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Fair Value Measurements
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements 4. Fair Value MeasurementsFAIR 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.
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:
September 30, 2022Level 1Level 2Level 3
Counterparty Netting(a)
Cash CollateralTotal
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities
$5 $7,945 $— $— $— $7,950 
Obligations of states, municipalities and political subdivisions
— 11,077 814 — — 11,891 
Non-U.S. governments111 12,887 9 — — 13,007 
Corporate debt— 129,419 3,917 — — 133,336 
RMBS— 10,626 7,881 — — 18,507 
CMBS— 13,125 806 — — 13,931 
CDO/ABS— 9,362 11,783 — — 21,145 
Total bonds available for sale
116 194,441 25,210 — — 219,767 
Other bond securities:
U.S. government and government sponsored entities— 1,565 — — — 1,565 
Obligations of states, municipalities and political subdivisions— 111 — — — 111 
Non-U.S. governments— 64 — — — 64 
Corporate debt— 1,485 549 — — 2,034 
RMBS— 130 211 — — 341 
CMBS— 362 29 — — 391 
CDO/ABS— 369 2,256 — — 2,625 
Total other bond securities
— 4,086 3,045 — — 7,131 
Equity securities
481 93 34 — — 608 
Other invested assets(b)
— 130 1,958 — — 2,088 
Derivative assets(c):
Interest rate contracts4 3,142 210 — — 3,356 
Foreign exchange contracts
— 2,788 — — — 2,788 
Equity contracts
14 392 159 — — 565 
Commodity contracts
— 18 — — — 18 
Credit contracts
— — 1 — — 1 
Other contracts— — 16 — — 16 
Counterparty netting and cash collateral
— — — (3,170)(3,181)(6,351)
Total derivative assets
18 6,340 386 (3,170)(3,181)393 
Short-term investments
3,405 1,939 — — — 5,344 
Other assets(c)
— — 107 — — 107 
Separate account assets
77,683 3,619 — — — 81,302 
Total$81,703 $210,648 $30,740 $(3,170)$(3,181)$316,740 
Liabilities:
Policyholder contract deposits$— $37 $6,348 $— $— $6,385 
Derivative liabilities(c):
Interest rate contracts
— 4,856 — — — 4,856 
Foreign exchange contracts
— 726 1 — — 727 
Equity contracts
4 76 4 — — 84 
Credit contracts
— 10 32 — — 42 
Counterparty netting and cash collateral
— — — (3,170)(2,263)(5,433)
Total derivative liabilities
4 5,668 37 (3,170)(2,263)276 
Fortitude Re funds withheld payable
— — (2,505)— — (2,505)
Long-term debt
— 1,613 — — — 1,613 
Total$4 $7,318 $3,880 $(3,170)$(2,263)$5,769 
December 31, 2021Level 1Level 2Level 3
Counterparty
 Netting(a)
Cash
Collateral		Total
(in millions)
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. governments9 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(c)
— — 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 
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 
Long-term debt
— 1,871 — — — 1,871 
Total$2 $6,340 $15,641 $(2,779)$(1,089)$18,115 
(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 $9.8 billion and $8.4 billion as of September 30, 2022 and December 31, 2021, respectively.
(c)Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
CHANGES IN LEVEL 3 RECURRING FAIR VALUE MEASUREMENTS
The following tables present changes during the three- and nine-month periods ended September 30, 2022 and 2021 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 September 30, 2022 and 2021:
(in millions)Fair Value
Beginning
of Period		Net Realized
and
Unrealized
Gains
(Losses)
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Three Months Ended September 30, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$957 $(1)$(106)$(29)$— $(7)$— $814 $— $(167)
Non-U.S. governments    
9 — — (1)1 — — 9 — — 
Corporate debt
2,483 (31)(53)(100)1,781 (163)— 3,917 — (55)
RMBS
8,352 101 (267)(299)2 (8)— 7,881 — (39)
CMBS
871 (1)(31)(33)12 (12)— 806 — (50)
CDO/ABS    
11,696 (25)(454)523 366 (323)— 11,783 — (557)
Total bonds available for sale    
24,368 43 (911)61 2,162 (513)— 25,210 — (868)
Other bond securities:
Corporate Debt461 (5)— 66 28 (1)— 549 (7)— 
RMBS192 (7)— 26 — — — 211 (8)— 
CMBS
32 (3)— — — — — 29 (3)— 
CDO/ABS
2,442 (25)— (158)12 (15)— 2,256 (92)— 
Total other bond securities
3,127 (40)— (66)40 (16)— 3,045 (110)— 
Equity securities
12 (1)— 8 15 — — 34 — — 
Other invested assets
2,008 62 (25)(45)— (42)— 1,958 20 — 
Other assets
107 — — — — — — 107 — — 
Total
$29,622 $64 $(936)$(42)$2,217 $(571)$— $30,354 $(90)$(868)
(in millions)
Fair Value
Beginning
of Period		Net
Realized
and
Unrealized
(Gains)
Losses
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Liabilities:
Policyholder contract deposits
$6,957 $(936)$— $327 $— $— $— $6,348 $949 $— 
Derivative liabilities, net:
Interest rate contracts
(143)37 — (110)— 6 — (210)30 — 
Foreign exchange contracts
1 — — — — — — 1 — — 
Equity contracts
(149)88 — (94)— — — (155)(89)— 
Credit contracts
32 1 — (2)— — — 31 — — 
Other contracts
(16)(16)— 16 — — — (16)17 — 
Total derivative liabilities, net(a)
(275)110 — (190)— 6 — (349)(42)— 
Fortitude Re funds withheld payable(638)(1,757)— (110)— — — (2,505)1,791 — 
Total$6,044 $(2,583)$— $27 $— $6 $— $3,494 $2,698 $— 
(in millions)Fair Value
Beginning
of Period		Net Realized
and
Unrealized
Gains
(Losses)
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Three Months Ended September 30, 2021
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1,939 $6 $(9)$(7)$— $(61)$(62)$1,806 $— $— 
Non-U.S. governments10 — — — — (3)— 7 — — 
Corporate debt2,773 (1)2 (173)57 (12)— 2,646 — — 
RMBS11,085 118 (8)(86)8 (19)— 11,098 — — 
CMBS1,082 4 (6)(13)— (42)— 1,025 — — 
CDO/ABS9,318 22 (41)180 64 (356)— 9,187 — — 
Total bonds available for sale26,207 149 (62)(99)129 (493)(62)25,769 — — 
Other bond securities:
RMBS113 2 — (8)— — — 107 — — 
CMBS46 (1)— (9)— — — 36 — — 
CDO/ABS2,279 40 — (134)— — — 2,185 — — 
Total other bond securities2,438 41 — (151)— — — 2,328 — — 
Equity securities4 — 1 (1)1 — — 5 — — 
Other invested assets2,099 161 (3)(351)— — — 1,906 141 — 
Other assets113 — — 1 — — — 114 — — 
Total$30,861 $351 $(64)$(601)$130 $(493)$(62)$30,122 $141 $— 
(in millions)Fair Value
Beginning
of Period		Net
Realized
and
Unrealized
(Gains)
Losses
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Liabilities:
Policyholder contract deposits$9,020 $(26)$— $279 $— $— $— $9,273 $362 $— 
Derivative liabilities, net:
Interest rate contracts(1)(2)— 2 — — — (1)2 — 
Foreign exchange contracts(1)(1)— 1 — — — (1)1 — 
Equity contracts(357)99 — (50)— 1 — (307)(90)— 
Credit contracts43 — — (2)— — — 41 1 — 
Other contracts(10)(17)— 16 — — — (11)16 — 
Total derivative liabilities, net(a)
(326)79 — (33)— 1 — (279)(70)— 
Fortitude Re funds withheld payable5,317 209 — (93)— — — 5,433 414 — 
Total$14,011 $262 $— $153 $— $1 $— $14,427 $706 $— 
(in millions)Fair Value
Beginning
of Period		Net Realized
and
Unrealized
Gains
(Losses)
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Nine Months Ended September 30, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1,431 $1 $(534)$(94)$17 $(7)$— $814 $— $(319)
Non-U.S. governments7 — — (1)3 — — 9 — — 
Corporate debt2,641 (57)(204)(137)2,163 (489)— 3,917 — (183)
RMBS10,378 323 (1,210)(1,173)2 (439)— 7,881 — (704)
CMBS1,190 12 (144)84 12 (348)— 806 — (143)
CDO/ABS11,215 (6)(1,457)2,174 1,830 (1,973)— 11,783 — (1,486)
Total bonds available for sale26,862 273 (3,549)853 4,027 (3,256)— 25,210 — (2,835)
Other bond securities:
Corporate Debt134 (9)— 190 250 (16)— 549 (8)— 
RMBS196 (25)— 40 — — — 211 (28)— 
CMBS35 (6)— — — — — 29 (6)— 
CDO/ABS2,332 (274)— 194 75 (71)— 2,256 (414)— 
Total other bond securities2,697 (314)— 424 325 (87)— 3,045 (456)— 
Equity securities6 (1)— 14 15 — — 34 — — 
Other invested assets1,948 307 (52)(83)47 (209)— 1,958 316 — 
Other assets114 — — (7)— — — 107 — — 
Total$31,627 $265 $(3,601)$1,201 $4,414 $(3,552)$— $30,354 $(140)$(2,835)
(in millions)Fair Value
Beginning
of Period		Net
Realized
and
Unrealized
(Gains)
Losses
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Liabilities:
Policyholder contract deposits$9,682 $(4,055)$— $721 $— $— $— $6,348 $4,302 $— 
Derivative liabilities, net:
Interest rate contracts— 48 — (183)(81)6 — (210)27 — 
Foreign exchange contracts(1)1 — 1 — — — 1 (1)— 
Equity contracts(444)478 — (188)— (1)— (155)(272)— 
Credit contracts30 3 — (2)— — — 31 — — 
Other contracts(13)(48)— 45 — — — (16)49 — 
Total derivative liabilities, net(a)
(428)482 — (327)(81)5 — (349)(197)— 
Fortitude Re funds withheld payable5,922 (7,851)— (576)— — — (2,505)8,107 — 
Total$15,176 $(11,424)$— $(182)$(81)$5 $— $3,494 $12,212 $— 
(in millions)Fair Value
Beginning
of Period		Net Realized
and
Unrealized
Gains
(Losses)
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Nine Months Ended September 30, 2021
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$2,105 $14 $(40)$(125)$— $(86)$(62)$1,806 $— $225 
Non-U.S. governments5 — (1)1 5 (3)— 7 — — 
Corporate debt2,349 12 9 35 452 (211)— 2,646 — (106)
RMBS11,694 435 17 (977)8 (79)— 11,098 — 934 
CMBS922 20 (39)245 56 (179)— 1,025 — (45)
CDO/ABS9,814 37 (11)(358)902 (1,197)— 9,187 — 425 
Total bonds available for sale26,889 518 (65)(1,179)1,423 (1,755)(62)25,769 — 1,433 
Other bond securities:
RMBS139 6 — (38)— — — 107 (86)— 
CMBS47 (2)— (15)6 — — 36 2 — 
CDO/ABS2,512 74 — (401)— — — 2,185 235 — 
Total other bond securities2,698 78 — (454)6 — — 2,328 151 — 
Equity securities51 11 1 (124)77 (11)— 5 3 — 
Other invested assets1,827 417 (10)(328)— — — 1,906 386 — 
Other assets113 — — 1 — — — 114 — — 
Total$31,578 $1,024 $(74)$(2,084)$1,506 $(1,766)$(62)$30,122 $540 $1,433 
(in millions)Fair Value
Beginning
of Period		Net
Realized
and
Unrealized
(Gains)
Losses
Included
in Income		Other
Comprehensive
Income (Loss)		Purchases,
Sales,
Issuances
and
Settlements,
Net		Gross
Transfers
In		Gross
Transfers
Out		OtherFair
Value
End of
Period		Changes in
Unrealized
Gains
(Losses)
Included in
Income on
Instruments
Held at End
of Period		Changes in
Unrealized Gains
(Losses)
Included in Other
Comprehensive
Income (Loss) for
Recurring Level 3
Instruments Held
at End of Period
Liabilities:
Policyholder contract deposits$9,798 $(923)$— $398 $— $— $— $9,273 $1,914 $— 
Derivative liabilities, net:
Interest rate contracts— (4)— 3 — — — (1)4 — 
Foreign exchange contracts(2)— — 1 — — — (1)— — 
Equity contracts(151)2 — (204)— 46 — (307)(58)— 
Credit contracts42 7 — (8)— — — 41 2 — 
Other contracts(8)(50)— 47 — — — (11)50 — 
Total derivative liabilities, net(a)(119)(45)— (161)— 46 — (279)(2)— 
Fortitude Re funds withheld payable6,042 (117)— (492)— — — 5,433 1,917 — 
Total$15,721 $(1,085)$— $(255)$— $46 $— $14,427 $3,829 $— 
(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
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)Net
Investment
Income		Net Realized
Gains (Losses)		Other
Income		Total
Three Months Ended September 30, 2022
Assets:
Bonds available for sale$106 $(63)$— $43 
Other bond securities(40)—— (40)
Equity securities(1)—— (1)
Other invested assets62 —— 62 
Three Months Ended September 30, 2021
Assets:
Bonds available for sale$155 $(6)$— $149 
Other bond securities41 — — 41 
Other invested assets165 (4)— 161 
Nine Months Ended September 30, 2022
Assets:
Bonds available for sale$412 $(139)$— $273 
Other bond securities(314)— — (314)
Equity securities(1)— — (1)
Other invested assets307 — — 307 
Nine Months Ended September 30, 2021
Assets:
Bonds available for sale$503 $15 $— $518 
Other bond securities78 — — 78 
Equity securities11 — — 11 
Other invested assets406 11 — 417 
(in millions)Net
Investment
Income		Net Realized
(Gains) Losses		Other
Income		Total
Three Months Ended September 30, 2022
Liabilities:
Policyholder contract deposits*$— $(936)$— $(936)
Derivative liabilities, net— 127 (17)110 
Fortitude Re funds withheld payable— (1,757)— (1,757)
Three Months Ended September 30, 2021
Liabilities:
Policyholder contract deposits*$— $(26)$— $(26)
Derivative liabilities, net— 93 (14)79 
Fortitude Re funds withheld payable— 209 — 209 
Nine Months Ended September 30, 2022
Liabilities:
Policyholder contract deposits*$— $(4,055)$— $(4,055)
Derivative liabilities, net— 527 (45)482 
Fortitude Re funds withheld payable— (7,851)— (7,851)
Nine Months Ended September 30, 2021
Liabilities:
Policyholder contract deposits*$— $(923)$— $(923)
Derivative liabilities, net— (2)(43)(45)
Fortitude Re funds withheld payable— (117)— (117)
*Primarily embedded derivatives.
The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three- and nine-month periods ended September 30, 2022 and 2021 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:
(in millions)PurchasesSales
Issuances
and
Settlements(a)
Purchases, Sales,
 Issuances and
 Settlements, Net(a)
Three Months Ended September 30, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$5 $— $(34)$(29)
Corporate debt31 (49)(82)(100)
RMBS56 — (355)(299)
CMBS27 — (60)(33)
CDO/ABS581 (22)(36)523 
Total bonds available for sale700 (71)(568)61 
Other bond securities:
Corporate debt2 — 64 66 
RMBS31 — (5)26 
CDO/ABS65 (123)(100)(158)
Total other bond securities98 (123)(41)(66)
Equity securities8 — — 8 
Other invested assets53 — (98)(45)
Other assets— — — — 
Total$859 $(194)$(707)$(42)
Liabilities:
Policyholder contract deposits$— $294 $33 $327 
Derivative liabilities, net(243)3 50 (190)
Fortitude Re funds withheld payable— — (110)(110)
Total$(243)$297 $(27)$27 
Three Months Ended September 30, 2021
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$40 $(16)$(31)$(7)
Non-U.S. governments— — — — 
Corporate debt23 (61)(135)(173)
RMBS704 (164)(626)(86)
CMBS7 (3)(17)(13)
CDO/ABS849 — (669)180 
Total bonds available for sale1,623 (244)(1,478)(99)
Other bond securities:
RMBS— (2)(6)(8)
CMBS— (9)— (9)
CDO/ABS— — (134)(134)
Total other bond securities— (11)(140)(151)
Equity securities— — (1)(1)
Other invested assets32 — (383)(351)
Other assets— — 1 1 
Total$1,655 $(255)$(2,001)$(601)
Liabilities:
Policyholder contract deposits$— $214 $65 $279 
Derivative liabilities, net(75)2 40 (33)
Fortitude Re funds withheld payable— — (93)(93)
Total$(75)$216 $12 $153 
(in millions)PurchasesSales
Issuances
and
 Settlements(a)
Purchases, Sales,
 Issuances and
Settlements, Net(a)
Nine Months Ended September 30, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$6 $(64)$(36)$(94)
Corporate debt54 (49)(142)(137)
RMBS341 — (1,514)(1,173)
CMBS173 — (89)84 
CDO/ABS2,712 (22)(516)2,174 
Total bonds available for sale3,286 (135)(2,298)853 
Other bond securities:
Corporate debt26 — 164 190 
RMBS62 — (22)40 
CDO/ABS681 (123)(364)194 
Total other bond securities769 (123)(222)424 
Equity securities13 — 1 14 
Other invested assets570 — (653)(83)
Other assets— — (7)(7)
Total$4,638 $(258)$(3,179)$1,201 
Liabilities:
Policyholder contract deposits$— $761 $(40)$721 
Derivative liabilities, net(492)6 159 (327)
Fortitude Re funds withheld payable— — (576)(576)
Total$(492)$767 $(457)$(182)
Nine Months Ended September 30, 2021
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$51 $(59)$(117)$(125)
Non-U.S. governments1 — — 1 
Corporate Debt976 (94)(847)35 
RMBS1,186 (279)(1,884)(977)
CMBS297 (3)(49)245 
CDO/ABS2,005 70 (2,433)(358)
Total bonds available for sale4,516 (365)(5,330)(1,179)
Other bond securities:
RMBS1 (11)(28)(38)
CMBS— (15)— (15)
CDO/ABS— (39)(362)(401)
Total other bond securities1 (65)(390)(454)
Equity securities— (3)(121)(124)
Other invested assets424 — (752)(328)
Other assets— — 1 1 
Total$4,941 $(433)$(6,592)$(2,084)
Liabilities:
Policyholder contract deposits
$— $607 $(209)$398 
Derivative liabilities, net(198)4 33 (161)
Fortitude Re funds withheld payable— — (492)(492)
Total$(198)$611 $(668)$(255)
(a)There were no issuances during the three- and nine-month periods ended September 30, 2022 and 2021.
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 September 30, 2022 and 2021 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).
Transfers of Level 3 Assets and Liabilities
The Net realized and unrealized gains (losses) included in income (loss) or Other comprehensive income (loss) as shown in the table above excludes $(25) million and $(98) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three- and nine-month periods ended September 30, 2022, respectively, and includes $(36) million and $(122) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three- and nine-month periods ended September 30, 2022, respectively.
The Net realized and unrealized gains (losses) included in income (loss) or Other comprehensive income (loss) as shown in the table above excludes $1 million and $28 million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three- and nine-month periods ended September 30, 2021, respectively, and includes $10 million and $7 million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three- and nine-month periods ended September 30, 2021, respectively.
Transfers of Level 3 Assets
During the three- and nine-month periods ended September 30, 2022 and 2021, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, RMBS, CMBS and CDO/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 RMBS, CMBS and CDO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.
During the three- and nine-month periods ended September 30, 2022 and 2021, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt, RMBS, CMBS, CDO/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 RMBS, CMBS and CDO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.
Transfers of Level 3 Liabilities
During the nine-month period ended September 30, 2022, transfers of derivatives into Level 3 were primarily due to increased long-dated European swaption activity with Secured Overnight Financing Rate tenors. There were no significant transfers of derivative or other liabilities into or out of Level 3 for the three- and nine-month periods ended September 30, 2021.
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 CDO/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 at
September 30, 2022		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$815 Discounted cash flowYield
5.08% - 6.07% (5.57%)
Corporate debt2,059 Discounted cash flowYield
3.42% - 14.51% (7.92%)
RMBS(a)
5,530 Discounted cash flowConstant prepayment rate
4.78% - 10.05% (7.42%)
Loss severity
44.65% - 76.04% (60.35%)
Constant default rate
0.87% - 2.79% (1.83%)
Yield
5.58% - 7.22% (6.40%)
CDO/ABS(a)
8,802 Discounted cash flowYield
5.72% - 7.99% (6.85%)
CMBS553 Discounted cash flowYield
5.16% - 9.47% (7.31%)
Liabilities(d):
Embedded derivatives within Policyholder contract deposits:
Variable annuity guaranteed minimum withdrawal benefits (GMWB)698 Discounted cash flowEquity volatility
6.05% - 48.05%
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
10.00% - 30.00%
NPA(f)
0.13% - 2.29%
Fixed Index annuities including certain GMWB5,095 Discounted cash flowBase 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% - 5.00%
Equity volatility
6.05% - 48.05%
NPA(f)
0.13% - 2.29%
Indexed life555 Discounted cash flowBase lapse rate
0.00% - 37.97%
Mortality rate
0.00% - 100.00%
Equity volatility
6.20% - 26.11%
NPA(f)
0.13% - 2.29%
(in millions)Fair Value at
December 31, 2021		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$1,400 Discounted cash flowYield
2.74% - 3.33% (3.06%)
Corporate debt1,561 Discounted cash flowYield
2.23% - 7.69% (4.96%)
RMBS(a)
9,916 Discounted cash flowConstant 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 flowYield
1.84% - 4.77% (3.31%)
CMBS580 Discounted cash flowYield
1.50% - 5.01% (3.25%)
Liabilities(d):
Embedded derivatives within Policyholder contract deposits:
GMWB2,472 Discounted cash flowEquity 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%
Fixed Index annuities including certain GMWB6,445 Discounted cash flowBase 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%
Equity volatility
5.95% - 46.65%
NPA(f)
0.01% - 1.40%
Indexed life765 Discounted cash flowBase lapse rate
0.00% - 37.97%
Mortality rate
0.00% - 100.00%
Equity volatility
7.65% - 20.70%
NPA(f)
0.01% - 1.40%
(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 non-performance risk adjustment (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 September 30, 2022 and December 31, 2021 was approximately $920 million and $1.2 billion, respectively. The remaining guaranteed minimum riders on the fixed 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.
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.
Embedded derivatives within Policyholder contract deposits
Embedded derivatives reported within Policyholder contract deposits include interest crediting rates based on market indices within fixed index annuities, indexed life, and GICs as well as GMWB within variable annuity and certain fixed index annuity products. For any given contract, assumptions for unobservable inputs vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. The following unobservable inputs are used for valuing embedded derivatives measured at fair value:
•Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. Increases in assumed volatility will generally increase the fair value of both the projected cash flows from rider fees as well as the projected cash flows related to benefit payments. Therefore, the net change in the fair value of the liability may be either a decrease or an increase, depending on the relative changes in projected rider fees and projected benefit payments.
•Equity / interest rate correlation estimates the relationship between changes in equity returns and interest rates in the economic scenario generator used to value our GMWB embedded derivatives. In general, a higher positive correlation assumes that equity markets and interest rates move in a more correlated fashion, which generally increases the fair value of the liability.
•Base lapse rate assumptions are determined by company experience and are adjusted at the contract level using a dynamic lapse function, which reduces the base lapse rate when the contract is in-the-money (when the contract holder’s guaranteed value, as estimated by the company, is worth more than their underlying account value). Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. Increases in assumed lapse rates will generally decrease the fair value of the liability, as fewer policyholders would persist to collect guaranteed withdrawal amounts.
•Mortality rate assumptions, which vary by age and gender, are based on company experience and include a mortality improvement assumption. Increases in assumed mortality rates will decrease the fair value of the liability, while lower mortality rate assumptions will generally increase the fair value of the liability, because guaranteed payments will be made for a longer period of time.
•Utilization assumptions estimate the timing when policyholders with a GMWB will elect to utilize their benefit and begin taking withdrawals. The assumptions may vary by the type of guarantee, tax-qualified status, the contract’s withdrawal history and the age of the policyholder. Utilization assumptions are based on company experience and other factors, which includes partial withdrawal behavior. Increases in assumed utilization rates will generally increase the fair value of the liability.
•Option budget estimates the expected long-term cost of options used to hedge exposures associated with equity price changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.
•Non-performance or “own credit” risk adjustment used in the valuation of embedded derivatives, which reflects a market participant’s view of our claims-paying ability by incorporating a different spread (the NPA spread) to the curve used to discount projected benefit cash flows. When corporate credit spreads widen, the change in the NPA spread generally reduces the fair value of the embedded derivative liabilities, resulting in a gain, and when corporate credit spreads narrow or tighten, the change in the NPA spread generally increases the fair value of the embedded derivative liabilities, resulting in a loss. In addition to changes driven by credit market- related movements in the NPA spread, the NPA balance also reflects changes in business activity and in the net amount at risk from the underlying guaranteed living benefits offered by variable and certain fixed index annuities.
Embedded derivatives within reinsurance contracts
The fair value of embedded derivatives associated with funds withheld reinsurance contracts is determined based upon a total return swap technique with reference to the fair value of the investments held by AIG related to AIG’s funds withheld payable. The fair value of the underlying assets is generally based on market observable inputs using industry standard valuation techniques. The valuation also requires certain significant inputs, which are generally not observable and accordingly, the valuation is considered Level 3 in the fair value hierarchy.
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.
September 30, 2022December 31, 2021
(in millions)Investment Category IncludesFair Value Using NAV Per Share (or its equivalent)Unfunded CommitmentsFair Value Using NAV Per Share (or its equivalent)Unfunded Commitments
Investment Category
Private equity funds:
Leveraged buyoutDebt 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$3,114 $2,534 $2,768 $1,798 
Real assetsInvestments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets1,870 778 904 487 
Venture capitalEarly-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 company265 189 252 201 
Growth equityFunds that make investments in established companies for the purpose of growing their businesses774 63 914 82 
MezzanineFunds that make investments in the junior debt and equity securities of leveraged companies577 230 534 354 
OtherIncludes 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 strategies1,626 384 1,216 408 
Total private equity funds8,226 4,178 6,588 3,330 
Hedge funds:
Event-drivenSecurities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations282 — 466 — 
Long-shortSecurities that the manager believes are undervalued, with corresponding short positions to hedge market risk383 — 432 — 
MacroInvestments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions443 — 516 — 
OtherIncludes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments417 5 416 — 
Total hedge funds1,525 5 1,830 — 
Total$9,751 $4,183 $8,418 $3,330 
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 in one or two-year increments.
The hedge fund investments included above, which are carried at fair value, are generally redeemable subject to the redemption notices period. The majority of our hedge fund investments are redeemable monthly or quarterly.
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 Months Ended September 30,Gain (Loss) Nine Months Ended September 30,
(in millions)2022202120222021
Assets:
Other bond securities(a)
$(241)$35 $(915)$32 
Alternative investments(b)
(57)403 174 1,248 
Liabilities:
Long-term debt(c)
69 6 240 39 
Total gain (loss)$(229)$444 $(501)$1,319 
(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 5. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 7.
(b)Includes certain hedge funds, private equity funds and other investment partnerships.
(c)Includes guaranteed investment agreements (GIAs), notes, bonds and mortgages payable.
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.
The following table presents the difference between fair value and the aggregate contractual principal amount of long-term debt for which the fair value option was elected:
September 30, 2022December 31, 2021
(in millions)Fair ValueOutstanding Principal AmountDifferenceFair ValueOutstanding Principal AmountDifference
Liabilities:
Long-term debt*$1,613 $1,451 $162 $1,871 $1,405 $466 
*Includes GIAs, notes, bonds, loans and mortgages payable.
FAIR VALUE MEASUREMENTS ON A NON-RECURRING BASIS
The following table presents assets measured at fair value on a non-recurring basis at the time of impairment and the related impairment charges recorded during the periods presented:
Assets at Fair ValueImpairment Charges
Non-Recurring BasisThree Months Ended
September 30,		Nine Months Ended
September 30,
(in millions)Level 1Level 2Level 3Total2022202120222021
September 30, 2022
Other investments$— $— $17 $17 $11 $— $11 $6 
Other assets— — — — — 13 — 13 
Total$— $— $17 $17 $11 $13 $11 $19 
December 31, 2021
Other investments$— $— $104 $104 
Total$— $— $104 $104 
In addition to the assets presented in the table above, AIG had $170 million of loans held for sale which are carried at fair value at September 30, 2022. There is no associated impairment charge.
FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE
The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:
Estimated Fair ValueCarrying
Value
(in millions)Level 1Level 2Level 3Total
September 30, 2022
Assets:
Mortgage and other loans receivable$— $56 $44,341 $44,397 $47,954 
Other invested assets— 869 6 875 871 
Short-term investments— 9,319 — 9,319 9,319 
Cash2,294 — — 2,294 2,294 
Other assets57 12 — 69 69 
Liabilities:
Policyholder contract deposits associated with investment-type contracts— 132 138,398 138,530 138,255 
Fortitude Re funds withheld payable— — 32,929 32,929 32,929 
Other liabilities— 207 — 207 207 
Short-term and long-term debt— 19,054 273 19,327 22,895 
Debt of consolidated investment entities— 3,039 2,713 5,752 5,924 
Separate account liabilities - investment contracts— 77,070 — 77,070 77,070 
December 31, 2021
Assets:
Mortgage and other loans receivable$— $82 $47,947 $48,029 $46,033 
Other invested assets— 871 6 877 878 
Short-term investments— 8,931 — 8,931 8,931 
Cash2,198 — — 2,198 2,198 
Other assets21 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 
Short-term and 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