Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value Measurements [Abstract]

Summary of carrying amount and fair value of Ambac's financial assets and liabilities

	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
							Level 1		Level 2			Level 3
June 30, 2012
Financial assets:
Fixed income securities:
Municipal obligations	$	1,935,583		$	1,935,583		$	—	$	1,935,583		$	—
Corporate obligations		1,102,695			1,102,695			—		1,099,229			3,466
Foreign obligations		68,842			68,842			—		68,842			—
U.S. government obligations		111,389			111,389			111,389		—			—
U.S. agency obligations		84,700			84,700			—		84,700			—
Residential mortgage-backed securities		1,274,524			1,274,524			—		1,274,524			—
Collateralized debt obligations		41,366			41,366			—		31,808			9,558
Other asset-backed securities		771,191			771,191			—		720,445			50,746
Short term investments		1,010,059			1,010,059			993,284		16,775			—
Other investments		100			100			—		—			100
Fixed income securities, pledged as collateral:
U.S. government obligations		285,838			285,838			285,838		—			—
Residential mortgage-backed securities		822			822			—		822			—
Cash		49,012			49,012			49,012		—			—
Restricted cash		2,500			2,500			2,500		—			—
Loans		10,153			8,353			—		—			8,353
Derivative assets:
Interest rate swaps—asset position		392,766			392,766			—		259,146			133,620
Interest rate swaps—liability position		(259,852	)		(259,852	)		—		(26	)		(259,826	)
Future contracts		—			—			—		—			—
Other assets		15,792			15,792			—		—			15,792
Variable interest entity assets:
Fixed income securities:
Corporate obligations		2,162,062			2,162,062			—		—			2,162,062
Restricted cash		2,276			2,276			2,276		—			—
Loans		14,446,047			14,425,077			—		186,804			14,238,273
Total financial assets	$	23,507,865		$	23,485,095		$	1,444,299	$	5,678,652		$	16,362,144
Financial liabilities:
Obligations under investment and repurchase agreements	$	443,116		$	443,428		$	—	$	—		$	443,428
Liabilities subject to compromise		1,622,189			306,778			—		306,778			—
Long term debt		144,036			680,054			—		—			680,054
Derivative liabilities:
Credit derivatives		211,617			211,617			—		—			211,617
Interest rate swaps—asset position		(582	)		(582	)		—		—			(582	)
Interest rate swaps—liability position		182,713			180,713			—		10,350			170,363
Future contracts		1,541			1,541			1,541		—			—
Currency swaps		569			569			—		569			—
Other contracts		182			182			—		182			—
Liabilities for net financial guarantees written		8,204,848			4,495,614			—		—			4,495,614
Variable interest entity liabilities:
Long-term debt		14,376,872			14,342,928			—		11,996,868			2,346,060
Derivative liabilities:
Interest rate swaps—liability position		1,978,737			1,978,737			—		1,978,737			—
Currency swaps—asset position		—			—			—		—			—
Currency swaps—liability position		85,072			85,072			—		85,072			—
Total financial liabilities	$	27,250,910		$	22,726,651		$	1,541	$	14,378,556		$	8,346,554

	Carrying Amount			Total Fair Value			Fair Value Measurements Categorized as:
							Level 1		Level 2			Level 3
December 31, 2011
Financial assets:
Fixed income securities:
Municipal obligations	$	2,002,999		$	2,002,999		$	—	$	2,002,999		$	—
Corporate obligations		1,127,500			1,127,500			—		1,119,570			7,930
Foreign obligations		94,795			94,795			—		94,795			—
U.S. government obligations		111,562			111,562			111,562		—			—
U.S. agency obligations		86,871			86,871			—		85,647			1,224
Residential mortgage-backed securities		1,412,517			1,412,517			—		1,412,517			—
Collateralized debt obligations		46,237			46,237			—		33,755			12,482
Other asset-backed securities		947,808			947,808			—		871,922			75,886
Short term investments		783,071			783,071			769,204		13,867			—
Other investments		100			100			—		—			100
Fixed income securities, pledged as collateral:
U.S. government obligations		260,802			260,802			260,802		—			—
Residential mortgage-backed securities		2,728			2,728			—		2,728			—
Cash		15,999			15,999			15,999		—			—
Restricted cash		2,500			2,500			2,500		—			—
Loans		18,996			16,934			—		—			16,934
Derivative assets:
Interest rate swaps—asset position		411,652			411,652			—		260,851			150,801
Interest rate swaps—liability position		(242,500	)		(242,500	)		—		(53	)		(242,447	)
Future contracts		—			—			—		—			—
Call options on long-term debt		6,055			6,055			—		—			6,055
Other assets		16,779			16,779			—		—			16,779
Variable interest entity assets:
Fixed income securities:
Corporate obligations		2,199,338			2,199,338			—		—			2,199,338
Restricted cash		2,140			2,140			2,140		—			—
Loans		14,329,515			14,309,134			—		182,140			14,126,994
Total financial assets	$	23,637,464		$	23,615,021		$	1,162,207	$	6,080,738		$	16,372,076
Financial liabilities:
Obligations under investment and repurchase agreements	$	546,546		$	549,043		$	—	$	—		$	549,043
Liabilities subject to compromise		1,622,189			112,233			—		112,233			—
Long term debt		223,601			562,043			—		—			562,043
Derivative liabilities:
Credit derivatives		190,653			190,653			—		—			190,653
Interest rate swaps—asset position		(30,859	)		(30,859	)		—		—			(30,859	)
Interest rate swaps—liability position		251,303			251,303			—		9,913			241,390
Futures contracts		627			627			627		—			—
Currency swaps		2,423			2,423			—		2,423			—
Other contracts		361			361			—		361			—
Liabilities for net financial guarantees written		7,547,288			2,642,795			—		—			2,642,795
Variable interest entity liabilities:
Long-term debt		14,288,540			14,255,452			—		12,320,810			1,934,642
Derivative liabilities:
Interest rate swaps—liability position		2,023,974			2,023,974			—		2,023,974			—
Currency swaps—asset position		(27,779	)		(27,779	)		—		(27,779	)		—
Currency swaps—liability position		90,857			90,857			—		90,857			—
Total financial liabilities	$	26,729,724		$	20,623,126		$	627	$	14,532,792		$	6,089,707

Information about the valuation inputs for fixed income securities classified as Level 3

Third party quotes represent the only input to the reported fair value of Level 2 fixed income securities. Information about the valuation inputs for fixed income securities classified as Level 3 is included below:

Corporate obligations: These securities represent interest only strips of investment grade corporate obligations. The fair value of such securities classified as Level 3 was $3,466 and $7,930 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with the discount rate determined from the yields of corporate bonds from the same issuers. During the second quarter of 2012, one fixed-rate investment-grade corporate obligation was transferred out of level 3 and into level 2. Significant inputs for the interest only strips valuation at June 30, 2012 and December 31, 2011 include the following weighted averages:

June 30, 2012

a. Coupon rate: 0.35%

b. Maturity: 21.89 years

c. Yield: 6.86%

December 31, 2011

a. Coupon rate: 0.60%

b. Maturity: 21.44 years

c. Yield: 7.20%

U.S. agency obligations: These notes are secured by separate lease rental agreements with the U.S. Government acting through the General Services Administration. There were no U.S. agency obligations classified as Level 3 at June 30, 2012. The fair value of such securities classified as Level 3 was $1,224 at December 31, 2011. Fair value was calculated using a discounted cash flow approach with the yield based on comparable U.S. agency securities. Significant inputs for the valuation at December 31, 2011 include the following weighted averages:

a. Coupon rate: 6.91%

b. Maturity: 1.33 years

c. Yield: 2.13%

Collateralized debt obligations (“CDO”): Securities are floating rate senior notes with the underlying securities of the CDO consist of subordinated bank perpetual preferred securities. The fair value of such securities classified as Level 3 was $9,558 and $12,482 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages:

June 30, 2012

a. Coupon rate: 1.13%

b. Maturity: 1.44 years

c. Yield: 10.39%

December 31, 2011

a. Coupon rate: 0.86%

b. Maturity: 1.55 years

c. Yield: 11.79%

Other asset-backed securities: These securities are floating rate investment grade notes collateralized by various asset types. The fair value of such securities classified as Level 3 was $50,746 and $75,886 at June 30, 2012 and December 31, 2011, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield curve consistent with the security type and rating. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages:

June 30, 2012

a. Coupon rate: 0.87%

b. Maturity: 8.18 years

c. Yield: 7.50%

December 31, 2011

a. Coupon rate: 1.41%

b. Maturity: 3.00 years

c. Yield: 4.50%

European ABS transactions: The fair value of such obligations classified as Level 3 was $2,346,060 and $1,934,642 at June 30, 2012 and December 31, 2011, respectively. Fair values were calculated by using a discounted cash flow approach. The discount rates used were based on the rates implied from the third party quoted values (Level 2) for comparable notes from the same securitization. Significant inputs for the valuation at June 30, 2012 and December 31, 2011 include the following weighted averages:

June 30, 2012

a. Coupon rate: 1.59%

b. Maturity: 9.77 years

c. Yield: 4.04%

December 31, 2011

a. Coupon rate: 1.56%

b. Maturity: 11.99 years

c. Yield: 3.90%

Summary of information about the described model inputs used to determine the fair value of each class of credit derivative

As of June 30, 2012
	CLOs			Other(1)
Notional outstanding	$	7,586,414		$	3,681,319
Weighted average reference obligation price		94.6			84.6
Weighted average life (WAL) in years		2.3			4.7
Weighted average credit rating		AA-			A
Weighted average relative change ratio		34.4	%		38.3	%
CVA percentage		65	%		65	%
Fair value of derivative liabilities	$	(51,166	)	$	(105,411	)

As of December 31, 2011
	CLOs			Other(1)
Notional outstanding	$	8,228,577		$	4,099,766
Weighted average reference obligation price		92.5			84.3
Weighted average life (WAL) in years		2.7			4.7
Weighted average credit rating		AA-			A
Weighted average relative change ratio		34.4	%		38.5	%
CVA percentage		75	%		75	%
Fair value of derivative liabilities	$	(54,320	)	$	(86,526	)

(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 $1,616,683, WAL of 8.4 years and liability fair value of ($55,040) as of June 30, 2012. Other inputs to the valuation of these transactions at June 30, 2012 include weighted average quotes of 10% of notional, weighted average rating of A and Ambac CVA percentage of 65%. As of December 31, 2011, these contracts had a combined notional outstanding of $1,838,269, WAL of 9.0 years and liability fair value of ($49,807). Other inputs to the valuation of these transactions at December 31, 2011 include weighted average quotes of 11% of notional, weighted average rating of A+ and Ambac CVA percentage of 75%.

Summary of changes in the Level 3 fair value category

Level-3 financial assets and liabilities accounted for at fair value

										VIE Assets and Liabilities
Three months ended June 30, 2012	Investments			Other assets			Derivatives			Investments			Loans			Derivatives		Long-term debt			Total
Balance, beginning of period	$	161,450		$	16,023		$	(355,616	)	$	2,184,665		$	14,460,077			—	$	(2,786,644	)	$	13,679,955
Additions of VIEs consolidated		—			—			—			—			—			—		—			—
Total gains/(losses) realized and unrealized:
Included in earnings		88			(231	)		(81,290	)		20,103			131,807			—		21,235			91,712
Included in other comprehensive income		(1,588	)		—			—			(42,706	)		(267,190	)		—		54,510			(256,974	)
Purchases		—			—			—			—			—			—		—			—
Issuances		—			—			—			—			—			—		—			—
Sales		—			—			—			—			—			—		—			—
Settlements		(89,879	)		—			(70,698	)		—			(86,421	)		—		19,863			(227,135	)
Transfers in Level 3		—			—			—			—			—			—		(312,083	)		(312,083	)
Transfers out of Level 3		(6,301	)		—			—			—			—			—		657,059			650,758
Deconsolidation of VIEs		—			—			—			—			—			—		—			—
Balance, end of period	$	63,770		$	15,792		$	(507,604	)	$	2,162,062		$	14,238,273		$	—	$	(2,346,060	)	$	13,626,233
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	$	—		$	(231	)	$	(118,474	)	$	20,103		$	131,807		$	—	$	21,235		$	54,440

										VIE Assets and Liabilities
Six months ended June 30, 2012	Investments			Other assets			Derivatives			Investments			Loans			Derivatives		Long-term debt			Total
Balance, beginning of period	$	97,522		$	16,779		$	(486,775	)	$	2,199,338		$	14,126,994			—	$	(1,934,642	)	$	14,019,216
Additions of VIEs consolidated		—			—			—			—			—			—		—			—
Total gains/(losses) realized and unrealized:																	—
Included in earnings		40			(987	)		41,037			(62,713	)		298,472			—		(115,328	)		160,521
Included in other comprehensive income		6,225			—			—			25,437			148,667			—		(8,695	)		171,634
Purchases		—			—			—			—			—			—		—			—
Issuances		—			—			—			—			—			—		—			—
Sales		—			—			—			—			—			—		—			—
Settlements		(92,621	)		—			(61,866	)		—			(335,860	)		—		32,893			(457,454	)
Transfers in Level 3		58,905			—			—			—			—			—		(977,347	)		(918,442	)
Transfers out of Level 3		(6,301	)		—			—			—			—			—		657,059			650,758
Deconsolidation of VIEs		—			—			—			—			—			—		—			—
Balance, end of period	$	63,770		$	15,792		$	(507,604	)	$	2,162,062		$	14,238,273		$	—	$	(2,346,060	)	$	13,626,233
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	$	—		$	(987	)	$	(72,910	)	$	(62,713	)	$	298,953		$	—	$	(115,328	)	$	47,015

Level-3 financial assets and liabilities accounted for at fair value

										VIE Assets and Liabilities
Three months ended June 30, 2011	Investments			Other assets			Derivatives			Investments		Loans			Derivatives		Long-term debt			Total
Balance, beginning of period	$	200,076		$	19,005		$	(189,614	)	$	1,929,691	$	14,086,858		$	—	$	(1,872,694	)	$	14,173,322
Additions of VIEs consolidated		—			—			—			—		—			—		(350,624	)		(350,624	)
Total gains/(losses) realized and unrealized:
Included in earnings		(3,321	)		(554	)		(47,923	)		93,433		402,698			—		(121,798	)		322,535
Included in other comprehensive income		4,686			—			—			389		5,765			—		(494	)		10,346
Purchases		—			—			—			—		—			—		—			—
Issuances		—			—			—			—		—			—		—			—
Sales		(16,600	)		—			—			—		—			—		—			(16,600	)
Settlements		(1,408	)		—			(24,750	)		—		(52,409	)		—		17,331			(61,236	)
Transfers in Level 3		—			—			—			—		—			—		(206,015	)		(206,015	)
Transfers out of Level 3		—			—			—			—		—			—		223,322			223,322
Deconsolidation of VIEs		—			—			—			—		—			—		—			—
Balance, end of period	$	183,433		$	18,451		$	(262,287	)	$	2,023,513	$	14,442,912		$	—	$	(2,310,972	)	$	14,095,050
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	$	—		$	(554	)	$	(61,643	)	$	93,433	$	402,698		$	—	$	(121,798	)	$	312,136

									VIE Assets and Liabilities
Six months ended June 30, 2011	Investments			Other assets		Derivatives			Investments		Loans			Derivatives			Long-term debt			Total
Balance, beginning of period	$	199,172		$	17,909	$	(195,934	)	$	1,904,361	$	15,800,918		$	4,511		$	(1,856,366	)	$	15,874,571
Additions of VIEs consolidated		—			—		—			—		—			—			(350,624	)		(350,624	)
Total gains/(losses) realized and unrealized:
Included in earnings		(3,371	)		542		(30,278	)		64,589		355,316			(4,511	)		(102,927	)		279,360
Included in other comprehensive income		7,909			—		—			54,563		440,520			—			(52,691	)		450,301
Purchases		—			—		—			—		—			—			—			—
Issuances		—			—		—			—		—			—			—			—
Sales		(16,600	)		—		—			—		—			—			—			(16,600	)
Settlements		(3,677	)		—		(36,075	)		—		(258,875	)		—			27,348			(271,279	)
Transfers in Level 3		—			—		—			—		—			—			(256,140	)		(256,140	)
Transfers out of Level 3		—			—		—			—		—			—			280,428			280,428
Deconsolidation of VIEs		—			—		—			—		(1,894,967	)		—			—			(1,894,967	)
Balance, end of period	$	183,433		$	18,451	$	(262,287	)	$	2,023,513	$	14,442,912		$	—		$	(2,310,972	)	$	14,095,050
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	$	—		$	542	$	(48,301	)	$	64,589	$	355,316		$	(4,511	)	$	(102,927	)	$	264,708

Level 3 – Investments by class

Three months ended June 30, 2012	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	9,839		$	137,026		$	13,367		$	1,218		$	161,450
Additions of VIEs consolidated		—			—			—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings		—			—			90			(2	)		88
Included in other comprehensive income		190			(1,696	)		(79	)		(3	)		(1,588	)
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		—			—			—			—			—
Settlements		(471	)		(84,584	)		(4,075	)		(749	)		(89,879	)
Transfers in Level 3		—			—			—			—			—
Transfers out of Level 3		—			—			(5,837	)		(464	)		(6,301	)
Balance, end of period	$	9,558		$	50,746		$	3,466		$	—		$	63,770
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	$	—		$	—		$	—		$	—		$	—

Six months ended June 30, 2012	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	12,482		$	75,886		$	7,930		$	1,224		$	97,522
Additions of VIEs consolidated		—			—			—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings		(2	)		—			44			(2	)		40
Included in other comprehensive income		291			6,376			(433	)		(9	)		6,225
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		—			—			—			—			—
Settlements		(3,213	)		(84,584	)		(4,075	)		(749	)		(92,621	)
Transfers in Level 3		—			53,068			5,837			—			58,905
Transfers out of Level 3		—			—			(5,837	)		(464	)		(6,301	)
Balance, end of period	$	9,558		$	50,746		$	3,466		$	—		$	63,770
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

Three months ended June 30, 2011	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	30,027		$	160,927		$	7,936		$	1,186		$	200,076
Total gains/(losses) realized and unrealized:
Included in earnings		(3,276	)		—			(43	)		(2	)		(3,321	)
Included in other comprehensive income		5,001			(403	)		75			13			4,686
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		(16,600	)		—			—			—			(16,600	)
Settlements		(439	)		(756	)		—			(213	)		(1,408	)
Transfers in Level 3		—			—			—			—			—
Transfers out of Level 3		—			—			—			—			—
Deconsolidation of VIEs		—			—			—			—			—
Balance, end of period	$	14,713		$	159,768		$	7,968		$	984		$	183,433
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	$	—		$	—		$	—		$	—		$	—

Six months ended June 30, 2011	Collateralized Debt Obligations			Other Asset Backed Securities			Corporate Obligations			U.S. Agency Obligations			Total Investments
Balance, beginning of period	$	30,433		$	159,473		$	8,069		$	1,197		$	199,172
Total gains/(losses) realized and unrealized:
Included in earnings		(3,282	)		—			(86	)		(3	)		(3,371	)
Included in other comprehensive income		6,134			1,787			(15	)		3			7,909
Purchases		—			—			—			—			—
Issuances		—			—			—			—			—
Sales		(16,600	)		—			—			—			(16,600	)
Settlements		(1,972	)		(1,492	)		—			(213	)		(3,677	)
Transfers in Level 3		—			—			—			—			—
Transfers out of Level 3		—			—			—			—			—
Deconsolidation of VIEs		—			—			—			—			—
Balance, end of period	$	14,713		$	159,768		$	7,968		$	984		$	183,433
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, 2012	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt			Total Derivatives
Balance, beginning of period	$	(222,222	)	$	(201,129	)	$	67,735		$	(355,616	)
Additions of VIEs for consolidated		—			—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings		(112,904	)		(7,416	)		39,030			(81,290	)
Included in other comprehensive income		—			—			—			—
Purchases		—			—			—			—
Issuances		—			—			—			—
Sales		—			—			—			—
Settlements		39,139			(3,072	)		(106,765	)		(70,698	)
Transfers in Level 3		—			—			—			—
Transfers out of Level 3		—			—			—			—
Deconsolidation of VIEs		—			—			—			—
Balance, end of period	$	(295,987	)	$	(211,617	)	$	—		$	(507,604	)
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	$	(107,861	)	$	(10,613	)	$	—		$	(118,474	)

Six months ended June 30, 2012	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt			Total Derivatives
Balance, beginning of period	$	(302,177	)	$	(190,653	)	$	6,055		$	(486,775	)
Additions of VIEs consolidated		—			—			—			—
Total gains/(losses) realized and unrealized:
Included in earnings		(45,035	)		(14,638	)		100,710			41,037
Included in other comprehensive income		—			—			—			—
Purchases		—			—			—			—
Issuances		—			—			—			—
Sales		—			—			—			—
Settlements		51,225			(6,326	)		(106,765	)		(61,866	)
Transfers in Level 3		—			—			—			—
Transfers out of Level 3		—			—			—			—
Deconsolidation of VIEs		—			—			—			—
Balance, end of period	$	(295,987	)	$	(211,617	)	$	—		$	(507,604	)
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	$	(46,263	)	$	(26,647	)	$	—		$	(72,910	)

Three months ended June 30, 2011	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt		Total Derivatives
Balance, beginning of period	$	29,571		$	(235,910	)	$	16,725	$	(189,614	)
Additions of VIEs consolidated		—			—			—		—
Total gains/(losses) realized and unrealized:
Included in earnings		(76,255	)		24,287			4,045		(47,923	)
Included in other comprehensive income		—			—			—		—
Purchases		—			—			—		—
Issuances		—			—			—		—
Sales		—			—			—		—
Settlements		(20,526	)		(4,224	)		—		(24,750	)
Transfers in Level 3		—			—			—		—
Transfers out of Level 3		—			—			—		—
Deconsolidation of VIEs		—			—			—		—
Balance, end of period	$	(67,210	)	$	(215,847	)	$	20,770	$	(262,287	)
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	$	(83,407	)	$	17,719		$	4,045	$	(61,643	)
Six months ended June 30, 2011	Interest Rate Swaps			Credit Derivatives			Call Options on Long-term debt		Total Derivatives
Balance, beginning of period	$	25,750		$	(221,684	)	$	—	$	(195,934	)
Additions of VIEs consolidated		—			—			—		—
Total gains/(losses) realized and unrealized:
Included in earnings		(66,432	)		15,384			20,770		(30,278	)
Included in other comprehensive income		—			—			—		—
Purchases		—			—			—		—
Issuances		—			—			—		—
Sales		—			—			—		—
Settlements		(26,528	)		(9,547	)		—		(36,075	)
Transfers in Level 3		—			—			—		—
Transfers out of Level 3		—			—			—		—
Deconsolidation of VIEs		—			—			—		—
Balance, end of period	$	(67,210	)	$	(215,847	)	$	20,770	$	(262,287	)
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	$	(69,607	)	$	536		$	20,770	$	(48,301	)

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 three and six months ended June 30, 2012 and 2011 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
Three months ended June 30, 2012
Total gains or losses included in earnings for the period	$	88		$	3,072	$	(10,489	)	$	(112,904	)	$	173,145	$	38,799
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		(10,613	)		(107,861	)		173,145		(231	)
Six months ended June 30, 2012
Total gains or losses included in earnings for the period	$	40		$	6,326	$	(20,964	)	$	(45,035	)	$	120,431	$	99,723
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		(26,647	)		(46,263	)		120,912		(987	)
Three months ended June 30, 2011
Total gains or losses included in earnings for the period	$	(3,321	)	$	4,224	$	20,063		$	(76,255	)	$	374,333	$	3,491
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		17,719			(83,407	)		374,333		3,491
Six months ended June 30, 2011
Total gains or losses included in earnings for the period	$	(3,371	)	$	9,547	$	5,837		$	(66,432	)	$	312,467	$	21,312
Changes in unrealized gains or losses relating to the assets and liabilities still held at the reporting date		—			—		536			(69,607	)		312,467		21,312