XML 94 R29.htm IDEA: XBRL DOCUMENT v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2021
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

September 30, 2021

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

4

$

4,452

$

-

$

-

$

-

$

4,456

Obligations of states, municipalities and political subdivisions

 

-

 

13,089

 

1,806

 

-

 

-

 

14,895

Non-U.S. governments

 

34

 

16,158

 

7

 

-

 

-

 

16,199

Corporate debt

 

-

 

174,291

 

2,646

 

-

 

-

 

176,937

RMBS

 

-

 

17,354

 

11,098

 

-

 

-

 

28,452

CMBS

 

-

 

14,287

 

1,025

 

-

 

-

 

15,312

CDO/ABS

 

-

 

8,903

 

9,187

 

-

 

-

 

18,090

Total bonds available for sale

 

38

 

248,534

 

25,769

 

-

 

-

 

274,341

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,761

 

-

 

-

 

-

 

1,761

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

12

 

-

 

-

 

-

 

12

RMBS

 

-

 

208

 

107

 

-

 

-

 

315

CMBS

 

-

 

238

 

36

 

-

 

-

 

274

CDO/ABS

 

-

 

104

 

2,185

 

-

 

-

 

2,289

Total other bond securities

 

-

 

2,323

 

2,328

 

-

 

-

 

4,651

Equity securities

 

1,002

 

28

 

5

 

-

 

-

 

1,035

Other invested assets(b)

 

-

 

145

 

1,906

 

-

 

-

 

2,051

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

3,682

 

1

 

-

 

-

 

3,683

Foreign exchange contracts

 

-

 

1,347

 

1

 

-

 

-

 

1,348

Equity contracts

 

26

 

251

 

310

 

-

 

-

 

587

Commodity contracts

 

-

 

8

 

-

 

-

 

-

 

8

Credit contracts

 

-

 

-

 

2

 

-

 

-

 

2

Other contracts

 

-

 

-

 

12

 

-

 

-

 

12

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,698)

 

(2,058)

 

(4,756)

Total derivative assets

 

26

 

5,288

 

326

 

(2,698)

 

(2,058)

 

884

Short-term investments

 

3,635

 

2,005

 

-

 

-

 

-

 

5,640

Other assets

 

-

 

-

 

114

 

-

 

-

 

114

Separate account assets

 

101,533

 

3,890

 

-

 

-

 

-

 

105,423

Total

$

106,234

$

262,213

$

30,448

$

(2,698)

$

(2,058)

$

394,139

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

9,273

$

-

$

-

$

9,273

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

3,889

 

-

 

-

 

-

 

3,890

Foreign exchange contracts

 

-

 

621

 

-

 

-

 

-

 

621

Equity contracts

 

4

 

52

 

3

 

-

 

-

 

59

Credit contracts

 

-

 

18

 

43

 

-

 

-

 

61

Other contracts

 

-

 

-

 

1

 

-

 

-

 

1

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,698)

 

(1,231)

 

(3,929)

Total derivative liabilities

 

5

 

4,580

 

47

 

(2,698)

 

(1,231)

 

703

Fortitude Re funds withheld payable

 

-

 

-

 

5,433

 

-

 

-

 

5,433

Other liabilities

 

-

 

-

 

-

 

-

 

-

 

-

Long-term debt

 

-

 

1,964

 

-

 

-

 

-

 

1,964

Total

$

5

$

6,544

$

14,753

$

(2,698)

$

(1,231)

$

17,373

December 31, 2020

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

 

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

73

$

4,053

$

-

$

-

$

-

$

4,126

Obligations of states, municipalities and political subdivisions

 

-

 

14,019

 

2,105

 

-

 

-

 

16,124

Non-U.S. governments

 

28

 

15,312

 

5

 

-

 

-

 

15,345

Corporate debt

 

-

 

166,949

 

2,349

 

-

 

-

 

169,298

RMBS

 

-

 

19,771

 

11,694

 

-

 

-

 

31,465

CMBS

 

-

 

15,211

 

922

 

-

 

-

 

16,133

CDO/ABS

 

-

 

9,191

 

9,814

 

-

 

-

 

19,005

Total bonds available for sale

 

101

 

244,506

 

26,889

 

-

 

-

 

271,496

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,845

 

-

 

-

 

-

 

1,845

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

12

 

-

 

-

 

-

 

12

RMBS

 

-

 

290

 

139

 

-

 

-

 

429

CMBS

 

-

 

273

 

47

 

-

 

-

 

320

CDO/ABS

 

-

 

173

 

2,512

 

-

 

-

 

2,685

Total other bond securities

 

-

 

2,593

 

2,698

 

-

 

-

 

5,291

Equity securities

 

929

 

76

 

51

 

-

 

-

 

1,056

Other invested assets(b)

 

-

 

102

 

1,827

 

-

 

-

 

1,929

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

4,637

 

-

 

-

 

-

 

4,637

Foreign exchange contracts

 

-

 

1,020

 

2

 

-

 

-

 

1,022

Equity contracts

 

9

 

923

 

198

 

-

 

-

 

1,130

Credit contracts

 

-

 

-

 

2

 

-

 

-

 

2

Other contracts

 

-

 

-

 

14

 

-

 

-

 

14

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,812)

 

(2,219)

 

(6,031)

Total derivative assets

 

9

 

6,580

 

216

 

(3,812)

 

(2,219)

 

774

Short-term investments

 

2,379

 

3,589

 

-

 

-

 

-

 

5,968

Other assets

 

-

 

-

 

113

 

-

 

-

 

113

Separate account assets

 

96,560

 

3,730

 

-

 

-

 

-

 

100,290

Total

$

99,978

$

261,176

$

31,794

$

(3,812)

$

(2,219)

$

386,917

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

9,798

$

-

$

-

$

9,798

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

4,435

 

-

 

-

 

-

 

4,436

Foreign exchange contracts

 

-

 

1,090

 

-

 

-

 

-

 

1,090

Equity contracts

 

14

 

162

 

47

 

-

 

-

 

223

Credit contracts

 

-

 

23

 

44

 

-

 

-

 

67

Other contracts

 

-

 

-

 

6

 

-

 

-

 

6

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,812)

 

(1,441)

 

(5,253)

Total derivative liabilities

 

15

 

5,710

 

97

 

(3,812)

 

(1,441)

 

569

Fortitude Re funds withheld payable

 

-

 

-

 

6,042

 

-

 

-

 

6,042

Other liabilities

 

-

 

1

 

-

 

-

 

-

 

1

Long-term debt

 

-

 

2,097

 

-

 

-

 

-

 

2,097

Total

$

15

$

7,808

$

15,937

$

(3,812)

$

(1,441)

$

18,507

(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 $8.0 billion and $6.5 billion as of September 30, 2021 and December 31, 2020, respectively.

(c) Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
Changes in Level 3 recurring fair value measurements (Assets)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Three Months Ended September 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

1,939

$

6

$

(9)

$

(7)

$

-

$

(61)

$

(62)

$

1,806

$

-

$

-

Non-U.S. governments

 

10

 

-

 

-

 

-

 

-

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,773

 

(1)

 

2

 

(173)

 

57

 

(12)

 

-

 

2,646

 

-

 

-

RMBS

 

11,085

 

118

 

(8)

 

(86)

 

8

 

(19)

 

-

 

11,098

 

-

 

-

CMBS

 

1,082

 

4

 

(6)

 

(13)

 

-

 

(42)

 

-

 

1,025

 

-

 

-

CDO/ABS

 

9,318

 

22

 

(41)

 

180

 

64

 

(356)

 

-

 

9,187

 

-

 

-

Total bonds available for sale

 

26,207

 

149

 

(62)

 

(99)

 

129

 

(493)

 

(62)

 

25,769

 

-

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

113

 

2

 

-

 

(8)

 

-

 

-

 

-

 

107

 

-

 

-

CMBS

 

46

 

(1)

 

-

 

(9)

 

-

 

-

 

-

 

36

 

-

 

-

CDO/ABS

 

2,279

 

40

 

-

 

(134)

 

-

 

-

 

-

 

2,185

 

-

 

-

Total other bond securities

 

2,438

 

41

 

-

 

(151)

 

-

 

-

 

-

 

2,328

 

-

 

-

Equity securities

 

4

 

-

 

1

 

(1)

 

1

 

-

 

-

 

5

 

-

 

-

Other invested assets

 

2,099

 

161

 

(3)

 

(351)

 

-

 

-

 

-

 

1,906

 

141

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

30,861

$

351

$

(64)

$

(601)

$

130

$

(493)

$

(62)

$

30,122

$

141

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,020

$

(26)

$

-

$

279

$

-

$

-

$

-

$

9,273

$

362

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

(1)

 

(2)

 

-

 

2

 

-

 

-

 

-

 

(1)

 

2

 

-

Foreign exchange contracts

 

(1)

 

(1)

 

-

 

1

 

-

 

-

 

-

 

(1)

 

1

 

-

Equity contracts

 

(357)

 

99

 

-

 

(50)

 

-

 

1

 

-

 

(307)

 

(90)

 

-

Credit contracts

 

43

 

-

 

-

 

(2)

 

-

 

-

 

-

 

41

 

1

 

-

Other contracts

 

(10)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(11)

 

16

 

-

Total derivative liabilities, net(a)

 

(326)

 

79

 

-

 

(33)

 

-

 

1

 

-

 

(279)

 

(70)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

5,317

 

209

 

-

 

(93)

 

-

 

-

 

-

 

5,433

 

414

 

-

Total

$

14,011

$

262

$

-

$

153

$

-

$

1

$

-

$

14,427

$

706

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,279

$

3

$

(4)

$

(30)

$

-

$

(65)

$

-

$

2,183

$

-

$

-

Non-U.S. governments

 

5

 

-

 

1

 

-

 

1

 

-

 

-

 

7

 

-

 

-

Corporate debt

 

1,900

 

(33)

 

52

 

(25)

 

452

 

(231)

 

-

 

2,115

 

-

 

38

RMBS

 

12,678

 

192

 

301

 

(412)

 

3

 

(107)

 

-

 

12,655

 

-

 

335

CMBS

 

1,149

 

3

 

36

 

(11)

 

-

 

(196)

 

-

 

981

 

-

 

27

CDO/ABS

 

9,461

 

5

 

180

 

(174)

 

125

 

(244)

 

-

 

9,353

 

-

 

172

Total bonds available for sale

 

27,472

 

170

 

566

 

(652)

 

581

 

(843)

 

-

 

27,294

 

-

 

572

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

168

 

16

 

-

 

(16)

 

-

 

-

 

-

 

168

 

4

 

-

CMBS

 

47

 

1

 

-

 

-

 

-

 

-

 

-

 

48

 

1

 

-

CDO/ABS

 

2,531

 

124

 

-

 

(100)

 

-

 

-

 

-

 

2,555

 

34

 

-

Total other bond securities

 

2,746

 

141

 

-

 

(116)

 

-

 

-

 

-

 

2,771

 

39

 

-

Equity securities

 

43

 

-

 

2

 

1

 

7

 

(27)

 

-

 

26

 

1

 

-

Other invested assets

 

1,486

 

74

 

(2)

 

25

 

-

 

-

 

-

 

1,583

 

-

 

-

Other assets

 

111

 

-

 

-

 

2

 

-

 

-

 

(1)

 

112

 

-

 

-

Total

$

31,858

$

385

$

566

$

(740)

$

588

$

(870)

$

(1)

$

31,786

$

40

$

572

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Businesses

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,233

$

19

$

-

$

70

$

-

$

-

$

-

$

9,322

$

273

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(1)

 

(2)

 

-

 

-

 

-

 

-

 

-

 

(3)

 

2

 

-

Equity contracts

 

(53)

 

9

 

-

 

(65)

 

(1)

 

5

 

-

 

(105)

 

-

 

-

Credit contracts

 

45

 

1

 

-

 

(2)

 

-

 

-

 

-

 

44

 

(7)

 

-

Other contracts

 

(3)

 

(19)

 

-

 

16

 

-

 

-

 

-

 

(6)

 

18

 

-

Total derivative liabilities, net(a)

 

(12)

 

(11)

 

-

 

(51)

 

(1)

 

5

 

-

 

(70)

 

13

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

4,510

 

656

 

-

 

(30)

 

-

 

-

 

-

 

5,136

 

(256)

 

-

Total

$

13,731

$

664

$

-

$

(11)

$

(1)

$

5

$

-

$

14,388

$

30

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Nine Months Ended September 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,105

$

14

$

(40)

$

(125)

$

-

$

(86)

$

(62)

$

1,806

$

-

$

225

Non-U.S. governments

 

5

 

-

 

(1)

 

1

 

5

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,349

 

12

 

9

 

35

 

452

 

(211)

 

-

 

2,646

 

-

 

(106)

RMBS

 

11,694

 

435

 

17

 

(977)

 

8

 

(79)

 

-

 

11,098

 

-

 

934

CMBS

 

922

 

20

 

(39)

 

245

 

56

 

(179)

 

-

 

1,025

 

-

 

(45)

CDO/ABS

 

9,814

 

37

 

(11)

 

(358)

 

902

 

(1,197)

 

-

 

9,187

 

-

 

425

Total bonds available for sale

 

26,889

 

518

 

(65)

 

(1,179)

 

1,423

 

(1,755)

 

(62)

 

25,769

 

-

 

1,433

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

6

 

-

 

(38)

 

-

 

-

 

-

 

107

 

(86)

 

-

CMBS

 

47

 

(2)

 

-

 

(15)

 

6

 

-

 

-

 

36

 

2

 

-

CDO/ABS

 

2,512

 

74

 

-

 

(401)

 

-

 

-

 

-

 

2,185

 

235

 

-

Total other bond securities

 

2,698

 

78

 

-

 

(454)

 

6

 

-

 

-

 

2,328

 

151

 

-

Equity securities

 

51

 

11

 

1

 

(124)

 

77

 

(11)

 

-

 

5

 

3

 

-

Other invested assets

 

1,827

 

417

 

(10)

 

(328)

 

-

 

-

 

-

 

1,906

 

386

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

31,578

$

1,024

$

(74)

$

(2,084)

$

1,506

$

(1,766)

$

(62)

$

30,122

$

540

$

1,433

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(923)

$

-

$

398

$

-

$

-

$

-

$

9,273

$

1,914

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(4)

 

-

 

3

 

-

 

-

 

-

 

(1)

 

4

 

-

Foreign exchange contracts

 

(2)

 

-

 

-

 

1

 

-

 

-

 

-

 

(1)

 

-

 

-

Equity contracts

 

(151)

 

2

 

-

 

(204)

 

-

 

46

 

-

 

(307)

 

(58)

 

-

Credit contracts

 

42

 

7

 

-

 

(8)

 

-

 

-

 

-

 

41

 

2

 

-

Other contracts

 

(8)

 

(50)

 

-

 

47

 

-

 

-

 

-

 

(11)

 

50

 

-

Total derivative liabilities, net(a)

 

(119)

 

(45)

 

-

 

(161)

 

-

 

46

 

-

 

(279)

 

(2)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

6,042

 

(117)

 

-

 

(492)

 

-

 

-

 

-

 

5,433

 

1,917

 

-

Total

$

15,721

$

(1,085)

$

-

$

(255)

$

-

$

46

$

-

$

14,427

$

3,829

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Nine Months Ended September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,121

$

8

$

195

$

127

$

27

$

(295)

$

-

$

2,183

$

-

$

193

Non-U.S. governments

 

-

 

-

 

1

 

5

 

7

 

(6)

 

-

 

7

 

-

 

-

Corporate debt

 

1,663

 

(101)

 

43

 

95

 

1,074

 

(659)

 

-

 

2,115

 

-

 

59

RMBS

 

13,408

 

532

 

(375)

 

(806)

 

29

 

(133)

 

-

 

12,655

 

-

 

(213)

CMBS

 

1,053

 

14

 

70

 

17

 

23

 

(196)

 

-

 

981

 

-

 

66

CDO/ABS

 

7,686

 

25

 

55

 

(19)

 

2,062

 

(456)

 

-

 

9,353

 

-

 

38

Total bonds available for sale

 

25,931

 

478

 

(11)

 

(581)

 

3,222

 

(1,745)

 

-

 

27,294

 

-

 

143

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

16

 

-

 

9

 

-

 

-

 

-

 

168

 

3

 

-

CMBS

 

50

 

-

 

-

 

(2)

 

-

 

-

 

-

 

48

 

(1)

 

-

CDO/ABS

 

3,545

 

225

 

-

 

(1,215)

 

-

 

-

 

-

 

2,555

 

25

 

-

Total other bond securities

 

3,738

 

241

 

-

 

(1,208)

 

-

 

-

 

-

 

2,771

 

27

 

-

Equity securities

 

8

 

(1)

 

3

 

11

 

33

 

(28)

 

-

 

26

 

1

 

-

Other invested assets

 

1,192

 

11

 

(2)

 

232

 

150

 

-

 

-

 

1,583

 

(13)

 

-

Other assets

 

89

 

-

 

-

 

61

 

-

 

-

 

(38)

 

112

 

-

 

-

Total

$

30,958

$

729

$

(10)

$

(1,485)

$

3,405

$

(1,773)

$

(38)

$

31,786

$

15

$

143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

2,250

$

-

$

162

$

-

$

-

$

-

$

9,322

$

(1,436)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

1

 

-

Foreign exchange contracts

 

(6)

 

2

 

-

 

1

 

-

 

-

 

-

 

(3)

 

2

 

-

Equity contracts

 

(151)

 

19

 

-

 

23

 

(1)

 

5

 

-

 

(105)

 

(62)

 

-

Credit contracts

 

62

 

(59)

 

-

 

41

 

-

 

-

 

-

 

44

 

8

 

-

Other contracts

 

(7)

 

(46)

 

-

 

47

 

-

 

-

 

-

 

(6)

 

45

 

-

Total derivative liabilities, net(a)

 

(102)

 

(85)

 

-

 

113

 

(1)

 

5

 

-

 

(70)

 

(6)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

-

 

1,493

 

-

 

(30)

 

-

 

-

 

3,673

 

5,136

 

(919)

 

-

Total

$

6,808

$

3,658

$

-

$

245

$

(1)

$

5

$

3,673

$

14,388

$

(2,361)

$

-

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

 
Changes in Level 3 recurring fair value measurements (Liabilities)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Three Months Ended September 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

1,939

$

6

$

(9)

$

(7)

$

-

$

(61)

$

(62)

$

1,806

$

-

$

-

Non-U.S. governments

 

10

 

-

 

-

 

-

 

-

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,773

 

(1)

 

2

 

(173)

 

57

 

(12)

 

-

 

2,646

 

-

 

-

RMBS

 

11,085

 

118

 

(8)

 

(86)

 

8

 

(19)

 

-

 

11,098

 

-

 

-

CMBS

 

1,082

 

4

 

(6)

 

(13)

 

-

 

(42)

 

-

 

1,025

 

-

 

-

CDO/ABS

 

9,318

 

22

 

(41)

 

180

 

64

 

(356)

 

-

 

9,187

 

-

 

-

Total bonds available for sale

 

26,207

 

149

 

(62)

 

(99)

 

129

 

(493)

 

(62)

 

25,769

 

-

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

113

 

2

 

-

 

(8)

 

-

 

-

 

-

 

107

 

-

 

-

CMBS

 

46

 

(1)

 

-

 

(9)

 

-

 

-

 

-

 

36

 

-

 

-

CDO/ABS

 

2,279

 

40

 

-

 

(134)

 

-

 

-

 

-

 

2,185

 

-

 

-

Total other bond securities

 

2,438

 

41

 

-

 

(151)

 

-

 

-

 

-

 

2,328

 

-

 

-

Equity securities

 

4

 

-

 

1

 

(1)

 

1

 

-

 

-

 

5

 

-

 

-

Other invested assets

 

2,099

 

161

 

(3)

 

(351)

 

-

 

-

 

-

 

1,906

 

141

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

30,861

$

351

$

(64)

$

(601)

$

130

$

(493)

$

(62)

$

30,122

$

141

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,020

$

(26)

$

-

$

279

$

-

$

-

$

-

$

9,273

$

362

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

(1)

 

(2)

 

-

 

2

 

-

 

-

 

-

 

(1)

 

2

 

-

Foreign exchange contracts

 

(1)

 

(1)

 

-

 

1

 

-

 

-

 

-

 

(1)

 

1

 

-

Equity contracts

 

(357)

 

99

 

-

 

(50)

 

-

 

1

 

-

 

(307)

 

(90)

 

-

Credit contracts

 

43

 

-

 

-

 

(2)

 

-

 

-

 

-

 

41

 

1

 

-

Other contracts

 

(10)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(11)

 

16

 

-

Total derivative liabilities, net(a)

 

(326)

 

79

 

-

 

(33)

 

-

 

1

 

-

 

(279)

 

(70)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

5,317

 

209

 

-

 

(93)

 

-

 

-

 

-

 

5,433

 

414

 

-

Total

$

14,011

$

262

$

-

$

153

$

-

$

1

$

-

$

14,427

$

706

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,279

$

3

$

(4)

$

(30)

$

-

$

(65)

$

-

$

2,183

$

-

$

-

Non-U.S. governments

 

5

 

-

 

1

 

-

 

1

 

-

 

-

 

7

 

-

 

-

Corporate debt

 

1,900

 

(33)

 

52

 

(25)

 

452

 

(231)

 

-

 

2,115

 

-

 

38

RMBS

 

12,678

 

192

 

301

 

(412)

 

3

 

(107)

 

-

 

12,655

 

-

 

335

CMBS

 

1,149

 

3

 

36

 

(11)

 

-

 

(196)

 

-

 

981

 

-

 

27

CDO/ABS

 

9,461

 

5

 

180

 

(174)

 

125

 

(244)

 

-

 

9,353

 

-

 

172

Total bonds available for sale

 

27,472

 

170

 

566

 

(652)

 

581

 

(843)

 

-

 

27,294

 

-

 

572

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

168

 

16

 

-

 

(16)

 

-

 

-

 

-

 

168

 

4

 

-

CMBS

 

47

 

1

 

-

 

-

 

-

 

-

 

-

 

48

 

1

 

-

CDO/ABS

 

2,531

 

124

 

-

 

(100)

 

-

 

-

 

-

 

2,555

 

34

 

-

Total other bond securities

 

2,746

 

141

 

-

 

(116)

 

-

 

-

 

-

 

2,771

 

39

 

-

Equity securities

 

43

 

-

 

2

 

1

 

7

 

(27)

 

-

 

26

 

1

 

-

Other invested assets

 

1,486

 

74

 

(2)

 

25

 

-

 

-

 

-

 

1,583

 

-

 

-

Other assets

 

111

 

-

 

-

 

2

 

-

 

-

 

(1)

 

112

 

-

 

-

Total

$

31,858

$

385

$

566

$

(740)

$

588

$

(870)

$

(1)

$

31,786

$

40

$

572

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Businesses

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,233

$

19

$

-

$

70

$

-

$

-

$

-

$

9,322

$

273

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(1)

 

(2)

 

-

 

-

 

-

 

-

 

-

 

(3)

 

2

 

-

Equity contracts

 

(53)

 

9

 

-

 

(65)

 

(1)

 

5

 

-

 

(105)

 

-

 

-

Credit contracts

 

45

 

1

 

-

 

(2)

 

-

 

-

 

-

 

44

 

(7)

 

-

Other contracts

 

(3)

 

(19)

 

-

 

16

 

-

 

-

 

-

 

(6)

 

18

 

-

Total derivative liabilities, net(a)

 

(12)

 

(11)

 

-

 

(51)

 

(1)

 

5

 

-

 

(70)

 

13

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

4,510

 

656

 

-

 

(30)

 

-

 

-

 

-

 

5,136

 

(256)

 

-

Total

$

13,731

$

664

$

-

$

(11)

$

(1)

$

5

$

-

$

14,388

$

30

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Nine Months Ended September 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,105

$

14

$

(40)

$

(125)

$

-

$

(86)

$

(62)

$

1,806

$

-

$

225

Non-U.S. governments

 

5

 

-

 

(1)

 

1

 

5

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,349

 

12

 

9

 

35

 

452

 

(211)

 

-

 

2,646

 

-

 

(106)

RMBS

 

11,694

 

435

 

17

 

(977)

 

8

 

(79)

 

-

 

11,098

 

-

 

934

CMBS

 

922

 

20

 

(39)

 

245

 

56

 

(179)

 

-

 

1,025

 

-

 

(45)

CDO/ABS

 

9,814

 

37

 

(11)

 

(358)

 

902

 

(1,197)

 

-

 

9,187

 

-

 

425

Total bonds available for sale

 

26,889

 

518

 

(65)

 

(1,179)

 

1,423

 

(1,755)

 

(62)

 

25,769

 

-

 

1,433

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

6

 

-

 

(38)

 

-

 

-

 

-

 

107

 

(86)

 

-

CMBS

 

47

 

(2)

 

-

 

(15)

 

6

 

-

 

-

 

36

 

2

 

-

CDO/ABS

 

2,512

 

74

 

-

 

(401)

 

-

 

-

 

-

 

2,185

 

235

 

-

Total other bond securities

 

2,698

 

78

 

-

 

(454)

 

6

 

-

 

-

 

2,328

 

151

 

-

Equity securities

 

51

 

11

 

1

 

(124)

 

77

 

(11)

 

-

 

5

 

3

 

-

Other invested assets

 

1,827

 

417

 

(10)

 

(328)

 

-

 

-

 

-

 

1,906

 

386

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

31,578

$

1,024

$

(74)

$

(2,084)

$

1,506

$

(1,766)

$

(62)

$

30,122

$

540

$

1,433

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(923)

$

-

$

398

$

-

$

-

$

-

$

9,273

$

1,914

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(4)

 

-

 

3

 

-

 

-

 

-

 

(1)

 

4

 

-

Foreign exchange contracts

 

(2)

 

-

 

-

 

1

 

-

 

-

 

-

 

(1)

 

-

 

-

Equity contracts

 

(151)

 

2

 

-

 

(204)

 

-

 

46

 

-

 

(307)

 

(58)

 

-

Credit contracts

 

42

 

7

 

-

 

(8)

 

-

 

-

 

-

 

41

 

2

 

-

Other contracts

 

(8)

 

(50)

 

-

 

47

 

-

 

-

 

-

 

(11)

 

50

 

-

Total derivative liabilities, net(a)

 

(119)

 

(45)

 

-

 

(161)

 

-

 

46

 

-

 

(279)

 

(2)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

6,042

 

(117)

 

-

 

(492)

 

-

 

-

 

-

 

5,433

 

1,917

 

-

Total

$

15,721

$

(1,085)

$

-

$

(255)

$

-

$

46

$

-

$

14,427

$

3,829

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Nine Months Ended September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,121

$

8

$

195

$

127

$

27

$

(295)

$

-

$

2,183

$

-

$

193

Non-U.S. governments

 

-

 

-

 

1

 

5

 

7

 

(6)

 

-

 

7

 

-

 

-

Corporate debt

 

1,663

 

(101)

 

43

 

95

 

1,074

 

(659)

 

-

 

2,115

 

-

 

59

RMBS

 

13,408

 

532

 

(375)

 

(806)

 

29

 

(133)

 

-

 

12,655

 

-

 

(213)

CMBS

 

1,053

 

14

 

70

 

17

 

23

 

(196)

 

-

 

981

 

-

 

66

CDO/ABS

 

7,686

 

25

 

55

 

(19)

 

2,062

 

(456)

 

-

 

9,353

 

-

 

38

Total bonds available for sale

 

25,931

 

478

 

(11)

 

(581)

 

3,222

 

(1,745)

 

-

 

27,294

 

-

 

143

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

16

 

-

 

9

 

-

 

-

 

-

 

168

 

3

 

-

CMBS

 

50

 

-

 

-

 

(2)

 

-

 

-

 

-

 

48

 

(1)

 

-

CDO/ABS

 

3,545

 

225

 

-

 

(1,215)

 

-

 

-

 

-

 

2,555

 

25

 

-

Total other bond securities

 

3,738

 

241

 

-

 

(1,208)

 

-

 

-

 

-

 

2,771

 

27

 

-

Equity securities

 

8

 

(1)

 

3

 

11

 

33

 

(28)

 

-

 

26

 

1

 

-

Other invested assets

 

1,192

 

11

 

(2)

 

232

 

150

 

-

 

-

 

1,583

 

(13)

 

-

Other assets

 

89

 

-

 

-

 

61

 

-

 

-

 

(38)

 

112

 

-

 

-

Total

$

30,958

$

729

$

(10)

$

(1,485)

$

3,405

$

(1,773)

$

(38)

$

31,786

$

15

$

143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

Divested

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

2,250

$

-

$

162

$

-

$

-

$

-

$

9,322

$

(1,436)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

1

 

-

Foreign exchange contracts

 

(6)

 

2

 

-

 

1

 

-

 

-

 

-

 

(3)

 

2

 

-

Equity contracts

 

(151)

 

19

 

-

 

23

 

(1)

 

5

 

-

 

(105)

 

(62)

 

-

Credit contracts

 

62

 

(59)

 

-

 

41

 

-

 

-

 

-

 

44

 

8

 

-

Other contracts

 

(7)

 

(46)

 

-

 

47

 

-

 

-

 

-

 

(6)

 

45

 

-

Total derivative liabilities, net(a)

 

(102)

 

(85)

 

-

 

113

 

(1)

 

5

 

-

 

(70)

 

(6)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

-

 

1,493

 

-

 

(30)

 

-

 

-

 

3,673

 

5,136

 

(919)

 

-

Total

$

6,808

$

3,658

$

-

$

245

$

(1)

$

5

$

3,673

$

14,388

$

(2,361)

$

-

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
Schedule of net realized and unrealized gains and losses related to Level 3 items

 

 

Net

 

 

 

 

 

 

 

 

Investment

 

Net Realized

 

Other

 

 

(in millions)

 

Income

Gains (Losses)

 

Income

 

Total

Three Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

155

$

(6)

$

-

$

149

Other bond securities

 

41

 

-

 

-

 

41

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

165

 

(4)

 

-

 

161

Three Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

177

$

(7)

$

-

$

170

Other bond securities

 

143

 

(2)

 

-

 

141

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

74

 

-

 

-

 

74

Nine Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

503

$

15

$

-

$

518

Other bond securities

 

78

 

-

 

-

 

78

Equity securities

 

11

 

-

 

-

 

11

Other invested assets

 

406

 

11

 

-

 

417

Nine Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

557

$

(79)

$

-

$

478

Other bond securities

 

(25)

 

266

 

-

 

241

Equity securities

 

-

 

(1)

 

-

 

(1)

Other invested assets

 

11

 

-

 

-

 

11

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

Investment

 

Net Realized

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

Three Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(26)

$

-

$

(26)

Derivative liabilities, net

 

-

 

93

 

(14)

 

79

Fortitude Re funds withheld payable

 

-

 

209

 

-

 

209

Three Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

19

$

-

$

19

Derivative liabilities, net

 

-

 

5

 

(16)

 

(11)

Fortitude Re funds withheld payable

 

-

 

656

 

-

 

656

Nine Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(923)

$

-

$

(923)

Derivative liabilities, net

 

-

 

(2)

 

(43)

 

(45)

Fortitude Re funds withheld payable

 

-

 

(117)

 

-

 

(117)

Nine Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

2,250

$

-

$

2,250

Derivative liabilities, net

 

-

 

(41)

 

(44)

 

(85)

Fortitude Re funds withheld payable

 

-

 

1,493

 

-

 

1,493

*Primarily embedded derivatives.
Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Three Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

40

$

(16)

$

(31)

$

(7)

Non-U.S. governments

 

-

 

-

 

-

 

-

Corporate debt

 

23

 

(61)

 

(135)

 

(173)

RMBS

 

704

 

(164)

 

(626)

 

(86)

CMBS

 

7

 

(3)

 

(17)

 

(13)

CDO/ABS

 

849

 

-

 

(669)

 

180

Total bonds available for sale

 

1,623

 

(244)

 

(1,478)

 

(99)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

(2)

 

(6)

 

(8)

CMBS

 

-

 

(9)

 

-

 

(9)

CDO/ABS

 

-

 

-

 

(134)

 

(134)

Total other bond securities

 

-

 

(11)

 

(140)

 

(151)

Equity securities

 

-

 

-

 

(1)

 

(1)

Other invested assets

 

32

 

-

 

(383)

 

(351)

Other assets

 

-

 

-

 

1

 

1

Total

$

1,655

$

(255)

$

(2,001)

$

(601)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

214

$

65

$

279

Derivative liabilities, net

 

(75)

 

2

 

40

 

(33)

Fortitude Re funds withheld payable

 

-

 

-

 

(93)

 

(93)

Total

$

(75)

$

216

$

12

$

153

Three Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

34

$

(18)

$

(46)

$

(30)

Non-U.S. governments

 

-

 

-

 

-

 

-

Corporate debt

 

23

 

(2)

 

(46)

 

(25)

RMBS

 

182

 

-

 

(594)

 

(412)

CMBS

 

2

 

(10)

 

(3)

 

(11)

CDO/ABS

 

234

 

(78)

 

(330)

 

(174)

Total bonds available for sale

 

475

 

(108)

 

(1,019)

 

(652)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

-

 

(16)

 

(16)

CMBS

 

-

 

-

 

-

 

-

CDO/ABS

 

-

 

-

 

(100)

 

(100)

Total other bond securities

 

-

 

-

 

(116)

 

(116)

Equity securities

 

1

 

-

 

-

 

1

Other invested assets

 

25

 

-

 

-

 

25

Other assets

 

-

 

-

 

2

 

2

Total

$

501

$

(108)

$

(1,133)

$

(740)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

170

$

(100)

$

70

Derivative liabilities, net

 

(19)

 

-

 

(32)

 

(51)

Fortitude Re funds withheld payable

 

-

 

-

 

(30)

 

(30)

Total

$

(19)

$

170

$

(162)

$

(11)

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Nine Months Ended September 30, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

51

$

(59)

$

(117)

$

(125)

Non-U.S. governments

 

1

 

-

 

-

 

1

Corporate debt

 

976

 

(94)

 

(847)

 

35

RMBS

 

1,186

 

(279)

 

(1,884)

 

(977)

CMBS

 

297

 

(3)

 

(49)

 

245

CDO/ABS

 

2,005

 

70

 

(2,433)

 

(358)

Total bonds available for sale

 

4,516

 

(365)

 

(5,330)

 

(1,179)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

1

 

(11)

 

(28)

 

(38)

CMBS

 

-

 

(15)

 

-

 

(15)

CDO/ABS

 

-

 

(39)

 

(362)

 

(401)

Total other bond securities

 

1

 

(65)

 

(390)

 

(454)

Equity securities

 

-

 

(3)

 

(121)

 

(124)

Other invested assets

 

424

 

-

 

(752)

 

(328)

Other assets

 

-

 

-

 

1

 

1

Total

$

4,941

$

(433)

$

(6,592)

$

(2,084)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

607

$

(209)

$

398

Derivative liabilities, net

 

(198)

 

4

 

33

 

(161)

Fortitude Re funds withheld payable

 

-

 

-

 

(492)

 

(492)

Total

$

(198)

$

611

$

(668)

$

(255)

Nine Months Ended September 30, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

201

$

(20)

$

(54)

$

127

Non-U.S. governments

 

5

 

-

 

-

 

5

Corporate debt

 

256

 

(7)

 

(154)

 

95

RMBS

 

883

 

-

 

(1,689)

 

(806)

CMBS

 

56

 

(17)

 

(22)

 

17

CDO/ABS

 

715

 

(103)

 

(631)

 

(19)

Total bonds available for sale

 

2,116

 

(147)

 

(2,550)

 

(581)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

37

 

-

 

(28)

 

9

CMBS

 

-

 

-

 

(2)

 

(2)

CDO/ABS

 

35

 

(579)

 

(671)

 

(1,215)

Total other bond securities

 

72

 

(579)

 

(701)

 

(1,208)

Equity securities

 

11

 

-

 

-

 

11

Other invested assets

 

277

 

-

 

(45)

 

232

Other assets

 

55

 

-

 

6

 

61

Total

$

2,531

$

(726)

$

(3,290)

$

(1,485)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

514

$

(352)

$

162

Derivative liabilities, net

 

(43)

 

8

 

148

 

113

Fortitude Re funds withheld payable

 

-

 

-

 

(30)

 

(30)

Total

$

(43)

$

522

$

(234)

$

245

(a)There were no issuances during the three- and nine-month periods ended September 30, 2021 and 2020.
Significant unobservable inputs used for recurring fair value measurements

 

Fair Value at

 

 

 

 

September 30,

Valuation

 

Range

(in millions)

2021

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,548

Discounted cash flow

Yield

2.83% - 3.46% (3.15%)

 

 

 

 

 

 

Corporate debt

 

1,607

Discounted cash flow

Yield

2.31% - 6.97% (4.64%)

 

 

 

 

 

 

RMBS(a)

 

10,058

Discounted cash flow

Constant prepayment rate

4.95% - 17.76% (11.36%)

 

 

 

 

Loss severity

28.09% - 73.42% (50.76%)

 

 

 

 

Constant default rate

1.31% - 6.11% (3.71%)

 

 

 

 

Yield

1.51% - 3.93% (2.72%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,306

Discounted cash flow

Yield

1.51% - 4.50% (3.01%)

 

 

 

 

 

 

CMBS

 

550

Discounted cash flow

Yield

1.37% - 5.52% (3.33%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Variable annuity guaranteed minimum withdrawal benefits (GMWB)

 

2,551

Discounted cash flow

Equity volatility

6.45% - 51.15%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

50.00% - 143.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.07% - 1.37%

 

 

 

 

 

 

Index annuities including certain GMWB

 

5,973

Discounted cash flow

Base lapse rate

0.38% - 50.00%

 

 

 

 

Dynamic lapse multiplier

19.00% - 178.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

80.00% - 95.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.07% - 1.37%

 

 

 

 

 

 

Indexed life

 

701

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.07% - 1.37%

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2020

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,670

Discounted cash flow

Yield

2.82% - 3.39% (3.11%)

 

 

 

 

 

 

Corporate debt

 

1,591

Discounted cash flow

Yield

2.13% - 7.82% (4.97%)

 

 

 

 

 

 

RMBS(a)

 

11,297

Discounted cash flow

Constant prepayment rate

3.90% - 11.99% (7.94%)

 

 

 

 

Loss severity

30.08% - 78.49% (54.29%)

 

 

 

 

Constant default rate

1.45% - 6.19% (3.82%)

 

 

 

 

Yield

1.69% - 4.25% (2.97%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,324

Discounted cash flow

Yield

1.93% - 4.85% (3.39%)

 

 

 

 

 

 

CMBS

 

541

Discounted cash flow

Yield

0.92% - 5.89% (3.40%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

GMWB

 

3,572

Discounted cash flow

Equity volatility

6.45% - 50.85%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

50.00% - 143.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

 

 

 

 

 

 

Index annuities including certain

 

 

 

 

 

GMWB

 

5,538

Discounted cash flow

Base lapse rate

0.38% - 50.00%

 

 

 

 

Dynamic lapse multiplier

19.00% - 178.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

80.00% - 100.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

 

 

 

 

 

 

Indexed life

 

649

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

(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 CDO 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 within Policyholder contract deposits 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 7, 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) Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.

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

(g) The partial withdrawal utilization unobservable input range shown applies only to policies with guaranteed minimum withdrawal benefit riders that are accounted for as an embedded derivative. The total embedded derivative liability at September 30, 2021 and December 31, 2020 was approximately $1.0 billion and $726 million, respectively. The remaining guaranteed minimum riders on the index annuities are valued under the accounting guidance for certain nontraditional long-duration contracts.
Investments in certain entities carried at fair value using net asset value per share

 

 

September 30, 2021

 

December 31, 2020

 

 

 

Fair Value

 

 

 

Fair Value

 

 

 

 

 

Using NAV

 

 

 

Using NAV

 

 

 

 

 

Per Share (or

 

Unfunded

 

Per Share (or

 

Unfunded

(in millions)

Investment Category Includes

 

its equivalent)

Commitments

 

its equivalent)

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

$

2,517

$

1,670

 

$

1,752

$

1,960

 

 

 

 

 

 

 

 

 

 

 

Real assets

Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets

 

1,020

 

528

 

 

908

 

445

 

 

 

 

 

 

 

 

 

 

 

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

 

257

 

200

 

 

167

 

171

 

 

 

 

 

 

 

 

 

 

 

Growth equity

Funds that make investments in established companies for the purpose of growing their businesses

 

913

 

128

 

 

703

 

55

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

Funds that make investments in the junior debt and equity securities of leveraged companies

 

526

 

357

 

 

400

 

155

 

 

 

 

 

 

 

 

 

 

 

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

 

923

 

431

 

 

683

 

365

Total private equity funds

 

6,156

 

3,314

 

 

4,613

 

3,151

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations

 

412

 

-

 

 

411

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk

 

383

 

-

 

 

361

 

-

 

 

 

 

 

 

 

 

 

 

 

Macro

Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions

 

680

 

-

 

 

807

 

-

 

 

 

 

 

 

 

 

 

 

 

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

 

355

 

-

 

 

301

 

1

Total hedge funds

 

 

1,830

 

-

 

 

1,880

 

1

Total

 

$

7,986

$

3,314

 

$

6,493

$

3,152
Gains or losses related to the eligible instruments for which AIG elected the fair value option

 

Gain (Loss) Three Months Ended September 30,

Gain (Loss) Nine Months Ended September 30,

 

(in millions)

 

2021

 

2020

 

2021

 

2020

Assets:

 

 

 

 

 

 

 

 

Bond and equity securities

$

35

$

171

$

32

$

485

Alternative investments(a)

 

403

 

407

 

1,248

 

242

Liabilities:

 

 

 

 

 

 

 

 

Long-term debt(b)

 

6

 

18

 

39

 

(203)

Total gain

$

444

$

596

$

1,319

$

524

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

(b) Includes guaranteed investment agreements (GIAs), notes, bonds and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

September 30, 2021

 

December 31, 2020

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

1,964

$

1,365

$

599

 

$

2,097

$

1,479

$

618

*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges

 

Assets at Fair Value

 

Impairment Charges

 

Non-Recurring Basis

 

Three Months Ended September 30,

 

Nine Months Ended September 30,

(in millions)

Level 1

Level 2

Level 3

 

Total

 

 

2021

 

2020

 

 

2021

 

2020

September 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

89

$

89

 

$

-

$

12

 

$

6

$

60

Other assets

 

-

 

-

 

-

 

-

 

 

13

 

2

 

 

13

 

14

Total

$

-

$

-

$

89

$

89

 

$

13

$

14

 

$

19

$

74

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

376

$

376

 

 

 

 

 

 

 

 

 

 

Other assets

 

-

 

-

 

28

 

28

 

 

 

 

 

 

 

 

 

 

Total

$

-

$

-

$

404

$

404

 

 

 

 

 

 

 

 

 

 
Carrying values and estimated fair values of AIG's financial instruments

 

Estimated Fair Value

 

Carrying

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Value

September 30, 2021

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

87

$

47,880

$

47,967

$

45,821

Other invested assets

 

-

 

810

 

6

 

816

 

816

Short-term investments

 

-

 

8,131

 

-

 

8,131

 

8,131

Cash

 

2,699

 

-

 

-

 

2,699

 

2,699

Other assets

 

47

 

11

 

-

 

58

 

58

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

181

 

146,110

 

146,291

 

133,395

Fortitude Re funds withheld payable

 

-

 

-

 

35,455

 

35,455

 

35,455

Other liabilities

 

-

 

3,702

 

-

 

3,702

 

3,702

Long-term debt

 

-

 

25,851

 

345

 

26,196

 

22,618

Debt of consolidated investment entities

 

-

 

2,655

 

4,476

 

7,131

 

6,968

Separate account liabilities - investment contracts

 

-

 

100,515

 

-

 

100,515

 

100,515

December 31, 2020

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

95

$

48,541

$

48,636

$

45,562

Other invested assets

 

-

 

837

 

6

 

843

 

843

Short-term investments

 

-

 

12,235

 

-

 

12,235

 

12,235

Cash

 

2,827

 

-

 

-

 

2,827

 

2,827

Other assets

 

209

 

14

 

-

 

223

 

223

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

214

 

144,357

 

144,571

 

130,435

Fortitude Re funds withheld payable

 

-

 

-

 

37,018

 

37,018

 

37,018

Other liabilities

 

-

 

3,695

 

-

 

3,695

 

3,695

Long-term debt

 

-

 

30,310

 

365

 

30,675

 

26,006

Debt of consolidated investment entities

 

-

 

1,746

 

7,965

 

9,711

 

9,431

Separate account liabilities - investment contracts

 

-

 

95,610

 

-

 

95,610

 

95,610