AIG 2015 Annual Report Download - page 251

ITEM 8 / NOTE 4. FAIR VALUE MEASUREMENTS
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Other Liabilities
Other liabilities measured at fair value include certain securities sold under agreements to repurchase and certain securities
sold but not yet purchased. Liabilities arising from securities sold under agreements to repurchase are generally treated as
collateralized borrowings. We estimate the fair value of liabilities arising under these agreements by using market-observable
interest rates. This methodology considers such factors as the coupon rate, yield curves and other relevant factors. Fair values
for securities sold but not yet purchased are based on current market prices.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table presents information about assets and liabilities measured at fair value on a recurring basis and
indicates the level of the fair value measurement based on the observability of the inputs used:
December 31, 2015 Counterparty Cash
(in millions) Level 1 Level 2 Level 3 Netting* Collateral Total
Assets:
Bonds available for sale:
U.S. government and government sponsored entities $- $ 1,844 $- $ - $ - $ 1,844
Obligations of states, municipalities and political subdivisions -25,199 2,124 - -27,323
Non-U.S. governments 683 17,480 32 - -18,195
Corporate debt -134,618 1,370 - -135,988
RMBS -19,690 16,537 - -36,227
CMBS -10,986 2,585 - -13,571
CDO/ABS -8,928 6,169 - -15,097
Total bonds available for sale 683 218,745 28,817 - -248,245
Other bond securities:
U.S. government and government sponsored entities -3,369 - - -3,369
Obligations of states, municipalities and political subdivisions -75 - - -75
Non-U.S. governments -50 - - -50
Corporate debt -2,018 17 - -2,035
RMBS -649 1,581 - -2,230
CMBS -557 193 - -750
CDO/ABS -1,218 7,055 - -8,273
Total other bond securities -7,936 8,846 - -16,782
Equity securities available for sale:
Common stock 2,401 -- - -2,401
Preferred stock 22 -- - -22
Mutual funds 491 1- - -492
Total equity securities available for sale 2,914 1- - -2,915
Other equity securities 906 114 - -921
Mortgage and other loans receivable - - 11 - -11
Other invested assets 24,256 4,654 - -8,912
Derivative assets:
Interest rate contracts -3,150 12 - -3,162
Foreign exchange contracts -766 - - -766
Equity contracts 91 32 54 - -177
Commodity contracts - - - - - -
Credit contracts - - 3 - - 3
Other contracts - 2 21 - -23
Counterparty netting and cash collateral - - - (1,268) (1,554) (2,822)
Total derivative assets 91 3,950 90 (1,268) (1,554) 1,309
Short-term investments 1,416 1,175 - - -2,591
Separate account assets 73,699 5,875 - - -79,574