Summary of Assets Supporting Funds Withheld Arrangements |
There is a diverse pool of assets supporting the funds withheld arrangements with Fortitude Re. The following summarizes the composition of the pool of assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | (in millions) | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | Corresponding Accounting Policy | Fixed maturity securities - available for sale(a) | $ | 19,247 | | $ | 19,247 | | | $ | 31,815 | | $ | 31,815 | | Fair value through other comprehensive income (loss) | Fixed maturity securities - fair value option | | 3,800 | | | 3,800 | | | | 1,983 | | | 1,983 | | Fair value through net investment income | Commercial mortgage loans | | 4,076 | | | 3,830 | | | | 3,637 | | | 3,859 | | Amortized cost | Real estate investments | | 139 | | | 364 | | | | 201 | | | 395 | | Amortized cost | Private equity funds / hedge funds | | 1,861 | | | 1,861 | | | | 1,606 | | | 1,606 | | Fair value through net investment income | Policy loans | | 357 | | | 357 | | | | 380 | | | 380 | | Amortized cost | Short-term investments | | 160 | | | 160 | | | | 50 | | | 50 | | Fair value through net investment income | Funds withheld investment assets | | 29,640 | | | 29,619 | | | | 39,672 | | | 40,088 | | | Derivative assets, net(b) | | 97 | | | 97 | | | | 81 | | | 81 | | Fair value through net realized gains (losses) | Other(c) | | 708 | | | 708 | | | | 602 | | | 602 | | Amortized cost | Total | $ | 30,445 | | $ | 30,424 | | | $ | 40,355 | | $ | 40,771 | | |
(a)The change in the net unrealized gains (losses) on available for sale securities related to the Fortitude Re funds withheld assets was $(7.7) billion ($(6.1) billion after-tax) and $(2.1) billion ($(1.6) billion after-tax), respectively for the nine months ended September 30, 2022 and 2021. (b)The derivative assets and liabilities have been presented net of cash collateral. The derivative assets and liabilities supporting the Fortitude Re funds withheld arrangements had a fair market value of $366 million and $19 million, respectively, as of September 30, 2022. The derivative assets and liabilities supporting the Fortitude Re funds withheld arrangements had a fair market value of $389 million and $10 million, respectively, as of December 31, 2021. These derivative assets and liabilities are fully collateralized either by cash or securities. (c)Primarily comprised of Cash and Accrued investment income.
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Summary of The Impact of Funds Withheld Arrangements |
The impact of the funds withheld arrangements with Fortitude Re was as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | (in millions) | | 2022 | | 2021 | | | 2022 | | 2021 | Net underwriting income | $ | — | | $ | — | | | $ | — | | $ | — | | Net investment income - Fortitude Re funds withheld assets | | 155 | | | 495 | | | | 634 | | | 1,488 | | Net realized gains (losses) on Fortitude Re funds withheld assets: | | | | | | | | | | Net realized gains (losses) - Fortitude Re funds withheld assets | | (86) | | | 190 | | | | (312) | | | 536 | | Net realized gains (losses) - Fortitude Re embedded derivative | | 1,757 | | | (209) | | | | 7,851 | | | 117 | | Net realized gains (losses) on Fortitude Re funds withheld assets | | 1,671 | | | (19) | | | | 7,539 | | | 653 | | Income from continuing operations before income tax expense | | 1,826 | | | 476 | | | | 8,173 | | | 2,141 | | Income tax expense(a) | | 383 | | | 99 | | | | 1,716 | | | 449 | | Net income | | 1,443 | | | 377 | | | | 6,457 | | | 1,692 | | Change in unrealized depreciation of all other investments(a) | | (1,317) | | | (360) | | | | (6,111) | | | (1,645) | | Comprehensive income | $ | 126 | | $ | 17 | | | $ | 346 | | $ | 47 | |
(a)The income tax expense (benefit) and the tax impact in AOCI was computed using AIG’s U.S. statutory tax rate of 21 percent.
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Reinsurance Recoverable, Allowance for Credit Loss |
The following table presents a rollforward of the reinsurance recoverable allowance: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | 2022 | | | 2021 | (in millions) | General Insurance | Life and Retirement | | Total | | General Insurance | Life and Retirement | | Total | Balance, beginning of period | $ | 284 | | $ | 107 | | $ | 391 | | | $ | 287 | | $ | 87 | | $ | 374 | | Addition to (release of) allowance for expected credit losses and disputes, net | | 4 | | | 1 | | | 5 | | | | 5 | | | 15 | | | 20 | | Write-offs charged against the allowance for credit losses and disputes | | (1) | | | — | | | (1) | | | | (8) | | | — | | | (8) | | Recoveries of amounts previously written off | | — | | | — | | | — | | | | — | | | — | | | — | | Other changes | | (1) | | | — | | | (1) | | | | 2 | | | — | | | 2 | | Balance, end of period | $ | 286 | | $ | 108 | | $ | 394 | | | $ | 286 | | $ | 102 | | $ | 388 | | Nine Months Ended September 30, | | 2022 | | | 2021 | (in millions) | General Insurance | Life and Retirement | | Total | | General Insurance | Life and Retirement | | Total | Balance, beginning of year | $ | 281 | | $ | 101 | | $ | 382 | | | $ | 292 | | $ | 83 | | $ | 375 | | | | | | | | | | | | | | | | Addition to (release of) allowance for expected credit losses and disputes, net | | 5 | | | 7 | | | 12 | | | | 5 | | | 19 | | | 24 | | Write-offs charged against the allowance for credit losses and disputes | | (3) | | | — | | | (3) | | | | (15) | | | — | | | (15) | | Recoveries of amounts previously written off | | 2 | | | — | | | 2 | | | | — | | | — | | | — | | Other changes | | 1 | | | — | | | 1 | | | | 4 | | | — | | | 4 | | Balance, end of period | $ | 286 | | $ | 108 | | $ | 394 | | | $ | 286 | | $ | 102 | | $ | 388 | |
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