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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2016
Fair Value Disclosures [Abstract] |
Fair Value Of Investments Measured At NAV As Practical Expedient [Table Text Block] | Below is additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient. There are no unfunded commitments applicable to any of these invest ments for the periods disclosed.
|  | Fair Value |  |  |  |
Class of Funds |  | September 30, 2016 |  | December 31, 2015 |  | Redemption Frequency |  | Redemption Notice Period
Real estate properties (1) |  | $ | 34,412 |  |  | $ | 59,719 |  |  | quarterly |  | 10 business days
Diversified hedge fund strategies (2) |  | 55,884 |  |  | 35,464 |  |  | semi-monthly |  | 15 - 30 days
Credit products (3) |  | 182,391 |  |  | 99,579 |  |  | daily, weekly or monthly |  | 0 - 30 days
Illiquid investments (4) |  | 39,816 |  |  | 44,754 |  |  | quarterly |  | 180 days
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, 2016 and December 31, 2015, 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:
September 30, 2016: | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 399,522 |  |  | $ | 399,522 |  |  | $ | — |  |  | $ | 399,522 |  |  | $ | — |
Corporate obligations | 1,872,756 |  |  | 1,872,756 |  |  | — |  |  | 1,872,756 |  |  | — |
Foreign obligations | 56,923 |  |  | 56,923 |  |  | 56,365 |  |  | 558 |  |  | — |
U.S. government obligations | 33,425 |  |  | 33,425 |  |  | 33,425 |  |  | — |  |  | — |
U.S. agency obligations | 4,106 |  |  | 4,106 |  |  | — |  |  | 4,106 |  |  | — |
Residential mortgage-backed securities | 2,387,531 |  |  | 2,387,531 |  |  | — |  |  | 1,707,956 |  |  | 679,575 |
Collateralized debt obligations | 106,844 |  |  | 106,844 |  |  | — |  |  | 106,844 |  |  | — |
Other asset-backed securities | 1,129,290 |  |  | 1,129,290 |  |  | — |  |  | 1,056,391 |  |  | 72,899 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |
U.S. government obligations | 64,972 |  |  | 64,972 |  |  | 64,972 |  |  | — |  |  | — |
Short term investments | 130,732 |  |  | 130,732 |  |  | 130,732 |  |  | — |  |  | — |
Other investments (2) | 419,885 |  |  | 403,414 |  |  | 78,572 |  |  | — |  |  | 12,339 |
Cash and cash equivalents | 21,218 |  |  | 21,218 |  |  | 21,218 |  |  | — |  |  | — |
Loans | 4,513 |  |  | 4,467 |  |  | — |  |  | — |  |  | 4,467 |
Derivative assets: |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position | 103,373 |  |  | 103,373 |  |  | — |  |  | 21,340 |  |  | 82,033 |
Other assets | 7,729 |  |  | 7,729 |  |  | — |  |  | — |  |  | 7,729 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Corporate obligations | 2,828,685 |  |  | 2,828,685 |  |  | — |  |  | — |  |  | 2,828,685 |
Restricted cash | 5,477 |  |  | 5,477 |  |  | 5,477 |  |  | — |  |  | — |
Loans | 11,476,766 |  |  | 11,476,766 |  |  | — |  |  | — |  |  | 11,476,766 |
Derivative assets: |  |  |  |  |  |  |  |  |
Currency swaps—asset position | 68,676 |  |  | 68,676 |  |  | — |  |  | 68,676 |  |  | — |
Total financial assets | $ | 21,122,423 |  |  | $ | 21,105,906 |  |  | $ | 390,761 |  |  | $ | 5,238,149 |  |  | $ | 15,164,493 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Obligations under investment agreements | $ | 82,358 |  |  | $ | 82,541 |  |  | $ | — |  |  | $ | — |  |  | $ | 82,541 |
Long term debt, including accrued interest | 1,510,529 |  |  | 1,422,602 |  |  | — |  |  | 1,121,249 |  |  | 301,353 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | 16,700 |  |  | 16,700 |  |  | — |  |  | — |  |  | 16,700 |
Interest rate swaps—asset position | (97,964 | ) |  | (97,964 | ) |  | — |  |  | (97,964 | ) |  | — |
Interest rate swaps—liability position | 516,638 |  |  | 516,638 |  |  | — |  |  | 332,199 |  |  | 184,439 |
Futures contracts | 36 |  |  | 36 |  |  | 36 |  |  | — |  |  | — |
Liabilities for net financial guarantees written (1) | 2,787,131 |  |  | 4,175,019 |  |  | — |  |  | — |  |  | 4,175,019 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |
Long-term debt | 11,930,434 |  |  | 11,930,434 |  |  | — |  |  | 9,347,134 |  |  | 2,583,300 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position | 2,304,789 |  |  | 2,304,789 |  |  | — |  |  | 2,304,789 |  |  | — |
Total financial liabilities | $ | 19,050,651 |  |  | $ | 20,350,795 |  |  | $ | 36 |  |  | $ | 13,007,407 |  |  | $ | 7,343,352 |
| Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
December 31, 2015: | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 420,770 |  |  | $ | 420,770 |  |  | $ | — |  |  | $ | 420,770 |  |  | $ | — |
Corporate obligations | 1,593,669 |  |  | 1,593,669 |  |  | — |  |  | 1,593,669 |  |  | — |
Foreign obligations | 96,306 |  |  | 96,306 |  |  | 87,808 |  |  | 8,498 |  |  | — |
U.S. government obligations | 26,687 |  |  | 26,687 |  |  | 26,687 |  |  | — |  |  | — |
U.S. agency obligations | 4,212 |  |  | 4,212 |  |  | — |  |  | 4,212 |  |  | — |
Residential mortgage-backed securities | 1,977,338 |  |  | 1,977,338 |  |  | — |  |  | 1,488,454 |  |  | 488,884 |
Collateralized debt obligations | 84,267 |  |  | 84,267 |  |  | — |  |  | 84,267 |  |  | — |
Other asset-backed securities | 840,527 |  |  | 840,527 |  |  | — |  |  | 840,527 |  |  | — |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |
U.S. government obligations | 64,555 |  |  | 64,555 |  |  | 64,555 |  |  | — |  |  | — |
Short term investments | 225,789 |  |  | 225,789 |  |  | 197,398 |  |  | 28,391 |  |  | — |
Other investments (2) | 310,600 |  |  | 298,095 |  |  | 45,745 |  |  | — |  |  | 12,834 |
Cash and cash equivalents | 35,744 |  |  | 35,744 |  |  | 35,744 |  |  | — |  |  | — |
Loans | 5,206 |  |  | 5,128 |  |  | — |  |  | — |  |  | 5,128 |
Derivative assets: |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position | 84,886 |  |  | 84,886 |  |  | — |  |  | 21,848 |  |  | 63,038 |
Futures contracts | 109 |  |  | 109 |  |  | 109 |  |  | — |  |  | — |
Other assets | 8,696 |  |  | 8,696 |  |  | — |  |  | — |  |  | 8,696 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |
Corporate obligations | 2,588,556 |  |  | 2,588,556 |  |  | — |  |  | — |  |  | 2,588,556 |
Restricted cash | 5,822 |  |  | 5,822 |  |  | 5,822 |  |  | — |  |  | — |
Loans | 11,690,324 |  |  | 11,690,324 |  |  | — |  |  | — |  |  | 11,690,324 |
Total financial assets | $ | 20,064,063 |  |  | $ | 20,051,480 |  |  | $ | 463,868 |  |  | $ | 4,490,636 |  |  | $ | 14,857,460 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Obligations under investment agreements | $ | 100,358 |  |  | $ | 101,400 |  |  | $ | — |  |  | $ | — |  |  | $ | 101,400 |
Long term debt, including accrued interest | 1,481,045 |  |  | 1,235,721 |  |  | — |  |  | 132,837 |  |  | 1,102,884 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Credit derivatives | 34,543 |  |  | 34,543 |  |  | — |  |  | — |  |  | 34,543 |
Interest rate swaps—asset position | (52,128 | ) |  | (52,128 | ) |  | — |  |  | (52,128 | ) |  | — |
Interest rate swaps—liability position | 370,943 |  |  | 370,943 |  |  | — |  |  | 243,256 |  |  | 127,687 |
Futures contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |
Liabilities for net financial guarantees written (1) | 2,033,484 |  |  | 2,325,859 |  |  | — |  |  | — |  |  | 2,325,859 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |
Long-term debt | 12,327,960 |  |  | 12,327,960 |  |  | — |  |  | 9,147,790 |  |  | 3,180,170 |
Derivative liabilities: |  |  |  |  |  |  |  |  |
Interest rate swaps—liability position | 1,965,265 |  |  | 1,965,265 |  |  | — |  |  | 1,965,265 |  |  | — |
Currency swaps—liability position | (36,862 | ) |  | (36,862 | ) |  | — |  |  | (36,862 | ) |  | — |
Total financial liabilities | $ | 18,224,608 |  |  | $ | 18,272,701 |  |  | $ | — |  |  | $ | 11,400,158 |  |  | $ | 6,872,543 |
(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.
(2) | Excluded from the fair value measurement categories in the table above are investments funds of $312,503 and $239,516 as of September 30, 2016 and December 31, 2015, respectively, which are measured using NAV per share as a practical expedient.
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, 2016 and December 31, 2015 is summarized below:
|  | September 30, 2016 |  | December 31, 2015
|  | CLOs |  | Other |  | CLOs |  | Other (1)
Notional outstanding |  | $ | 176,384 |  |  | $ | 644,604 |  |  | $ | 295,253 |  |  | $ | 617,148 |
Weighted average reference obligation price |  | 99.3 |  |  | 92.2 |  |  | 98.4 |  |  | 85.2 |
Weighted average life (WAL) in years |  | 0.7 |  |  | 6.2 |  |  | 1.1 |  |  | 6.1 |
Weighted average credit rating |  | AA |  |  | BBB+ |  |  | AA |  |  | BBB+ |
Weighted average relative change ratio |  | 36.6 | % |  | 31.0 | % |  | 36.3 | % |  | 33.3 | %
CVA percentage |  | 5.93 | % |  | 14.37 | % |  | 8.34 | % |  | 23.34 | %
Fair value of derivative liabilities |  | $ | 399 |  |  | $ | 16,301 |  |  | $ | 1,837 |  |  | $ | 32,697 |
(1) | Excludes contract for which fair values are based on credit derivative quotes rather than reference obligations quotes. As of December 31, 2015, these contracts had a combined notional outstanding of $58,482, WAL of 0.2 years and liability fair value of $9. Other inputs to the valuation of these transactions at December 31, 2015 include weighted ave rage quotes of less than 1% of notional, weighted average rating of A+ and Ambac CVA percentage of 0.09%.
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 2016 and 2015. 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, 2016: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 722,670 |  |  | $ | 8,687 |  |  | $ | (104,032 | ) |  | $ | 2,577,293 |  |  | $ | 11,074,772 |  |  | $ | (2,258,009 | ) |  | $ | 12,021,381 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 15,804 |  |  | (958 | ) |  | (12,220 | ) |  | 307,147 |  |  | 690,431 |  |  | (378,139 | ) |  | 622,065 |
Included in other comprehensive income |  | 12,334 |  |  | — |  |  | — |  |  | (55,755 | ) |  | (221,934 | ) |  | 49,126 |  |  | (216,229 | )
Purchases |  | 7,126 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 7,126 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (5,460 | ) |  | — |  |  | (2,854 | ) |  | — |  |  | (66,503 | ) |  | 3,722 |  |  | (71,095 | )
Balance, end of period |  | $ | 752,474 |  |  | $ | 7,729 |  |  | $ | (119,106 | ) |  | $ | 2,828,685 |  |  | $ | 11,476,766 |  |  | $ | (2,583,300 | ) |  | $ | 12,363,248 |
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 |  | $ | — |  |  | $ | (958 | ) |  | $ | (12,450 | ) |  | $ | 307,147 |  |  | $ | 690,431 |  |  | $ | (378,139 | ) |  | $ | 606,031 |
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 | )
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 |
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, 2016: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 488,884 |  |  | $ | 8,696 |  |  | $ | (99,192 | ) |  | $ | 2,588,556 |  |  | $ | 11,690,324 |  |  | $ | (3,180,170 | ) |  | $ | 11,497,098 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 42,823 |  |  | (967 | ) |  | (23,250 | ) |  | 571,739 |  |  | 1,367,063 |  |  | (712,696 | ) |  | 1,244,712 |
Included in other comprehensive income |  | 35,570 |  |  | — |  |  | — |  |  | (331,610 | ) |  | (1,385,893 | ) |  | 355,086 |  |  | (1,326,847 | )
Purchases |  | 99,018 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 99,018 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (14,619 | ) |  | — |  |  | 3,336 |  |  | — |  |  | (194,728 | ) |  | 216,582 |  |  | 10,571 |
Transfers into Level 3 |  | 100,798 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 100,798 |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 737,898 |  |  | 737,898 |
Balance, end of period |  | $ | 752,474 |  |  | $ | 7,729 |  |  | $ | (119,106 | ) |  | $ | 2,828,685 |  |  | $ | 11,476,766 |  |  | $ | (2,583,300 | ) |  | $ | 12,363,248 |
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 |  | $ | — |  |  | $ | (967 | ) |  | $ | (24,026 | ) |  | $ | 571,739 |  |  | $ | 1,367,063 |  |  | $ | (712,696 | ) |  | $ | 1,201,113 |
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 in Level 3 |  | — |  |  | — |  |  | 88,218 |  |  | — |  |  | — |  |  | — |  |  | 88,218 |
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 | )
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 |  | Non-Agency RMBS |  | Total Investments
Three Months Ended September 30, 2016: |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 71,820 |  |  | $ | — |  |  | $ | 650,850 |  |  | $ | 722,670 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |
Included in earnings |  | 999 |  |  | — |  |  | 14,805 |  |  | 15,804 |
Included in other comprehensive income |  | 336 |  |  | — |  |  | 11,998 |  |  | 12,334 |
Purchases |  | — |  |  | — |  |  | 7,126 |  |  | 7,126 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (256 | ) |  | — |  |  | (5,204 | ) |  | (5,460 | )
Balance, end of period |  | $ | 72,899 |  |  | $ | — |  |  | $ | 679,575 |  |  | $ | 752,474 |
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, 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 | )
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 - Investments by Class: |  |  |  |  |  |  |  |
|  | Other Asset Backed Securities |  | Corporate Obligations |  | Non-Agency RMBS |  | Total Investments
Nine Months Ended September 30, 2016: |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | — |  |  | $ | — |  |  | $ | 488,884 |  |  | $ | 488,884 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |
Included in earnings |  | 1,560 |  |  | — |  |  | 41,263 |  |  | 42,823 |
Included in other comprehensive income |  | 1,401 |  |  | — |  |  | 34,169 |  |  | 35,570 |
Purchases |  | — |  |  | — |  |  | 99,018 |  |  | 99,018 |
Issuances |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (769 | ) |  | — |  |  | (13,850 | ) |  | (14,619 | )
Transfers into Level 3 |  | 70,707 |  |  | — |  |  | 30,091 |  |  | 100,798 |
Balance, end of period |  | $ | 72,899 |  |  | $ | — |  |  | $ | 679,575 |  |  | $ | 752,474 |
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, 2015: |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | — |  |  | $ | 3,808 |  |  | $ | 194,393 |  |  | $ | 198,201 |
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 | )
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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 - Derivatives by Class: |  |  |  |
|  | Three Months Ended September 30, 2016: |  | Three Months Ended September 30, 2015:
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | (85,825 | ) |  | $ | (18,207 | ) |  | $ | (104,032 | ) |  | $ | (52,819 | ) |  | $ | (66,490 | ) |  | $ | (119,309 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | (13,953 | ) |  | 1,733 |  |  | (12,220 | ) |  | (16,879 | ) |  | 36,952 |  |  | 20,073 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (2,628 | ) |  | (226 | ) |  | (2,854 | ) |  | (2,473 | ) |  | (349 | ) |  | (2,822 | )
Balance, end of period |  | $ | (102,406 | ) |  | $ | (16,700 | ) |  | $ | (119,106 | ) |  | $ | (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 |  | $ | (13,953 | ) |  | $ | 1,503 |  |  | $ | (12,450 | ) |  | $ | (16,879 | ) |  | $ | 4,594 |  |  | $ | (12,285 | )
Level 3 - Derivatives by Class: |  |  |  |
|  | Nine Months Ended September 30, 2016: |  | Nine Months Ended September 30, 2015:
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | (64,649 | ) |  | $ | (34,543 | ) |  | $ | (99,192 | ) |  | $ | (141,887 | ) |  | $ | (73,459 | ) |  | $ | (215,346 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | (41,804 | ) |  | 18,554 |  |  | (23,250 | ) |  | (24,106 | ) |  | 44,746 |  |  | 20,640 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | 4,047 |  |  | (711 | ) |  | 3,336 |  |  | 5,604 |  |  | (1,174 | ) |  | 4,430 |
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | 88,218 |  |  | — |  |  | 88,218 |
Balance, end of period |  | $ | (102,406 | ) |  | $ | (16,700 | ) |  | $ | (119,106 | ) |  | $ | (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 |  | $ | (41,804 | ) |  | $ | 17,778 |  |  | $ | (24,026 | ) |  | $ | (24,106 | ) |  | $ | 4,025 |  |  | $ | (20,081 | )
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, 2016: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 15,804 |  |  | $ | 226 |  |  | $ | 1,507 |  |  | $ | (13,953 | ) |  | $ | 619,439 |  |  | $ | (958 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 1,503 |  |  | (13,953 | ) |  | 619,439 |  |  | (958 | )
Three Months Ended September 30, 2015: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 8,429 |  |  | $ | 1,693 |  |  | $ | 35,259 |  |  | $ | (16,879 | ) |  | $ | 24,724 |  |  | $ | (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 | )
Nine Months Ended September 30, 2016: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 42,823 |  |  | $ | 711 |  |  | $ | 17,843 |  |  | $ | (41,804 | ) |  | $ | 1,226,106 |  |  | $ | (967 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 17,778 |  |  | (41,804 | ) |  | 1,226,106 |  |  | (967 | )
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 | )

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