||||||||||||||
Adjusted book value | $ | 1,040 | $ | 23.13 | $ | 874 | $ | 18.88 |
Jul-2022 | Aug-2022 | Sep-2022 | Third Quarter 2022 | ||||||||||||||||||||
Total Shares Purchased | 2,580 | 10,320 | 620 | 13,520 | |||||||||||||||||||
Average Price Paid Per Share | $ | 11.35 | $ | 12.10 | $ | 14.44 | $ | 12.06 | |||||||||||||||
Total Number of Shares Purchased as Part of Publicly Announced Plan | — | — | — | — | |||||||||||||||||||
Approximate Dollar Value of Shares That may Yet be Purchased Under the Plan (in millions) | $ | 21 | $ | 21 | $ | 21 | $ | 21 |
Exhibit Number | Description | |||||||
Other exhibits, filed or furnished, as indicated: | ||||||||
31.1+ | ||||||||
31.2+ | ||||||||
32.1++ | ||||||||
101.INS | XBRL Instance Document - the instance document does not appear in the interactive Data File because its XBRL tags are embedded within the Inline XBRL document. | |||||||
101.SCH | XBRL Taxonomy Extension Schema Document. | |||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | |||||||
101.LAB | XBRL
Taxonomy Extension Label Linkbase Document. | |||||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | |||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. | |||||||
104 | Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags or embedded within the Inline XBRL document | |||||||
+
Filed herewith. ++ Furnished herewith. |
AMBAC FINANCIAL GROUP, INC. | |||||||||||
Dated: | November 8, 2022 | By: | /S/ DAVID TRICK | ||||||||
Name: | David Trick | ||||||||||
Title: | Chief
Financial Officer and Treasurer (Duly Authorized Officer and Principal Financial Officer) |
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