AMERICAN INTERNATIONAL GROUP INC

For the period ended Mar 31, 2024. Filed May 2, 2024.

About this filing

A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 2, 2024

AIG$77.75-3.9%Stored close · as of Nov 6, 2026

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Contents

Fair Value Measurements

Fair Value Measurements

FAIR VALUE MEASUREMENTS ON A RECURRING BASIS

Assets and liabilities recorded at fair value in the Condensed Consolidated Balance Sheets are measured and classified in accordance with a fair value hierarchy consisting of three “levels” based on the observability of valuation inputs:

Level 1: Fair value measurements based on quoted prices (unadjusted) in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets. We do not adjust the quoted price for such instruments.

Level 2: Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals.

Level 3: Fair value measurements based on valuation techniques that use significant inputs that are unobservable. Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability. Therefore, we must make certain assumptions about the inputs a hypothetical market participant would use to value that asset or liability.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

AIG \| First Quarter 2024 Form 10-Q	13

ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS

The following table presents information about assets and liabilities measured at fair value on a recurring basis and indicates the level of the fair value measurement based on the observability of the inputs used:

March 31, 2024	Level 1	Level 2	Level 3	CounterpartyNetting(a)	CashCollateral	Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$25	$5,764	$—	$—	$—	$5,789
Obligations of states, municipalities and political subdivisions	—	9,260	833	—	—	10,093
Non-U.S. governments	163	11,798	7	—	—	11,968
Corporate debt	—	133,861	1,957	—	—	135,818
RMBS	—	13,308	8,113	—	—	21,421
CMBS	—	13,898	590	—	—	14,488
CLO/ABS	—	14,864	18,046	—	—	32,910
Total bonds available for sale	188	202,753	29,546	—	—	232,487
Other bond securities:
Obligations of states, municipalities and political subdivisions	—	89	1	—	—	90
Non-U.S. governments	—	39	—	—	—	39
Corporate debt	—	2,775	222	—	—	2,997
RMBS	—	113	160	—	—	273
CMBS	—	266	17	—	—	283
CLO/ABS	—	560	1,161	—	—	1,721
Total other bond securities	—	3,842	1,561	—	—	5,403
Equity securities	727	12	58	—	—	797
Other invested assets(b)	—	134	1,854	—	—	1,988
Derivative assets(c):
Interest rate contracts	—	3,074	410	—	—	3,484
Foreign exchange contracts	—	1,235	1	—	—	1,236
Equity contracts	—	1,805	1,073	—	—	2,878
Credit contracts	—	78	33	—	—	111
Other contracts	—	—	13	—	—	13
Counterparty netting and cash collateral	—	—	—	(4,545)	(2,601)	(7,146)
Total derivative assets	—	6,192	1,530	(4,545)	(2,601)	576
Short-term investments	2,969	5,518	—	—	—	8,487
Market risk benefit assets	—	—	1,172	—	—	1,172
Other assets(c)	—	—	129	—	—	129
Separate account assets	91,859	3,314	—	—	—	95,173
Total(d)	$95,743	$221,765	$35,850	$(4,545)	$(2,601)	$346,212
Liabilities:
Policyholder contract deposits	$—	$63	$8,550	$—	$—	$8,613
Market risk benefit liabilities	—	—	5,167	—	—	5,167
Derivative liabilities(c):
Interest rate contracts	—	3,379	—	—	—	3,379
Foreign exchange contracts	—	624	3	—	—	627
Equity contracts	—	1,175	54	—	—	1,229
Credit contracts	—	3	33	—	—	36
Other contracts	—	—	1	—	—	1
Counterparty netting and cash collateral	—	—	—	(4,545)	(326)	(4,871)
Total derivative liabilities	—	5,181	91	(4,545)	(326)	401
Fortitude Re funds withheld payable	—	—	(1,364)	—	—	(1,364)
Other liabilities	—	—	92	—	—	92
Long-term debt	—	68	—	—	—	68
Total	$—	$5,312	$12,536	$(4,545)	$(326)	$12,977

14	AIG \| First Quarter 2024 Form 10-Q

December 31, 2023	Level 1	Level 2	Level 3	CounterpartyNetting(a)	CashCollateral	Total
(in millions)
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$35	$5,581	$—	$—	$—	$5,616
Obligations of states, municipalities and political subdivisions	—	9,816	847	—	—	10,663
Non-U.S. governments	233	12,213	7	—	—	12,453
Corporate debt	—	136,753	1,679	—	—	138,432
RMBS	—	12,804	7,640	—	—	20,444
CMBS	—	13,495	633	—	—	14,128
CLO/ABS	—	13,959	16,038	—	—	29,997
Total bonds available for sale	268	204,621	26,844	—	—	231,733
Other bond securities:
Obligations of states, municipalities and political subdivisions	—	90	1	—	—	91
Non-U.S. governments	—	37	—	—	—	37
Corporate debt	—	2,697	211	—	—	2,908
RMBS	—	105	158	—	—	263
CMBS	—	244	17	—	—	261
CLO/ABS	—	512	1,169	—	—	1,681
Total other bond securities	—	3,685	1,556	—	—	5,241
Equity securities	632	40	56	—	—	728
Other invested assets (b)	—	155	2,070	—	—	2,225
Derivative assets(c):
Interest rate contracts	—	2,826	460	—	—	3,286
Foreign exchange contracts	—	1,235	1	—	—	1,236
Equity contracts	7	1,187	825	—	—	2,019
Credit contracts	—	8	33	—	—	41
Other contracts	—	—	13	—	—	13
Counterparty netting and cash collateral	—	—	—	(3,864)	(2,220)	(6,084)
Total derivative assets	7	5,256	1,332	(3,864)	(2,220)	511
Short-term investments	2,635	8,137	—	—	—	10,772
Market risk benefit assets	—	—	912	—	—	912
Other assets(c)	—	—	243	—	—	243
Separate account assets	87,814	3,191	—	—	—	91,005
Total(d)	$91,356	$225,085	$33,013	$(3,864)	$(2,220)	$343,370
Liabilities:
Policyholder contract deposits	$—	$55	$7,942	$—	$—	$7,997
Market risk benefit liabilities	—	—	5,705	—	—	5,705
Derivative liabilities(c):
Interest rate contracts	—	3,631	—	—	—	3,631
Foreign exchange contracts	—	891	3	—	—	894
Equity contracts	2	680	63	—	—	745
Credit contracts	—	4	33	—	—	37
Other contracts	—	—	2	—	—	2
Counterparty netting and cash collateral	—	—	—	(3,864)	(1,050)	(4,914)
Total derivative liabilities	2	5,206	101	(3,864)	(1,050)	395
Fortitude Re funds withheld payable	—	—	(1,226)	—	—	(1,226)
Other liabilities	—	107	122	—	—	229
Long-term debt	—	53	—	—	—	53
Total	$2	$5,421	$12,644	$(3,864)	$(1,050)	$13,153

(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 $9.5 billion and $9.5 billion as of March 31, 2024 and December 31, 2023, respectively.

(c)Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.

(d)Excludes $176 million and $182 million as of March 31, 2024 and December 31, 2023, respectively, of assets reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

AIG \| First Quarter 2024 Form 10-Q	15

CHANGES IN LEVEL 3 RECURRING FAIR VALUE MEASUREMENTS

The following tables present changes during the three months ended March 31, 2024 and 2023 in Level 3 assets and liabilities measured at fair value on a recurring basis, and the realized and unrealized gains (losses) related to the Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets at March 31, 2024 and 2023:

(in millions)	Fair ValueBeginning of Year	MRBs and Net RealizedandUnrealizedGains(Losses)Includedin Income	OtherComprehensiveIncome (Loss)	Purchases, Sales,IssuancesandSettlements,Net	GrossTransfersIn	GrossTransfersOut	Other	FairValueEnd ofPeriod	Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period	Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$847	$—	$(14)	$—	$—	$—	$—	$833	$—	$(16)
Non-U.S. governments	7	—	—	—	—	—	—	7	—	—
Corporate debt	1,679	2	1	(29)	342	(38)	—	1,957	—	(4)
RMBS	7,640	90	93	329	—	(39)	—	8,113	—	89
CMBS	633	(5)	46	(103)	144	(125)	—	590	—	11
CLO/ABS	16,038	55	168	1,274	677	(166)	—	18,046	—	164
Total bonds available for sale	26,844	142	294	1,471	1,163	(368)	—	29,546	—	244
Other bond securities:
Obligations of states, municipalities and political subdivisions	1	—	—	—	—	—	—	1	—	—
Corporate debt	211	8	—	—	3	—	—	222	8	—
RMBS	158	3	—	(1)	—	—	—	160	2	—
CMBS	17	—	—	—	—	—	—	17	—	—
CLO/ABS	1,169	14	—	(20)	—	(2)	—	1,161	3	—
Total other bond securities	1,556	25	—	(21)	3	(2)	—	1,561	13	—
Equity securities	56	3	—	—	—	(1)	—	58	3	—
Other invested assets	2,070	(92)	(8)	(33)	—	(57)	(26)	1,854	(90)	—
Other assets	243	—	—	(114)	—	—	—	129	—	—
Total(a)	$30,769	$78	$286	$1,303	$1,166	$(428)	$(26)	$33,148	$(74)	$244
(in millions)	Fair ValueBeginning of Year	MRBs and NetRealizedandUnrealized(Gains)LossesIncludedin Income	OtherComprehensiveIncome (Loss)	Purchases, Sales,IssuancesandSettlements,Net	GrossTransfersIn	GrossTransfersOut	Other	FairValueEnd ofPeriod	Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period	Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period
Liabilities:
Policyholder contract deposits	$7,942	$452	$—	$156	$—	$—	$—	$8,550	$(3)	$—
Derivative liabilities, net:
Interest rate contracts	(460)	103	—	(53)	—	—	—	(410)	193	—
Foreign exchange contracts	2	—	—	—	—	—	—	2	—	—
Equity contracts	(762)	(192)	—	(65)	—	—	—	(1,019)	187	—
Other contracts	(11)	(16)	—	15	—	—	—	(12)	16	—
Total derivative liabilities, net(b)	(1,231)	(105)	—	(103)	—	—	—	(1,439)	396	—
Fortitude Re funds withheld payable	(1,226)	(13)	—	(125)	—	—	—	(1,364)	209	—
Other Liabilities	122	(30)	—	—	—	—	—	92	—	—
Total(c)	$5,607	$304	$—	$(72)	$—	$—	$—	$5,839	$602	$—

16	AIG \| First Quarter 2024 Form 10-Q

(in millions)	Fair ValueBeginning of Year	MRBs and Net RealizedandUnrealizedGains(Losses)Includedin Income	OtherComprehensiveIncome (Loss)	Purchases, Sales,IssuancesandSettlements,Net	GrossTransfersIn	GrossTransfersOut	Other	FairValueEnd ofPeriod	Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period	Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat End of Period
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$824	$1	$55	$(7)	$—	$—	$—	$873	$—	$44
Non-U.S. governments	1	1	—	—	7	—	—	9	—	—
Corporate debt	2,847	(102)	51	(201)	274	(421)	(16)	2,432	—	50
RMBS	7,553	109	(70)	10	—	(21)	—	7,581	—	(98)
CMBS	926	7	(3)	1	34	(27)	—	938	—	(34)
CLO/ABS	12,748	50	271	840	58	(102)	24	13,889	—	229
Total bonds available for sale	24,899	66	304	643	373	(571)	8	25,722	—	191
Other bond securities:
Obligations of states, municipalities and political subdivisions	—	—	—	1	—	—	—	1	—	—
Corporate debt	416	1	—	(96)	—	(191)	—	130	3	—
RMBS	173	5	—	(12)	—	—	—	166	(3)	—
CMBS	28	(1)	—	—	—	—	—	27	(1)	—
CLO/ABS	910	36	—	18	1	(7)	52	1,010	24	—
Total other bond securities	1,527	41	—	(89)	1	(198)	52	1,334	23	—
Equity securities	39	—	—	27	8	—	—	74	—	—
Other invested assets	2,075	(52)	5	58	—	—	—	2,086	(50)	—
Other assets	107	—	—	3	—	—	—	110	—	—
Total(a)	$28,647	$55	$309	$642	$382	$(769)	$60	$29,326	$(27)	$191
(in millions)	Fair ValueBeginning of Year	MRBs and NetRealizedandUnrealized(Gains)LossesIncludedin Income	OtherComprehensiveIncome (Loss)	Purchases, Sales,IssuancesandSettlements,Net	GrossTransfersIn	GrossTransfersOut	Other	FairValueEnd ofPeriod	Changes inUnrealizedGains(Losses)Included inIncome onInstrumentsHeld at Endof Period	Changes inUnrealized Gains(Losses)Included in OtherComprehensiveIncome (Loss) forRecurring Level 3Instruments Heldat 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 liabilities	112	—	—	—	—	—	—	112	—	—
Total(c)	$2,648	$1,531	$—	$(738)	$—	$—	$—	$3,441	$(1,110)	$136

(a)Excludes MRB assets of $1.2 billion at March 31, 2024 and $830 million at March 31, 2023. For additional information, see Note 13.

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

(c)Excludes MRB liabilities of $5.2 billion at March 31, 2024 and $5.1 billion at March 31, 2023. For additional information, see Note 13.

AIG \| First Quarter 2024 Form 10-Q	17

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)	NetInvestmentIncome	Net RealizedGains (Losses)	Change in the fairvalue of marketrisk benefits, net(c)	OtherIncome	Total
Assets:
Bonds available for sale	$174	$(32)	$—	$—	$142
Other bond securities	25	—	—	—	25
Equity securities	3	—	—	—	3
Other invested assets	(91)	(1)	—	—	(92)
Assets:
Bonds available for sale	$62	$4	$—	$—	$66
Other bond securities	41	—	—	—	41
Other invested assets	(51)	(1)	—	—	(52)
(in millions)	NetInvestmentIncome	Net Realized(Gains) Losses	Change in the fairvalue of marketrisk benefits, net(c)	OtherIncome	Total
Liabilities:
Policyholder contract deposits(a)	$—	$452	$—	$—	$452
Market risk benefit liabilities, net(b)	—	(2)	(1,069)	—	(1,071)
Derivative liabilities, net	—	(152)	62	(15)	(105)
Fortitude Re funds withheld payable	—	(13)	—	—	(13)
Other Liabilities	—	(30)	—	—	(30)
Liabilities:
Policyholder contract deposits(a)	$—	$381	$—	$—	$381
Market risk benefit liabilities, net(b)	—	—	87	—	87
Derivative liabilities, net	—	(88)	89	(16)	(15)
Fortitude Re funds withheld payable	—	1,165	—	—	1,165

(a)Primarily embedded derivatives.

(b)Market risk benefit assets and liabilities have been netted in the above table for presentation purposes only.

(c)The portion of the fair value change attributable to own credit risk is recognized in Other comprehensive income (loss) (OCI).

The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three months ended March 31, 2024 and 2023 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:

(in millions)	Purchases	Sales	Issuancesand Settlements(a)	Purchases, Sales, Issuances andSettlements, Net(a)
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$1	$—	$(1)	$—
Corporate debt	8	(3)	(34)	(29)
RMBS	574	(1)	(244)	329
CMBS	—	(30)	(73)	(103)
CLO/ABS	1,894	(56)	(564)	1,274
Total bonds available for sale	2,477	(90)	(916)	1,471
Other bond securities:
RMBS	3	—	(4)	(1)
CLO/ABS	41	—	(61)	(20)
Total other bond securities	44	—	(65)	(21)
Other invested assets	63	—	(96)	(33)
Other assets	—	—	(114)	(114)
Total	$2,584	$(90)	$(1,191)	$1,303

18	AIG \| First Quarter 2024 Form 10-Q

(in millions)	Purchases	Sales	Issuancesand Settlements(a)	Purchases, Sales, Issuances andSettlements, Net(a)
Liabilities:
Policyholder contract deposits	$—	$332	$(176)	$156
Derivative liabilities, net	(194)	6	85	(103)
Fortitude Re funds withheld payable	—	—	(125)	(125)
Total	$(194)	$338	$(216)	$(72)
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$1	$(4)	$(4)	$(7)
Corporate Debt	21	—	(222)	(201)
RMBS	290	(19)	(261)	10
CMBS	10	(6)	(3)	1
CLO/ABS	897	(3)	(54)	840
Total bonds available for sale	1,219	(32)	(544)	643
Other bond securities:
Obligations of states, municipalities and political subdivisions	1	—	—	1
Corporate debt	—	—	(96)	(96)
RMBS	5	—	(17)	(12)
CLO/ABS	46	(4)	(24)	18
Total other bond securities	52	(4)	(137)	(89)
Equity securities	29	—	(2)	27
Other invested assets	72	—	(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)

(a)There wereno issuances during the three months ended March 31, 2024 and 2023.

Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3 in the tables above. As a result, the unrealized gains (losses) on instruments held at March 31, 2024 and 2023 may include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable inputs (e.g., changes in unobservable long-dated volatilities).

Transfers of Level 3 Assets and Liabilities

The Net realized and unrealized gains (losses) included in income (loss) or OCI as shown in the table above excludes $(11) million and $7 million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three months ended March 31, 2024 and 2023, respectively, and includes $4 million and $(5) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three months ended March 31, 2024 and 2023, respectively.

Transfers of Level 3 Assets

During the three months ended March 31, 2024 and 2023, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, commercial mortgage-backed securities (CMBS) and collateralized loan obligations (CLO)/asset-backed securities (ABS). Transfers of private placement corporate debt and certain ABS into Level 3 assets were primarily the result of limited market pricing information that required us to determine fair value for these securities based on inputs that are adjusted to better reflect our own assumptions regarding the characteristics of a specific security or associated market liquidity. The transfers of investments in CMBS and CLO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.

During the three months ended March 31, 2024 and 2023, transfers out of Level 3 assets primarily included certain investments in private placement corporate debt, residential mortgage-backed securities (RMBS), CMBS and CLO/ABS. Transfers of private placement corporate debt and certain ABS out of Level 3 assets were based on consideration of market liquidity as well as related transparency of pricing and associated observable inputs for these investments. Transfers of certain investments in private placement corporate debt and certain ABS out of Level 3 assets were primarily the result of using observable pricing information that reflects the

AIG \| First Quarter 2024 Form 10-Q	19

fair value of those securities without the need for adjustment based on our own assumptions regarding the characteristics of a specific security or the current liquidity in the market.

Transfers of Level 3 Liabilities

There were no significant transfers of derivative or other liabilities into or out of Level 3 for the three months ended March 31, 2024 and 2023.

QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments, and includes only those instruments for which information about the inputs is reasonably available to us, such as data from independent third-party valuation service providers. Because input information from third-parties with respect to certain Level 3 instruments (primarily 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 atMarch 31, 2024 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions		$809		Discounted cash flow	Yield	5.10% - 5.39% (5.24%)
Corporate debt		1,945		Discounted cash flow	Yield	4.94% - 10.81% (7.65%)
RMBS(a)			4,672		Discounted cash flow	Constant prepayment rate	4.40% - 10.02% (7.21%)
					Loss severity	35.81% - 84.47% (60.14%)
					Constant default rate	0.78% - 2.56% (1.67%)
					Yield	5.66% - 7.02% (6.34%)
CLO/ABS(a)			16,371		Discounted cash flow	Yield	5.81% - 7.89% (6.85%)
CMBS			547		Discounted cash flow	Yield	5.22% - 18.38% (11.41%)
Market risk benefit assets			1,172		Discounted cash flow	Equity volatility	6.35% - 49.95%
					Base lapse rate	0.16% - 28.80%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	38.25% - 160.01%
					Utilization(g)	80.00% - 100.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.06% - 2.33%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits		1,675		Discounted cash flow	Equity volatility	6.35% - 49.95%
					Base lapse rate	0.16% - 28.80%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	38.25% - 160.01%
					Utilization(g)	80.00% - 100.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.06% - 2.33%
Fixed annuities guaranteed benefits		1,130		Discounted cash flow	Base lapse rate	0.20% - 15.75%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	40.26% - 168.43%
					Utilization(g)	90.00% - 97.50%
					NPA(h)	0.06% - 2.33%
Fixed index annuities guaranteed benefits	2,362		Discounted cash flow	Equity volatility	6.35% - 49.95%
					Base lapse rate	0.20% - 50.00%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	24.00% - 146.00%
					Utilization(g)	60.00% - 97.50%
					Option budget	0.00% - 6.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.06% - 2.33%

20	AIG \| First Quarter 2024 Form 10-Q

(in millions) · Fair Value atMarch 31, 2024 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c)
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities(i)	7,603		Discounted cash flow	Equity volatility	6.35% - 49.95%
					Base lapse rate	0.20% - 50.00%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	24.00% - 146.00%
					Utilization(g)	60.00% - 97.50%
					Option budget	0.00% - 6.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.06% - 2.33%
Index universal life		947		Discounted cash flow	Base lapse rate	0.00% - 37.97%
					Mortality rate	0.00% - 100.00%
					Equity volatility	5.85% - 19.95%
					NPA(h)	0.06% - 2.33%

(in millions) · Fair Value atDecember 31, 2023 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c)
Assets:
Obligations of states, municipalities and political subdivisions		$824		Discounted cash flow	Yield	4.97% - 5.31% (5.14%)
Corporate debt		1,803		Discounted cash flow	Yield	5.19% - 8.48% (6.83%)
RMBS(a)			4,656		Discounted cash flow	Constant prepayment rate	4.34% - 9.99% (7.17%)
					Loss severity	33.56% - 87.59% (60.57%)
					Constant default rate	0.76% - 2.56% (1.66%)
					Yield	6.13% - 7.41% (6.77%)
CLO/ABS(a)			14,242		Discounted cash flow	Yield	5.62% - 7.89% (6.76%)
CMBS			587		Discounted cash flow	Yield	5.62% - 17.85% (11.73%)
Market risk benefit assets			912		Discounted cash flow	Equity volatility	6.25% - 49.75%
					Base lapse rate	0.16% - 28.80%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	38.25% - 160.01%
					Utilization(g)	80.00% - 100.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.00% - 2.29%
Liabilities(d):
Market risk benefit liabilities:
Variable annuities guaranteed benefits		2,174		Discounted cash flow	Equity volatility	6.25% - 49.75%
					Base lapse rate	0.16% - 28.80%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	38.25% - 160.01%
					Utilization(g)	80.00% - 100.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.00% - 2.29%
Fixed annuities guaranteed benefits		1,111		Discounted cash flow	Base lapse rate	0.20% - 15.75%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	40.26% - 168.43%
					Utilization(g)	90.00% - 97.50%
					NPA(h)	0.00% - 2.29%
Fixed index annuities guaranteed benefits	2,420		Discounted cash flow	Equity volatility	6.25% - 49.75%
					Base lapse rate	0.20% - 50.00%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	24.00% - 146.00%
					Utilization(g)	60.00% - 97.50%
					Option budget	0.00% - 6.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.00% - 2.29%

AIG \| First Quarter 2024 Form 10-Q	21

(in millions) · Fair Value atDecember 31, 2023 · Valuation Technique · Unobservable Input(b) · Range(Weighted Average)(c)
Embedded derivatives within Policyholder contract deposits:
Index credits on fixed index annuities(i)	6,953		Discounted cash flow	Equity volatility	6.25% - 49.75%
					Base lapse rate	0.20% - 50.00%
					Dynamic lapse multiplier(e)	20.00% - 186.18%
					Mortality multiplier(e)(f)	24.00% - 146.00%
					Utilization(g)	60.00% - 97.50%
					Option budget	0.00% - 6.00%
					Equity / interest rate correlation	0.00% - 30.00%
					NPA(h)	0.00% - 2.29%
Index universal life		989		Discounted cash flow	Base lapse rate	0.00% - 37.97%
					Mortality rate	0.00% - 100.00%
					Equity volatility	5.85% - 20.36%
					NPA(h)	0.00% - 2.29%

(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 8, 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)The ranges for these inputs vary due to the different guaranteed minimum withdrawal benefits (GMWB) product specification and policyholder characteristics across in-force policies. Policyholder characteristics that affect these ranges include age, policy duration, and gender.

(f)Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.

(g)The partial withdrawal utilization unobservable input range shown applies only to policies with GMWB riders.

(h)The non-performance risk adjustment (NPA) applied as a spread over risk-free curve for discounting.

(i)The fixed index annuities embedded derivative associated with index credits related to the contracts with guaranteed product features included in policyholder contract deposits was $1.7 billion and $1.5 billion at March 31, 2024 and December 31, 2023, respectively.

The ranges of reported inputs for Obligations of states, municipalities and political subdivisions, Corporate debt, RMBS, CLO/ABS, and CMBS valued using a discounted cash flow technique consist of one standard deviation in either direction from the value‑weighted average. The preceding table does not give effect to our risk management practices that might offset risks inherent in these Level 3 assets and liabilities.

Interrelationships Between Unobservable Inputs

We consider unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset or liability. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraphs provide a general description of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.

Fixed Maturity Securities

The significant unobservable input used in the fair value measurement of fixed maturity securities is yield. The yield is affected by the market movements in credit spreads and U.S. Treasury yields. The yield may be affected by other factors including constant prepayment rates, loss severity, and constant default rates. In general, increases in the yield would decrease the fair value of investments, and conversely, decreases in the yield would increase the fair value of investments.

22	AIG \| First Quarter 2024 Form 10-Q

MRBs and Embedded Derivatives within Policyholder Contract Deposits

For MRBs and embedded derivatives, the assumptions for unobservable inputs vary throughout the period over which cash flows are projected for valuation purposes. The following are applicable unobservable inputs:

Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. Increases in assumed volatility will generally increase the fair value of both the projected cash flows from rider fees as well as the projected cash flows related to benefit payments. Therefore, the net change in the fair value of the liability may be either a decrease or an increase, depending on the relative changes in projected rider fees and projected benefit payments.

Equity and interest rate correlation estimates the relationship between changes in equity returns and interest rates in the economic scenario generator used to value our MRBs. In general, a higher positive correlation assumes that equity markets and interest rates move in a more correlated fashion, which generally increases the fair value of the liability. Only our fixed index annuities with a GMWB rider are subject to the equity and interest correlation assumption. Other policies such as accumulation fixed index annuity and life products do not use a correlation assumption.

Base lapse rate assumptions are determined by company experience and judgment and are adjusted at the contract level using a dynamic lapse function, which reduces the base lapse rate when the contract is in-the-money (when the contract holder’s guaranteed value, as estimated by the company, is worth more than their underlying account value). Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. Increases in assumed lapse rates will generally decrease the fair value of the liability as fewer policyholders would persist to collect guaranteed benefit amounts.

Mortality rate assumptions, which vary by age and gender, are based on company experience and include a mortality improvement assumption. Increases in assumed mortality rates will decrease the fair value of the GMWB liability, while lower mortality rate assumptions will generally increase the fair value of the liability because guaranteed withdrawal payments will be made for a longer period of time and generally exceed any decrease in guaranteed death benefits.

Utilization assumptions estimate the timing when policyholders with a GMWB will elect to utilize their benefit and begin taking withdrawals. The assumptions may vary by the type of guarantee, tax-qualified status, the contract’s withdrawal history and the age of the policyholder. Utilization assumptions are based on company experience, which includes partial withdrawal behavior. Increases in assumed utilization rates will generally increase the fair value of the liability.

Non-performance or “own credit” risk adjustment used in the valuation of MRBs and embedded derivatives, which reflects a market participant’s view of our claims-paying ability by incorporating a different spread (the NPA spread) to the curve used to discount projected benefit cash flows. When corporate credit spreads widen, the change in the NPA spread generally reduces the fair value of the MRBs and embedded derivatives, resulting in a gain in AOCI or Net realized gains (losses), respectively, and when corporate credit spreads narrow or tighten, the change in the NPA spread generally increases the fair value of the MRBs and embedded derivatives, resulting in a loss in AOCI or Net realized gains (losses), respectively.

The projected cash flows incorporate best estimate assumptions for policyholder behavior (including mortality, lapses, withdrawals and benefit utilization), along with an explicit risk margin to reflect a market participant’s estimates of the fair value of projected cash flows and policyholder behavior. Estimates of future policyholder behavior assumptions are subjective and based primarily on our historical experience.

For embedded derivatives, option budgets estimate the expected long-term cost of options used to hedge exposures associated with index price changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

Embedded Derivatives within Reinsurance Contracts

The fair value of embedded derivatives associated with funds withheld reinsurance contracts is determined based upon a total return swap technique with reference to the fair value of the investments held by AIG related to AIG’s funds withheld payable. The fair value of the underlying assets is generally based on market observable inputs using industry standard valuation techniques. The valuation also requires certain significant inputs, which are generally not observable, and accordingly, the valuation is considered Level 3 in the fair value hierarchy.

AIG \| First Quarter 2024 Form 10-Q	23

INVESTMENTS IN CERTAIN ENTITIES CARRIED AT FAIR VALUE USING NET ASSET VALUE PER SHARE

The following table includes information related to our investments in certain other invested assets, including private equity funds, hedge funds and other alternative investments that calculate net asset value per share (or its equivalent). For these investments, which are measured at fair value on a recurring basis, we use the net asset value per share to measure fair value.

March 31, 2024 · December 31, 2023
(in millions) · Investment Category Includes · Fair Value Using NAV Per Share (or its equivalent) · Unfunded Commitments · Fair Value Using NAV Per Share (or its equivalent) · Unfunded 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		$3,736		$2,278		$3,617		$2,313
Real assets	Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets		1,712		824		1,814		782
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		266		136		270		141
Growth equity	Funds that make investments in established companies for the purpose of growing their businesses		690		112		680		117
Mezzanine	Funds that make investments in the junior debt and equity securities of leveraged companies		263		94		292		98
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		2,168		257		2,125		297
Total private equity funds		8,835		3,701		8,798		3,748
Hedge funds:
Event-driven	Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations		17		—		18		—
Long-short	Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk		565		—		549		—
Macro	Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions		37		—		69		—
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		68		—		74		—
Total hedge funds			687		—		710		—
Total			$9,522		$3,701		$9,508		$3,748

Private equity fund investments included above are not redeemable, because distributions from the funds will be received when underlying investments of the funds are liquidated. Private equity funds are generally expected to have 10-year lives at their inception, but these lives may be extended at the fund manager’s discretion, typically inone-year ortwo-year increments.

The majority of our hedge fund investments are redeemable upon a single month or quarter’s notice, though redemption terms vary from single, immediate withdrawals, to withdrawals staggered up to eight quarters. Some of the portfolio consists of illiquid run-off or “side-pocket” positions whose liquidation horizons are uncertain and likely beyond a year after submission of the redemption notice.

24	AIG \| First Quarter 2024 Form 10-Q

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)	2024	2023
Assets:
Other bond securities(a)	$78	$136
Alternative investments(b)	130	77
Liabilities:
Long-term debt(c)	1	(1)
Total gain (loss)	$209	$212

(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 6. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 8.

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

(c)Includes guaranteed investment agreements (GIAs), notes, bonds and mortgages payable.

We calculate the effect of these credit spread changes using discounted cash flow techniques that incorporate current market interest rates, our observable credit spreads on these liabilities and other factors that mitigate the risk of nonperformance such as cash collateral posted.

The following table presents the difference between fair value and the aggregate contractual principal amount of long-term debt for which the fair value option was elected:

	March 31, 2024			December 31, 2023
(in millions)	Fair Value	Outstanding Principal Amount	Difference	Fair Value	Outstanding Principal Amount	Difference
Long-term debt*	$68	$60	$8	$53	$44	$9

*Includes GIAs, notes, bonds, loans and mortgages payable.

FAIR VALUE MEASUREMENTS ON A NON-RECURRING BASIS

The following table presents assets measured at fair value on a non-recurring basis at the time of impairment and the related impairment charges recorded during the periods presented:

Assets at Fair Value · Impairment Charges
Non-Recurring Basis · Three Months EndedMarch 31,
(in millions)	Level 1	Level 2	Level 3	Total	2024	2023
Other investments	$—	$—	$98	$98	$25	$—
Other assets	—	—	—	—	1	9
Total	$—	$—	$98	$98	$26	$9
Other investments	$—	$—	$80	$80
Total	$—	$—	$80	$80

AIG \| First Quarter 2024 Form 10-Q	25

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 Value · CarryingValue
(in millions) · Level 1 · Level 2 · Level 3 · Total
Assets:
Mortgage and other loans receivable	$—	$322	$48,810	$49,132	$52,475
Other invested assets	—	896	6	902	902
Short-term investments(a)	—	6,590	—	6,590	6,590
Cash(b)	1,816	—	—	1,816	1,816
Other assets	43	—	—	43	43
Liabilities:
Policyholder contract deposits associated with investment-type contracts	—	86	136,106	136,192	141,851
Fortitude Re funds withheld payable	—	—	30,153	30,153	30,153
Other liabilities(c)	—	3,585	—	3,585	3,585
Short-term and long-term debt	—	17,928	249	18,177	19,250
Debt of consolidated investment entities	—	67	2,527	2,594	2,617
Separate account liabilities - investment contracts	—	91,243	—	91,243	91,243
Assets:
Mortgage and other loans receivable	$—	$272	$48,264	$48,536	$51,553
Other invested assets	—	913	6	919	919
Short-term investments(a)	—	6,428	—	6,428	6,428
Cash(b)	2,155	—	—	2,155	2,155
Other assets	45	—	—	45	45
Liabilities:
Policyholder contract deposits associated with investment-type contracts	—	90	130,094	130,184	140,652
Fortitude Re funds withheld payable	—	—	30,710	30,710	30,710
Other liabilities(c)	—	2,467	—	2,467	2,467
Short-term and long-term debt	—	18,595	267	18,862	19,743
Debt of consolidated investment entities	—	43	2,526	2,569	2,591
Separate account liabilities - investment contracts	—	87,215	—	87,215	87,215

(a)Excludes $25 million and $11 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

(b)Excludes $1 million and $3 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Assets held for sale on the Condensed Consolidated Balance Sheets.

(c)Excludes $52 million and $45 million at March 31, 2024 and December 31, 2023, respectively, reclassified to Liabilities held for sale on the Condensed Consolidated Balance Sheets.

26	AIG \| First Quarter 2024 Form 10-Q

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