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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2013
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

 

   
June 30, 2013
(in millions)
   Level 1
   Level 2
   Level 3
   Counterparty
Netting(a)
   Cash
Collateral(b)
   Total
  
   

Assets:

                                      

Bonds available for sale:

                                      

U.S. government and government sponsored entities

   $ 266   $ 3,264   $ –   $ –   $ –   $ 3,530  

Obligations of states, municipalities and political subdivisions

     –     31,783     945     –     –     32,728  

Non-U.S. governments

     562     23,047     20     –     –     23,629  

Corporate debt

     –     142,323     1,634     –     –     143,957  

RMBS

     –     23,288     13,694     –     –     36,982  

CMBS

     –     5,226     5,455     –     –     10,681  

CDO/ABS

     –     3,580     6,142     –     –     9,722
   

Total bonds available for sale

     828     232,511     27,890     –     –     261,229
   

Bond trading securities:

                                      

U.S. government and government sponsored entities

     164     5,897     –     –     –     6,061  

Obligations of states, municipalities and political subdivisions

     –     181     –     –     –     181  

Non-U.S. governments

     –     2     –     –     –     2  

Corporate debt

     –     1,098     –     –     –     1,098  

RMBS

     –     1,404     782     –     –     2,186  

CMBS

     –     881     820     –     –     1,701  

CDO/ABS

     –     3,588     8,972     –     –     12,560
   

Total bond trading securities

     164     13,051     10,574     –     –     23,789
   

Equity securities available for sale:

                                      

Common stock

     2,817     –     76     –     –     2,893  

Preferred stock

     –     33     48     –     –     81  

Mutual funds

     170     9     –     –     –     179
   

Total equity securities available for sale

     2,987     42     124     –     –     3,153
   

Equity securities trading

     676     82     –     –     –     758  

Mortgage and other loans receivable

     –     59     –     –     –     59  

Other invested assets

     11     2,221     5,639     –     –     7,871  

Derivative assets:

                                      

Interest rate contracts

     8     4,109     961     –     –     5,078  

Foreign exchange contracts

     –     117     –     –     –     117  

Equity contracts

     137     55     73     –     –     265  

Commodity contracts

     –     123     1     –     –     124  

Credit contracts

     –     –     56     –     –     56  

Other contracts

     –     1     36     –     –     37  

Counterparty netting and cash collateral

     –     –     –     (2,011 )   (861 )   (2,872 )
   

Total derivative assets

     145     4,405     1,127     (2,011 )   (861 )   2,805
   

Short-term investments

     215     5,884     –     –     –     6,099  

Separate account assets

     58,796     2,963     –     –     –     61,759  

Other assets

     –     582     –     –     –     582
   

Total

   $ 63,822   $ 261,800   $ 45,354   $ (2,011 ) $ (861 ) $ 368,104
   

Liabilities:

                                      

Policyholder contract deposits

   $ –   $ –   $ 586   $ –   $ –   $ 586  

Derivative liabilities:

                                      

Interest rate contracts

     –     4,359     182     –     –     4,541  

Foreign exchange contracts

     –     155     –     –     –     155  

Equity contracts

     –     104     3     –     –     107  

Commodity contracts

     –     127     –     –     –     127  

Credit contracts

     –     –     1,650     –     –     1,650  

Other contracts

     –     26     141     –     –     167  

Counterparty netting and cash collateral

     –     –     –     (2,011 )   (1,612 )   (3,623 )
   

Total derivative liabilities

     –     4,771     1,976     (2,011 )   (1,612 )   3,124
   

Long-term debt

     –     6,594     419     –     –     7,013  

Other liabilities

     116     751     –     –     –     867
   

Total

   $ 116   $ 12,116   $ 2,981   $ (2,011 ) $ (1,612 ) $ 11,590
   

 

   
December 31, 2012
(in millions)
   Level 1
   Level 2
   Level 3
   Counterparty
Netting(a)
   Cash
Collateral(b)
   Total
  
   

Assets:

                                      

Bonds available for sale:

                                      

U.S. government and government sponsored entities

   $ –   $ 3,483   $ –   $ –   $ –   $ 3,483  

Obligations of states, municipalities and political subdivisions

     –     34,681     1,024     –     –     35,705  

Non-U.S. governments

     1,004     25,782     14     –     –     26,800  

Corporate debt

     –     149,625     1,487     –     –     151,112  

RMBS

     –     22,730     11,662     –     –     34,392  

CMBS

     –     5,010     4,905     –     –     9,915  

CDO/ABS

     –     3,492     5,060     –     –     8,552
   

Total bonds available for sale

     1,004     244,803     24,152     –     –     269,959
   

Bond trading securities:

                                      

U.S. government and government sponsored entities

     266     6,528     –     –     –     6,794  

Non-U.S. governments

     –     2     –     –     –     2  

Corporate debt

     –     1,320     –     –     –     1,320  

RMBS

     –     1,331     396     –     –     1,727  

CMBS

     –     1,424     803     –     –     2,227  

CDO/ABS

     –     3,969     8,545     –     –     12,514
   

Total bond trading securities

     266     14,574     9,744     –     –     24,584
   

Equity securities available for sale:

                                      

Common stock

     3,002     3     24     –     –     3,029  

Preferred stock

     –     34     44     –     –     78  

Mutual funds

     83     22     –     –     –     105
   

Total equity securities available for sale

     3,085     59     68     –     –     3,212
   

Equity securities trading

     578     84     –     –     –     662  

Mortgage and other loans receivable

     –     134     –     –     –     134  

Other invested assets

     125     1,542     5,389     –     –     7,056  

Derivative assets:

                                      

Interest rate contracts

     2     5,521     956     –     –     6,479  

Foreign exchange contracts

     –     104     –     –     –     104  

Equity contracts

     104     63     54     –     –     221  

Commodity contracts

     –     144     1     –     –     145  

Credit contracts

     –     –     60     –     –     60  

Other contracts

     –     –     38     –     –     38  

Counterparty netting and cash collateral

     –     –     –     (2,467 )   (909 )   (3,376 )
   

Total derivative assets

     106     5,832     1,109     (2,467 )   (909 )   3,671
   

Short-term investments

     285     7,771     –     –     –     8,056  

Separate account assets

     54,430     2,907     –     –     –     57,337  

Other assets

     –     696     –     –     –     696
   

Total

   $ 59,879   $ 278,402   $ 40,462   $ (2,467 ) $ (909 ) $ 375,367
   

Liabilities:

                                      

Policyholder contract deposits

   $ –   $ –   $ 1,257   $ –   $ –   $ 1,257  

Derivative liabilities:

                                      

Interest rate contracts

     –     5,582     224     –     –     5,806  

Foreign exchange contracts

     –     174     –     –     –     174  

Equity contracts

     –     114     7     –     –     121  

Commodity contracts

     –     146     –     –     –     146  

Credit contracts

     –     –     2,051     –     –     2,051  

Other contracts

     –     6     200     –     –     206  

Counterparty netting and cash collateral

     –     –     –     (2,467 )   (1,976 )   (4,443 )
   

Total derivative liabilities

     –     6,022     2,482     (2,467 )   (1,976 )   4,061
   

Long-term debt

     –     7,711     344     –     –     8,055  

Other liabilities

     30     1,050     –     –     –     1,080
   

Total

   $ 30   $ 14,783   $ 4,083   $ (2,467 ) $ (1,976 ) $ 14,453
   

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

(b)  Represents cash collateral posted and received. Securities collateral posted for derivative transactions that is reflected in Fixed maturity securities in the Condensed Consolidated Balance Sheets, and collateral received, not reflected in the Condensed Consolidated Balance Sheets, was $1.4 billion and $143 million, respectively, at June 30, 2013 and $1.9 billion and $299 million, respectively, at December 31, 2012.
Changes in Level 3 recurring fair value measurements

 

   
(in millions)
   Fair Value
Beginning
of Period(a)
   Net
Realized and
Unrealized
Gains (Losses)
Included
in Income
   Other
Comprehensive
Income (Loss)
   Purchases,
Sales,
Issues and
Settlements, Net
   Gross
Transfers
in
   Gross
Transfers
out
   Fair Value
End
of Period
   Changes in
Unrealized Gains
(Losses) Included
in Income on
Instruments Held
at End of Period
  
   

Three Months Ended June 30, 2013

                                                  

Assets:

                                                  

Bonds available for sale:

                                                  

Obligations of states, municipalities and political subdivisions

   $ 1,019   $ 24   $ (145 ) $ 69   $ –   $ (22 ) $ 945   $ –  

Non-U.S. governments

     18     (1 )   –     4     –     (1 )   20     –  

Corporate debt

     1,449     –     (20 )   8     256     (59 )   1,634     –  

RMBS

     12,096     204     (144 )   1,529     9     –     13,694     –  

CMBS

     5,315     –     (121 )   263     7     (9 )   5,455     –  

CDO/ABS

     5,577     72     (76 )   381     198     (10 )   6,142     –
   

Total bonds available for sale

     25,474     299     (506 )   2,254     470     (101 )   27,890     –
   

Bond trading securities:

                                                  

RMBS

     730     (12 )   –     64     –     –     782     (12 )

CMBS

     776     (1 )   –     (41 )   93     (7 )   820     (16 )

CDO/ABS

     8,842     569     –     (572 )   133     –     8,972     336
   

Total bond trading securities

     10,348     556     –     (549 )   226     (7 )   10,574     308
   

Equity securities available for sale:

                                                  

Common stock

     22     (9 )   6     57     –     –     76     –  

Preferred stock

     49     –     (1 )   –     –     –     48     –
   

Total equity securities available for sale

     71     (9 )   5     57     –     –     124     –
   

Other invested assets

     5,467     108     23     42     218     (219 )   5,639     –
   

Total

   $ 41,360   $ 954   $ (478 ) $ 1,804   $ 914   $ (327 ) $ 44,227   $ 308
   

Liabilities:

                                                  

Policyholder contract deposits

   $ (1,047 ) $ 410   $ –   $ 51   $ –   $ –   $ (586 ) $ 637  

Derivative liabilities, net:

                                                  

Interest rate contracts

     756     3     –     20     –     –     779     (7 )

Equity contracts

     66     8     –     (6 )   2     –     70     (15 )

Commodity contracts

     1     –     –     –     –     –     1     –  

Credit contracts

     (1,775 )   138     –     43     –     –     (1,594 )   (181 )

Other contracts

     (139 )   13     8     13     –     –     (105 )   10
   

Total derivative liabilities, net

     (1,091 )   162     8     70     2     –     (849 )   (193 )
   

Long-term debt(b)

     (407 )   (15 )   –     3     –     –     (419 )   13
   

Total

   $ (2,545 ) $ 557   $ 8   $ 124   $ 2   $ –   $ (1,854 ) $ 457
   

 

   
(in millions)
   Fair Value
Beginning
of Period(a)
   Net
Realized and
Unrealized
Gains (Losses)
Included
in Income
   Other
Comprehensive
Income (Loss)
   Purchases,
Sales,
Issues and
Settlements, Net
   Gross
Transfers
in
   Gross
Transfers
out
   Fair Value
End
of Period
   Changes in
Unrealized Gains
(Losses) Included
in Income on
Instruments Held
at End of Period
  
   

Six Months Ended June 30, 2013

                                                  

Assets:

                                                  

Bonds available for sale:

                                                  

Obligations of states, municipalities and political subdivisions

   $ 1,024   $ 25   $ (150 ) $ 205   $ –   $ (159 ) $ 945   $ –  

Non-U.S. governments

     14     –     –     6     1     (1 )   20     –  

Corporate debt

     1,487     (4 )   (14 )   30     332     (197 )   1,634     –  

RMBS

     11,662     408     339     1,266     19     –     13,694     –  

CMBS

     5,124     11     20     188     161     (49 )   5,455     –  

CDO/ABS

     4,841     97     –     1,020     379     (195 )   6,142     –
   

Total bonds available for sale

     24,152     537     195     2,715     892     (601 )   27,890     –
   

Bond trading securities:

                                                  

RMBS

     396     10     –     138     238     –     782     (40 )

CMBS

     812     11     –     (140 )   251     (114 )   820     (42 )

CDO/ABS

     8,536     853     –     (1,009 )   620     (28 )   8,972     217
   

Total bond trading securities

     9,744     874     –     (1,011 )   1,109     (142 )   10,574     135
   

Equity securities available for sale:

                                                  

Common stock

     24     –     5     47     –     –     76     –  

Preferred stock

     44     –     4     –     –     –     48     –
   

Total equity securities available for sale

     68     –     9     47     –     –     124     –
   

Other invested assets

     5,389     169     10     40     344     (313 )   5,639     –
   

Total

   $ 39,353   $ 1,580   $ 214   $ 1,791   $ 2,345   $ (1,056 ) $ 44,227   $ 135
   

Liabilities:

                                                  

Policyholder contract deposits

   $ (1,257 ) $ 615   $ –   $ 56   $ –   $ –   $ (586 ) $ 664  

Derivative liabilities, net:

                                                  

Interest rate contracts

     732     14     –     33     –     –     779     (9 )

Equity contracts

     47     36     –     (14 )   1     –     70     (27 )

Commodity contracts

     1     –     –     (1 )   –     1     1     1  

Credit contracts

     (1,991 )   313     –     84     –     –     (1,594 )   (396 )

Other contracts

     (162 )   21     8     30     (2 )   –     (105 )   23
   

Total derivative liabilities, net

     (1,373 )   384     8     132     (1 )   1     (849 )   (408 )
   

Long-term debt(b)

     (344 )   (95 )   –     22     (2 )   –     (419 )   22
   

Total

   $ (2,974 ) $ 904   $ 8   $ 210   $ (3 ) $ 1   $ (1,854 ) $ 278
   

 

   
(in millions)
   Fair Value
Beginning
of Period(a)
   Net
Realized and
Unrealized
Gains (Losses)
Included
in Income
   Other
Comprehensive
Income (Loss)
   Purchases,
Sales,
Issues and
Settlements, Net
   Gross
Transfers
In
   Gross
Transfers
Out
   Fair Value
End
of Period
   Changes in
Unrealized Gains
(Losses) Included
in Income on
Instruments Held
at End of Period
  
   

Three Months Ended June 30, 2012

                                                  

Assets:

                                                  

Bonds available for sale:

                                                  

Obligations of states, municipalities

                                                  

and political subdivisions

   $ 1,054   $ 31   $ (5 ) $ (63 ) $ 45   $ (49 ) $ 1,013   $ –  

Non-U.S. governments

     15     –     (7 )   –     5     –     13     –  

Corporate debt

     1,323     (1 )   (7 )   5     55     (69 )   1,306     –  

RMBS

     13,240     195     10     (616 )   7     (2,348 )   10,488     –  

CMBS

     4,173     2     14     492     12     (50 )   4,643     –  

CDO/ABS

     4,882     26     89     (91 )   168     –     5,074     –
   

Total bonds available for sale

     24,687     253     94     (273 )   292     (2,516 )   22,537     –
   

Bond trading securities:

                                                  

Corporate debt

     5     –     –     (2 )   –     –     3     –  

RMBS

     314     (5 )   –     (19 )   –     –     290     (7 )

CMBS

     433     16     –     13     4     (9 )   457     78  

CDO/ABS

     8,416     1,444     –     4,787     –     –     14,647     1,462
   

Total bond trading securities

     9,168     1,455     –     4,779     4     (9 )   15,397     1,533
   

Equity securities available for sale:

                                                  

Common stock

     50     9     –     (19 )   1     –     41     –  

Preferred stock

     106     –     (31 )   61     3     –     139     –
   

Total equity securities available for sale

     156     9     (31 )   42     4     –     180     –
   

Mortgage and other loans receivable

     1     –     –     –     –     –     1     –  

Other invested assets

     7,186     (32 )   66     (68 )   18     (121 )   7,049     –
   

Total

   $ 41,198   $ 1,685   $ 129   $ 4,480   $ 318   $ (2,646 ) $ 45,164   $ 1,533
   

Liabilities:

                                                  

Policyholder contract deposits

   $ (782 ) $ (408 ) $ –   $ 2   $ –   $ –   $ (1,188 ) $ 244  

Derivative liabilities, net:

                                                  

Interest rate contracts

     778     46     –     (63 )   –     –     761     10  

Equity contracts

     40     (23 )   –     11     –     –     28     –  

Commodity contracts

     2     –     –     (2 )   –     2     2     (1 )

Credit contracts

     (2,705 )   344     –     (226 )   –     –     (2,587 )   (122 )

Other contracts

     (37 )   422     (7 )   (490 )   (42 )   –     (154 )   (15 )
   

Total derivatives liabilities, net

     (1,922 )   789     (7 )   (770 )   (42 )   2     (1,950 )   (128 )
   

Long-term debt(b)

     (575 )   (268 )   –     22     –     414     (407 )   (25 )
   

Total

   $ (3,279 ) $ 113   $ (7 ) $ (746 ) $ (42 ) $ 416   $ (3,545 ) $ 91
   

 

   
(in millions)
   Fair Value
Beginning
of Period(a)
   Net
Realized and
Unrealized
Gains (Losses)
Included
in Income
   Other
Comprehensive
Income (Loss)
   Purchases,
Sales,
Issues and
Settlements, Net
   Gross
Transfers
In
   Gross
Transfers
Out
   Fair Value
End
of Period
   Changes in
Unrealized Gains
(Losses) Included
in Income on
Instruments Held
at End of Period
  
   

Six Months Ended June 30, 2012

                                                  

Assets:

                                                  

Bonds available for sale:

                                                  

Obligations of states, municipalities

                                                  

and political subdivisions

   $ 960   $ 32   $ 11   $ 37   $ 45   $ (72 ) $ 1,013   $ –  

Non-U.S. governments

     9     –     1     (2 )   5     –     13     –  

Corporate debt

     1,935     (17 )   69     2     346     (1,029 )   1,306     –  

RMBS

     10,877     125     803     710     355     (2,382 )   10,488     –  

CMBS

     3,955     (67 )   301     503     43     (92 )   4,643     –  

CDO/ABS

     4,220     40     266     (21 )   606     (37 )   5,074     –
   

Total bonds available for sale

     21,956     113     1,451     1,229     1,400     (3,612 )   22,537     –
   

Bond trading securities:

                                                  

Corporate debt

     7     –     –     (4 )   –     –     3     –  

RMBS

     303     28     –     (38 )   –     (3 )   290     18  

CMBS

     554     49     –     (122 )   36     (60 )   457     83  

CDO/ABS

     8,432     3,065     –     3,150     –     –     14,647     2,816
   

Total bond trading securities

     9,296     3,142     –     2,986     36     (63 )   15,397     2,917
   

Equity securities available for sale:

                                                  

Common stock

     57     23     (12 )   (33 )   6     –     41     –  

Preferred stock

     99     2     (23 )   69     3     (11 )   139     –
   

Total equity securities available for sale

     156     25     (35 )   36     9     (11 )   180     –
   

Mortgage and other loans receivable

     1     –     –     –     –     –     1     –  

Other invested assets

     6,618     (179 )   276     33     760     (459 )   7,049     –
   

Total

   $ 38,027   $ 3,101   $ 1,692   $ 4,284   $ 2,205   $ (4,145 ) $ 45,164   $ 2,917
   

Liabilities:

                                                  

Policyholder contract deposits

   $ (918 ) $ (269 ) $ –   $ (1 ) $ –   $ –   $ (1,188 ) $ 101  

Derivative liabilities, net:

                                                  

Interest rate contracts

     785     46     –     (70 )   –     –     761     (38 )

Foreign exchange contracts

     2     –     –     (2 )   –     –     –     –  

Equity contracts

     28     (11 )   –     13     (2 )   –     28     –  

Commodity contracts

     2     –     –     (2 )   –     2     2     (3 )

Credit contracts

     (3,273 )   201     –     485     –     –     (2,587 )   (642 )

Other contracts

     33     12     2     (78 )   (123 )   –     (154 )   24
   

Total derivatives liabilities, net

     (2,423 )   248     2     346     (125 )   2     (1,950 )   (659 )
   

Long-term debt(b)

     (508 )   (378 )   (77 )   136     –     420     (407 )   54
   

Total

   $ (3,849 ) $ (399 ) $ (75 ) $ 481   $ (125 ) $ 422   $ (3,545 ) $ (504 )
   

(a)  Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

(b)  Includes guaranteed investment agreements (GIAs), notes, bonds, loans and mortgages payable.
Schedule of net realized and unrealized gains and losses related to Level 3 items
   
(in millions)
   Net
Investment
Income
   Net Realized
Capital
Gains (Losses)
   Other
Income
   Total
  
   

Three Months Ended June 30, 2013

                          

Bonds available for sale

   $ 239   $ 6   $ 54   $ 299  

Bond trading securities

     (5 )   –     561     556  

Equity securities available for sale

     –     (9 )   –     (9 )

Other invested assets

     107     (22 )   23     108  

Policyholder contract deposits

     –     410     –     410  

Derivative liabilities, net

     15     (5 )   152     162  

Long-term debt

     –     –     (15 )   (15 )
   

Three Months Ended June 30, 2012

                          

Bonds available for sale

   $ 234   $ (9 ) $ 28   $ 253  

Bond trading securities

     1,290     –     165     1,455  

Equity securities available for sale

     –     9     –     9  

Other invested assets

     5     (41 )   4     (32 )

Policyholder contract deposits

     –     (408 )   –     (408 )

Derivative liabilities, net

     –     72     717     789  

Long-term debt

     –     –     (268 )   (268 )
   

Six Months Ended June 30, 2013

                          

Bonds available for sale

   $ 449   $ 13   $ 75   $ 537  

Bond trading securities

     28     –     846     874  

Equity securities available for sale

     –     –     –     –  

Other invested assets

     154     (28 )   43     169  

Policyholder contract deposits

     –     615     –     615  

Derivative liabilities, net

     15     17     352     384  

Long-term debt

     –     –     (95 )   (95 )
   

Six Months Ended June 30, 2012

                          

Bonds available for sale

   $ 465   $ (384 ) $ 32   $ 113  

Bond trading securities

     2,839     –     303     3,142  

Equity securities available for sale

     –     25     –     25  

Other invested assets

     (9 )   (173 )   3     (179 )

Policyholder contract deposits

     –     (269 )   –     (269 )

Derivative liabilities, net

     (1 )   61     188     248  

Long-term debt

     –     –     (378 )   (378 )
   
Gross components of purchases, sales, issuances and settlements, net

 

   
(in millions)
   Purchases
   Sales
   Settlements
   Purchases,
Sales, Issues and
Settlements, Net(a)
  
   

Three Months Ended June 30, 2013

                          

Assets:

                          

Bonds available for sale:

                          

Obligations of states, municipalities and political subdivisions

   $ 150   $ (81 ) $ –   $ 69  

Non-U.S. governments

     5     –     (1 )   4  

Corporate debt

     211     (114 )   (89 )   8  

RMBS

     2,110     –     (581 )   1,529  

CMBS

     320     (18 )   (39 )   263  

CDO/ABS

     673     –     (292 )   381
   

Total bonds available for sale

     3,469     (213 )   (1,002 )   2,254
   

Bond trading securities:

                          

RMBS

     108     –     (44 )   64  

CMBS

     –     –     (41 )   (41 )

CDO/ABS

     129     –     (701 )   (572 )
   

Total bond trading securities

     237     –     (786 )   (549 )
   

Equity securities available for sale

     58     (1 )   –     57  

Other invested assets

     205     (16 )   (147 )   42
   

Total assets

   $ 3,969   $ (230 ) $ (1,935 ) $ 1,804
   

Liabilities:

                          

Policyholder contract deposits

   $ –   $ (6 ) $ 57   $ 51  

Derivative liabilities, net

     2     3     65     70  

Long-term debt(b)

     –     –     3     3
   

Total liabilities

   $ 2   $ (3 ) $ 125   $ 124
   

Three Months Ended June 30, 2012

                          

Assets:

                          

Bonds available for sale:

                          

Obligations of states, municipalities and political subdivisions

   $ 97   $ (158 ) $ (2 ) $ (63 )

Non-U.S. governments

     1     (1 )   –     –  

Corporate debt

     80     (52 )   (23 )   5  

RMBS

     198     (268 )   (546 )   (616 )

CMBS

     596     (69 )   (35 )   492  

CDO/ABS

     203     –     (294 )   (91 )
   

Total bonds available for sale

     1,175     (548 )   (900 )   (273 )
   

Bond trading securities:

                          

Corporate debt

     –     –     (2 )   (2 )

RMBS

     –     –     (19 )   (19 )

CMBS

     70     (49 )   (8 )   13  

CDO/ABS

     5,025     –     (238 )   4,787
   

Total bond trading securities

     5,095     (49 )   (267 )   4,779
   

Equity securities available for sale

     56     (19 )   5     42  

Other invested assets

     134     (29 )   (173 )   (68 )
   

Total assets

   $ 6,460   $ (645 ) $ (1,335 ) $ 4,480
   

Liabilities:

                          

Policyholder contract deposits

   $ –   $ (8 ) $ 10   $ 2  

Derivative liabilities, net

     –     –     (770 )   (770 )

Long-term debt(b)

     –     –     22     22
   

Total liabilities

   $ –   $ (8 ) $ (738 ) $ (746 )
   


 

   
(in millions)
   Purchases
   Sales
   Settlements
   Purchases,
Sales, Issues and
Settlements, Net(a)
  
   

Six Months Ended June 30, 2013

                          

Assets:

                          

Bonds available for sale:

                          

Obligations of states, municipalities and political subdivisions

   $ 308   $ (103 ) $ –   $ 205  

Non-U.S. governments

     8     –     (2 )   6  

Corporate debt

     308     (114 )   (164 )   30  

RMBS

     2,712     (231 )   (1,215 )   1,266  

CMBS

     693     (164 )   (341 )   188  

CDO/ABS

     1,471     (159 )   (292 )   1,020
   

Total bonds available for sale

     5,500     (771 )   (2,014 )   2,715
   

Bond trading securities:

                          

RMBS

     213     –     (75 )   138  

CMBS

     19     (58 )   (101 )   (140 )

CDO/ABS

     318     –     (1,327 )   (1,009 )
   

Total bond trading securities

     550     (58 )   (1,503 )   (1,011 )
   

Equity securities available for sale

     59     (11 )   (1 )   47  

Other invested assets

     448     (46 )   (362 )   40
   

Total assets

   $ 6,557   $ (886 ) $ (3,880 ) $ 1,791
   

Liabilities:

                          

Policyholder contract deposits

   $ –   $ (12 ) $ 68   $ 56  

Derivative liabilities, net

     5     (1 )   128     132  

Long-term debt(b)

     –     –     22     22
   

Total liabilities

   $ 5   $ (13 ) $ 218   $ 210
   

Six Months Ended June 30, 2012

                          

Assets:

                          

Bonds available for sale:

                          

Obligations of states, municipalities and political subdivisions

   $ 205   $ (166 ) $ (2 ) $ 37  

Non-U.S. governments

     1     (3 )   –     (2 )

Corporate debt

     141     (53 )   (86 )   2  

RMBS

     2,110     (362 )   (1,038 )   710  

CMBS

     722     (133 )   (86 )   503  

CDO/ABS

     520     (4 )   (537 )   (21 )
   

Total bonds available for sale

     3,699     (721 )   (1,749 )   1,229
   

Bond trading securities:

                          

Corporate debt

     –     –     (4 )   (4 )

RMBS

     –     –     (38 )   (38 )

CMBS

     183     (106 )   (199 )   (122 )

CDO/ABS

     5,025     (310 )   (1,565 )   3,150
   

Total bond trading securities

     5,208     (416 )   (1,806 )   2,986
   

Equity securities

     67     (33 )   2     36  

Other invested assets

     400     (33 )   (334 )   33
   

Total assets

   $ 9,374   $ (1,203 ) $ (3,887 ) $ 4,284
   

Liabilities:

                          

Policyholder contract deposits

   $ –   $ (14 ) $ 13   $ (1 )

Derivative liabilities, net

     2     –     344     346  

Other long-term debt(b)

     –     –     136     136
   

Total liabilities

   $ 2   $ (14 ) $ 493   $ 481
   

(a)  There were no issuances during the three-and six-month periods ended June 30, 2013 and 2012.

(b)  Includes GIAs, notes, bonds, loans and mortgages payable.
Significant unobservable inputs used for recurring fair value measurements

 

 
(in millions)
  

Fair Value at
June 30,
2013

   Valuation
Technique
   Unobservable Input(a)
   Range
(Weighted Average)(a)
 

Assets:

  
 
 
         
   
 
 
         

Corporate debt

  
$
1,090
Discounted cash flow   Yield(b)   4.09% – 10.93% (7.51%)
   
 
 
         

RMBS

  
 
12,119
Discounted cash flow   Constant prepayment rate(c)   0.00% – 9.85% (4.61%)

 

  
 
 
    Loss severity(c)   42.79% – 76.74% (59.76%)

 

  
 
 
    Constant default rate(c)   4.23% – 12.92% (8.57%)

 

  
 
 
    Yield(c)   2.88% – 7.41% (5.14%)
   
 
 
         

Certain CDO/ABS(d)

  
 
5,894
Discounted cash flow   Constant prepayment rate(c)   5.20% – 14.00% (9.40%)

 

  
 
 
    Loss severity(c)   42.20% – 64.60% (53.50%)

 

  
 
 
    Constant default rate(c)   3.20% – 15.80% (8.30%)

 

  
 
 
    Yield(c)   5.60% – 11.70% (9.50%)
   
 
 
         

Commercial mortgage backed securities

  
 
4,328
Discounted cash flow   Yield(b)   0.00% – 17.11% (6.83%)
   
 
 
         

CDO/ABS — Direct

  
 
 
Binomial Expansion   Recovery rate(b)   4.00% – 63.00% (21.00%)

Investment Book

  
 
487
Technique (BET)   Diversity score(b)   5 – 41 (14)

 

  
 
 
    Weighted average life(b)   1.21 – 10.10 years (5.26 years)
 

Liabilities:

  
 
 
         
   
 
 
         

Policyholder contract deposits — GMWB

  
 
586
Discounted cash flow   Equity implied volatility(b)   6.00% – 39.00%

 

  
 
 
    Base lapse rates(b)   1.00% – 40.00%

 

  
 
 
    Dynamic lapse rates(b)   0.20% – 60.00%

 

  
 
 
    Mortality rates(b)   0.50% – 40.00%

 

  
 
 
    Utilization rates(b)   0.50% – 25.00%
   
 
 
         

Derivative Liabilities — Credit contracts

  
 
1,190
BET   Recovery rates(b)   4.00% – 34.00% (17.00%)

 

  
 
 
    Diversity score(b)   9 – 37 (14)

 

  
 
 
    Weighted average life(b)   4.82 – 10.10 years (5.99 years)
 

(a)  The unobservable inputs and ranges for the constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CDO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us because there are other factors relevant to the specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.

(b)  Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.

(c)  Information received from independent third-party valuation service providers.

(d)  Yield was the only input available for $285 million of total fair value at June 30, 2013.
Investments in Certain Entities Carried at Fair Value Using Net Asset Value per Share
     
   
    
   June 30, 2013   December 31, 2012  
  (in millions)
   Investment Category Includes
  

Fair Value
Using Net
Asset Value
Per Share (or
its equivalent)

  

Unfunded
Commitments

   Fair Value
Using Net
Asset Value
Per Share (or
its equivalent)
   Unfunded
Commitments
  
     
 

Investment Category

      
 
 
 
 
 
 
            
 

Private equity funds:

      
 
 
 
 
 
 
            
 

Leveraged buyout

   Debt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage  
$
2,671
 
$
630
 
 $ 2,529   $ 669  
         
 
 
 
 
 
 
            
 

Real Estate / Infrastructure

   Investments in real estate properties and infrastructure positions, including power plants and other energy generating facilities  
 
286
 
 
40
 
   251     52  
         
 
 
 
 
 
 
            
 

Venture capital

   Early-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company  
 
144
 
 
14
 
   157     16  
         
 
 
 
 
 
 
            
 

Distressed

   Securities of companies that are already in default, under bankruptcy protection, or troubled  
 
191
 
 
41
 
   184     36  
         
 
 
 
 
 
 
            
 

Other

   Includes multi-strategy and mezzanine strategies  
 
126
 
 
182
 
   112     100
   
 

Total private equity funds

      
 
3,418
 
 
907
 
   3,233     873
   
 

Hedge funds:

      
 
 
 
 
 
 
            
 

Event-driven

   Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations  
 
908
 
 
2
 
   788     2  
         
 
 
 
 
 
 
            
 

Long-short

   Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk  
 
1,492
 
 
–
 
   1,318     –  
         
 
 
 
 
 
 
            
 

Macro

   Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions  
 
480
 
 
–
 
   320     –  
         
 
 
 
 
 
 
            
 

Distressed

   Securities of companies that are already in default, under bankruptcy protection or troubled  
 
460
 
 
20
 
   316     –  
         
 
 
 
 
 
 
            
 

Emerging markets

   Investments in the financial markets of developing countries  
 
221
 
 
–
 
   –     –  
         
 
 
 
 
 
 
            
 

Other

   Includes multi-strategy and relative value strategies  
 
45
 
 
–
 
   66     –
   
 

Total hedge funds

      
 
3,606
 
 
22
 
   2,808     2
   
 

Total

      
$
7,024
 
$
929
 
 $ 6,041   $ 875
   
Gains or losses related to the eligible instruments for which AIG elected the fair value option

 

 

   
 
   Gain (Loss) Three Months
Ended June 30,		   Gain (Loss) Six Months
Ended June 30,		  
(in millions)
  

2013

   2012
  

2013

   2012
  
   

Assets:

  
 
 
 
      
 
 
 
      

Mortgage and other loans receivable

  
$
1
 
 $ 9  
$
2
 
 $ 31  

Bonds and equity securities

  
 
256
 
   263  
 
632
 
   907  

Trading — ML II interest

  
 
–
 
   –  
 
–
 
   246  

Trading — ML III interest

  
 
–
 
   1,306  
 
–
 
   2,558  

Retained interest in AIA

  
 
–
 
   (493 )
 
–
 
   1,302  

Alternative Investments(a)

  
 
122
 
   –  
 
206
 
   –  

Other, including Short-term investments

  
 
2
 
   9  
 
5
 
   13
   

Liabilities:

  
 
 
 
      
 
 
 
      

Long-term debt(b)

  
 
313
 
   (218 )
 
322
 
   (664 )

Other liabilities

  
 
(2
)
   26  
 
(6
)
   (22 )
   

Total gain (loss)(c)

  
$
692
 
 $ 902  
$
1,161
 
 $ 4,371
   

(a)  Includes hedge funds, private equity funds, affordable housing partnerships and other investment partnerships.

(b)  Includes GIAs, notes, bonds, loans and mortgages payable.

(c)  Excludes discontinued operations.

*     We are required to carry other instruments such as derivatives, trading securities and certain other invested assets at fair value with changes in fair value recorded through Net income. We recognized gains of $606 million and $605 million for the three-and six-month periods ended June 30, 2013, respectively, and losses of $13 million and gains of $554 million for the three-and six-month periods ended June 30, 2012, respectively, related to these financial instruments.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

   
 
   June 30, 2013   December 31, 2012  
(in millions)
  

Fair Value

  

Outstanding
Principal Amount

  

Difference

   Fair Value
   Outstanding
Principal Amount
   Difference
  
   

Assets:

  
 
 
 
 
 
 
 
 
 
                  

Mortgage and other loans receivable

  
$
59
 
$
58
 
$
1
 
 $ 134   $ 141   $ (7 )

Liabilities:

  
 
 
 
 
 
 
 
 
 
                  

Long-term debt*

  
$
7,013
 
$
5,297
 
$
1,716
 
 $ 8,055   $ 5,705   $ 2,350
   

*     Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges
   
 
   Assets at Fair Value   Impairment Charges  
 
   Non-Recurring Basis   Three Months Ended June 30,   Six Months Ended June 30,  
(in millions)
  

Level 1

  

Level 2

  

Level 3

  

Total

   2013
   2012
   2013
   2012
  
   

June 30, 2013
 
 
 
 
 
 
 
 
 
 
 
               

Alternative investments
$
–
 
$
–
 
$
1,774
 
$
1,774
$ 80   $ 83   $ 159   $ 176  

Other assets
 
–
 
 
9
 
 
59
 
 
68
11     –   24     8
   

Total
$
–
 
$
9
 
$
1,833
 
$
1,842
$ 91   $ 83   $ 183   $ 184
   

December 31, 2012

                                                  

Alternative investments

  
$
–
$
–
$
2,062
$
2,062
                       

Other assets

  
–
3
18
21
                     
   

Total

  
$
–
$
3
$
2,080
$
2,083
                     
   
Carrying value and estimated fair value of AIG's financial instruments

 

   
 
   Estimated Fair Value   Carrying
  
(in millions)
   Level 1
   Level 2
   Level 3
   Total
   Value
  
   

June 30, 2013

                                

Assets:

                                

Mortgage and other loans receivable

   $ –   $ 522   $ 19,846   $ 20,368   $ 19,798  

Other invested assets

     –     63     3,583     3,646     4,862  

Short-term investments

     –     14,116     –     14,116     14,116  

Cash

     1,762     –     –     1,762     1,762  

Liabilities:

                                

Policyholder contract deposits associated with investment-type contracts

     –     157     118,328     118,485     103,391  

Other liabilities

     –     5,319     752     6,071     6,074  

Long-term debt

     –     37,385     1,983     39,368     35,601
   

December 31, 2012

                                

Assets:

                                

Mortgage and other loans receivable

   $ –   $ 823   $ 19,396   $ 20,219   $ 19,348  

Other invested assets

     –     237     3,521     3,758     4,932  

Short-term investments

     –     20,752     –     20,752     20,752  

Cash

     1,151     –           1,151     1,151  

Liabilities:

                                

Policyholder contract deposits associated with investment-type contracts

     –     245     123,860     124,105     105,979  

Other liabilities

     –     3,981     818     4,799     4,800  

Long-term debt

     –     43,966     1,925     45,891     40,445