AMERICAN INTERNATIONAL GROUP INC

At December 31, 2023, approximately 89 percent of our fixed maturity securities were held by our domestic entities. Approximately 92 percent of these securities were rated investment grade by one or more of the principal rating agencies.

Moody’s Investors Service Inc. (Moody’s), Standard & Poor’s Financial Services LLC, a subsidiary of S&P Global Inc. (S&P), or similar foreign rating services rate a significant portion of our foreign entities’ fixed maturity securities portfolio. Rating services are not available for some foreign-issued securities. Our credit risk management group closely reviews the credit quality of the foreign portfolio’s non-rated fixed maturity securities. At December 31, 2023, approximately 93 percent of such investments were either rated investment grade or, on the basis of analysis of our investment managers, were equivalent from a credit standpoint to securities rated investment grade. Approximately 27 percent of the foreign entities’ fixed maturity securities portfolio is comprised of sovereign fixed maturity securities supporting policy liabilities in the country of issuance.

Composite AIG Credit Ratings

With respect to our fixed maturity securities, the credit ratings in the table below and in subsequent tables reflect: (i) a composite of the ratings of the three major rating agencies, or when agency ratings are not available, the NAIC Designation assigned by the NAIC SVO (99 percent of total fixed maturity securities), or (ii) our internal ratings when these investments have not been rated by any of the major rating agencies or the NAIC. The “Non-rated” category in those tables consists of fixed maturity securities that have not been rated by any of the major rating agencies, the NAIC or us.

For information regarding credit risks associated with Investments, see Enterprise Risk Management – Credit Risk Management.

The following table presents the composite AIG credit ratings of our fixed maturity securities calculated on the basis of their fair value*:

*On August 1, 2023, Fitch downgraded the U.S. government’s credit rating from AAA to AA+. This resulted in the composite AIG Credit Rating for both U.S. government securities and agency mortgage-backed securities to transition from AAA to AA+.

Available-for-Sale Investments

The following table presents the fair value of our available-for-sale securities:

*At December 31, 2023 and 2022, the fair value of bonds available for sale held by us that were below investment grade or not rated totaled $17.1 billion and $22.3 billion, respectively.

The following table presents the fair value of our aggregate credit exposures to non-U.S. governments for our fixed maturity securities:

The following table presents the fair value of our aggregate European credit exposures by major sector for our fixed maturity securities:

Investments in Municipal Bonds

At December 31, 2023, the U.S. municipal bond portfolio was composed primarily of essential service revenue bonds and high-quality tax-exempt bonds with 98 percent of the portfolio rated A or higher.

The following table presents the fair values of our available for sale U.S. municipal bond portfolio by state and municipal bond type:

Investments in Corporate Debt Securities

The following table presents the fair value of our available for sale corporate debt securities by industry categories:

*At December 31, 2023 and 2022, approximately 92 percent and 89 percent, respectively, of these investments were rated investment grade.

Investments in RMBS

The following table presents the fair value of AIG’s RMBS available for sale securities:

(a)Includes approximately $4.1 billion and $4.4 billion at December 31, 2023 and 2022, respectively, of certain RMBS that had experienced deterioration in credit quality since their origination. This excludes impact of U.S. debt downgrade of Fannie Mae and Freddie Mac. For additional information on purchased credit deteriorated securities, see Note 6 to the Consolidated Financial Statements.

(b)The weighted average expected life was seven years at both December 31, 2023 and December 31, 2022.

Our investments guidelines for investing in RMBS, CLO and other asset-backed securities (ABS) take into consideration the quality of the originator, the manager, the servicer, security credit ratings, underlying characteristics of the mortgages, borrower characteristics, and the level of credit enhancement in the transaction.

Investments in CMBS

The following table presents the fair value of our CMBS available for sale securities:

The fair value of CMBS holdings remained stable during the year ended December 31, 2023. The majority of our investments in CMBS are in tranches that contain substantial credit protection features through collateral subordination. The majority of CMBS holdings are traditional conduit transactions, broadly diversified across property types and geographical areas.

Investments in CLO/ABS

The following table presents the fair value of our CLO/ABS available for sale securities by collateral type:

Unrealized Losses of Fixed Maturity Securities

The following table shows the aging of the unrealized losses of fixed maturity securities, the extent to which the fair value is less than amortized cost or cost, and the number of respective items in each category:

(a)Represents the number of consecutive months that fair value has been less than cost by any amount.

(b)Represents the percentage by which fair value is less than cost.

(c)For bonds, represents amortized cost net of allowance.

(d)Item count is by CUSIP by subsidiary.

The allowance for credit losses was $9 million for investment grade bonds and $153 million for below investment grade bonds as of December 31, 2023.

Commercial Mortgage Loans

At December 31, 2023, we had direct commercial mortgage loan exposure of $38.0 billion.

The following table presents the commercial mortgage loan exposure by location and class of loan based on amortized cost:

*Does not reflect allowance for credit losses.

For additional information on commercial mortgage loans, see Note 7 to the Consolidated Financial Statements.

Net Realized Gains and Losses

The following table presents the components of Net realized gains (losses):

*Derivative activity related to hedging MRBs is recorded in Change in the fair value of MRBs, net. For additional disclosures about MRBs, see Note 14 to the Consolidated Financial Statements.

Net realized losses excluding Fortitude Re funds withheld assets in the year ended December 31, 2023 compared to Net realized gains excluding Fortitude Re funds withheld assets in 2022 were primarily due to lower derivative gains in the current period compared to the prior year period. Lower Net realized gains excluding Fortitude Re funds withheld assets in the year ended December 31, 2022 compared to 2021 were primarily due to losses on sales of securities compared to gains in 2021.

Index-linked interest credited embedded derivatives, net of related hedges, reflected higher losses in the year ended December 31, 2023 compared to 2022 and higher losses in the year ended December 31, 2022 compared to 2021. Fair value gains or losses in the hedging portfolio are typically not fully offset by increases or decreases in liabilities due to the non-performance or “own credit” risk adjustment used in the valuation of index-linked interest credited embedded derivatives, which are not hedged as part of our economic hedging program, and other risk margins used for valuation that cause the embedded derivatives to be less sensitive to changes in market rates than the hedge portfolio.

Net realized gains (losses) on Fortitude Re funds withheld assets primarily reflect changes in the valuation of the modified coinsurance and funds withheld assets. Increases in the valuation of these assets result in losses to AIG as the appreciation on the assets under those reinsurance arrangements must be transferred to Fortitude Re. Decreases in valuation of the assets result in gains to AIG as the depreciation on the assets under those reinsurance arrangements must be transferred to Fortitude Re. For additional information on the impact of the funds withheld arrangements with Fortitude Re, see Note 8 to the Consolidated Financial Statements.

For additional information on market risk management related to these product features, see Enterprise Risk Management – Insurance Risks – Life and Retirement Companies’ Key Risks – Variable Annuity, Fixed Index Annuity and Index Universal Life Risk Management and Hedging Programs. For additional information on the economic hedging target and the impact to pre-tax income of this program, see Insurance Reserves – Life and Annuity Future Policy Benefits, Policyholder Contract Deposits and Market Risk Benefits – Variable Annuity Guaranteed Benefits and Hedging Results.

For additional information on our investment portfolio, see Note 6 to the Consolidated Financial Statements.

Change in Unrealized Gains and Losses on Investments

The change in net unrealized gains and losses on investments in the year ended December 31, 2023 was primarily attributable to a change in the fair value of fixed maturity securities. For the year ended December 31, 2023, net unrealized gains were $8.5 billion due to narrowing of credit spreads.

The change in net unrealized gains and losses on investments in the year ended December 31, 2022 was primarily attributable to decreases in the fair value of fixed maturity securities. For the year ended December 31, 2022, net unrealized losses were $47.7 billion due to an increase in interest rates and spreads.

For additional information on our investment portfolio, see Note 6 to the Consolidated Financial Statements.