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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2013
Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and Liabilities | The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of December 31, 2013 and December 31, 2012, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
|  | Successor Ambac |
|  | Carrying Amount |  |  | Total Fair Value |  |  | Fair Value Measurements Categorized as: |
|  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
December 31, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,377,723 |  |  | $ | 1,377,723 |  |  | $ | — |  |  | $ | 1,377,723 |  |  | $ | — |
Corporate obligations |  |  | 1,489,369 |  |  |  | 1,489,369 |  |  |  | — |  |  |  | 1,485,867 |  |  |  | 3,502 |
Foreign obligations |  |  | 124,877 |  |  |  | 124,877 |  |  |  | — |  |  |  | 124,877 |  |  |  | — |
U.S. government obligations |  |  | 126,248 |  |  |  | 126,248 |  |  |  | 126,248 |  |  |  | — |  |  |  | — |
U.S. agency obligations |  |  | 32,154 |  |  |  | 32,154 |  |  |  | — |  |  |  | 31,946 |  |  |  | 208 |
Residential mortgage-backed securities |  |  | 1,558,625 |  |  |  | 1,558,625 |  |  |  | — |  |  |  | 1,558,625 |  |  |  | — |
Collateralized debt obligations |  |  | 183,872 |  |  |  | 183,872 |  |  |  | — |  |  |  | 183,872 |  |  |  | — |
Other asset-backed securities |  |  | 992,448 |  |  |  | 992,448 |  |  |  | — |  |  |  | 928,375 |  |  |  | 64,073 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 126,223 |  |  |  | 126,223 |  |  |  | 126,223 |  |  |  | — |  |  |  | — |
Short term investments |  |  | 271,119 |  |  |  | 271,119 |  |  |  | 267,612 |  |  |  | 3,507 |  |  |  | — |
Other investments |  |  | 241,069 |  |  |  | 241,069 |  |  |  | — |  |  |  | 240,969 |  |  |  | 100 |
Cash |  |  | 77,370 |  |  |  | 77,370 |  |  |  | 77,370 |  |  |  | — |  |  |  | — |
Loans |  |  | 6,179 |  |  |  | 6,238 |  |  |  | — |  |  |  | — |  |  |  | 6,238 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  |  | 76,631 |  |  |  | 76,631 |  |  |  | — |  |  |  | 76,631 |  |  |  | — |
Interest rate swaps—liability position |  |  | (1,257 | ) |  |  | (1,257 | ) |  |  | — |  |  |  | (1,257 | ) |  |  | — |
Futures contracts |  |  | 2,337 |  |  |  | 2,337 |  |  |  | 2,337 |  |  |  | — |  |  |  | — |
Other assets |  |  | 13,384 |  |  |  | 13,384 |  |  |  | — |  |  |  | — |  |  |  | 13,384 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 2,475,182 |  |  |  | 2,475,182 |  |  |  | — |  |  |  | — |  |  |  | 2,475,182 |
Restricted cash |  |  | 17,498 |  |  |  | 17,498 |  |  |  | 17,498 |  |  |  | — |  |  |  | — |
Loans |  |  | 13,398,895 |  |  |  | 13,398,895 |  |  |  | — |  |  |  | — |  |  |  | 13,398,895 |
Total financial assets |  | $ | 22,589,946 |  |  | $ | 22,590,005 |  |  | $ | 617,288 |  |  | $ | 6,011,135 |  |  | $ | 15,961,582 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Obligations under investment and repurchase agreements |  | $ | 359,070 |  |  | $ | 360,506 |  |  | $ | — |  |  | $ | — |  |  | $ | 360,506 |
Long term debt, including accrued interest |  |  | 1,256,602 |  |  |  | 1,215,029 |  |  |  | — |  |  |  | — |  |  |  | 1,215,029 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | 94,322 |  |  |  | 94,322 |  |  |  | — |  |  |  | — |  |  |  | 94,322 |
Interest rate swaps—asset position |  |  | (55,619 | ) |  |  | (55,619 | ) |  |  | — |  |  |  | (55,619 | ) |  |  | — |
Interest rate swaps—liability position |  |  | 215,030 |  |  |  | 215,030 |  |  |  | — |  |  |  | 122,418 |  |  |  | 92,612 |
Other contracts |  |  | 165 |  |  |  | 165 |  |  |  | — |  |  |  | 165 |  |  |  | — |
Liabilities for net financial guarantees written(1) |  |  | 4,509,539 |  |  |  | 4,876,617 |  |  |  | — |  |  |  | — |  |  |  | 4,876,617 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  |  | 14,091,753 |  |  |  | 14,091,753 |  |  |  | — |  |  |  | 12,577,148 |  |  |  | 1,514,605 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  |  | 1,680,834 |  |  |  | 1,680,834 |  |  |  | — |  |  |  | 1,680,834 |  |  |  | — |
Currency swaps—liability position |  |  | 91,472 |  |  |  | 91,472 |  |  |  | — |  |  |  | 91,472 |  |  |  | — |
Total financial liabilities |  | $ | 22,243,168 |  |  | $ | 22,570,109 |  |  | $ | — |  |  | $ | 14,416,418 |  |  | $ | 8,153,691 |
(1) | The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Losses and loss expense reserve; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.
|  | Predecessor Ambac |
|  | Carrying Amount |  |  | Total Fair Value |  |  | Fair Value Measurements Categorized as: |
|  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 1,848,932 |  |  | $ | 1,848,932 |  |  | $ | — |  |  | $ | 1,848,932 |  |  | $ | — |
Corporate obligations |  |  | 1,077,972 |  |  |  | 1,077,972 |  |  |  | — |  |  |  | 1,074,316 |  |  |  | 3,656 |
Foreign obligations |  |  | 70,112 |  |  |  | 70,112 |  |  |  | — |  |  |  | 70,112 |  |  |  | — |
U.S. government obligations |  |  | 127,283 |  |  |  | 127,283 |  |  |  | 127,283 |  |  |  | — |  |  |  | — |
U.S. agency obligations |  |  | 82,535 |  |  |  | 82,535 |  |  |  | — |  |  |  | 82,535 |  |  |  | — |
Residential mortgage-backed securities |  |  | 1,455,582 |  |  |  | 1,455,582 |  |  |  | — |  |  |  | 1,455,582 |  |  |  | — |
Collateralized debt obligations |  |  | 33,342 |  |  |  | 33,342 |  |  |  | — |  |  |  | 26,860 |  |  |  | 6,482 |
Other asset-backed securities |  |  | 706,637 |  |  |  | 706,637 |  |  |  | — |  |  |  | 656,373 |  |  |  | 50,264 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  |  | 265,779 |  |  |  | 265,779 |  |  |  | 265,779 |  |  |  | — |  |  |  | — |
Short term investments |  |  | 661,658 |  |  |  | 661,658 |  |  |  | 657,886 |  |  |  | 3,772 |  |  |  | — |
Other investments |  |  | 100 |  |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | 100 |
Cash |  |  | 43,837 |  |  |  | 43,837 |  |  |  | 43,837 |  |  |  | — |  |  |  | — |
Loans |  |  | 9,203 |  |  |  | 7,387 |  |  |  | — |  |  |  | — |  |  |  | 7,387 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  |  | 124,853 |  |  |  | 124,853 |  |  |  | — |  |  |  | 124,853 |  |  |  | — |
Interest rate swaps—liability position |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Futures contracts |  |  | 1,253 |  |  |  | 1,253 |  |  |  | 1,253 |  |  |  | — |  |  |  | — |
Other assets |  |  | 14,557 |  |  |  | 14,557 |  |  |  | — |  |  |  | — |  |  |  | 14,557 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 2,261,294 |  |  |  | 2,261,294 |  |  |  | — |  |  |  | — |  |  |  | 2,261,294 |
Restricted cash |  |  | 2,290 |  |  |  | 2,290 |  |  |  | 2,290 |  |  |  | — |  |  |  | — |
Loans |  |  | 15,568,711 |  |  |  | 15,560,051 |  |  |  | — |  |  |  | 200,978 |  |  |  | 15,359,073 |
Total financial assets |  | $ | 24,355,930 |  |  | $ | 24,345,454 |  |  | $ | 1,098,328 |  |  | $ | 5,544,313 |  |  | $ | 17,702,813 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Obligations under investment and repurchase agreements |  | $ | 362,017 |  |  | $ | 361,905 |  |  | $ | — |  |  | $ | — |  |  | $ | 361,905 |
Liabilities subject to compromise |  |  | 1,690,312 |  |  |  | 434,823 |  |  |  | — |  |  |  | 434,823 |  |  |  | — |
Long term debt, including accrued interest |  |  | 377,524 |  |  |  | 801,277 |  |  |  | — |  |  |  | — |  |  |  | 801,277 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | 213,585 |  |  |  | 213,585 |  |  |  | — |  |  |  | — |  |  |  | 213,585 |
Interest rate swaps—asset position |  |  | (73,264 | ) |  |  | (73,264 | ) |  |  | — |  |  |  | (73,264 | ) |  |  | — |
Interest rate swaps—liability position |  |  | 390,774 |  |  |  | 390,774 |  |  |  | — |  |  |  | 282,022 |  |  |  | 108,752 |
Other contracts |  |  | 220 |  |  |  | 220 |  |  |  | — |  |  |  | 220 |  |  |  | — |
Liabilities for net financial guarantees written |  |  | 7,074,808 |  |  |  | 3,091,257 |  |  |  | — |  |  |  | — |  |  |  | 3,091,257 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  |  | 15,436,008 |  |  |  | 15,414,233 |  |  |  | — |  |  |  | 12,457,732 |  |  |  | 2,956,501 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position |  |  | 2,131,315 |  |  |  | 2,131,315 |  |  |  | — |  |  |  | 2,131,315 |  |  |  | — |
Currency swaps—liability position |  |  | 90,466 |  |  |  | 90,466 |  |  |  | — |  |  |  | 90,466 |  |  |  | — |
Total financial liabilities |  | $ | 27,693,765 |  |  | $ | 22,856,591 |  |  | $ | — |  |  | $ | 15,323,314 |  |  | $ | 7,533,277 |
Information about Valuation Inputs for Fixed Income Securities Classified as Level 3 | Corporate obligations: These securities represent interest only strips of investment grade corporate obligations. The fair value of such securities classified as Level 3 was $3,502 and $3,656 at December 31, 2013 and December 31, 2012, 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. Significant inputs for the interest only strips valuation at December 31, 2013 and December 31, 2012 include the following weighted averages: Successor Ambac— December 31, 2013
| a. | Coupon rate: 0.345%
| b. | Maturity: 20.14 years
| c. | Yield: 6.30%
Predecessor Ambac—December 31, 2012
| a. | Coupon rate: 0.345%
| b. | Maturity: 21.14 years
| c. | Yield: 6.08%
U.S. agency obligations: These notes are secured by separate lease rental agreements with the U.S. Government acting through the General Services Administration. The fair value of such securities classified as Level 3 was $208 and $0 at December 31, 2013 and December 31, 2012, respectively. 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, 2013 include the following weighted averages: Successor Ambac— December 31, 2013
| a. | Coupon rate: 6.98%
| b. | Maturity: 1.37 years
| c. | Yield: 0.39%
Collateralized debt obligations (“CDO”): These securities are floating rate senior notes where the underlying securities of the CDO consist of subordinated bank perpetual preferred securities. The fair value of such securities classified as Level 3 was $0 and $6,482 at December 31, 2013 and December 31, 2012, 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 December 31, 2012 include the following weighted averages: Predecessor Ambac—December 31, 2012
| a. | Coupon rate: 1.05%
| b. | Maturity: 1.51 years
| c. | Yield: 5.92%
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 $64,073 and $50,264 at December 31, 2013 and December 31, 2012, 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 December 31, 2013 and December 31, 2012 include the following weighted averages: Successor Ambac— December 31, 2013
| a. | Coupon rate: 0.64%
| b. | Maturity: 7.15 years
| c. | Yield: 2.34%
Predecessor Ambac—December 31, 2012
| a. | Coupon rate: 0.71%
| b. | Maturity: 7.86 years
| c. | Yield: 7.50%
Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 | Information about the above described model inputs used to determine the fair value of each class of credit derivatives, including the CVA as a percentage of the gross mark-to-market liability before considering Ambac credit risk (“CVA percentage”), as of December 31, 2013 and December 31, 2012 is summarized below:
Successor Ambac – As of December 31, 2013 |  |  |  |  |  |  |  |
|  | CLOs |  |  | Other (1) |
Notional outstanding |  | $ | 1,337,737 |  |  | $ | 1,291,371 |
Weighted average reference obligation price |  |  | 98.0 |  |  |  | 85.7 |
Weighted average life (WAL) in years |  |  | 2.1 |  |  |  | 5.4 |
Weighted average credit rating |  |  | AA |  |  |  | BBB- |
Weighted average relative change ratio |  |  | 35.3 | % |  |  | 43.1 | %
CVA percentage |  |  | 13.7 | % |  |  | 30.7 | %
Fair value of derivative liabilities |  | $ | (7,993 | ) |  | $ | (84,780 | )
Predecessor Ambac – As of December 31, 2012 |  |  |  |  |  |  |  |
|  | CLOs |  |  | Other (1) |
Notional outstanding |  | $ | 6,155,767 |  |  | $ | 3,701,387 |
Weighted average reference obligation price |  |  | 96.5 |  |  |  | 86.9 |
Weighted average life (WAL) in years |  |  | 2.2 |  |  |  | 4.2 |
Weighted average credit rating |  |  | AA- |  |  |  | A |
Weighted average relative change ratio |  |  | 34.4 | % |  |  | 38.2 | %
CVA percentage |  |  | 55.0 | % |  |  | 55.0 | %
Fair value of derivative liabilities |  | $ | (34,645 | ) |  | $ | (116,086 | )
(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 $146,995, WAL of 1.0 years and liability fair value of ($1,549) as of December 31, 2013. Other inputs to the valuation of these transactions at December 31, 2013 include weighted average quotes of 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 8.7%. As of December 31, 2012, these contracts had a combined notional outstanding of $1,424,623, WAL of 7.9 years and liability fair value of ($62,854). Other inputs to the valuation of these transactions at December 31, 2012 include weighted average quotes of 10% of notional, weighted average rating of A and Ambac CVA percentage of 55.0%.
Summary of Changes in Level 3 Fair Value Category | The following tables present the changes in the Level 3 fair value category for the periods presented in 2013 and 2012. Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. Level-3 financial assets and liabilities accounted for at fair value
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Successor Ambac – Eight Months Ended December 31, 2013 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 69,412 |  |  | $ | 14,061 |  |  | $ | (415,360 | ) |  | $ | 2,500,565 |  |  | $ | 14,752,053 |  |  | $ | (1,750,372 | ) |  | $ | 15,170,359 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | 1,870 |  |  |  | (677 | ) |  |  | 217,666 |  |  |  | (178,322 | ) |  |  | (455,231 | ) |  |  | (2,490 | ) |  |  | (417,184 | )
Included in other comprehensive income |  |  | 7,184 |  |  |  | — |  |  |  | — |  |  |  | 152,939 |  |  |  | 873,986 |  |  |  | (79,063 | ) |  |  | 955,046 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | (4,528 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (4,528 | )
Settlements |  |  | (6,428 | ) |  |  | — |  |  |  | 10,760 |  |  |  | — |  |  |  | (219,909 | ) |  |  | 173,196 |  |  |  | (42,381 | )
Transfers in Level 3 |  |  | 273 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (220,922 | ) |  |  | (220,649 | )
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 365,046 |  |  |  | 365,046 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (1,552,004 | ) |  |  | — |  |  |  | (1,552,004 | )
Balance, end of period |  | $ | 67,783 |  |  | $ | 13,384 |  |  | $ | (186,934 | ) |  | $ | 2,475,182 |  |  | $ | 13,398,895 |  |  | $ | (1,514,605 | ) |  | $ | 14,253,705 |
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 |  | $ | — |  |  | $ | (677 | ) |  | $ | 91,436 |  |  | $ | (178,322 | ) |  | $ | (475,152 | ) |  | $ | (2,490 | ) |  | $ | (545,123 | )
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Predecessor Ambac – Four Months Ended April 30, 2013 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | Long-term debt |  |  | Total |
Balance, beginning of period |  | $ | 60,402 |  |  | $ | 14,557 |  |  | $ | (322,337 | ) |  | $ | 2,261,294 |  |  | $ | 15,359,073 |  |  | $ | (2,956,501 | ) |  | $ | 14,416,488 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (409,300 | ) |  |  | (409,300 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (33 | ) |  |  | (496 | ) |  |  | (88,546 | ) |  |  | 328,768 |  |  |  | 956,402 |  |  |  | (138,914 | ) |  |  | 1,057,181 |
Included in other comprehensive income |  |  | 12,329 |  |  |  | — |  |  |  | — |  |  |  | (89,497 | ) |  |  | (849,833 | ) |  |  | 150,987 |  |  |  | (776,014 | )
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (3,286 | ) |  |  | — |  |  |  | (4,477 | ) |  |  | — |  |  |  | (713,589 | ) |  |  | 4,864 |  |  |  | (716,488 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,598,492 |  |  |  | 1,598,492 |
Balance, end of period |  | $ | 69,412 |  |  | $ | 14,061 |  |  | $ | (415,360 | ) |  | $ | 2,500,565 |  |  | $ | 14,752,053 |  |  | $ | (1,750,372 | ) |  | $ | 15,170,359 |
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 |  | $ | — |  |  | $ | (496 | ) |  | $ | (92,002 | ) |  | $ | 328,768 |  |  | $ | 956,402 |  |  | $ | (138,914 | ) |  | $ | 1,053,758 |
|  |  |  |  |  |  |  |  |  |  | VIE Assets and Liabilities |  |  |  |
Predecessor Ambac – Year Ended December 31, 2012 |  | Investments |  |  | Other assets |  |  | Derivatives |  |  | Investments |  |  | Loans |  |  | 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 |  |  | (3 | ) |  |  | (2,222 | ) |  |  | 21,076 |  |  |  | (41,289 | ) |  |  | 952,463 |  |  |  | (208,678 | ) |  |  | 721,347 |
Included in other comprehensive income |  |  | 7,485 |  |  |  | — |  |  |  | — |  |  |  | 103,245 |  |  |  | 637,954 |  |  |  | (98,311 | ) |  |  | 650,373 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (162,460 | ) |  |  | (162,460 | )
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (97,206 | ) |  |  | — |  |  |  | (48,886 | ) |  |  | — |  |  |  | (358,338 | ) |  |  | 64,781 |  |  |  | (439,649 | )
Transfers in Level 3 |  |  | 58,905 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (1,875,121 | ) |  |  | (1,816,216 | )
Transfers out of Level 3 |  |  | (6,301 | ) |  |  | — |  |  |  | 192,248 |  |  |  | — |  |  |  | — |  |  |  | 1,257,930 |  |  |  | 1,443,877 |
Balance, end of period |  | $ | 60,402 |  |  | $ | 14,557 |  |  | $ | (322,337 | ) |  | $ | 2,261,294 |  |  | $ | 15,359,073 |  |  | $ | (2,956,501 | ) |  | $ | 14,416,488 |
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 |  | $ | — |  |  | $ | (2,222 | ) |  | $ | (113,836 | ) |  | $ | (41,289 | ) |  | $ | 952,944 |  |  | $ | (208,678 | ) |  | $ | 587,983 |
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs. Level-3 Investments by class
Successor Ambac – Eight Months Ended December 31, 2013 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 3,949 |  |  | $ | 61,782 |  |  | $ | 3,681 |  |  | $ | — |  |  | $ | 69,412 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | 25 |  |  |  | 1,912 |  |  |  | (62 | ) |  |  | (5 | ) |  |  | 1,870 |
Included in other comprehensive income |  |  | (19 | ) |  |  | 7,315 |  |  |  | (117 | ) |  |  | 5 |  |  |  | 7,184 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | (4,528 | ) |  |  | — |  |  |  | — |  |  |  | (4,528 | )
Settlements |  |  | (3,955 | ) |  |  | (2,408 | ) |  |  | — |  |  |  | (65 | ) |  |  | (6,428 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 273 |  |  |  | 273 |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | — |  |  | $ | 64,073 |  |  | $ | 3,502 |  |  | $ | 208 |  |  | $ | 67,783 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Predecessor Ambac – Four Months Ended April 30, 2013 |  | Collateralized Debt Obligations |  |  | Other Asset Backed Securities |  |  | Corporate Obligations |  |  | U.S. Agency Obligations |  |  | Total Investments |
Balance, beginning of period |  | $ | 6,482 |  |  | $ | 50,264 |  |  | $ | 3,656 |  |  | $ | — |  |  | $ | 60,402 |
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (6 | ) |  |  | — |  |  |  | (27 | ) |  |  | — |  |  |  | (33 | )
Included in other comprehensive income |  |  | 160 |  |  |  | 12,117 |  |  |  | 52 |  |  |  | — |  |  |  | 12,329 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (2,687 | ) |  |  | (599 | ) |  |  | — |  |  |  | — |  |  |  | (3,286 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | 3,949 |  |  | $ | 61,782 |  |  | $ | 3,681 |  |  | $ | — |  |  | $ | 69,412 |
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
Predecessor Ambac – Year Ended December 31, 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 |  |  | (5 | ) |  |  | — |  |  |  | 4 |  |  |  | (2 | ) |  |  | (3 | )
Included in other comprehensive income |  |  | 646 |  |  |  | 7,051 |  |  |  | (203 | ) |  |  | (9 | ) |  |  | 7,485 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (6,641 | ) |  |  | (85,741 | ) |  |  | (4,075 | ) |  |  | (749 | ) |  |  | (97,206 | )
Transfers in Level 3 |  |  | — |  |  |  | 53,068 |  |  |  | 5,837 |  |  |  | — |  |  |  | 58,905 |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | (5,837 | ) |  |  | (464 | ) |  |  | (6,301 | )
Balance, end of period |  | $ | 6,482 |  |  | $ | 50,264 |  |  | $ | 3,656 |  |  | $ | — |  |  | $ | 60,402 |
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
Successor Ambac – Eight Months Ended December 31, 2013 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long- term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | (137,947 | ) |  | $ | (277,413 | ) |  | $ | — |  |  | $ | (415,360 | )
Additions of VIEs consolidated |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | 24,797 |  |  |  | 192,869 |  |  |  | — |  |  |  | 217,666 |
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | 20,538 |  |  |  | (9,778 | ) |  |  | — |  |  |  | 10,760 |
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (92,612 | ) |  | $ | (94,322 | ) |  | $ | — |  |  | $ | (186,934 | )
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 |  | $ | 24,797 |  |  | $ | 66,639 |  |  | $ | — |  |  | $ | 91,436 |
Level-3 Derivatives by class
Predecessor Ambac – Four Months Ended April 30, 2013 |  | Interest Rate Swaps |  |  | Credit Derivatives |  |  | Call Options on Long- term debt |  |  | Total Derivatives |
Balance, beginning of period |  | $ | (108,752 | ) |  | $ | (213,585 | ) |  | $ | — |  |  | $ | (322,337 | )
Additions of VIEs consolidated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  |  | (28,162 | ) |  |  | (60,384 | ) |  |  | — |  |  |  | (88,546 | )
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | (1,033 | ) |  |  | (3,444 | ) |  |  | — |  |  |  | (4,477 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (137,947 | ) |  | $ | (277,413 | ) |  | $ | — |  |  | $ | (415,360 | )
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 |  | $ | (28,162 | ) |  | $ | (63,840 | ) |  | $ | — |  |  | $ | (92,002 | )
Predecessor Ambac – Year Ended December 31, 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 |  |  | (70,415 | ) |  |  | (9,219 | ) |  |  | 100,710 |  |  |  | 21,076 |
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Issuances |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | 71,592 |  |  |  | (13,713 | ) |  |  | (106,765 | ) |  |  | (48,886 | )
Transfers in Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | 192,248 |  |  |  | — |  |  |  | — |  |  |  | 192,248 |
Deconsolidation of VIEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (108,752 | ) |  | $ | (213,585 | ) |  | $ | — |  |  | $ | (322,337 | )
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 |  | $ | (78,505 | ) |  | $ | (35,331 | ) |  | $ | — |  |  | $ | (113,836 | )
Summary of Gains and Losses (Realized and Unrealized) Relating to Level 3 Assets and Liabilities Included in Earnings | Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows:
|  | Net 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) |  |  | (Loss) income on variable interest entities |  |  | Other income |
Successor Ambac: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Eight Months Ended December 31, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 1,870 |  |  | $ | 9,778 |  |  | $ | 183,091 |  |  | $ | 24,797 |  |  | $ | (636,043 | ) |  | $ | (677 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | 66,639 |  |  |  | 24,797 |  |  |  | (655,964 | ) |  |  | (677 | )
Predecessor Ambac: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Four Months Ended April 30, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | (33 | ) |  | $ | 3,444 |  |  | $ | (63,828 | ) |  | $ | (28,162 | ) |  | $ | 1,146,256 |  |  | $ | (496 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | (63,840 | ) |  |  | (28,162 | ) |  |  | 1,146,256 |  |  |  | (496 | )
Predecessor Ambac: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Year Ended December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | (3 | ) |  | $ | 13,713 |  |  | $ | (22,932 | ) |  | $ | (70,415 | ) |  | $ | 702,496 |  |  | $ | 98,488 |
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  |  | — |  |  |  | — |  |  |  | (35,331 | ) |  |  | (78,505 | ) |  |  | 702,977 |  |  |  | (2,222 | )
Variable Interest Entities [Member] |
Information about Valuation Inputs for Variable Interest Entity Assets and Liabilities Classified as Level 3 | European ABS transactions: The fair value of such obligations classified as Level 3 was $1,329,985 and $2,956,501 at December 31, 2013 and December 31, 2012, 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 December 31, 2013 and December 31, 2012 include the following weighted averages: Successor Ambac—December 31, 2013
| a. | Coupon rate: 0.72%
| b. | Maturity: 17.86 years
| c. | Yield: 1.10%
Predecessor Ambac—December 31, 2012
| a. | Coupon rate: 1.64%
| b. | Maturity: 12.34 years
| c. | Yield: 4.02%
US Commercial ABS transaction: The fair value of such obligations classified as Level 3 was $184,620 at December 31, 2013. Fair values were calculated as the sum of expected future cash flows sourced from the underlying operating assets plus the fair value of the related Ambac financial guarantee cash flows. Expected cash flows were internally modeled in using probability weighted assumptions about future operating cash flows available to fund the debt service. The discount rates applied to cash flows sourced from operating assets were based on interest rates for similar obligations. The fair value of financial guarantee cash flows include internal estimates of future loss payments by Ambac discounted at a rate that incorporates Ambac’s own credit risk. Significant inputs for the valuation at December 31, 2013 include the following weighted averages (there is no comparable Level 3 in this category for December 31, 2012): Successor Ambac—December 31, 2013
| a. | Coupon rate: 6.11%
| b. | Maturity: 6.83 years
| c. | Yield: 11.95%

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- Definition Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1),(d) -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 + Details
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