XML 45 R32.htm IDEA: XBRL DOCUMENT v3.2.0.727
DERIVATIVES AND HEDGE ACCOUNTING (Tables)
 6 Months Ended
Jun. 30, 2015
DERIVATIVES AND HEDGE ACCOUNTING  
Notional amounts and fair values of derivative instruments
June 30, 2015December 31, 2014
Gross Derivative AssetsGross Derivative LiabilitiesGross Derivative AssetsGross Derivative Liabilities
NotionalFairNotionalFairNotionalFairNotionalFair
(in millions)AmountValueAmountValueAmountValueAmountValue
Derivatives designated as
hedging instruments:(a)
Interest rate contracts$604$1$269$1$155$-$25$2
Foreign exchange contracts1,3841261,81995611251,794239
Equity contracts19210817110413
Derivatives not designated
as hedging instruments:(a)
Interest rate contracts62,0483,20848,2372,49765,0703,74345,2513,183
Foreign exchange contracts6,94454913,2161,14413,6678158,5161,251
Equity contracts(b)7,40915645,2981,3287,56520642,3871,615
Commodity contracts13-12615-116
Credit contracts(c)541,373555545,288982
Other contracts(d)36,177302914836,1553153890
Total derivatives, gross$114,603$4,076$110,623$5,675$123,250$4,825$103,914$7,381
Counterparty netting(e)(1,594)(1,594)(2,102)(2,102)
Cash collateral(f)(1,226)(1,276)(1,119)(1,429)
Total derivatives, net1,2562,8051,6043,850
Less: Bifurcated embedded derivatives-1,259-1,577
Total derivatives on condensed
consolidated balance sheets$1,256$1,546$1,604$2,273

(a) Fair value amounts are shown before the effects of counterparty netting adjustments and offsetting cash collateral.

(b) Notional amount of derivative assets and fair value of derivative assets were zero at both June 30, 2015 and December 31, 2014, related to bifurcated embedded derivatives. Notional amount of derivative liabilities and fair value of derivative liabilities include $41.9 billion and $1.2 billion, respectively, at June 30, 2015, and $39.3 billion and $1.5 billion, respectively, at December 31, 2014, related to bifurcated embedded derivatives. A bifurcated embedded derivative is generally presented with the host contract in the Condensed Consolidated Balance Sheets.

(c) As of June 30, 2015 and December 31, 2014, includes super senior multi-sector CDOs with a net notional amount of $1.2 billion and $2.6 billion (fair value liability of $526 million and $947 million), respectively. The expected weighted average maturity as of June 30, 2015 is six years. Because of long-term maturities of the credit default swaps (CDSs) in the portfolio, we are unable to make reasonable estimates of the periods during which any payments would be made. However, the net notional amount represents the maximum exposure to loss on the portfolio. As of June 30, 2015, there were no super senior corporate debt/CLOs remaining. As of December 31, 2014, includes super senior corporate debt/CLOs with a net notional amount of $2.5 billion (fair value liability of $7 million).

(d) Consists primarily of contracts with multiple underlying exposures.

(e) Represents netting of derivative exposures covered by a qualifying master netting agreement.

(f) Represents cash collateral posted and received that is eligible for netting.
Gain (loss) recognized in earnings on AIG's derivative instruments in fair value hedging relationships in the Consolidated Statements of Income
Gains/(Losses) Recognized in Earnings for:Including Gains/(Losses) Attributable to:
HedgingHedgedHedgeExcluded
(in millions)Derivatives(a)ItemsIneffectivenessComponentsOther(b)
Three Months Ended June 30, 2015
Interest rate contracts:
Realized capital gains/(losses)$-$-$-$-$-
Interest credited to policyholder
account balances-----
Other income-2--2
Gain/(Loss) on extinguishment of debt-----
Foreign exchange contracts:
Realized capital gains/(losses)(60)73-13-
Interest credited to policyholder
account balances-----
Other income-4--4
Gain/(Loss) on extinguishment of debt-1--1
Equity contracts:
Realized capital gains/(losses)(13)13---
Three Months Ended June 30, 2014
Interest rate contracts:
Realized capital gains/(losses)$-$-$-$-$-
Interest credited to policyholder
account balances-----
Other income-10--10
Gain/(Loss) on extinguishment of debt-----
Foreign exchange contracts:
Realized capital gains/(losses)32(27)-(4)9
Interest credited to policyholder
account balances-(1)--(1)
Other income-----
Gain/(Loss) on extinguishment of debt-----
Equity contracts
Realized capital gains/(losses)(15)15---

Six Months Ended June 30, 2015
Interest rate contracts:
Realized capital gains/(losses)$1$(1)$-$-$-
Interest credited to policyholder
account balances-----
Other income-5--5
Gain/(Loss) on extinguishment of debt-13--13
Foreign exchange contracts:
Realized capital gains/(losses)72(56)-133
Interest credited to policyholder
account balances-(1)--(1)
Other income-10--10
Gain/(Loss) on extinguishment of debt-17--17
Equity contracts:
Realized capital gains/(losses)(19)18-(1)-
Six Months Ended June 30, 2014
Interest rate contracts:
Realized capital gains/(losses)$1$(2)$-$-$(1)
Interest credited to policyholder
account balances-(1)--(1)
Other income-28--28
Gain/(Loss) on extinguishment of debt-50--50
Foreign exchange contracts:
Realized capital gains/(losses)56(59)-(12)9
Interest credited to policyholder
account balances-(1)--(1)
Other income-----
Gain/(Loss) on extinguishment of debt-----
Equity contracts
Realized capital gains/(losses)(14)14---

(a) The amounts presented do not include the periodic net coupon settlements of the derivative contract or the coupon income (expense) related to the hedged item.

(b) Represents accretion/amortization of opening fair value of the hedged item at inception of hedge relationship, amortization of basis adjustment on hedged item following the discontinuation of hedge accounting, and the release of debt basis adjustment following the repurchase of issued debt that was part of previously-discontinued fair value hedge relationship.
Effect of AIG's derivative instruments not designated as hedging instruments in the Consolidated Statements of Income
Gains (Losses) Recognized in Earnings
Three Months EndedSix Months Ended
June 30,June 30,
(in millions)2015201420152014
By Derivative Type:
Interest rate contracts$(428)$49$(67)$187
Foreign exchange contracts(52)3727023
Equity contracts*8153547(425)
Commodity contracts--(1)1
Credit contracts1375160154
Other contracts(34)23(11)39
Total$314$187$898$(21)
By Classification:
Policy fees$20$16$39$31
Net investment income(13)(3)14(4)
Net realized capital gains (losses)30582476(194)
Other income889370138
Policyholder benefits and claims incurred(6)3(1)8
Total$314$187$898$(21)

* Includes embedded derivative gains of $847 million and $669 million for the three- and six-month periods ended June 30, 2015, respectively, and embedded derivative gains (losses) of $40 million and $(356) million for the three- and six-month periods ended June 30, 2014, respectively.