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Fair Value Measurements

3 Months Ended

Mar. 31, 2024

5. Fair Value Measurements

FAIR VALUE MEASUREMENTS ON A RECURRING BASIS

Assets and liabilities recorded at fair value in the Condensed 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.

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:


March 31, 2024		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	$	5,764	$	—	$	—	$	—	$	5,789
Obligations of states, municipalities and political subdivisions		—		9,260		833		—		—		10,093
Non-U.S. governments		163		11,798		7		—		—		11,968
Corporate debt		—		133,861		1,957		—		—		135,818
RMBS		—		13,308		8,113		—		—		21,421
CMBS		—		13,898		590		—		—		14,488
CLO/ABS		—		14,864		18,046		—		—		32,910
Total bonds available for sale		188		202,753		29,546		—		—		232,487
Other bond securities:

Obligations of states, municipalities and political subdivisions		—		89		1		—		—		90
Non-U.S. governments		—		39		—		—		—		39
Corporate debt		—		2,775		222		—		—		2,997
RMBS		—		113		160		—		—		273
CMBS		—		266		17		—		—		283
CLO/ABS		—		560		1,161		—		—		1,721
Total other bond securities		—		3,842		1,561		—		—		5,403
Equity securities		727		12		58		—		—		797
Other invested assets(b)		—		134		1,854		—		—		1,988
Derivative assets(c):
Interest rate contracts		—		3,074		410		—		—		3,484
Foreign exchange contracts		—		1,235		1		—		—		1,236
Equity contracts		—		1,805		1,073		—		—		2,878

Credit contracts		—		78		33		—		—		111
Other contracts		—		—		13		—		—		13
Counterparty netting and cash collateral		—		—		—		(4,545)		(2,601)		(7,146)
Total derivative assets		—		6,192		1,530		(4,545)		(2,601)		576
Short-term investments		2,969		5,518		—		—		—		8,487
Market risk benefit assets		—		—		1,172		—		—		1,172
Other assets(c)		—		—		129		—		—		129
Separate account assets		91,859		3,314		—		—		—		95,173
Total(d)	$	95,743	$	221,765	$	35,850	$	(4,545)	$	(2,601)	$	346,212
Liabilities:
Policyholder contract deposits	$	—	$	63	$	8,550	$	—	$	—	$	8,613
Market risk benefit liabilities		—		—		5,167		—		—		5,167
Derivative liabilities(c):
Interest rate contracts		—		3,379		—		—		—		3,379
Foreign exchange contracts		—		624		3		—		—		627
Equity contracts		—		1,175		54		—		—		1,229
Credit contracts		—		3		33		—		—		36
Other contracts		—		—		1		—		—		1
Counterparty netting and cash collateral		—		—		—		(4,545)		(326)		(4,871)
Total derivative liabilities		—		5,181		91		(4,545)		(326)		401
Fortitude Re funds withheld payable		—		—		(1,364)		—		—		(1,364)
Other liabilities		—		—		92		—		—		92
Long-term debt		—		68		—		—		—		68
Total	$	—	$	5,312	$	12,536	$	(4,545)	$	(326)	$	12,977


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

(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 $9.5 billion as of March 31, 2024 and December 31, 2023, respectively.

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

(d)Excludes $176 million and $182 million as of March 31, 2024 and December 31, 2023, respectively, of assets reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

CHANGES IN LEVEL 3 RECURRING FAIR VALUE MEASUREMENTS

The following tables present changes during the three months ended March 31, 2024 and 2023 in Level 3 assets and liabilities measured at fair value on a recurring basis, and the realized and unrealized gains (losses) related to the Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets at March 31, 2024 and 2023:


(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 Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Period
Three Months Ended March 31, 2024
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	847	$	—	$	(14)	$	—	$	—	$	—	$	—	$	833	$	—	$	(16)
Non-U.S. governments		7		—		—		—		—		—		—		7		—		—
Corporate debt		1,679		2		1		(29)		342		(38)		—		1,957		—		(4)
RMBS		7,640		90		93		329		—		(39)		—		8,113		—		89
CMBS		633		(5)		46		(103)		144		(125)		—		590		—		11
CLO/ABS		16,038		55		168		1,274		677		(166)		—		18,046		—		164
Total bonds available for sale		26,844		142		294		1,471		1,163		(368)		—		29,546		—		244
Other bond securities:
Obligations of states, municipalities and political subdivisions		1		—		—		—		—		—		—		1		—		—
Corporate debt		211		8		—		—		3		—		—		222		8		—
RMBS		158		3		—		(1)		—		—		—		160		2		—
CMBS		17		—		—		—		—		—		—		17		—		—
CLO/ABS		1,169		14		—		(20)		—		(2)		—		1,161		3		—
Total other bond securities		1,556		25		—		(21)		3		(2)		—		1,561		13		—
Equity securities		56		3		—		—		—		(1)		—		58		3		—
Other invested assets		2,070		(92)		(8)		(33)		—		(57)		(26)		1,854		(90)		—
Other assets		243		—		—		(114)		—		—		—		129		—		—
Total(a)	$	30,769	$	78	$	286	$	1,303	$	1,166	$	(428)	$	(26)	$	33,148	$	(74)	$	244
(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 Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Period
Liabilities:
Policyholder contract deposits	$	7,942	$	452	$	—	$	156	$	—	$	—	$	—	$	8,550	$	(3)	$	—
Derivative liabilities, net:
Interest rate contracts		(460)		103		—		(53)		—		—		—		(410)		193		—
Foreign exchange contracts		2		—		—		—		—		—		—		2		—		—
Equity contracts		(762)		(192)		—		(65)		—		—		—		(1,019)		187		—

Other contracts		(11)		(16)		—		15		—		—		—		(12)		16		—
Total derivative liabilities, net(b)		(1,231)		(105)		—		(103)		—		—		—		(1,439)		396		—
Fortitude Re funds withheld payable		(1,226)		(13)		—		(125)		—		—		—		(1,364)		209		—
Other Liabilities		122		(30)		—		—		—		—		—		92		—		—
Total(c)	$	5,607	$	304	$	—	$	(72)	$	—	$	—	$	—	$	5,839	$	602	$	—


(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 Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Period
Three Months Ended March 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	824	$	1	$	55	$	(7)	$	—	$	—	$	—	$	873	$	—	$	44
Non-U.S. governments		1		1		—		—		7		—		—		9		—		—
Corporate debt		2,847		(102)		51		(201)		274		(421)		(16)		2,432		—		50
RMBS		7,553		109		(70)		10		—		(21)		—		7,581		—		(98)
CMBS		926		7		(3)		1		34		(27)		—		938		—		(34)
CLO/ABS		12,748		50		271		840		58		(102)		24		13,889		—		229
Total bonds available for sale		24,899		66		304		643		373		(571)		8		25,722		—		191
Other bond securities:
Obligations of states, municipalities and political subdivisions		—		—		—		1		—		—		—		1		—		—
Corporate debt		416		1		—		(96)		—		(191)		—		130		3		—
RMBS		173		5		—		(12)		—		—		—		166		(3)		—
CMBS		28		(1)		—		—		—		—		—		27		(1)		—
CLO/ABS		910		36		—		18		1		(7)		52		1,010		24		—
Total other bond securities		1,527		41		—		(89)		1		(198)		52		1,334		23		—
Equity securities		39		—		—		27		8		—		—		74		—		—
Other invested assets		2,075		(52)		5		58		—		—		—		2,086		(50)		—

Other assets		107		—		—		3		—		—		—		110		—		—
Total(a)	$	28,647	$	55	$	309	$	642	$	382	$	(769)	$	60	$	29,326	$	(27)	$	191
(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 Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period		Changes in Unrealized Gains (Losses) Included in Other Comprehensive Income (Loss) for Recurring Level 3 Instruments Held at End of Period
Liabilities:
Policyholder contract deposits	$	5,367	$	381	$	—	$	316	$	—	$	—	$	—	$	6,064	$	(368)	$	—

Derivative liabilities, net:
Interest rate contracts		(311)		57		—		(102)		—		—		—		(356)		(50)		—

Equity contracts		(271)		(56)		—		(175)		—		—		—		(502)		51		136

Other contracts		(14)		(16)		—		16		—		—		—		(14)		16		—
Total derivative liabilities, net(b)		(596)		(15)		—		(261)		—		—		—		(872)		17		136
Fortitude Re funds withheld payable		(2,235)		1,165		—		(793)		—		—		—		(1,863)		(759)		—
Other liabilities		112		—		—		—		—		—		—		112		—		—
Total(c)	$	2,648	$	1,531	$	—	$	(738)	$	—	$	—	$	—	$	3,441	$	(1,110)	$	136

(a)Excludes MRB assets of $1.2 billion at March 31, 2024 and $830 million at March 31, 2023. For additional information, see Note 13.

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

(c)Excludes MRB liabilities of $5.2 billion at March 31, 2024 and $5.1 billion at March 31, 2023. For additional information, see Note 13.

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 Condensed 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












Three Months Ended March 31, 2024
Assets:
Bonds available for sale	$	174	$	(32)	$	—	$	—	$	142
Other bond securities		25		—		—		—		25
Equity securities		3		—		—		—		3
Other invested assets		(91)		(1)		—		—		(92)

Three Months Ended March 31, 2023
Assets:
Bonds available for sale	$	62	$	4	$	—	$	—	$	66
Other bond securities		41		—		—		—		41

Other invested assets		(51)		(1)		—		—		(52)

(in millions)		Net Investment Income		Net Realized (Gains) Losses		Change in the fair value of market risk benefits, net(c)		Other Income		Total













Three Months Ended March 31, 2024
Liabilities:
Policyholder contract deposits(a)	$	—	$	452	$	—	$	—	$	452
Market risk benefit liabilities, net(b)		—		(2)		(1,069)		—		(1,071)
Derivative liabilities, net		—		(152)		62		(15)		(105)
Fortitude Re funds withheld payable		—		(13)		—		—		(13)
Other Liabilities		—		(30)		—		—		(30)

Three Months Ended March 31, 2023
Liabilities:
Policyholder contract deposits(a)	$	—	$	381	$	—	$	—	$	381
Market risk benefit liabilities, net(b)		—		—		87		—		87
Derivative liabilities, net		—		(88)		89		(16)		(15)
Fortitude Re funds withheld payable		—		1,165		—		—		1,165

(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 Other comprehensive income (loss) (OCI).

The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three months ended March 31, 2024 and 2023 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:


(in millions)		Purchases		Sales		Issuances and Settlements(a)		Purchases, Sales, Issuances and Settlements, Net(a)
Three Months Ended March 31, 2024
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	1	$	—	$	(1)	$	—

Corporate debt		8		(3)		(34)		(29)
RMBS		574		(1)		(244)		329
CMBS		—		(30)		(73)		(103)
CLO/ABS		1,894		(56)		(564)		1,274
Total bonds available for sale		2,477		(90)		(916)		1,471
Other bond securities:


RMBS		3		—		(4)		(1)

CLO/ABS		41		—		(61)		(20)
Total other bond securities		44		—		(65)		(21)

Other invested assets		63		—		(96)		(33)
Other assets		—		—		(114)		(114)
Total	$	2,584	$	(90)	$	(1,191)	$	1,303


(in millions)		Purchases		Sales		Issuances and Settlements(a)		Purchases, Sales, Issuances and Settlements, Net(a)
Liabilities:
Policyholder contract deposits	$	—	$	332	$	(176)	$	156
Derivative liabilities, net		(194)		6		85		(103)
Fortitude Re funds withheld payable		—		—		(125)		(125)

Total	$	(194)	$	338	$	(216)	$	(72)
Three Months Ended March 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	1	$	(4)	$	(4)	$	(7)

Corporate Debt		21		—		(222)		(201)
RMBS		290		(19)		(261)		10
CMBS		10		(6)		(3)		1
CLO/ABS		897		(3)		(54)		840
Total bonds available for sale		1,219		(32)		(544)		643
Other bond securities:
Obligations of states, municipalities and political subdivisions		1		—		—		1
Corporate debt		—		—		(96)		(96)
RMBS		5		—		(17)		(12)

CLO/ABS		46		(4)		(24)		18
Total other bond securities		52		(4)		(137)		(89)
Equity securities		29		—		(2)		27
Other invested assets		72		—		(14)		58
Other assets		—		—		3		3
Total	$	1,372	$	(36)	$	(694)	$	642
Liabilities:
Policyholder contract deposits	$	—	$	326	$	(10)	$	316
Derivative liabilities, net		(260)		5		(6)		(261)
Fortitude Re funds withheld payable		—		—		(793)		(793)

Total	$	(260)	$	331	$	(809)	$	(738)

(a)There were no issuances during the three months ended March 31, 2024 and 2023.

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 March 31, 2024 and 2023 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 $(11) million and $7 million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three months ended March 31, 2024 and 2023, respectively, and includes $4 million and $(5) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three months ended March 31, 2024 and 2023, respectively.

Transfers of Level 3 Assets

During the three months ended March 31, 2024 and 2023, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, commercial mortgage-backed securities (CMBS) and collateralized loan obligations (CLO)/asset-backed securities (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 CMBS and CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.

During the three months ended March 31, 2024 and 2023, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt, residential mortgage-backed securities (RMBS), CMBS and CLO/ABS. Transfers of private placement corporate debt and certain ABS out of Level 3 assets were based on consideration of market liquidity as well as related transparency of pricing and associated observable inputs for these investments. Transfers of certain investments in private placement corporate debt and certain ABS out of Level 3 assets were primarily the result of using observable pricing information that reflects the

fair value of those securities without the need for adjustment based on our own assumptions regarding the characteristics of a specific security or the current liquidity in the market.

Transfers of Level 3 Liabilities

There were no significant transfers of derivative or other liabilities into or out of Level 3 for the three months ended March 31, 2024 and 2023.

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 March 31, 2024		Valuation Technique	Unobservable Input(b)	Range (Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions	$	809	Discounted cash flow	Yield	5.10% - 5.39% (5.24%)
Corporate debt		1,945	Discounted cash flow	Yield	4.94% - 10.81% (7.65%)
RMBS(a)		4,672	Discounted cash flow	Constant prepayment rate	4.40% - 10.02% (7.21%)
				Loss severity	35.81% - 84.47% (60.14%)
				Constant default rate	0.78% - 2.56% (1.67%)
				Yield	5.66% - 7.02% (6.34%)
CLO/ABS(a)		16,371	Discounted cash flow	Yield	5.81% - 7.89% (6.85%)
CMBS		547	Discounted cash flow	Yield	5.22% - 18.38% (11.41%)
Market risk benefit assets		1,172	Discounted cash flow	Equity volatility	6.35% - 49.95%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(g)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	0.06% - 2.33%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits		1,675	Discounted cash flow	Equity volatility	6.35% - 49.95%
				Base lapse rate	0.16% - 28.80%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	38.25% - 160.01%
				Utilization(g)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	0.06% - 2.33%
Fixed annuities guaranteed benefits		1,130	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(g)	90.00% - 97.50%
				NPA(h)	0.06% - 2.33%
Fixed index annuities guaranteed benefits		2,362	Discounted cash flow	Equity volatility	6.35% - 49.95%
				Base lapse rate	0.20% - 50.00%
				Dynamic lapse multiplier(e)	20.00% - 186.18%
				Mortality multiplier(e)(f)	24.00% - 146.00%
				Utilization(g)	60.00% - 97.50%
				Option budget	0.00% - 6.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	0.06% - 2.33%

(in millions)

Fair Value at
March 31, 2024

Valuation
Technique

Unobservable Input(b)

Range

(Weighted Average)(c)

Embedded derivatives within Policyholder contract deposits:

Index credits on fixed index annuities(i)

7,603

Discounted cash flow

Equity volatility

6.35% - 49.95%

Base lapse rate

0.20% - 50.00%

Dynamic lapse multiplier(e)

20.00% - 186.18%

Mortality multiplier(e)(f)

24.00% - 146.00%

Utilization(g)

60.00% - 97.50%

Option budget

0.00% - 6.00%

Equity / interest rate correlation

0.00% - 30.00%

NPA(h)

0.06% - 2.33%

Index universal life

947

Discounted cash flow

Base lapse rate

0.00% - 37.97%

Mortality rate

0.00% - 100.00%

Equity volatility

5.85% - 19.95%

NPA(h)

0.06% - 2.33%


(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(g)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	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(g)	80.00% - 100.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	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(g)	90.00% - 97.50%
				NPA(h)	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%
				Utilization(g)	60.00% - 97.50%
				Option budget	0.00% - 6.00%
				Equity / interest rate correlation	0.00% - 30.00%
				NPA(h)	0.00% - 2.29%

(in millions)

Fair Value at
December 31, 2023

Valuation
Technique

Unobservable Input(b)

Range

(Weighted Average)(c)

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(g)

60.00% - 97.50%

Option budget

0.00% - 6.00%

Equity / interest rate correlation

0.00% - 30.00%

NPA(h)

0.00% - 2.29%

Index universal 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(h)

0.00% - 2.29%

(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 modified coinsurance (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 partial withdrawal utilization unobservable input range shown applies only to policies with GMWB riders.

(h)The non-performance risk adjustment (NPA) applied as a spread over risk-free curve for discounting.

(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 $1.7 billion and $1.5 billion at March 31, 2024 and December 31, 2023, 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.


			March 31, 2024				December 31, 2023
(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	$	3,736	$	2,278	$	3,617	$	2,313
Real assets	Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets		1,712		824		1,814		782
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		266		136		270		141
Growth equity	Funds that make investments in established companies for the purpose of growing their businesses		690		112		680		117
Mezzanine	Funds that make investments in the junior debt and equity securities of leveraged companies		263		94		292		98
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		2,168		257		2,125		297
Total private equity funds			8,835		3,701		8,798		3,748
Hedge funds:
Event-driven	Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations		17		—		18		—
Long-short	Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk		565		—		549		—
Macro	Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions		37		—		69		—
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		68		—		74		—
Total hedge funds			687		—		710		—
Total		$	9,522	$	3,701	$	9,508	$	3,748

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.

The majority of our hedge fund investments are redeemable upon a single month or quarter’s notice, though redemption terms vary from single, immediate withdrawals, to withdrawals staggered up to eight quarters. Some of the portfolio consists of illiquid run-off or “side-pocket” positions whose liquidation horizons are uncertain and likely beyond a year after submission of the redemption notice.

FAIR VALUE OPTION

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


Three Months Ended March 31,	Gain (Loss)
(in millions)			2024		2023
Assets:
Other bond securities(a)		$	78	$	136
Alternative investments(b)			130		77
Liabilities:
Long-term debt(c)			1		(1)
Total gain (loss)		$	209	$	212

(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 guaranteed investment agreements (GIAs), notes, bonds and mortgages payable.

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:


		March 31, 2024						December 31, 2023
(in millions)		Fair Value		Outstanding Principal Amount		Difference		Fair Value		Outstanding Principal Amount		Difference

Long-term debt*	$	68	$	60	$	8	$	53	$	44	$	9

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

FAIR VALUE MEASUREMENTS ON A NON-RECURRING BASIS

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								Three Months Ended March 31,
(in millions)		Level 1		Level 2		Level 3		Total			2024		2023
March 31, 2024
Other investments	$	—	$	—	$	98	$	98		$	25	$	—
Other assets		—		—		—		—			1		9
Total	$	—	$	—	$	98	$	98		$	26	$	9
December 31, 2023
Other investments	$	—	$	—	$	80	$	80

Total	$	—	$	—	$	80	$	80

FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT 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
March 31, 2024
Assets:
Mortgage and other loans receivable	$	—	$	322	$	48,810	$	49,132	$	52,475
Other invested assets		—		896		6		902		902
Short-term investments(a)		—		6,590		—		6,590		6,590
Cash(b)		1,816		—		—		1,816		1,816
Other assets		43		—		—		43		43
Liabilities:
Policyholder contract deposits associated with investment-type contracts		—		86		136,106		136,192		141,851
Fortitude Re funds withheld payable		—		—		30,153		30,153		30,153
Other liabilities(c)		—		3,585		—		3,585		3,585
Short-term and long-term debt		—		17,928		249		18,177		19,250
Debt of consolidated investment entities		—		67		2,527		2,594		2,617
Separate account liabilities - investment contracts		—		91,243		—		91,243		91,243
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

(a)Excludes $25 million and $11 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

(b)Excludes $1 million and $3 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

(c)Excludes $52 million and $45 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Liabilities held for sale on the Condensed Consolidated Balance Sheets.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details