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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2018
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 June 30, 2018 and December 31, 2017, 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:
June 30, 2018: |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 899,122 |  |  | $ | 899,122 |  |  | $ | — |  |  | $ | 899,122 |  |  | $ | — |
Corporate obligations |  | 1,350,787 |  |  | 1,350,787 |  |  | 450 |  |  | 1,350,337 |  |  | — |
Foreign obligations |  | 25,442 |  |  | 25,442 |  |  | 24,346 |  |  | 1,096 |  |  | — |
U.S. government obligations |  | 82,413 |  |  | 82,413 |  |  | 82,413 |  |  | — |  |  | — |
Residential mortgage-backed securities |  | 512,309 |  |  | 512,309 |  |  | — |  |  | 512,309 |  |  | — |
Collateralized debt obligations |  | 65,457 |  |  | 65,457 |  |  | — |  |  | 65,457 |  |  | — |
Other asset-backed securities |  | 579,397 |  |  | 579,397 |  |  | — |  |  | 510,595 |  |  | 68,802 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 84,641 |  |  | 84,641 |  |  | 84,641 |  |  | — |  |  | — |
Short term investments |  | 393,447 |  |  | 393,447 |  |  | 314,070 |  |  | 79,377 |  |  | — |
Other investments (1) |  | 394,396 |  |  | 378,471 |  |  | 59,834 |  |  | — |  |  | 21,571 |
Cash and cash equivalents |  | 44,398 |  |  | 44,398 |  |  | 23,993 |  |  | 20,405 |  |  | — |
Loans |  | 10,007 |  |  | 12,039 |  |  | — |  |  | — |  |  | 12,039 |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  | 56,147 |  |  | 56,147 |  |  | — |  |  | 9,208 |  |  | 46,939 |
Interest rate swaps—liability position |  | (161 | ) |  | (161 | ) |  | — |  |  | (161 | ) |  | — |
Futures contracts |  | 524 |  |  | 524 |  |  | 524 |  |  | — |  |  | — |
Other assets |  | 5,255 |  |  | 5,255 |  |  | — |  |  | — |  |  | 5,255 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |
Fixed income securities: Corporate obligations |  | 2,756,924 |  |  | 2,756,924 |  |  | — |  |  | — |  |  | 2,756,924 |
Restricted cash |  | 1,052 |  |  | 1,052 |  |  | 1,052 |  |  | — |  |  | — |
Loans |  | 10,751,199 |  |  | 10,751,199 |  |  | — |  |  | — |  |  | 10,751,199 |
Derivative assets: Currency swaps-asset position |  | 60,403 |  |  | 60,403 |  |  | — |  |  | 60,403 |  |  | — |
Total financial assets |  | $ | 17,988,518 |  |  | $ | 17,974,625 |  |  | $ | 506,682 |  |  | $ | 3,508,148 |  |  | $ | 13,662,729 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Long term debt, including accrued interest |  | $ | 3,033,947 |  |  | $ | 3,147,361 |  |  | $ | — |  |  | $ | 2,733,359 |  |  | $ | 414,002 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | 1,326 |  |  | 1,326 |  |  | — |  |  | — |  |  | 1,326 |
Interest rate swaps—asset position |  | — |  |  | — |  |  | — |  |  |  |  |  | — |
Interest rate swaps—liability position |  | 66,322 |  |  | 66,322 |  |  | — |  |  | 66,322 |  |  | — |
Liabilities for net financial guarantees written (2) |  | (463,146 | ) |  | 1,022,545 |  |  | — |  |  | — |  |  | 1,022,545 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |
Long-term debt |  | 11,454,746 |  |  | 11,454,746 |  |  | — |  |  | 8,937,108 |  |  | 2,517,638 |
Derivative liabilities: Interest rate swaps—liability position |  | 1,992,227 |  |  | 1,992,227 |  |  | — |  |  | 1,992,227 |  |  | — |
Total financial liabilities |  | $ | 16,085,422 |  |  | $ | 17,684,527 |  |  | $ | — |  |  | $ | 13,729,016 |  |  | $ | 3,955,511 |
|  | Carrying Amount |  | Total Fair Value |  | Fair Value Measurements Categorized as:
December 31, 2017: |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |
Municipal obligations |  | $ | 779,834 |  |  | $ | 779,834 |  |  | $ | — |  |  | $ | 779,834 |  |  | $ | — |
Corporate obligations |  | 860,075 |  |  | 860,075 |  |  | 450 |  |  | 859,625 |  |  | — |
Foreign obligations |  | 26,543 |  |  | 26,543 |  |  | 25,615 |  |  | 928 |  |  | — |
U.S. government obligations |  | 85,408 |  |  | 85,408 |  |  | 85,408 |  |  | — |  |  | — |
Residential mortgage-backed securities |  | 2,251,333 |  |  | 2,251,333 |  |  | — |  |  | 1,515,316 |  |  | 736,017 |
Collateralized debt obligations |  | 51,037 |  |  | 51,037 |  |  | — |  |  | 51,037 |  |  | — |
Other asset-backed securities |  | 597,942 |  |  | 597,942 |  |  | — |  |  | 525,402 |  |  | 72,540 |
Fixed income securities, pledged as collateral: |  |  |  |  |  |  |  |  |  |
U.S. government obligations |  | 99,719 |  |  | 99,719 |  |  | 99,719 |  |  | — |  |  | — |
Short term investments |  | 557,270 |  |  | 557,270 |  |  | 389,299 |  |  | 167,971 |  |  | — |
Other investments (1) |  | 431,630 |  |  | 413,977 |  |  | 56,498 |  |  | 29,750 |  |  | 17,288 |
Cash and cash equivalents |  | 623,703 |  |  | 623,703 |  |  | 615,073 |  |  | 8,630 |  |  | — |
Loans |  | 10,358 |  |  | 10,284 |  |  | — |  |  | — |  |  | 10,284 |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate swaps—asset position |  | 73,199 |  |  | 73,199 |  |  | — |  |  | 11,825 |  |  | 61,374 |
Other assets |  | 5,979 |  |  | 5,979 |  |  | — |  |  | — |  |  | 5,979 |
Variable interest entity assets: |  |  |  |  |  |  |  |  |  |
Fixed income securities: Corporate obligations |  | 2,914,145 |  |  | 2,914,145 |  |  | — |  |  | — |  |  | 2,914,145 |
Restricted cash |  | 978 |  |  | 978 |  |  | 978 |  |  | — |  |  | — |
Loans |  | 11,529,384 |  |  | 11,529,384 |  |  | — |  |  | — |  |  | 11,529,384 |
Derivative assets: Currency swaps—asset position |  | 54,877 |  |  | 54,877 |  |  | — |  |  | 54,877 |  |  | — |
Total financial assets |  | $ | 20,853,695 |  |  | $ | 20,835,968 |  |  | $ | 1,173,321 |  |  | $ | 4,005,195 |  |  | $ | 15,347,011 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Long term debt, including accrued interest |  | $ | 1,428,680 |  |  | $ | 1,369,499 |  |  | $ | — |  |  | $ | 1,046,511 |  |  | $ | 322,988 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Credit derivatives |  | 566 |  |  | 566 |  |  | — |  |  | — |  |  | 566 |
Interest rate swaps—asset position |  | (627 | ) |  | (627 | ) |  | — |  |  | (627 | ) |  | — |
Interest rate swaps—liability position |  | 81,495 |  |  | 81,495 |  |  | — |  |  | 81,495 |  |  | — |
Futures contracts |  | 1,348 |  |  | 1,348 |  |  | 1,348 |  |  | — |  |  | — |
Liabilities for net financial guarantees written (2) |  | 3,435,438 |  |  | 4,842,402 |  |  | — |  |  | — |  |  | 4,842,402 |
Variable interest entity liabilities: |  |  |  |  |  |  |  |  |  |
Long-term debt |  | 12,160,544 |  |  | 12,160,544 |  |  | — |  |  | 9,402,856 |  |  | 2,757,688 |
Derivative liabilities: Interest rate swaps—liability position |  | 2,205,264 |  |  | 2,205,264 |  |  | — |  |  | 2,205,264 |  |  | — |
Total financial liabilities |  | $ | 19,312,708 |  |  | $ | 20,660,491 |  |  | $ | 1,348 |  |  | $ | 12,735,499 |  |  | $ | 7,923,644 |
(1) | Excluded from the fair value measurement categories in the table above are investment funds of $297,066 and $310,441 as of June 30, 2018 and December 31, 2017, 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 credit derivatives, including the CVA as a percentage of the gross mark-to-market liability before considering Ambac credit risk (“CVA percentage”), as of June 30, 2018 and December 31, 2017 is summarized below:
| June 30, 2018 |  | December 31, 2017
Number of CDS transactions |  | 2 |  |  | 2 |
Notional outstanding |  | $ | 311,237 |  |  | $ | 325,890 |
Weighted average reference obligation price |  | 98.1 |  |  | 99.3 |
Weighted average life (WAL) in years |  | 6.1 |  |  | 6.5 |
Weighted average credit rating |  | A |  |  | A |
Weighted average relative change ratio |  | 23.4 | % |  | 23.6 | %
CVA percentage |  | 8.06 | % |  | 9.64 | %
Fair value of derivative liabilities |  | $ | 1,326 |  |  | $ | 566 |
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 2018 and 2017. 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 June 30, 2018: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 77,630 |  |  | $ | 5,621 |  |  | $ | 49,908 |  |  | $ | 2,955,763 |  |  | $ | 11,558,331 |  |  | $ | (2,696,516 | ) |  | $ | 11,950,737 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 282 |  |  | (366 | ) |  | (2,682 | ) |  | (4,137 | ) |  | 27,466 |  |  | 17,228 |  |  | 37,791 |
Included in other comprehensive income |  | (3,514 | ) |  | — |  |  | — |  |  | (177,107 | ) |  | (672,595 | ) |  | 161,650 |  |  | (691,566 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (287 | ) |  | — |  |  | (1,613 | ) |  | (17,595 | ) |  | (162,003 | ) |  | — |  |  | (181,498 | )
Transfers out of Level 3 |  | (5,309 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (5,309 | )
Balance, end of period |  | $ | 68,802 |  |  | $ | 5,255 |  |  | $ | 45,613 |  |  | $ | 2,756,924 |  |  | $ | 10,751,199 |  |  | $ | (2,517,638 | ) |  | $ | 11,110,155 |
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 |  | $ | — |  |  | $ | (366 | ) |  | $ | (2,773 | ) |  | $ | (4,137 | ) |  | $ | 27,466 |  |  | $ | 17,228 |  |  | $ | 37,418 |
Three Months Ended June 30, 2017: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 721,624 |  |  | $ | 7,039 |  |  | $ | (102,588 | ) |  | $ | 2,663,719 |  |  | $ | 11,015,305 |  |  | $ | (2,716,642 | ) |  | $ | 11,588,457 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 16,479 |  |  | (348 | ) |  | 54,115 |  |  | (26,259 | ) |  | 32,198 |  |  | 14,100 |  |  | 90,285 |
Included in other comprehensive income |  | 10,812 |  |  | — |  |  | — |  |  | 100,783 |  |  | 402,842 |  |  | (102,138 | ) |  | 412,299 |
Purchases |  | 25,930 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,930 |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (9,163 | ) |  | — |  |  | 101,202 |  |  | (15,927 | ) |  | (149,047 | ) |  | 462 |  |  | (72,473 | )
Balance, end of period |  | $ | 765,682 |  |  | $ | 6,691 |  |  | $ | 52,729 |  |  | $ | 2,722,316 |  |  | $ | 11,301,298 |  |  | $ | (2,804,218 | ) |  | $ | 12,044,498 |
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 |  | $ | — |  |  | $ | (348 | ) |  | $ | 4,240 |  |  | $ | (26,259 | ) |  | $ | 32,198 |  |  | $ | 14,100 |  |  | $ | 23,931 |
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
Six Months Ended June 30, 2018: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 808,557 |  |  | $ | 5,979 |  |  | $ | 60,808 |  |  | $ | 2,914,145 |  |  | $ | 11,529,384 |  |  | $ | (2,757,688 | ) |  | $ | 12,561,185 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 35,466 |  |  | (724 | ) |  | (12,057 | ) |  | (73,163 | ) |  | (175,122 | ) |  | 177,213 |  |  | (48,387 | )
Included in other comprehensive income |  | (56,022 | ) |  | — |  |  | — |  |  | (66,463 | ) |  | (248,703 | ) |  | 57,773 |  |  | (313,415 | )
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (713,890 | ) |  | — |  |  | (3,138 | ) |  | (17,595 | ) |  | (354,360 | ) |  | 5,064 |  |  | (1,083,919 | )
Transfers out of Level 3 |  | (5,309 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (5,309 | )
Balance, end of period |  | $ | 68,802 |  |  | $ | 5,255 |  |  | $ | 45,613 |  |  | $ | 2,756,924 |  |  | $ | 10,751,199 |  |  | $ | (2,517,638 | ) |  | $ | 11,110,155 |
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 |  | $ | — |  |  | $ | (724 | ) |  | $ | (12,254 | ) |  | $ | (73,163 | ) |  | $ | (175,122 | ) |  | $ | 177,213 |  |  | $ | (84,050 | )
Six Months Ended June 30, 2017: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Balance, beginning of period |  | $ | 762,703 |  |  | $ | 7,382 |  |  | $ | (100,282 | ) |  | $ | 2,622,566 |  |  | $ | 10,658,963 |  |  | $ | (2,582,220 | ) |  | $ | 11,369,112 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 26,298 |  |  | (691 | ) |  | 51,298 |  |  | (31,454 | ) |  | 378,390 |  |  | (80,307 | ) |  | 343,534 |
Included in other comprehensive income |  | 17,097 |  |  | — |  |  | — |  |  | 147,131 |  |  | 586,391 |  |  | (148,394 | ) |  | 602,225 |
Purchases |  | 35,781 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 35,781 |
Sales |  | (79,319 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (79,319 | )
Settlements |  | (18,956 | ) |  | — |  |  | 101,713 |  |  | (15,927 | ) |  | (322,446 | ) |  | 6,703 |  |  | (248,913 | )
Transfers in Level 3 |  | 22,078 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 22,078 |
Balance, end of period |  | $ | 765,682 |  |  | $ | 6,691 |  |  | $ | 52,729 |  |  | $ | 2,722,316 |  |  | $ | 11,301,298 |  |  | $ | (2,804,218 | ) |  | $ | 12,044,498 |
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 |  | $ | — |  |  | $ | (691 | ) |  | $ | 3,914 |  |  | $ | (31,454 | ) |  | $ | 378,390 |  |  | $ | (80,307 | ) |  | $ | 269,852 |
The tables below provide roll-forward information by class of investments and derivatives measured using significant unobservable inputs.
Level 3 - Investments by Class: |  |  |  |  |  |  |  |  |  |  |  |
|  | Three Months Ended June 30, 2018 |  | Three Months Ended June 30, 2017
|  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments |  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments
Balance, beginning of period |  | $ | 72,321 |  |  | $ | 5,309 |  |  | $ | 77,630 |  |  | $ | 65,807 |  |  | $ | 655,817 |  |  | $ | 721,624 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 282 |  |  | — |  |  | 282 |  |  | 356 |  |  | 16,123 |  |  | 16,479 |
Included in other comprehensive income |  | (3,514 | ) |  | — |  |  | (3,514 | ) |  | (555 | ) |  | 11,367 |  |  | 10,812 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,930 |  |  | 25,930 |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (287 | ) |  | — |  |  | (287 | ) |  | (242 | ) |  | (8,921 | ) |  | (9,163 | )
Transfers out of Level 3 |  | — |  |  | (5,309 | ) |  | (5,309 | ) |  | — |  |  | — |  |  | — |
Balance, end of period |  | $ | 68,802 |  |  | $ | — |  |  | $ | 68,802 |  |  | $ | 65,366 |  |  | $ | 700,316 |  |  | $ | 765,682 |
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: |  |  |  |  |  |  |  |  |  |  |  |
|  | Six Months Ended June 30, 2018 |  | Six Months Ended June 30, 2017
|  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments |  | Other Asset Backed Securities |  | Non-Agency RMBS |  | Total Investments
Balance, beginning of period |  | $ | 72,540 |  |  | $ | 736,017 |  |  | $ | 808,557 |  |  | $ | 65,990 |  |  | $ | 696,713 |  |  | $ | 762,703 |
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | 739 |  |  | 34,727 |  |  | 35,466 |  |  | 709 |  |  | 25,589 |  |  | 26,298 |
Included in other comprehensive income |  | (3,884 | ) |  | (52,138 | ) |  | (56,022 | ) |  | (834 | ) |  | 17,931 |  |  | 17,097 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | 35,781 |  |  | 35,781 |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | (79,319 | ) |  | (79,319 | )
Settlements |  | (593 | ) |  | (713,297 | ) |  | (713,890 | ) |  | (499 | ) |  | (18,457 | ) |  | (18,956 | )
Transfers into Level 3 |  | — |  |  | — |  |  | — |  |  | — |  |  | 22,078 |  |  | 22,078 |
Transfers out of Level 3 |  | — |  |  | (5,309 | ) |  | (5,309 | ) |  | — |  |  | — |  |  | — |
Balance, end of period |  | 68,802 |  |  | — |  |  | 68,802 |  |  | 65,366 |  |  | 700,316 |  |  | 765,682 |
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 - Derivatives by Class: |  |  |  |
|  | Three Months Ended June 30, 2018 |  | Three Months Ended June 30, 2017
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | 50,926 |  |  | $ | (1,018 | ) |  | $ | 49,908 |  |  | $ | (88,092 | ) |  | $ | (14,496 | ) |  | $ | (102,588 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | (2,465 | ) |  | (217 | ) |  | (2,682 | ) |  | 47,491 |  |  | 6,624 |  |  | 54,115 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (1,522 | ) |  | (91 | ) |  | (1,613 | ) |  | 102,336 |  |  | (1,134 | ) |  | 101,202 |
Balance, end of period |  | $ | 46,939 |  |  | $ | (1,326 | ) |  | $ | 45,613 |  |  | $ | 61,735 |  |  | $ | (9,006 | ) |  | $ | 52,729 |
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 |  | $ | (2,465 | ) |  | $ | (308 | ) |  | $ | (2,773 | ) |  | $ | 4,049 |  |  | $ | 191 |  |  | $ | 4,240 |
Level 3 - Derivatives by Class: |  |  |  |
|  | Six Months Ended June 30, 2018 |  | Six Months Ended June 30, 2017
|  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives |  | Interest Rate Swaps |  | Credit Derivatives |  | Total Derivatives
Balance, beginning of period |  | $ | 61,374 |  |  | $ | (566 | ) |  | $ | 60,808 |  |  | $ | (84,933 | ) |  | $ | (15,349 | ) |  | $ | (100,282 | )
Total gains/(losses) realized and unrealized: |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings |  | (11,494 | ) |  | (563 | ) |  | (12,057 | ) |  | 43,622 |  |  | 7,676 |  |  | 51,298 |
Included in other comprehensive income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | (2,941 | ) |  | (197 | ) |  | (3,138 | ) |  | 103,046 |  |  | (1,333 | ) |  | 101,713 |
Balance, end of period |  | $ | 46,939 |  |  | $ | (1,326 | ) |  | $ | 45,613 |  |  | $ | 61,735 |  |  | $ | (9,006 | ) |  | $ | 52,729 |
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 |  | $ | (11,494 | ) |  | $ | (760 | ) |  | $ | (12,254 | ) |  | $ | 3,863 |  |  | $ | 51 |  |  | $ | 3,914 |
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 June 30, 2018: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 282 |  |  | $ | 91 |  |  | $ | (308 | ) |  | $ | (2,465 | ) |  | $ | 40,557 |  |  | $ | (366 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | (308 | ) |  | (2,465 | ) |  | 40,557 |  |  | (366 | )
Three Months Ended June 30, 2017: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 16,479 |  |  | $ | 1,134 |  |  | $ | 5,490 |  |  | $ | 47,491 |  |  | $ | 20,039 |  |  | $ | (348 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 191 |  |  | 4,049 |  |  | 20,039 |  |  | (348 | )
Six Months Ended June 30, 2018: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 35,466 |  |  | $ | 197 |  |  | $ | (760 | ) |  | $ | (11,494 | ) |  | $ | (71,072 | ) |  | $ | (724 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | (760 | ) |  | (11,494 | ) |  | (71,072 | ) |  | (724 | )
Six Months Ended June 30, 2017: |  |  |  |  |  |  |  |  |  |  |  |
Total gains or losses included in earnings for the period |  | $ | 26,298 |  |  | $ | 1,333 |  |  | $ | 6,343 |  |  | $ | 43,622 |  |  | $ | 266,629 |  |  | $ | (691 | )
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date |  | — |  |  | — |  |  | 51 |  |  | 3,863 |  |  | 266,629 |  |  | (691 | )

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