Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Summary of Carrying Amount and Fair Value of Ambac's Financial Assets and 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

(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

The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of September 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
September 30, 2014
Financial assets:
Fixed income securities:
Municipal obligations	$	939,442		$	939,442		$	—	$	939,442		$	—
Corporate obligations	1,805,683			1,805,683			—		1,801,938			3,745
Foreign obligations	125,113			125,113			—		125,113			—
U.S. government obligations	78,048			78,048			78,048		—			—
U.S. agency obligations	29,868			29,868			—		29,868			—
Residential mortgage-backed securities	1,824,492			1,824,492			—		1,824,492			—
Collateralized debt obligations	46,040			46,040			—		46,040			—
Other asset-backed securities	1,307,542			1,307,542			—		1,248,627			58,915
Fixed income securities, pledged as collateral:
U.S. government obligations	64,031			64,031			64,031		—			—
Short term investments	550,900			550,900			549,124		1,776			—
Other investments	290,870			282,845			—		270,791			12,054
Cash and cash equivalents	43,332			43,332			43,332		—			—
Loans	6,057			6,129			—		—			6,129
Derivative assets:
Credit derivatives	1,052			1,052			—		—			1,052
Interest rate swaps—asset position	89,159			89,159			—		89,159			—
Interest rate swaps—liability position	—			—			—		—			—
Futures contracts	1,109			1,109			1,109		—			—
Other assets	12,401			12,401			—		—			12,401
Variable interest entity assets:
Fixed income securities:
Corporate obligations	2,651,683			2,651,683			—		—			2,651,683
Restricted cash	7,337			7,337			7,337		—			—
Loans	12,503,484			12,503,484			—		—			12,503,484
Total financial assets	$	22,377,643		$	22,369,690		$	742,981	$	6,377,246		$	15,249,463
Financial liabilities:
Obligations under investment agreements	$	160,515		$	163,960		$	—	$	—		$	163,960
Long term debt, including accrued interest	1,595,358			1,741,594			—		—			1,741,594
Derivative liabilities:
Credit derivatives	83,882			83,882			—		—			83,882
Interest rate swaps—asset position	(50,107		)	(50,107		)	—		(50,107		)	—
Interest rate swaps—liability position	314,515			314,515			—		181,443			133,072
Futures contracts	—			—			—		—			—
Other contracts	137			137			—		137			—
Liabilities for net financial guarantees written (1)	4,580,937			6,661,100			—		—			6,661,100
Variable interest entity liabilities:
Long-term debt	13,159,174			13,159,174			—		11,870,471			1,288,703
Derivative liabilities:
Interest rate swaps—liability position	1,885,244			1,885,244			—		1,885,244			—
Currency swaps—liability position	70,047			70,047			—		70,047			—
Total financial liabilities	$	21,799,702		$	24,029,546		$	—	$	13,957,235		$	10,072,311

(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 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, 2014 and December 31, 2013 is summarized below:

Successor Ambac - As of September 30, 2014	CLOs			Other (1)
Notional outstanding	$	669,251		$	1,230,874
Weighted average reference obligation price	98.8			88.6
Weighted average life (WAL) in years	1.8			4.8
Weighted average credit rating	AA			BBB
Weighted average relative change ratio	35.7		%	43.7		%
CVA percentage	5.63		%	16.77		%
Fair value of derivative liabilities	$	2,726		$	78,246

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 1.4 years and liability fair value of $1,858 as of September 30, 2014. Other inputs to the valuation of these transactions at September 30, 2014 include weighted average quotes of 4% of notional, weighted average rating of A and Ambac CVA percentage of 2.41%. 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

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 July 1 through September 30, 2014	Investments			Other assets			Derivatives			Investments			Loans			Long-term debt			Total
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 in 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

										VIE Assets and Liabilities
Successor Ambac - Period from January 1 through September 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
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 in 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

										VIE Assets and Liabilities
Successor Ambac - Period from July 1 through September 30, 2013	Investments			Other assets			Derivatives			Investments		Loans			Long-term debt			Total
Balance, beginning of period	$	68,572		$	13,884		$	(340,663	)	$	2,242,989	$	13,820,878		$	(1,573,687	)	$	14,231,973
Total gains/(losses) realized and unrealized:
Included in earnings	467			(213		)	37,126			36,694		195,305			21,816			291,195
Included in other comprehensive income	5,951			—			—			144,231		842,715			(76,533		)	916,364
Purchases	—			—			—			—		—			—			—
Issuances	—			—			—			—		—			—			—
Sales	—			—			—			—		—			—			—
Settlements	(4,192		)	—			(2,137		)	—		(96,452		)	—			(102,781		)
Transfers in Level 3	273			—			—			—		—			4,253			4,526
Transfers out of Level 3	—			—			—			—		—			—			—
Balance, end of period	$	71,071		$	13,671		$	(305,674	)	$	2,423,914	$	14,762,446		$	(1,624,151	)	$	15,341,277
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	$	—		$	(213	)	$	32,984		$	36,694	$	195,305		$	21,816		$	286,586

										VIE Assets and Liabilities
Successor Ambac – Period from May 1 through September 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
Total gains/(losses) realized and unrealized:
Included in earnings	863			(390		)	107,253			(172,304		)	(391,336		)	26,163			(429,751		)
Included in other comprehensive income	6,013			—			—			95,653			560,294			(48,319		)	613,641
Purchases	—			—			—			—			—			—			—
Issuances	—			—			—			—			—			—			—
Sales	—			—			—			—			—			—			—
Settlements	(5,490		)	—			2,433			—			(158,565		)	4,253			(157,369		)
Transfers in Level 3	273			—			—			—			—			(220,922		)	(220,649		)
Transfers out of Level 3	—			—			—			—			—			365,046			365,046
Balance, end of period	$	71,071		$	13,671		$	(305,674	)	$	2,423,914		$	14,762,446		$	(1,624,151	)	$	15,341,277
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	$	—		$	(390	)	$	65,509		$	(172,304	)	$	(391,336	)	$	26,163		$	(472,358	)

										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 July 1 through September 30, 2014	Collateralized Debt Obligations		Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations		Total Investments
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 in 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	$	—	$	—		$	—		$	—	$	—

Successor Ambac - Period from January 1 through September 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	—		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 in 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	$	—	$	—		$	—		$	—		$	—

Successor Ambac - Period from July 1 through September 30, 2013	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations		Total Investments
Balance, beginning of period	$	3,415		$	61,736		$	3,421		$	—	$	68,572
Total gains/(losses) realized and unrealized:
Included in earnings	7			483			(23		)	—		467
Included in other comprehensive income	(7		)	5,923			35			—		5,951
Purchases	—			—			—			—		—
Issuances	—			—			—			—		—
Sales	—			—			—			—		—
Settlements	(3,415		)	(777		)	—			—		(4,192		)
Transfers in Level 3	—			—			—			273		273
Transfers out of Level 3	—			—			—			—		—
Balance, end of period	$	—		$	67,365		$	3,433		$	273	$	71,071
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 September 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	25			876			(38		)	—		863
Included in other comprehensive income	(19		)	6,242			(210		)	—		6,013
Purchases	—			—			—			—		—
Issuances	—			—			—			—		—
Sales	—			—			—			—		—
Settlements	(3,955		)	(1,535		)	—			—		(5,490		)
Transfers in Level 3	—			—			—			273		273
Transfers out of Level 3	—			—			—			—		—
Balance, end of period	$	—		$	67,365		$	3,433		$	273	$	71,071
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 July 1 through September 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
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 in 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

Successor Ambac - Period ended January 1 through September 30, 2014	Interest Rate Swaps			Credit Derivatives			Total Derivatives
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 in 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	)

Successor Ambac - Period from July 1 to September 30, 2013	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(108,396	)	$	(232,267	)	$	(340,663	)
Total gains/(losses) realized and unrealized:
Included in earnings	5,931			31,195			37,126
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	(556		)	(1,581		)	(2,137		)
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Balance, end of period	$	(103,021	)	$	(202,653	)	$	(305,674	)
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	$	5,931		$	27,053		$	32,984

Successor Ambac – Period from May 1 through September 30, 2013	Interest Rate Swaps			Credit Derivatives			Total Derivatives
Balance, beginning of period	$	(137,947	)	$	(277,413	)	$	(415,360	)
Total gains/(losses) realized and unrealized:
Included in earnings	24,838			82,415			107,253
Included in other comprehensive income	—			—			—
Purchases	—			—			—
Issuances	—			—			—
Sales	—			—			—
Settlements	10,088			(7,655		)	2,433
Transfers in Level 3	—			—			—
Transfers out of Level 3	—			—			—
Balance, end of period	$	(103,021	)	$	(202,653	)	$	(305,674	)
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	$	24,838		$	40,671		$	65,509

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	)
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	—			—			—
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	)