Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

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, 2014 and December 31, 2013, 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
June 30, 2014
Financial assets:
Fixed income securities:
Municipal obligations	$	981,082		$	981,082		$	—	$	981,082		$	—
Corporate obligations	1,891,834			1,891,834			—		1,888,083			3,751
Foreign obligations	144,125			144,125			—		144,125			—
U.S. government obligations	77,584			77,584			77,584		—			—
U.S. agency obligations	30,191			30,191			—		30,191			—
Residential mortgage-backed securities	1,853,409			1,853,409			—		1,853,409			—
Collateralized debt obligations	144,376			144,376			—		144,376			—
Other asset-backed securities	977,830			977,830			—		915,229			62,601
Fixed income securities, pledged as collateral:
U.S. government obligations	65,029			65,029			65,029		—			—
Short term investments	344,187			344,187			341,647		2,540			—
Other investments	256,455			256,455			—		256,355			100
Cash and cash equivalents	74,461			74,461			73,204		1,257			—
Loans	6,349			6,349			—		—			6,349
Derivative assets:
Credit derivatives	319			319			—		—			319
Interest rate swaps—asset position	89,361			89,361			—		89,361			—
Interest rate swaps—liability position	—			—			—		—			—
Futures contracts	—			—			—		—			—
Other assets	12,782			12,782			—		—			12,782
Variable interest entity assets:
Fixed income securities:
Corporate obligations	2,688,388			2,688,388			—		—			2,688,388
Restricted cash	7,712			7,712			7,712		—			—
Loans	13,743,231			13,743,231			—		—			13,743,231
Total financial assets	$	23,388,705		$	23,388,705		$	565,176	$	6,306,008		$	16,517,521
Financial liabilities:
Obligations under investment agreements	$	169,582		$	171,999		$	—	$	—		$	171,999
Long term debt, including accrued interest	1,319,997			1,506,391			—		—			1,506,391
Derivative liabilities:
Credit derivatives	89,970			89,970			—		—			89,970
Interest rate swaps—asset position	(51,322		)	(51,322		)	—		(51,322		)	—
Interest rate swaps—liability position	303,317			303,317			—		174,307			129,010
Futures contracts	180			180			180		—			—
Other contracts	128			128			—		128			—
Liabilities for net financial guarantees written (1)	4,600,794			7,078,178			—		—			7,078,178
Variable interest entity liabilities:
Long-term debt	14,450,434			14,450,434			—		13,075,385			1,375,049
Derivative liabilities:
Interest rate swaps—liability position	1,840,399			1,840,399			—		1,840,399			—
Currency swaps—liability position	87,061			87,061			—		87,061			—
Total financial liabilities	$	22,810,540		$	25,476,735		$	180	$	15,125,958		$	10,350,597

(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.

	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 and cash equivalents	77,370			77,370			74,425		2,945			—
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		$	614,343	$	6,014,080		$	15,961,582
Financial liabilities:
Obligations under investment 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

	Successor Ambac
	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
							Level 1		Level 2			Level 3
June 30, 2014
Financial assets:
Fixed income securities:
Municipal obligations	$	981,082		$	981,082		$	—	$	981,082		$	—
Corporate obligations	1,891,834			1,891,834			—		1,888,083			3,751
Foreign obligations	144,125			144,125			—		144,125			—
U.S. government obligations	77,584			77,584			77,584		—			—
U.S. agency obligations	30,191			30,191			—		30,191			—
Residential mortgage-backed securities	1,853,409			1,853,409			—		1,853,409			—
Collateralized debt obligations	144,376			144,376			—		144,376			—
Other asset-backed securities	977,830			977,830			—		915,229			62,601
Fixed income securities, pledged as collateral:
U.S. government obligations	65,029			65,029			65,029		—			—
Short term investments	344,187			344,187			341,647		2,540			—
Other investments	256,455			256,455			—		256,355			100
Cash and cash equivalents	74,461			74,461			73,204		1,257			—
Loans	6,349			6,349			—		—			6,349
Derivative assets:
Credit derivatives	319			319			—		—			319
Interest rate swaps—asset position	89,361			89,361			—		89,361			—
Interest rate swaps—liability position	—			—			—		—			—
Futures contracts	—			—			—		—			—
Other assets	12,782			12,782			—		—			12,782
Variable interest entity assets:
Fixed income securities:
Corporate obligations	2,688,388			2,688,388			—		—			2,688,388
Restricted cash	7,712			7,712			7,712		—			—
Loans	13,743,231			13,743,231			—		—			13,743,231
Total financial assets	$	23,388,705		$	23,388,705		$	565,176	$	6,306,008		$	16,517,521
Financial liabilities:
Obligations under investment agreements	$	169,582		$	171,999		$	—	$	—		$	171,999
Long term debt, including accrued interest	1,319,997			1,506,391			—		—			1,506,391
Derivative liabilities:
Credit derivatives	89,970			89,970			—		—			89,970
Interest rate swaps—asset position	(51,322		)	(51,322		)	—		(51,322		)	—
Interest rate swaps—liability position	303,317			303,317			—		174,307			129,010
Futures contracts	180			180			180		—			—
Other contracts	128			128			—		128			—
Liabilities for net financial guarantees written (1)	4,600,794			7,078,178			—		—			7,078,178
Variable interest entity liabilities:
Long-term debt	14,450,434			14,450,434			—		13,075,385			1,375,049
Derivative liabilities:
Interest rate swaps—liability position	1,840,399			1,840,399			—		1,840,399			—
Currency swaps—liability position	87,061			87,061			—		87,061			—
Total financial liabilities	$	22,810,540		$	25,476,735		$	180	$	15,125,958		$	10,350,597

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 June 30, 2014 and December 31, 2013 is summarized below:

Successor Ambac - As of June 30, 2014	CLOs			Other (1)
Notional outstanding	$	841,744		$	1,273,684
Weighted average reference obligation price	98.7			87.9
Weighted average life (WAL) in years	1.9			5.0
Weighted average credit rating	AA			BBB-
Weighted average relative change ratio	35.6		%	43.5		%
CVA percentage	6.05		%	15.80		%
Fair value of derivative liabilities	$	3,811		$	84,359

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	13.67		%	30.70		%
Fair value of derivative liabilities	$	7,993		$	84,780

(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 $58,801, WAL of 1.7 years and liability fair value of $1,800 as of June 30, 2014. Other inputs to the valuation of these transactions at June 30, 2014 include weighted average quotes of 4% of notional, weighted average rating of A and Ambac CVA percentage of 3.58%. As of December 31, 2013, these contracts had a combined notional outstanding of $146,995, WAL of 1.0 years and liability fair value of $1,549. 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%.

Summary of Changes in Level 3 Fair Value Category

Predecessor Ambac – Period from January 1 through April 30, 2013	Interest Rate Swaps			Credit Derivatives			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	)

The following tables present the changes in the Level 3 fair value category for the periods presented in 2014 and 2013. 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 - Period from April 1 through June 30, 2014	Investments			Other assets			Derivatives			Investments		Loans			Long-term debt			Total
Balance, beginning of period	$	66,923		$	13,122		$	(202,482	)	$	2,546,762	$	13,269,452		$	(1,284,394	)	$	14,409,383
Additions of VIEs consolidated	—			—			—			—		—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	422			(340		)	(25,959		)	74,317		204,722			(61,028		)	192,134
Included in other comprehensive income	(124		)	—			—			67,309		328,415			(29,627		)	365,973
Purchases	—			—			—			—		—			—			—
Issuances	—			—			—			—		—			—			—
Sales	—			—			—			—		—			—			—
Settlements	(869		)	—			9,780			—		(59,358		)	—			(50,447		)
Transfers in Level 3	—			—			—			—		—			—			—
Transfers out of Level 3	—			—			—			—		—			—			—
Balance, end of period	$	66,352		$	12,782		$	(218,661	)	$	2,688,388	$	13,743,231		$	(1,375,049	)	$	14,917,043
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	$	—		$	(340	)	$	(27,284	)	$	74,317	$	204,722		$	(61,028	)	$	190,387

										VIE Assets and Liabilities
Successor Ambac - Period from January 1 through June 30, 2014	Investments			Other assets			Derivatives			Investments		Loans			Long-term debt			Total
Balance, beginning of period	$	67,783		$	13,384		$	(186,934	)	$	2,475,182	$	13,398,895		$	(1,514,605	)	$	14,253,705
Additions of VIEs consolidated	—			—			—			—		—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	841			(602		)	(40,208		)	130,062		526,569			(251,990		)	364,672
Included in other comprehensive income	(341		)	—			—			83,144		408,217			(38,248		)	452,772
Purchases	—			—			—			—		70,000			—			70,000
Issuances	—			—			—			—		—			—			—
Sales	—			—			—			—		—			—			—
Settlements	(1,723		)	—			8,481			—		(660,450		)	429,794			(223,898		)
Transfers in Level 3	—			—			—			—		—			—			—
Transfers out of Level 3	(208		)	—			—			—		—			—			(208		)
Balance, end of period	$	66,352		$	12,782		$	(218,661	)	$	2,688,388	$	13,743,231		$	(1,375,049	)	$	14,917,043
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	$	—		$	(602	)	$	(42,315	)	$	130,062	$	521,436		$	(248,852	)	$	359,729

										VIE Assets and Liabilities
Successor Ambac - Period from May 1 through June 30, 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	395			(177		)	70,127			(208,998		)	(586,641		)	4,347			(720,947		)
Included in other comprehensive income	63			—			—			(48,578		)	(282,421		)	28,214			(302,722		)
Purchases	—			—			—			—			—			—			—
Issuances	—			—			—			—			—			—			—
Sales	—			—			—			—			—			—			—
Settlements	(1,298		)	—			4,570			—			(62,113		)	—			(58,841		)
Transfers in Level 3	—			—			—			—			—			(220,922		)	(220,922		)
Transfers out of Level 3	—			—			—			—			—			365,046			365,046
Balance, end of period	$	68,572		$	13,884		$	(340,663	)	$	2,242,989		$	13,820,878		$	(1,573,687	)	$	14,231,973
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	$	—		$	(177	)	$	32,525		$	(208,998	)	$	(586,641	)	$	4,347		$	(758,944	)

										VIE Assets and Liabilities
Predecessor Ambac - Period from April 1 through April 30, 2013	Investments			Other assets			Derivatives			Investments		Loans			Long-term debt			Total
Balance, beginning of period	$	57,791		$	14,230		$	(328,689	)	$	2,414,607	$	14,116,811		$	(1,910,589	)	$	14,364,161
Additions of VIEs consolidated	—			—			—			—		—			(409,300		)	(409,300		)
Total gains/(losses) realized and unrealized:
Included in earnings	(10		)	(169		)	(85,384		)	31,474		555,946			(11,521		)	490,336
Included in other comprehensive income	11,631			—			—			54,484		105,622			(42,918		)	128,819
Purchases	—			—			—			—		—			—			—
Issuances	—			—			—			—		—			—			—
Sales	—			—			—			—		—			—			—
Settlements	—			—			(1,287		)	—		(26,326		)	—			(27,613		)
Transfers in Level 3	—			—			—			—		—			—			—
Transfers out of Level 3	—			—			—			—		—			623,956			623,956
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	$	—		$	(169	)	$	(86,320	)	$	31,474	$	555,946		$	(11,521	)	$	489,410

										VIE Assets and Liabilities
Predecessor Ambac – Period from January 1 through 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

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 - Period from April 1 through June 30, 2014	Collateralized Debt Obligations		Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations		Total Investments
Balance, beginning of period	$	—	$	63,367		$	3,556		$	—	$	66,923
Total gains/(losses) realized and unrealized:
Included in earnings	—		446			(24		)	—		422
Included in other comprehensive income	—		(343		)	219			—		(124		)
Purchases	—		—			—			—		—
Issuances	—		—			—			—		—
Sales	—		—			—			—		—
Settlements	—		(869		)	—			—		(869		)
Transfers in Level 3	—		—			—			—		—
Transfers out of Level 3	—		—			—			—		—
Balance, end of period	$	—	$	62,601		$	3,751		$	—	$	66,352
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	$	—	$	—		$	—		$	—	$	—

Successor Ambac - Period from January 1 through June 30, 2014	Collateralized Debt Obligations		Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	—	$	64,073		$	3,502		$	208		$	67,783
Total gains/(losses) realized and unrealized:
Included in earnings	—		889			(48		)	—			841
Included in other comprehensive income	—		(638		)	297			—			(341		)
Purchases	—		—			—			—			—
Issuances	—		—			—			—			—
Sales	—		—			—			—			—
Settlements	—		(1,723		)	—			—			(1,723		)
Transfers in Level 3	—		—			—			—			—
Transfers out of Level 3	—		—						(208		)	(208		)
Balance, end of period	$	—	$	62,601		$	3,751		$	—		$	66,352
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	$	—	$	—		$	—		$	—		$	—

Successor Ambac - Period from May 1 through June 30, 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	18			392			(15		)	—		395
Included in other comprehensive income	(11		)	319			(245		)	—		63
Purchases	—			—			—			—		—
Issuances	—			—			—			—		—
Sales	—			—			—			—		—
Settlements	(541		)	(757		)	—			—		(1,298		)
Transfers in Level 3	—			—			—			—		—
Transfers out of Level 3	—			—			—			—		—
Balance, end of period	$	3,415		$	61,736		$	3,421		$	—	$	68,572
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 - Period from April 1 through April 30, 2013	Collateralized Debt Obligations			Other Asset Backed Securities		Corporate Obligations			U.S. Agency Obligations		Total Investments
Balance, beginning of period	$	3,905		$	50,234	$	3,652		$	—	$	57,791
Total gains/(losses) realized and unrealized:
Included in earnings	(3		)	—		(7		)	—		(10		)
Included in other comprehensive income	47			11,548		36			—		11,631
Purchases	—			—		—			—		—
Issuances	—			—		—			—		—
Sales	—			—		—			—		—
Settlements	—			—		—			—		—
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	$	—		$	—	$	—		$	—	$	—

Predecessor Ambac - Period from January 1 through 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
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 Derivatives by class

Successor Ambac - Period from April 1 through June 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(114,767	)	$	(87,715	)	$	(202,482	)
Additions of VIEs consolidated	—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	(24,740		)	(1,219		)	(25,959		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	10,497			(717		)	9,780
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(129,010	)	$	(89,651	)	$	(218,661	)
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	$	(24,740	)	$	(2,544	)	$	(27,284	)

Successor Ambac - Period ended January 1 through June 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(92,612	)	$	(94,322	)	$	(186,934	)
Additions of VIEs consolidated	—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	(46,371		)	6,163			(40,208		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	9,973			(1,492		)	8,481
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(129,010	)	$	(89,651	)	$	(218,661	)
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	(46,371	)	$	4,056		$	(42,315	)

Successor Ambac – Period from May 1 through June 30, 2013	Interest Rate Swaps			Credit Derivatives			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	18,907			51,220			70,127
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	10,644			(6,074		)	4,570
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(108,396	)	$	(232,267	)	$	(340,663	)
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	$	18,907		$	13,618		$	32,525

Predecessor Ambac – Period from April 1 through April 30, 2013	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(125,382	)	$	(203,307	)	$	(328,689	)
Additions of VIEs consolidated	—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	(12,213		)	(73,171		)	(85,384		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	(352		)	(935		)	(1,287		)
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	$	(12,213	)	$	(74,107	)	$	(86,320	)

Predecessor Ambac – Period from January 1 through April 30, 2013	Interest Rate Swaps			Credit Derivatives			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	)

Successor Ambac – Period from May 1 through June 30, 2013	Interest Rate Swaps			Credit Derivatives			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	18,907			51,220			70,127
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	10,644			(6,074		)	4,570
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(108,396	)	$	(232,267	)	$	(340,663	)
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	$	18,907		$	13,618		$	32,525

Successor Ambac - Period from April 1 through June 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(114,767	)	$	(87,715	)	$	(202,482	)
Additions of VIEs consolidated	—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	(24,740		)	(1,219		)	(25,959		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	10,497			(717		)	9,780
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(129,010	)	$	(89,651	)	$	(218,661	)
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	$	(24,740	)	$	(2,544	)	$	(27,284	)

Successor Ambac - Period ended January 1 through June 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(92,612	)	$	(94,322	)	$	(186,934	)
Additions of VIEs consolidated	—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings	(46,371		)	6,163			(40,208		)
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	9,973			(1,492		)	8,481
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Deconsolidation of VIEs	—			—			—
Balance, end of period	$	(129,010	)	$	(89,651	)	$	(218,661	)
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	(46,371	)	$	4,056		$	(42,315	)

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 or (loss)
Successor Ambac:
Period from April 1 through June 30, 2014
Total gains or losses included in earnings for the period	$	422		$	717	$	(1,936	)	$	(24,740	)	$	218,011		$	(340	)
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date	—			—		(2,544		)	(24,740		)	218,011			(340		)
Successor Ambac:
Period from January 1 through June 30, 2014
Total gains or losses included in earnings for the period	$	841		$	1,492	$	4,671		$	(46,371	)	$	404,641		$	(602	)
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date	—			—		4,056			(46,371		)	402,646			(602		)
Successor Ambac:
Period from May 1 through June 30, 2013
Total gains or losses included in earnings for the period	$	395		$	6,074	$	45,146		$	18,907		$	(791,292	)	$	(177	)
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date	—			—		13,618			18,907			(791,292		)	(177		)
Predecessor Ambac:
Period from April 1 through April 30, 2013
Total gains or losses included in earnings for the period	$	(10	)	$	935	$	(74,106	)	$	(12,213	)	$	575,899		$	(169	)
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date	—			—		(74,107		)	(12,213		)	575,899			(169		)
Predecessor Ambac:
Period from January 1 through 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		)