XML 75 R29.htm IDEA: XBRL DOCUMENT v3.21.1
FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2021
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

March 31, 2021

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

32

$

3,945

$

-

$

-

$

-

$

3,977

Obligations of states, municipalities and political subdivisions

 

-

 

13,243

 

1,896

 

-

 

-

 

15,139

Non-U.S. governments

 

115

 

15,066

 

6

 

-

 

-

 

15,187

Corporate debt

 

-

 

162,314

 

2,570

 

-

 

-

 

164,884

RMBS

 

-

 

18,644

 

11,464

 

-

 

-

 

30,108

CMBS

 

-

 

14,045

 

1,104

 

-

 

-

 

15,149

CDO/ABS

 

-

 

8,966

 

9,602

 

-

 

-

 

18,568

Total bonds available for sale

 

147

 

236,223

 

26,642

 

-

 

-

 

263,012

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,751

 

-

 

-

 

-

 

1,751

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

12

 

-

 

-

 

-

 

12

RMBS

 

-

 

256

 

126

 

-

 

-

 

382

CMBS

 

-

 

268

 

46

 

-

 

-

 

314

CDO/ABS

 

-

 

168

 

2,346

 

-

 

-

 

2,514

Total other bond securities

 

-

 

2,455

 

2,518

 

-

 

-

 

4,973

Equity securities

 

1,012

 

20

 

128

 

-

 

-

 

1,160

Other invested assets(b)

 

-

 

101

 

1,897

 

-

 

-

 

1,998

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

2

 

3,622

 

-

 

-

 

-

 

3,624

Foreign exchange contracts

 

-

 

1,068

 

1

 

-

 

-

 

1,069

Equity contracts

 

2

 

341

 

237

 

-

 

-

 

580

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

13

 

-

 

-

 

13

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,080)

 

(1,314)

 

(4,394)

Total derivative assets

 

4

 

5,031

 

252

 

(3,080)

 

(1,314)

 

893

Short-term investments

 

2,029

 

2,397

 

-

 

-

 

-

 

4,426

Other assets

 

-

 

-

 

113

 

-

 

-

 

113

Separate account assets

 

98,876

 

3,813

 

-

 

-

 

-

 

102,689

Total

$

102,068

$

250,040

$

31,550

$

(3,080)

$

(1,314)

$

379,264

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

7,617

$

-

$

-

$

7,617

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

4,904

 

-

 

-

 

-

 

4,904

Foreign exchange contracts

 

-

 

853

 

1

 

-

 

-

 

854

Equity contracts

 

13

 

57

 

15

 

-

 

-

 

85

Credit contracts

 

-

 

20

 

45

 

-

 

-

 

65

Other contracts

 

-

 

-

 

4

 

-

 

-

 

4

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,080)

 

(2,129)

 

(5,209)

Total derivative liabilities

 

13

 

5,834

 

65

 

(3,080)

 

(2,129)

 

703

Fortitude Re funds withheld payable

 

-

 

-

 

3,487

 

-

 

-

 

3,487

Other liabilities

 

-

 

-

 

-

 

-

 

-

 

-

Long-term debt

 

-

 

2,015

 

-

 

-

 

-

 

2,015

Total

$

13

$

7,849

$

11,169

$

(3,080)

$

(2,129)

$

13,822

December 31, 2020

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

 

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

73

$

4,053

$

-

$

-

$

-

$

4,126

Obligations of states, municipalities and political subdivisions

 

-

 

14,019

 

2,105

 

-

 

-

 

16,124

Non-U.S. governments

 

28

 

15,312

 

5

 

-

 

-

 

15,345

Corporate debt

 

-

 

166,949

 

2,349

 

-

 

-

 

169,298

RMBS

 

-

 

19,771

 

11,694

 

-

 

-

 

31,465

CMBS

 

-

 

15,211

 

922

 

-

 

-

 

16,133

CDO/ABS

 

-

 

9,191

 

9,814

 

-

 

-

 

19,005

Total bonds available for sale

 

101

 

244,506

 

26,889

 

-

 

-

 

271,496

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,845

 

-

 

-

 

-

 

1,845

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

12

 

-

 

-

 

-

 

12

RMBS

 

-

 

290

 

139

 

-

 

-

 

429

CMBS

 

-

 

273

 

47

 

-

 

-

 

320

CDO/ABS

 

-

 

173

 

2,512

 

-

 

-

 

2,685

Total other bond securities

 

-

 

2,593

 

2,698

 

-

 

-

 

5,291

Equity securities

 

929

 

76

 

51

 

-

 

-

 

1,056

Other invested assets(b)

 

-

 

102

 

1,827

 

-

 

-

 

1,929

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

4,637

 

-

 

-

 

-

 

4,637

Foreign exchange contracts

 

-

 

1,020

 

2

 

-

 

-

 

1,022

Equity contracts

 

9

 

923

 

198

 

-

 

-

 

1,130

Credit contracts

 

-

 

-

 

2

 

-

 

-

 

2

Other contracts

 

-

 

-

 

14

 

-

 

-

 

14

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,812)

 

(2,219)

 

(6,031)

Total derivative assets

 

9

 

6,580

 

216

 

(3,812)

 

(2,219)

 

774

Short-term investments

 

2,379

 

3,589

 

-

 

-

 

-

 

5,968

Other assets

 

-

 

-

 

113

 

-

 

-

 

113

Separate account assets

 

96,560

 

3,730

 

-

 

-

 

-

 

100,290

Total

$

99,978

$

261,176

$

31,794

$

(3,812)

$

(2,219)

$

386,917

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

9,798

$

-

$

-

$

9,798

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

4,435

 

-

 

-

 

-

 

4,436

Foreign exchange contracts

 

-

 

1,090

 

-

 

-

 

-

 

1,090

Equity contracts

 

14

 

162

 

47

 

-

 

-

 

223

Credit contracts

 

-

 

23

 

44

 

-

 

-

 

67

Other contracts

 

-

 

-

 

6

 

-

 

-

 

6

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,812)

 

(1,441)

 

(5,253)

Total derivative liabilities

 

15

 

5,710

 

97

 

(3,812)

 

(1,441)

 

569

Fortitude Re funds withheld payable

 

-

 

-

 

6,042

 

-

 

-

 

6,042

Other liabilities

 

-

 

1

 

-

 

-

 

-

 

1

Long-term debt

 

-

 

2,097

 

-

 

-

 

-

 

2,097

Total

$

15

$

7,808

$

15,937

$

(3,812)

$

(1,441)

$

18,507

(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 $6.7 billion and $6.5 billion as of March 31, 2021 and December 31, 2020, 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 (Assets)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,105

$

3

$

(159)

$

(53)

$

-

$

-

$

-

$

1,896

$

-

$

(10)

Non-U.S. governments

 

5

 

-

 

-

 

-

 

1

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

2,349

 

(1)

 

(10)

 

177

 

187

 

(132)

 

-

 

2,570

 

-

 

(159)

RMBS

 

11,694

 

167

 

64

 

(431)

 

-

 

(30)

 

-

 

11,464

 

-

 

(14)

CMBS

 

922

 

9

 

(56)

 

173

 

56

 

-

 

-

 

1,104

 

-

 

(56)

CDO/ABS

 

9,814

 

16

 

(14)

 

(164)

 

454

 

(504)

 

-

 

9,602

 

-

 

64

Total bonds available for sale

 

26,889

 

194

 

(175)

 

(298)

 

698

 

(666)

 

-

 

26,642

 

-

 

(175)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

3

 

-

 

(16)

 

-

 

-

 

-

 

126

 

(98)

 

-

CMBS

 

47

 

(1)

 

-

 

(6)

 

6

 

-

 

-

 

46

 

(2)

 

-

CDO/ABS

 

2,512

 

(11)

 

-

 

(155)

 

-

 

-

 

-

 

2,346

 

2

 

-

Total other bond securities

 

2,698

 

(9)

 

-

 

(177)

 

6

 

-

 

-

 

2,518

 

(98)

 

-

Equity securities

 

51

 

11

 

3

 

(11)

 

75

 

(1)

 

-

 

128

 

3

 

-

Other invested assets

 

1,827

 

142

 

(6)

 

(66)

 

-

 

-

 

-

 

1,897

 

123

 

-

Other assets

 

113

 

-

 

-

 

-

 

-

 

-

 

-

 

113

 

-

 

-

Total

$

31,578

$

338

$

(178)

$

(552)

$

779

$

(667)

$

-

$

31,298

$

28

$

(175)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

Reclassification

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(2,260)

$

-

$

79

$

-

$

-

$

-

$

7,617

$

2,570

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(2)

 

1

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

(85)

 

-

 

40

 

-

 

(222)

 

(118)

 

-

Credit contracts

 

42

 

5

 

-

 

(3)

 

-

 

-

 

-

 

44

 

(3)

 

-

Other contracts

 

(8)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(9)

 

16

 

-

Total derivative liabilities, net(a)

 

(119)

 

(37)

 

-

 

(71)

 

-

 

40

 

-

 

(187)

 

(106)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

6,042

 

(2,382)

 

-

 

(173)

 

-

 

-

 

-

 

3,487

 

2,955

 

-

Total

$

15,721

$

(4,679)

$

-

$

(165)

$

-

$

40

$

-

$

10,917

$

5,419

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,121

$

5

$

(55)

$

137

$

27

$

(133)

$

-

$

2,102

$

-

$

(51)

Non-U.S. governments

 

-

 

-

 

-

 

-

 

6

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

1,663

 

(67)

 

(81)

 

7

 

103

 

(410)

 

-

 

1,215

 

-

 

(29)

RMBS

 

13,408

 

132

 

(1,623)

 

(223)

 

19

 

(26)

 

-

 

11,687

 

-

 

(1,505)

CMBS

 

1,053

 

7

 

19

 

44

 

23

 

-

 

-

 

1,146

 

-

 

21

CDO/ABS

 

7,686

 

17

 

(557)

 

47

 

1,603

 

(28)

 

-

 

8,768

 

-

 

(536)

Total bonds available for sale

 

25,931

 

94

 

(2,297)

 

12

 

1,781

 

(597)

 

-

 

24,924

 

-

 

(2,100)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

(14)

 

-

 

20

 

-

 

-

 

-

 

149

 

(14)

 

-

CMBS

 

50

 

(7)

 

-

 

(1)

 

-

 

-

 

-

 

42

 

(8)

 

-

CDO/ABS

 

3,545

 

(173)

 

-

 

(994)

 

-

 

-

 

-

 

2,378

 

(262)

 

-

Total other bond securities

 

3,738

 

(194)

 

-

 

(975)

 

-

 

-

 

-

 

2,569

 

(284)

 

-

Equity securities

 

8

 

(1)

 

1

 

10

 

1

 

-

 

-

 

19

 

-

 

-

Other invested assets

 

1,192

 

(4)

 

-

 

129

 

150

 

-

 

-

 

1,467

 

14

 

-

Other assets

 

89

 

-

 

-

 

5

 

-

 

-

 

(3)

 

91

 

-

 

-

Total

$

30,958

$

(105)

$

(2,296)

$

(819)

$

1,932

$

(597)

$

(3)

$

29,070

$

(270)

$

(2,100)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

1,171

$

-

$

72

$

-

$

-

$

-

$

8,153

$

(884)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(6)

 

3

 

-

 

6

 

-

 

-

 

-

 

3

 

1

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

34

 

-

 

-

 

-

 

(143)

 

(14)

 

-

Credit contracts

 

62

 

(124)

 

-

 

(14)

 

-

 

-

 

-

 

(76)

 

118

 

-

Other contracts

 

(7)

 

(10)

 

-

 

15

 

-

 

-

 

-

 

(2)

 

10

 

-

Total derivative liabilities, net(a)

 

(102)

 

(157)

 

-

 

41

 

-

 

-

 

-

 

(218)

 

115

 

-

Total

$

6,808

$

1,014

$

-

$

113

$

-

$

-

$

-

$

7,935

$

(769)

$

-

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

 
Changes in Level 3 recurring fair value measurements (Liabilities)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

municipalities and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

political subdivisions

$

2,105

$

3

$

(159)

$

(53)

$

-

$

-

$

-

$

1,896

$

-

$

(10)

Non-U.S. governments

 

5

 

-

 

-

 

-

 

1

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

2,349

 

(1)

 

(10)

 

177

 

187

 

(132)

 

-

 

2,570

 

-

 

(159)

RMBS

 

11,694

 

167

 

64

 

(431)

 

-

 

(30)

 

-

 

11,464

 

-

 

(14)

CMBS

 

922

 

9

 

(56)

 

173

 

56

 

-

 

-

 

1,104

 

-

 

(56)

CDO/ABS

 

9,814

 

16

 

(14)

 

(164)

 

454

 

(504)

 

-

 

9,602

 

-

 

64

Total bonds available for sale

 

26,889

 

194

 

(175)

 

(298)

 

698

 

(666)

 

-

 

26,642

 

-

 

(175)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

3

 

-

 

(16)

 

-

 

-

 

-

 

126

 

(98)

 

-

CMBS

 

47

 

(1)

 

-

 

(6)

 

6

 

-

 

-

 

46

 

(2)

 

-

CDO/ABS

 

2,512

 

(11)

 

-

 

(155)

 

-

 

-

 

-

 

2,346

 

2

 

-

Total other bond securities

 

2,698

 

(9)

 

-

 

(177)

 

6

 

-

 

-

 

2,518

 

(98)

 

-

Equity securities

 

51

 

11

 

3

 

(11)

 

75

 

(1)

 

-

 

128

 

3

 

-

Other invested assets

 

1,827

 

142

 

(6)

 

(66)

 

-

 

-

 

-

 

1,897

 

123

 

-

Other assets

 

113

 

-

 

-

 

-

 

-

 

-

 

-

 

113

 

-

 

-

Total

$

31,578

$

338

$

(178)

$

(552)

$

779

$

(667)

$

-

$

31,298

$

28

$

(175)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

Reclassification

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(2,260)

$

-

$

79

$

-

$

-

$

-

$

7,617

$

2,570

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(2)

 

1

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

(85)

 

-

 

40

 

-

 

(222)

 

(118)

 

-

Credit contracts

 

42

 

5

 

-

 

(3)

 

-

 

-

 

-

 

44

 

(3)

 

-

Other contracts

 

(8)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(9)

 

16

 

-

Total derivative liabilities, net(a)

 

(119)

 

(37)

 

-

 

(71)

 

-

 

40

 

-

 

(187)

 

(106)

 

-

Fortitude Re funds withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

payable

 

6,042

 

(2,382)

 

-

 

(173)

 

-

 

-

 

-

 

3,487

 

2,955

 

-

Total

$

15,721

$

(4,679)

$

-

$

(165)

$

-

$

40

$

-

$

10,917

$

5,419

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,121

$

5

$

(55)

$

137

$

27

$

(133)

$

-

$

2,102

$

-

$

(51)

Non-U.S. governments

 

-

 

-

 

-

 

-

 

6

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

1,663

 

(67)

 

(81)

 

7

 

103

 

(410)

 

-

 

1,215

 

-

 

(29)

RMBS

 

13,408

 

132

 

(1,623)

 

(223)

 

19

 

(26)

 

-

 

11,687

 

-

 

(1,505)

CMBS

 

1,053

 

7

 

19

 

44

 

23

 

-

 

-

 

1,146

 

-

 

21

CDO/ABS

 

7,686

 

17

 

(557)

 

47

 

1,603

 

(28)

 

-

 

8,768

 

-

 

(536)

Total bonds available for sale

 

25,931

 

94

 

(2,297)

 

12

 

1,781

 

(597)

 

-

 

24,924

 

-

 

(2,100)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

143

 

(14)

 

-

 

20

 

-

 

-

 

-

 

149

 

(14)

 

-

CMBS

 

50

 

(7)

 

-

 

(1)

 

-

 

-

 

-

 

42

 

(8)

 

-

CDO/ABS

 

3,545

 

(173)

 

-

 

(994)

 

-

 

-

 

-

 

2,378

 

(262)

 

-

Total other bond securities

 

3,738

 

(194)

 

-

 

(975)

 

-

 

-

 

-

 

2,569

 

(284)

 

-

Equity securities

 

8

 

(1)

 

1

 

10

 

1

 

-

 

-

 

19

 

-

 

-

Other invested assets

 

1,192

 

(4)

 

-

 

129

 

150

 

-

 

-

 

1,467

 

14

 

-

Other assets

 

89

 

-

 

-

 

5

 

-

 

-

 

(3)

 

91

 

-

 

-

Total

$

30,958

$

(105)

$

(2,296)

$

(819)

$

1,932

$

(597)

$

(3)

$

29,070

$

(270)

$

(2,100)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

Reclassification

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

of Held

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

for Sale

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,910

$

1,171

$

-

$

72

$

-

$

-

$

-

$

8,153

$

(884)

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(6)

 

3

 

-

 

6

 

-

 

-

 

-

 

3

 

1

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

34

 

-

 

-

 

-

 

(143)

 

(14)

 

-

Credit contracts

 

62

 

(124)

 

-

 

(14)

 

-

 

-

 

-

 

(76)

 

118

 

-

Other contracts

 

(7)

 

(10)

 

-

 

15

 

-

 

-

 

-

 

(2)

 

10

 

-

Total derivative liabilities, net(a)

 

(102)

 

(157)

 

-

 

41

 

-

 

-

 

-

 

(218)

 

115

 

-

Total

$

6,808

$

1,014

$

-

$

113

$

-

$

-

$

-

$

7,935

$

(769)

$

-

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
Schedule of net realized and unrealized gains and losses related to Level 3 items

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

Gains (Losses)

 

Income

 

Total

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

185

$

9

$

-

$

194

Other bond securities

 

(31)

 

22

 

-

 

(9)

Equity securities

 

11

 

-

 

-

 

11

Other invested assets

 

142

 

-

 

-

 

142

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

198

$

(104)

$

-

$

94

Other bond securities

 

(462)

 

268

 

-

 

(194)

Equity securities

 

-

 

(1)

 

-

 

(1)

Other invested assets

 

(4)

 

-

 

-

 

(4)

 

 

 

 

 

 

 

 

 

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(2,260)

$

-

$

(2,260)

Derivative liabilities, net

 

-

 

(23)

 

(14)

 

(37)

Fortitude Re funds withheld payable

 

-

 

(2,382)

 

-

 

(2,382)

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

1,171

$

-

$

1,171

Derivative liabilities, net

 

-

 

(143)

 

(14)

 

(157)

*Primarily embedded derivatives.
Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

8

$

(20)

$

(41)

$

(53)

Non-U.S. governments

 

-

 

-

 

-

 

-

Corporate debt

 

741

 

(1)

 

(563)

 

177

RMBS

 

164

 

-

 

(595)

 

(431)

CMBS

 

193

 

-

 

(20)

 

173

CDO/ABS

 

376

 

(49)

 

(491)

 

(164)

Total bonds available for sale

 

1,482

 

(70)

 

(1,710)

 

(298)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

-

 

(16)

 

(16)

CMBS

 

-

 

(6)

 

-

 

(6)

CDO/ABS

 

-

 

(39)

 

(116)

 

(155)

Total other bond securities

 

-

 

(45)

 

(132)

 

(177)

Equity securities

 

-

 

-

 

(11)

 

(11)

Other invested assets

 

198

 

-

 

(264)

 

(66)

Other assets

 

-

 

-

 

-

 

-

Total assets

$

1,680

$

(115)

$

(2,117)

$

(552)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

191

$

(112)

$

79

Derivative liabilities, net

 

(52)

 

1

 

(20)

 

(71)

Fortitude Re funds withheld payable

 

-

 

-

 

(173)

 

(173)

Total liabilities

$

(52)

$

192

$

(305)

$

(165)

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

145

$

(2)

$

(6)

$

137

Non-U.S. governments

 

-

 

-

 

-

 

-

Corporate debt

 

112

 

(5)

 

(100)

 

7

RMBS

 

336

 

-

 

(559)

 

(223)

CMBS

 

53

 

(2)

 

(7)

 

44

CDO/ABS

 

225

 

(22)

 

(156)

 

47

Total bonds available for sale

 

871

 

(31)

 

(828)

 

12

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

25

 

-

 

(5)

 

20

CMBS

 

-

 

-

 

(1)

 

(1)

CDO/ABS

 

35

 

(579)

 

(450)

 

(994)

Total other bond securities

 

60

 

(579)

 

(456)

 

(975)

Equity securities

 

10

 

-

 

-

 

10

Other invested assets

 

174

 

-

 

(45)

 

129

Other assets

 

-

 

-

 

5

 

5

Total assets

$

1,115

$

(610)

$

(1,324)

$

(819)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

222

$

(150)

$

72

Derivative liabilities, net

 

(15)

 

8

 

48

 

41

Total liabilities

$

(15)

$

230

$

(102)

$

113

(a)There were no issuances during the three-month periods ended March 31, 2021 and 2020.
Significant unobservable inputs used for recurring fair value measurements

 

Fair Value at

 

 

 

 

March 31,

Valuation

 

Range

(in millions)

2021

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,504

Discounted cash flow

Yield

3.22% - 3.82% (3.52%)

 

 

 

 

 

 

Corporate debt

 

1,682

Discounted cash flow

Yield

2.29% - 7.33% (4.81%)

 

 

 

 

 

 

RMBS(a)

 

10,933

Discounted cash flow

Constant prepayment rate

3.75% - 14.76% (9.26%)

 

 

 

 

Loss severity

28.90% - 75.98% (52.44%)

 

 

 

 

Constant default rate

1.19% - 7.62% (4.41%)

 

 

 

 

Yield

1.73% - 4.13% (2.93%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,361

Discounted cash flow

Yield

1.95% - 4.82% (3.38%)

 

 

 

 

 

 

CMBS

 

556

Discounted cash flow

Yield

1.44% - 6.30% (3.83%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Variable annuity guaranteed minimum withdrawal benefits (GMWB)

 

1,884

Discounted cash flow

Equity volatility

6.35% - 50.15%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

50.00% - 143.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.10% - 1.38%

 

 

 

 

 

 

Index annuities including certain GMWB

 

5,076

Discounted cash flow

Lapse rate

0.38% - 50.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

80.00% - 100.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.10% - 1.38%

 

 

 

 

 

 

Indexed life

 

614

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.10% - 1.38%

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2020

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,670

Discounted cash flow

Yield

2.82% - 3.39% (3.11%)

 

 

 

 

 

 

Corporate debt

 

1,591

Discounted cash flow

Yield

2.13% - 7.82% (4.97%)

 

 

 

 

 

 

RMBS(a)

 

11,297

Discounted cash flow

Constant prepayment rate

3.90% - 11.99% (7.94%)

 

 

 

 

Loss severity

30.08% - 78.49% (54.29%)

 

 

 

 

Constant default rate

1.45% - 6.19% (3.82%)

 

 

 

 

Yield

1.69% - 4.25% (2.97%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,324

Discounted cash flow

Yield

1.93% - 4.85% (3.39%)

 

 

 

 

 

 

CMBS

 

541

Discounted cash flow

Yield

0.92% - 5.89% (3.40%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

GMWB

 

3,572

Discounted cash flow

Equity volatility

6.45% - 50.85%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

50.00% - 143.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

 

 

 

 

 

 

Index annuities including certain

 

 

 

 

 

GMWB

 

5,538

Discounted cash flow

Lapse rate

0.38% - 50.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

80.00% - 100.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

 

 

 

 

 

 

Indexed life

 

649

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.06% - 1.48%

(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 modified coinsurance (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 March 31, 2021 and December 31, 2020 was approximately $694 million and $726 million, respectively. The remaining guaranteed minimum riders on the index annuities are valued under the accounting guidance for certain nontraditional long-duration contracts.
Investments in certain entities carried at fair value using net asset value per share

 

 

March 31, 2021

 

December 31, 2020

 

 

 

Fair Value

 

 

 

Fair Value

 

 

 

 

 

Using NAV

 

 

 

Using NAV

 

 

 

 

 

Per Share (or

 

Unfunded

 

Per Share (or

 

Unfunded

(in millions)

Investment Category Includes

 

its equivalent)

Commitments

 

its equivalent)

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

$

1,950

$

1,869

 

$

1,752

$

1,960

 

 

 

 

 

 

 

 

 

 

 

Real assets

Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets

 

927

 

540

 

 

908

 

445

 

 

 

 

 

 

 

 

 

 

 

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

 

213

 

201

 

 

167

 

171

 

 

 

 

 

 

 

 

 

 

 

Growth equity

Funds that make investments in established companies for the purpose of growing their businesses

 

782

 

59

 

 

703

 

55

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

Funds that make investments in the junior debt and equity securities of leveraged companies

 

393

 

184

 

 

400

 

155

 

 

 

 

 

 

 

 

 

 

 

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

 

733

 

378

 

 

683

 

365

Total private equity funds

 

4,998

 

3,231

 

 

4,613

 

3,151

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations

 

429

 

-

 

 

411

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk

 

325

 

-

 

 

361

 

-

 

 

 

 

 

 

 

 

 

 

 

Macro

Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions

 

653

 

-

 

 

807

 

-

 

 

 

 

 

 

 

 

 

 

 

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

 

310

 

1

 

 

301

 

1

Total hedge funds

 

 

1,717

 

1

 

 

1,880

 

1

Total

 

$

6,715

$

3,232

 

$

6,493

$

3,152
Gains or losses related to the eligible instruments for which AIG elected the fair value option

Three Months Ended March 31,

 

 

Gain (Loss)

(in millions)

 

 

 

2021

 

2020

Assets:

 

 

 

 

 

 

Bond and equity securities

 

 

$

(99)

$

(60)

Alternative investments(a)

 

 

 

417

 

(139)

Liabilities:

 

 

 

 

 

 

Long-term debt(b)

 

 

 

71

 

(203)

Total gain (loss)

 

 

$

389

$

(402)

(a) Includes certain hedge funds, private equity funds and other investment partnerships.

(b) Includes GIAs, notes, bonds and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

March 31, 2021

 

December 31, 2020

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

2,015

$

1,452

$

563

 

$

2,097

$

1,479

$

618

*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges

 

 

 

 

Assets at Fair Value

 

Impairment Charges

 

 

 

 

Non-Recurring Basis

 

Three Months Ended March 31,

(in millions)

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

2021

 

2020

March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

$

-

$

-

$

89

$

89

 

$

6

$

11

Other assets

 

 

 

-

 

-

 

-

 

-

 

 

-

 

12

Total

 

 

$

-

$

-

$

89

$

89

 

$

6

$

23

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

$

-

$

-

$

376

$

376

 

 

 

 

 

Other assets

 

 

 

-

 

-

 

28

 

28

 

 

 

 

 

Total

 

 

$

-

$

-

$

404

$

404

 

 

 

 

 
Carrying values and estimated fair values of AIG's financial instruments

 

Estimated Fair Value

 

Carrying

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Value

March 31, 2021

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

91

$

47,635

$

47,726

$

45,468

Other invested assets

 

-

 

830

 

6

 

836

 

836

Short-term investments

 

-

 

10,028

 

-

 

10,028

 

10,028

Cash

 

2,796

 

-

 

-

 

2,796

 

2,796

Other assets

 

223

 

15

 

-

 

238

 

238

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

202

 

142,655

 

142,857

 

130,953

Fortitude Re funds withheld payable

 

-

 

-

 

36,694

 

36,694

 

36,694

Other liabilities

 

-

 

3,683

 

-

 

3,683

 

3,683

Long-term debt

 

-

 

27,015

 

357

 

27,372

 

24,417

Debt of consolidated investment entities

 

-

 

1,917

 

7,480

 

9,397

 

9,216

Separate account liabilities - investment contracts

 

-

 

97,926

 

-

 

97,926

 

97,926

December 31, 2020

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

95

$

48,541

$

48,636

$

45,562

Other invested assets

 

-

 

837

 

6

 

843

 

843

Short-term investments

 

-

 

12,235

 

-

 

12,235

 

12,235

Cash

 

2,827

 

-

 

-

 

2,827

 

2,827

Other assets

 

209

 

14

 

-

 

223

 

223

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

214

 

144,357

 

144,571

 

130,435

Fortitude Re funds withheld payable

 

-

 

-

 

37,018

 

37,018

 

37,018

Other liabilities

 

-

 

3,695

 

-

 

3,695

 

3,695

Long-term debt

 

-

 

30,310

 

365

 

30,675

 

26,006

Debt of consolidated investment entities

 

-

 

1,746

 

7,965

 

9,711

 

9,431

Separate account liabilities - investment contracts

 

-

 

95,610

 

-

 

95,610

 

95,610