Market Risk Benefits

3 Months Ended

Mar. 31, 2024

13. Market Risk Benefits

MRBs are defined as contracts or contract features that both provide protection to the contract holder from other-than-nominal capital market risk and expose AIG to other-than nominal capital market risk. The MRB represents an amount that a policyholder receives in addition to the account balance upon the occurrence of a specific event or circumstance, such as death, annuitization, or periodic withdrawal that involves protection from other-than-nominal capital market risk. Certain contract features, such as GMWBs, guaranteed minimum death benefits (GMDB) and guaranteed minimum income benefits (GMIBs) commonly found in variable, fixed index and fixed annuities, are MRBs. MRBs are assessed at contract inception using a non-option method involving attributed fees that results in an initial fair value of zero or an option method that results in a fair value greater than zero.

MRBs are recorded at fair value, and AIG applies a non-option attributed fee valuation method for variable annuity products, and an option-based valuation method (host offset) for both fixed index and fixed products.

Changes in the fair value of MRBs, net represents changes in the fair value of market risk benefit liabilities and assets (with the exception of our own credit risk changes), and includes attributed rider fees and benefits, net of changes in the fair value of derivative instruments and fixed maturity securities that are used to economically hedge market risk from the variable annuity GMWB riders.

The following table presents the balances of and changes in MRBs:


Three Months Ended March 31,	2024				2023
	Individual Retirement		Group Retirement		Total		Individual Retirement		Group Retirement		Total
(in millions, except for attained age of contract holders)
Balance, beginning of year	$	4,562	$	308	$	4,870	$	3,738	$	296	$	4,034
Effect of changes in our own credit risk	(1,072)		(88)		(1,160)		(441)		(24)		(465)
Balance, beginning of year, before effect of changes in our own credit risk	$	3,490	$	220	$	3,710	3,297		272		3,569
Issuances	123		10		133		191		9		200
Interest accrual	45		3		48		38		4		42
Attributed fees	174		15		189		235		17		252
Expected claims	(18)		—		(18)		(25)		(1)		(26)
Effect of changes in interest rates	(474)		(38)		(512)		478		46		524
Effect of changes in interest rate volatility	(14)		—		(14)		(73)		(4)		(77)
Effect of changes in equity markets	(529)		(50)		(579)		(391)		(36)		(427)
Effect of changes in equity index volatility	(15)		—		(15)		16		(3)		13
Actual outcome different from model expected outcome	(63)		3		(60)		72		1		73

Effect of changes in other future expected assumptions	(5)		(1)		(6)		(94)		(18)		(112)
Other, including foreign exchange	—		(2)		(2)		1		—		1
Balance, end of period, before effect of changes in our own credit risk	2,714		160		2,874		3,745		287		4,032
Effect of changes in our own credit risk	1,100		89		1,189		339		32		371

Balance, end of period	3,814		249		4,063		4,084		319		4,403
Less: Reinsured MRB, end of period	(68)		—		(68)		(89)		—		(89)
Net Liability Balance after reinsurance recoverable	$	3,746	$	249	$	3,995	$	3,995	$	319	$	4,314
Net amount at risk
GMDB only	$	623	$	136	$	759	$	1,307	$	266	$	1,573
GMWB only	$	128	$	12	$	140	$	63	$	5	$	68
Combined*	$	576	$	13	$	589	$	1,726	$	31	$	1,757
Weighted average attained age of contract holders	71		64				71		64

*Certain contracts contain both guaranteed GMDB and GMWB features and are modeled together for the purposes of calculating the MRB.

The following is a reconciliation of MRBs by amounts in an asset position and in a liability position to the MRBs amount in the Condensed Consolidated Balance Sheets:


	March 31, 2024						March 31, 2023
(in millions)	Asset*		Liability*		Net		Asset*		Liability*		Net
Individual Retirement	$	968	$	4,714	$	3,746	$	685	$	4,680	$	3,995
Group Retirement	204		453		249		145		464		319
Total	$	1,172	$	5,167	$	3,995	$	830	$	5,144	$	4,314

*Cash flows and attributed fees for MRBs are determined on a policy level basis and are reported based on their asset or liability position at the balance sheet date.

For additional information related to fair value measurements of MRBs, see Note 5.