XML 86 R40.htm IDEA: XBRL DOCUMENT v3.22.0.1
FAIR VALUE MEASUREMENTS (Tables)
12 Months Ended
Dec. 31, 2021
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

December 31, 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

$

2,553

$

5,641

$

-

$

-

$

-

$

8,194

Obligations of states, municipalities and political subdivisions

 

-

 

13,096

 

1,431

 

-

 

-

 

14,527

Non-U.S. governments

 

9

 

16,314

 

7

 

-

 

-

 

16,330

Corporate debt

 

-

 

172,967

 

2,641

 

-

 

-

 

175,608

RMBS

 

-

 

16,909

 

10,378

 

-

 

-

 

27,287

CMBS

 

-

 

14,619

 

1,190

 

-

 

-

 

15,809

CDO/ABS

 

-

 

8,232

 

11,215

 

-

 

-

 

19,447

Total bonds available for sale

 

2,562

 

247,778

 

26,862

 

-

 

-

 

277,202

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,750

 

-

 

-

 

-

 

1,750

Obligations of states, municipalities and political subdivisions

 

-

 

97

 

-

 

-

 

-

 

97

Non-U.S. governments

 

-

 

76

 

-

 

-

 

-

 

76

Corporate debt

 

-

 

916

 

134

 

-

 

-

 

1,050

RMBS

 

-

 

215

 

196

 

-

 

-

 

411

CMBS

 

-

 

280

 

35

 

-

 

-

 

315

CDO/ABS

 

-

 

247

 

2,332

 

-

 

-

 

2,579

Total other bond securities

 

-

 

3,581

 

2,697

 

-

 

-

 

6,278

Equity securities

 

669

 

64

 

6

 

-

 

-

 

739

Other invested assets(b)

 

-

 

138

 

1,948

 

-

 

-

 

2,086

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

3,873

 

-

 

-

 

-

 

3,873

Foreign exchange contracts

 

-

 

1,188

 

1

 

-

 

-

 

1,189

Equity contracts

 

7

 

224

 

450

 

-

 

-

 

681

Commodity contracts

 

-

 

4

 

-

 

-

 

-

 

4

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

13

 

-

 

-

 

13

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,779)

 

(2,139)

 

(4,918)

Total derivative assets

 

7

 

5,289

 

465

 

(2,779)

 

(2,139)

 

843

Short-term investments

 

2,584

 

1,842

 

-

 

-

 

-

 

4,426

Other assets

 

-

 

-

 

114

 

-

 

-

 

114

Separate account assets

 

105,221

 

3,890

 

-

 

-

 

-

 

109,111

Total

$

111,043

$

262,582

$

32,092

$

(2,779)

$

(2,139)

$

400,799

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

54

$

9,682

$

-

$

-

$

9,736

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

3,632

 

-

 

-

 

-

 

3,633

Foreign exchange contracts

 

-

 

721

 

-

 

-

 

-

 

721

Equity contracts

 

1

 

46

 

6

 

-

 

-

 

53

Credit contracts

 

-

 

16

 

31

 

-

 

-

 

47

Other contracts

 

-

 

-

 

-

 

-

 

-

 

-

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,779)

 

(1,089)

 

(3,868)

Total derivative liabilities

 

2

 

4,415

 

37

 

(2,779)

 

(1,089)

 

586

Fortitude Re funds withheld payable

 

-

 

-

 

5,922

 

-

 

-

 

5,922

Other liabilities

 

-

 

-

 

-

 

-

 

-

 

-

Long-term debt

 

-

 

1,871

 

-

 

-

 

-

 

1,871

Total

$

2

$

6,340

$

15,641

$

(2,779)

$

(1,089)

$

18,115

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 $8.4 billion and $6.5 billion as of December 31, 2021 and December 31, 2020, respectively.

(c) Presented as part of Other assets and Other liabilities on the 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 Year

in Income

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Year

 

at End of Year

 

at End of Year

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,105

$

15

$

(9)

$

(358)

$

-

$

(260)

$

(62)

$

1,431

$

-

$

254

Non-U.S. governments

 

5

 

-

 

(1)

 

1

 

5

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,349

 

(20)

 

(31)

 

188

 

524

 

(369)

 

-

 

2,641

 

-

 

(141)

RMBS

 

11,694

 

595

 

(127)

 

(1,163)

 

8

 

(629)

 

-

 

10,378

 

-

 

790

CMBS

 

922

 

25

 

(49)

 

414

 

57

 

(179)

 

-

 

1,190

 

-

 

(55)

CDO/ABS

 

9,814

 

38

 

(122)

 

1,588

 

1,138

 

(1,241)

 

-

 

11,215

 

-

 

315

Total bonds available for sale

 

26,889

 

653

 

(339)

 

670

 

1,732

 

(2,681)

 

(62)

 

26,862

 

-

 

1,163

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

(1)

 

-

 

135

 

-

 

-

 

-

 

134

 

(1)

 

-

RMBS

 

139

 

3

 

-

 

54

 

-

 

-

 

-

 

196

 

(87)

 

-

CMBS

 

47

 

(3)

 

-

 

(15)

 

6

 

-

 

-

 

35

 

2

 

-

CDO/ABS

 

2,512

 

28

 

-

 

(208)

 

-

 

-

 

-

 

2,332

 

127

 

-

Total other bond securities

 

2,698

 

27

 

-

 

(34)

 

6

 

-

 

-

 

2,697

 

41

 

-

Equity securities

 

51

 

11

 

1

 

(123)

 

77

 

(11)

 

-

 

6

 

3

 

-

Other invested assets

 

1,827

 

641

 

(14)

 

(570)

 

64

 

-

 

-

 

1,948

 

617

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

31,578

$

1,332

$

(352)

$

(56)

$

1,879

$

(2,692)

$

(62)

$

31,627

$

661

$

1,163

 

 

 

 

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 Year

in Income

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Year

 

at End of Year

 

at End of Year

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(545)

$

-

$

484

$

-

$

(55)

$

-

$

9,682

$

1,860

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

1

 

-

Foreign exchange contracts

 

(2)

 

-

 

-

 

1

 

-

 

-

 

-

 

(1)

 

-

 

-

Equity contracts

 

(151)

 

(75)

 

-

 

(271)

 

-

 

53

 

-

 

(444)

 

32

 

-

Credit contracts

 

42

 

9

 

-

 

(21)

 

-

 

-

 

-

 

30

 

1

 

-

Other contracts

 

(8)

 

(66)

 

-

 

61

 

-

 

-

 

-

 

(13)

 

66

 

-

Total derivative liabilities, net(a)

 

(119)

 

(133)

 

-

 

(229)

 

-

 

53

 

-

 

(428)

 

100

 

-

Fortitude Re funds withheld payable

 

6,042

 

603

 

-

 

(723)

 

-

 

-

 

-

 

5,922

 

2,094

 

-

Total

$

15,721

$

(75)

$

-

$

(468)

$

-

$

(2)

$

-

$

15,176

$

4,054

$

-

 

 

 

 

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 Year

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Year

 

at End of Year

 

at End of Year

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,121

$

7

$

211

$

123

$

27

$

(384)

$

-

$

2,105

$

-

$

208

Non-U.S. governments

 

-

 

-

 

-

 

4

 

7

 

(6)

 

-

 

5

 

-

 

-

Corporate debt

 

1,663

 

(110)

 

65

 

11

 

1,482

 

(762)

 

-

 

2,349

 

-

 

79

RMBS

 

13,408

 

745

 

(337)

 

(1,200)

 

29

 

(951)

 

-

 

11,694

 

-

 

(172)

CMBS

 

1,053

 

18

 

60

 

(1)

 

23

 

(231)

 

-

 

922

 

-

 

55

CDO/ABS

 

7,686

 

35

 

123

 

359

 

2,531

 

(920)

 

-

 

9,814

 

-

 

106

Total bonds available for sale

 

25,931

 

695

 

122

 

(704)

 

4,099

 

(3,254)

 

-

 

26,889

 

-

 

276

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

9

 

-

 

(13)

 

-

 

-

 

-

 

139

 

5

 

-

CMBS

 

50

 

-

 

-

 

(3)

 

-

 

-

 

-

 

47

 

(2)

 

-

CDO/ABS

 

3,545

 

293

 

-

 

(1,326)

 

-

 

-

 

-

 

2,512

 

17

 

-

Total other bond securities

 

3,738

 

302

 

-

 

(1,342)

 

-

 

-

 

-

 

2,698

 

20

 

-

Equity securities

 

8

 

(1)

 

6

 

35

 

40

 

(37)

 

-

 

51

 

-

 

-

Other invested assets

 

1,192

 

100

 

(3)

 

388

 

150

 

-

 

-

 

1,827

 

51

 

-

Other assets

 

89

 

-

 

-

 

62

 

-

 

-

 

(38)

 

113

 

-

 

-

Total

$

30,958

$

1,096

$

125

$

(1,561)

$

4,289

$

(3,291)

$

(38)

$

31,578

$

71

$

276

 

 

 

 

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

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of

 

at End of

 

at End of Year

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

2,681

$

-

$

207

$

-

$

-

$

-

$

9,798

$

(1,515)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

2

 

-

Foreign exchange contracts

 

(6)

 

3

 

-

 

1

 

-

 

-

 

-

 

(2)

 

1

 

-

Equity contracts

 

(151)

 

4

 

-

 

(8)

 

(1)

 

5

 

-

 

(151)

 

(33)

 

-

Credit contracts

 

62

 

(47)

 

-

 

27

 

-

 

-

 

-

 

42

 

8

 

-

Other contracts

 

(7)

 

(63)

 

-

 

62

 

-

 

-

 

-

 

(8)

 

62

 

-

Total derivative liabilities, net(a)

 

(102)

 

(104)

 

-

 

83

 

(1)

 

5

 

-

 

(119)

 

40

 

-

Fortitude Re funds withheld payable

 

-

 

2,645

 

-

 

(276)

 

-

 

-

 

3,673

 

6,042

 

(1,377)

 

-

Total

$

6,808

$

5,222

$

-

$

14

$

(1)

$

5

$

3,673

$

15,721

$

(2,852)

$

-

(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 Year

in Income

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Year

 

at End of Year

 

at End of Year

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,105

$

15

$

(9)

$

(358)

$

-

$

(260)

$

(62)

$

1,431

$

-

$

254

Non-U.S. governments

 

5

 

-

 

(1)

 

1

 

5

 

(3)

 

-

 

7

 

-

 

-

Corporate debt

 

2,349

 

(20)

 

(31)

 

188

 

524

 

(369)

 

-

 

2,641

 

-

 

(141)

RMBS

 

11,694

 

595

 

(127)

 

(1,163)

 

8

 

(629)

 

-

 

10,378

 

-

 

790

CMBS

 

922

 

25

 

(49)

 

414

 

57

 

(179)

 

-

 

1,190

 

-

 

(55)

CDO/ABS

 

9,814

 

38

 

(122)

 

1,588

 

1,138

 

(1,241)

 

-

 

11,215

 

-

 

315

Total bonds available for sale

 

26,889

 

653

 

(339)

 

670

 

1,732

 

(2,681)

 

(62)

 

26,862

 

-

 

1,163

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

(1)

 

-

 

135

 

-

 

-

 

-

 

134

 

(1)

 

-

RMBS

 

139

 

3

 

-

 

54

 

-

 

-

 

-

 

196

 

(87)

 

-

CMBS

 

47

 

(3)

 

-

 

(15)

 

6

 

-

 

-

 

35

 

2

 

-

CDO/ABS

 

2,512

 

28

 

-

 

(208)

 

-

 

-

 

-

 

2,332

 

127

 

-

Total other bond securities

 

2,698

 

27

 

-

 

(34)

 

6

 

-

 

-

 

2,697

 

41

 

-

Equity securities

 

51

 

11

 

1

 

(123)

 

77

 

(11)

 

-

 

6

 

3

 

-

Other invested assets

 

1,827

 

641

 

(14)

 

(570)

 

64

 

-

 

-

 

1,948

 

617

 

-

Other assets

 

113

 

-

 

-

 

1

 

-

 

-

 

-

 

114

 

-

 

-

Total

$

31,578

$

1,332

$

(352)

$

(56)

$

1,879

$

(2,692)

$

(62)

$

31,627

$

661

$

1,163

 

 

 

 

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 Year

in Income

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Year

 

at End of Year

 

at End of Year

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(545)

$

-

$

484

$

-

$

(55)

$

-

$

9,682

$

1,860

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

1

 

-

Foreign exchange contracts

 

(2)

 

-

 

-

 

1

 

-

 

-

 

-

 

(1)

 

-

 

-

Equity contracts

 

(151)

 

(75)

 

-

 

(271)

 

-

 

53

 

-

 

(444)

 

32

 

-

Credit contracts

 

42

 

9

 

-

 

(21)

 

-

 

-

 

-

 

30

 

1

 

-

Other contracts

 

(8)

 

(66)

 

-

 

61

 

-

 

-

 

-

 

(13)

 

66

 

-

Total derivative liabilities, net(a)

 

(119)

 

(133)

 

-

 

(229)

 

-

 

53

 

-

 

(428)

 

100

 

-

Fortitude Re funds withheld payable

 

6,042

 

603

 

-

 

(723)

 

-

 

-

 

-

 

5,922

 

2,094

 

-

Total

$

15,721

$

(75)

$

-

$

(468)

$

-

$

(2)

$

-

$

15,176

$

4,054

$

-

 

 

 

 

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 Year

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of Year

 

at End of Year

 

at End of Year

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,121

$

7

$

211

$

123

$

27

$

(384)

$

-

$

2,105

$

-

$

208

Non-U.S. governments

 

-

 

-

 

-

 

4

 

7

 

(6)

 

-

 

5

 

-

 

-

Corporate debt

 

1,663

 

(110)

 

65

 

11

 

1,482

 

(762)

 

-

 

2,349

 

-

 

79

RMBS

 

13,408

 

745

 

(337)

 

(1,200)

 

29

 

(951)

 

-

 

11,694

 

-

 

(172)

CMBS

 

1,053

 

18

 

60

 

(1)

 

23

 

(231)

 

-

 

922

 

-

 

55

CDO/ABS

 

7,686

 

35

 

123

 

359

 

2,531

 

(920)

 

-

 

9,814

 

-

 

106

Total bonds available for sale

 

25,931

 

695

 

122

 

(704)

 

4,099

 

(3,254)

 

-

 

26,889

 

-

 

276

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

9

 

-

 

(13)

 

-

 

-

 

-

 

139

 

5

 

-

CMBS

 

50

 

-

 

-

 

(3)

 

-

 

-

 

-

 

47

 

(2)

 

-

CDO/ABS

 

3,545

 

293

 

-

 

(1,326)

 

-

 

-

 

-

 

2,512

 

17

 

-

Total other bond securities

 

3,738

 

302

 

-

 

(1,342)

 

-

 

-

 

-

 

2,698

 

20

 

-

Equity securities

 

8

 

(1)

 

6

 

35

 

40

 

(37)

 

-

 

51

 

-

 

-

Other invested assets

 

1,192

 

100

 

(3)

 

388

 

150

 

-

 

-

 

1,827

 

51

 

-

Other assets

 

89

 

-

 

-

 

62

 

-

 

-

 

(38)

 

113

 

-

 

-

Total

$

30,958

$

1,096

$

125

$

(1,561)

$

4,289

$

(3,291)

$

(38)

$

31,578

$

71

$

276

 

 

 

 

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

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Businesses

 

of

 

at End of

 

at End of Year

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

2,681

$

-

$

207

$

-

$

-

$

-

$

9,798

$

(1,515)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

1

 

-

 

-

 

-

 

-

 

2

 

-

Foreign exchange contracts

 

(6)

 

3

 

-

 

1

 

-

 

-

 

-

 

(2)

 

1

 

-

Equity contracts

 

(151)

 

4

 

-

 

(8)

 

(1)

 

5

 

-

 

(151)

 

(33)

 

-

Credit contracts

 

62

 

(47)

 

-

 

27

 

-

 

-

 

-

 

42

 

8

 

-

Other contracts

 

(7)

 

(63)

 

-

 

62

 

-

 

-

 

-

 

(8)

 

62

 

-

Total derivative liabilities, net(a)

 

(102)

 

(104)

 

-

 

83

 

(1)

 

5

 

-

 

(119)

 

40

 

-

Fortitude Re funds withheld payable

 

-

 

2,645

 

-

 

(276)

 

-

 

-

 

3,673

 

6,042

 

(1,377)

 

-

Total

$

6,808

$

5,222

$

-

$

14

$

(1)

$

5

$

3,673

$

15,721

$

(2,852)

$

-

(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

December 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

654

$

(1)

$

-

$

653

Other bond securities

 

27

 

-

 

-

 

27

Equity securities

 

11

 

-

 

-

 

11

Other invested assets

 

630

 

11

 

-

 

641

December 31, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

733

$

(38)

$

-

$

695

Other bond securities

 

34

 

268

 

-

 

302

Equity securities

 

-

 

(1)

 

-

 

(1)

Other invested assets

 

98

 

2

 

-

 

100

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

Investment

 

Net Realized

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

December 31, 2021

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(545)

$

-

$

(545)

Derivative liabilities, net

 

-

 

(74)

 

(59)

 

(133)

Fortitude Re funds withheld payable

 

-

 

603

 

-

 

603

December 31, 2020

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

2,681

$

-

$

2,681

Derivative liabilities, net

 

-

 

(47)

 

(57)

 

(104)

Fortitude Re funds withheld payable

 

-

 

2,645

 

-

 

2,645

* Primarily embedded derivatives.

The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for years ended December 31, 2021 and 2020 related to Level 3 assets and liabilities in the Consolidated Balance Sheets:

Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

December 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

55

$

(247)

$

(166)

$

(358)

Non-U.S. governments

 

1

 

-

 

-

 

1

Corporate debt

 

973

 

(95)

 

(690)

 

188

RMBS

 

1,567

 

(280)

 

(2,450)

 

(1,163)

CMBS

 

510

 

(15)

 

(81)

 

414

CDO/ABS

 

4,409

 

70

 

(2,891)

 

1,588

Total bonds available for sale

 

7,515

 

(567)

 

(6,278)

 

670

Other bond securities:

 

 

 

 

 

 

 

 

Corporate debt

 

86

 

-

 

49

 

135

RMBS

 

54

 

(10)

 

10

 

54

CMBS

 

-

 

(15)

 

-

 

(15)

CDO/ABS

 

320

 

(39)

 

(489)

 

(208)

Total other bond securities

 

460

 

(64)

 

(430)

 

(34)

Equity securities

 

2

 

(3)

 

(122)

 

(123)

Other invested assets

 

578

 

-

 

(1,148)

 

(570)

Other assets

 

-

 

-

 

1

 

1

Total

$

8,555

$

(634)

$

(7,977)

$

(56)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

818

$

(334)

$

484

Derivative liabilities, net

 

(281)

 

6

 

46

 

(229)

Fortitude Re funds withheld payable

 

-

 

-

 

(723)

 

(723)

Total

$

(281)

$

824

$

(1,011)

$

(468)

December 31, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

219

$

(20)

$

(76)

$

123

Non-U.S. governments

 

7

 

(2)

 

(1)

 

4

Corporate debt

 

300

 

(24)

 

(265)

 

11

RMBS

 

1,118

 

(33)

 

(2,285)

 

(1,200)

CMBS

 

56

 

(17)

 

(40)

 

(1)

CDO/ABS

 

1,904

 

(408)

 

(1,137)

 

359

Total bonds available for sale

 

3,604

 

(504)

 

(3,804)

 

(704)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

37

 

(16)

 

(34)

 

(13)

CMBS

 

-

 

-

 

(3)

 

(3)

CDO/ABS

 

35

 

(579)

 

(782)

 

(1,326)

Total other bond securities

 

72

 

(595)

 

(819)

 

(1,342)

Equity securities

 

40

 

(5)

 

-

 

35

Other invested assets

 

480

 

-

 

(92)

 

388

Other assets

 

55

 

-

 

7

 

62

Total

$

4,251

$

(1,104)

$

(4,708)

$

(1,561)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

713

$

(506)

$

207

Derivative liabilities, net

 

(68)

 

8

 

143

 

83

Fortitude Re funds withheld payable

 

-

 

-

 

(276)

 

(276)

Total

$

(68)

$

721

$

(639)

$

14

(a)There were no issuances during the years ended December 31, 2021 and 2020.
Significant unobservable inputs used for recurring fair value measurements

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2021

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,400

Discounted cash flow

Yield

2.74% - 3.33% (3.06%)

 

 

 

 

 

 

Corporate debt

 

1,561

Discounted cash flow

Yield

2.23% - 7.69% (4.96%)

 

 

 

 

 

 

RMBS(a)

 

9,916

Discounted cash flow

Constant prepayment rate

5.25% - 17.70% (11.47%)

 

 

 

 

Loss severity

26.13% - 71.93% (49.03%)

 

 

 

 

Constant default rate

1.15% - 5.85% (3.50%)

 

 

 

 

Yield

1.69% - 3.97% (2.83%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,229

Discounted cash flow

Yield

1.84% - 4.77% (3.31%)

 

 

 

 

 

 

CMBS

 

580

Discounted cash flow

Yield

1.50% - 5.01% (3.25%)

 

 

 

 

 

 

Liabilities:(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Variable annuity guaranteed

 

 

 

 

 

minimum withdrawal benefits

 

 

 

 

 

(GMWB)

 

2,472

Discounted cash flow

Equity volatility

5.95% - 46.65%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

 

 

 

 

 

 

Index annuities including certain

 

 

 

 

 

GMWB

 

6,445

Discounted cash flow

Base lapse rate

0.50% - 50.00%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

60.00% - 95.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

 

 

 

 

 

 

Indexed life

 

765

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

5,538

Discounted cash flow

Base lapse rate

0.38% - 50.00%

GMWB

 

 

 

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 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 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 December 31, 2021 and 2020 was approximately $1.2 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.

The ranges of reported inputs for Obligations of states, municipalities and political subdivisions, Corporate debt, RMBS, CDO/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.

Investments in certain entities carried at fair value using net asset value per share

 

 

December 31, 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

$

2,768

$

1,798

 

$

1,752

$

1,960

 

 

 

 

 

 

 

 

 

 

 

Real assets

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

 

904

 

487

 

 

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

 

252

 

201

 

 

167

 

171

 

 

 

 

 

 

 

 

 

 

 

Growth equity

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

 

914

 

82

 

 

703

 

55

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

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

 

534

 

354

 

 

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

 

1,216

 

408

 

 

683

 

365

Total private equity funds

 

6,588

 

3,330

 

 

4,613

 

3,151

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

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

 

466

 

-

 

 

411

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

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

 

432

 

-

 

 

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

 

516

 

-

 

 

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

 

416

 

-

 

 

301

 

1

Total hedge funds

 

 

1,830

 

-

 

 

1,880

 

1

Total

 

$

8,418

$

3,330

 

$

6,493

$

3,152

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

Years Ended December 31,

Gain (Loss)

(in millions)

 

2021

 

2020

 

2019

Assets:

 

 

 

 

 

 

Other bond securities

$

(12)

$

552

$

1,046

Alternative investments(a)

 

1,650

 

685

 

591

Liabilities:

 

 

 

 

 

 

Long-term debt(b)

 

66

 

(176)

 

(181)

Total gain

$

1,704

$

1,061

$

1,456

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

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

Difference between fair values and aggregate contractual principal amounts, fair value option

 

December 31, 2021

 

December 31, 2020

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

1,871

$

1,405

$

466

 

$

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

 

December 31,

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

2021

 

2020

 

2019

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

104

$

104

 

$

6

$

77

$

76

Other assets

 

-

 

-

 

-

 

-

 

 

67

 

14

 

74

Total

$

-

$

-

$

104

$

104

 

$

73

$

91

$

150

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

December 31, 2021

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

82

$

47,947

$

48,029

$

46,033

Other invested assets

 

-

 

871

 

6

 

877

 

878

Short-term investments

 

-

 

8,931

 

-

 

8,931

 

8,931

Cash

 

2,198

 

-

 

-

 

2,198

 

2,198

Other assets

 

21

 

11

 

-

 

32

 

32

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

169

 

142,974

 

143,143

 

133,043

Fortitude Re funds withheld payable

 

-

 

-

 

34,849

 

34,849

 

34,849

Other liabilities

 

-

 

3,704

 

-

 

3,704

 

3,704

Long-term debt

 

-

 

24,758

 

336

 

25,094

 

21,870

Debt of consolidated investment entities

 

-

 

3,077

 

3,313

 

6,390

 

6,422

Separate account liabilities - investment contracts

 

-

 

104,126

 

-

 

104,126

 

104,126

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