XML 45 R30.htm IDEA: XBRL DOCUMENT v3.23.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on 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:
March 31, 2023Level 1Level 2Level 3
Counterparty
Netting(a)
Cash
Collateral		Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities
$219 $5,536 $— $— $— $5,755 
Obligations of states, municipalities and political subdivisions
— 10,775 873 — — 11,648 
Non-U.S. governments194 13,229 9 — — 13,432 
Corporate debt— 136,139 2,432 — — 138,571 
RMBS— 12,022 7,581 — — 19,603 
CMBS— 13,936 938 — — 14,874 
CLO/ABS— 11,625 13,889 — — 25,514 
Total bonds available for sale
413 203,262 25,722 — — 229,397 
Other bond securities:
U.S. government and government sponsored entities— 1 — — — 1 
Obligations of states, municipalities and political subdivisions— 139 1 — — 140 
Non-U.S. governments— 60 — — — 60 
Corporate debt— 2,416 130 — — 2,546 
RMBS— 107 166 — — 273 
CMBS— 290 27 — — 317 
CLO/ABS— 415 1,010 — — 1,425 
Total other bond securities
— 3,428 1,334 — — 4,762 
Equity securities
501 16 74 — — 591 
Other invested assets(b)
— 169 2,086 — — 2,255 
Derivative assets(c):
Interest rate contracts— 2,046 356 — — 2,402 
Foreign exchange contracts
— 1,651 1 — — 1,652 
Equity contracts
26 141 516 — — 683 
Commodity contracts
— 7 — — — 7 
Credit contracts
— — 33 — — 33 
Other contracts— — 14 — — 14 
Counterparty netting and cash collateral
— — — (2,382)(1,793)(4,175)
Total derivative assets
26 3,845 920 (2,382)(1,793)616 
Short-term investments
2,484 4,382 — — — 6,866 
Market risk benefit assets— — 830 — — 830 
Other assets(c)
— — 110 — — 110 
Separate account assets
84,202 3,155 — — — 87,357 
Total$87,626 $218,257 $30,246 $(2,382)$(1,793)$331,954 
Liabilities:
Policyholder contract deposits$— $45 $6,064 $— $— $6,109 
Market risk benefit liabilities— — 5,144 — — 5,144 
Derivative liabilities(c):
Interest rate contracts
— 3,045 — — — 3,045 
Foreign exchange contracts
— 802 1 — — 803 
Equity contracts
36 10 14 — — 60 
Credit contracts
— 7 33 — — 40 
Counterparty netting and cash collateral
— — — (2,382)(1,311)(3,693)
Total derivative liabilities
36 3,864 48 (2,382)(1,311)255 
Fortitude Re funds withheld payable
— — (1,863)— — (1,863)
Other liabilities
— — 112 — — 112 
Long-term debt
— 72 — — — 72 
Total$36 $3,981 $9,505 $(2,382)$(1,311)$9,829 
December 31, 2022Level 1Level 2Level 3
Counterparty
Netting(a)
Cash
Collateral		Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities
$25 $6,594 $— $— $— $6,619 
Obligations of states, municipalities and political subdivisions
— 11,275 824 — — 12,099 
Non-U.S. governments158 13,326 1 — — 13,485 
Corporate debt— 134,992 2,847 — — 137,839 
RMBS— 11,264 7,553 — — 18,817 
CMBS— 13,267 926 — — 14,193 
CLO/ABS— 10,356 12,748 — — 23,104 
Total bonds available for sale
183 201,074 24,899 — — 226,156 
Other bond securities:
Obligations of states, municipalities and political subdivisions— 111 — — — 111 
Non-U.S. governments— 66 — — — 66 
Corporate debt— 1,976 416 — — 2,392 
RMBS— 113 173 — — 286 
CMBS— 303 28 — — 331 
CLO/ABS— 389 910 — — 1,299 
Total other bond securities
— 2,958 1,527 — — 4,485 
Equity securities
518 18 39 — — 575 
Other invested assets (b)
— 145 2,075 — — 2,220 
Derivative assets(c):
Interest rate contracts1 3,410 311 — — 3,722 
Foreign exchange contracts
— 1,844 — — — 1,844 
Equity contracts
11 132 285 — — 428 
Commodity contracts— 9 — — — 9 
Credit contracts
— — 32 — — 32 
Other contracts— — 14 — — 14 
Counterparty netting and cash collateral
— — — (3,895)(1,640)(5,535)
Total derivative assets
12 5,395 642 (3,895)(1,640)514 
Short-term investments
2,821 2,887 — — — 5,708 
Market risk benefit assets— — 796 — — 796 
Other assets(c)
— — 107 — — 107 
Separate account assets
81,655 3,198 — — — 84,853 
Total$85,189 $215,675 $29,289 $(3,895)$(1,640)$324,618 
Liabilities:
Policyholder contract deposits$— $41 $5,367 $— $— $5,408 
Market risk benefit liabilities— — 4,736 — — 4,736 
Derivative liabilities(c):
Interest rate contracts
— 4,838 — — — 4,838 
Foreign exchange contracts
— 1,138 — — — 1,138 
Equity contracts
2 10 14 — — 26 
Credit contracts
— 9 32 — — 41 
Counterparty netting and cash collateral
— — — (3,895)(1,917)(5,812)
Total derivative liabilities
2 5,995 46 (3,895)(1,917)231 
Fortitude Re funds withheld payable
— — (2,235)— — (2,235)
Other liabilities— — 112 — — 112 
Long-term debt
— 56 — — — 56 
Total$2 $6,092 $8,026 $(3,895)$(1,917)$8,308 
(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 $9.9 billion and $9.8 billion as of March 31, 2023 and December 31, 2022, respectively.
(c)Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
(in millions)Fair Value
Beginning
of Year		MRBs and
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 March 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$824 $1 $55 $(7)$— $— $— $873 $— $44 
Non-U.S. governments1 1 — — 7 — — 9 — — 
Corporate debt2,847 (102)51 (201)274 (421)(16)2,432 — 50 
RMBS7,553 109 (70)10 — (21)— 7,581 — (98)
CMBS926 7 (3)1 34 (27)— 938 — (34)
CLO/ABS12,748 50 271 840 58 (102)24 13,889 — 229 
Total bonds available for sale24,899 66 304 643 373 (571)8 25,722 — 191 
Other bond securities:
Obligations of states, municipalities and political subdivisions— — — 1 — — — 1 — — 
Corporate debt416 1 — (96)— (191)— 130 3 — 
RMBS173 5 — (12)— — — 166 (3)— 
CMBS28 (1)— — — — — 27 (1)— 
CLO/ABS910 36 — 18 1 (7)52 1,010 24 — 
Total other bond securities1,527 41 — (89)1 (198)52 1,334 23 — 
Equity securities39 — — 27 8 — — 74 — — 
Other invested assets2,075 (52)5 58 — — — 2,086 (50)— 
Other assets107 — — 3 — — — 110 — — 
Total(a)
$28,647 $55 $309 $642 $382 $(769)$60 $29,326 $(27)$191 
(in millions)Fair Value
Beginning
of Year		MRBs and
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$5,367 $381 $— $316 $— $— $— $6,064 $(368)$— 
Derivative liabilities, net:
Interest rate contracts(311)57 — (102)— — — (356)(50)— 
Equity contracts(271)(56)— (175)— — — (502)51 136 
Other contracts(14)(16)— 16 — — — (14)16 — 
Total derivative liabilities, net(b)
(596)(15)— (261)— — — (872)17 136 
Fortitude Re funds withheld payable(2,235)1,165 — (793)— — — (1,863)(759)— 
Other Liabilities112 — — — — — — 112 — — 
Total(c)
$2,648 $1,531 $— $(738)$— $— $— $3,441 $(1,110)$136 
(in millions)Fair Value
Beginning
of Year		MRBs and
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 March 31, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1,431 $2 $(285)$(61)$— $— $— $1,087 $— $(273)
Non-U.S. governments7 — — — 1 — — 8 — — 
Corporate debt2,641 (11)(73)177 130 (120)— 2,744 — (69)
RMBS10,378 130 (553)(608)— (422)— 8,925 — (544)
CMBS1,190 8 (67)32 — (299)— 864 — (64)
CLO/ABS11,215 16 (501)545 1,115 (614)— 11,776 — (501)
Total bonds available for sale26,862 145 (1,479)85 1,246 (1,455)— 25,404 — (1,451)
Other bond securities:
Corporate debt134 — — 77 61 (12)— 260 — — 
RMBS196 (5)(1)9 — — — 199 (8)— 
CMBS35 (2)— — — — — 33 (2)— 
CLO/ABS2,332 (114)— 195 57 (2)— 2,468 (161)— 
Total other bond securities2,697 (121)(1)281 118 (14)— 2,960 (171)— 
Equity securities6 — (1)1 — — — 6 — — 
Other invested assets1,948 112 (4)(15)47 (153)— 1,935 121 — 
Other assets114 — — (6)— — — 108 — — 
Total(a)
$31,627 $136 $(1,485)$346 $1,411 $(1,622)$— $30,413 $(50)$(1,451)
(in millions)Fair Value
Beginning
of Year		MRBs and
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$5,572 $(658)$— $121 $— $— $— $5,035 $845 $— 
Derivative liabilities, net:
Interest rate contracts— (1)— (3)— — — (4)1 — 
Foreign exchange contracts(1)— — 1 — — — — (1)— 
Equity contracts(444)301 — (35)— — — (178)(241)— 
Credit contracts30 1 — — — — — 31 (1)— 
Other contracts(13)(18)— 17 — — — (14)18 — 
Total derivative liabilities, net(b)
(428)283 — (20)— — — (165)(224)— 
Fortitude Re funds withheld payable5,922 (3,318)— (398)— — — 2,206 3,480 — 
Total(c)
$11,066 $(3,693)$— $(297)$— $— $— $7,076 $4,101 $— 
(a)Excludes MRB assets of $830 million and $666 million for the three-month periods ended March 31, 2023 and 2022, respectively. For additional information, see Note 12.
(b)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
(c)Excludes MRB liabilities of $5.1 billion and $6.1 billion for the three-month periods ended March 31, 2023 and 2022, respectively. For additional information, see Note 12.
Schedule of Assets Measured on a Recurring Basis The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three-month periods ended March 31, 2023 and 2022 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 March 31, 2023
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1 $(4)$(4)$(7)
Corporate debt21 — (222)(201)
RMBS290 (19)(261)10 
CMBS10 (6)(3)1 
CLO/ABS897 (3)(54)840 
Total bonds available for sale1,219 (32)(544)643 
Other bond securities:
Obligations of states, municipalities and political subdivisions1 — — 1 
Corporate debt— — (96)(96)
RMBS5 — (17)(12)
CLO/ABS46 (4)(24)18 
Total other bond securities52 (4)(137)(89)
(in millions)PurchasesSales
Issuances
and
 Settlements(a)
Purchases, Sales,
 Issuances and
Settlements, Net(a)
Equity securities29 — (2)27 
Other invested assets72 — (14)58 
Other assets— — 3 3 
Total$1,372 $(36)$(694)$642 
Liabilities:
Policyholder contract deposits$— $326 $(10)$316 
Derivative liabilities, net(260)5 (6)(261)
Fortitude Re funds withheld payable— — (793)(793)
Total$(260)$331 $(809)$(738)
Three Months Ended March 31, 2022
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions$1 $(60)$(2)$(61)
Corporate Debt9 — 168 177 
RMBS109 — (717)(608)
CMBS70 — (38)32 
CLO/ABS886 — (341)545 
Total bonds available for sale1,075 (60)(930)85 
Other bond securities:
Corporate debt19 — 58 77 
RMBS17 — (8)9 
CLO/ABS323 — (128)195 
Total other bond securities359 — (78)281 
Equity securities— — 1 1 
Other invested assets258 — (273)(15)
Other assets— — (6)(6)
Total$1,692 $(60)$(1,286)$346 
Liabilities:
Policyholder contract deposits
$— $195 $(74)$121 
Derivative liabilities, net(85)2 63 (20)
Fortitude Re funds withheld payable— — (398)(398)
Total$(85)$197 $(409)$(297)
(a)There were no issuances during the three-month periods ended March 31, 2023 and 2022.
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings
Market risk benefits and 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)
Change in the fair
value of market
risk benefits, net(a)
Other
Income		Total
Three Months Ended March 31, 2023
Assets:
Bonds available for sale$62 $4 $— $— $66 
Other bond securities41 — — — 41 
Other invested assets(51)(1)— — (52)
Three Months Ended March 31, 2022
Assets:
Bonds available for sale$164 $(19)$— $— $145 
Other bond securities(121)— — — (121)
Other invested assets112 — — — 112 
(in millions)Net
Investment
Income		Net Realized
(Gains) Losses
Change in the fair
value of market
risk benefits, net(a)
Other
Income		Total
Three Months Ended March 31, 2023
Liabilities:
Policyholder contract deposits(b)
$— $381 $— $— $381 
Market risk benefit liabilities, net(c)
— — 87 — 87 
Derivative liabilities, net— (88)89 (16)(15)
Fortitude Re funds withheld payable— 1,165 — — 1,165 
Three Months Ended March 31, 2022
Liabilities:
Policyholder contract deposits(b)
$— $(658)$— $— $(658)
Market risk benefit liabilities, net(c)
— (3)(699)— (702)
Derivative liabilities, net— 327 (29)(15)283 
Fortitude Re funds withheld payable— (3,318)— — (3,318)
(a)The portion of the fair value change attributable to own credit risk, is recognized in OCI.
(b)Primarily embedded derivatives.
(c)Market risk benefit assets and liabilities have been netted in the above table for presentation purposes only.
Fair Value, Liabilities Measured on Recurring Basis, Liabilities The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three-month periods ended March 31, 2023 and 2022 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:
Fair Value Measurement Inputs and Valuation Techniques
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 at
March 31, 2023		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$849 Discounted cash flowYield
4.91% - 5.55% (5.23%)
Corporate debt2,034 Discounted cash flowYield
4.76% - 11.60% (7.81%)
RMBS(a)
5,035 Discounted cash flowConstant prepayment rate
4.78% - 10.23% (7.50%)
Loss severity
44.53% - 77.94% (61.24%)
Constant default rate
0.88% - 2.76% (1.82%)
Yield
6.25% - 7.89% (7.07%)
CLO/ABS(a)
9,288 Discounted cash flowYield
5.56% - 7.42% (6.49%)
CMBS605 Discounted cash flowYield
4.28% - 30.14% (13.87%)
Market risk benefit assets830 Discounted cash flowEquity volatility
6.55% - 51.75%
Base lapse rate
0.16% - 28.80%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
38.25% - 160.01%
Utilization
80.00% - 100.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.34% - 2.45%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits2,381 Discounted cash flowEquity volatility
6.55% - 51.75%
Base lapse rate
0.16% - 28.80%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
38.25% - 160.01%
Utilization
80.00% - 100.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.34% - 2.45%
Fixed annuities guaranteed benefits806 Discounted cash flowBase lapse rate
0.20% - 15.75%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
40.26% - 168.43%
Utilization(g)
90.00% - 97.50%
NPA(f)
0.34% - 2.45%
Fixed index annuities guaranteed benefits1,957 Discounted cash flowEquity volatility
6.55% - 51.75%
Base lapse rate
0.20% - 50.00%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
24.00% - 180.00%
Utilization(g)
60.00% - 97.50%
(in millions)Fair Value at
March 31, 2023		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Option budget
0.00% - 6.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.34% - 2.45%
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities5,269 Discounted cash flowEquity volatility
6.55% - 51.75%
Base lapse rate
0.20% - 50.00%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
24.00% - 180.00%
Utilization(g)
60.00% - 97.50%
Option budget
0.00% - 6.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.34% - 2.45%
Index life795 Discounted cash flowBase lapse rate
0.00% - 37.97%
Mortality rate
0.00% - 100.00%
Equity volatility
5.75% - 21.40%
NPA(f)
0.34% - 2.45%
(in millions)Fair Value at
December 31, 2022		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions$799 Discounted cash flowYield
5.28% - 5.94% (5.61%)
Corporate debt2,527 Discounted cash flowYield
4.98% - 9.36% (7.17%)
RMBS(a)
5,235 Discounted cash flowConstant prepayment rate
4.89% - 10.49% (7.69%)
Loss severity
45.06% - 76.87% (60.97%)
Constant default rate
0.82% - 2.72% (1.77%)
Yield
5.98% - 7.75% (6.87%)
CLO/ABS(a)
7,503 Discounted cash flowYield
6.00% - 7.97% (6.99%)
CMBS587 Discounted cash flowYield
4.06% - 13.14% (8.60%)
Market risk benefit assets796 Discounted cash flowEquity volatility
6.45% - 50.75%
Base lapse rate
0.16% - 28.80%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
38.25% - 160.01%
Utilization
80.00% - 100.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.00% - 2.03%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits2,358 Discounted cash flowEquity volatility
6.45% - 50.75%
Base lapse rate
0.16% - 28.80%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
38.25% - 160.01%
Utilization
80.00% - 100.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.00% - 2.03%
Fixed annuities guaranteed benefits680 Discounted cash flowBase lapse rate
0.20% - 15.75%
Dynamic lapse multiplier
20.00% - 186.16%
Mortality multiplier(e)
40.26% - 168.43%
Utilization(g)
90.00% - 97.50%
NPA(f)
0.00% - 2.03%
Fixed index annuities guaranteed benefits1,698 Discounted cash flowEquity volatility
6.45% - 50.75%
Base lapse rate
0.20% - 50.00%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
24.00% - 180.00%
Utilization(g)
60.00% - 97.50%
Option budget
0.00% - 5.00%
(in millions)Fair Value at
December 31, 2022		Valuation
 Technique
Unobservable Input(b)
Range
(Weighted Average)(c)
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.00% - 2.03%
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities4,657 Discounted cash flowEquity volatility
6.45% - 50.75%
Base lapse rate
0.20% - 50.00%
Dynamic lapse multiplier
20.00% - 186.18%
Mortality multiplier(e)
24.00% - 180.00%
Utilization(g)
60.00% - 97.50%
Option budget
0.00% - 5.00%
Equity / interest rate correlation
0.00% - 30.00%
NPA(f)
0.00% - 2.03%
Index life710 Discounted cash flowBase lapse rate
0.00% - 37.97%
Mortality rate
0.00% - 100.00%
Equity volatility
5.75% - 23.63%
NPA(f)
0.00% - 2.03%
(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. Because the valuation methodology for embedded derivatives with policyholder contract deposits and market risk benefits 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. The total embedded derivative liability at March 31, 2023 and December 31, 2022 was approximately $1.2 billion and $1.1 billion, respectively.
Fair Value, Investments, Entities that Calculate 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.
March 31, 2023December 31, 2022
(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$3,285 $2,327 $3,146 $2,448 
Real assetsInvestments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets1,820 840 1,851 840 
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 company268 171 272 183 
Growth equityFunds that make investments in established companies for the purpose of growing their businesses715 49 732 60 
MezzanineFunds that make investments in the junior debt and equity securities of leveraged companies592 155 598 142 
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 strategies1,920 389 1,829 391 
Total private equity funds8,600 3,931 8,428 4,064 
Hedge funds:
Event-drivenSecurities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations102 — 92 — 
Long-shortSecurities that the manager believes are undervalued, with corresponding short positions to hedge market risk659 — 696 — 
MacroInvestments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions359 — 414 — 
OtherIncludes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments188 — 192 — 
Total hedge funds1,308 — 1,394 — 
Total$9,908 $3,931 $9,822 $4,064 
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:
Three Months Ended March 31,Gain (Loss)
(in millions)20232022
Assets:
Other bond securities(a)
$136 $(319)
Alternative investments(b)
77 398 
Liabilities:
Long-term debt(c)
(1)103 
Total gain (loss)$212 $182 
(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.
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:
March 31, 2023December 31, 2022
(in millions)Fair ValueOutstanding Principal AmountDifferenceFair ValueOutstanding Principal AmountDifference
Liabilities:
Long-term debt*$72 $60 $12 $56 $45 $11 
*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair Value Measurements, Nonrecurring
The following table presents assets measured at fair value on a non-recurring basis at the time of impairment and the related impairment charges recorded during the periods presented:
Assets at Fair ValueImpairment Charges
Non-Recurring BasisThree Months Ended March 31,
(in millions)Level 1Level 2Level 3Total20232022
March 31, 2023
Other assets$— $— $11 $11 $9 $— 
Total$— $— $11 $11 $9 $— 
December 31, 2022
Other investments$— $— $12 $12 
Total$— $— $12 $12 
Fair Value, by Balance Sheet Grouping
FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE
The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:
Estimated Fair ValueCarrying
Value
(in millions)Level 1Level 2Level 3Total
March 31, 2023
Assets:
Mortgage and other loans receivable$— $91 $47,719 $47,810 $50,730 
Other invested assets— 865 6 871 870 
Short-term investments— 6,387 — 6,387 6,387 
Cash1,923 — — 1,923 1,923 
Other assets29 1 — 30 30 
Liabilities:
Policyholder contract deposits associated with investment-type contracts— 115 132,903 133,018 138,269 
Fortitude Re funds withheld payable— — 32,231 32,231 32,231 
Other liabilities— 2,614 — 2,614 2,614 
Short-term and long-term debt— 20,096 284 20,380 22,028 
Debt of consolidated investment entities— 1,265 2,624 3,889 3,944 
Separate account liabilities - investment contracts— 83,452 — 83,452 83,452 
December 31, 2022
Assets:
Mortgage and other loans receivable$— $89 $45,755 $45,844 $49,442 
Other invested assets— 848 6 854 854 
Short-term investments— 6,668 — 6,668 6,668 
Cash2,043 — — 2,043 2,043 
Other assets24 9 — 33 33 
Liabilities:
Policyholder contract deposits associated with investment-type contracts— 119 129,174 129,293 137,086 
Fortitude Re funds withheld payable— — 32,618 32,618 32,618 
Other liabilities— 3,101 — 3,101 3,101 
Short-term and long-term debt— 19,328 275 19,603 21,243 
Debt of consolidated investment entities— 3,055 2,478 5,533 5,880 
Separate account liabilities - investment contracts— 80,649 — 80,649 80,649