AIG 2014 Annual Report Download - page 288

ITEM 8 / NOTE 11. DERIVATIVES AND HEDGE ACCOUNTING
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The following table presents the notional amounts and fair values of our derivative instruments:
December 31, 2014 December 31, 2013
Gross Derivative Assets Gross Derivative Liabilities Gross Derivative Assets Gross Derivative Liabilities
Notional Fair Notional Fair Notional Fair Notional Fair
(in millions) Amount Value(a) Amount Value(a) Amount Value(a) Amount Value(a)
Derivatives designated as
hedging instruments:
Interest rate contracts $ 155 $ - $ 25 $ 2 $ - $ - $ 112 $ 15
Foreign exchange contracts 611 25 1,794 239 - - 1,857 190
Equity contracts 7 1104 13 - - - -
Derivatives not designated
as hedging instruments:
Interest rate contracts 65,070 3,743 45,251 3,183 50,897 3,771 59,585 3,849
Foreign exchange contracts 13,667 815 8,516 1,251 1,774 52 3,789 129
Equity contracts(b) 7,565 206 42,387 1,615 29,296 413 9,840 524
Commodity contracts 15 -11 617 1 13 5
Credit contracts 5 45,288 982 70 55 15,459 1,335
Other contracts(c) 36,155 31 538 90 32,440 34 1,408 167
Total derivatives not
designated as hedging
instruments 122,477 4,799 101,991 7,127 114,494 4,326 90,094 6,009
Total derivatives, gross $ 123,250 $ 4,825 $103,914 $7,381 $ 114,494 $ 4,326 $ 92,063 $ 6,214
(a) Fair value amounts are shown before the effects of counterparty netting adjustments and offsetting cash collateral.
(b) There were no derivative assets or notionals related to bifurcated embedded derivatives at December 31, 2014. Notional amount of derivative assets and
fair value of derivative assets include $23.2 billion and $107 million at December 31, 2013 related to bifurcated embedded derivatives. Notional amount of
derivative liabilities and fair values of derivative liabilities include $39.3 billion and $1.5 billion, respectively, at December 31, 2014 and $6.7 billion and $424
million, respectively at December 31, 2013 related to bifurcated embedded derivatives. A bifurcated embedded derivative is generally presented with the host
contract in the Consolidated Balance Sheets.
(c) Consists primarily of contracts with multiple underlying exposures.
The following table presents the fair values of derivative assets and liabilities in the Consolidated Balance Sheets:
December 31, 2014 December 31, 2013
Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities
Notional Fair Notional Fair Notional Fair Notional Fair
(in millions) Amount Value Amount Valu e Amount Value Amount Value
Global Capital Markets derivatives:
AIG Financial Products $ 23,153 $2,445 $27,719 $3,019 $ 41,942 $ 2,567 $ 52,679 $ 3,506
AIG Markets 55,005 1,935 29,251 2,136 12,531 964 23,716 1,506
Total Global Capital Markets derivatives 78,158 4,380 56,970 5,155 54,473 3,531 76,395 5,012
Non-Global Capital Markets derivatives(a) 45,092 445 46,944 2,226 60,021 795 15,668 1,202
Total derivatives, gross $ 123,250 4,825 $103,914 7,381 $ 114,494 4,326 $ 92,063 6,214
Counterparty netting(b) (2,102) (2,102) (1,734) (1,734)
Cash collateral(c) (1,119) (1,429) (820) (1,484)
Total derivatives, net 1,604 3,850 1,772 2,996
Less: Bifurcated embedded derivatives - 1,577 107 485
Total derivatives on consolidated
balance sheet $1,604 $2,273 $ 1,665 $ 2,511
(a) Represents derivatives used to hedge the foreign currency and interest rate risk associated with insurance as well as embedded derivatives included in
insurance contracts. Assets and liabilities include bifurcated embedded derivatives, which are recorded in Policyholder contract deposits.
(b) Represents netting of derivative exposures covered by a qualifying master netting agreement.
(c) Represents cash collateral posted and received that is eligible for netting.