Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Fair Value Measurements

5. Fair Value Measurements

FAIR VALUE MEASUREMENTS ON A RECURRING BASIS

We carry certain of our financial instruments at fair value. We define the fair value of a financial instrument as the amount that would be received from the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. We are responsible for the determination of the value of the investments carried at fair value and the supporting methodologies and assumptions.

The degree of judgment used in measuring the fair value of financial instruments generally inversely correlates with the level of observable valuation inputs. We maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. Financial instruments with quoted prices in active markets generally have more pricing observability and less judgment is used in measuring fair value. Conversely, financial instruments for which no quoted prices are available have less observability and are measured at fair value using valuation models or other pricing techniques that require more judgment. Pricing observability is affected by a number of factors, including the type of financial instrument, whether the financial instrument is new to the market and not yet established, the characteristics specific to the transaction, liquidity and general market conditions.

Fair Value Hierarchy

Assets and liabilities recorded at fair value in the Consolidated Balance Sheets are measured and classified in accordance with a fair value hierarchy consisting of three “levels” based on the observability of valuation inputs:

•Level 1: Fair value measurements based on quoted prices (unadjusted) in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets. We do not adjust the quoted price for such instruments.

•Level 2: Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals.

•Level 3: Fair value measurements based on valuation techniques that use significant inputs that are unobservable. Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability. Therefore, we must make certain assumptions about the inputs a hypothetical market participant would use to value that asset or liability.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the levels discussed above, and the observability of the inputs used determines the appropriate level in the fair value hierarchy for the respective asset or liability.

VALUATION METHODOLOGIES OF FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE

Incorporation of Credit Risk in Fair Value Measurements

•Our Own Credit Risk. Fair value measurements for certain liabilities incorporate our own credit risk by determining the explicit cost for each counterparty to protect against its net credit exposure to us at the balance sheet date by reference to observable AIG credit default swaps (CDS) or cash bond spreads. We calculate the effect of credit spread changes using discounted cash flow techniques that incorporate current market interest rates. A derivative counterparty’s net credit exposure to us is determined based on master netting agreements, when applicable, which take into consideration all derivative positions with us, as well as collateral we post with the counterparty at the balance sheet date. For a description of how we incorporate our own credit risk in the valuation of embedded derivatives related to certain annuity and life insurance products, see – Market Risk Benefits and Embedded Derivatives within Policyholder Contract Deposits below.

•Counterparty Credit Risk. Fair value measurements for freestanding derivatives incorporate counterparty credit by determining the explicit cost for us to protect against our net credit exposure to each counterparty at the balance sheet date by reference to observable counterparty CDS spreads, when available. When not available, other directly or indirectly observable credit spreads will be used to derive the best estimates of the counterparty spreads. Our net credit exposure to a counterparty is determined based on master netting agreements, which take into consideration all derivative positions with the counterparty, as well as collateral posted by the counterparty at the balance sheet date.

Fair values for fixed maturity securities based on observable market prices for identical or similar instruments implicitly incorporate counterparty credit risk. Fair values for fixed maturity securities based on internal models incorporate counterparty credit risk by using discount rates that take into consideration cash issuance spreads for similar instruments or other observable information.

For fair values measured based on internal models, the cost of credit protection is determined under a discounted present value approach considering the market levels for single name CDS spreads for each specific counterparty, the mid-market value of the net exposure (reflecting the amount of protection required) and the weighted average life of the net exposure. CDS spreads are provided to us by an independent third party. We utilize an interest rate based on the appropriate benchmark curve to derive our discount rates.

While this approach does not explicitly consider all potential future behavior of the derivative transactions or potential future changes in valuation inputs, we believe this approach provides a reasonable estimate of the fair value of the assets and liabilities, including consideration of the impact of non-performance risk.

Fixed Maturity Securities

Whenever available, we obtain quoted prices in active markets for identical assets at the balance sheet date to measure fixed maturity securities at fair value. Market price data is generally obtained from dealer markets.

We employ independent third-party valuation service providers to gather, analyze, and interpret market information to derive fair value estimates for individual investments, based upon market-accepted methodologies and assumptions. The methodologies used by these independent third-party valuation service providers are reviewed and understood by management, through periodic discussion with and information provided by the independent third-party valuation service providers. In addition, as discussed further below, control processes designed to ensure the accuracy of these values are applied to the fair values received from independent third-party valuation service providers.

Valuation service providers typically obtain data about market transactions and other key valuation model inputs from multiple sources and, through the use of market-accepted valuation methodologies, which may utilize matrix pricing, financial models, accompanying model inputs and various assumptions, provide a single fair value measurement for individual securities. The inputs used by the valuation service providers include, but are not limited to, market prices from completed transactions for identical securities and transactions for comparable securities, benchmark yields, interest rate yield curves, credit spreads, prepayment rates, default rates, recovery assumptions, currency rates, quoted prices for similar securities and other market-observable information, as applicable. If fair value is determined using financial models, these models generally take into account, among other things, market observable information as of the measurement date as well as the specific attributes of the security being valued, including its term, interest rate, credit rating, industry sector, and when applicable, collateral quality and other security or issuer-specific information. When market transactions or other market observable data is limited, the extent to which judgment is applied in determining fair value is greatly increased.

We have control processes designed to ensure that the fair values received from independent third-party valuation service providers are accurately recorded, that their data inputs and valuation techniques are appropriate and consistently applied and that the assumptions used appear reasonable and consistent with the objective of determining fair value. We assess the reasonableness of individual security values received from independent third-party valuation service providers through various analytical techniques, and have procedures to escalate related questions internally and to the independent third-party valuation service providers for resolution. To assess the degree of pricing consensus among various valuation service providers for specific asset types, we conduct comparisons of prices received from available sources. We use these comparisons to establish a hierarchy for the fair values received from independent third-party valuation service providers to be used for particular security classes. We also validate prices for selected securities through reviews by members of management who have relevant expertise and who are independent of those charged with executing investing transactions.

When our independent third-party valuation service providers are unable to obtain sufficient market observable information upon which to estimate the fair value for a particular security, fair value is determined either by requesting brokers who are knowledgeable about these securities to provide a price quote, which is generally non-binding, or by employing market accepted valuation models internally or via our third party asset managers. Broker prices may be based on an income approach, which converts expected future cash flows to a single present value amount, with specific consideration of inputs relevant to particular security types. For structured securities, such inputs may include ratings, collateral types, geographic concentrations, underlying loan vintages, loan delinquencies and defaults, loss severity assumptions, prepayments, and weighted average coupons and maturities. When the volume or level of market activity for a security is limited, certain inputs used to determine fair value may not be observable in the market. Broker prices may also be based on a market approach that considers recent transactions involving identical or similar securities. Fair values provided by brokers are subject to similar control processes to those noted above for fair values from independent third-party valuation service providers, including management reviews. For those corporate debt instruments (for example, private placements) that are not traded in active markets or that are subject to transfer restrictions, valuations reflect illiquidity and non-transferability, based on available market evidence. When observable price quotations are not available, fair value is determined based on discounted cash flow models using discount rates based on credit spreads, yields or price levels of comparable securities, adjusted for illiquidity and structure. Fair values determined internally or via our third party asset managers are also subject to management review to ensure that valuation models and related inputs are reasonable.

The methodology above is relevant for all fixed maturity securities including residential mortgage backed securities (RMBS), commercial mortgage backed securities (CMBS), collateralized loan obligations (CLO), other asset‑backed securities (ABS) and fixed maturity securities issued by government sponsored entities and corporate entities.

Equity Securities Traded in Active Markets

Whenever available, we obtain quoted prices in active markets for identical assets at the balance sheet date to measure equity securities at fair value. Market price data is generally obtained from exchange or dealer markets.

Mortgage and Other Loans Receivable

We estimate the fair value of mortgage and other loans receivable that are measured at fair value by using dealer quotations, discounted cash flow analyses and/or internal valuation models. The determination of fair value considers inputs such as interest rate, maturity, the borrower’s creditworthiness, collateral, subordination, guarantees, past-due status, yield curves, credit curves, prepayment rates, market pricing for comparable loans and other relevant factors.

Other Invested Assets

We initially estimate the fair value of investments in certain hedge funds, private equity funds and other investment partnerships by reference to the transaction price. Subsequently, we generally obtain the fair value of these investments from net asset value information provided by the general partner or manager of the investments, the financial statements of which are generally audited annually. We consider observable market data and perform certain control procedures to validate the appropriateness of using the net asset value as a fair value measurement. The fair values of other investments carried at fair value, such as direct private equity holdings, are initially determined based on transaction price and are subsequently estimated based on available evidence such as market transactions in similar instruments, other financing transactions of the issuer and other available financial information for the issuer, with adjustments made to reflect illiquidity as appropriate.

Short-term Investments

For short-term investments that are measured at amortized cost, the carrying amounts of these assets approximate fair values because of the relatively short period of time between origination and expected realization, and their limited exposure to credit risk. Securities purchased under agreements to resell (reverse repurchase agreements) are generally treated as collateralized receivables. We report certain receivables arising from securities purchased under agreements to resell as Short-term investments in the Consolidated Balance Sheets. When these receivables are measured at fair value, we use market-observable interest rates to determine fair value.

Separate Account Assets

Separate account assets are composed primarily of registered and unregistered open-end mutual funds that generally trade daily and are measured at fair value in the manner discussed above for equity securities traded in active markets.

Freestanding Derivatives

Derivative assets and liabilities can be exchange-traded or traded over-the-counter (OTC). We generally value exchange-traded derivatives such as futures and options using quoted prices in active markets for identical derivatives at the balance sheet date.

OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market clearing transactions, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. When models are used, the selection of a particular model to value an OTC derivative depends on the contractual terms of, and specific risks inherent in the instrument, as well as the availability of pricing information in the market. We generally use similar models to value similar instruments. Valuation models require a variety of inputs, including contractual terms, market prices and rates, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, such as generic forwards, swaps and options, model inputs can generally be corroborated by observable market data by correlation or other means, and model selection does not involve significant management judgment.

For certain OTC derivatives that trade in less liquid markets, where we generally do not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, the transaction price may provide the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so the model value at inception equals the transaction price. We will update valuation inputs in these models only when corroborated by evidence such as similar market transactions, independent third-party valuation service providers and/or broker or dealer quotations, or other empirical market data. When appropriate, valuations are adjusted for various factors such as liquidity, bid/offer spreads and credit considerations. Such adjustments are generally based on available market evidence. In the absence of such evidence, management’s best estimate is used.

We value our super senior credit default swap portfolio using prices obtained from vendors and/or counterparties. The valuation of the super senior credit derivatives is complex because of the limited availability of market observable information due to the lack of trading and price transparency in certain structured finance markets. Our valuation methodologies for the super senior CDS portfolio have evolved over time in response to market conditions and the availability of market observable information. We have sought to calibrate the methodologies to available market information and to review the assumptions of the methodologies on a regular basis.

Market Risk Benefits and Embedded Derivatives within Policyholder Contract Deposits

Certain variable annuity, fixed annuity and fixed index annuity contracts contain MRBs related to guaranteed benefit features that we separate from the host contracts and account for at fair value, with certain changes recognized in earnings. MRBs are contracts or contract features that provide protection to policyholders from other-than-nominal capital market risks and expose the insurance entity to other-than-nominal capital market risks.

The fair value of MRBs contained in certain variable annuity, fixed annuity and fixed index annuity contracts is measured based on policyholder behavior and capital market assumptions related to projected cash flows over the expected lives of the contracts. These discounted cash flow projections primarily include benefits and related fees assessed, when applicable. In some instances, the projected cash flows from fees may exceed projected cash flows related to benefit payments and therefore, at a point in time, the carrying value of the MRBs may be in a net asset position. The projected cash flows incorporate best estimate assumptions for policyholder behavior (including mortality, lapses, withdrawals and benefit utilization), along with an explicit risk margin to reflect a market participant’s estimates of the fair value of projected cash flows and policyholder behavior. Estimates of future policyholder behavior assumptions are subjective and are based primarily on our historical experience.

Because of the dynamic and complex nature of the projected cash flows with respect to MRBs in our variable annuity, fixed annuity, and fixed index annuity contracts, risk neutral valuations are used, which are calibrated to observable interest rate and equity option prices. Estimating the underlying cash flows for these products involves judgments regarding the capital market assumptions related to expected market rates of return, market volatility, credit spreads, correlations of certain market variables, fund performance and discount rates. Additionally, estimating the underlying cash flows for these products also involves judgments regarding policyholder behavior. The portion of fees attributable to the fair value of expected benefit payments is included within the fair value measurement of these MRBs, and related fees are classified in change in the fair value of MRBs, net, as earned, consistent with other changes in the fair value of these MRBs. Any portion of the fees not attributed to the MRBs is excluded from the fair value measurement and classified in policy fees as earned.

Option pricing models are used to estimate the fair value of embedded derivatives in our fixed index annuity and life contracts, taking into account the capital market assumptions for future index growth rates, volatility of the index, future interest rates, and our ability to adjust the participation rate and the cap on fixed index credited rates in light of market conditions and policyholder behavior assumptions.

Projected cash flows are discounted using the interest rate swap curve (swap curve), which is viewed as being consistent with the credit spreads for highly-rated financial institutions (S&P AA-rated or above). A swap curve shows the fixed-rate leg of a non-complex swap against the floating rate (for example, Secured Overnight Financing Rate (SOFR)) leg of a related tenor. We also incorporate our own risk of non-performance in the valuation of MRBs and embedded derivatives associated with variable annuity, fixed annuity, fixed index annuity and life contracts. The non-performance risk adjustment (NPA) reflects a market participant’s view of our claims-paying ability by incorporating an additional spread to the swap curve used to discount projected benefit cash flows. The NPA is calculated by constructing forward rates based on a weighted average of observable corporate credit indices to approximate the claims-paying ability rating of our insurance companies. The corporate credit indices are observable for the first 30 years. For years 30 to 50, the yield is derived using market observable yields. Yields for years 50 to 100 are extrapolated using a flat forward approach, maintaining a constant forward spread through the period. MRBs are measured using a NPA that is a locked-in estimate of our claims-paying ability at policy issue (locked-in NPA) as well as a NPA that reflects an estimate of our current claims-paying ability (current NPA).

When MRBs are remeasured each period, both the interest rates and current NPA are updated. Changes in the swap curve and the time value accretion of the at-issue NPA are recorded to net income while the difference between the MRBs measured using the at-issue NPA and the current NPA is recorded to OCI. For embedded derivatives, changes in the interest rates and the period-over-period change in the NPA are recorded to net income.

Fortitude Re funds withheld payable

The reinsurance transactions between AIG and Fortitude Re were structured as modco and loss portfolio transfer arrangements with funds withheld (funds withheld). As a result of the deconsolidation of Fortitude Re, AIG has established a funds withheld payable to Fortitude Re while simultaneously establishing a reinsurance asset representing reserves for the insurance coverage that Fortitude Re has assumed. The funds withheld payable contains an embedded derivative and changes in fair value of the embedded derivative related to the funds withheld payable are recognized in earnings through realized gains (losses). This embedded derivative is considered a total return swap with contractual returns that are attributable to various assets and liabilities associated with these reinsurance agreements.

Long-Term Debt

The fair value of non-structured liabilities is generally determined by using market prices from exchange or dealer markets, when available, or discounting expected cash flows using the appropriate discount rate for the applicable maturity. We determine the fair value of structured liabilities and hybrid financial instruments (where performance is linked to structured interest rates, inflation or currency risks) using the appropriate derivative valuation methodology (described above) given the nature of the embedded risk profile. In addition, adjustments are made to the valuations of both non-structured and structured liabilities to reflect our own creditworthiness based on the methodology described in “Incorporation of Credit Risk in Fair Value Measurements – Our Own Credit Risk” above.

Borrowings under obligations of guaranteed investment agreements (GIAs), which are guaranteed by us, are recorded at fair value using discounted cash flow calculations based on interest rates currently being offered for similar contracts and our current market observable implicit credit spread rates with maturities consistent with those remaining for the contracts being valued. Obligations may be called at various times prior to maturity at the option of the counterparty.

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, 2023		Level 1		Level 2		Level 3	Counterparty Netting(a)		Cash Collateral			Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$	35	$	5,581	$	—	$	—	$	—	$	5,616
Obligations of states, municipalities and political subdivisions		—		9,816		847		—		—		10,663
Non-U.S. governments		233		12,213		7		—		—		12,453
Corporate debt		—		136,753		1,679		—		—		138,432
RMBS		—		12,804		7,640		—		—		20,444
CMBS		—		13,495		633		—		—		14,128
CLO/ABS		—		13,959		16,038		—		—		29,997
Total bonds available for sale		268		204,621		26,844		—		—		231,733
Other bond securities:
Obligations of states, municipalities and political subdivisions		—		90		1		—		—		91
Non-U.S. governments		—		37		—		—		—		37
Corporate debt		—		2,697		211		—		—		2,908
RMBS		—		105		158		—		—		263
CMBS		—		244		17		—		—		261
CLO/ABS		—		512		1,169		—		—		1,681
Total other bond securities		—		3,685		1,556		—		—		5,241
Equity securities		632		40		56		—		—		728
Other invested assets(b)		—		155		2,070		—		—		2,225
Derivative assets(c):
Interest rate contracts		—		2,826		460		—		—		3,286
Foreign exchange contracts		—		1,235		1		—		—		1,236
Equity contracts		7		1,187		825		—		—		2,019
Credit contracts		—		8		33		—		—		41
Other contracts		—		—		13		—		—		13
Counterparty netting and cash collateral		—		—		—		(3,864)		(2,220)		(6,084)
Total derivative assets		7		5,256		1,332		(3,864)		(2,220)		511
Short-term investments		2,635		8,137		—		—		—		10,772
Market risk benefit assets		—		—		912		—		—		912
Other assets(c)		—		—		243		—		—		243
Separate account assets		87,814		3,191		—		—		—		91,005
Total(d)	$	91,356	$	225,085	$	33,013	$	(3,864)	$	(2,220)	$	343,370
Liabilities:
Policyholder contract deposits	$	—	$	55	$	7,942	$	—	$	—	$	7,997
Market risk benefit liabilities		—		—		5,705		—		—		5,705
Derivative liabilities(c):
Interest rate contracts		—		3,631		—		—		—		3,631
Foreign exchange contracts		—		891		3		—		—		894
Equity contracts		2		680		63		—		—		745
Credit contracts		—		4		33		—		—		37
Other contracts		—		—		2		—		—		2
Counterparty netting and cash collateral		—		—		—		(3,864)		(1,050)		(4,914)
Total derivative liabilities		2		5,206		101		(3,864)		(1,050)		395
Fortitude Re funds withheld payable		—		—		(1,226)		—		—		(1,226)
Other liabilities		—		107		122		—		—		229
Long-term debt		—		53		—		—		—		53
Total	$	2	$	5,421	$	12,644	$	(3,864)	$	(1,050)	$	13,153

December 31, 2022		Level 1		Level 2		Level 3	Counterparty Netting(a)		Cash Collateral			Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$	25	$	6,594	$	—	$	—	$	—	$	6,619
Obligations of states, municipalities and political subdivisions		—		11,275		824		—		—		12,099
Non-U.S. governments		158		13,326		1		—		—		13,485
Corporate debt		—		134,992		2,847		—		—		137,839
RMBS		—		11,264		7,553		—		—		18,817
CMBS		—		13,267		926		—		—		14,193
CLO/ABS		—		10,356		12,748		—		—		23,104
Total bonds available for sale		183		201,074		24,899		—		—		226,156
Other bond securities:
Obligations of states, municipalities and political subdivisions		—		111		—		—		—		111
Non-U.S. governments		—		66		—		—		—		66
Corporate debt		—		1,976		416		—		—		2,392
RMBS		—		113		173		—		—		286
CMBS		—		303		28		—		—		331
CLO/ABS		—		389		910		—		—		1,299
Total other bond securities		—		2,958		1,527		—		—		4,485
Equity securities		518		18		39		—		—		575
Other invested assets (b)		—		145		2,075		—		—		2,220
Derivative assets(c):
Interest rate contracts		1		3,410		311		—		—		3,722
Foreign exchange contracts		—		1,844		—		—		—		1,844
Equity contracts		11		132		285		—		—		428
Commodity contracts		—		9		—		—		—		9
Credit contracts		—		—		32		—		—		32
Other contracts		—		—		14		—		—		14
Counterparty netting and cash collateral		—		—		—		(3,895)		(1,640)		(5,535)
Total derivative assets		12		5,395		642		(3,895)		(1,640)		514
Short-term investments		2,821		2,887		—		—		—		5,708
Market risk benefit assets		—		—		796		—		—		796
Other assets(c)		—		—		107		—		—		107
Separate account assets		81,655		3,198		—		—		—		84,853
Total	$	85,189	$	215,675	$	30,085	$	(3,895)	$	(1,640)	$	325,414
Liabilities:
Policyholder contract deposits	$	—	$	41	$	5,367	$	—	$	—	$	5,408
Market risk benefit liabilities		—		—		4,736		—		—		4,736
Derivative liabilities(c):
Interest rate contracts		—		4,838		—		—		—		4,838
Foreign exchange contracts		—		1,138		—		—		—		1,138
Equity contracts		2		10		14		—		—		26
Credit contracts		—		9		32		—		—		41
Counterparty netting and cash collateral		—		—		—		(3,895)		(1,917)		(5,812)
Total derivative liabilities		2		5,995		46		(3,895)		(1,917)		231
Fortitude Re funds withheld payable		—		—		(2,235)		—		—		(2,235)
Other liabilities		—		—		112		—		—		112
Long-term debt		—		56		—		—		—		56
Total	$	2	$	6,092	$	8,026	$	(3,895)	$	(1,917)	$	8,308

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

(b)Excludes investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent), which totaled $9.5 billion and $9.8 billion as of December 31, 2023 and 2022, respectively.

(c)Presented as part of Other assets and Other liabilities on the Consolidated Balance Sheets.

(d)Excludes $182 million of assets reclassified to Assets held for sale on the Consolidated Balance Sheets.

(in millions)		Fair Value Beginning of Year		MRBs and Net Realized and Unrealized Gains (Losses) Included in Income		Other Comprehensive Income (Loss)		Purchases, Sales, Issuances and Settlements, Net		Gross Transfers In		Gross Transfers Out		Other		Fair Value End of Year		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Year		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Year
December 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	824	$	(2)	$	67	$	(31)	$	—	$	(11)	$	—	$	847	$	—	$	35
Non-U.S. governments		1		1		1		(5)		11		(2)		—		7		—		1
Corporate debt		2,847		(104)		24		(595)		818		(1,295)		(16)		1,679		—		(24)
RMBS		7,553		430		12		(249)		33		(139)		—		7,640		—		(63)
CMBS		926		(23)		(49)		(58)		223		(386)		—		633		—		(94)
CLO/ABS		12,748		228		408		2,070		675		(251)		160		16,038		—		243
Total bonds available for sale		24,899		530		463		1,132		1,760		(2,084)		144		26,844		—		98
Other bond securities:
Obligations of states, municipalities and political subdivisions		—		—		—		1		—		—		—		1		—		—
Corporate debt		416		(14)		—		—		—		(191)		—		211		(15)		—
RMBS		173		9		—		(24)		—		—		—		158		(5)		—
CMBS		28		(4)		—		(7)		—		—		—		17		—		—
CLO/ABS		910		68		—		153		5		(47)		80		1,169		(36)		—
Total other bond securities		1,527		59		—		123		5		(238)		80		1,556		(56)		—
Equity securities		39		1		—		27		10		(20)		(1)		56		1		—
Other invested assets		2,075		(150)		11		90		44		—		—		2,070		(151)		—
Other assets		107		—		—		136		—		—		—		243		—		—
Total(a)	$	28,647	$	440	$	474	$	1,508	$	1,819	$	(2,342)	$	223	$	30,769	$	(206)	$	98
(in millions)		Fair Value Beginning of Year		MRBs and Net Realized and Unrealized (Gains) Losses Included in Income		Other Comprehensive Income (Loss)		Purchases, Sales, Issuances and Settlements, Net		Gross Transfers In		Gross Transfers Out		Other		Fair Value End of Year		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Year		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Year
Liabilities:
Policyholder contract deposits	$	5,367	$	1,464	$	—	$	1,111	$	—	$	—	$	—	$	7,942	$	(733)	$	—
Derivative liabilities, net:
Interest rate contracts		(311)		11		—		(160)		—		—		—		(460)		82		—
Foreign exchange contracts		—		2		—		—		—		—		—		2		(2)		—
Equity contracts		(271)		99		—		(590)		—		—		—		(762)		438		—
Other contracts		(14)		(64)		—		67		—		—		—		(11)		64		—
Total derivative liabilities, net(b)		(596)		48		—		(683)		—		—		—		(1,231)		582		—
Fortitude Re funds withheld payable		(2,235)		2,007		—		(998)		—		—		—		(1,226)		(872)		—
Other Liabilities		112		10		—		—		—		—		—		122		—		—
Total(c)	$	2,648	$	3,529	$	—	$	(570)	$	—	$	—	$	—	$	5,607	$	(1,023)	$	—

(in millions)		Fair Value Beginning of Year		MRBs and Net Realized and Unrealized Gains (Losses) Included in Income		Other Comprehensive Income (Loss)		Purchases, Sales, Issuances and Settlements, Net		Gross Transfers In		Gross Transfers Out		Other		Fair Value End of Year		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Year		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Year
December 31, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	1,431	$	1	$	(533)	$	(104)	$	40	$	(11)	$	—	$	824	$	—	$	(223)
Non-U.S. governments		7		1		3		(10)		3		(3)		—		1		—		(1)
Corporate debt		2,641		37		(238)		(87)		1,155		(661)		—		2,847		—		(217)
RMBS		10,378		452		(1,319)		(1,511)		8		(455)		—		7,553		—		(504)
CMBS		1,190		7		(162)		137		102		(348)		—		926		—		(133)
CLO/ABS		11,215		114		(1,658)		3,279		2,003		(2,205)		—		12,748		—		(1,605)
Total bonds available for sale		26,862		612		(3,907)		1,704		3,311		(3,683)		—		24,899		—		(2,683)
Other bond securities:
Corporate debt		134		(5)		—		158		334		(205)		—		416		(2)		—
RMBS		196		(39)		—		16		—		—		—		173		(38)		—
CMBS		35		(6)		—		(1)		—		—		—		28		(4)		—
CLO/ABS		2,332		(233)		—		(1,182)		77		(84)		—		910		(156)		—
Total other bond securities		2,697		(283)		—		(1,009)		411		(289)		—		1,527		(200)		—
Equity securities		6		(1)		—		27		16		(9)		—		39		(1)		—
Other invested assets		1,948		338		(22)		(26)		47		(210)		—		2,075		355		—
Other assets		114		—		—		(7)		—		—		—		107		—		—
Total(a)	$	31,627	$	666	$	(3,929)	$	689	$	3,785	$	(4,191)	$	—	$	28,647	$	154	$	(2,683)
(in millions)		Fair Value Beginning of Year		MRBs and Net Realized and Unrealized (Gains) Losses Included in Income		Other Comprehensive Income (Loss)		Purchases, Sales, Issuances and Settlements, Net		Gross Transfers In		Gross Transfers Out		Other		Fair Value End of Year		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Year		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Year
Liabilities:
Policyholder contract deposits	$	5,572	$	(1,107)	$	—	$	902	$	—	$	—	$	—	$	5,367	$	1,363	$	—
Derivative liabilities, net:
Interest rate contracts		—		9		—		(245)		(81)		6		—		(311)		71		—
Foreign exchange contracts		(1)		—		—		1		—		—		—		—		(1)		—
Equity contracts		(444)		487		—		(313)		—		(1)		—		(271)		(246)		—
Credit contracts		30		3		—		(1)		—		—		(32)		—		(31)		—
Other contracts		(13)		(65)		—		64		—		—		—		(14)		65		—
Total derivative liabilities, net(b)		(428)		434		—		(494)		(81)		5		(32)		(596)		(142)		—
Fortitude Re funds withheld payable		5,922		(7,481)		—		(676)		—		—		—		(2,235)		7,729		—
Other liabilities		—		—		—		112		—		—		—		112		—		—
Total(c)	$	11,066	$	(8,154)	$	—	$	(156)	$	(81)	$	5	$	(32)	$	2,648	$	8,950	$	—

(a)Excludes MRB assets of $912 million at December 31, 2023 and $796 million at December 31, 2022. For additional information, see Note 14.

(b)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

(c)Excludes MRB liabilities of $5.7 billion at December 31, 2023 and $4.7 billion at December 31, 2022. For additional information, see Note 14.

Market risk benefits and net realized and unrealized gains and losses included in income related to Level 3 assets and liabilities shown above are reported in the Consolidated Statements of Income (Loss) as follows:

(in millions)		Net Investment Income		Net Realized Gains (Losses)		Change in the fair value of market risk benefits, net(c)		Other Income		Total
December 31, 2023
Assets:
Bonds available for sale	$	592	$	(62)	$	—	$	—	$	530
Other bond securities		59		—		—		—		59
Equity securities		1		—		—		—		1
Other invested assets		(146)		(4)		—		—		(150)
December 31, 2022
Assets:
Bonds available for sale	$	694	$	(82)	$	—	$	—	$	612
Other bond securities		(283)		—		—		—		(283)
Equity securities		(1)		—		—		—		(1)
Other invested assets		346		(8)		—		—		338
(in millions)		Net Investment Income		Net Realized (Gains) Losses		Change in the fair value of market risk benefits, net(c)		Other Income		Total
December 31, 2023
Liabilities:
Policyholder contract deposits(a)	$	—	$	1,464	$	—	$	—	$	1,464
Market risk benefit liabilities, net(b)		—		(3)		(1,125)		—		(1,128)
Derivative liabilities, net		—		70		40		(62)		48
Fortitude Re funds withheld payable		—		2,007		—		—		2,007
Other Liabilities		—		10		—		—		10
December 31, 2022
Liabilities:
Policyholder contract deposits(a)	$	—	$	(1,107)	$	—	$	—	$	(1,107)
Market risk benefit liabilities, net(b)		—		—		(2,344)		—		(2,344)
Derivative liabilities, net		—		520		(25)		(61)		434
Fortitude Re funds withheld payable		—		(7,481)		—		—		(7,481)

(a)Primarily embedded derivatives.

(b)Market risk benefit assets and liabilities have been netted in the above table for presentation purposes only.

(c)The portion of the fair value change attributable to own credit risk is recognized in OCI.

The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the years ended December 31, 2023 and 2022 related to Level 3 assets and liabilities in the Consolidated Balance Sheets:

(in millions)		Purchases		Sales		Issuances and  Settlements(a)		Purchases, Sales,  Issuances and Settlements, Net(a)
December 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	1	$	(27)	$	(5)	$	(31)
Non-U.S. governments		—		—		(5)		(5)
Corporate debt		229		(34)		(790)		(595)
RMBS		935		(67)		(1,117)		(249)
CMBS		10		(50)		(18)		(58)
CLO/ABS		3,040		(450)		(520)		2,070
Total bonds available for sale		4,215		(628)		(2,455)		1,132
Other bond securities:
Obligations of states, municipalities and political subdivisions		3		(2)		—		1
Corporate debt		204		—		(204)		—
RMBS		6		—		(30)		(24)
CMBS		—		(7)		—		(7)
CLO/ABS		269		(20)		(96)		153
Total other bond securities		482		(29)		(330)		123

(in millions)		Purchases		Sales		Issuances and  Settlements(a)		Purchases, Sales,  Issuances and Settlements, Net(a)
Equity securities		32		(2)		(3)		27
Other invested assets		263		—		(173)		90
Other assets		130		—		6		136
Total	$	5,122	$	(659)	$	(2,955)	$	1,508
Liabilities:
Policyholder contract deposits	$	—	$	1,428	$	(317)	$	1,111
Derivative liabilities, net		(1,156)		28		445		(683)
Fortitude Re funds withheld payable		—		—		(998)		(998)
Total	$	(1,156)	$	1,456	$	(870)	$	(570)
December 31, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	6	$	(72)	$	(38)	$	(104)
Non-U.S. governments		—		—		(10)		(10)
Corporate Debt		143		(79)		(151)		(87)
RMBS		391		(76)		(1,826)		(1,511)
CMBS		195		(17)		(41)		137
CLO/ABS		3,655		(25)		(351)		3,279
Total bonds available for sale		4,390		(269)		(2,417)		1,704
Other bond securities:
Corporate debt		26		—		132		158
RMBS		62		(5)		(41)		16
CMBS		—		(1)		—		(1)
CLO/ABS		750		(1,530)		(402)		(1,182)
Total other bond securities		838		(1,536)		(311)		(1,009)
Equity securities		27		(1)		1		27
Other invested assets		682		—		(708)		(26)
Other assets		—		—		(7)		(7)
Total	$	5,937	$	(1,806)	$	(3,442)	$	689
Liabilities:
Policyholder contract deposits	$	—	$	923	$	(21)	$	902
Derivative liabilities, net		(687)		12		181		(494)
Fortitude Re funds withheld payable		—		—		(676)		(676)
Other liabilities		—		—		112		112
Total	$	(687)	$	935	$	(404)	$	(156)

(a)There were no issuances during the years ended December 31, 2023 and 2022.

Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3 in the tables above. As a result, the unrealized gains (losses) on instruments held at December 31, 2023 and 2022 may include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable inputs (e.g., changes in unobservable long-dated volatilities).

Transfers of Level 3 Assets and Liabilities

The Net realized and unrealized gains (losses) included in income (loss) or OCI as shown in the table above excludes $25 million and $(128) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the years ended December 31, 2023 and 2022, respectively, and includes $(34) million and $(129) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the years ended December 31, 2023 and 2022, respectively.

Transfers of Level 3 Assets

During the years ended December 31, 2023 and 2022, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, RMBS, CMBS and CLO/ABS. Transfers of private placement corporate debt and certain ABS into Level 3 assets were primarily the result of limited market pricing information that required us to determine fair value for these securities based on inputs that are adjusted to better reflect our own assumptions regarding the characteristics of a specific security or associated market liquidity. The transfers of investments in RMBS, CMBS and CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.

During the years ended December 31, 2023 and 2022, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt, RMBS, CMBS and CLO/ABS. Transfers of private placement corporate debt and certain ABS into Level 3 assets were primarily the result of limited market pricing information that required us to determine fair value for these securities based on inputs that are adjusted to better reflect our own assumptions regarding the characteristics of a specific security or associated market liquidity. The transfers of investments in RMBS, CMBS and CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.

Transfers of Level 3 Liabilities

There were no significant transfers of derivative or other liabilities into or out of Level 3 for the year ended December 31, 2023. During the year ended December 31, 2022, transfers of derivatives into Level 3 were primarily due to increased long-dated European swaption activity with SOFR tenors.

QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments, and includes only those instruments for which information about the inputs is reasonably available to us, such as data from independent third-party valuation service providers. Because input information from third-parties with respect to certain Level 3 instruments (primarily CLO/ABS) may not be reasonably available to us, balances shown below may not equal total amounts reported for such Level 3 assets and liabilities:

(in millions)	Fair Value at December 31, 2023		Valuation  Technique	Unobservable Input(b)	Range (Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions	$	824	Discounted cash flow	Yield	4.97% - 5.31% (5.14%)
Corporate debt		1,803	Discounted cash flow	Yield	5.19% - 8.48% (6.83%)
RMBS(a)		4,656	Discounted cash flow	Constant prepayment rate	4.34% - 9.99% (7.17%)
				Loss severity	33.56% - 87.59% (60.57%)
				Constant default rate	0.76% - 2.56% (1.66%)
				Yield	6.13% - 7.41% (6.77%)
CLO/ABS(a)		14,242	Discounted cash flow	Yield	5.62% - 7.89% (6.76%)
CMBS		587	Discounted cash flow	Yield	5.62% - 17.85% (11.73%)
Market risk benefit assets		912	Discounted cash flow	Equity volatility	6.25% - 49.75%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(h)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.29%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits		2,174	Discounted cash flow	Equity volatility	6.25% - 49.75%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(h)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.29%
Fixed annuities guaranteed benefits		1,111	Discounted cash flow	Base lapse rate	0.20% - 15.75%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	40.26% - 168.43%
				Utilization(h)	90.00% - 97.50%
				NPA(g)	0.00% - 2.29%
Fixed index annuities guaranteed benefits		2,420	Discounted cash flow	Equity volatility	6.25% - 49.75%
				Base lapse rate	0.20% - 50.00%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	24.00% - 146.00%

(in millions)	Fair Value at December 31, 2023		Valuation  Technique	Unobservable Input(b)	Range (Weighted Average)(c)
				Utilization(h)	60.00% - 97.50%
				Option budget	0.00% - 6.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.29%
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities(i)		6,953	Discounted cash flow	Equity volatility	6.25% - 49.75%
				Base lapse rate	0.20% - 50.00%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	24.00% - 146.00%
				Utilization(h)	60.00% - 97.50%
				Option budget	0.00% - 6.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.29%
Index life		989	Discounted cash flow	Base lapse rate	0.00% - 37.97%
				Mortality rate	0.00% - 100.00%
				Equity volatility	5.85% - 20.36%
				NPA(g)	0.00% - 2.29%

(in millions)	Fair Value at December 31, 2022		Valuation  Technique	Unobservable Input(b)	Range (Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions	$	799	Discounted cash flow	Yield	5.28% - 5.94% (5.61%)
Corporate debt		2,527	Discounted cash flow	Yield	4.98% - 9.36% (7.17%)
RMBS(a)		5,235	Discounted cash flow	Constant prepayment rate	4.89% - 10.49% (7.69%)
				Loss severity	45.06% - 76.87% (60.97%)
				Constant default rate	0.82% - 2.72% (1.77%)
				Yield	5.98% - 7.75% (6.87%)
CLO/ABS(a)		7,503	Discounted cash flow	Yield	6.00% - 7.97% (6.99%)
CMBS		587	Discounted cash flow	Yield	4.06% - 13.14% (8.60%)
Market risk benefit assets		796	Discounted cash flow	Equity volatility	6.45% - 50.75%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(h)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.03%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits		2,358	Discounted cash flow	Equity volatility	6.45% - 50.75%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(h)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.03%
Fixed annuities guaranteed benefits		680	Discounted cash flow	Base lapse rate	0.20% - 15.75%
				Dynamic lapse multiplier(e)	20.00% - 186.16%
				Mortality multiplier(e)(f)	40.26% - 168.43%
				Utilization(h)	90.00% - 97.50%
				NPA(g)	0.00% - 2.03%
Fixed index annuities guaranteed benefits		1,698	Discounted cash flow	Equity volatility	6.45% - 50.75%
				Base lapse rate	0.20% - 50.00%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	24.00% - 180.00%
				Utilization(h)	60.00% - 97.50%

(in millions)	Fair Value at December 31, 2022		Valuation  Technique	Unobservable Input(b)	Range (Weighted Average)(c)
				Option budget	0.00% - 5.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.03%
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities(i)		4,657	Discounted cash flow	Equity volatility	6.45% - 50.75%
				Base lapse rate	0.20% - 50.00%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	24.00% - 180.00%
				Utilization(h)	60.00% - 97.50%
				Option budget	0.00% - 5.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(g)	0.00% - 2.03%
Index life		710	Discounted cash flow	Base lapse rate	0.00% - 37.97%
				Mortality rate	0.00% - 100.00%
				Equity volatility	5.75% - 23.63%
				NPA(g)	0.00% - 2.03%

(a)Information received from third-party valuation service providers. The ranges of the unobservable inputs for 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 CLO 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)The weighted averaging for fixed maturity securities is based on the estimated fair value of the securities. Because the valuation methodology for embedded derivatives with policyholder contract deposits and market risk benefits uses a range of inputs that vary at the contract level over the cash flow projection period, management believes that presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(d)The Fortitude Re funds withheld payable has been excluded from the above table. As discussed in Note 8, the Fortitude Re funds withheld payable is created through modco and funds withheld reinsurance arrangements where the investments supporting the reinsurance agreements are withheld by, and continue to reside on AIG’s balance sheet. This embedded derivative is valued as a total return swap with reference to the fair value of the invested assets held by AIG. Accordingly, the unobservable inputs utilized in the valuation of the embedded derivative are a component of the invested assets supporting the reinsurance agreements that are held on AIG’s balance sheet.

(e)The ranges for these inputs vary due to the different guaranteed minimum withdrawal benefits (GMWB) product specification and policyholder characteristics across in-force policies. Policyholder characteristics that affect these ranges include age, policy duration, and gender.

(f)Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.

(g)The NPA applied as a spread over risk-free curve for discounting.

(h)The partial withdrawal utilization unobservable input range shown applies only to policies with guaranteed minimum withdrawal benefit riders. The total embedded derivative liability at December 31, 2023 and 2022 was approximately $1.5 billion and $1.1 billion, respectively.

(i)The fixed index annuities embedded derivative associated with index credits related to the contracts with guaranteed product features included in policyholder contract deposits was $1.5 billion and $1.1 billion at December 31, 2023 and 2022, respectively.

The ranges of reported inputs for Obligations of states, municipalities and political subdivisions, Corporate debt, RMBS, CLO/ABS, and CMBS valued using a discounted cash flow technique consist of one standard deviation in either direction from the value‑weighted average. The preceding table does not give effect to our risk management practices that might offset risks inherent in these Level 3 assets and liabilities.

Interrelationships Between Unobservable Inputs

We consider unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset or liability. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraphs provide a general description of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.

Fixed Maturity Securities

The significant unobservable input used in the fair value measurement of fixed maturity securities is yield. The yield is affected by the market movements in credit spreads and U.S. Treasury yields. The yield may be affected by other factors including constant prepayment rates, loss severity, and constant default rates. In general, increases in the yield would decrease the fair value of investments, and conversely, decreases in the yield would increase the fair value of investments.

MRBs and Embedded Derivatives within Policyholder Contract Deposits

For MRBs and embedded derivatives, the assumptions for unobservable inputs vary throughout the period over which cash flows are projected for valuation purposes. The following are applicable unobservable inputs:

•Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. Increases in assumed volatility will generally increase the fair value of both the projected cash flows from rider fees as well as the projected cash flows related to benefit payments. Therefore, the net change in the fair value of the liability may be either a decrease or an increase, depending on the relative changes in projected rider fees and projected benefit payments.

•Equity and interest rate correlation estimates the relationship between changes in equity returns and interest rates in the economic scenario generator used to value our MRBs. In general, a higher positive correlation assumes that equity markets and interest rates move in a more correlated fashion, which generally increases the fair value of the liability. Only our fixed index annuities with a GMWB rider are subject to the equity and interest correlation assumption. Other policies such as accumulation fixed index annuity and life products do not use a correlation assumption.

•Base lapse rate assumptions are determined by company experience and judgment and are adjusted at the contract level using a dynamic lapse function, which reduces the base lapse rate when the contract is in-the-money (when the contract holder’s guaranteed value, as estimated by the company, is worth more than their underlying account value). Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. Increases in assumed lapse rates will generally decrease the fair value of the liability as fewer policyholders would persist to collect guaranteed benefit amounts.

•Mortality rate assumptions, which vary by age and gender, are based on company experience and include a mortality improvement assumption. Increases in assumed mortality rates will decrease the fair value of the GMWB liability, while lower mortality rate assumptions will generally increase the fair value of the liability because guaranteed withdrawal payments will be made for a longer period of time and generally exceed any decrease in guaranteed death benefits.

•Utilization assumptions estimate the timing when policyholders with a GMWB will elect to utilize their benefit and begin taking withdrawals. The assumptions may vary by the type of guarantee, tax-qualified status, the contract’s withdrawal history and the age of the policyholder. Utilization assumptions are based on company experience, which includes partial withdrawal behavior. Increases in assumed utilization rates will generally increase the fair value of the liability.

•Non-performance or “own credit” risk adjustment used in the valuation of MRBs and embedded derivatives, which reflects a market participant’s view of our claims-paying ability by incorporating a different spread (the NPA spread) to the curve used to discount projected benefit cash flows. When corporate credit spreads widen, the change in the NPA spread generally reduces the fair value of the MRBs and embedded derivatives, resulting in a gain in AOCI or Net realized gains (losses), respectively, and when corporate credit spreads narrow or tighten, the change in the NPA spread generally increases the fair value of the MRBs and embedded derivatives, resulting in a loss in AOCI or Net realized gains (losses), respectively.

•The projected cash flows incorporate best estimate assumptions for policyholder behavior (including mortality, lapses, withdrawals and benefit utilization), along with an explicit risk margin to reflect a market participant’s estimates of the fair value of projected cash flows and policyholder behavior. Estimates of future policyholder behavior assumptions are subjective and based primarily on our historical experience.

•For embedded derivatives, option budgets estimate the expected long-term cost of options used to hedge exposures associated with index price changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

Embedded Derivatives within Reinsurance Contracts

The fair value of embedded derivatives associated with funds withheld reinsurance contracts is determined based upon a total return swap technique with reference to the fair value of the investments held by AIG related to AIG’s funds withheld payable. The fair value of the underlying assets is generally based on market observable inputs using industry standard valuation techniques. The valuation also requires certain significant inputs, which are generally not observable, and accordingly, the valuation is considered Level 3 in the fair value hierarchy.

INVESTMENTS IN CERTAIN ENTITIES CARRIED AT FAIR VALUE USING NET ASSET VALUE PER SHARE

The following table includes information related to our investments in certain other invested assets, including private equity funds, hedge funds and other alternative investments that calculate net asset value per share (or its equivalent). For these investments, which are measured at fair value on a recurring basis, we use the net asset value per share to measure fair value.

			December 31, 2023				December 31, 2022
(in millions)	Investment Category Includes		Fair Value Using NAV Per Share (or its equivalent)		Unfunded Commitments		Fair Value Using NAV Per Share (or its equivalent)		Unfunded Commitments
Investment Category
Private equity funds:
Leveraged buyout	Debt 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	$	3,617	$	2,313	$	3,146	$	2,448
Real assets	Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets		1,814		782		1,851		840
Venture capital	Early-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 company		270		141		272		183
Growth equity	Funds that make investments in established companies for the purpose of growing their businesses		680		117		732		60
Mezzanine	Funds that make investments in the junior debt and equity securities of leveraged companies		292		98		598		142
Other	Includes distressed funds that invest in securities of companies that are in default or under bankruptcy protection, as well as funds that have multi- strategy, and other strategies		2,125		297		1,829		391
Total private equity funds			8,798		3,748		8,428		4,064
Hedge funds:
Event-driven	Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations		18		—		92		—
Long-short	Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk		549		—		696		—
Macro	Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions		69		—		414		—
Other	Includes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments		74		—		192		—
Total hedge funds			710		—		1,394		—
Total		$	9,508	$	3,748	$	9,822	$	4,064

Private equity fund investments included above are not redeemable, because distributions from the funds will be received when underlying investments of the funds are liquidated. Private equity funds are generally expected to have 10-year lives at their inception, but these lives may be extended at the fund manager’s discretion, typically in one-year or two-year increments.

FAIR VALUE OPTION

Under the fair value option, we may elect to measure at fair value financial assets and financial liabilities that are not otherwise required to be carried at fair value. Subsequent changes in fair value for designated items are reported in earnings. We elect the fair value option for certain hybrid securities given the complexity of bifurcating the economic components associated with the embedded derivatives.

For additional information related to embedded derivatives, see Note 11.

Additionally, we elect the fair value option for certain alternative investments when such investments are eligible for this election. We believe this measurement basis is consistent with the applicable accounting guidance used by the respective investment company funds themselves.

For additional information on securities and other invested assets for which we have elected the fair value option, see Note 6.

The following table presents the gains or losses recorded related to the eligible instruments for which we elected the fair value option:

Years Ended December 31,	Gain (Loss)
(in millions)		2023		2022		2021
Assets:
Other bond securities(a)	$	382	$	(822)	$	(12)
Alternative investments(b)		334		224		1,650
Liabilities:
Long-term debt(c)		3		225		66
Total gain (loss)	$	719	$	(373)	$	1,704

(a)Includes certain securities supporting the funds withheld arrangements with Fortitude Re. For additional information regarding the gains and losses for Other bond securities, see Note 6. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 8.

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

(c)Includes GIAs, notes, bonds and mortgages payable.

Interest income and dividend income on assets measured under the fair value option are recognized and included in Net investment income in the Consolidated Statements of Income. Interest expense on liabilities measured under the fair value option is reported in Other Income in the Consolidated Statements of Income.

For additional information about our policies for recognition, measurement, and disclosure of interest and dividend income, see Note 6.

We calculate the effect of these credit spread changes using discounted cash flow techniques that incorporate current market interest rates, our observable credit spreads on these liabilities and other factors that mitigate the risk of nonperformance such as cash collateral posted.

The following table presents the difference between fair value and the aggregate contractual principal amount of long-term debt for which the fair value option was elected:

		December 31, 2023						December 31, 2022
(in millions)		Fair Value		Outstanding Principal Amount		Difference		Fair Value		Outstanding Principal Amount		Difference
Liabilities:
Long-term debt*	$	53	$	44	$	9	$	56	$	45	$	11

*Includes GIAs, notes, bonds, loans and mortgages payable.

FAIR VALUE MEASUREMENTS ON A NON-RECURRING BASIS

We measure the fair value of certain assets on a non-recurring basis, generally quarterly, annually or when events or changes in circumstances indicate that the carrying amount of the assets may not be recoverable. These assets include cost and equity-method investments, commercial mortgage loans and commercial loans, investments in real estate and other fixed assets, goodwill and other intangible assets.

For additional information about how we test various asset classes for impairment, see Notes 6 and 7.

Information regarding the estimation of fair value for financial instruments measured at fair value on a non-recurring basis is discussed below.

Impairments for Other investments primarily relate to real estate investments as well as commercial loans and commercial mortgage loans, the fair value determination for which is discussed above under the heading Valuation Methodologies of Financial Instruments Measured at Fair Value.

The following table presents assets measured at fair value on a non-recurring basis at the time of impairment and the related impairment charges recorded during the periods presented:

	Assets at Fair Value								Impairment Charges
	Non-Recurring Basis								December 31,
(in millions)		Level 1		Level 2		Level 3		Total		2023		2022		2021
December 31, 2023
Other investments	$	—	$	—	$	80	$	80	$	13	$	25	$	6
Other assets		—		—		—		—		121		1		67
Total	$	—	$	—	$	80	$	80	$	134	$	26	$	73
December 31, 2022
Other investments	$	—	$	—	$	12	$	12
Total	$	—	$	—	$	12	$	12

In addition to the assets presented in the table above, AIG had $163 million of loans held for sale which are carried at fair value at December 31, 2022. There are no loans that were carried at fair value as of December 31, 2023. There are no associated impairment charges.

FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE

Information regarding the estimation of fair value for financial instruments not carried at fair value (excluding insurance contracts and lease contracts) is discussed below:

•Mortgage and other loans receivable: Fair values of loans on commercial real estate and other loans receivable are estimated for disclosure purposes using discounted cash flow calculations based on discount rates that we believe market participants would use in determining the price that they would pay for such assets. For certain loans, our current incremental lending rates for similar types of loans are used as the discount rates, because we believe this rate approximates the rates market participants would use. Fair values of residential mortgage loans are generally determined based on market prices, using market based adjustments for credit and servicing as appropriate. The fair values of policy loans are generally estimated based on unpaid principal amount as of each reporting date. No consideration is given to credit risk because policy loans are effectively collateralized by the cash surrender value of the policies.

•Other invested assets: The majority of the Other invested assets that are not measured at fair value represent time deposits with the original maturity at purchase greater than one year. The fair value of long-term time deposits is determined using the expected discounted future cash flow.

•Cash and short-term investments: The carrying amounts of these assets approximate fair values because of the relatively short period of time between origination and expected realization, and their limited exposure to credit risk.

•Policyholder contract deposits associated with investment-type contracts: Fair values for policyholder contract deposits associated with investment-type contracts not accounted for at fair value are estimated using discounted cash flow calculations based on interest rates currently being offered for similar contracts with maturities consistent with those of the contracts being valued. When no similar contracts are being offered, the discount rate is the appropriate swap rate (if available) or current risk-free interest rate consistent with the currency in which the cash flows are denominated. To determine fair value, other factors include current policyholder account values and related surrender charges and other assumptions include expectations about policyholder behavior and an appropriate risk margin.

•Other liabilities: The majority of Other liabilities that are financial instruments not measured at fair value represent secured financing arrangements, including repurchase agreements. The carrying amounts of these liabilities approximate fair value, because the financing arrangements are short-term and are secured by cash or other liquid collateral.

•Fortitude Re funds withheld payable: The funds withheld payable contains an embedded derivative and the changes in its fair value are recognized in earnings each period. The difference between the total Fortitude Re funds withheld payable and the embedded derivative represents the host contract.

•Short-term and Long-term debt and Debt of consolidated investment entities: Fair values of these obligations were determined by reference to quoted market prices, when available and appropriate, or discounted cash flow calculations based upon our current market‑observable implicit‑credit‑spread rates for similar types of borrowings with maturities consistent with those remaining for the debt being valued.

•Separate Account Liabilities – Investment Contracts: Only the portion of separate account liabilities related to products that are investment contracts are reflected in the table below. Separate account liabilities are recorded at the amount credited to the contract holder, which reflects the change in fair value of the corresponding separate account assets including contract holder deposits less withdrawals and fees; therefore, carrying value approximates fair value.

The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:

		Estimated Fair Value								Carrying Value
(in millions)		Level 1		Level 2		Level 3		Total
December 31, 2023
Assets:
Mortgage and other loans receivable	$	—	$	272	$	48,264	$	48,536	$	51,553
Other invested assets		—		913		6		919		919
Short-term investments(a)		—		6,428		—		6,428		6,428
Cash(b)		2,155		—		—		2,155		2,155
Other assets		45		—		—		45		45
Liabilities:
Policyholder contract deposits associated with investment-type contracts		—		90		130,094		130,184		140,652
Fortitude Re funds withheld payable		—		—		30,710		30,710		30,710
Other liabilities(c)		—		2,467		—		2,467		2,467
Short-term and long-term debt		—		18,595		267		18,862		19,743
Debt of consolidated investment entities		—		43		2,526		2,569		2,591
Separate account liabilities - investment contracts		—		87,215		—		87,215		87,215
December 31, 2022
Assets:
Mortgage and other loans receivable	$	—	$	89	$	45,755	$	45,844	$	49,442
Other invested assets		—		848		6		854		854
Short-term investments		—		6,668		—		6,668		6,668
Cash		2,043		—		—		2,043		2,043
Other assets		24		9		—		33		33
Liabilities:
Policyholder contract deposits associated with investment-type contracts		—		119		129,174		129,293		137,086
Fortitude Re funds withheld payable		—		—		32,618		32,618		32,618
Other liabilities		—		3,101		—		3,101		3,101
Short-term and long-term debt		—		19,328		275		19,603		21,243
Debt of consolidated investment entities		—		3,055		2,478		5,533		5,880
Separate account liabilities - investment contracts		—		80,649		—		80,649		80,649

(a)Excludes $11 million reclassified to Assets held for sale on the Consolidated Balance Sheets.

(b)Excludes $3 million reclassified to Assets held for sale on the Consolidated Balance Sheets.

(c)Excludes $45 million reclassified to Liabilities held for sale on the Consolidated Balance Sheets.