XML 80 R28.htm IDEA: XBRL DOCUMENT v3.3.0.814
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2015
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis
September 30, 2015 CounterpartyCash
(in millions) Level 1Level 2Level 3Netting*CollateralTotal
Assets:
Bonds available for sale:
U.S. government and government sponsored entities$8$1,874$-$-$-$1,882
Obligations of states, municipalities and political subdivisions-25,4062,140--27,546
Non-U.S. governments70917,68831--18,428
Corporate debt-137,6462,476--140,122
RMBS-18,76616,859--35,625
CMBS-10,9882,729--13,717
CDO/ABS-9,5266,108--15,634
Total bonds available for sale717221,89430,343--252,954
Other bond securities:
U.S. government and government sponsored entities1553,658---3,813
Obligations of states, municipalities and political subdivisions-75---75
Non-U.S. governments-2---2
Corporate debt-1,23316--1,249
RMBS-7841,501--2,285
CMBS-600219--819
CDO/ABS-1,4327,147--8,579
Total other bond securities1557,7848,883--16,822
Equity securities available for sale:
Common stock2,961----2,961
Preferred stock23----23
Mutual funds8062---808
Total equity securities available for sale3,7902---3,792
Other equity securities1,044-22--1,066
Mortgage and other loans receivable--11--11
Other invested assets24,3714,960--9,333
Derivative assets:
Interest rate contracts-4,07013--4,083
Foreign exchange contracts-836---836
Equity contracts1211440--175
Commodity contracts------
Credit contracts--3--3
Other contracts--27--27
Counterparty netting and cash collateral---(1,691)(2,129)(3,820)
Total derivative assets1214,92083(1,691)(2,129)1,304
Short-term investments1,0321,701---2,733
Separate account assets72,3704,766---77,136
Total$79,231$245,438$44,302$(1,691)$(2,129)$365,151
Liabilities:
Policyholder contract deposits$-$38$2,249$-$-$2,287
Other policyholder funds-8---8

Derivative liabilities:
Interest rate contracts-2,78771--2,858
Foreign exchange contracts-1,2087--1,215
Equity contracts-821--83
Commodity contracts------
Credit contracts--531--531
Other contracts-178--79
Counterparty netting and cash collateral---(1,691)(910)(2,601)
Total derivative liabilities-4,078688(1,691)(910)2,165
Long-term debt-3,795190--3,985
Other liabilities116182---298
Total$116$8,101$3,127$(1,691)$(910)$8,743

December 31, 2014 CounterpartyCash
(in millions) Level 1Level 2Level 3Netting*CollateralTotal
Assets:
Bonds available for sale:
U.S. government and government sponsored entities$322$2,670$-$-$-$2,992
Obligations of states, municipalities and political subdivisions-25,5002,159--27,659
Non-U.S. governments74220,32330--21,095
Corporate debt-142,5501,883--144,433
RMBS-20,71516,805--37,520
CMBS-10,1892,696--12,885
CDO/ABS-7,1656,110--13,275
Total bonds available for sale1,064229,11229,683--259,859
Other bond securities:
U.S. government and government sponsored entities1305,368---5,498
Obligations of states, municipalities and political subdivisions-122---122
Non-U.S. governments-2---2
Corporate debt-719---719
RMBS-9891,105--2,094
CMBS-708369--1,077
CDO/ABS-2,7517,449--10,200
Total other bond securities13010,6598,923--19,712
Equity securities available for sale:
Common stock3,62621--3,629
Preferred stock25----25
Mutual funds7383---741
Total equity securities available for sale4,38951--4,395
Other equity securities1,02425---1,049
Mortgage and other loans receivable--6--6
Other invested assets23,7425,650--9,394
Derivative assets:
Interest rate contracts23,72912--3,743
Foreign exchange contracts-8391--840
Equity contracts985851--207
Commodity contracts------
Credit contracts--4--4
Other contracts--31--31
Counterparty netting and cash collateral---(2,102)(1,119)(3,221)
Total derivative assets1004,62699(2,102)(1,119)1,604

Short-term investments5841,100---1,684
Separate account assets73,9396,097---80,036
Total$81,232$255,366$44,362$(2,102)$(1,119)$377,739
Liabilities:
Policyholder contract deposits$-$52$1,509$-$-$1,561
Other policyholder funds-8---8
Derivative liabilities:
Interest rate contracts-3,04786--3,133
Foreign exchange contracts-1,4829--1,491
Equity contracts-984--102
Commodity contracts-6---6
Credit contracts--982--982
Other contracts--90--90
Counterparty netting and cash collateral---(2,102)(1,429)(3,531)
Total derivative liabilities-4,6331,171(2,102)(1,429)2,273
Long-term debt-5,253213--5,466
Other liabilities34316---350
Total$34$10,262$2,893$(2,102)$(1,429)$9,658

* Represents netting of derivative exposures covered by a qualifying master netting agreement.
Changes in Level 3 recurring fair value measurements
Net Changes in
Realized and Unrealized Gains
UnrealizedPurchases, (Losses) Included
Fair ValueGains (Losses)OtherSales,GrossGrossFair Valuein Income on
BeginningIncludedComprehensiveIssues andTransfersTransfersEndInstruments Held
(in millions)of Periodin IncomeIncome (Loss)Settlements, NetInOutof Periodat End of Period
Three Months Ended September 30, 2015
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions$2,180$(1)$(15)$16$-$(40)$2,140$-
Non-U.S. governments33-(1)(1)--31-
Corporate debt2,11852(63)987(573)2,476-
RMBS17,097265(151)(352)--16,859-
CMBS2,67717(15)50--2,729-
CDO/ABS6,071857(21)6(13)6,108-
Total bonds available for sale30,176294(123)(371)993(626)30,343-
Other bond securities:
Corporate debt16-----16-
RMBS1,337(4)-169-(1)1,501(3)
CMBS223(1)-(8)5-219(1)
CDO/ABS7,42685-(415)51-7,14723
Total other bond securities9,00280-(254)56(1)8,88319
Equity securities available for sale:
Common stock--------
Total equity securities available for sale--------
Other equity securities22-----22-
Mortgage and other loans receivable6--5--11-
Other invested assets5,075(52)(90)6415(52)4,960-
Total$44,281$322$(213)$(556)$1,064$(679)$44,219$19
Liabilities:
Policyholder contract deposits$(1,232)$(871)$-$(146)$-$-$(2,249)$32
Derivative liabilities, net:
Interest rate contracts(62)(3)-7--(58)(4)
Foreign exchange contracts(7)(1)-1--(7)(2)
Equity contracts63(21)-(3)--39(21)
Commodity contracts--------
Credit contracts(551)11-12--(528)23
Other contracts(16)(12)-(23)--(51)(13)
Total derivative liabilities, net(a)(573)(26)-(6)--(605)(17)
Long-term debt(b)(193)3----(190)-
Total$(1,998)$(894)$-$(152)$-$-$(3,044)$15

Net Changes in
Realized and Unrealized Gains
UnrealizedPurchases, (Losses) Included
Fair ValueGains (Losses)OtherSales,GrossGrossFair Valuein Income on
BeginningIncludedComprehensiveIssues andTransfersTransfersEndInstruments Held
(in millions)of Period(a)in IncomeIncome (Loss)Settlements, NetInOutof Periodat End of Period
Nine Months Ended September 30, 2015
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions$2,159$-$(94)$174$-$(99)$2,140$-
Non-U.S. governments30-(2)3--31-
Corporate debt1,88319(31)(209)1,443(629)2,476-
RMBS16,805804(322)(428)--16,859-
CMBS2,69663(45)97-(82)2,729-
CDO/ABS6,110138(110)986(134)6,108-
Total bonds available for sale29,6831,024(604)(265)1,449(944)30,343-
Other bond securities:
Corporate debt----16-16-
RMBS1,10522-38944(59)1,501(21)
CMBS3697-(162)5-219(3)
CDO/ABS7,449482-(1,341)632(75)7,147(55)
Total other bond securities8,923511-(1,114)697(134)8,883(79)
Equity securities available for sale:
Common stock12-(3)----
Total equity securities available for sale12-(3)----
Other equity securities----22-22(2)
Mortgage and other loans receivable6--5--11-
Other invested assets5,650475(639)(522)113(117)4,960-
Total$44,263$2,012$(1,243)$(1,899)$2,281$(1,195)$44,219$(81)
Liabilities:
Policyholder contract deposits$(1,509)$(410)$-$(330)$-$-$(2,249)$72
Derivative liabilities, net:
Interest rate contracts(74)(3)-19--(58)(4)
Foreign exchange contracts(8)2-(1)--(7)1
Equity contracts47(15)-7--39(19)
Commodity contracts--------
Credit contracts(978)171-279--(528)73
Other contracts(59)61-(53)--(51)53
Total derivative liabilities, net(a)(1,072)216-251--(605)104
Long-term debt(b)(213)5-18--(190)13
Total$(2,794)$(189)$-$(61)$-$-$(3,044)$189

Net Changes in
Realized and Unrealized Gains
UnrealizedPurchases, (Losses) Included
Fair valueGains (Losses)OtherSales,GrossGrossFair valuein Income on
BeginningIncludedComprehensiveIssues andTransfersTransfersEndInstruments Held
(in millions)of Periodin IncomeIncome (Loss)Settlements, NetInOutof Periodat End of Period
Three Months Ended September 30, 2014
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions$1,991$(1)$(11)$43$-$(8)$2,014$-
Non-U.S. governments25--1-(3)23-
Corporate debt2,1962(22)(73)3(97)2,009-
RMBS16,328264(49)375--16,918-
CMBS5,91727(39)14-(3)5,916-
CDO/ABS7,43118(2)69253(35)8,157-
Total bonds available for sale33,888310(123)1,05256(146)35,037-
Other bond securities:
RMBS1,062--(39)--1,023(9)
CMBS757(24)-(20)--713(21)
CDO/ABS8,397257-(451)-(134)8,06976
Total other bond securities10,216233-(510)-(134)9,80546
Equity securities available for sale:
Common stock--1--(1)--
Preferred stock--------
Mutual funds----1-1-
Total equity securities available for sale--1-1(1)1-
Mortgage and other loans receivable6-----6-
Other invested assets5,824(7)906583(246)5,809-
Total$49,934$536$(32)$607$140$(527)$50,658$46
Liabilities:
Policyholder contract deposits$(842)$(155)$8$(2)$-$-$(991)$(21)
Derivative liabilities, net:
Interest rate contracts(67)(3)-1-(2)(71)(3)
Foreign exchange contracts(9)--2--(7)-
Equity contracts916-2-(53)46-
Commodity contracts1(1)------
Credit contracts(1,085)75-(8)--(1,018)65
Other contracts(53)144(20)--(55)17
Total derivatives liabilities, net(a)(1,122)914(23)-(55)(1,105)79
Long-term debt(b)(394)21-1-75(297)16
Total$(2,358)$(43)$12$(24)$-$20$(2,393)$74

Net Changes in
Realized and Unrealized Gains
UnrealizedPurchases, (Losses) Included
Fair valueGains (Losses)OtherSales,GrossGrossFair valuein Income on
BeginningIncludedComprehensiveIssues andTransfersTransfersEndInstruments Held
(in millions)of Periodin IncomeIncome (Loss)Settlements, NetInOutof Periodat End of Period
Nine Months Ended September 30, 2014
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions(c)$1,080$(1)$180$896$-$(141)$2,014$-
Non-U.S. governments16-(1)74(3)23-
Corporate debt1,255831(140)1,358(503)2,009-
RMBS14,941759211999119(111)16,918-
CMBS5,73550201(43)69(96)5,916-
CDO/ABS6,9747011,426222(536)8,157-
Total bonds available for sale30,0018866233,1451,772(1,390)35,037-
Other bond securities:
RMBS93751-332-1,0239
CMBS84414-(151)6-71311
CDO/ABS8,834926-(1,338)1(354)8,069341
Total other bond securities10,615991-(1,456)9(354)9,805361
Equity securities available for sale:
Common stock1-1--(2)--
Preferred stock--------
Mutual funds----1-1-
Total equity securities available for sale1-1-1(2)1-
Mortgage and other loans receivable---6--6-
Other invested assets5,9308013999168(607)5,809-
Total$46,547$1,957$763$1,794$1,950$(2,353)$50,658$361
Liabilities:
Policyholder contract deposits$(312)$(687)$(16)$24$-$-$(991)$(140)
Derivative liabilities, net:
Interest rate contracts(100)(2)-33-(2)(71)-
Foreign exchange contracts-3-(10)--(7)4
Equity contracts4914-(12)48(53)466
Commodity contracts1----(1)--
Credit contracts(1,280)229-33--(1,018)229
Other contracts(109)4951(46)--(55)37
Total derivatives liabilities, net(a)(1,439)29351(2)48(56)(1,105)276
Long-term debt(b)(370)13-34(70)96(297)15
Total$(2,121)$(381)$35$56$(22)$40$(2,393)$151

(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.

(c) Purchases, Sales, Issues and Settlements, Net primarily reflect the effect of consolidating previously unconsolidated securitization vehicles.
Schedule of net realized and unrealized gains and losses related to Level 3 items
NetNet Realized
InvestmentCapital Other
(in millions)IncomeGains (Losses)IncomeTotal
Three Months Ended September 30, 2015
Bonds available for sale$304$(15)$5$294
Other bond securities7-7380
Equity securities available for sale----
Other invested assets(25)(22)(5)(52)
Policyholder contract deposits-(871)-(871)
Derivative liabilities, net-(17)(9)(26)
Long-term debt--33
Three Months Ended September 30, 2014
Bonds available for sale$320$(22)$12$310
Other bond securities(3)-236233
Equity securities available for sale----
Other invested assets18(20)(5)(7)
Policyholder contract deposits-(155)-(155)
Derivative liabilities, net18(1)7491
Long-term debt--2121
Nine Months Ended September 30, 2015
Bonds available for sale$926$(14)$112$1,024
Other bond securities483460511
Equity securities available for sale-2-2
Other invested assets6135559475
Policyholder contract deposits-(410)-(410)
Derivative liabilities, net-(12)228216
Long-term debt--55
Nine Months Ended September 30, 2014
Bonds available for sale$922$(73)$37$886
Other bond securities972892991
Equity securities available for sale----
Other invested assets107(33)680
Policyholder contract deposits-(687)-(687)
Derivative liabilities, net494240293
Long-term debt--1313
Gross components of purchases, sales, issuances and settlements, net
Purchases,
Sales, Issues and
(in millions)PurchasesSalesSettlementsSettlements, Net(a)
Three Months Ended September 30, 2015
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$35$-$(19)$16
Non-U.S. governments3(1)(3)(1)
Corporate debt32-(95)(63)

RMBS449(29)(772)(352)
CMBS50--50
CDO/ABS160(9)(172)(21)
Total bonds available for sale729(39)(1,061)(371)
Other bond securities:
RMBS218(6)(43)169
CMBS--(8)(8)
CDO/ABS10(5)(420)(415)
Total other bond securities228(11)(471)(254)
Equity securities available for sale----
Mortgage and other loans receivable5--5
Other invested assets193-(129)64
Total assets$1,155$(50)$(1,661)$(556)
Liabilities:
Policyholder contract deposits$-$(122)$(24)$(146)
Derivative liabilities, net1-(7)(6)
Long-term debt(b)----
Total liabilities$1$(122)$(31)$(152)
Three Months Ended September 30, 2014
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$66$(3)$(20)$43
Non-U.S. governments1--1
Corporate debt22-(95)(73)
RMBS1,062(62)(625)375
CMBS276(167)(95)14
CDO/ABS1,085(68)(325)692
Total bonds available for sale2,512(300)(1,160)1,052
Other bond securities:
RMBS-(3)(36)(39)
CMBS-(9)(11)(20)
CDO/ABS6(4)(453)(451)
Total other bond securities6(16)(500)(510)
Equity securities available for sale----
Other invested assets276-(211)65
Total assets$2,794$(316)$(1,871)$607
Liabilities:
Policyholder contract deposits$-$(36)$34$(2)
Derivative liabilities, net-(2)(21)(23)
Long-term debt(b)--11
Total liabilities$-$(38)$14$(24)
Purchases,
Sales, Issues and
(in millions)PurchasesSalesSettlementsSettlements, Net(a)
Nine Months Ended September 30, 2015
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$258$(22)$(62)$174
Non-U.S. governments11(1)(7)3
Corporate debt220(60)(369)(209)

RMBS1,856(194)(2,090)(428)
CMBS192(27)(68)97
CDO/ABS1,021(210)(713)98
Total bonds available for sale3,558(514)(3,309)(265)
Other bond securities:
RMBS527(16)(122)389
CMBS-(79)(83)(162)
CDO/ABS236(376)(1,201)(1,341)
Total other bond securities763(471)(1,406)(1,114)
Equity securities available for sale-(2)(1)(3)
Mortgage and other loans receivable5--5
Other invested assets497(587)(432)(522)
Total assets$4,823$(1,574)$(5,148)$(1,899)
Liabilities:
Policyholder contract deposits$-$(307)$(23)$(330)
Derivative liabilities, net18-233251
Long-term debt(b)--1818
Total liabilities$18$(307)$228$(61)
Nine Months Ended September 30, 2014
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions(c)$1,002$(35)$(71)$896
Non-U.S. governments8-(1)7
Corporate debt141(8)(273)(140)
RMBS2,814(88)(1,727)999
CMBS368(224)(187)(43)
CDO/ABS2,307(70)(811)1,426
Total bonds available for sale6,640(425)(3,070)3,145
Other bond securities:
RMBS162(22)(107)33
CMBS-(15)(136)(151)
CDO/ABS50(19)(1,369)(1,338)
Total other bond securities212(56)(1,612)(1,456)
Equity securities available for sale----
Mortgage and other loans receivable6--6
Other invested assets709(1)(609)99
Total assets$7,567$(482)$(5,291)$1,794
Liabilities:
Policyholder contract deposits$-$(94)$118$24
Derivative liabilities, net1(2)(1)(2)
Long-term debt(b)--3434
Total liabilities$1$(96)$151$56

(a) There were no issuances during the three- and nine-month periods ended September 30, 2015 and 2014, respectively.

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

(c) Purchases primarily reflect the effect of consolidating previously unconsolidated securitization vehicles.
Significant unobservable inputs used for recurring fair value measurements
Fair Value at
September 30,ValuationRange
(in millions)2015TechniqueUnobservable Input(Weighted Average)
Assets:
Obligations of states,$1,199Discounted cash flowYield(b)4.34% - 5.16% (4.75%)
municipalities and
political subdivisions
Corporate debt1,506Discounted cash flowYield(b)3.91% - 5.80% (4.85%)
RMBS17,609Discounted cash flowConstant prepayment rate(a)(c)0.93% - 8.91% (4.92%)
Loss severity(a)(c)45.29% - 77.96% (61.63%)
Constant default rate(a)(c)3.47% - 9.01% (6.24%)
Yield(c)3.02% - 5.96% (4.49%)
CDO/ABS3,217Discounted cash flowYield(c)2.79% - 4.33% (3.56%)
CMBS2,656Discounted cash flowYield(b)0.00% - 18.45% (6.07%)
Liabilities:
Policyholder contract
deposits
GMWB1,392Discounted cash flowEquity implied volatility(b)6.00% - 39.00%(d)
Base lapse rate(b)0.50% - 30.00%(d)
Dynamic lapse rate(b)0.07% - 45.00%(d)
Mortality rate(b)0.05% - 35.00%(d)
Utilization rate(b)1.00% - 65.00%(d)
Index Annuities556Discounted cash flowLapse rate0.75% - 66.00%(d)
Mortality rate0.02% - 44.06%(d)
Indexed Life295Discounted cash flowEquity implied volatility10.00% to 25.00%(d)
Base lapse rate2.00% to 19.00%(d)
Mortality rate0.00% to 20.00%(d)

Fair Value at
December 31,ValuationRange
(in millions)2014TechniqueUnobservable Input(Weighted Average )
Assets:
Obligations of states,$1,178Discounted cash flowYield(b)3.9% - 4.62% (4.26%)
municipalities and
political subdivisions
Corporate debt1,145Discounted cash flowYield(b)3.46% - 8.75% (6.10%)
RMBS17,353Discounted cash flowConstant prepayment rate(a)(c)0.59% - 9.35% (4.97%)
Loss severity(a)(c)46.04% - 79.56% (62.80%)
Constant default rate(a)(c)3.67% - 9.96% (6.82%)
Yield(c)2.67% - 6.64% (4.65%)
CDO/ABS5,282Discounted cash flowYield(c)4.70% - 9.70% (7.10%)
CMBS2,687Discounted cash flowYield(b)0.00% - 17.29% (6.06%)
Liabilities:
Policyholder contract
deposits
GMWB890Discounted cash flowEquity implied volatility(b)6.00% - 39.00%(d)
Base lapse rate(b)1.00% - 40.00%(d)
Dynamic lapse rate(b)0.20% - 60.00%(d)
Mortality rate(b)0.10% - 35.00%(d)
Utilization rate(b)0.50% - 30.00%(d)
Index Annuities294Discounted cash flowLapse rate0.75% - 66.00%(d)
Mortality rate0.02% - 44.06%(d)
Indexed Life259Discounted cash flowEquity implied volatility10.00% to 25.00%(d)
Base lapse rate2.00% to 19.00%(d)
Mortality rate0.00% to 20.00%(d)
Total derivative
liabilities, net(e) 791BETRecovery rate(b)5.00% - 23.00% (13.00%)
Diversity score(b)8 - 25 (13)
Weighted average life(b)2.67 - 10.49 years (4.65 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 fair values of 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) Represents actual maximum and minimum, not weighted average rates.

(e) Beginning in the third quarter of 2015, we have begun valuing these transactions using prices obtained from vendors and/or counterparties and discontinued use of the BET model.
Investments in Certain Entities Carried at Fair Value Using Net Asset Value per Share
September 30, 2015December 31, 2014
Fair Value Using Net Asset Value Per Share (or its equivalent)Fair Value Using Net Asset Value Per Share (or its equivalent)
UnfundedUnfunded
(in millions)Investment Category IncludesCommitmentsCommitments
Investment Category
Private equity funds:
Leveraged buyoutDebt 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$1,941$423$2,275$450
Real Estate / InfrastructureInvestments in real estate properties and infrastructure positions, including power plants and other energy generating facilities328202384227
Venture capitalEarly-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 company1185312126
DistressedSecurities of companies that are in default, under bankruptcy protection, or troubled 1584216443
OtherIncludes multi-strategy, mezzanine and other strategies288260216234
Total private equity funds2,8339803,160980
Hedge funds:
Event-drivenSecurities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations1,242-1,109-
Long-shortSecurities that the manager believes are undervalued, with corresponding short positions to hedge market risk2,99882,4281
MacroInvestments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions552-498-
DistressedSecurities of companies that are in default, under bankruptcy protection or troubled 736107315
Emerging marketsInvestments in the financial markets of developing countries358-308-
OtherIncludes multi-strategy, relative value and other strategies162-125-
Total hedge funds6,048185,1996
Total$8,881$998$8,359$986
Gains or losses related to the eligible instruments for which AIG elected the fair value option
Gain (Loss) Three Months Ended September 30,Gain (Loss) Nine Months Ended September 30,
(in millions)2015201420152014
Assets:
Bond and equity securities$(106)$252$495$1,529
Alternative Investments(a)(115)73148245
Other, including Short-term investments-227
Liabilities:
Long-term debt(b)(144)23(89)(186)
Other liabilities-(4)(3)(10)
Total gain (loss)$(365)$346$553$1,585

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

(b) Includes GIAs, notes, bonds, loans and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option
September 30, 2015December 31, 2014
OutstandingOutstanding
(in millions)Fair ValuePrincipal AmountDifferenceFair ValuePrincipal AmountDifference
Assets:
Mortgage and other loans receivable$11$9$2$6$4$2
Liabilities:
Long-term debt*$3,985$2,883$1,102$5,466$4,101$1,365

* Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges
Assets at Fair ValueImpairment Charges
Non-Recurring BasisThree Months Ended September 30,Nine Months Ended September 30,
(in millions) Level 1 Level 2 Level 3 Total 2015201420152014
September 30, 2015
Other investments$-$-$986$986$22$62$74$117
Investments in life settlements--6336335852200139
Other assets--121241122
Total$-$-$1,631$1,631$84$115$286$258
December 31, 2014
Other investments$-$-$790$790
Investments in life settlements--537537
Other assets--11
Total$-$-$1,328$1,328
Carrying value and estimated fair value of AIG's financial instruments
Estimated Fair ValueCarrying
(in millions)Level 1Level 2Level 3TotalValue
September 30, 2015
Assets:
Mortgage and other loans receivable$-$202$29,134$29,336$28,225
Other invested assets-4863,0003,4864,338
Short-term investments-9,675-9,6759,675
Cash1,569--1,5691,569
Liabilities:
Policyholder contract deposits associated
with investment-type contracts-268115,672115,940107,422
Other liabilities-1,756-1,7561,756
Long-term debt-22,9934,74227,73526,734
December 31, 2014
Assets:
Mortgage and other loans receivable$-$449$26,157$26,606$24,984
Other invested assets-5932,8823,4754,352
Short-term investments-9,559-9,5599,559
Cash1,758--1,7581,758
Liabilities:
Policyholder contract deposits associated
with investment-type contracts-244119,268119,512106,395
Other liabilities-1,120-1,1201,120
Long-term debt-24,7492,93227,68125,751