INVESTMENTS

12 Months Ended

Dec. 31, 2021

INVESTMENTS

INVESTMENTS

5. Investments

Fixed Maturity Securities

Bonds held to maturity are carried at amortized cost when we have the ability and positive intent to hold these securities until maturity. When we do not have the ability or positive intent to hold bonds until maturity, these securities are classified as available for sale or are measured at fair value at our election. None of our fixed maturity securities met the criteria for held to maturity classification at December 31, 2021 or 2020.

Unrealized gains and losses from available for sale investments in fixed maturity securities carried at fair value were reported as a separate component of AOCI, net of policy related amounts and deferred income taxes, in shareholders’ equity. Realized and unrealized gains and losses from fixed maturity securities measured at fair value at our election are reflected in Net investment income. Investments in fixed maturity securities are recorded on a trade-date basis.

Interest income is recognized using the effective yield method and reflects amortization of premium and accretion of discount. Premiums and discounts arising from the purchase of bonds classified as available for sale are treated as yield adjustments over their estimated holding periods, until maturity, or call date, if applicable. For investments in certain structured securities, recognized yields are updated based on current information regarding the timing and amount of expected undiscounted future cash flows. For high credit quality structured securities, effective yields are recalculated based on actual payments received and updated prepayment expectations, and the amortized cost is adjusted to the amount that would have existed had the new effective yield been applied since acquisition with a corresponding charge or credit to net investment income. For structured securities that are not high credit quality, the structured securities yields are based on expected cash flows which take into account both expected credit losses and prepayments.

An allowance for credit losses is not established upon initial recognition of the asset (unless the security is determined to be a purchased credit deteriorated (PCD) asset which is discussed in more detail below). Subsequently, differences between actual and expected cash flows and changes in expected cash flows are recognized as adjustments to the allowance for credit losses. Changes that cannot be reflected as adjustments to the allowance for credit losses are accounted for as prospective adjustments to yield.

Securities Available for Sale

The following table presents the amortized cost or cost and fair value of our available for sale securities:

December 31, 2021				Allowance		Gross		Gross
		Amortized		for Credit		Unrealized		Unrealized		Fair
(in millions)		Cost		Losses(a)		Gains		Losses		Value
Bonds available for sale:
U.S. government and government sponsored entities	$	7,874	$	-	$	347	$	(27)	$	8,194
Obligations of states, municipalities and political subdivisions		12,760		-		1,782		(15)		14,527
Non-U.S. governments		15,858		-		719		(247)		16,330
Corporate debt		163,064		(89)		13,892		(1,259)		175,608
Mortgage-backed, asset-backed and collateralized:
RMBS		25,027		(9)		2,422		(153)		27,287
CMBS		15,333		-		555		(79)		15,809
CDO/ABS		19,294		-		276		(123)		19,447
Total mortgage-backed, asset-backed and collateralized		59,654		(9)		3,253		(355)		62,543
Total bonds available for sale(b)	$	259,210	$	(98)	$	19,993	$	(1,903)	$	277,202
December 31, 2020
Bonds available for sale:
U.S. government and government sponsored entities	$	3,640	$	-	$	503	$	(17)	$	4,126
Obligations of states, municipalities and political subdivisions		13,915		-		2,216		(7)		16,124
Non-U.S. governments		14,231		(4)		1,181		(63)		15,345
Corporate debt		150,111		(164)		19,905		(554)		169,298
Mortgage-backed, asset-backed and collateralized:
RMBS		28,551		(16)		3,000		(70)		31,465
CMBS		15,182		(1)		1,023		(71)		16,133
CDO/ABS		18,707		(1)		425		(126)		19,005
Total mortgage-backed, asset-backed and collateralized		62,440		(18)		4,448		(267)		66,603
Total bonds available for sale(b)	$	244,337	$	(186)	$	28,253	$	(908)	$	271,496

(a)Represents the allowance for credit losses that has been recognized. Changes in the allowance for credit losses are recorded through Net realized gains (losses) and are not recognized in Other comprehensive income (loss). (b)At December 31, 2021 and 2020, bonds available for sale held by us that were below investment grade or not rated totaled $27.0 billion and $28.2 billion, respectively.

Securities Available for Sale in a Loss Position for Which No Allowance for Credit Loss Has Been Recorded

The following table summarizes the fair value and gross unrealized losses on our available for sale securities, aggregated by major investment category and length of time that individual securities have been in a continuous unrealized loss position for which no allowance for credit loss has been recorded:

	Less than 12 Months				12 Months or More				Total
				Gross				Gross				Gross
		Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
(in millions)		Value		Losses		Value		Losses		Value		Losses
December 31, 2,021.0
Bonds available for sale:
U.S. government and government sponsored entities	$	3,696	$	14	$	447	$	13	$	4,143	$	27
Obligations of states, municipalities and political
subdivisions		714		11		57		4		771		15
Non-U.S. governments		4,644		115		1,324		132		5,968		247
Corporate debt		31,914		720		8,819		467		40,733		1,187
RMBS		5,362		102		1,154		46		6,516		148
CMBS		3,980		63		153		16		4,133		79
CDO/ABS		8,263		112		339		11		8,602		123
Total bonds available for sale	$	58,573	$	1,137	$	12,293	$	689	$	70,866	$	1,826

December 31, 2020
Bonds available for sale:
U.S. government and government sponsored entities	$	649	$	17	$	-	$	-	$	649	$	17
Obligations of states, municipalities and political
subdivisions		267		4		78		3		345		7
Non-U.S. governments		1,287		28		262		33		1,549		61
Corporate debt		11,715		348		1,283		81		12,998		429
RMBS		3,486		40		282		18		3,768		58
CMBS		1,644		58		346		12		1,990		70
CDO/ABS		5,456		81		3,063		45		8,519		126
Total bonds available for sale	$	24,504	$	576	$	5,314	$	192	$	29,818	$	768

At December 31, 2021, we held 15,029 individual fixed maturity securities that were in an unrealized loss position and for which no allowance for credit losses has been recorded (including 2,644 individual fixed maturity securities that were in a continuous unrealized loss position for 12 months or more). At December 31, 2020, we held 5,105 individual fixed maturity securities that were in an unrealized loss position and for which no allowance for credit losses has been recorded (including 949 individual fixed maturity securities that were in a continuous unrealized loss position for 12 months or more). We did not recognize the unrealized losses in earnings on these fixed maturity securities at December 31, 2021 because it was determined that such losses were due to non-credit factors. Additionally, we neither intend to sell the securities nor do we believe that it is more likely than not that we will be required to sell these securities before recovery of their amortized cost basis. For fixed maturity securities with significant declines, we performed fundamental credit analyses on a security-by-security basis, which included consideration of credit enhancements, liquidity position, expected defaults, industry and sector analysis, forecasts and available market data.

Contractual Maturities of Fixed Maturity Securities Available for Sale

The following table presents the amortized cost and fair value of fixed maturity securities available for sale by contractual maturity:

	Total Fixed Maturity Securities
	Available for Sale
		Amortized Cost,
(in millions)		Net of Allowance		Fair Value
December 31, 2021
Due in one year or less	$	7,582	$	7,634
Due after one year through five years		48,204		49,347
Due after five years through ten years		46,218		48,587
Due after ten years		97,463		109,091
Mortgage-backed, asset-backed and collateralized		59,645		62,543
Total	$	259,112	$	277,202

Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties.The following table presents the gross realized gains and gross realized losses from sales or maturities of our available for sale securities:

	Years Ended December 31,
		2021				2020				2019
		Gross		Gross		Gross		Gross	Gross		Gross
	Realized		Realized		Realized		Realized		Realized		Realized
(in millions)		Gains		Losses		Gains		Losses	Gains		Losses
Fixed maturity securities	$	1,369	$	441	$	1,824	$	810	$	650	$	330

For the years ended December 31, 2021 and 2020, the aggregate fair value of available for sale securities sold was $27.3 billion and $23.0 billion, respectively, which resulted in net realized gains (losses) of $928 million and $1.0 billion, respectively. Included within the net realized gains (losses) are $717 million and $707 million of net realized gains (losses) for the years ended December 31, 2021 and 2020, respectively, which relate to Fortitude Re funds withheld assets. These net realized gains (losses) are included in Net realized gains (losses) on Fortitude Re funds withheld assets.

For the year ended December 31, 2019, the aggregate fair value of available for sale securities sold was $22.0 billion, which resulted in net realized gains of $320 million.

Other Securities Measured at Fair Value

The following table presents the fair value of fixed maturity securities measured at fair value based on our election of the fair value option, which are reported in the other bond securities caption in the financial statements, and equity securities measured at fair value:

		December 31, 2021				December 31, 2020
		Fair	Percent			Fair	Percent
(in millions)		Value	of Total			Value	of Total
Fixed maturity securities:
U.S. government and government sponsored entities	$	1,750	25	%	$	1,845	29	%
Obligations of states, municipalities and political subdivisions		97	1			-	-
Non-U.S. governments		76	1			-	-
Corporate debt		1,050	15			12	-
Mortgage-backed, asset-backed and collateralized:
RMBS		411	6			429	7
CMBS		315	4			320	5
CDO/ABS and other collateralized		2,579	37			2,685	42
Total mortgage-backed, asset-backed and collateralized		3,305	47			3,434	54
Total fixed maturity securities		6,278	89			5,291	83
Equity securities		739	11			1,056	17
Total	$	7,017	100	%	$	6,347	100	%

Other Invested Assets

The following table summarizes the carrying amounts of other invested assets:

		December 31,		December 31,
(in millions)		2021		2020
Alternative investments(a) (b)	$	10,951	$	9,572
Investment real estate(c)		2,727		7,930
All other investments(d)		1,990		1,558
Total	$	15,668	$	19,060

(a)At December 31, 2021, included hedge funds of $2.0 billion and private equity funds of $8.9 billion. At December 31, 2020, included hedge funds of $2.3 billion, private equity funds of $7.0 billion, and unconsolidated affordable housing partnerships of $257 million.

(b) At December 31, 2021, approximately 62 percent of our hedge fund portfolio is available for redemption in 2022. The remaining 38 percent will be available for redemption between 2023 and 2028.

(c) Represents values net of accumulated depreciation. At December 31, 2021 and 2020, the accumulated depreciation was $778 million and $756 million, respectively, excluding depreciation related to our affordable housing portfolio that has been sold.

(d) Includes AIG’s 3.5 percent ownership interest in Fortitude Holdings which is recorded using the measurement alternative for equity securities and is carried at cost, which was $100 million as of December 31, 2021 and 2020.

Other Invested Assets Carried at Fair Value

Certain hedge funds, private equity funds, and other investment partnerships for which we have elected the fair value option are reported at fair value with changes in fair value recognized in Net investment income.

Other Invested Assets – Equity Method Investments

We account for hedge funds, private equity funds, affordable housing partnerships and other investment partnerships using the equity method of accounting unless our interest is so minor that we may have virtually no influence over partnership operating and financial policies, or we have elected the fair value option. Under the equity method of accounting, our carrying amount generally is our share of the net asset value of the funds or the partnerships, and changes in our share of the net asset values are recorded in Net investment income. In applying the equity method of accounting, we consistently use the most recently available financial information provided by the general partner or manager of each of these investments. Hedge funds are reported as of the balance sheet date. Private equity funds are generally reported on a one-quarter lag. The financial statements of these investees are generally audited annually.

Summarized Financial Information of Equity Method Investees

The following is the aggregated summarized financial information of our equity method investees, including those for which the fair value option has been elected:

Years Ended December 31,
(in millions)		2021		2020		2019
Operating results:
Total revenues	$	31,560	$	13,090	$	8,045
Total expenses		(2,241)		(2,897)		(3,115)
Net income	$	29,319	$	10,193	$	4,930
At December 31,
(in millions)				2021		2020
Balance sheet:
Total assets			$	105,837	$	85,083
Total liabilities			$	(12,779)	$	(10,462)

The following table presents the carrying amount and ownership percentage of equity method investments at December 31, 2021 and 2020:

		2021			2020
		Carrying	Ownership		Carrying	Ownership
(in millions)		Value	Percentage		Value	Percentage
Equity method investments	$	5,145	Various	$	4,548	Various

Summarized financial information for these equity method investees may be presented on a lag, due to the unavailability of information for the investees at our respective balance sheet dates, and is included for the periods in which we held an equity method ownership interest.

Other Investments

Also included in Other invested assets are real estate held for investment. These investments are reported at cost, less depreciation and are subject to impairment review, as discussed below.

Net Investment Income

Net investment income represents income primarily from the following sources:

 Interest income and related expenses, including amortization of premiums and accretion of discounts with changes in the timing and the amount of expected principal and interest cash flows reflected in yield, as applicable.

 Dividend income from common and preferred stocks.

 Realized and unrealized gains and losses from investments in other securities and investments for which we elected the fair value option.

 Earnings from alternative investments.

 Prepayment premiums.

The following table presents the components of Net investment income:

Years Ended December 31,	2021						2020						2019
		Excluding	Fortitude Re				Excluding		Fortitude Re
	Fortitude		Funds				Fortitude		Funds
	Re Funds		Withheld				Re Funds		Withheld
(in millions)	Withheld Assets		Assets		Total		Withheld Assets		Assets		Total		Total
Available for sale fixed maturity securities,
including short-term investments	$	8,583	$	1,468	$	10,051	$	9,508	$	851	$	10,359	$	10,768
Other fixed maturity securities(a)		(19)		7		(12)		540		13		553		1,015
Equity securities		(237)		-		(237)		200		-		200		159
Interest on mortgage and other loans		1,745		207		1,952		1,883		106		1,989		2,030
Alternative investments(b)		2,579		321		2,900		913		99		1,012		1,088
Real estate		225		-		225		195		-		195		304
Other investments(c)		250		5		255		(120)		1		(119)		(220)
Total investment income		13,126		2,008		15,134		13,119		1,070		14,189		15,144
Investment expenses		485		37		522		541		17		558		525
Net investment income	$	12,641	$	1,971	$	14,612	$	12,578	$	1,053	$	13,631	$	14,619

(a)Included in the years ended December 31, 2021, 2020 and 2019 was income (loss) of $(49) million, $195 million and $177 million, respectively, related to fixed maturity securities measured at fair value that economically hedge liabilities described in (c) below.

(b) Included income from hedge funds, private equity funds and affordable housing partnerships. Hedge funds are recorded as of the balance sheet date. Private equity funds are generally reported on a one-quarter lag.

(c) Included in the years ended December 31, 2021, 2020 and 2019 was income (loss) of $65 million, $(162) million and $(161) million, respectively, related to liabilities measured at fair value that are economically hedged with fixed maturity securities as described in (a) above.

Net Realized Gains and Losses

Net realized gains and losses are determined by specific identification. The net realized gains and losses are generated primarily from the following sources:

 Sales of available for sale fixed maturity securities, real estate and other alternative investments.

 Reductions to the amortized cost basis of available for sale fixed maturity securities that have been written down due to our intent to sell them or it being more likely than not that we will be required to sell them.

 Changes in the allowance for credit losses on bonds available for sale, mortgage and other loans receivable, and loans commitments.

 Changes in fair value of free standing and embedded derivatives, including changes in the non-performance adjustment, except for those instruments that are designated as hedging instruments when the change in the fair value of the hedged item is not reported in Net realized gains (losses).

 Foreign exchange gains and losses resulting from foreign currency transactions.

 Changes in fair value of the embedded derivative related to the Fortitude Re funds withheld assets.

The following table presents the components of Net realized gains (losses):

Years Ended December 31,	2021						2020						2019
	Excluding		Fortitude Re				Excluding		Fortitude Re
	Fortitude Re		Funds				Fortitude Re			Funds
	Funds		Withheld				Funds		Withheld
(in millions)	Withheld Assets		Assets			Total	Withheld Assets			Assets		Total		Total
Sales of fixed maturity securities	$	211	$	717	$	928	$	307	$	707	$	1,014	$	320
Other-than-temporary impairments		-		-		-		-		-		-		(174)
Intent to sell(a)		-		-		-		(3)		-		(3)		-
Change in allowance for credit losses on
fixed maturity securities		19		7		26		(270)		(10)		(280)		-
Change in allowance for credit losses on
loans		163		9		172		(105)		2		(103)		(46)
Foreign exchange transactions		16		(5)		11		365		13		378		227
Variable annuity embedded derivatives,
net of related hedges		(39)		-		(39)		166		-		166		(294)
All other derivatives and hedge accounting		179		28		207		(672)		(249)		(921)		(22)
Other(b)		1,202		247		1,449		156		-		156		621
Net realized gains – excluding
Fortitude Re funds withheld
embedded derivative		1,751		1,003		2,754		(56)		463		407		632
Net realized gains (losses) on Fortitude Re
funds withheld embedded derivative		-		(603)		(603)		-		(2,645)		(2,645)		-
Net realized gains (losses)	$	1,751	$	400	$	2,151	$	(56)	$	(2,182)	$	(2,238)	$	632

(a)In 2019, Intent to sell was included in Other-than-temporary impairments. (b)In 2021, primarily includes gains from sale of global real estate investments of $1.1 billion and gains from affordable housing partnerships of $208 million. In 2019, includes $200 million from the sale and concurrent leaseback of our corporate headquarters and $300 million as a result of sales in investment real estate properties.

Change in Unrealized Appreciation (Depreciation) of Investments

The following table presents the increase (decrease) in unrealized appreciation (depreciation) of our available for sale securities and other investments:

Years Ended December 31,
(in millions)		2021		2020
Increase (decrease) in unrealized appreciation (depreciation) of investments:
Fixed maturity securities	$	(9,255)	$	9,489
Other investments		-		2
Total increase (decrease) in unrealized appreciation (depreciation) of investments	$	(9,255)	$	9,491

The following table summarizes the unrealized gains and losses recognized in Net investment income during the reporting period on equity securities and other investments still held at the reporting date:

Years Ended December 31,	2021						2020
				Other						Other
			Invested						Invested
(in millions)	Equities			Assets		Total	Equities			Assets		Total
Net gains (losses) recognized during the period on equity securities and other
investments	$	(237)	$	2,028	$	1,791	$	200	$	832	$	1,032
Less: Net gains (losses) recognized during the period on equity securities and
other investments sold during the year		(180)		114		(66)		(23)		46		23
Unrealized gains (losses) recognized during the reporting period on
equity securities and other investments still held at the reporting date	$	(57)	$	1,914	$	1,857	$	223	$	786	$	1,009

Evaluating Investments for AN ALLOWANCE FOR CREDIT LOSSES/OTHER-than-TEMPORARY IMPAIRMENTS

Fixed Maturity Securities

Subsequent to the adoption of the Financial Instruments Credit Losses Standard on January 1, 2020

If we intend to sell a fixed maturity security or it is more likely than not that we will be required to sell a fixed maturity security before recovery of its amortized cost basis and if the fair value of the security is below amortized cost, an impairment has occurred and the amortized cost is written down to current fair value, with a corresponding charge to Net realized gains (losses). No allowance is established in these situations and any previously recorded allowance is reversed. The new cost basis is not adjusted for subsequent increases in estimated fair value. When assessing our intent to sell a fixed maturity security, or whether it is more likely than not that we will be required to sell a fixed maturity security before recovery of its amortized cost basis, management evaluates relevant facts and circumstances including, but not limited to, decisions to reposition our investment portfolio, sales of securities to meet cash flow needs and sales of securities to take advantage of favorable pricing.

For fixed maturity securities for which a decline in the fair value below the amortized cost is due to credit related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to Net realized gains (losses). The allowance for credit losses is limited to the difference between amortized cost and fair value. The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not associated with credit related factors is presented in unrealized appreciation (depreciation) of fixed maturity securities on which an allowance for credit losses was previously recognized (a separate component of AOCI). Accrued interest is excluded from the measurement of the allowance for credit losses.

When estimating future cash flows for structured fixed maturity securities (e.g., RMBS, CMBS, CDO, ABS) management considers the historical performance of underlying assets and available market information as well as bond-specific structural considerations, such as credit enhancement and the priority of payment structure of the security. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs, which vary by asset class:

 Current delinquency rates;

 Expected default rates and the timing of such defaults;

 Loss severity and the timing of any recovery; and

 Expected prepayment speeds.

When estimating future cash flows for corporate, municipal and sovereign fixed maturity securities determined to be credit impaired, management considers:

 Expected default rates and the timing of such defaults;

 Loss severity and the timing of any recovery; and

 Scenarios specific to the issuer and the security, which may also include estimates of outcomes of corporate restructurings, political and macroeconomic factors, stability and financial strength of the issuer, the value of any secondary sources of repayment and the disposition of assets.

We consider severe price declines in our assessment of potential credit impairments. We may also modify our model inputs when we determine that price movements in certain sectors are indicative of factors not captured by the cash flow models.

Under the current expected credit loss (CECL) model, credit losses are reassessed each period. The allowance for credit losses and the corresponding charge to Net realized gains (losses) can be reversed if conditions change, however, the allowance for credit losses will never be reduced below zero. When we determine that all or a portion of a fixed maturity security is uncollectable, the uncollectable amortized cost amount is written off with a corresponding reduction to the allowance for credit losses. If we collect cash flows that were previously written off, the recovery is recognized by recording a gain in Net realized gains (losses).

Prior to the adoption of the Financial Instruments Credit Losses Standard on January 1, 2020

If we intend to sell a fixed maturity security or it is more likely than not that we will be required to sell a fixed maturity security before recovery of its amortized cost basis and the fair value of the security is below amortized cost, an other-than-temporary impairment has occurred and the amortized cost is written down to current fair value, with a corresponding charge to realized losses. When assessing our intent to sell a fixed maturity security, or whether it is more likely than not that we will be required to sell a fixed maturity security before recovery of its amortized cost basis, management evaluates relevant facts and circumstances including, but not limited to,

decisions to reposition our investment portfolio, sales of securities to meet cash flow needs and sales of securities to take advantage of favorable pricing.

For fixed maturity securities for which a credit impairment has occurred, the amortized cost is written down to the estimated recoverable value with a corresponding charge to realized losses. The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not related to a credit impairment is presented in unrealized appreciation (depreciation) of fixed maturity securities on which other-than-temporary credit impairments were recognized (a separate component of accumulated other comprehensive income).

We consider severe price declines in our assessment of potential credit impairments. We may also modify our model inputs when we determine that price movements in certain sectors are indicative of factors not captured by the cash flow models.

In periods subsequent to the recognition of an other-than-temporary impairment charge for available for sale fixed maturity securities that is not foreign exchange related, we prospectively accrete into earnings the difference between the new amortized cost and the expected undiscounted recoverable value over the remaining expected holding period of the security.

Credit Impairments

The following table presents a rollforward of the changes in allowance for credit losses on available for sale fixed maturity securities by major investment category:

Years Ended December 31,	2021						2020
				Non-						Non-
(in millions)	Structured		Structured			Total	Structured		Structured			Total
Balance, beginning of year*	$	17	$	169	$	186	$	7	$	-	$	7
Additions:
Securities for which allowance for credit losses were not previously recorded		9		56		65		38		290		328
Purchases of available for sale debt securities accounted for as purchased
credit deteriorated assets		-		-		-		26		-		26
Accretion of available for sale debt securities accounted for as purchased
credit deteriorated assets		-		-		-		1		-		1
Reductions:
Securities sold during the period		(4)		(29)		(33)		(5)		(26)		(31)
Addition to (release of) the allowance for credit losses on securities that
had an allowance recorded in a previous period, for which there was
no intent to sell before recovery of amortized cost basis		(14)		(77)		(91)		(50)		33		(17)
Write-offs charged against the allowance		-		(29)		(29)		-		(128)		(128)
Balance, end of year	$	8	$	90	$	98	$	17	$	169	$	186

*The beginning balance incorporates the Day 1 gross up on PCD assets held as of January 1, 2020.

 The following table presents a rollforward of the cumulative credit losses in other-than-temporary impairments recognized in earnings for available for sale fixed maturity securities:

Year Ended December 31,
(in millions)		2019
Balance, beginning of year	$	-
Increases due to:
Credit impairments on new securities subject to impairment losses		136
Additional credit impairments on previously impaired securities		17
Reductions due to:
Credit impaired securities fully disposed for which there was no prior intent or requirement to sell		(64)
Accretion on securities previously impaired due to credit*		(20)
Balance, end of year	$	69

*Represents both accretion recognized due to changes in cash flows expected to be collected over the remaining expected term of the credit impaired securities and the accretion due to the passage of time.

Other Invested Assets

Our equity method investments in private equity funds, hedge funds and other entities are evaluated for impairment each reporting period. Such evaluation considers market conditions, events and volatility that may impact the recoverability of the underlying investments within these private equity funds and hedge funds and is based on the nature of the underlying investments and specific inherent risks. Such risks may evolve based on the nature of the underlying investments.

Our investments in real estate are periodically evaluated for recoverability whenever changes in circumstances indicate the carrying amount of an asset may be impaired. When impairment indicators are present, we compare expected investment cash flows to carrying amount. When the expected cash flows are less than the carrying amount, the investments are written down to fair value with a corresponding charge to earnings.

Purchased Credit Deteriorated Securities

We purchase certain RMBS securities that have experienced more-than-insignificant deterioration in credit quality since origination. These are referred to as PCD assets. At the time of purchase an allowance is recognized for these PCD assets by adding it to the purchase price to arrive at the initial amortized cost. There is no credit loss expense recognized upon acquisition of a PCD asset. When determining the initial allowance for credit losses, management considers the historical performance of underlying assets and available market information as well as bond-specific structural considerations, such as credit enhancement and the priority of payment structure of the security. In addition, the process of estimating future cash flows includes, but is not limited to, the following critical inputs:

 Current delinquency rates;

 Expected default rates and the timing of such defaults;

 Loss severity and the timing of any recovery; and

 Expected prepayment speeds.

Subsequent to the acquisition date, the PCD assets follow the same accounting as other structured securities that are not high credit quality.

We did not purchase securities with more than insignificant credit deterioration since their origination during 2021. During the twelve-month period ended December 31, 2020, we purchased certain securities which had more than insignificant credit deterioration since their origination. These PCD securities are held in the portfolio of bonds available for sale in their natural classes at December 31, 2020.

The following table presents a reconciliation of the purchase price to the unpaid principal balance at the acquisition date of the PCD securities that were purchased with credit deterioration:

Years Ended December 31,
(in millions)		2021		2020
Unpaid principal balance	$	-	$	644
Allowance for expected credit losses at acquisition		-		(26)
Purchase (discount) premium		-		(149)
Purchase price	$	-	$	469

Pledged Investments

Secured Financing and Similar Arrangements

We enter into secured financing transactions whereby certain securities are sold under agreements to repurchase (repurchase agreements), in which we transfer securities in exchange for cash, with an agreement by us to repurchase the same or substantially similar securities. Our secured financing transactions also include those that involve the transfer of securities to financial institutions in exchange for cash (securities lending agreements). In all of these secured financing transactions, the securities transferred by us (pledged collateral) may be sold or repledged by the counterparties. These agreements are recorded at their contracted amounts plus accrued interest, other than those that are accounted for at fair value.

Pledged collateral levels are monitored daily and are generally maintained at an agreed-upon percentage of the fair value of the amounts borrowed during the life of the transactions. In the event of a decline in the fair value of the pledged collateral under these secured financing transactions, we may be required to transfer cash or additional securities as pledged collateral under these agreements. At the termination of the transactions, we and our counterparties are obligated to return the amounts borrowed and the securities transferred, respectively.

The following table presents the fair value of securities pledged to counterparties under secured financing transactions, including repurchase and securities lending agreements:

(in millions)		December 31, 2021		December 31, 2020
Fixed maturity securities available for sale	$	3,583	$	3,636

At December 31, 2021 and 2020, amounts borrowed under repurchase and securities lending agreements totaled $3.7 billion and $3.7 billion, respectively.

The following table presents the fair value of securities pledged under our repurchase agreements by collateral type and by remaining contractual maturity:

	Remaining Contractual Maturity of the Agreements
		Overnight		up to
		and		30		31 - 90		91 - 364		365 days
(in millions)		Continuous		days		days		days		or greater		Total
December 31, 2021
Bonds available for sale:
Non-U.S. governments	$	48	$	-	$	-	$	-	$	-	$	48
Corporate debt		128		61		22		-		-		211
Total	$	176	$	61	$	22	$	-	$	-	$	259
December 31, 2020
Bonds available for sale:
Non-U.S. governments	$	63	$	-	$	-	$	-	$	-	$	63
Corporate debt		96		97		-		-		-		193
Total	$	159	$	97	$	-	$	-	$	-	$	256

The following table presents the fair value of securities pledged under our securities lending agreements by collateral type and by remaining contractual maturity:

	Remaining Contractual Maturity of the Agreements
		Overnight		up to
		and		30		31 - 90		91 - 364		365 days
(in millions)		Continuous		days		days		days		or greater		Total
December 31, 2021
Bonds available for sale:
Obligations of states, municipalities and political
subdivisions	$	-	$	-	$	106	$	-	$	-	$	106
Non-U.S. governments		-		-		43		-		-		43
Corporate debt		-		534		2,641		-		-		3,175
Total	$	-	$	534	$	2,790	$	-	$	-	$	3,324
December 31, 2020
Bonds available for sale:
Obligations of states, municipalities and political
subdivisions	$	-	$	-	$	103	$	-	$	-	$	103
Corporate debt		-		982		2,295		-		-		3,277
Total	$	-	$	982	$	2,398	$	-	$	-	$	3,380

We also enter into reverse repurchase agreements, which are accounted for as secured financing transactions and reported as short-term investments or other assets, depending on their terms. These agreements are recorded at their contracted resale amounts plus accrued interest, other than those that are accounted for at fair value. In all reverse repurchase transactions, we take possession of or obtain a security interest in the related securities, and we have the right to sell or repledge this collateral received.

The following table presents information on the fair value of securities pledged to us under reverse repurchase agreements:

(in millions)		December 31, 2021		December 31, 2020
Securities collateral pledged to us	$	1,839	$	5,359

At December 31, 2021 and December 31, 2020, the carrying value of reverse repurchase agreements totaled $1.9 billion and $5.4 billion, respectively.

We do not currently offset any secured financing transactions. All such transactions are collateralized and margined on a daily basis consistent with market standards and subject to enforceable master netting arrangements with rights of set off.

Insurance – Statutory and Other Deposits

The total carrying value of cash and securities deposited by our insurance subsidiaries under requirements of regulatory authorities or other insurance-related arrangements, including certain annuity-related obligations and certain reinsurance contracts, was $13.5 billion and $11.2 billion at December 31, 2021 and 2020, respectively.

Other Pledges and Restrictions

Certain of our subsidiaries are members of Federal Home Loan Banks (FHLBs) and such membership requires the members to own stock in these FHLBs. We owned an aggregate of $211 million and $191 million of stock in FHLBs at December 31, 2021 and 2020, respectively. In addition, our subsidiaries have pledged securities available for sale and residential loans associated with borrowings and funding agreements from FHLBs, with a fair value of $5.1 billion and $1.5 billion, respectively, at December 31, 2021 and $5.7 billion and $1.2 billion, respectively, at December 31, 2020.

Certain GIAs have provisions that require collateral to be posted or payments to be made by us upon a downgrade of our long-term debt ratings. The actual amount of collateral required to be posted to the counterparties in the event of such downgrades, and the aggregate amount of payments that we could be required to make, depend on market conditions, the fair value of outstanding affected transactions and other factors prevailing at and after the time of the downgrade. The fair value of securities pledged as collateral with respect to these obligations was approximately $1.4 billion and $1.5 billion at December 31, 2021 and 2020, respectively. This collateral primarily consists of securities of the U.S. government and government-sponsored entities and generally cannot be repledged or resold by the counterparties.

Investments held in escrow accounts or otherwise subject to restriction as to their use were $514 million and $494 million, comprised of bonds available for sale and short-term investments at December 31, 2021 and 2020, respectively.

Reinsurance transactions between AIG and Fortitude Re were structured as modco and loss portfolio transfer arrangements with funds withheld. Following closing of the Majority Interest Fortitude Sale, a portion of the proceeds were contributed to AIG subsidiaries.

For additional information on the sale of Fortitude Holdings see Note 1 and Note 7.