DERIVATIVES AND HEDGE ACCOUNTING (Tables)

12 Months Ended

Dec. 31, 2021

DERIVATIVES AND HEDGE ACCOUNTING

Notional amounts and fair values of derivative instruments

	December 31, 2021								December 31, 2020
	Gross Derivative Assets				Gross Derivative Liabilities				Gross Derivative Assets				Gross Derivative Liabilities
		Notional		Fair		Notional		Fair		Notional		Fair		Notional		Fair
(in millions)		Amount		Value		Amount		Value		Amount		Value		Amount		Value
Derivatives designated as
hedging instruments:(a)
Interest rate contracts	$	265	$	5	$	895	$	11	$	815	$	16	$	356	$	11
Foreign exchange contracts		5,431		467		5,828		197		3,468		256		7,424		379
Derivatives not designated
as hedging instruments:(a)
Interest rate contracts		47,499		3,868		42,113		3,622		62,259		4,621		48,732		4,425
Foreign exchange contracts		7,905		722		9,997		524		9,518		766		12,860		711
Equity contracts		27,423		681		5,091		53		22,924		1,130		7,076		223
Commodity contracts		303		4		219		-		-		-		-		-
Credit contracts(b)		3,790		1		936		47		5,797		2		969		67
Other contracts(c)		43,892		13		51		-		43,441		14		54		6
Total derivatives, gross	$	136,508	$	5,761	$	65,130	$	4,454	$	148,222	$	6,805	$	77,471	$	5,822
Counterparty netting(d)				(2,779)				(2,779)				(3,812)				(3,812)
Cash collateral(e)				(2,139)				(1,089)				(2,219)				(1,441)
Total derivatives on
Consolidated Balance Sheets(f)			$	843			$	586			$	774			$	569

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

(b) As of December 31, 2021 and 2020, included CDSs on super senior multi-sector CDOs with a net notional amount of $97 million and $137 million (fair value liability of $30 million and $44 million), respectively. The net notional amount represents the maximum exposure to loss on the portfolio.

(c) Consists primarily of stable value wraps and contracts with multiple underlying exposures.

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

(e) Represents cash collateral posted and received that is eligible for netting.

(f)Freestanding derivatives only, excludes embedded derivatives. Derivative instrument assets and liabilities are recorded in Other assets and Other liabilities, respectively. Fair value of assets related to bifurcated embedded derivatives was zero at both December 31, 2021 and December 31, 2020. Fair value of liabilities related to bifurcated embedded derivatives was $14.5 billion and $15.8 billion, respectively, at December 31, 2021 and December 31, 2020. A bifurcated embedded derivative is generally presented with the host contract in the Consolidated Balance Sheets. Embedded derivatives are primarily related to guarantee features in variable annuity products, which include equity and interest rate components, and the funds withheld arrangement with Fortitude Re. For additional information see Note 7

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 Income for:
	Hedging		Excluded		Hedged
(in millions)	Derivatives(a)		Components(b)		Items		Net Impact
Year ended December 31, 2021
Interest rate contracts:
Interest credited to policyholder account balances	$	(19)	$	-	$	17	$	(2)
Net investment income		9		-		(11)		(2)
Foreign exchange contracts:
Net realized gains/(losses)		210		139		(210)		139
Year ended December 31, 2020
Interest rate contracts:
Interest credited to policyholder account balances	$	14	$	-	$	(14)	$	-
Net investment income		(6)		-		5		(1)
Foreign exchange contracts:
Net realized gains/(losses)		(422)		49		422		49
Year ended December 31, 2019
Interest rate contracts:
Interest credited to policyholder account balances	$	16	$	-	$	(16)	$	-
Net investment income		(1)		-		1		-
Foreign exchange contracts:
Net realized gains/(losses)		(31)		91		31		91

(a)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are included in the assessment of hedge effectiveness.(b)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are excluded from the assessment of hedge effectiveness and recognized in income on a mark-to-market basis.

Effect of AIG's derivative instruments not designated as hedging instruments in the Consolidated Statements of Income

Years Ended December 31,	Gains (Losses) Recognized in Income
(in millions)		2021		2020		2019
By Derivative Type:
Interest rate contracts	$	(573)	$	1,451	$	1,319
Foreign exchange contracts		278		(389)		(25)
Equity contracts		(736)		211		(316)
Commodity contracts		(9)		-		-
Credit contracts		(12)		52		61
Other contracts		64		61		64
Embedded derivatives		623		(4,722)		(1,464)
Total	$	(365)	$	(3,336)	$	(361)
By Classification:
Policy fees	$	61	$	62	$	68
Net investment income		5		(8)		(125)
Net realized gains (losses) - excluding Fortitude Re funds withheld assets		148		(508)		(316)
Net realized losses on Fortitude Re funds withheld assets(a)		(575)		(2,894)		-
Policyholder benefits and claims incurred		(4)		12		12
Total	$	(365)	$	(3,336)	$	(361)

Includes over-the-counter derivatives supporting the funds withheld arrangements with Fortitude Re and the embedded derivative contained within the funds withheld payable with Fortitude Re.