FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2022

NOTE 21. FAIR VALUE MEASUREMENTS Our assets and liabilities measured at fair value on a recurring basis include debt securities mainly supporting obligations to annuitants and policyholders in our run-off insurance operations, our equity interests in AerCap and Baker Hughes, and derivatives.


ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS
	Level 1				Level 2				Level 3(a)				Netting adjustment(d)				Net balance(b)
December 31	2022		2021		2022		2021		2022		2021		2022		2021		2022		2021
Investment securities	$	6,754	$	11,434	$	30,483	$	35,849	$	6,421	$	7,222	$	—	$	—	$	43,657	$	54,506
Derivatives	—		—		1,340		1,357		1		17		(859)		(691)		482		684
Total assets	$	6,754	$	11,434	$	31,823	$	37,207	$	6,421	$	7,239	$	(859)	$	(691)	$	44,139	$	55,189

Derivatives	$	—	$	—	$	1,444	$	891	$	7	$	1	$	(862)	$	(681)	$	589	$	212
Other(c)	—		—		627		863		—		—		—		—		627		863
Total liabilities	$	—	$	—	$	2,071	$	1,754	$	7	$	1	$	(862)	$	(681)	$	1,216	$	1,075

(a)Included $3,548 million of U.S. corporate debt securities, $1,386 million of Mortgage and asset-backed debt securities, and the $900 million AerCap note at December 31, 2022. Included $4,228 million of U.S. corporate debt securities, $1,427 million of Mortgage and asset-backed debt securities, and the $993 million AerCap note at December 31, 2021.

(b)See Notes 3 and 22 for further information on the composition of our investment securities and derivative portfolios.

(c)Primarily represents the liabilities associated with certain of our deferred incentive compensation plans.

(d)The netting of derivative receivables and payables is permitted when a legally enforceable master netting agreement exists. Amounts include fair value adjustments related to our own and counterparty non-performance risk.

LEVEL 3 INSTRUMENTS. The majority of our Level 3 balances comprised debt securities classified as available-for-sale with changes in fair value recorded in Other comprehensive income.


	Balance at January 1		Net realized/unrealized gains(losses)(a)		Purchases(b)		Sales & Settlements		Transfers into Level 3		Transfers out of Level 3		Balance at December 31
2022
Investment securities	$	7,222	$	(1,002)	$	973	$	(628)	$	57	$	(201)	$	6,421




2021
Investment securities	$	5,866	$	(261)	$	2,589	$	(943)	$	6	$	(35)	$	7,222

(a)Primarily included net unrealized gains (losses) of $(994) million and $(288) million in Other comprehensive income for the years ended December 31, 2022 and 2021, respectively.

(b)Included $508 million of U.S. corporate debt securities and $302 million of Mortgage and asset-backed debt securities for the year ended December 31, 2022. Included $1,084 million of Mortgage and asset-backed debt securities and $1,000 million AerCap senior note received as partial consideration on the completion of the GECAS transaction for the year ended December 31, 2021.

The majority of these Level 3 securities are fair valued using non-binding broker quotes or other third-party sources that utilize a number of different unobservable inputs not subject to meaningful aggregation.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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