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Fair Value Measurements
9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements
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:
September 30, 2024Level 1Level 2Level 3
Counterparty
Netting(a)
Cash
Collateral
Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities
$1 $4,513 $ $ $ $4,514 
Obligations of states, municipalities and political subdivisions
 4,647 4   4,651 
Non-U.S. governments181 8,545 7   8,733 
Corporate debt 32,649 385   33,034 
RMBS 4,324 2,095   6,419 
CMBS 4,024 82   4,106 
CLO/ABS 3,540 983   4,523 
Total bonds available for sale
182 62,242 3,556   65,980 
Other bond securities:
Obligations of states, municipalities and political subdivisions 52    52 
Non-U.S. governments 27    27 
Corporate debt 253 46   299 
RMBS 52 55   107 
CMBS 44    44 
CLO/ABS 87 147   234 
Total other bond securities
 515 248   763 
Equity securities
739 15 13   767 
Other invested assets(b)
8,143 129 158   8,430 
Derivative assets(c):
Interest rate contracts 305    305 
Foreign exchange contracts
 249    249 
Equity contracts
  31   31 
Credit contracts
  33   33 
Other contracts  1   1 
Counterparty netting and cash collateral
   (276)(241)(517)
Total derivative assets
 554 65 (276)(241)102 
Short-term investments
4,969 3,853    8,822 
Other assets(c)
  129   129 
Total(d)
$14,033 $67,308 $4,169 $(276)$(241)$84,993 
Liabilities:
Derivative liabilities(c):
Interest rate contracts
$ $333 $ $ $ $333 
Foreign exchange contracts
 255    255 
Equity contracts
  31   31 
Credit contracts
  34   34 
Other contracts  1   1 
Counterparty netting and cash collateral
   (276)(209)(485)
Total derivative liabilities
 588 66 (276)(209)169 
Fortitude Re funds withheld payable
      
Other liabilities
  99   99 
Total$ $588 $165 $(276)$(209)$268 
December 31, 2023Level 1Level 2Level 3
Counterparty
Netting(a)
Cash
Collateral
Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities
$15 $4,380 $— $— $— $4,395 
Obligations of states, municipalities and political subdivisions
— 4,830 — — 4,833 
Non-U.S. governments233 8,156 — — 8,396 
Corporate debt— 32,023 323 — — 32,346 
RMBS— 4,415 1,792 — — 6,207 
CMBS— 4,122 25 — — 4,147 
CLO/ABS— 3,629 1,289 — — 4,918 
Total bonds available for sale
248 61,555 3,439 — — 65,242 
Other bond securities:
Obligations of states, municipalities and political subdivisions— 51 — — — 51 
Non-U.S. governments— 24 — — — 24 
Corporate debt— 210 45 — — 255 
RMBS— 42 51 — — 93 
CMBS— 33 — — — 33 
CLO/ABS— 69 138 — — 207 
Total other bond securities
— 429 234 — — 663 
Equity securities
612 39 14 — — 665 
Other invested assets (b)
— 155 221 — — 376 
Derivative assets(c):
Interest rate contracts— 335 406 — — 741 
Foreign exchange contracts
— 450 — — 451 
Equity contracts
— 18 48 — — 66 
Credit contracts
— — 33 — — 33 
Other contracts— — — — 
Counterparty netting and cash collateral
— — — (450)(711)(1,161)
Total derivative assets
— 803 489 (450)(711)131 
Short-term investments
2,613 6,750 — — — 9,363 
Other assets(c)
— — 243 — — 243 
Total(d)
$3,473 $69,731 $4,640 $(450)$(711)$76,683 
Liabilities:
Derivative liabilities(c):
Interest rate contracts
$— $352 $— $— $— $352 
Foreign exchange contracts
— 561 — — 564 
Credit contracts
— 33 — — 36 
Counterparty netting and cash collateral
— — — (450)(249)(699)
Total derivative liabilities
— 916 36 (450)(249)253 
Fortitude Re funds withheld payable
— — (148)— — (148)
Other liabilities— 107 122 — — 229 
Total$— $1,023 $10 $(450)$(249)$334 
(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 $3.4 billion and $3.8 billion as of September 30, 2024 and December 31, 2023, respectively. As of September 30, 2024, includes AIG's ownership interest in Corebridge of $8.1 billion on which AIG elected the fair value option.
(c)Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
(d)Excludes $1 million and $15 million as of September 30, 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 and nine months ended September 30, 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 September 30, 2024 and 2023:
(in millions)Fair Value
Beginning
of Period
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
OtherFair
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 September 30, 2024
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$4 $ $ $ $ $ $ $4 $ $ 
Non-U.S. governments
7       7   
Corporate debt
359 (3)18 4   7 385  14 
RMBS
2,016 (1)110 (23)  (7)2,095  63 
CMBS
94 (1)1 (12)   82   
CLO/ABS1,275 (11)33 (314)   983  23 
Total bonds available for sale
3,755 (16)162 (345)   3,556  100 
Other bond securities:
Corporate Debt44      2 46 2  
RMBS49 3  (2)  5 55   
CLO/ABS145 3  (1)   147 3  
Total other bond securities
238 6  (3)  7 248 5  
Equity securities
13 1  2   (3)13   
Other invested assets
145 (3) 5   11 158   
Other assets
130   (1)   129   
Total
$4,281 $(12)$162 $(342)$ $ $15 $4,104 $5 $100 
(in millions)Fair Value
Beginning
of Period
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
OtherFair
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:
Derivative liabilities, net:
Interest rate contracts
$(3)$ $ $3 $ $ $ $ $ $ 
Equity contracts
(35)  (1)  36  2  
Credit contracts
 1      1 (1) 
Other contracts
(1)     1  1  
Total derivative liabilities, net(a)
(39)1  2   37 1 2  
Fortitude Re funds withheld payable(154)157  (3)    (153) 
Other Liabilities99       99   
Total$(94)$158 $ $(1)$ $ $37 $100 $(151)$ 
(in millions)Fair Value
Beginning
of Period
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
OtherFair
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 September 30, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$16 $(1)$— $(11)$— $— $— $$— $— 
Non-U.S. governments— — (3)— — — — — 
Corporate debt418 (2)(12)(63)30 (16)— 355 — (13)
RMBS1,868 26 (15)(63)— (3)1,820 — (16)
CMBS48 (7)— 31 (24)— 54 — (5)
CLO/ABS1,396 (14)19 (27)— (32)1,344 — (3)
Total bonds available for sale3,752 (8)(161)61 (75)3,580 — (37)
Other bond securities:
Corporate debt44 — — — — — 45 — 
RMBS52 — — (2)— — — 50 — 
CLO/ABS154 (2)— (1)— 153 (4)— 
Total other bond securities250 (1)— (3)— 248 (2)— 
Equity securities28 — — (2)— (12)— 14 — — 
Other invested assets227 — (2)10 — — 238 — 
Other assets111 — — — — — 112 — — 
Total
$4,368 $$(8)$(167)$72 $(87)$10 $4,192 $$(37)
(in millions)Fair Value
Beginning
of Period
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
OtherFair
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:
Derivative liabilities, net:
Interest rate contracts$(339)$(174)$— $(20)$— $— $— $(533)$128 $— 
Foreign exchange contracts(1)— — — — — — 
Equity contracts(399)178 — 91 — — — (130)(65)— 
Credit contracts— — (1)— — — — (1)— 
Other contracts(1)(1)— — — — (1)— 
Total derivative liabilities, net(a)(737)— 72 — — — (662)63 — 
Fortitude Re funds withheld payable(269)(57)— (29)— — — (355)78 — 
Other liabilities98 (6)— — — — — 92 — — 
Total$(908)$(60)$— $43 $— $— $— $(925)$141 $— 
(in millions)Fair Value
Beginning
of Year
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
OtherFair
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
Nine Months Ended September 30, 2024
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$3 $ $ $1 $ $ $ $4 $ $(5)
Non-U.S. governments7       7   
Corporate debt323 (2)16 (56)134 (37)7 385  9 
RMBS1,792 46 108 (173)287 (2)37 2,095  3 
CMBS25 (5)7 (30)85   82   
CLO/ABS1,289 (23)65 (380)44 (12) 983  49 
Total bonds available for sale3,439 16 196 (638)550 (51)44 3,556  56 
Other bond securities:
Corporate debt45 1      46 1  
RMBS51 3  (2) (2)5 55 2  
CLO/ABS138 3  4 2   147 1  
Total other bond securities234 7  2 2 (2)5 248 4  
Equity securities14 1  2  (1)(3)13 1  
Other invested assets221 (16) (34) (13) 158 (12) 
Other assets243   (114)   129   
Total
$4,151 $8 $196 $(782)$552 $(67)$46 $4,104 $(7)$56 
(in millions)Fair Value
Beginning
of Year
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
OtherFair
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:
Derivative liabilities, net:
Interest rate contracts$(406)$61 $ $345 $ $ $ $ $(3)$ 
Foreign exchange contracts2 (2)        
Equity contracts(48)(18) 30   36  10  
Credit contracts 1      1 (1) 
Other contracts(1)(1) 1   1  1  
Total derivative liabilities, net(a)
(453)41  376   37 1 7  
Fortitude Re funds withheld payable(148)158  (10)    (106) 
Other Liabilities122 (2) (21)   99   
Total$(479)$197 $ $345 $ $ $37 $100 $(99)$ 
(in millions)Fair Value
Beginning
of Year
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
OtherFair
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
Nine Months Ended September 30, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$20 $(1)$$(16)$— $— $— $$— $— 
Non-U.S. governments— (5)(2)— — 
Corporate debt879 (6)(410)138 (251)— 355 — (9)
RMBS1,884 85 11 (81)— (51)(28)1,820 — 
CMBS207 (29)(1)42 (172)— 54 — (15)
CLO/ABS1,483 (26)39 (110)17 (74)15 1,344 — 
Total bonds available for sale4,475 23 56 (615)204 (550)(13)3,580 — (14)
Other bond securities:
Corporate debt— — 44 — — — 45 — 
RMBS65 — (17)— — — 50 (7)— 
CLO/ABS158 (1)— (14)(3)12 153 (30)— 
Total other bond securities223 — 13 (3)12 248 (36)— 
Equity securities13 — 10 (13)— 14 — 
Other invested assets244 (4)— (12)10 — — 238 (7)— 
Other assets107 — — — — — 112 — — 
Total
$5,062 $23 $56 $(607)$225 $(566)$(1)$4,192 $(41)$(14)
(in millions)Fair Value
Beginning
of Year
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
OtherFair
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:
Derivative liabilities, net:
Interest rate contracts$(311)$(90)$— $(132)$— $— $— $(533)$146 $— 
Foreign exchange contracts— — — — — (2)— 
Equity contracts(271)109 — 32 — — — (130)(49)— 
Credit contracts— — — — — — — — (1)— 
Other contracts(1)(2)— — — — (1)— 
Total derivative liabilities, net(a)
(583)18 — (97)— — — (662)96 — 
Fortitude Re funds withheld payable(41)25 — (339)— — — (355)30 — 
Other liabilities112 (20)— — — — — 92 — — 
Total
$(512)$23 $— $(436)$— $— $— $(925)$126 $— 
(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
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)
Total
Three Months Ended September 30, 2024
Assets:
Bonds available for sale$25 $(41)$(16)
Other bond securities6 6 
Equity securities1 1 
Other invested assets(3) (3)
Three Months Ended September 30, 2023
Assets:
Bonds available for sale$40 $(38)$
Other bond securities(1)— (1)
Other invested assets(1)
Nine Months Ended September 30, 2024
Assets:
Bonds available for sale$65 $(49)$16 
Other bond securities7  7 
Equity securities1  1 
Other invested assets(16) (16)
Nine Months Ended September 30, 2023
Assets:
Bonds available for sale$77 $(54)$23 
Other bond securities— 
Equity securities— 
Other invested assets(3)(1)(4)
(in millions)Net
Investment
Income
Net Realized
(Gains) Losses
Total
Three Months Ended September 30, 2024
Liabilities:
Derivative liabilities, net$ $1 $1 
Fortitude Re funds withheld payable 157 157 
Three Months Ended September 30, 2023
Liabilities:
Derivative liabilities, net$— $$
Fortitude Re funds withheld payable— (57)(57)
Other Liabilities— (6)(6)
Nine Months Ended September 30, 2024
Liabilities:
Derivative liabilities, net$ $41 $41 
Fortitude Re funds withheld payable 158 158 
Other Liabilities (2)(2)
Nine Months Ended September 30, 2023
Liabilities:
Derivative liabilities, net$— $18 $18 
Fortitude Re funds withheld payable— 25 25 
Other Liabilities— (20)(20)
The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three and nine months ended September 30, 2024 and 2023 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:
(in millions)PurchasesSales
Issuances
and
Settlements(a)
Purchases, Sales,
 Issuances and
Settlements, Net(a)
Three Months Ended September 30, 2024
Assets:
Bonds available for sale:
Corporate debt$10 $(4)$(2)$4 
RMBS87 (45)(65)(23)
CMBS (12) (12)
CLO/ABS270 (563)(21)(314)
Total bonds available for sale367 (624)(88)(345)
Other bond securities:
RMBS  (2)(2)
CLO/ABS  (1)(1)
Total other bond securities  (3)(3)
Equity securities2   2 
Other invested assets17  (12)5 
Other assets  (1)(1)
Total$386 $(624)$(104)$(342)
Liabilities:
Derivative liabilities, net$ $ $2 $2 
Fortitude Re funds withheld payable  (3)(3)
Total$ $ $(1)$(1)
Three Months Ended September 30, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$— $(11)$— $(11)
Non-U.S. governments$— $— $(3)$(3)
Corporate debt— (68)(63)
RMBS18 (6)(75)(63)
CMBS— (7)13 
CLO/ABS76 (151)48 (27)
Total bonds available for sale99 (175)(85)(161)
Other bond securities:
RMBS— — (2)(2)
CLO/ABS— (10)(1)
Total other bond securities— (10)(3)
Equity securities— (2)— (2)
Other invested assets— — (2)(2)
Other assets— — 
Total$99 $(187)$(79)$(167)
Liabilities:
Derivative liabilities, net$(91)$$160 $72 
Fortitude Re funds withheld payable— — (29)(29)
Total$(91)$$131 $43 
(in millions)PurchasesSales
Issuances
and
Settlements(a)
Purchases, Sales,
 Issuances and
Settlements, Net(a)
Nine Months Ended September 30, 2024
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1 $ $ $1 
Non-U.S. governments4  (4) 
Corporate debt21 (7)(70)(56)
RMBS87 (46)(214)(173)
CMBS (12)(18)(30)
CLO/ABS336 (565)(151)(380)
Total bonds available for sale449 (630)(457)(638)
Other bond securities:
RMBS3 (1)(4)(2)
CLO/ABS11  (7)4 
Total other bond securities14 (1)(11)2 
Equity securities2   2 
Other invested assets18  (52)(34)
Other assets  (114)(114)
Total$483 $(631)$(634)$(782)
Liabilities:
Derivative liabilities, net$ $ $376 $376 
Fortitude Re funds withheld payable  (10)(10)
Other Liabilities  (21)(21)
Total$ $ $345 $345 
Nine Months Ended September 30, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$$(15)$(2)$(16)
Non-U.S. governments— — (5)(5)
Corporate Debt13 — (423)(410)
RMBS188 (25)(244)(81)
CMBS(12)18 
CLO/ABS183 (302)(110)
Total bonds available for sale386 (354)(647)(615)
Other bond securities:
Corporate debt20 — 24 44 
RMBS— — (17)(17)
CLO/ABS14 (10)(18)(14)
Total other bond securities34 (10)(11)13 
Equity securities(2)(1)
Other invested assets— (13)(12)
Other assets— — 
Total$426 $(366)$(667)$(607)
Liabilities:
Derivative liabilities, net$(407)$$303 $(97)
Fortitude Re funds withheld payable— — (339)(339)
Total$(407)$$(36)$(436)
(a)There were no issuances during the three and nine months ended September 30, 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 September 30, 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 Other comprehensive income (loss) (OCI) as shown in the table above excludes $0 million and $(27) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three and nine months ended September 30, 2024, respectively, and includes $0 million and $1 million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three and nine months ended September 30, 2024, respectively.
The Net realized and unrealized gains (losses) included in income (loss) or OCI as shown in the table above excludes $(5) million and $(4) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three and nine months ended September 30, 2023, respectively, and includes $0 million and $(9) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three and nine months ended September 30, 2023, respectively.
Transfers of Level 3 Assets
There were no transfers into Level 3 assets during the three months ended September 30, 2024. During the nine months ended September 30, 2024 and three and nine months ended September 30, 2023, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS), collateralized loan obligations (CLO)/asset-backed securities (ABS) and equity securities. 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, RMBS, CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.
There were no transfers out of Level 3 assets during the three months ended September 30, 2024. During the nine months ended September 30, 2024 and three and nine months ended September 30, 2023, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt, CMBS, RMBS, CLO/ABS, municipal bonds and equity securities. Transfers of private placement corporate debt 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 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 and nine months ended September 30, 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
September 30, 2024
Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$3 Discounted cash flowYield
4.60% - 4.82% (4.71%)
Corporate debt128 Discounted cash flowYield
5.71% - 10.24% (7.98%)
RMBS(a)
1,365 Discounted cash flowConstant prepayment rate
4.21% - 8.90% (6.55%)
Loss severity
41.59% - 77.42% (59.51%)
Constant default rate
0.80% - 2.38% (1.59%)
Yield
5.23% - 6.40% (5.81%)
CLO/ABS(a)
1,003 Discounted cash flowYield
3.10% - 7.82% (5.46%)
CMBS19 Discounted cash flowYield
5.07% - 15.74% (10.41%)
(in millions)Fair Value at
December 31, 2023
Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$Discounted cash flowYield
5.00% - 5.50% (5.23%)
Corporate debt332 Discounted cash flowYield
5.16% - 9.62% (7.39%)
RMBS(a)
1,341 Discounted cash flowConstant prepayment rate
4.43% - 10.30% (7.36%)
Loss severity
43.21% - 76.65% (59.93%)
Constant default rate
0.82% - 2.64% (1.73%)
Yield
6.18% - 7.42% (6.80%)
CLO/ABS(a)
1,100 Discounted cash flowYield
5.31% - 8.56% (6.94%)
CMBS22 Discounted cash flowYield
9.84% - 17.24% (13.54%)
(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.
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.
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.
September 30, 2024December 31, 2023
(in millions)Investment Category IncludesFair Value Using NAV Per Share (or its equivalent)Unfunded CommitmentsFair Value Using NAV Per Share (or its equivalent)Unfunded Commitments
Investment Category
Private equity funds:
Leveraged buyoutDebt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage$1,219 $783 $1,171 $558 
Real assetsInvestments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets693 337 870 344 
Venture capitalEarly-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company102 92 67 50 
Growth equityFunds that make investments in established companies for the purpose of growing their businesses205  196 
MezzanineFunds that make investments in the junior debt and equity securities of leveraged companies101 91 140 56 
OtherIncludes 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 strategies842 165 944 64 
Total private equity funds3,162 1,468 3,388 1,081 
Hedge funds:
Event-drivenSecurities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations12  13 — 
Long-shortSecurities that the manager believes are undervalued, with corresponding short positions to hedge market risk168  389 — 
OtherIncludes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments8  — 
Total hedge funds188  411 — 
Total$3,350 $1,468 $3,799 $1,081 
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
The following table presents the gains or losses recorded related to the eligible instruments for which we elected the fair value option:
Gain (Loss) Three Months
Ended September 30,
Gain (Loss) Nine Months
Ended September 30,
(in millions)2024202320242023
Other bond securities(a)
$20 $(5)$27 $
Alternative investments(b)
76 41 184 171 
Retained investment in Corebridge(c)
(35)— 30 — 
Total gain (loss)$61 $36 $241 $175 
(a)Includes certain securities supporting the funds withheld arrangements with Fortitude Re. For additional information regarding the gains and losses for Other bond securities, see Note 6. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 8.
(b)Includes certain hedge funds, private equity funds and real estate investments.
(c)Represents the impact of changes in Corebridge stock price on the value of AIG's ownership interest in Corebridge.
We calculate the effect of these credit spread changes using discounted cash flow techniques that incorporate current market interest rates, our observable credit spreads on these liabilities and other factors that mitigate the risk of nonperformance such as cash collateral posted.
FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE
The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:
Estimated Fair ValueCarrying
Value
(in millions)Level 1Level 2Level 3Total
September 30, 2024
Assets:
Mortgage and other loans receivable$ $341 $3,935 $4,276 $4,286 
Other invested assets 583 5 588 588 
Short-term investments(a)
 3,026  3,026 3,026 
Cash(b)
1,472   1,472 1,472 
Other assets15   15 15 
Liabilities:
Fortitude Re funds withheld payable  3,477 3,477 3,477 
Long-term debt 9,343 264 9,607 9,892 
Debt of consolidated investment entities  162 162 162 
Estimated Fair ValueCarrying
Value
(in millions)Level 1Level 2Level 3Total
December 31, 2023
Assets:
Mortgage and other loans receivable$— $242 $4,113 $4,355 $4,441 
Other invested assets— 645 651 651 
Short-term investments
— 3,502 — 3,502 3,502 
Cash1,540 — — 1,540 1,540 
Other assets32 — — 32 32 
Liabilities:
Fortitude Re funds withheld payable— — 3,675 3,675 3,675 
Long-term debt— 9,623 267 9,890 10,375 
Debt of consolidated investment entities— — 231 231 231 
(a)Excludes $10 million at September 30, 2024 reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.
(b)Excludes $85 million at September 30, 2024 reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.