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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2015
Fair Value Disclosures [Abstract] |
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 September 30, 2015 and December 31, 2014, 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.
| Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
Level 1 |  | Level 2 |  | Level 3
September 30, 2015: |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 419,001 |  |  | $ | 419,001 |  |  | $ | — |  |  | $ | 419,001 |  |  | $ | — |
Corporate obligations | 1,587,578 |  |  | 1,587,578 |  |  | — |  |  | 1,587,578 |  |  | — |
Foreign obligations | 103,654 |  |  | 103,654 |  |  | — |  |  | 103,654 |  |  | — |
U.S. government obligations | 30,863 |  |  | 30,863 |  |  | 30,863 |  |  | — |  |  | — |
U.S. agency obligations | 4,281 |  |  | 4,281 |  |  | — |  |  | 4,281 |  |  | — |
Residential mortgage-backed securities | 1,871,483 |  |  | 1,871,483 |  |  | — |  |  | 1,487,694 |  |  | 383,789 |
Collateralized debt obligations | 81,912 |  |  | 81,912 |  |  | — |  |  | 81,912 |  |  | — |
Other asset-backed securities | 858,104 |  |  | 858,104 |  |  | — |  |  | 858,104 |  |  | — |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |
U.S. government obligations | 64,972 |  |  | 64,972 |  |  | 64,972 |  |  | — |  |  | — |
Short term investments | 364,780 |  |  | 364,780 |  |  | 305,950 |  |  | 58,830 |  |  | — |
Other investments | 314,934 |  |  | 302,791 |  |  | — |  |  | 290,723 |  |  | 12,068 |
Cash and cash equivalents | 27,099 |  |  | 27,099 |  |  | 27,099 |  |  | — |  |  | — |
Loans | 5,499 |  |  | 5,479 |  |  | — |  |  | — |  |  | 5,479 |
Derivative assets: |  |  |  |  |  |  |  |  |
Credit derivatives | 1,345 |  |  | 1,345 |  |  | — |  |  | — |  |  | 1,345 |
Interest rate swaps—asset position | 89,743 |  |  | 89,743 |  |  | — |  |  | 23,796 |  |  | 65,947 |
Interest rate swaps—liability position | — |  |  | — |  |  | — |  |  | — |  |  | — |
Futures contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |
Other assets | 9,322 |  |  | 9,322 |  |  | — |  |  | — |  |  | 9,322 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Corporate obligations | 2,679,895 |  |  | 2,679,895 |  |  | — |  |  | — |  |  | 2,679,895 |
Restricted cash | 5,895 |  |  | 5,895 |  |  | 5,895 |  |  | — |  |  | — |
Loans | 12,183,061 |  |  | 12,183,061 |  |  | — |  |  | — |  |  | 12,183,061 |
Total financial assets | $ | 20,703,421 |  |  | $ | 20,691,258 |  |  | $ | 434,779 |  |  | $ | 4,915,573 |  |  | $ | 15,340,906 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Obligations under investment agreements | $ | 100,358 |  |  | $ | 100,858 |  |  | $ | — |  |  | $ | — |  |  | $ | 100,858 |
Long term debt, including accrued interest | 1,457,996 |  |  | 1,318,300 |  |  | — |  |  | 139,002 |  |  | 1,179,298 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | 31,232 |  |  | 31,232 |  |  | — |  |  | — |  |  | 31,232 |
Interest rate swaps—asset position | (63,785 | ) |  | (63,785 | ) |  | — |  |  | (63,785 | ) |  | — |
Interest rate swaps—liability position | 408,168 |  |  | 408,168 |  |  | — |  |  | 270,049 |  |  | 138,119 |
Futures contracts | 220 |  |  | 220 |  |  | 220 |  |  | — |  |  | — |
Liabilities for net financial guarantees written (1) | 2,414,692 |  |  | 3,044,698 |  |  | — |  |  | — |  |  | 3,044,698 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |
Long-term debt | 12,791,012 |  |  | 12,791,012 |  |  | — |  |  | 10,647,480 |  |  | 2,143,532 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position | 2,065,224 |  |  | 2,065,224 |  |  | — |  |  | 2,065,224 |  |  | — |
Currency swaps—asset position | (31,429 | ) |  | (31,429 | ) |  | — |  |  | (31,429 | ) |  | — |
Total financial liabilities | $ | 19,173,688 |  |  | $ | 19,664,498 |  |  | $ | 220 |  |  | $ | 13,026,541 |  |  | $ | 6,637,737 |
(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; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.
| Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
Level 1 |  | Level 2 |  | Level 3
December 31, 2014: |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 525,792 |  |  | $ | 525,792 |  |  | $ | — |  |  | $ | 525,792 |  |  | $ | — |
Corporate obligations | 1,385,594 |  |  | 1,385,594 |  |  | — |  |  | 1,381,786 |  |  | 3,808 |
Foreign obligations | 127,757 |  |  | 127,757 |  |  | — |  |  | 127,757 |  |  | — |
U.S. government obligations | 42,979 |  |  | 42,979 |  |  | 42,979 |  |  | — |  |  | — |
U.S. agency obligations | 29,486 |  |  | 29,486 |  |  | — |  |  | 29,486 |  |  | — |
Residential mortgage-backed securities | 1,710,955 |  |  | 1,710,955 |  |  | — |  |  | 1,516,562 |  |  | 194,393 |
Collateralized debt obligations | 21,122 |  |  | 21,122 |  |  | — |  |  | 21,122 |  |  | — |
Other asset-backed securities | 882,001 |  |  | 882,001 |  |  | — |  |  | 882,001 |  |  | — |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |
U.S. government obligations | 64,267 |  |  | 64,267 |  |  | 64,267 |  |  | — |  |  | — |
Short term investments | 360,065 |  |  | 360,065 |  |  | 358,190 |  |  | 1,875 |  |  | — |
Other investments | 357,016 |  |  | 349,468 |  |  | — |  |  | 336,013 |  |  | 13,455 |
Cash and cash equivalents | 73,903 |  |  | 73,903 |  |  | 73,903 |  |  | — |  |  | — |
Loans | 5,714 |  |  | 5,634 |  |  | — |  |  | — |  |  | 5,634 |
Derivative assets: |  |  |  |  |  |  |  |  |
Credit derivatives | 2,043 |  |  | 2,043 |  |  | — |  |  | — |  |  | 2,043 |
Interest rate swaps—asset position | 106,974 |  |  | 106,974 |  |  | — |  |  | 106,974 |  |  | — |
Interest rate swaps—liability position | — |  |  | — |  |  | — |  |  | — |  |  | — |
Futures contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |
Other assets | 12,036 |  |  | 12,036 |  |  | — |  |  | — |  |  | 12,036 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Corporate obligations | 2,743,050 |  |  | 2,743,050 |  |  | — |  |  | — |  |  | 2,743,050 |
Restricted cash | 7,708 |  |  | 7,708 |  |  | 7,708 |  |  | — |  |  | — |
Loans | 12,371,177 |  |  | 12,371,177 |  |  | — |  |  | — |  |  | 12,371,177 |
Total financial assets | $ | 20,829,639 |  |  | $ | 20,822,011 |  |  | $ | 547,047 |  |  | $ | 4,929,368 |  |  | $ | 15,345,596 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Obligations under investment agreements | $ | 160,079 |  |  | $ | 161,821 |  |  | $ | — |  |  | $ | — |  |  | $ | 161,821 |
Long term debt, including accrued interest | 1,273,805 |  |  | 1,379,864 |  |  | — |  |  | — |  |  | 1,379,864 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | 75,502 |  |  | 75,502 |  |  | — |  |  | — |  |  | 75,502 |
Interest rate swaps—asset position | (54,666 | ) |  | (54,666 | ) |  | — |  |  | (54,666 | ) |  | — |
Interest rate swaps—liability position | 385,546 |  |  | 385,546 |  |  | — |  |  | 243,659 |  |  | 141,887 |
Futures contracts | 562 |  |  | 562 |  |  | 562 |  |  | — |  |  | — |
Other contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |
Liabilities for net financial guarantees written (1) | 2,923,652 |  |  | 4,539,000 |  |  | — |  |  | — |  |  | 4,539,000 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |
Long-term debt | 12,882,076 |  |  | 12,882,076 |  |  | — |  |  | 11,618,412 |  |  | 1,263,664 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position | 2,133,268 |  |  | 2,133,268 |  |  | — |  |  | 2,133,268 |  |  | — |
Currency swaps—liability position | 66,895 |  |  | 66,895 |  |  | — |  |  | 66,895 |  |  | — |
Total financial liabilities | $ | 19,846,719 |  |  | $ | 21,569,868 |  |  | $ | 562 |  |  | $ | 14,007,568 |  |  | $ | 7,561,738 |
(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; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.
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 September 30, 2015 and December 31, 2014 is summarized below:
| CLOs |  | Other (1)
September 30, 2015: |  |  |
Notional outstanding | $ | 341,668 |  |  | $ | 913,647 |
Weighted average reference obligation price | 98.5 |  |  | 85.9 |
Weighted average life (WAL) in years | 1.0 |  |  | 4.2 |
Weighted average credit rating | AA |  |  | BBB- |
Weighted average relative change ratio | 36.3 | % |  | 45.3 | %
CVA percentage | 7.48 | % |  | 22.91 | %
Fair value of derivative liabilities | $ | 1,740 |  |  | $ | 28,125 |
December 31, 2014: |  |  |
Notional outstanding | $ | 549,923 |  |  | $ | 921,036 |
Weighted average reference obligation price | 98.9 |  |  | 86.8 |
Weighted average life (WAL) in years | 1.8 |  |  | 5.7 |
Weighted average credit rating | AA |  |  | BBB- |
Weighted average relative change ratio | 35.9 | % |  | 49.0 | %
CVA percentage | 5.40 | % |  | 15.82 | %
Fair value of derivative liabilities | $ | 2,027 |  |  | $ | 71,104 |
(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 $58,482, WAL of 0.4 and liability fair value of $22 as of September 30, 2015. Other inputs to the valuation of these transactions at September 30, 2015 include weighted average quotes of less than 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 1.09%. As of December 31, 2014, these contracts had a combined notional outstanding of $58,800, WAL of 1.2 years and liability fair value of $328. Other inputs to the valuation of these transactions at December 31, 2014 include weighted average quotes of 1% of notional, weighted average rating of A and Ambac CVA percentage of 2.21% .
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 2015 and 2014. 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 |  |
|  | Investments |  | Other assets |  | Derivatives |  | Investments |  | Loans |  | Long-term debt |  | Total
Three Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 380,332 |  |  | $ | 9,704 |  |  | $ | (119,309 | ) |  | $ | 2,747,181 |  |  | $ | 13,005,216 |  |  | $ | (2,166,826 | ) |  | $ | 13,856,298 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 8,429 |  |  | (382 | ) |  | 20,073 |  |  | 39,630 |  |  | 44,404 |  |  | (59,760 | ) |  | 52,394 |
Included in other comprehensive income |  | (4,288 | ) |  | — |  |  | — |  |  | (106,916 | ) |  | (471,321 | ) |  | 79,314 |  |  | (503,211 | )
Purchases |  | 28 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 28 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (712 | ) |  | — |  |  | (2,822 | ) |  | — |  |  | (70,115 | ) |  | 3,740 |  |  | (69,909 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Deconsolidation of VIEs |  | — |  |  | — |  |  | — |  |  | — |  |  | (325,123 | ) |  | — |  |  | (325,123 | )
Balance, end of period |  | $ | 383,789 |  |  | $ | 9,322 |  |  | $ | (102,058 | ) |  | $ | 2,679,895 |  |  | $ | 12,183,061 |  |  | $ | (2,143,532 | ) |  | $ | 13,010,477 |
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 |  | $ | — |  |  | $ | (382 | ) |  | $ | (12,285 | ) |  | $ | 39,630 |  |  | $ | 102,901 |  |  | $ | (107,567 | ) |  | $ | 22,297 |
Three Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 66,352 |  |  | $ | 12,782 |  |  | $ | (218,661 | ) |  | $ | 2,688,388 |  |  | $ | 13,743,231 |  |  | $ | (1,375,049 | ) |  | $ | 14,917,043 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 835 |  |  | (381 | ) |  | 3,885 |  |  | 105,116 |  |  | 209,028 |  |  | (16,961 | ) |  | 301,522 |
Included in other comprehensive income |  | (254 | ) |  | — |  |  | — |  |  | (141,821 | ) |  | (678,944 | ) |  | 62,314 |  |  | (758,705 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | (3,388 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3,388 | )
Settlements |  | (885 | ) |  | — |  |  | (1,126 | ) |  | — |  |  | (73,042 | ) |  | 4,102 |  |  | (70,951 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | (696,789 | ) |  | 36,891 |  |  | (659,898 | )
Balance, end of period |  | $ | 62,660 |  |  | $ | 12,401 |  |  | $ | (215,902 | ) |  | $ | 2,651,683 |  |  | $ | 12,503,484 |  |  | $ | (1,288,703 | ) |  | $ | 13,725,623 |
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 |  | $ | — |  |  | $ | (381 | ) |  | $ | 3,229 |  |  | $ | 105,116 |  |  | $ | 215,296 |  |  | $ | (16,047 | ) |  | $ | 307,213 |
Level 3 - Financial Assets and Liabilities Accounted for at Fair Value |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  | VIE Assets and Liabilities |  |
|  | Investments |  | Other assets |  | Derivatives |  | Investments |  | Loans |  | Long-term debt |  | Total
Nine Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 198,201 |  |  | $ | 12,036 |  |  | $ | (215,346 | ) |  | $ | 2,743,050 |  |  | $ | 12,371,177 |  |  | $ | (1,263,664 | ) |  | $ | 13,845,454 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 21,066 |  |  | (1,009 | ) |  | 20,640 |  |  | 14,490 |  |  | 701,562 |  |  | (922,849 | ) |  | (166,100 | )
Included in other comprehensive income |  | (48,611 | ) |  | — |  |  | — |  |  | (77,645 | ) |  | (311,773 | ) |  | 35,303 |  |  | (402,726 | )
Purchases |  | 234,880 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 234,880 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (21,747 | ) |  | (1,705 | ) |  | 4,430 |  |  | — |  |  | (252,782 | ) |  | 7,678 |  |  | (264,126 | )
Transfers into Level 3 |  | — |  |  | — |  |  | 88,218 |  |  | — |  |  | — |  |  | — |  |  | 88,218 |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Deconsolidation of VIEs |  | — |  |  | — |  |  | — |  |  | — |  |  | (325,123 | ) |  | — |  |  | (325,123 | )
Balance, end of period |  | $ | 383,789 |  |  | $ | 9,322 |  |  | $ | (102,058 | ) |  | $ | 2,679,895 |  |  | $ | 12,183,061 |  |  | $ | (2,143,532 | ) |  | $ | 13,010,477 |
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 |  | $ | — |  |  | $ | (1,009 | ) |  | $ | (20,081 | ) |  | $ | 14,490 |  |  | $ | 760,059 |  |  | $ | (970,656 | ) |  | $ | (217,197 | )
Nine Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 67,783 |  |  | $ | 13,384 |  |  | $ | (186,934 | ) |  | $ | 2,475,182 |  |  | $ | 13,398,895 |  |  | $ | (1,514,605 | ) |  | $ | 14,253,705 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 1,676 |  |  | (983 | ) |  | (36,323 | ) |  | 235,178 |  |  | 735,597 |  |  | (268,951 | ) |  | 666,194 |
Included in other comprehensive income |  | (595 | ) |  | — |  |  | — |  |  | (58,677 | ) |  | (270,727 | ) |  | 24,066 |  |  | (305,933 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | 70,000 |  |  | — |  |  | 70,000 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | (3,388 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3,388 | )
Settlements |  | (2,608 | ) |  | — |  |  | 7,355 |  |  | — |  |  | (733,492 | ) |  | 433,896 |  |  | (294,849 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | (208 | ) |  | — |  |  | — |  |  | — |  |  | (696,789 | ) |  | 36,891 |  |  | (660,106 | )
Balance, end of period |  | $ | 62,660 |  |  | $ | 12,401 |  |  | $ | (215,902 | ) |  | $ | 2,651,683 |  |  | $ | 12,503,484 |  |  | $ | (1,288,703 | ) |  | $ | 13,725,623 |
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 |  | $ | — |  |  | $ | (983 | ) |  | $ | (39,830 | ) |  | $ | 235,178 |  |  | $ | 736,732 |  |  | $ | (264,899 | ) |  | $ | 666,198 |
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs.
Level 3 - Investments by Class: |  |  |  |  |  |  |  |  |  |
|  | Other Asset Backed Securities |  | Corporate Obligations |  | U.S. Agency Obligations |  | Non-Agency RMBS |  | Total Investments
Three Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 380,332 |  |  | $ | 380,332 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |
Included in earnings |  | — |  |  | — |  |  | — |  |  | 8,429 |  |  | 8,429 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | (4,288 | ) |  | (4,288 | )
Purchases |  | — |  |  | — |  |  | — |  |  | 28 |  |  | 28 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | — |  |  | — |  |  | (712 | ) |  | (712 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 383,789 |  |  | $ | 383,789 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Three Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 62,601 |  |  | $ | 3,751 |  |  | $ | — |  |  | $ | — |  |  | $ | 66,352 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 859 |  |  | (24 | ) |  | — |  |  | — |  |  | 835 |
Included in other comprehensive income |  | (272 | ) |  | 18 |  |  | — |  |  | — |  |  | (254 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | (3,388 | ) |  | — |  |  | — |  |  | — |  |  | (3,388 | )
Settlements |  | (885 | ) |  | — |  |  | — |  |  | — |  |  | (885 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | 58,915 |  |  | $ | 3,745 |  |  | $ | — |  |  | $ | — |  |  | $ | 62,660 |
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: |  |  |  |  |  |  |  |  |  |
|  | Other Asset Backed Securities |  | Corporate Obligations |  | U.S. Agency Obligations |  | Non-Agency RMBS |  | Total Investments
Nine Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | — |  |  | $ | 3,808 |  |  | $ | — |  |  | $ | 194,393 |  |  | $ | 198,201 |
Additions of VIEs consolidated |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |
Included in earnings |  | — |  |  | (19 | ) |  | — |  |  | 21,085 |  |  | 21,066 |
Included in other comprehensive income |  | — |  |  | (286 | ) |  | — |  |  | (48,325 | ) |  | (48,611 | )
Purchases |  | — |  |  | — |  |  | — |  |  | 234,880 |  |  | 234,880 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | (3,503 | ) |  | — |  |  | (18,244 | ) |  | (21,747 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 383,789 |  |  | $ | 383,789 |
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Nine Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 64,073 |  |  | $ | 3,502 |  |  | $ | 208 |  |  | $ | — |  |  | $ | 67,783 |
Additions of VIEs consolidated |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 1,748 |  |  | (72 | ) |  | — |  |  | — |  |  | 1,676 |
Included in other comprehensive income |  | (910 | ) |  | 315 |  |  | — |  |  | — |  |  | (595 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | (3,388 | ) |  | — |  |  | — |  |  | — |  |  | (3,388 | )
Settlements |  | (2,608 | ) |  | — |  |  | — |  |  | — |  |  | (2,608 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | (208 | ) |  | — |  |  | (208 | )
Balance, end of period |  | $ | 58,915 |  |  | $ | 3,745 |  |  | $ | — |  |  | $ | — |  |  | $ | 62,660 |
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: |  |  |  |  |  |
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Three Months Ended September 30, 2015: |  |  |  |  |  |
Balance, beginning of period |  | $ | (52,819 | ) |  | $ | (66,490 | ) |  | $ | (119,309 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | (16,879 | ) |  | 36,952 |  |  | 20,073 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | (2,473 | ) |  | (349 | ) |  | (2,822 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | (72,171 | ) |  | $ | (29,887 | ) |  | $ | (102,058 | )
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 |  | $ | (16,879 | ) |  | $ | 4,594 |  |  | $ | (12,285 | )
Three Months Ended September 30, 2014: |  |  |  |  |  |
Balance, beginning of period |  | $ | (129,010 | ) |  | $ | (89,651 | ) |  | $ | (218,661 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | (3,532 | ) |  | 7,417 |  |  | 3,885 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | (530 | ) |  | (596 | ) |  | (1,126 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | (133,072 | ) |  | $ | (82,830 | ) |  | $ | (215,902 | )
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 |  | $ | (3,532 | ) |  | $ | 6,761 |  |  | $ | 3,229 |
Level 3 - Derivatives by Class: |  |  |  |  |  |
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Nine Months Ended September 30, 2015: |  |  |  |  |  |
Balance, beginning of period |  | $ | (141,887 | ) |  | $ | (73,459 | ) |  | $ | (215,346 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | (24,106 | ) |  | 44,746 |  |  | 20,640 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | 5,604 |  |  | (1,174 | ) |  | 4,430 |
Transfers into Level 3 |  | 88,218 |  |  | — |  |  | 88,218 |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | (72,171 | ) |  | $ | (29,887 | ) |  | $ | (102,058 | )
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 |  | $ | (24,106 | ) |  | $ | 4,025 |  |  | $ | (20,081 | )
Nine Months Ended September 30, 2014: |  |  |  |  |  |
Balance, beginning of period |  | $ | (92,612 | ) |  | $ | (94,322 | ) |  | $ | (186,934 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |
Included in earnings |  | (49,903 | ) |  | 13,580 |  |  | (36,323 | )
Included in other comprehensive income |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | 9,443 |  |  | (2,088 | ) |  | 7,355 |
Transfers into Level 3 |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | (133,072 | ) |  | $ | (82,830 | ) |  | $ | (215,902 | )
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 |  | $ | (49,903 | ) |  | $ | 10,073 |  |  | $ | (39,830 | )
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) |  | Income (loss) on variable interest entities |  | Other income or (loss)
Three Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 8,429 |  |  | $ | 1,693 |  |  | $ | 35,259 |  |  | $ | (16,879 | ) |  | $ | 24,274 |  |  | $ | (382 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 4,594 |  |  | (16,879 | ) |  | 34,964 |  |  | (382 | )
Three Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 835 |  |  | $ | 596 |  |  | $ | 6,820 |  |  | $ | (3,532 | ) |  | $ | 297,183 |  |  | $ | (381 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 6,761 |  |  | (3,532 | ) |  | 304,365 |  |  | (381 | )
Nine Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 21,066 |  |  | $ | 2,519 |  |  | $ | 42,227 |  |  | $ | (24,106 | ) |  | $ | (206,797 | ) |  | $ | (1,009 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 4,025 |  |  | (24,106 | ) |  | (196,107 | ) |  | (1,009 | )
Nine Months Ended September 30, 2014: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 1,676 |  |  | $ | 2,088 |  |  | $ | 11,491 |  |  | $ | (49,903 | ) |  | $ | 701,824 |  |  | $ | (983 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 10,074 |  |  | (49,903 | ) |  | 707,011 |  |  | (983 | )

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