AMERICAN INTERNATIONAL GROUP INC

At June 30, 2024, approximately 61 percent of our fixed maturity securities were held by our U.S. 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. We closely monitor the credit quality of the foreign portfolio’s non-rated fixed maturity securities. At June 30, 2024, 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 26 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 (96 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 Part II, Item 7. MD&A – Enterprise Risk Management in the 2023 Annual Report.

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

Available-for-Sale Investments

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

*At June 30, 2024 and December 31, 2023, the fair value of bonds available for sale held by us that were below investment grade or not rated totaled $4.8 billion and $5.2 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 June 30, 2024, the U.S. municipal bond portfolio was composed primarily of essential service revenue bonds and high-quality tax-exempt bonds with 99 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 June 30, 2024 and December 31, 2023, approximately 90 percent and 90 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 $1.3 billion and $1.3 billion at June 30, 2024 and December 31, 2023, 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 Condensed Consolidated Financial Statements.

(b)The weighted average expected life was six years and seven years at June 30, 2024 and December 31, 2023, respectively.

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 six months ended June 30, 2024. 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 $1 million for investment grade bonds and $32 million for below investment grade bonds as of June 30, 2024.

Commercial Mortgage Loans

At June 30, 2024, we had direct commercial mortgage loan exposure of $3.7 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 Condensed Consolidated Financial Statements and Note 7 to the Consolidated Financial Statements in the 2023 Annual Report.

Net Realized Gains and Losses

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

Higher Net realized losses excluding Fortitude Re funds withheld assets in the three months ended June 30, 2024 were primarily due to higher losses on sales of fixed maturity securities and lower gains on foreign exchange transactions compared to the prior year period. Lower Net realized losses excluding Fortitude Re funds withheld assets in the six months ended June 30, 2024 compared to 2023 were primarily due to lower losses on sales of fixed maturity securities derivatives gains in the current period compared to the prior year period.

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 Condensed Consolidated Financial Statements.

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

Change in Unrealized Gains and Losses on Investments

The change in net unrealized gains and losses on investments in the three and six months ended June 30, 2024 was primarily attributable to a change in the fair value of fixed maturity securities. For the three months ended June 30, 2024, net unrealized gains related to fixed maturity securities were $15 million due primarily to narrowing of credit spreads. For the six months ended June 30, 2024, net unrealized losses were $117 million due to higher interest rates, partially offset by tighter credit spreads.

The change in net unrealized gains and losses on investments in the three and six months ended June 30, 2023 was primarily attributable to a change in the fair value of fixed maturity securities. For the three months ended June 30, 2023, net unrealized losses related to fixed maturity securities were $180 million due primarily to an increase in interest rates. For the six months ended June 30, 2023, net unrealized gains were $829 million primarily due to widening of credit spreads.

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