AMERICAN INTERNATIONAL GROUP INC
For the period ended Jun 30, 2024. Filed Aug 1, 2024.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2024 · Filed Aug 1, 2024
Extracted filing text, with the paragraph anchors used by the comparison.
See the whole filing, with its images and exhibitsContents
Fair Value Measurements
- Fair Value Measurements
FAIR VALUE MEASUREMENTS ON A RECURRING BASIS
Assets and liabilities recorded at fair value in the Condensed Consolidated Balance Sheets are measured and classified in accordance with a fair value hierarchy consisting of three “levels” based on the observability of valuation inputs:
Level 1: Fair value measurements based on quoted prices (unadjusted) in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets. We do not adjust the quoted price for such instruments.
Level 2: Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals.
Level 3: Fair value measurements based on valuation techniques that use significant inputs that are unobservable. Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability. Therefore, we must make certain assumptions about the inputs a hypothetical market participant would use to value that asset or liability.
| AIG | Second Quarter 2024 Form 10-Q | 15 |
|---|
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS
The following table presents information about assets and liabilities measured at fair value on a recurring basis and indicates the level of the fair value measurement based on the observability of the inputs used:
| June 30, 2024 | Level 1 | Level 2 | Level 3 | CounterpartyNetting(a) | CashCollateral | Total |
|---|---|---|---|---|---|---|
| (in millions) | ||||||
| Assets: | ||||||
| Bonds available for sale: | ||||||
| U.S. government and government sponsored entities | $24 | $4,385 | $— | $— | $— | $4,409 |
| Obligations of states, municipalities and political subdivisions | — | 4,488 | 4 | — | — | 4,492 |
| Non-U.S. governments | 161 | 7,893 | 7 | — | — | 8,061 |
| Corporate debt | 1 | 30,427 | 359 | — | — | 30,787 |
| RMBS | — | 3,762 | 2,016 | — | — | 5,778 |
| CMBS | — | 4,193 | 94 | — | — | 4,287 |
| CLO/ABS | — | 3,244 | 1,275 | — | — | 4,519 |
| Total bonds available for sale | 186 | 58,392 | 3,755 | — | — | 62,333 |
| Other bond securities: | ||||||
| Obligations of states, municipalities and political subdivisions | — | 50 | — | — | — | 50 |
| Non-U.S. governments | — | 25 | — | — | — | 25 |
| Corporate debt | — | 267 | 44 | — | — | 311 |
| RMBS | — | 53 | 49 | — | — | 102 |
| CMBS | — | 42 | — | — | — | 42 |
| CLO/ABS | — | 91 | 145 | — | — | 236 |
| Total other bond securities | — | 528 | 238 | — | — | 766 |
| Equity securities | 659 | 16 | 13 | — | — | 688 |
| Other invested assets(b) | 8,567 | 124 | 145 | — | — | 8,836 |
| Derivative assets(c): | ||||||
| Interest rate contracts | — | 263 | 3 | — | — | 266 |
| Foreign exchange contracts | — | 256 | 1 | — | — | 257 |
| Equity contracts | — | — | 35 | — | — | 35 |
| Credit contracts | — | — | 33 | — | — | 33 |
| Other contracts | — | — | 1 | — | — | 1 |
| Counterparty netting and cash collateral | — | — | — | (245) | (288) | (533) |
| Total derivative assets | — | 519 | 73 | (245) | (288) | 59 |
| Short-term investments | 3,845 | 4,292 | — | — | — | 8,137 |
| Other assets(c) | — | — | 130 | — | — | 130 |
| Total(d) | $13,257 | $63,871 | $4,354 | $(245) | $(288) | $80,949 |
| Liabilities: | ||||||
| Derivative liabilities(c): | ||||||
| Interest rate contracts | $— | $291 | $— | $— | $— | $291 |
| Foreign exchange contracts | — | 324 | 1 | — | — | 325 |
| Credit contracts | — | — | 33 | — | — | 33 |
| Counterparty netting and cash collateral | — | — | — | (245) | (180) | (425) |
| Total derivative liabilities | — | 615 | 34 | (245) | (180) | 224 |
| Fortitude Re funds withheld payable | — | — | (154) | — | — | (154) |
| Other liabilities | — | — | 99 | — | — | 99 |
| Total | $— | $615 | $(21) | $(245) | $(180) | $169 |
| 16 | AIG | Second Quarter 2024 Form 10-Q |
| December 31, 2023 | Level 1 | Level 2 | Level 3 | CounterpartyNetting(a) | CashCollateral | Total |
|---|---|---|---|---|---|---|
| (in millions) | ||||||
| Assets: | ||||||
| Bonds available for sale: | ||||||
| U.S. government and government sponsored entities | $15 | $4,380 | $— | $— | $— | $4,395 |
| Obligations of states, municipalities and political subdivisions | — | 4,830 | 3 | — | — | 4,833 |
| Non-U.S. governments | 233 | 8,156 | 7 | — | — | 8,396 |
| Corporate debt | — | 32,023 | 323 | — | — | 32,346 |
| RMBS | — | 4,415 | 1,792 | — | — | 6,207 |
| CMBS | — | 4,122 | 25 | — | — | 4,147 |
| CLO/ABS | — | 3,629 | 1,289 | — | — | 4,918 |
| Total bonds available for sale | 248 | 61,555 | 3,439 | — | — | 65,242 |
| Other bond securities: | ||||||
| Obligations of states, municipalities and political subdivisions | — | 51 | — | — | — | 51 |
| Non-U.S. governments | — | 24 | — | — | — | 24 |
| Corporate debt | — | 210 | 45 | — | — | 255 |
| RMBS | — | 42 | 51 | — | — | 93 |
| CMBS | — | 33 | — | — | — | 33 |
| CLO/ABS | — | 69 | 138 | — | — | 207 |
| Total other bond securities | — | 429 | 234 | — | — | 663 |
| Equity securities | 612 | 39 | 14 | — | — | 665 |
| Other invested assets (b) | — | 155 | 221 | — | — | 376 |
| Derivative assets(c): | ||||||
| Interest rate contracts | — | 335 | 406 | — | — | 741 |
| Foreign exchange contracts | — | 450 | 1 | — | — | 451 |
| Equity contracts | — | 18 | 48 | — | — | 66 |
| Credit contracts | — | — | 33 | — | — | 33 |
| Other contracts | — | — | 1 | — | — | 1 |
| Counterparty netting and cash collateral | — | — | — | (450) | (711) | (1,161) |
| Total derivative assets | — | 803 | 489 | (450) | (711) | 131 |
| Short-term investments | 2,613 | 6,750 | — | — | — | 9,363 |
| Other assets(c) | — | — | 243 | — | — | 243 |
| Total(d) | $3,473 | $69,731 | $4,640 | $(450) | $(711) | $76,683 |
| Liabilities: | ||||||
| Derivative liabilities(c): | ||||||
| Interest rate contracts | $— | $352 | $— | $— | $— | $352 |
| Foreign exchange contracts | — | 561 | 3 | — | — | 564 |
| Credit contracts | — | 3 | 33 | — | — | 36 |
| Counterparty netting and cash collateral | — | — | — | (450) | (249) | (699) |
| Total derivative liabilities | — | 916 | 36 | (450) | (249) | 253 |
| Fortitude Re funds withheld payable | — | — | (148) | — | — | (148) |
| Other liabilities | — | 107 | 122 | — | — | 229 |
| Total | $— | $1,023 | $10 | $(450) | $(249) | $334 |
(a)Represents netting of derivative exposures covered by qualifying master netting agreements.
(b)Excludes investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent), which totaled $3.6 billion and $3.8 billion as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024, includes AIG's ownership interest in Corebridge of $8.6 billion on which AIG elected the fair value option.
(c)Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
(d)Excludes $22 million and $15 million as of June 30, 2024 and December 31, 2023, respectively, of assets reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.
| AIG | Second Quarter 2024 Form 10-Q | 17 |
|---|
CHANGES IN LEVEL 3 RECURRING FAIR VALUE MEASUREMENTS
The following tables present changes during the three and six months ended June 30, 2024 and 2023 in Level 3 assets and liabilities measured at fair value on a recurring basis, and the realized and unrealized gains (losses) related to the Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets at June 30, 2024 and 2023:
| (in millions) | Fair ValueBeginning of Period | Net RealizedandUnrealizedGains(Losses)Includedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | ||||||||||
| Bonds available for sale: | ||||||||||
| Obligations of states, municipalities and political subdivisions | $4 | $— | $— | $— | $— | $— | $— | $4 | $— | $— |
| Non-U.S. governments | 7 | — | — | — | — | — | — | 7 | — | — |
| Corporate debt | 383 | — | (2) | (22) | 36 | (36) | — | 359 | — | (2) |
| RMBS | 1,766 | 24 | (29) | (75) | 287 | (1) | 44 | 2,016 | — | (30) |
| CMBS | 43 | (4) | 6 | (18) | 68 | (1) | — | 94 | — | — |
| CLO/ABS | 1,284 | 3 | 3 | (47) | 44 | (12) | — | 1,275 | — | 3 |
| Total bonds available for sale | 3,487 | 23 | (22) | (162) | 435 | (50) | 44 | 3,755 | — | (29) |
| Other bond securities: | ||||||||||
| Corporate Debt | 46 | 1 | — | — | — | — | (3) | 44 | — | — |
| RMBS | 53 | — | — | (2) | — | (2) | — | 49 | — | — |
| CLO/ABS | 144 | 1 | — | (3) | 2 | — | 1 | 145 | 1 | — |
| Total other bond securities | 243 | 2 | — | (5) | 2 | (2) | (2) | 238 | 1 | — |
| Equity securities | 13 | — | — | — | — | — | — | 13 | — | — |
| Other invested assets | 183 | (4) | — | (36) | — | — | 2 | 145 | (1) | — |
| Other assets | 129 | — | — | 1 | — | — | — | 130 | — | — |
| Total | $4,055 | $21 | $(22) | $(202) | $437 | $(52) | $44 | $4,281 | $— | $(29) |
| (in millions) | Fair ValueBeginning of Period | NetRealizedandUnrealized(Gains)LossesIncludedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
| Liabilities: | ||||||||||
| Derivative liabilities, net: | ||||||||||
| Interest rate contracts | $(128) | $(8) | $— | $133 | $— | $— | $— | $(3) | $— | $— |
| Foreign exchange contracts | 2 | (2) | — | — | — | — | — | — | — | — |
| Equity contracts | (56) | (2) | — | 23 | — | — | — | (35) | 2 | — |
| Other contracts | (1) | — | — | — | — | — | — | (1) | 1 | — |
| Total derivative liabilities, net(a) | (183) | (12) | — | 156 | — | — | — | (39) | 3 | — |
| Fortitude Re funds withheld payable | (119) | (8) | — | (27) | — | — | — | (154) | 33 | — |
| Other Liabilities | 92 | 28 | — | (21) | — | — | — | 99 | — | — |
| Total | $(210) | $8 | $— | $108 | $— | $— | $— | $(94) | $36 | $— |
| 18 | AIG | Second Quarter 2024 Form 10-Q |
| (in millions) | Fair ValueBeginning of Period | Net RealizedandUnrealizedGains(Losses)Includedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | ||||||||||
| Bonds available for sale: | ||||||||||
| Obligations of states, municipalities and political subdivisions | $15 | $— | $1 | $— | $— | $— | $— | $16 | $— | $— |
| Non-U.S. governments | 9 | — | 1 | (2) | — | (2) | — | 6 | — | 1 |
| Corporate debt | 728 | (4) | 10 | (131) | 1 | (186) | — | 418 | — | 4 |
| RMBS | 1,896 | 30 | 56 | (36) | — | (43) | (35) | 1,868 | — | 56 |
| CMBS | 220 | (22) | (2) | — | — | (148) | — | 48 | — | (4) |
| CLO/ABS | 1,524 | (15) | 3 | (99) | 6 | (32) | 9 | 1,396 | — | (9) |
| Total bonds available for sale | 4,392 | (11) | 69 | (268) | 7 | (411) | (26) | 3,752 | — | 48 |
| Other bond securities: | ||||||||||
| Corporate debt | — | — | — | 44 | — | — | — | 44 | — | — |
| RMBS | 52 | 2 | — | (2) | — | — | — | 52 | (4) | — |
| CLO/ABS | 176 | (3) | — | (19) | — | — | — | 154 | (25) | — |
| Total other bond securities | 228 | (1) | — | 23 | — | — | — | 250 | (29) | — |
| Equity securities | 25 | 2 | — | — | 2 | (1) | — | 28 | 2 | — |
| Other invested assets | 235 | 1 | — | (9) | — | — | — | 227 | (3) | — |
| Other assets | 110 | — | — | 1 | — | — | — | 111 | — | — |
| Total | $4,990 | $(9) | $69 | $(253) | $9 | $(412) | $(26) | $4,368 | $(30) | $48 |
| (in millions) | Fair ValueBeginning of Period | NetRealizedandUnrealized(Gains)LossesIncludedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
| Liabilities: | ||||||||||
| Derivative liabilities, net: | ||||||||||
| Interest rate contracts | $(355) | $26 | $— | $(10) | $— | $— | $— | $(339) | $— | $(21) |
| Foreign exchange contracts | — | 2 | — | — | — | — | — | 2 | — | (2) |
| Equity contracts | (328) | 2 | — | (73) | — | — | — | (399) | 4 | — |
| Credit contracts | — | (1) | — | 1 | — | — | — | — | — | — |
| Other contracts | (1) | — | — | — | — | — | — | (1) | 1 | — |
| Total derivative liabilities, net(a) | (684) | 29 | — | (82) | — | — | — | (737) | 5 | (23) |
| Fortitude Re funds withheld payable | (167) | (58) | — | (44) | — | — | — | (269) | 78 | — |
| Other liabilities | 112 | (14) | — | — | — | — | — | 98 | — | — |
| Total | $(739) | $(43) | $— | $(126) | $— | $— | $— | $(908) | $83 | $(23) |
| AIG | Second Quarter 2024 Form 10-Q | 19 |
|---|
| (in millions) | Fair ValueBeginning of Year | Net RealizedandUnrealizedGains(Losses)Includedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | ||||||||||
| Bonds available for sale: | ||||||||||
| Obligations of states, municipalities and political subdivisions | $3 | $— | $— | $1 | $— | $— | $— | $4 | $— | $— |
| Non-U.S. governments | 7 | — | — | — | — | — | — | 7 | — | — |
| Corporate debt | 323 | 1 | (2) | (60) | 134 | (37) | — | 359 | — | (1) |
| RMBS | 1,792 | 47 | (2) | (150) | 287 | (2) | 44 | 2,016 | — | (2) |
| CMBS | 25 | (4) | 6 | (18) | 85 | — | — | 94 | — | 1 |
| CLO/ABS | 1,289 | (12) | 32 | (66) | 44 | (12) | — | 1,275 | — | 29 |
| Total bonds available for sale | 3,439 | 32 | 34 | (293) | 550 | (51) | 44 | 3,755 | — | 27 |
| Other bond securities: | ||||||||||
| Corporate debt | 45 | 1 | — | — | — | — | (2) | 44 | — | — |
| RMBS | 51 | — | — | — | — | (2) | — | 49 | — | — |
| CLO/ABS | 138 | — | — | 5 | 2 | — | — | 145 | (1) | — |
| Total other bond securities | 234 | 1 | — | 5 | 2 | (2) | (2) | 238 | (1) | — |
| Equity securities | 14 | — | — | — | — | (1) | — | 13 | 1 | — |
| Other invested assets | 221 | (13) | — | (39) | — | (13) | (11) | 145 | (12) | — |
| Other assets | 243 | — | — | (113) | — | — | — | 130 | — | — |
| Total | $4,151 | $20 | $34 | $(440) | $552 | $(67) | $31 | $4,281 | $(12) | $27 |
| (in millions) | Fair ValueBeginning of Year | NetRealizedandUnrealized(Gains)LossesIncludedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
| Liabilities: | ||||||||||
| Derivative liabilities, net: | ||||||||||
| Interest rate contracts | $(406) | $61 | $— | $342 | $— | $— | $— | $(3) | $(3) | $— |
| Foreign exchange contracts | 2 | (2) | — | — | — | — | — | — | — | — |
| Equity contracts | (48) | (18) | — | 31 | — | — | — | (35) | 10 | — |
| Other contracts | (1) | (1) | — | 1 | — | — | — | (1) | 1 | — |
| Total derivative liabilities, net(a) | (453) | 40 | — | 374 | — | — | — | (39) | 8 | — |
| Fortitude Re funds withheld payable | (148) | 1 | — | (7) | — | — | — | (154) | 47 | — |
| Other Liabilities | 122 | (2) | — | (21) | — | — | — | 99 | — | — |
| Total | $(479) | $39 | $— | $346 | $— | $— | $— | $(94) | $55 | $— |
| 20 | AIG | Second Quarter 2024 Form 10-Q |
| (in millions) | Fair ValueBeginning of Year | Net RealizedandUnrealizedGains(Losses)Includedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | ||||||||||
| Bonds available for sale: | ||||||||||
| Obligations of states, municipalities and political subdivisions | $20 | $— | $1 | $(5) | $— | $— | $— | $16 | $— | $1 |
| Non-U.S. governments | 2 | — | 1 | (2) | 7 | (2) | — | 6 | — | 1 |
| Corporate debt | 879 | (4) | 17 | (347) | 108 | (235) | — | 418 | — | 3 |
| RMBS | 1,884 | 59 | 26 | (18) | — | (48) | (35) | 1,868 | — | 24 |
| CMBS | 207 | (22) | (1) | 1 | 11 | (148) | — | 48 | — | (12) |
| CLO/ABS | 1,483 | (12) | 20 | (83) | 17 | (42) | 13 | 1,396 | — | 12 |
| Total bonds available for sale | 4,475 | 21 | 64 | (454) | 143 | (475) | (22) | 3,752 | — | 29 |
| Other bond securities: | ||||||||||
| Corporate debt | — | — | — | 44 | — | — | — | 44 | — | — |
| RMBS | 65 | 2 | — | (15) | — | — | — | 52 | (9) | — |
| CLO/ABS | 158 | 1 | — | (13) | — | (3) | 11 | 154 | (23) | — |
| Total other bond securities | 223 | 3 | — | 16 | — | (3) | 11 | 250 | (32) | — |
| Equity securities | 13 | 2 | — | 4 | 10 | (1) | — | 28 | 2 | — |
| Other invested assets | 244 | (7) | — | (10) | — | — | — | 227 | (10) | — |
| Other assets | 107 | — | — | 4 | — | — | — | 111 | — | — |
| Total | $5,062 | $19 | $64 | $(440) | $153 | $(479) | $(11) | $4,368 | $(40) | $29 |
| (in millions) | Fair ValueBeginning of Year | NetRealizedandUnrealized(Gains)LossesIncludedin Income | OtherComprehensiveIncome (Loss) | Purchases, Sales,IssuancesandSettlements,Net | GrossTransfersIn | GrossTransfersOut | Other | FairValueEnd ofPeriod | Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period | Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period |
| Liabilities: | ||||||||||
| Derivative liabilities, net: | ||||||||||
| Interest rate contracts | $(311) | $84 | $— | $(112) | $— | $— | $— | $(339) | $— | $(29) |
| Foreign exchange contracts | — | 2 | — | — | — | — | — | 2 | — | (2) |
| Equity contracts | (271) | (69) | — | (59) | — | — | — | (399) | 63 | — |
| Credit contracts | — | (1) | — | 1 | — | — | — | — | — | — |
| Other contracts | (1) | (1) | — | 1 | — | — | — | (1) | 1 | — |
| Total derivative liabilities, net(a) | (583) | 15 | — | (169) | — | — | — | (737) | 64 | (31) |
| Fortitude Re funds withheld payable | (41) | 82 | — | (310) | — | — | — | (269) | (48) | — |
| Other liabilities | 112 | (14) | — | — | — | — | — | 98 | — | — |
| Total | $(512) | $83 | $— | $(479) | $— | $— | $— | $(908) | $16 | $(31) |
(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
| AIG | Second Quarter 2024 Form 10-Q | 21 |
|---|
Net realized and unrealized gains and losses included in income related to Level 3 assets and liabilities shown above are reported in the Condensed Consolidated Statements of Income (Loss) as follows:
| (in millions) | NetInvestmentIncome | Net RealizedGains (Losses) | Total |
|---|---|---|---|
| Assets: | |||
| Bonds available for sale | $25 | $(2) | $23 |
| Other bond securities | 2 | — | 2 |
| Other invested assets | (4) | — | (4) |
| Assets: | |||
| Bonds available for sale | $4 | $(15) | $(11) |
| Other bond securities | (1) | — | (1) |
| Equity securities | 2 | — | 2 |
| Other invested assets | 1 | — | 1 |
| Assets: | |||
| Bonds available for sale | $40 | $(8) | $32 |
| Other bond securities | 1 | — | 1 |
| Other invested assets | (13) | — | (13) |
| Assets: | |||
| Bonds available for sale | $37 | $(16) | $21 |
| Other bond securities | 3 | — | 3 |
| Equity securities | 2 | — | 2 |
| Other invested assets | (7) | — | (7) |
| (in millions) | NetInvestmentIncome | Net Realized(Gains) Losses | Total |
| Liabilities: | |||
| Derivative liabilities, net | $— | $(12) | $(12) |
| Fortitude Re funds withheld payable | — | (8) | (8) |
| Other Liabilities | — | 28 | 28 |
| Liabilities: | |||
| Derivative liabilities, net | $— | $29 | $29 |
| Fortitude Re funds withheld payable | — | (58) | (58) |
| Other Liabilities | — | (14) | (14) |
| Liabilities: | |||
| Derivative liabilities, net | $— | $40 | $40 |
| Fortitude Re funds withheld payable | — | 1 | 1 |
| Other Liabilities | — | (2) | (2) |
| Liabilities: | |||
| Derivative liabilities, net | $— | $15 | $15 |
| Fortitude Re funds withheld payable | — | 82 | 82 |
| Other Liabilities | — | (14) | (14) |
| 22 | AIG | Second Quarter 2024 Form 10-Q |
The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three and six months ended June 30, 2024 and 2023 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:
| (in millions) | Purchases | Sales | Issuancesand Settlements(a) | Purchases, Sales, Issuances andSettlements, Net(a) |
|---|---|---|---|---|
| Assets: | ||||
| Bonds available for sale: | ||||
| Non-U.S. governments | $4 | $— | $(4) | $— |
| Corporate debt | 5 | — | (27) | (22) |
| RMBS | — | — | (75) | (75) |
| CMBS | — | — | (18) | (18) |
| CLO/ABS | 6 | — | (53) | (47) |
| Total bonds available for sale | 15 | — | (177) | (162) |
| Other bond securities: | ||||
| RMBS | — | (1) | (1) | (2) |
| CLO/ABS | — | — | (3) | (3) |
| Total other bond securities | — | (1) | (4) | (5) |
| Other invested assets | — | — | (36) | (36) |
| Other assets | — | — | 1 | 1 |
| Total | $15 | $(1) | $(216) | $(202) |
| Liabilities: | ||||
| Derivative liabilities, net | $— | $— | $156 | $156 |
| Fortitude Re funds withheld payable | — | — | (27) | (27) |
| Other liabilities | — | — | (21) | (21) |
| Total | $— | $— | $108 | $108 |
| Assets: | ||||
| Bonds available for sale: | ||||
| Non-U.S. governments | $— | $— | $(2) | $(2) |
| Corporate debt | — | — | (131) | (131) |
| RMBS | 46 | — | (82) | (36) |
| CMBS | — | (5) | 5 | — |
| CLO/ABS | 77 | (148) | (28) | (99) |
| Total bonds available for sale | 123 | (153) | (238) | (268) |
| Other bond securities: | ||||
| Corporate debt | 20 | — | 24 | 44 |
| RMBS | — | — | (2) | (2) |
| CLO/ABS | — | 4 | (23) | (19) |
| Total other bond securities | 20 | 4 | (1) | 23 |
| Other invested assets | (1) | — | (8) | (9) |
| Other assets | — | — | 1 | 1 |
| Total | $142 | $(149) | $(246) | $(253) |
| Liabilities: | ||||
| Derivative liabilities, net | $(105) | $1 | $22 | $(82) |
| Fortitude Re funds withheld payable | — | — | (44) | (44) |
| Total | $(105) | $1 | $(22) | $(126) |
| AIG | Second Quarter 2024 Form 10-Q | 23 |
|---|
| (in millions) | Purchases | Sales | Issuancesand Settlements(a) | Purchases, Sales, Issuances andSettlements, Net(a) |
|---|---|---|---|---|
| Assets: | ||||
| Bonds available for sale: | ||||
| Obligations of states, municipalities and political subdivisions | $1 | $— | $— | $1 |
| Non-U.S. governments | 4 | — | (4) | — |
| Corporate debt | 11 | (3) | (68) | (60) |
| RMBS | — | (1) | (149) | (150) |
| CMBS | — | — | (18) | (18) |
| CLO/ABS | 66 | (2) | (130) | (66) |
| Total bonds available for sale | 82 | (6) | (369) | (293) |
| Other bond securities: | ||||
| RMBS | 3 | (1) | (2) | — |
| CLO/ABS | 11 | — | (6) | 5 |
| Total other bond securities | 14 | (1) | (8) | 5 |
| Other invested assets | 1 | — | (40) | (39) |
| Other assets | — | — | (113) | (113) |
| Total | $97 | $(7) | $(530) | $(440) |
| Liabilities: | ||||
| Derivative liabilities, net | $— | $— | $374 | $374 |
| Fortitude Re funds withheld payable | — | — | (7) | (7) |
| Other Liabilities | — | — | (21) | (21) |
| Total | $— | $— | $346 | $346 |
| Assets: | ||||
| Bonds available for sale: | ||||
| Obligations of states, municipalities and political subdivisions | $1 | $(4) | $(2) | $(5) |
| Non-U.S. governments | — | — | (2) | (2) |
| Corporate Debt | 8 | — | (355) | (347) |
| RMBS | 170 | (19) | (169) | (18) |
| CMBS | 1 | (5) | 5 | 1 |
| CLO/ABS | 107 | (151) | (39) | (83) |
| Total bonds available for sale | 287 | (179) | (562) | (454) |
| Other bond securities: | ||||
| Corporate debt | 20 | — | 24 | 44 |
| RMBS | — | — | (15) | (15) |
| CLO/ABS | 14 | — | (27) | (13) |
| Total other bond securities | 34 | — | (18) | 16 |
| Equity securities | 5 | — | (1) | 4 |
| Other invested assets | 1 | — | (11) | (10) |
| Other assets | — | — | 4 | 4 |
| Total | $327 | $(179) | $(588) | $(440) |
| Liabilities: | ||||
| Derivative liabilities, net | $(316) | $4 | $143 | $(169) |
| Fortitude Re funds withheld payable | — | — | (310) | (310) |
| Total | $(316) | $4 | $(167) | $(479) |
(a)There wereno issuances during the three and six months ended June 30, 2024 and 2023.
Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3 in the tables above. As a result, the unrealized gains (losses) on instruments held at June 30, 2024 and 2023 may include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable inputs (e.g., changes in unobservable long-dated volatilities).
| 24 | AIG | Second Quarter 2024 Form 10-Q |
Transfers of Level 3 Assets and Liabilities
The Net realized and unrealized gains (losses) included in income (loss) or Other comprehensive income (loss) (OCI) as shown in the table above excludes $(24) million and $(27) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three and six months ended June 30, 2024, respectively, and includes $1 million and $1 million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three and six months ended June 30, 2024, respectively.
The Net realized and unrealized gains (losses) included in income (loss) or OCI as shown in the table above excludes $0 million and $1 million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three and six months ended June 30, 2023, respectively, and includes $(9) million and $(9) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three and six months ended June 30, 2023, respectively.
Transfers of Level 3 Assets
During the three and six months ended June 30, 2024 and 2023, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS) and collateralized loan obligations (CLO)/asset-backed securities (ABS). Transfers of private placement corporate debt and certain ABS into Level 3 assets were primarily the result of limited market pricing information that required us to determine fair value for these securities based on inputs that are adjusted to better reflect our own assumptions regarding the characteristics of a specific security or associated market liquidity. The transfers of investments in CMBS, RMBS, CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.
During the three and six months ended June 30, 2024 and 2023, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt and CMBS. Transfers of private placement corporate debt out of Level 3 assets were based on consideration of market liquidity as well as related transparency of pricing and associated observable inputs for these investments. Transfers of certain investments in private placement corporate debt out of Level 3 assets were primarily the result of using observable pricing information that reflects the fair value of those securities without the need for adjustment based on our own assumptions regarding the characteristics of a specific security or the current liquidity in the market.
Transfers of Level 3 Liabilities
There were no significant transfers of derivative or other liabilities into or out of Level 3 for the three and six months ended June 30, 2024 and 2023.
QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments, and includes only those instruments for which information about the inputs is reasonably available to us, such as data from independent third-party valuation service providers. Because input information from third-parties with respect to certain Level 3 instruments (primarily CLO/ABS) may not be reasonably available to us, balances shown below may not equal total amounts reported for such Level 3 assets and liabilities:
| (in millions) · Fair Value atJune 30, 2024 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c) | ||||||
|---|---|---|---|---|---|---|
| Assets: | ||||||
| Obligations of states, municipalities and political subdivisions | $4 | Discounted cash flow | Yield | 5.09% - 5.47% (5.28%) | ||
| Corporate debt | 306 | Discounted cash flow | Yield | 5.69% - 10.38% (8.04%) | ||
| RMBS(a) | 1,268 | Discounted cash flow | Constant prepayment rate | 4.58% - 10.68% (7.63%) | ||
| Loss severity | 41.73% - 76.79% (59.26%) | |||||
| Constant default rate | 0.77% - 2.62% (1.70%) | |||||
| Yield | 6.30% - 7.61% (6.96%) | |||||
| CLO/ABS(a) | 1,163 | Discounted cash flow | Yield | 5.47% - 8.82% (7.15%) | ||
| CMBS | 14 | Discounted cash flow | Yield | 7.22% - 15.19% (11.20%) | ||
| AIG | Second Quarter 2024 Form 10-Q | 25 |
|---|
| (in millions) · Fair Value atDecember 31, 2023 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c) | ||||||
|---|---|---|---|---|---|---|
| Assets: | ||||||
| Obligations of states, municipalities and political subdivisions | $3 | Discounted cash flow | Yield | 5.00% - 5.50% (5.23%) | ||
| Corporate debt | 332 | Discounted cash flow | Yield | 5.16% - 9.62% (7.39%) | ||
| RMBS(a) | 1,341 | Discounted cash flow | Constant prepayment rate | 4.43% - 10.30% (7.36%) | ||
| Loss severity | 43.21% - 76.65% (59.93%) | |||||
| Constant default rate | 0.82% - 2.64% (1.73%) | |||||
| Yield | 6.18% - 7.42% (6.80%) | |||||
| CLO/ABS(a) | 1,100 | Discounted cash flow | Yield | 5.31% - 8.56% (6.94%) | ||
| CMBS | 22 | Discounted cash flow | Yield | 9.84% - 17.24% (13.54%) | ||
(a)Information received from third-party valuation service providers. The ranges of the unobservable inputs for constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CLO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us, because there are other factors relevant to the fair values of specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.
(b)Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.
(c)The weighted averaging for fixed maturity securities is based on the estimated fair value of the securities.
The ranges of reported inputs for Obligations of states, municipalities and political subdivisions, Corporate debt, RMBS, CLO/ABS, and CMBS valued using a discounted cash flow technique consist of one standard deviation in either direction from the value‑weighted average. The preceding table does not give effect to our risk management practices that might offset risks inherent in these Level 3 assets and liabilities.
Interrelationships Between Unobservable Inputs
We consider unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset or liability. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraphs provide a general description of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.
Fixed Maturity Securities
The significant unobservable input used in the fair value measurement of fixed maturity securities is yield. The yield is affected by the market movements in credit spreads and U.S. Treasury yields. The yield may be affected by other factors including constant prepayment rates, loss severity, and constant default rates. In general, increases in the yield would decrease the fair value of investments, and conversely, decreases in the yield would increase the fair value of investments.
| 26 | AIG | Second Quarter 2024 Form 10-Q |
INVESTMENTS IN CERTAIN ENTITIES CARRIED AT FAIR VALUE USING NET ASSET VALUE PER SHARE
The following table includes information related to our investments in certain other invested assets, including private equity funds, hedge funds and other alternative investments that calculate net asset value per share (or its equivalent). For these investments, which are measured at fair value on a recurring basis, we use the net asset value per share to measure fair value.
| June 30, 2024 · December 31, 2023 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| (in millions) · Investment Category Includes · Fair Value Using NAV Per Share (or its equivalent) · Unfunded Commitments · Fair Value Using NAV Per Share (or its equivalent) · Unfunded 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 | $1,212 | $479 | $1,171 | $558 | ||||
| Real assets | Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets | 839 | 308 | 870 | 344 | ||||
| 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 | 77 | 45 | 67 | 50 | ||||
| Growth equity | Funds that make investments in established companies for the purpose of growing their businesses | 204 | 13 | 196 | 9 | ||||
| Mezzanine | Funds that make investments in the junior debt and equity securities of leveraged companies | 129 | 54 | 140 | 56 | ||||
| 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 | 901 | 60 | 944 | 64 | ||||
| Total private equity funds | 3,362 | 959 | 3,388 | 1,081 | |||||
| Hedge funds: | |||||||||
| Event-driven | Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations | 13 | — | 13 | — | ||||
| Long-short | Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk | 168 | — | 389 | — | ||||
| Macro | Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions | — | — | — | — | ||||
| 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 | 7 | — | 9 | — | ||||
| Total hedge funds | 188 | — | 411 | — | |||||
| Total | $3,550 | $959 | $3,799 | $1,081 | |||||
Private equity fund investments included above are not redeemable, because distributions from the funds will be received when underlying investments of the funds are liquidated. Private equity funds are generally expected to have 10-year lives at their inception, but these lives may be extended at the fund manager’s discretion, typically inone-year ortwo-year increments.
The majority of our hedge fund investments are redeemable upon a single month or quarter’s notice, though redemption terms vary from single, immediate withdrawals, to withdrawals staggered up to eight quarters. Some of the portfolio consists of illiquid run-off or “side-pocket” positions whose liquidation horizons are uncertain and likely beyond a year after submission of the redemption notice.
| AIG | Second Quarter 2024 Form 10-Q | 27 |
|---|
FAIR VALUE OPTION
The following table presents the gains or losses recorded related to the eligible instruments for which we elected the fair value option:
| Gain (Loss) Three MonthsEnded June 30, | Gain (Loss) Six MonthsEnded June 30, | |||
|---|---|---|---|---|
| (in millions) | 2024 | 2023 | 2024 | 2023 |
| Other bond securities(a) | $5 | $(11) | $7 | $9 |
| Alternative investments(b) | 28 | 54 | 108 | 130 |
| All other investments(c) | 65 | — | 65 | — |
| Total gain (loss) | $98 | $43 | $180 | $139 |
(a)Includes certain securities supporting the funds withheld arrangements with Fortitude Re. For additional information regarding the gains and losses for Other bond securities, see Note 6. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 8.
(b)Includes certain hedge funds, private equity funds and real estate investments.
(c)Represents the impact of changes in Corebridge stock price on the value of AIG's ownership interest in Corebridge.
We calculate the effect of these credit spread changes using discounted cash flow techniques that incorporate current market interest rates, our observable credit spreads on these liabilities and other factors that mitigate the risk of nonperformance such as cash collateral posted.
FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE
The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:
| Estimated Fair Value · CarryingValue | |||||
|---|---|---|---|---|---|
| (in millions) · Level 1 · Level 2 · Level 3 · Total | |||||
| Assets: | |||||
| Mortgage and other loans receivable | $— | $341 | $3,871 | $4,212 | $4,347 |
| Other invested assets | — | 591 | 6 | 597 | 597 |
| Short-term investments(a) | — | 4,426 | — | 4,426 | 4,426 |
| Cash(b) | 1,381 | — | — | 1,381 | 1,381 |
| Other assets | 18 | — | — | 18 | 18 |
| Liabilities: | |||||
| Fortitude Re funds withheld payable | — | — | 3,518 | 3,518 | 3,518 |
| Long-term debt | — | 8,867 | 235 | 9,102 | 9,861 |
| Debt of consolidated investment entities | — | — | 79 | 79 | 79 |
| Estimated Fair Value · CarryingValue | |||||
|---|---|---|---|---|---|
| (in millions) · Level 1 · Level 2 · Level 3 · Total | |||||
| Assets: | |||||
| Mortgage and other loans receivable | $— | $242 | $4,113 | $4,355 | $4,441 |
| Other invested assets | — | 645 | 6 | 651 | 651 |
| Short-term investments | — | 3,502 | — | 3,502 | 3,502 |
| Cash | 1,540 | — | — | 1,540 | 1,540 |
| Other assets | 32 | — | — | 32 | 32 |
| Liabilities: | |||||
| Fortitude Re funds withheld payable | — | — | 3,675 | 3,675 | 3,675 |
| Long-term debt | — | 9,623 | 267 | 9,890 | 10,375 |
| Debt of consolidated investment entities | — | — | 231 | 231 | 231 |
(a)Excludes $7 million at June 30, 2024 reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.
(b)Excludes $90 million at June 30, 2024 reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.
| 28 | AIG | Second Quarter 2024 Form 10-Q |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.