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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2012
Fair Value Measurements [Abstract] |
Summary of carrying amount and fair value of Ambac's financial assets and liabilities |
|  | Carrying Amount |  |  | Total Fair Value |  |  | Fair Value Measurements Categorized as: |
|  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
June 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,935,583 |  |  | $ | 1,935,583 |  |  | $ | — |  |  | $ | 1,935,583 |  |  | $ | — |
Corporate obligations |  |  | 1,102,695 |  |  |  | 1,102,695 |  |  |  | — |  |  |  | 1,099,229 |  |  |  | 3,466 |
Foreign obligations |  |  | 68,842 |  |  |  | 68,842 |  |  |  | — |  |  |  | 68,842 |  |  |  | — |
U.S. government obligations |  |  | 111,389 |  |  |  | 111,389 |  |  |  | 111,389 |  |  |  | — |  |  |  | — |
U.S. agency obligations |  |  | 84,700 |  |  |  | 84,700 |  |  |  | — |  |  |  | 84,700 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,274,524 |  |  |  | 1,274,524 |  |  |  | — |  |  |  | 1,274,524 |  |  |  | — |
Collateralized debt obligations |  |  | 41,366 |  |  |  | 41,366 |  |  |  | — |  |  |  | 31,808 |  |  |  | 9,558 |
Other asset-backed securities |  |  | 771,191 |  |  |  | 771,191 |  |  |  | — |  |  |  | 720,445 |  |  |  | 50,746 |
Short term investments |  |  | 1,010,059 |  |  |  | 1,010,059 |  |  |  | 993,284 |  |  |  | 16,775 |  |  |  | — |
Other investments |  |  | 100 |  |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | 100 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 285,838 |  |  |  | 285,838 |  |  |  | 285,838 |  |  |  | — |  |  |  | — |
Residential mortgage-backed securities |  |  | 822 |  |  |  | 822 |  |  |  | — |  |  |  | 822 |  |  |  | — |
Cash |  |  | 49,012 |  |  |  | 49,012 |  |  |  | 49,012 |  |  |  | — |  |  |  | — |
Restricted cash |  |  | 2,500 |  |  |  | 2,500 |  |  |  | 2,500 |  |  |  | — |  |  |  | — |
Loans |  |  | 10,153 |  |  |  | 8,353 |  |  |  | — |  |  |  | — |  |  |  | 8,353 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  |  | 392,766 |  |  |  | 392,766 |  |  |  | — |  |  |  | 259,146 |  |  |  | 133,620 |
Interest rate swaps—liability position |  |  | (259,852 | ) |  |  | (259,852 | ) |  |  | — |  |  |  | (26 | ) |  |  | (259,826 | )
Future contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Other assets |  |  | 15,792 |  |  |  | 15,792 |  |  |  | — |  |  |  | — |  |  |  | 15,792 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 2,162,062 |  |  |  | 2,162,062 |  |  |  | — |  |  |  | — |  |  |  | 2,162,062 |
Restricted cash |  |  | 2,276 |  |  |  | 2,276 |  |  |  | 2,276 |  |  |  | — |  |  |  | — |
Loans |  |  | 14,446,047 |  |  |  | 14,425,077 |  |  |  | — |  |  |  | 186,804 |  |  |  | 14,238,273 |
Total financial assets |  | $ | 23,507,865 |  |  | $ | 23,485,095 |  |  | $ | 1,444,299 |  |  | $ | 5,678,652 |  |  | $ | 16,362,144 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Obligations under investment and repurchase agreements |  | $ | 443,116 |  |  | $ | 443,428 |  |  | $ | — |  |  | $ | — |  |  | $ | 443,428 |
Liabilities subject to compromise |  |  | 1,622,189 |  |  |  | 306,778 |  |  |  | — |  |  |  | 306,778 |  |  |  | — |
Long term debt |  |  | 144,036 |  |  |  | 680,054 |  |  |  | — |  |  |  | — |  |  |  | 680,054 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | 211,617 |  |  |  | 211,617 |  |  |  | — |  |  |  | — |  |  |  | 211,617 |
Interest rate swaps—asset position |  |  | (582 | ) |  |  | (582 | ) |  |  | — |  |  |  | — |  |  |  | (582 | )
Interest rate swaps—liability position |  |  | 182,713 |  |  |  | 180,713 |  |  |  | — |  |  |  | 10,350 |  |  |  | 170,363 |
Future contracts |  |  | 1,541 |  |  |  | 1,541 |  |  |  | 1,541 |  |  |  | — |  |  |  | — |
Currency swaps |  |  | 569 |  |  |  | 569 |  |  |  | — |  |  |  | 569 |  |  |  | — |
Other contracts |  |  | 182 |  |  |  | 182 |  |  |  | — |  |  |  | 182 |  |  |  | — |
Liabilities for net financial guarantees written |  |  | 8,204,848 |  |  |  | 4,495,614 |  |  |  | — |  |  |  | — |  |  |  | 4,495,614 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  |  | 14,376,872 |  |  |  | 14,342,928 |  |  |  | — |  |  |  | 11,996,868 |  |  |  | 2,346,060 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  |  | 1,978,737 |  |  |  | 1,978,737 |  |  |  | — |  |  |  | 1,978,737 |  |  |  | — |
Currency swaps—asset position |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Currency swaps—liability position |  |  | 85,072 |  |  |  | 85,072 |  |  |  | — |  |  |  | 85,072 |  |  |  | — |
Total financial liabilities |  | $ | 27,250,910 |  |  | $ | 22,726,651 |  |  | $ | 1,541 |  |  | $ | 14,378,556 |  |  | $ | 8,346,554 |
|  | Carrying Amount |  |  | Total Fair Value |  |  | Fair Value Measurements Categorized as: |
|  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
December 31, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 2,002,999 |  |  | $ | 2,002,999 |  |  | $ | — |  |  | $ | 2,002,999 |  |  | $ | — |
Corporate obligations |  |  | 1,127,500 |  |  |  | 1,127,500 |  |  |  | — |  |  |  | 1,119,570 |  |  |  | 7,930 |
Foreign obligations |  |  | 94,795 |  |  |  | 94,795 |  |  |  | — |  |  |  | 94,795 |  |  |  | — |
U.S. government obligations |  |  | 111,562 |  |  |  | 111,562 |  |  |  | 111,562 |  |  |  | — |  |  |  | — |
U.S. agency obligations |  |  | 86,871 |  |  |  | 86,871 |  |  |  | — |  |  |  | 85,647 |  |  |  | 1,224 |
Residential mortgage-backed securities |  |  | 1,412,517 |  |  |  | 1,412,517 |  |  |  | — |  |  |  | 1,412,517 |  |  |  | — |
Collateralized debt obligations |  |  | 46,237 |  |  |  | 46,237 |  |  |  | — |  |  |  | 33,755 |  |  |  | 12,482 |
Other asset-backed securities |  |  | 947,808 |  |  |  | 947,808 |  |  |  | — |  |  |  | 871,922 |  |  |  | 75,886 |
Short term investments |  |  | 783,071 |  |  |  | 783,071 |  |  |  | 769,204 |  |  |  | 13,867 |  |  |  | — |
Other investments |  |  | 100 |  |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | 100 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 260,802 |  |  |  | 260,802 |  |  |  | 260,802 |  |  |  | — |  |  |  | — |
Residential mortgage-backed securities |  |  | 2,728 |  |  |  | 2,728 |  |  |  | — |  |  |  | 2,728 |  |  |  | — |
Cash |  |  | 15,999 |  |  |  | 15,999 |  |  |  | 15,999 |  |  |  | — |  |  |  | — |
Restricted cash |  |  | 2,500 |  |  |  | 2,500 |  |  |  | 2,500 |  |  |  | — |  |  |  | — |
Loans |  |  | 18,996 |  |  |  | 16,934 |  |  |  | — |  |  |  | — |  |  |  | 16,934 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  |  | 411,652 |  |  |  | 411,652 |  |  |  | — |  |  |  | 260,851 |  |  |  | 150,801 |
Interest rate swaps—liability position |  |  | (242,500 | ) |  |  | (242,500 | ) |  |  | — |  |  |  | (53 | ) |  |  | (242,447 | )
Future contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Call options on long-term debt |  |  | 6,055 |  |  |  | 6,055 |  |  |  | — |  |  |  | — |  |  |  | 6,055 |
Other assets |  |  | 16,779 |  |  |  | 16,779 |  |  |  | — |  |  |  | — |  |  |  | 16,779 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 2,199,338 |  |  |  | 2,199,338 |  |  |  | — |  |  |  | — |  |  |  | 2,199,338 |
Restricted cash |  |  | 2,140 |  |  |  | 2,140 |  |  |  | 2,140 |  |  |  | — |  |  |  | — |
Loans |  |  | 14,329,515 |  |  |  | 14,309,134 |  |  |  | — |  |  |  | 182,140 |  |  |  | 14,126,994 |
Total financial assets |  | $ | 23,637,464 |  |  | $ | 23,615,021 |  |  | $ | 1,162,207 |  |  | $ | 6,080,738 |  |  | $ | 16,372,076 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Obligations under investment and repurchase agreements |  | $ | 546,546 |  |  | $ | 549,043 |  |  | $ | — |  |  | $ | — |  |  | $ | 549,043 |
Liabilities subject to compromise |  |  | 1,622,189 |  |  |  | 112,233 |  |  |  | — |  |  |  | 112,233 |  |  |  | — |
Long term debt |  |  | 223,601 |  |  |  | 562,043 |  |  |  | — |  |  |  | — |  |  |  | 562,043 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | 190,653 |  |  |  | 190,653 |  |  |  | — |  |  |  | — |  |  |  | 190,653 |
Interest rate swaps—asset position |  |  | (30,859 | ) |  |  | (30,859 | ) |  |  | — |  |  |  | — |  |  |  | (30,859 | )
Interest rate swaps—liability position |  |  | 251,303 |  |  |  | 251,303 |  |  |  | — |  |  |  | 9,913 |  |  |  | 241,390 |
Futures contracts |  |  | 627 |  |  |  | 627 |  |  |  | 627 |  |  |  | — |  |  |  | — |
Currency swaps |  |  | 2,423 |  |  |  | 2,423 |  |  |  | — |  |  |  | 2,423 |  |  |  | — |
Other contracts |  |  | 361 |  |  |  | 361 |  |  |  | — |  |  |  | 361 |  |  |  | — |
Liabilities for net financial guarantees written |  |  | 7,547,288 |  |  |  | 2,642,795 |  |  |  | — |  |  |  | — |  |  |  | 2,642,795 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  |  | 14,288,540 |  |  |  | 14,255,452 |  |  |  | — |  |  |  | 12,320,810 |  |  |  | 1,934,642 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  |  | 2,023,974 |  |  |  | 2,023,974 |  |  |  | — |  |  |  | 2,023,974 |  |  |  | — |
Currency swaps—asset position |  |  | (27,779 | ) |  |  | (27,779 | ) |  |  | — |  |  |  | (27,779 | ) |  |  | — |
Currency swaps—liability position |  |  | 90,857 |  |  |  | 90,857 |  |  |  | — |  |  |  | 90,857 |  |  |  | — |
Total financial liabilities |  | $ | 26,729,724 |  |  | $ | 20,623,126 |  |  | $ | 627 |  |  | $ | 14,532,792 |  |  | $ | 6,089,707 |
Information about the valuation inputs for fixed income securities classified as Level 3 | Third party quotes represent the only input to the reported fair value of Level 2 fixed income securities. Information about the valuation inputs for fixed income securities classified as Level 3 is included below: Corporate obligations: These securities represent interest only strips of investment grade corporate obligations. The fair value of such securities classified as Level 3 was $3,466 and $7,930 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with the discount rate determined from the yields of corporate bonds from the same issuers. During the second quarter of 2012, one fixed-rate investment-grade corporate obligation was transferred out of level 3 and into level 2. Significant inputs for the interest only strips valuation at June 30, 2012 and December 31, 2011 include the following weighted averages: June 30, 2012
| a. | Coupon rate: 0.35%
| b. | Maturity: 21.89 years
| c. | Yield: 6.86%
December 31, 2011
| a. | Coupon rate: 0.60%
| b. | Maturity: 21.44 years
| c. | Yield: 7.20%
U.S. agency obligations: These notes are secured by separate lease rental agreements with the U.S. Government acting through the General Services Administration. There were no U.S. agency obligations classified as Level 3 at June 30, 2012. The fair value of such securities classified as Level 3 was $1,224 at December 31, 2011. Fair value was calculated using a discounted cash flow approach with the yield based on comparable U.S. agency securities. Significant inputs for the valuation at December 31, 2011 include the following weighted averages:
| a. | Coupon rate: 6.91%
| b. | Maturity: 1.33 years
| c. | Yield: 2.13%
Collateralized debt obligations (“CDO”): Securities are floating rate senior notes with the underlying securities of the CDO consist of subordinated bank perpetual preferred securities. The fair value of such securities classified as Level 3 was $9,558 and $12,482 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages: June 30, 2012
| a. | Coupon rate: 1.13%
| b. | Maturity: 1.44 years
| c. | Yield: 10.39%
December 31, 2011
| a. | Coupon rate: 0.86%
| b. | Maturity: 1.55 years
| c. | Yield: 11.79%
Other asset-backed securities: These securities are floating rate investment grade notes collateralized by various asset types. The fair value of such securities classified as Level 3 was $50,746 and $75,886 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages: June 30, 2012
| a. | Coupon rate: 0.87%
| b. | Maturity: 8.18 years
| c. | Yield: 7.50%
December 31, 2011
| a. | Coupon rate: 1.41%
| b. | Maturity: 3.00 years
| c. | Yield: 4.50%
European ABS transactions: The fair value of such obligations classified as Level 3 was $2,346,060 and $1,934,642 at June 30, 2012 and December 31, 2011, respectively. Fair values were calculated by using a discounted cash flow approach. The discount rates used were based on the rates implied from the third party quoted values (Level 2) for comparable notes from the same securitization. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages: June 30, 2012
| a. | Coupon rate: 1.59%
| b. | Maturity: 9.77 years
| c. | Yield: 4.04%
December 31, 2011
| a. | Coupon rate: 1.56%
| b. | Maturity: 11.99 years
| c. | Yield: 3.90%
Summary of information about the described model inputs used to determine the fair value of each class of credit derivative |
As of June 30, 2012 |  |  |  |  |  |  |  |
|  | CLOs |  |  | Other(1) |
Notional outstanding |  | $ | 7,586,414 |  |  | $ | 3,681,319 |
Weighted average reference obligation price |  |  | 94.6 |  |  |  | 84.6 |
Weighted average life (WAL) in years |  |  | 2.3 |  |  |  | 4.7 |
Weighted average credit rating |  |  | AA- |  |  |  | A |
Weighted average relative change ratio |  |  | 34.4 | % |  |  | 38.3 | %
CVA percentage |  |  | 65 | % |  |  | 65 | %
Fair value of derivative liabilities |  | $ | (51,166 | ) |  | $ | (105,411 | )
As of December 31, 2011 |  |  |  |  |  |  |  |
|  | CLOs |  |  | Other(1) |
Notional outstanding |  | $ | 8,228,577 |  |  | $ | 4,099,766 |
Weighted average reference obligation price |  |  | 92.5 |  |  |  | 84.3 |
Weighted average life (WAL) in years |  |  | 2.7 |  |  |  | 4.7 |
Weighted average credit rating |  |  | AA- |  |  |  | A |
Weighted average relative change ratio |  |  | 34.4 | % |  |  | 38.5 | %
CVA percentage |  |  | 75 | % |  |  | 75 | %
Fair value of derivative liabilities |  | $ | (54,320 | ) |  | $ | (86,526 | )
(1) | Excludes contracts for which fair values are based on credit derivative quotes rather than reference obligation quotes. Such contracts have a combined notional outstanding of $1,616,683, WAL of 8.4 years and liability fair value of ($55,040) as of June 30, 2012. Other inputs to the valuation of these transactions at June 30, 2012 include weighted average quotes of 10% of notional, weighted average rating of A and Ambac CVA percentage of 65%. As of December 31, 2011, these contracts had a combined notional outstanding of $1,838,269, WAL of 9.0 years and liability fair value of ($49,807). Other inputs to the valuation of these transactions at December 31, 2011 include weighted average quotes of 11% of notional, weighted average rating of A+ and Ambac CVA percentage of 75%.
Summary of changes in the Level 3 fair value category | Level-3 financial assets and liabilities accounted for at fair value
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Three months ended June 30, 2012 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Derivatives |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 161,450 |  |  | $ | 16,023 |  |  | $ | (355,616 | ) |  | $ | 2,184,665 |  |  | $ | 14,460,077 |  |  |  | — |  |  | $ | (2,786,644 | ) |  | $ | 13,679,955 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | 88 |  |  |  | (231 | ) |  |  | (81,290 | ) |  |  | 20,103 |  |  |  | 131,807 |  |  |  | — |  |  |  | 21,235 |  |  |  | 91,712 |
Included in other comprehensive income |  |  | (1,588 | ) |  |  | — |  |  |  | — |  |  |  | (42,706 | ) |  |  | (267,190 | ) |  |  | — |  |  |  | 54,510 |  |  |  | (256,974 | )
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (89,879 | ) |  |  | — |  |  |  | (70,698 | ) |  |  | — |  |  |  | (86,421 | ) |  |  | — |  |  |  | 19,863 |  |  |  | (227,135 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (312,083 | ) |  |  | (312,083 | )
Transfers out of Level 3 |  |  | (6,301 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 657,059 |  |  |  | 650,758 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 63,770 |  |  | $ | 15,792 |  |  | $ | (507,604 | ) |  | $ | 2,162,062 |  |  | $ | 14,238,273 |  |  | $ | — |  |  | $ | (2,346,060 | ) |  | $ | 13,626,233 |
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 |  | $ | — |  |  | $ | (231 | ) |  | $ | (118,474 | ) |  | $ | 20,103 |  |  | $ | 131,807 |  |  | $ | — |  |  | $ | 21,235 |  |  | $ | 54,440 |
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Six months ended June 30, 2012 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Derivatives |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 97,522 |  |  | $ | 16,779 |  |  | $ | (486,775 | ) |  | $ | 2,199,338 |  |  | $ | 14,126,994 |  |  |  | — |  |  | $ | (1,934,642 | ) |  | $ | 14,019,216 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  |  |
Included in earnings |  |  | 40 |  |  |  | (987 | ) |  |  | 41,037 |  |  |  | (62,713 | ) |  |  | 298,472 |  |  |  | — |  |  |  | (115,328 | ) |  |  | 160,521 |
Included in other comprehensive income |  |  | 6,225 |  |  |  | — |  |  |  | — |  |  |  | 25,437 |  |  |  | 148,667 |  |  |  | — |  |  |  | (8,695 | ) |  |  | 171,634 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (92,621 | ) |  |  | — |  |  |  | (61,866 | ) |  |  | — |  |  |  | (335,860 | ) |  |  | — |  |  |  | 32,893 |  |  |  | (457,454 | )
Transfers in Level 3 |  |  | 58,905 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (977,347 | ) |  |  | (918,442 | )
Transfers out of Level 3 |  |  | (6,301 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 657,059 |  |  |  | 650,758 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 63,770 |  |  | $ | 15,792 |  |  | $ | (507,604 | ) |  | $ | 2,162,062 |  |  | $ | 14,238,273 |  |  | $ | — |  |  | $ | (2,346,060 | ) |  | $ | 13,626,233 |
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 |  | $ | — |  |  | $ | (987 | ) |  | $ | (72,910 | ) |  | $ | (62,713 | ) |  | $ | 298,953 |  |  | $ | — |  |  | $ | (115,328 | ) |  | $ | 47,015 |
Level-3 financial assets and liabilities accounted for at fair value
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Three months ended June 30, 2011 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Derivatives |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 200,076 |  |  | $ | 19,005 |  |  | $ | (189,614 | ) |  | $ | 1,929,691 |  |  | $ | 14,086,858 |  |  | $ | — |  |  | $ | (1,872,694 | ) |  | $ | 14,173,322 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (350,624 | ) |  |  | (350,624 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (3,321 | ) |  |  | (554 | ) |  |  | (47,923 | ) |  |  | 93,433 |  |  |  | 402,698 |  |  |  | — |  |  |  | (121,798 | ) |  |  | 322,535 |
Included in other comprehensive income |  |  | 4,686 |  |  |  | — |  |  |  | — |  |  |  | 389 |  |  |  | 5,765 |  |  |  | — |  |  |  | (494 | ) |  |  | 10,346 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | (16,600 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (16,600 | )
Settlements |  |  | (1,408 | ) |  |  | — |  |  |  | (24,750 | ) |  |  | — |  |  |  | (52,409 | ) |  |  | — |  |  |  | 17,331 |  |  |  | (61,236 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (206,015 | ) |  |  | (206,015 | )
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 223,322 |  |  |  | 223,322 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 183,433 |  |  | $ | 18,451 |  |  | $ | (262,287 | ) |  | $ | 2,023,513 |  |  | $ | 14,442,912 |  |  | $ | — |  |  | $ | (2,310,972 | ) |  | $ | 14,095,050 |
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 |  | $ | — |  |  | $ | (554 | ) |  | $ | (61,643 | ) |  | $ | 93,433 |  |  | $ | 402,698 |  |  | $ | — |  |  | $ | (121,798 | ) |  | $ | 312,136 |
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Six months ended June 30, 2011 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Derivatives |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 199,172 |  |  | $ | 17,909 |  |  | $ | (195,934 | ) |  | $ | 1,904,361 |  |  | $ | 15,800,918 |  |  | $ | 4,511 |  |  | $ | (1,856,366 | ) |  | $ | 15,874,571 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (350,624 | ) |  |  | (350,624 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (3,371 | ) |  |  | 542 |  |  |  | (30,278 | ) |  |  | 64,589 |  |  |  | 355,316 |  |  |  | (4,511 | ) |  |  | (102,927 | ) |  |  | 279,360 |
Included in other comprehensive income |  |  | 7,909 |  |  |  | — |  |  |  | — |  |  |  | 54,563 |  |  |  | 440,520 |  |  |  | — |  |  |  | (52,691 | ) |  |  | 450,301 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | (16,600 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (16,600 | )
Settlements |  |  | (3,677 | ) |  |  | — |  |  |  | (36,075 | ) |  |  | — |  |  |  | (258,875 | ) |  |  | — |  |  |  | 27,348 |  |  |  | (271,279 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (256,140 | ) |  |  | (256,140 | )
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 280,428 |  |  |  | 280,428 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (1,894,967 | ) |  |  | — |  |  |  | — |  |  |  | (1,894,967 | )
Balance, end of period |  | $ | 183,433 |  |  | $ | 18,451 |  |  | $ | (262,287 | ) |  | $ | 2,023,513 |  |  | $ | 14,442,912 |  |  | $ | — |  |  | $ | (2,310,972 | ) |  | $ | 14,095,050 |
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 |  | $ | — |  |  | $ | 542 |  |  | $ | (48,301 | ) |  | $ | 64,589 |  |  | $ | 355,316 |  |  | $ | (4,511 | ) |  | $ | (102,927 | ) |  | $ | 264,708 |
Level 3 – Investments by class
Three months ended June 30, 2012 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 9,839 |  |  | $ | 137,026 |  |  | $ | 13,367 |  |  | $ | 1,218 |  |  | $ | 161,450 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | — |  |  |  | — |  |  |  | 90 |  |  |  | (2 | ) |  |  | 88 |
Included in other comprehensive income |  |  | 190 |  |  |  | (1,696 | ) |  |  | (79 | ) |  |  | (3 | ) |  |  | (1,588 | )
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (471 | ) |  |  | (84,584 | ) |  |  | (4,075 | ) |  |  | (749 | ) |  |  | (89,879 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | (5,837 | ) |  |  | (464 | ) |  |  | (6,301 | )
Balance, end of period |  | $ | 9,558 |  |  | $ | 50,746 |  |  | $ | 3,466 |  |  | $ | — |  |  | $ | 63,770 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Six months ended June 30, 2012 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 12,482 |  |  | $ | 75,886 |  |  | $ | 7,930 |  |  | $ | 1,224 |  |  | $ | 97,522 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (2 | ) |  |  | — |  |  |  | 44 |  |  |  | (2 | ) |  |  | 40 |
Included in other comprehensive income |  |  | 291 |  |  |  | 6,376 |  |  |  | (433 | ) |  |  | (9 | ) |  |  | 6,225 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (3,213 | ) |  |  | (84,584 | ) |  |  | (4,075 | ) |  |  | (749 | ) |  |  | (92,621 | )
Transfers in Level 3 |  |  | — |  |  |  | 53,068 |  |  |  | 5,837 |  |  |  | — |  |  |  | 58,905 |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | (5,837 | ) |  |  | (464 | ) |  |  | (6,301 | )
Balance, end of period |  | $ | 9,558 |  |  | $ | 50,746 |  |  | $ | 3,466 |  |  | $ | — |  |  | $ | 63,770 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 – Investments by class
Three months ended June 30, 2011 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 30,027 |  |  | $ | 160,927 |  |  | $ | 7,936 |  |  | $ | 1,186 |  |  | $ | 200,076 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (3,276 | ) |  |  | — |  |  |  | (43 | ) |  |  | (2 | ) |  |  | (3,321 | )
Included in other comprehensive income |  |  | 5,001 |  |  |  | (403 | ) |  |  | 75 |  |  |  | 13 |  |  |  | 4,686 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | (16,600 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (16,600 | )
Settlements |  |  | (439 | ) |  |  | (756 | ) |  |  | — |  |  |  | (213 | ) |  |  | (1,408 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 14,713 |  |  | $ | 159,768 |  |  | $ | 7,968 |  |  | $ | 984 |  |  | $ | 183,433 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Six months ended June 30, 2011 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 30,433 |  |  | $ | 159,473 |  |  | $ | 8,069 |  |  | $ | 1,197 |  |  | $ | 199,172 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (3,282 | ) |  |  | — |  |  |  | (86 | ) |  |  | (3 | ) |  |  | (3,371 | )
Included in other comprehensive income |  |  | 6,134 |  |  |  | 1,787 |  |  |  | (15 | ) |  |  | 3 |  |  |  | 7,909 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | (16,600 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (16,600 | )
Settlements |  |  | (1,972 | ) |  |  | (1,492 | ) |  |  | — |  |  |  | (213 | ) |  |  | (3,677 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 14,713 |  |  | $ | 159,768 |  |  | $ | 7,968 |  |  | $ | 984 |  |  | $ | 183,433 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 – Derivatives by class
Three months ended June 30, 2012 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long-term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | (222,222 | ) |  | $ | (201,129 | ) |  | $ | 67,735 |  |  | $ | (355,616 | )
Additions of VIEs for consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (112,904 | ) |  |  | (7,416 | ) |  |  | 39,030 |  |  |  | (81,290 | )
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | 39,139 |  |  |  | (3,072 | ) |  |  | (106,765 | ) |  |  | (70,698 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (295,987 | ) |  | $ | (211,617 | ) |  | $ | — |  |  | $ | (507,604 | )
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 |  | $ | (107,861 | ) |  | $ | (10,613 | ) |  | $ | — |  |  | $ | (118,474 | )
Six months ended June 30, 2012 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long-term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | (302,177 | ) |  | $ | (190,653 | ) |  | $ | 6,055 |  |  | $ | (486,775 | )
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (45,035 | ) |  |  | (14,638 | ) |  |  | 100,710 |  |  |  | 41,037 |
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | 51,225 |  |  |  | (6,326 | ) |  |  | (106,765 | ) |  |  | (61,866 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (295,987 | ) |  | $ | (211,617 | ) |  | $ | — |  |  | $ | (507,604 | )
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 |  | $ | (46,263 | ) |  | $ | (26,647 | ) |  | $ | — |  |  | $ | (72,910 | )
Three months ended June 30, 2011 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long-term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | 29,571 |  |  | $ | (235,910 | ) |  | $ | 16,725 |  |  | $ | (189,614 | )
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (76,255 | ) |  |  | 24,287 |  |  |  | 4,045 |  |  |  | (47,923 | )
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (20,526 | ) |  |  | (4,224 | ) |  |  | — |  |  |  | (24,750 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (67,210 | ) |  | $ | (215,847 | ) |  | $ | 20,770 |  |  | $ | (262,287 | )
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 |  | $ | (83,407 | ) |  | $ | 17,719 |  |  | $ | 4,045 |  |  | $ | (61,643 | )
Six months ended June 30, 2011 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long-term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | 25,750 |  |  | $ | (221,684 | ) |  | $ | — |  |  | $ | (195,934 | )
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (66,432 | ) |  |  | 15,384 |  |  |  | 20,770 |  |  |  | (30,278 | )
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (26,528 | ) |  |  | (9,547 | ) |  |  | — |  |  |  | (36,075 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (67,210 | ) |  | $ | (215,847 | ) |  | $ | 20,770 |  |  | $ | (262,287 | )
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 |  | $ | (69,607 | ) |  | $ | 536 |  |  | $ | 20,770 |  |  | $ | (48,301 | )
Summary of Gains and losses realized and unrealized relating to Level 3 assets and liabilities included in earnings | Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the three and six months ended June 30, 2012 and 2011 are reported as follows:
|  | Net investment income |  |  | Realized gains or (losses) and other settlements on credit derivative contracts |  |  | Unrealized gains or (losses) on credit derivative contracts |  |  | Derivative products revenues (interest rate swaps) |  |  | Income (loss) on variable interest entities |  |  | Other income |
Three months ended June 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 88 |  |  | $ | 3,072 |  |  | $ | (10,489 | ) |  | $ | (112,904 | ) |  | $ | 173,145 |  |  | $ | 38,799 |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | (10,613 | ) |  |  | (107,861 | ) |  |  | 173,145 |  |  |  | (231 | )
Six months ended June 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 40 |  |  | $ | 6,326 |  |  | $ | (20,964 | ) |  | $ | (45,035 | ) |  | $ | 120,431 |  |  | $ | 99,723 |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | (26,647 | ) |  |  | (46,263 | ) |  |  | 120,912 |  |  |  | (987 | )
Three months ended June 30, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | (3,321 | ) |  | $ | 4,224 |  |  | $ | 20,063 |  |  | $ | (76,255 | ) |  | $ | 374,333 |  |  | $ | 3,491 |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | 17,719 |  |  |  | (83,407 | ) |  |  | 374,333 |  |  |  | 3,491 |
Six months ended June 30, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | (3,371 | ) |  | $ | 9,547 |  |  | $ | 5,837 |  |  | $ | (66,432 | ) |  | $ | 312,467 |  |  | $ | 21,312 |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | 536 |  |  |  | (69,607 | ) |  |  | 312,467 |  |  |  | 21,312 |

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