Derivatives and Hedging (Tables)
|
3 Months Ended |
Mar. 31, 2026 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Derivative Instruments |
The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying risks they are utilized to manage, excluding embedded derivatives. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the value of derivative contracts prior to taking into account the netting effects of master netting agreements and cash collateral. These netting impacts resulted in total derivative assets of $1,462 million and $1,671 million as of March 31, 2026 and December 31, 2025, respectively, and total derivative liabilities of $6,401 million and $6,215 million as of March 31, 2026 and December 31, 2025, respectively, reflected in the Unaudited Interim Consolidated Statements of Financial Position. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Primary Underlying Risk /Instrument Type | March 31, 2026 | | December 31, 2025 | | | | Fair Value | | | | Fair Value | | Gross Notional | | Assets | | Liabilities | | Gross Notional | | Assets | | Liabilities | | | (in millions) | | Derivatives Designated as Hedge Accounting Instruments: | | | | | | | | | | | | | Interest Rate | | | | | | | | | | | | | Interest Rate Swaps | $ | 5,117 | | | $ | 21 | | | $ | (334) | | | $ | 5,083 | | | $ | 23 | | | $ | (344) | | | Interest Rate Forwards | 351 | | | 0 | | | 0 | | | 10 | | | 0 | | | 0 | | | Foreign Currency | | | | | | | | | | | | | Foreign Currency Forwards | 4,929 | | | 59 | | | (219) | | | 4,912 | | | 28 | | | (208) | | | Currency/Interest Rate | | | | | | | | | | | | | Foreign Currency Swaps | 33,551 | | | 1,581 | | | (963) | | | 33,823 | | | 1,286 | | | (1,440) | | | Total Derivatives Designated as Hedge Accounting Instruments | $ | 43,948 | | | $ | 1,661 | | | $ | (1,516) | | | $ | 43,828 | | | $ | 1,337 | | | $ | (1,992) | | | Derivatives Not Qualifying as Hedge Accounting Instruments: | | | | | | | | | | | | | Interest Rate | | | | | | | | | | | | | Interest Rate Swaps | $ | 249,491 | | | $ | 10,733 | | | $ | (23,332) | | | $ | 244,336 | | | $ | 10,825 | | | $ | (23,617) | | | Interest Rate Futures | 9,955 | | | 15 | | | (6) | | | 12,079 | | | 7 | | | (22) | | | Interest Rate Options | 27,105 | | | 53 | | | (1,211) | | | 30,025 | | | 134 | | | (1,382) | | | Interest Rate Forwards | 6,404 | | | 12 | | | (67) | | | 3,658 | | | 11 | | | (7) | | Interest Rate Total Return Swaps | 1,514 | | | 222 | | | (221) | | | 1,434 | | | 217 | | | (221) | | | Foreign Currency | | | | | | | | | | | | | Foreign Currency Forwards | 35,545 | | | 1,626 | | | (1,402) | | | 34,149 | | | 1,356 | | | (1,383) | | | Currency/Interest Rate | | | | | | | | | | | | | Foreign Currency Swaps | 7,140 | | | 435 | | | (142) | | | 7,318 | | | 370 | | | (179) | | | Credit | | | | | | | | | | | | | Credit Default Swaps | 5,756 | | | 56 | | | 0 | | | 5,784 | | | 112 | | | 0 | | | Equity | | | | | | | | | | | | | Equity Futures | 1,256 | | | 12 | | | (19) | | | 1,033 | | | 3 | | | (6) | | | Equity Options | 225,676 | | | 8,333 | | | (9,049) | | | 200,661 | | | 10,378 | | | (9,189) | | Equity Total Return Swaps | 19,606 | | | 1,325 | | | (895) | | | 14,973 | | | 1,366 | | | (1,159) | | | Other | | | | | | | | | | | | | Other(1) | 1,250 | | | 0 | | | 0 | | | 1,250 | | | 0 | | | 0 | | | Synthetic GICs | 75,016 | | | 0 | | | 0 | | | 75,883 | | | 0 | | | 0 | | | Total Derivatives Not Qualifying as Hedge Accounting Instruments | $ | 665,714 | | | $ | 22,822 | | | $ | (36,344) | | | $ | 632,583 | | | $ | 24,779 | | | $ | (37,165) | | | Total Derivatives(2)(3) | $ | 709,662 | | | $ | 24,483 | | | $ | (37,860) | | | $ | 676,411 | | | $ | 26,116 | | | $ | (39,157) | |
__________ (1)“Other” primarily includes derivative contracts used to improve the balance of the Company’s tail longevity and mortality risk. Under these contracts, the Company’s gains (losses) are capped at the notional amount. (2)Excludes embedded derivatives which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $16,927 million (including the Prismic funds withheld related embedded derivative net liability of $105 million) and $18,404 million (including the Prismic funds withheld related embedded derivative net liability of $194 million) as of March 31, 2026 and December 31, 2025, respectively, primarily included in “Policyholders’ account balances” and “Reinsurance and funds withheld payables.” (3)Recorded in “Other invested assets” and “Other liabilities” on the Unaudited Interim Consolidated Statements of Financial Position.
|
| Schedule of Derivative instruments (hedged item in fair value hedge accounting relationship) |
As of March 31, 2026, the following amounts were recorded on the Unaudited Interim Consolidated Statements of Financial Position related to the carrying amount of the hedged assets (liabilities) and cumulative basis adjustments included in the carrying amount for fair value hedges.
| | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | | Balance Sheet Line Item in which Hedged Item is Recorded | Carrying Amount of the Hedged Assets (Liabilities) | | Cumulative Amount of
Fair Value Hedging Adjustment Included in the
Carrying Amount of the Hedged
Assets (Liabilities)(1) | | Carrying Amount of the Hedged Assets (Liabilities) | | Cumulative Amount of
Fair Value Hedging Adjustment Included in the
Carrying Amount of the Hedged
Assets (Liabilities)(1) | | | | | | | | | | | | (in millions) | | Fixed maturities, available-for-sale, at fair value | $ | 563 | | | $ | 8 | | | $ | 594 | | | $ | 11 | | | | | | | | | | | | | Policyholders’ account balances | $ | (1,589) | | | $ | 302 | | | $ | (1,588) | | | $ | 299 | | | | Future policy benefits | $ | (2,379) | | | $ | 329 | | | $ | (2,405) | | | $ | 300 | | |
__________ (1)There were no material fair value hedging adjustments for hedged assets and liabilities for which hedge accounting has been discontinued.
|
| Offsetting of Financial Assets |
The following tables present recognized derivative instruments (excluding embedded derivatives), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | | Gross
Amounts of
Recognized
Financial
Instruments | | Gross
Amounts
Offset in the
Statements
of Financial
Position | | Net
Amounts
Presented in
the Statements
of Financial
Position | | Financial
Instruments/
Collateral(1) | | Net
Amount | | | (in millions) | | Offsetting of Financial Assets: | | | | | | | | | | | Derivatives | $ | 24,347 | | | $ | (23,021) | | | $ | 1,326 | | | $ | (326) | | | $ | 1,000 | | Securities purchased under agreement to resell | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Total Assets | $ | 24,347 | | | $ | (23,021) | | | $ | 1,326 | | | $ | (326) | | | $ | 1,000 | | | Offsetting of Financial Liabilities: | | | | | | | | | | | Derivatives | $ | 37,860 | | | $ | (31,459) | | | $ | 6,401 | | | $ | (6,401) | | | $ | 0 | | Securities sold under agreement to repurchase | 10,975 | | | 0 | | | 10,975 | | | (10,975) | | | 0 | | Total Liabilities | $ | 48,835 | | | $ | (31,459) | | | $ | 17,376 | | | $ | (17,376) | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | Gross
Amounts of
Recognized
Financial
Instruments | | Gross
Amounts
Offset in the
Statements
of Financial
Position | | Net
Amounts
Presented in
the Statements
of Financial
Position | | Financial
Instruments/
Collateral(1) | | Net
Amount | | | (in millions) | | Offsetting of Financial Assets: | | | | | | | | | | | Derivatives | $ | 25,990 | | | $ | (24,445) | | | $ | 1,545 | | | $ | (637) | | | $ | 908 | | Securities purchased under agreement to resell | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Total Assets | $ | 25,990 | | | $ | (24,445) | | | $ | 1,545 | | | $ | (637) | | | $ | 908 | | | Offsetting of Financial Liabilities: | | | | | | | | | | | Derivatives | $ | 39,157 | | | $ | (32,942) | | | $ | 6,215 | | | $ | (6,011) | | | $ | 204 | | Securities sold under agreement to repurchase | 9,598 | | | 0 | | | 9,598 | | | (9,523) | | | 75 | | Total Liabilities | $ | 48,755 | | | $ | (32,942) | | | $ | 15,813 | | | $ | (15,534) | | | $ | 279 | |
__________ (1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.
|
| Offsetting of Financial Liabilities |
The following tables present recognized derivative instruments (excluding embedded derivatives), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | | Gross
Amounts of
Recognized
Financial
Instruments | | Gross
Amounts
Offset in the
Statements
of Financial
Position | | Net
Amounts
Presented in
the Statements
of Financial
Position | | Financial
Instruments/
Collateral(1) | | Net
Amount | | | (in millions) | | Offsetting of Financial Assets: | | | | | | | | | | | Derivatives | $ | 24,347 | | | $ | (23,021) | | | $ | 1,326 | | | $ | (326) | | | $ | 1,000 | | Securities purchased under agreement to resell | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Total Assets | $ | 24,347 | | | $ | (23,021) | | | $ | 1,326 | | | $ | (326) | | | $ | 1,000 | | | Offsetting of Financial Liabilities: | | | | | | | | | | | Derivatives | $ | 37,860 | | | $ | (31,459) | | | $ | 6,401 | | | $ | (6,401) | | | $ | 0 | | Securities sold under agreement to repurchase | 10,975 | | | 0 | | | 10,975 | | | (10,975) | | | 0 | | Total Liabilities | $ | 48,835 | | | $ | (31,459) | | | $ | 17,376 | | | $ | (17,376) | | | $ | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | Gross
Amounts of
Recognized
Financial
Instruments | | Gross
Amounts
Offset in the
Statements
of Financial
Position | | Net
Amounts
Presented in
the Statements
of Financial
Position | | Financial
Instruments/
Collateral(1) | | Net
Amount | | | (in millions) | | Offsetting of Financial Assets: | | | | | | | | | | | Derivatives | $ | 25,990 | | | $ | (24,445) | | | $ | 1,545 | | | $ | (637) | | | $ | 908 | | Securities purchased under agreement to resell | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Total Assets | $ | 25,990 | | | $ | (24,445) | | | $ | 1,545 | | | $ | (637) | | | $ | 908 | | | Offsetting of Financial Liabilities: | | | | | | | | | | | Derivatives | $ | 39,157 | | | $ | (32,942) | | | $ | 6,215 | | | $ | (6,011) | | | $ | 204 | | Securities sold under agreement to repurchase | 9,598 | | | 0 | | | 9,598 | | | (9,523) | | | 75 | | Total Liabilities | $ | 48,755 | | | $ | (32,942) | | | $ | 15,813 | | | $ | (15,534) | | | $ | 279 | |
__________ (1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.
|
| Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, including the offset of the hedged item in fair value hedge relationships. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2026 | | | Realized
Investment
Gains
(Losses) | | Change in Value of MRBs, Net of Related Hedging Gains (Losses) | | Net
Investment
Income | | Other
Income (Loss) | | Interest
Expense | | Interest
Credited to
Policyholders’
Account
Balances | | Policyholders’ Benefits | | Change in AOCI(1) | | | (in millions) | | Derivatives Designated as Hedge Accounting Instruments: | | | | | | | | | | | | | | | | | Fair value hedges | | | | | | | | | | | | | | | | | Gains (losses) on derivatives designated as hedge instruments: | | | | | | | | | | | | | | | | | Interest Rate | $ | 2 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (8) | | | $ | 0 | | | $ | 0 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (36) | | | 0 | | | Total gains (losses) on derivatives designated as hedge instruments | 2 | | | 0 | | | 0 | | | 0 | | | 0 | | | (8) | | | (36) | | | 0 | | | Gains (losses) on the hedged item: | | | | | | | | | | | | | | | | | Interest Rate | (3) | | | 0 | | | 7 | | | 0 | | | 0 | | | 3 | | | (5) | | | 0 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 35 | | | 0 | | | Total gains (losses) on hedged item | (3) | | | 0 | | | 7 | | | 0 | | | 0 | | | 3 | | | 30 | | | 0 | | | Amortization for gains (losses) excluded from assessment of the effectiveness | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (4) | | | (16) | | Total amortization for gains (losses) excluded from assessment of the effectiveness | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (4) | | | (16) | | | Total gains (losses) on fair value hedges net of hedged item | (1) | | | 0 | | | 7 | | | 0 | | | 0 | | | (5) | | | (10) | | | (16) | | | Cash flow hedges | | | | | | | | | | | | | | | | | Interest Rate | 0 | | | 0 | | | (2) | | | 0 | | | 0 | | | 0 | | | 0 | | | 1 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 63 | | | Currency/Interest Rate | 23 | | | 0 | | | 73 | | | 54 | | | 0 | | | 0 | | | 0 | | | 703 | | | Total gains (losses) on cash flow hedges | 23 | | | 0 | | | 71 | | | 54 | | | 0 | | | 0 | | | 0 | | | 767 | | | Net investment hedges | | | | | | | | | | | | | | | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 10 | | | Currency/Interest Rate | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Total gains (losses) on net investment hedges | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 10 | | | Derivatives Not Qualifying as Hedge Accounting Instruments: | | | | | | | | | | | | | | | | | Interest Rate | 15 | | | (77) | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Currency/Interest Rate | 109 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Credit | (29) | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Equity | (1,387) | | | 271 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Embedded Derivatives(2) | 1,829 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Total gains (losses) on derivatives not qualifying as hedge accounting instruments | 537 | | | 194 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Total | $ | 559 | | | $ | 194 | | | $ | 78 | | | $ | 54 | | | $ | 0 | | | $ | (5) | | | $ | (10) | | | $ | 761 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2025 | | | Realized
Investment
Gains
(Losses) | | Change in Value of MRBs, Net of Related Hedging Gains (Losses) | | Net
Investment
Income | | Other
Income (Loss) | | Interest
Expense | | Interest
Credited to
Policyholders’
Account
Balances | | Policyholders’ Benefits | | Change in AOCI(1) | | | (in millions) | | Derivatives Designated as Hedge Accounting Instruments: | | | | | | | | | | | | | | | | | Fair value hedges | | | | | | | | | | | | | | | | | Gains (losses) on derivatives designated as hedge instruments: | | | | | | | | | | | | | | | | | Interest Rate | $ | (3) | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 35 | | | $ | 30 | | | $ | 0 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 53 | | | 0 | | | Total gains (losses) on derivatives designated as hedge instruments | (3) | | | 0 | | | 0 | | | 0 | | | 0 | | | 35 | | | 83 | | | 0 | | | Gains (losses) on the hedged item: | | | | | | | | | | | | | | | | | Interest Rate | 3 | | | 0 | | | 5 | | | 0 | | | 0 | | | (49) | | | (32) | | | 0 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (53) | | | 0 | | | Total gains (losses) on hedged item | 3 | | | 0 | | | 5 | | | 0 | | | 0 | | | (49) | | | (85) | | | 0 | | | | | | | | | | | | | | | | | | | Amortization for gains (losses) excluded from assessment of the effectiveness | | | | | | | | | | | | | | | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (3) | | | (69) | | Total amortization for gains (losses) excluded from assessment of the effectiveness | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (3) | | | (69) | | | Total gains (losses) on fair value hedges net of hedged item | 0 | | | 0 | | | 5 | | | 0 | | | 0 | | | (14) | | | (5) | | | (69) | | | Cash flow hedges | | | | | | | | | | | | | | | | | Interest Rate | 0 | | | 0 | | | (3) | | | 0 | | | 0 | | | 0 | | | 0 | | | 8 | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (26) | | | Currency/Interest Rate | 22 | | | 0 | | | 96 | | | (147) | | | 0 | | | 0 | | | 0 | | | (103) | | | Total gains (losses) on cash flow hedges | 22 | | | 0 | | | 93 | | | (147) | | | 0 | | | 0 | | | 0 | | | (121) | | | Net investment hedges | | | | | | | | | | | | | | | | | Currency | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (15) | | | Currency/Interest Rate | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Total gains (losses) on net investment hedges | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | (15) | | | Derivatives Not Qualifying as Hedge Accounting Instruments: | | | | | | | | | | | | | | | | | Interest Rate | 189 | | | 141 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Currency | (174) | | | 0 | | | 0 | | | (1) | | | 0 | | | 0 | | | 0 | | | 0 | | | Currency/Interest Rate | (28) | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Credit | (11) | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Equity | (1,469) | | | 202 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Embedded Derivatives(2) | 1,257 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Total gains (losses) on derivatives not qualifying as hedge accounting instruments | (236) | | | 343 | | | 0 | | | (1) | | | 0 | | | 0 | | | 0 | | | 0 | | | Total | $ | (214) | | | $ | 343 | | | $ | 98 | | | $ | (148) | | | $ | 0 | | | $ | (14) | | | $ | (5) | | | $ | (205) | |
__________ (1)Excludes changes related to net investment hedges using non-derivative instruments of $14 million and $(51) million for the three months ended March 31, 2026, and 2025 respectively. (2)Includes the Prismic funds withheld related embedded derivative realized gain (loss) of $88 million and $(147) million for the three months ended March 31, 2026 and 2025 respectively.
|
| Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income (Loss) Before Taxes |
Presented below is a rollforward of current period cash flow hedges in AOCI before taxes: | | | | | | | | (in millions) | | Balance, December 31, 2025 | $ | (231) | | | Amount recorded in AOCI: | | | Interest Rate | (1) | | | Currency | 60 | | | Currency/Interest Rate | 853 | | | Total amount recorded in AOCI | 912 | | | Amount reclassified from AOCI to income: | | | Interest Rate | 2 | | | Currency | 3 | | | Currency/Interest Rate | (150) | | | Total amount reclassified from AOCI to income | (145) | | | Balance, March 31, 2026 | $ | 536 | |
|
| Credit Derivatives |
The following tables provide a summary of the notional and fair value of written credit protection, presented as assets (liabilities). The Company’s maximum amount at risk under these credit derivatives, assuming the value of the underlying referenced securities become worthless, is equal to the notional amounts. These credit derivatives have maturities of less than 11 years for index reference. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2026 | | NAIC Rating Designation of Underlying Credit Obligation(1) | | NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6(2) | Total | | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | | (in millions) | Single name reference(3) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Index reference(3) | 0 | | 0 | | 0 | | 0 | | 5,024 | | 22 | | 0 | | 0 | | 0 | | 0 | | 732 | | 34 | | 5,756 | | 56 | | | Total | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 5,024 | | $ | 22 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 732 | | $ | 34 | | $ | 5,756 | | $ | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | | NAIC Rating Designation of Underlying Credit Obligation(1) | | | | NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6(2) | Total | | | | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | | | | (in millions) | | | Single name reference(3) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | Index reference(3) | 0 | | 0 | | 0 | | 0 | | 5,043 | | 61 | | 0 | | 0 | | 0 | | 0 | | 741 | | 51 | | 5,784 | | 112 | | | | | Total | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 5,043 | | $ | 61 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 741 | | $ | 51 | | $ | 5,784 | | $ | 112 | | | |
_________ (1)The NAIC rating designations are based on availability and the lowest ratings among Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Rating Services (“S&P”) and Fitch Ratings Inc. (“Fitch”). If no rating is available from a rating agency, an NAIC 6 rating is used. (2)The NAIC rating designation is due to approximately 4% and 3% of the index reference name rated as NAIC 6 as of March 31, 2026 and December 31, 2025, respectively. (3)Single name credit default swaps may make reference to the credit of corporate debt, sovereign debt, and structured finance. Index reference NAIC designations are based on the lowest rated single name reference included in the index.
|