AMERICAN INTERNATIONAL GROUP INC
For the period ended Mar 31, 2024. Filed May 2, 2024.
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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
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Market Risk Benefits
- Market Risk Benefits
MRBs are defined as contracts or contract features that both provide protection to the contract holder from other-than-nominal capital market risk and expose AIG to other-than nominal capital market risk. The MRB represents an amount that a policyholder receives in addition to the account balance upon the occurrence of a specific event or circumstance, such as death, annuitization, or periodic withdrawal that involves protection from other-than-nominal capital market risk. Certain contract features, such as GMWBs, guaranteed minimum death benefits (GMDB) and guaranteed minimum income benefits (GMIBs) commonly found in variable, fixed index and fixed annuities, are MRBs. MRBs are assessed at contract inception using a non-option method involving attributed fees that results in an initial fair value of zero or an option method that results in a fair value greater than zero.
MRBs are recorded at fair value, and AIG applies a non-option attributed fee valuation method for variable annuity products, and an option-based valuation method (host offset) for both fixed index and fixed products.
Changes in the fair value of MRBs, netrepresents changes in the fair value of market risk benefit liabilities and assets (with the exception of our own credit risk changes), and includes attributed rider fees and benefits, net of changes in the fair value of derivative instruments and fixed maturity securities that are used to economically hedge market risk from the variable annuity GMWB riders.
The following table presents the balances of and changes in MRBs:
| Three Months Ended March 31, · 2024 · 2023 | ||||||||
|---|---|---|---|---|---|---|---|---|
| IndividualRetirement · GroupRetirement · Total · IndividualRetirement · GroupRetirement · Total | ||||||||
| (in millions, except for attained age of contract holders) | ||||||||
| Balance, beginning of year | $4,562 | $308 | $4,870 | $3,738 | $296 | $4,034 | ||
| Effect of changes in our own credit risk | (1,072) | (88) | (1,160) | (441) | (24) | (465) | ||
| Balance, beginning of year, before effect of changes in our own credit risk | $3,490 | $220 | $3,710 | 3,297 | 272 | 3,569 | ||
| Issuances | 123 | 10 | 133 | 191 | 9 | 200 | ||
| Interest accrual | 45 | 3 | 48 | 38 | 4 | 42 | ||
| Attributed fees | 174 | 15 | 189 | 235 | 17 | 252 | ||
| Expected claims | (18) | — | (18) | (25) | (1) | (26) | ||
| Effect of changes in interest rates | (474) | (38) | (512) | 478 | 46 | 524 | ||
| Effect of changes in interest rate volatility | (14) | — | (14) | (73) | (4) | (77) | ||
| Effect of changes in equity markets | (529) | (50) | (579) | (391) | (36) | (427) | ||
| Effect of changes in equity index volatility | (15) | — | (15) | 16 | (3) | 13 | ||
| Actual outcome different from model expected outcome | (63) | 3 | (60) | 72 | 1 | 73 | ||
| Effect of changes in other future expected assumptions | (5) | (1) | (6) | (94) | (18) | (112) | ||
| Other, including foreign exchange | — | (2) | (2) | 1 | — | 1 | ||
| Balance, end of period, before effect of changes in our own credit risk | 2,714 | 160 | 2,874 | 3,745 | 287 | 4,032 | ||
| Effect of changes in our own credit risk | 1,100 | 89 | 1,189 | 339 | 32 | 371 | ||
| Balance, end of period | 3,814 | 249 | 4,063 | 4,084 | 319 | 4,403 | ||
| Less: Reinsured MRB, end of period | (68) | — | (68) | (89) | — | (89) | ||
| Net Liability Balance after reinsurance recoverable | $3,746 | $249 | $3,995 | $3,995 | $319 | $4,314 | ||
| Net amount at risk | ||||||||
| GMDB only | $623 | $136 | $759 | $1,307 | $266 | $1,573 | ||
| GMWB only | $128 | $12 | $140 | $63 | $5 | $68 | ||
| Combined* | $576 | $13 | $589 | $1,726 | $31 | $1,757 | ||
| Weighted average attained age of contract holders | 71 | 64 | 71 | 64 | ||||
*Certain contracts contain both guaranteed GMDB and GMWB features and are modeled together for the purposes of calculating the MRB.
The following is a reconciliation of MRBs by amounts in an asset position and in a liability position to the MRBs amount in the Condensed Consolidated Balance Sheets:
| March 31, 2024 | March 31, 2023 | |||||
|---|---|---|---|---|---|---|
| (in millions) | Asset* | Liability* | Net | Asset* | Liability* | Net |
| Individual Retirement | $968 | $4,714 | $3,746 | $685 | $4,680 | $3,995 |
| Group Retirement | 204 | 453 | 249 | 145 | 464 | 319 |
| Total | $1,172 | $5,167 | $3,995 | $830 | $5,144 | $4,314 |
*Cash flows and attributed fees for MRBs are determined on a policy level basis and are reported based on their asset or liability position at the balance sheet date.
For additional information related to fair value measurements of MRBs, see Note 5.
| 56 | AIG | First Quarter 2024 Form 10-Q |
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