v3.26.1
Fair Value
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value
7. Fair Value

Fair Value Measurements of Financial Instruments

The following summarizes the Company’s financial assets and liabilities recorded at fair value hierarchy level:

March 31, 2026
(In millions)Level 1Level 2Level 3NAVTotal
Assets
Asset Management
Cash and cash equivalents$3,569 $— $— $— $3,569 
Restricted cash and cash equivalents19 — — — 19 
Cash and cash equivalents of consolidated VIEs851 — — — 851 
Investments180 182 1,586 
1
213 2,161 
Investments of consolidated VIEs5 320 1,938 632 2,895 
Due from related parties2
— — 15 — 15 
Derivative assets3
— 40 2 — 42 
Total Assets – Asset Management
4,624 542 3,541 845 9,552 
Retirement Services
AFS Securities
U.S. government and agencies18,799 — — — 18,799 
U.S. state, municipal and political subdivisions— 747 — — 747 
Foreign governments606 1,049 17 — 1,672 
Corporate9 79,616 6,428 — 86,053 
CLO— 23,694 — — 23,694 
ABS— 13,706 24,784 — 38,490 
CMBS— 12,624 19 — 12,643 
RMBS— 7,867 411 — 8,278 
Total AFS securities19,414 139,303 31,659 — 190,376 
Trading securities24 6,065 143 — 6,232 
Equity securities179 576 8 — 763 
Mortgage loans— — 93,077 — 93,077 
Funds withheld at interest – embedded derivative— — (2,540)— (2,540)
Derivative assets109 8,241 2 — 8,352 
Short-term investments— 7 1 — 8 
Other investments— 1,280 709 — 1,989 
Cash and cash equivalents17,852 — — — 17,852 
Restricted cash and cash equivalents1,159 — — — 1,159 
Investments in related parties
AFS securities
Corporate— 2,432 982 — 3,414 
CLO— 5,465 1,333 — 6,798 
ABS— 1,130 17,603 — 18,733 
CMBS— 153 — — 153 
Total AFS securities – related parties— 9,180 19,918 — 29,098 
Trading securities— — 1,376 — 1,376 
Mortgage loans— — 1,557 — 1,557 
Investment funds— — 2,310 — 2,310 
Funds withheld at interest – embedded derivative— — (381)— (381)
Other investments— — 341 — 341 
Reinsurance recoverable— — 1,851 — 1,851 
Other assets5
— — 183 — 183 
(Continued)
March 31, 2026
(In millions)Level 1Level 2Level 3NAVTotal
Assets of consolidated VIEs
Trading securities— 963 2,411 — 3,374 
Mortgage loans— — 2,031 — 2,031 
Investment funds— — 288 25,345 25,633 
Cash and cash equivalents298 — — — 298 
Total Assets – Retirement Services
39,035 165,615 154,944 25,345 384,939 
Total Assets$43,659 $166,157 $158,485 $26,190 $394,491 
Liabilities
Asset Management
Due to related parties2
$— $— $84 $— $84 
Contingent consideration obligations4
— — 56 — 56 
Other liabilities of consolidated VIEs, at fair value— — 17 — 17 
Total Liabilities – Asset Management
— — 157 — 157 
Retirement Services
Interest sensitive contract liabilities
Embedded derivative— — 13,549 — 13,549 
Universal life benefits— — 744 — 744 
Future policy benefits
AmerUs Life Insurance Company (“AmerUs”) Closed Block— — 1,061 — 1,061 
Indianapolis Life Insurance Company (“ILICO”) Closed Block and life benefits— — 526 — 526 
Market risk benefits5
— — 5,010 — 5,010 
Derivative liabilities48 5,787 — — 5,835 
Other liabilities— — 143 — 143 
Total Liabilities – Retirement Services
48 5,787 21,033 — 26,868 
Total Liabilities$48 $5,787 $21,190 $— $27,025 
(Continued)
December 31, 2025
(In millions)Level 1Level 2Level 3NAVTotal
Assets
Asset Management
Cash and cash equivalents$3,350 $— $— $— $3,350 
Restricted cash and cash equivalents19 — — — 19 
Cash and cash equivalents of consolidated VIEs327 — — — 327 
Investments232 82 1,197 
1
185 1,696 
Investments of consolidated VIEs1 5 2,939 133 3,078 
Due from related parties2
— — 15 — 15 
Derivative assets3
— — 7 — 7 
Total Assets – Asset Management
3,929 87 4,158 318 8,492 
Retirement Services
AFS Securities
U.S. government and agencies16,898 — — — 16,898 
U.S. state, municipal and political subdivisions— 759 — — 759 
Foreign governments516 1,131 12 — 1,659 
Corporate10 82,771 6,650 — 89,431 
CLO— 26,272 — — 26,272 
ABS— 13,255 22,207 — 35,462 
CMBS— 13,043 41 — 13,084 
RMBS— 8,593 439 — 9,032 
Total AFS securities17,424 145,824 29,349 — 192,597 
Trading securities24 6,367 18 — 6,409 
Equity securities185 629 8 — 822 
Mortgage loans— — 91,918 — 91,918 
Funds withheld at interest – embedded derivative— — (2,409)— (2,409)
Derivative assets206 8,982 2 — 9,190 
Short-term investments— 33 — — 33 
Other investments— 1,057 761 — 1,818 
Cash and cash equivalents14,994 — — — 14,994 
Restricted cash and cash equivalents1,332 — — — 1,332 
Investments in related parties
AFS securities
Corporate— 1,117 1,200 — 2,317 
CLO— 5,870 1,333 — 7,203 
ABS— 1,089 15,277 — 16,366 
CMBS— 161 — — 161 
Total AFS securities – related parties— 8,237 17,810 — 26,047 
Trading securities— — 454 — 454 
Equity securities— — 266 — 266 
Mortgage loans— — 1,486 — 1,486 
Investment funds— — 1,318 — 1,318 
Funds withheld at interest – embedded derivative— — (356)— (356)
Other investments— — 344 — 344 
Reinsurance recoverable— — 1,911 — 1,911 
Other assets5
— — 214 — 214 
(Continued)
December 31, 2025
(In millions)Level 1Level 2Level 3NAVTotal
Assets of consolidated VIEs
Trading securities— 683 2,437 — 3,120 
Mortgage loans— — 2,140 — 2,140 
Investment funds— — 286 23,602 23,888 
Cash and cash equivalents569 — — — 569 
Total Assets – Retirement Services
34,734 171,812 147,957 23,602 378,105 
Total Assets$38,663 $171,899 $152,115 $23,920 $386,597 
Liabilities
Asset Management
Contingent consideration obligations4
$— $— $72 $— $72 
Derivative liabilities3
— 7 — — 7 
Total Liabilities – Asset Management
— 7 72 — 79 
Retirement Services
Interest sensitive contract liabilities
Embedded derivative— — 14,749 — 14,749 
Universal life benefits— — 766 — 766 
Future policy benefits
AmerUs Closed Block— — 1,085 — 1,085 
ILICO Closed Block and life benefits— — 530 — 530 
Market risk benefits5
— — 4,930 — 4,930 
Derivative liabilities9 5,733 — — 5,742 
Other liabilities— — 254 — 254 
Total Liabilities – Retirement Services
9 5,733 22,314 — 28,056 
Total Liabilities$9 $5,740 $22,386 $— $28,135 
(Concluded)
1 Investments as of March 31, 2026 and December 31, 2025 excludes $240 million and $235 million, respectively, of performance allocations classified as Level 3 related to certain investments for which the Company elected the fair value option. The Company’s policy is to account for performance allocations as investments.
2 Due from/to related parties represents receivables and payables associated with funds. See note 16 for additional information on due from/to related parties.
3 Derivative assets and derivative liabilities are presented as a component of Other assets and Other liabilities, respectively, in the condensed consolidated statements of financial condition.
4 Other liabilities include profit sharing payable related to contingent obligations classified as Level 3.
5 Other assets consist of market risk benefits assets. See note 9 for additional information on market risk benefits assets and liabilities valuation methodology and additional fair value disclosures.

Changes in fair value of contingent consideration obligations in connection with the acquisition of Stone Tower are recorded in compensation and benefits expense in the condensed consolidated statements of operations. Refer to note 17 for further details.
Level 3 Financial Instruments

The following tables summarize the valuation techniques and quantitative inputs and assumptions used for financial assets and liabilities categorized as Level 3:

March 31, 2026
Fair Value
(In millions)
Valuation TechniqueUnobservable InputsRangesWeighted Average
Financial Assets
Asset Management
Investments$273 Discounted cash flowDiscount rate
5.2% – 52.8%
25.2%
1
132 Direct capitalizationCapitalization rate7.0%7.0%
1,181 Adjusted transaction valueN/AN/AN/A
Due from related parties15 Discounted cash flowDiscount rate14.8%14.8%
Derivative assets2 Option modelVolatility rate50.0%50.0%
Investments of consolidated VIEs
Bank loans589 Discounted cash flowDiscount rate
6.1% – 11.8%
8.8%
1
270 Adjusted transaction valueN/AN/AN/A
Equity securities364 Discounted cash flowDiscount rate
13.7% – 13.7%
13.7%
64 Adjusted transaction valueN/AN/AN/A
4 Option modelVolatility rate
65.0% – 200.0%
95.5%
1
Bonds200 Discounted cash flowDiscount rate
6.5% – 9.4%
7.2%
1
447 Adjusted transaction valueN/AN/AN/A
Retirement Services
AFS, trading and equity securities37,666 Discounted cash flowDiscount rate
3.0% – 23.5%
6.7%
1
Mortgage loans2
96,665 Discounted cash flowDiscount rate
1.4% – 31.4%
6.7%
1
Investment funds2
147 Discounted cash flowDiscount rate
14.0% – 14.0%
14.0%
1
288 RecoverabilityEstimated proceedsN/AN/A
2,163 Adjusted transaction valueN/AN/AN/A
Financial Liabilities
Asset Management
Contingent consideration obligations56 Discounted cash flowDiscount rate
21.0% – 25.0%
23.9%
1
Due to related parties84 Adjusted transaction valueN/AN/AN/A
Liabilities of Consolidated VIEs
Bank Loans16 Adjusted transaction valueN/AN/AN/A
1 Discounted cash flowDiscount rate
6.4% – 11.5%
9.0%
1
Retirement Services
Interest sensitive contract liabilities – indexed annuities embedded derivatives13,549 Discounted cash flowNonperformance risk
0.5% – 1.3%
0.8%
3
Option budget
0.5% – 5.9%
3.1%
4
Surrender rate
6.2% – 14.0%
9.7%
4
1 Unobservable inputs were weighted based on the fair value of the investments included in the range.
2 Includes those of consolidated VIEs.
3 The nonperformance risk weighted average is based on the projected cash flows attributable to the embedded derivative.
4 The option budget and surrender rate weighted averages are calculated based on projected account values.
 December 31, 2025
Fair Value
(In millions)
Valuation TechniquesUnobservable InputsRangesWeighted Average
Financial Assets
Asset Management
Investments$850 Discounted cash flowDiscount rate
5.7% – 52.8%
17.3%
1
154 Direct capitalizationCapitalization rate7.0%7.0%

193 Adjusted transaction valueN/AN/AN/A
Due from related parties15 Discounted cash flowDiscount rate14.8%14.8%
Derivative assets7 Option modelVolatility rate40.0%40.0%
Investments of consolidated VIEs
Bank loans357 Discounted cash flowDiscount rate
6.7% – 13.9%
8.9%
1
740 Adjusted transaction valueN/AN/AN/A
Equity securities392 Discounted cash flowDiscount rate
10.0% – 13.5%
12.8%
1
1,014 Adjusted transaction valueN/AN/AN/A
6 Option modelVolatility rate
100.0% – 105.0%
102.9%
1
Bonds430 Adjusted transaction valueN/AN/AN/A
Retirement Services
AFS, trading and equity securities31,915 Discounted cash flowDiscount rate
2.8% – 22.9%
6.4%
1
Mortgage loans2
95,524 Discounted cash flowDiscount rate
1.0% – 31.5%
6.5%
1
20 RecoverabilityEstimated proceedsN/AN/A
Investment funds2
1,313 Discounted cash flowDiscount rate
13.0% – 14.0%
13.1%
1
286 RecoverabilityEstimated proceedsN/AN/A
5 Reported net asset valueReported net asset valueN/AN/A
Financial Liabilities
Asset Management
Contingent consideration obligations72 Discounted cash flowDiscount rate
20.0% – 24.0%
22.9%
1
Retirement Services
Interest sensitive contract liabilities – indexed annuities embedded derivatives14,749 Discounted cash flowNonperformance risk
0.4% – 1%
0.6%
3
Option budget
0.5% – 5.9%
3.1%
4
Surrender rate
6.0% – 14.2%
9.6%
4
1 Unobservable inputs were weighted based on the fair value of the investments included in the range.
2 Includes those of consolidated VIEs.
3 The nonperformance risk weighted average is based on the projected cash flows attributable to the embedded derivative.
4 The option budget and surrender rate weighted averages are calculated based on projected account values.
The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis:

Three months ended March 31, 2026
Total realized and unrealized gains (losses)
(In millions)Beginning BalanceIncluded in IncomeIncluded in OCINet Purchases, Issuances, Sales and SettlementsNet Transfers In (Out)Ending Balance
Total Gains (Losses) Included in Earnings1
Total Gains (Losses) Included in OCI1
Assets – Asset Management
Investments and derivative assets$1,204 $(12)$— $396 $— $1,588 $5 $— 
Investments of consolidated VIEs2,939 (27)— (489)(485)1,938 (23)— 
Total Level 3 assets – Asset Management
$4,143 $(39)$— $(93)$(485)$3,526 $(18)$— 
Assets – Retirement Services
AFS securities
Foreign governments$12 $— $— $5 $— $17 $— $— 
Corporate6,650 (1)(153)648 (716)6,428 (8)(152)
ABS22,207 (57)(163)2,963 (166)24,784 (66)(167)
CMBS41 — — (22)— 19 — — 
RMBS439 4 — (32)— 411 — 1 
Trading securities18 (1)— 128 (2)143 — — 
Equity securities8 — — — — 8 — — 
Mortgage loans91,918 (746)— 1,905 — 93,077 (749)— 
Funds withheld at interest – embedded derivative(2,409)(131)— — — (2,540)— — 
Derivative assets2 — — — — 2 — — 
Short-term investments— — — 1 — 1 — — 
Other investments761 — — (52)— 709 — — 
Investments in related parties
AFS securities
Corporate1,200 — 8 (226)— 982 — (2)
CLO1,333 — — — — 1,333 — (1)
ABS15,277 2 (49)2,277 96 17,603 — (51)
Trading securities454 (22)— 925 19 1,376 (12)— 
Equity securities266 (4)— (262)— — — — 
Mortgage loans1,486 (7)— 78 — 1,557 (7)— 
Investment funds1,318 (9)— 1,001 — 2,310 (9)— 
Funds withheld at interest – embedded derivative(356)(25)— — — (381)— — 
Other investments344 (3)— — — 341 (4)— 
Reinsurance recoverable1,911 (84)— 24 — 1,851 — — 
Assets of consolidated VIEs
Trading securities2,437 (46)— 70 (50)2,411 (46)— 
Mortgage loans2,140 2 — (111)— 2,031 6 — 
Investment funds286 2 — — — 288 2 — 
Total Level 3 assets – Retirement Services
$147,743 $(1,126)$(357)$9,320 $(819)$154,761 $(893)$(372)
(Continued)
Three months ended March 31, 2026
Total realized and unrealized gains (losses)
(In millions)Beginning BalanceIncluded in IncomeIncluded in OCINet Purchases, Issuances, Sales and SettlementsNet Transfers In (Out)Ending Balance
Total Gains (Losses) Included in Earnings1
Total Gains (Losses) Included in OCI1
Liabilities – Asset Management
Due to related parties$— $(3)$— $87 $— $84 $— $— 
Contingent consideration obligations72 — — (16)— 56 — — 
Other liabilities of consolidated VIEs— 16 — 1 — 17 — — 
Total Level 3 liabilities – Asset Management
$72 $13 $— $72 $— $157 $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative$(14,749)$1,531 $— $(331)$— $(13,549)$— $— 
Universal life benefits(766)22 — — — (744)— — 
Future policy benefits
AmerUs Closed Block(1,085)24 — — — (1,061)— — 
ILICO Closed Block and life benefits(530)4 — — — (526)— — 
Other liabilities(254)111 — — — (143)— — 
Total Level 3 liabilities – Retirement Services
$(17,384)$1,692 $— $(331)$— $(16,023)$— $— 
(Concluded)
1 Related to instruments held at end of period.

Three months ended March 31, 2025
Total realized and unrealized gains (losses)
(In millions)Beginning BalanceIncluded in IncomeIncluded in OCINet Purchases, Issuances, Sales and SettlementsNet Transfers In (Out)Ending Balance
Total Gains (Losses) Included in Earnings1
Total Gains (Losses) Included in OCI1
Assets – Asset Management
Investments and derivative assets$1,081 $12 $— $14 $— $1,107 $(6)$— 
Investments of consolidated VIEs2,258 219 — (352)(607)1,518 (8)— 
Total Level 3 assets – Asset Management
$3,339 $231 $— $(338)$(607)$2,625 $(14)$— 
Assets – Retirement Services
AFS securities
Foreign governments$29 $(1)$— $— $— $28 $— $— 
Corporate4,321 14 27 1,421 (178)5,605 13 20 
ABS16,529 22 167 (81)(4,065)12,572 1 121 
CMBS— (24)(3)28 (1)— — — 
RMBS256 4 (1)47 — 306 — (1)
Trading securities22 — — (1)(14)7 — — 
Equity securities27 (1)— — — 26 — — 
Mortgage loans63,239 1,000 — 6,677 — 70,916 1,007 — 
Funds withheld at interest – embedded derivative(3,035)188 — — — (2,847)— — 
Derivative assets1 — — — — 1 — — 
Short-term investments169 — — (120)(1)48 — — 
Other investments895 1 — — — 896 1 — 
(Continued)
Three months ended March 31, 2025
Total realized and unrealized gains (losses)
(In millions)Beginning BalanceIncluded in IncomeIncluded in OCINet Purchases, Issuances, Sales and SettlementsNet Transfers In (Out)Ending Balance
Total Gains (Losses) Included in Earnings1
Total Gains (Losses) Included in OCI1
Investments in related parties
AFS securities
Corporate1,108 — (2)2 — 1,108 — (2)
CLO696 — (2)376 — 1,070 — (2)
ABS9,741 1 19 624 — 10,385 — 13 
Trading securities573 — — (136)— 437 — — 
Equity securities234 10 — — — 244 10 — 
Mortgage loans1,297 14 — (15)— 1,296 14 — 
Investment funds1,139 41 — — — 1,180 41 — 
Funds withheld at interest – embedded derivative(615)75 — — — (540)— — 
Other investments331 9 — — — 340 9 — 
Reinsurance recoverable1,661 30 — 38 — 1,729 — — 
Assets of consolidated VIEs
Trading securities1,954 67 — 71 78 2,170 66 — 
Mortgage loans2,579 27 — (87)— 2,519 30 — 
Investment funds770 15 — (496)— 289 3 — 
Other investments 103 4 — (16)— 91 2 — 
Total Level 3 assets – Retirement Services
$104,024 $1,496 $205 $8,332 $(4,181)$109,876 $1,197 $149 
Liabilities – Asset Management
Contingent consideration obligations$67 $1 $— $(13)$— $55 $— $— 
Total Level 3 liabilities – Asset Management
$67 $1 $— $(13)$— $55 $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative$(11,242)$1,003 $— $(508)$— $(10,747)$— $— 
Universal life benefits(742)(27)— — — (769)— — 
Future policy benefits
AmerUs Closed Block(1,102)(5)— — — (1,107)— — 
ILICO Closed Block and life benefits(538)(18)— — — (556)— — 
Derivative liabilities(1)1 — — — — — — 
Other liabilities(225)(6)— 1 — (230)— — 
Total Level 3 liabilities – Retirement Services
$(13,850)$948 $— $(507)$— $(13,409)$— $— 
(Concluded)
1 Related to instruments held at end of period.
The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:

Three months ended March 31, 2026
(In millions)PurchasesIssuancesSalesSettlementsNet Purchases, Issuances, Sales and SettlementsTransfers InTransfers OutNet Transfers In (Out)
Assets – Asset Management
Investments and derivative assets$757 $— $(361)$— $396 $— $— $— 
Investments of consolidated VIEs2,033 — (2,522)— (489)1 (486)(485)
Total Level 3 assets – Asset Management
$2,790 $— $(2,883)$— $(93)$1 $(486)$(485)
Assets – Retirement Services
AFS securities
Foreign governments$5 $— $— $— $5 $— $— $— 
Corporate897 — (141)(108)648 — (716)(716)
ABS3,441 — (31)(447)2,963 — (166)(166)
CMBS— — (22)— (22)— — — 
RMBS— — — (32)(32)— — — 
Trading securities129 — — (1)128 — (2)(2)
Mortgage loans6,514 — (30)(4,579)1,905 — — — 
Short-term investments2 — — (1)1 — — — 
Other investments— — — (52)(52)— — — 
Investments in related parties
AFS securities
Corporate— — — (226)(226)— — — 
ABS4,675 — (82)(2,316)2,277 96 — 96 
Trading securities928 — — (3)925 19 — 19 
Equity securities— — — (262)(262)— — — 
Mortgage loans121 — — (43)78 — — — 
Investment funds1,006 — (5)— 1,001 — — — 
Reinsurance recoverable— 30 — (6)24 — — — 
Assets of consolidated VIEs
Trading securities146 — (76)— 70 — (50)(50)
Mortgage loans65 — (42)(134)(111)— — — 
Total Level 3 assets – Retirement Services
$17,929 $30 $(429)$(8,210)$9,320 $115 $(934)$(819)
Liabilities – Asset Management
Due to related parties$— $87 $— $— $87 $— $— $— 
Contingent consideration obligations— — — (16)(16)— — — 
Other liabilities of consolidated VIEs— 2 — (1)1 — — — 
Total Level 3 liabilities – Asset Management
$— $89 $— $(17)$72 $— $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities – embedded derivative$— $(617)$— $286 $(331)$— $— $— 
Total Level 3 liabilities – Retirement Services
$— $(617)$— $286 $(331)$— $— $— 
Three months ended March 31, 2025
(In millions)PurchasesIssuancesSalesSettlementsNet Purchases, Issuances, Sales and SettlementsTransfers InTransfers OutNet Transfers In (Out)
Assets – Asset Management
Investments and derivative assets$14 $— $— $— $14 $— $— $— 
Investments of consolidated VIEs625 — (977)— (352)— (607)(607)
Total Level 3 assets – Asset Management
$639 $— $(977)$— $(338)$— $(607)$(607)
Assets – Retirement Services
AFS securities
Corporate$1,555 $— $(6)$(128)$1,421 $96 $(274)$(178)
ABS229 — (12)(298)(81)479 (4,544)(4,065)
CMBS28 — — — 28 13 (14)(1)
RMBS49 — — (2)47 — — — 
Trading securities— — — (1)(1)— (14)(14)
Mortgage loans9,010 — (132)(2,201)6,677 — — — 
Short-term investments12 — — (132)(120)— (1)(1)
Investments in related parties
AFS securities
Corporate5 — — (3)2 — — — 
CLO376 — — — 376 — — — 
ABS1,204 — — (580)624 — — — 
Trading securities22 — (91)(67)(136)— — — 
Mortgage loans— — (15)— (15)— — — 
Reinsurance recoverable— 41 — (3)38 — — — 
Assets of consolidated VIEs
Trading securities144 — (73)— 71 90 (12)78 
Mortgage loans15 — (7)(95)(87)— — — 
Investment funds— — (496)— (496)— — — 
Other investments— — (16)— (16)— — — 
Total Level 3 assets – Retirement Services
$12,649 $41 $(848)$(3,510)$8,332 $678 $(4,859)$(4,181)
Liabilities – Asset Management
Contingent consideration obligations$— $— $— $(13)$(13)$— $— $— 
Total Level 3 liabilities – Asset Management
$— $— $— $(13)$(13)$— $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities – embedded derivative$— $(752)$— $244 $(508)$— $— $— 
Other liabilities— — — 1 1 — — — 
Total Level 3 liabilities – Retirement Services
$— $(752)$— $245 $(507)$— $— $— 
Fair Value Option – Retirement Services

The following represents the gains (losses) recorded for instruments for which Athene has elected the fair value option, including related parties and VIEs:

Three months ended March 31,
(In millions)20262025
Trading securities$(252)$75 
Mortgage loans(751)1,041 
Investment funds(10)41 
Future policy benefits24 (5)
Other6 12 
Total gains (losses)$(983)$1,164 

Gains and losses on trading securities, mortgage loans, and other are recorded in investment related gains (losses) on the condensed consolidated statements of operations. Gains and losses related to investment funds are recorded in net investment income on the condensed consolidated statements of operations. Gains and losses related to investments of consolidated VIEs are recorded in revenues of consolidated VIEs on the condensed consolidated statements of operations. The change in fair value of future policy benefits is recorded in future policy and other policy benefits on the condensed consolidated statements of operations.

The following summarizes information for fair value option mortgage loans, including related parties and VIEs:

(In millions)March 31, 2026December 31, 2025
Unpaid principal balance$97,844 $96,269 
Mark to fair value(1,179)(725)
Fair value$96,665 $95,544 

The following represents the commercial mortgage loan portfolio 90 days or more past due and/or in non-accrual status:

(In millions)March 31, 2026December 31, 2025
Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status$860 $992 
Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status(323)(337)
Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status$537 $655 
Fair value of commercial mortgage loans 90 days or more past due$313 $274 
Fair value of commercial mortgage loans in non-accrual status537 655 

The following represents the residential mortgage loan portfolio 90 days or more past due and/or in non-accrual status:

(In millions)March 31, 2026December 31, 2025
Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status$965 $826 
Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status(83)(85)
Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status$882 $741 
Fair value of residential mortgage loans 90 days or more past due1
$880 $741 
Fair value of residential mortgage loans in non-accrual status801 678 
1 As of March 31, 2026 and December 31, 2025, includes $81 million and $63 million, respectively, of residential mortgage loans that are guaranteed by U.S. government-sponsored agencies.
The following is the estimated amount of gains (losses) included in earnings during the period attributable to changes in instrument-specific credit risk on Athene’s mortgage loan portfolio:

Three months ended March 31,
(In millions)20262025
Mortgage loans$(24)$(3)

The portion of gains and losses attributable to changes in instrument-specific credit risk is estimated by identifying commercial mortgage loans with loan-to-value ratios meeting credit quality criteria, and residential mortgage loans with delinquency status meeting credit quality criteria.

Fair Value of Financial Instruments Not Carried at Fair Value – Retirement Services

The following represents Athene’s financial instruments not carried at fair value on the condensed consolidated statements of financial condition:
March 31, 2026
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Investment funds$184 $184 $184 $— $— $— 
Policy loans296 296 — — 296 — 
Funds withheld at interest17,054 17,054 — — — 17,054 
Short-term investments132 132 — — — 132 
Other investments64 44 — — — 44 
Investments in related parties
Investment funds826 826 826 — — — 
Funds withheld at interest4,340 4,340 — — — 4,340 
Short-term investments18 18 — — 18 — 
Total financial assets not carried at fair value$22,914 $22,894 $1,010 $— $314 $21,570 
Financial liabilities
Interest sensitive contract liabilities$268,841 $263,060 $— $— $— $263,060 
Debt7,840 7,172 — 546 6,626 — 
Securities to repurchase3,244 3,244 — — 3,244 — 
Funds withheld liability6,247 6,247 — — — 6,247 
Total financial liabilities not carried at fair value$286,172 $279,723 $— $546 $9,870 $269,307 
December 31, 2025
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Investment funds$108 $108 $108 $— $— $— 
Policy loans301 301 — — 301 — 
Funds withheld at interest17,822 17,822 — — — 17,822 
Short-term investments1,049 1,049 — — 907 142 
Other investments57 67 — — — 67 
Investments in related parties
Investment funds831 831 831 — — — 
Funds withheld at interest4,571 4,571 — — — 4,571 
Short-term investments18 18 — — 18 — 
Total financial assets not carried at fair value$24,757 $24,767 $939 $— $1,226 $22,602 
Financial liabilities
Interest sensitive contract liabilities$257,022 $254,089 $— $— $— $254,089 
Debt7,848 7,498 — 576 6,922 — 
Securities to repurchase6,043 6,043 — — 6,043 — 
Funds withheld liability5,946 5,946 — — — 5,946 
Total financial liabilities not carried at fair value$276,859 $273,576 $— $576 $12,965 $260,035 

The fair value for financial instruments not carried at fair value are estimated using the same methods and assumptions as those carried at fair value. The financial instruments presented above are reported at carrying value on the condensed consolidated statements of financial condition; however, in the case of policy loans, funds withheld at interest and liability, short-term investments, and securities to repurchase, the carrying amount approximates fair value.

Other investments – Other investments include investments in low-income housing and transferable energy tax credit structures. For those held using the proportional amortization method, the carrying value may include tax credits which have been received but not yet used, which are excluded from the measurement of the fair value estimate of the investment structures. Tax and other future benefits expected to be generated by these structures are valued using a discounted cash flow model.

Interest sensitive contract liabilities – The carrying and fair value of interest sensitive contract liabilities above includes indexed and traditional fixed annuities without mortality or morbidity risks, funding agreements, guaranteed investment contracts and payout annuities without life contingencies. The embedded derivatives within indexed annuities without mortality or morbidity risks are excluded, as they are carried at fair value. The valuation of these investment contracts is based on discounted cash flow methodologies using significant unobservable inputs. The estimated fair value is determined using current market risk-free interest rates, adding a spread to reflect nonperformance risk and subtracting a risk margin to reflect uncertainty inherent in the projected cash flows.

Debt – The fair value of debt is obtained from commercial pricing services. See note 12 for further information on debt.

Significant Unobservable Inputs

Asset Management

Discounted Cash Flow and Direct Capitalization Model

When a discounted cash flow or direct capitalization model is used to determine fair value, the significant input used in the valuation model is the discount rate applied to present value the projected cash flows or the capitalization rate, respectively. Increases in the discount or capitalization rate can significantly lower the fair value of an investment and the contingent consideration obligations; conversely decreases in the discount or capitalization rate can significantly increase the fair value of an investment and the contingent consideration obligations. See note 17 for further discussion of the contingent consideration obligations.
Option Model

When an option model is used to determine fair value, the significant input used in the valuation model is the volatility rate applied to present value the projected cash flows. Increases in the volatility rate can significantly lower the fair value of an investment; conversely decreases in the volatility rate can significantly increase the fair value of an investment.

Consolidated VIEs’ Investments

The significant unobservable inputs used in the fair value measurement of the equity securities, bank loans and bonds are the discount rate and volatility rates applied in the valuation models. These inputs in isolation can cause significant increases or decreases in fair value, which would result in a significantly lower or higher fair value measurement. The discount and volatility rates are determined based on the market rates an investor would expect for a similar investment with similar risks.

NAV

Certain investments and investments of VIEs are valued using the NAV per share equivalent calculated by the investment manager as a practical expedient to determine an independent fair value.

Retirement Services

AFS, trading and equity securities

Athene uses discounted cash flow models to calculate the fair value for certain fixed maturity and equity securities. The discount rate is a significant unobservable input because the credit spread includes adjustments made to the base rate. The base rate represents a market comparable rate for securities with similar characteristics. This excludes assets for which fair value is provided by independent broker quotes.

Mortgage loans

Athene uses discounted cash flow models from independent commercial pricing services to calculate the fair value of its mortgage loan portfolio. The discount rate is a significant unobservable input. This approach uses market transaction information and client portfolio-oriented information, such as prepayments or defaults, to support the valuations. For mortgage loans that Athene has entered into an agreement to sell at a specified price, the fair value is based on the estimated proceeds of the sale.

Interest sensitive contract liabilities – embedded derivative

Significant unobservable inputs used in the indexed annuities embedded derivative of the interest sensitive contract liabilities valuation include:

1.Nonperformance risk – For contracts Athene issues, it uses the credit spread, relative to the U.S. Treasury curve based on Athene’s public credit rating as of the valuation date. This represents Athene’s credit risk used in the fair value estimate of embedded derivatives.
2.Option budget – Athene assumes future hedge costs in the derivative’s fair value estimate. The level of option budgets determines the future costs of the options and impacts future policyholder account value growth.
3.Policyholder behavior – Athene regularly reviews the full withdrawal (surrender rate) assumptions. These are based on initial pricing assumptions updated for actual experience. Actual experience may be limited for recently issued products.

Valuation of Underlying Investments

Asset Management

The underlying entities that Apollo manages and invests in are primarily investment companies that account for their investments at estimated fair value.
On a quarterly basis, valuation committees consisting of members from senior management review and approve the valuation results related to the investments of the funds Apollo manages. Apollo also retains external valuation firms for third-party valuation consulting services, which consist of certain limited procedures that management identifies and requests them to perform. The limited procedures provided by the external valuation firms assist management with validating their valuation results or determining fair value. Apollo performs various back-testing procedures to validate its valuation approaches, including comparisons between expected and observed outcomes, forecast evaluations and variance analyses. However, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.

Credit Investments

Credit investments are generally valued based on third-party vendor prices and/or quoted market prices and valuation models. Valuations using quoted market prices are based on the average of the “bid” and the “ask” quotes provided by multiple brokers wherever possible without any adjustments. Apollo will designate certain brokers to use to value specific securities. In determining the designated brokers, Apollo considers the following: (1) brokers with which Apollo has previously transacted, (2) the underwriter of the security and (3) active brokers indicating executable quotes. In addition, when valuing a security based on broker quotes wherever possible Apollo tests the standard deviation amongst the quotes received and the variance between the concluded fair value and the value provided by a pricing service. When relying on a third-party vendor as a primary source, Apollo (1) analyzes how the price has moved over the measurement period, (2) reviews the number of brokers included in the pricing service’s population, if available, and (3) validates the valuation levels with Apollo’s pricing team and traders.

Debt securities that are not publicly traded or whose market prices are not readily available are valued at fair value utilizing a model-based approach to determine fair value. Valuation approaches used to estimate the fair value of illiquid credit investments also may include the income approach, as described below. The valuation approaches used consider, as applicable, market risks, credit risks, counterparty risks and foreign currency risks.

Equity Investments

The majority of illiquid equity investments are valued using the market approach and/or the income approach, as described below.

Market Approach

The market approach is driven by current market conditions, including actual trading levels of similar companies and, to the extent available, actual transaction data of similar companies. Judgment is required by management when assessing which companies are similar to the subject company being valued. Consideration may also be given to any of the following factors: (1) the subject company’s historical and projected financial data; (2) valuations given to comparable companies; (3) the size and scope of the subject company’s operations; (4) the subject company’s individual strengths and weaknesses; (5) expectations relating to the market’s receptivity to an offering of the subject company’s securities; (6) applicable restrictions on transfer; (7) industry and market information; (8) general economic and market conditions; and (9) other factors deemed relevant. Market approach valuation models typically employ a multiple that is based on one or more of the factors described above.

Enterprise value as a multiple of earnings before interest, taxes, depreciation and amortization (“EBITDA”) is common and relevant for most companies and industries; however, other industry specific multiples are employed where available and appropriate. Sources for gaining additional knowledge related to comparable companies include public filings, annual reports, analyst research reports and press releases. Once a comparable company set is determined, Apollo reviews certain aspects of the subject company’s performance and determines how its performance compares to the group and to certain individuals in the group. Apollo compares certain measurements such as EBITDA margins, revenue growth over certain time periods, leverage ratios and growth opportunities. In addition, Apollo compares the entry multiple and its relation to the comparable set at the time of acquisition to understand its relation to the comparable set on each measurement date.
Income Approach

The income approach provides an indication of fair value based on the present value of cash flows that a business or security is expected to generate in the future. The most widely used methodology for the income approach is a discounted cash flow method. Inherent in the discounted cash flow method are significant assumptions related to the subject company’s expected results, the determination of a terminal value and a calculated discount rate, which is normally based on the subject company’s WACC. The WACC represents the required rate of return on total capitalization, which is comprised of a required rate of return on equity, plus the current tax-effected rate of return on debt, weighted by the relative percentages of equity and debt that are typical in the industry. The most critical step in determining the appropriate WACC for each subject company is to select companies that are comparable in nature to the subject company and the credit quality of the subject company. Sources for gaining additional knowledge about the comparable companies include public filings, annual reports, analyst research reports and press releases. The general formula then used for calculating the WACC considers the after-tax rate of return on debt capital and the rate of return on common equity capital, which further considers the risk-free rate of return, market beta, market risk premium and small stock premium, if applicable. The variables used in the WACC formula are inferred from the comparable market data obtained. The Company evaluates the comparable companies selected and concludes on WACC inputs based on the most comparable company or analyzes the range of data for the investment.

The value of liquid investments, where the primary market is an exchange (whether foreign or domestic), is determined using period end market prices. Such prices are generally based on the close price on the date of determination.

Certain of the funds Apollo manages may also enter into foreign currency exchange contracts, total return swap contracts, credit default swap contracts and other derivative contracts, which may include options, caps, collars and floors. Foreign currency exchange contracts are marked-to-market by recognizing the difference between the contract exchange rate and the current market rate as unrealized appreciation or depreciation. If securities are held at the end of the period, the changes in value are recorded in income as unrealized. Realized gains or losses are recognized when contracts are settled. Total return swap and credit default swap contracts are recorded at fair value as an asset or liability with changes in fair value recorded as unrealized appreciation or depreciation. Realized gains or losses are recognized at the termination of the contract based on the difference between the close-out price of the total return or credit default swap contract and the original contract price. Forward contracts are valued based on market rates obtained from counterparties or prices obtained from recognized financial data service providers.

Retirement Services

AFS and trading securities

The fair values for most marketable securities without an active market are obtained from several commercial pricing services. These are classified as Level 2 assets. The pricing services incorporate a variety of market observable information in their valuation techniques, including benchmark yields, trading activity, credit quality, issuer spreads, bids, offers and other reference data. This category typically includes U.S. and non-U.S. corporate bonds, U.S. agency and government guaranteed securities, CLO, ABS, CMBS and RMBS.

Athene also has fixed maturity securities priced based on indicative broker quotes or by employing market accepted valuation models. For certain fixed maturity securities, the valuation model uses significant unobservable inputs and these are included in Level 3 in the fair value hierarchy. Significant unobservable inputs used include discount rates, issue-specific credit adjustments, material non-public financial information, estimation of future earnings and cash flows, default rate assumptions, liquidity assumptions and indicative quotes from market makers.

Privately placed fixed maturity securities are valued based on the credit quality and duration of comparable marketable securities, which may be securities of another issuer with similar characteristics. In some instances, a matrix-based pricing model is used. These models consider the current level of risk-free interest rates, corporate spreads, credit quality of the issuer and cash flow characteristics of the security. Additional factors such as net worth of the borrower, value of collateral, capital structure of the borrower, presence of guarantees and Athene’s evaluation of the borrower’s ability to compete in its relevant market are also considered. Privately placed fixed maturity securities are classified as Level 2 or 3.
Equity securities

Fair values of publicly traded equity securities are based on quoted market prices and classified as Level 1. Other equity securities, typically private equities or equity securities not traded on an exchange, are valued based on other sources, such as commercial pricing services or brokers, and are classified as Level 2 or 3.

Mortgage loans

Athene estimates fair value monthly using discounted cash flow analysis and rates being offered for similar loans to borrowers with similar credit ratings. Loans with similar characteristics are aggregated for purposes of the calculations. The discounted cash flow model uses unobservable inputs, including estimates of discount rates and loan prepayments. For mortgage loans that Athene has entered into an agreement to sell at a specified price, the fair value is based on the agreed upon price. Mortgage loans are classified as Level 3.

Investment funds

Investment funds are typically measured using NAV as a practical expedient in determining fair value and are not classified in the fair value hierarchy. The carrying value reflects a pro rata ownership percentage as indicated by NAV in the investment fund financial statements, which may be adjusted if it is determined NAV is not calculated consistent with investment company fair value principles. The underlying investments of the investment funds may have significant unobservable inputs, which may include but are not limited to, comparable multiples and WACC rates applied in valuation models or a discounted cash flow model.

Certain investment funds for which Athene has elected the fair value option are included in Level 3 and are priced based on market accepted valuation models. The valuation models use significant unobservable inputs, which include material non-public financial information, estimation of future distributable earnings and demographic assumptions.

Other investments

The fair values of other investments are determined using a discounted cash flow model using discount rates for similar investments.

Funds withheld at interest embedded derivatives

Funds withheld at interest embedded derivatives represent the right to receive or obligation to pay the total return on the assets supporting the funds withheld at interest or funds withheld liability, respectively, and are analogous to a total return swap with a floating rate leg. The fair value of embedded derivatives on funds withheld and modco agreements is measured as the unrealized gain (loss) on the underlying assets and classified as Level 3.

Derivatives

Derivative contracts can be exchange traded or over the counter. Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy depending on trading activity. Over-the-counter derivatives are valued using valuation models or an income approach using third-party broker valuations. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates and correlation of the inputs. Athene considers and incorporates counterparty credit risk in the valuation process through counterparty credit rating requirements and monitoring of overall exposure. Athene also evaluates and includes its own nonperformance risk in valuing derivatives. The majority of Athene’s derivatives trade in liquid markets; therefore, it can verify model inputs and model selection does not involve significant management judgment. These are typically classified within Level 2 of the fair value hierarchy.

Interest sensitive contract liabilities embedded derivatives

Embedded derivatives related to interest sensitive contract liabilities with indexed annuity products are classified as Level 3. The valuations include significant unobservable inputs associated with economic assumptions and actuarial assumptions for policyholder behavior.
AmerUs Closed Block

Athene elected the fair value option for the future policy benefits liability in the AmerUs Closed Block. The valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component is the present value of the projected release of required capital and future earnings before income taxes on required capital supporting the AmerUs Closed Block, discounted at a rate which represents a market participant’s required rate of return, less the initial required capital. Unobservable inputs include estimates for these items. The AmerUs Closed Block policyholder liabilities and any corresponding reinsurance recoverable are classified as Level 3.

ILICO Closed Block

Athene elected the fair value option for the ILICO Closed Block. The valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component uses the present value of future cash flows which include commissions, administrative expenses, reinsurance premiums and benefits, and an explicit cost of capital. The discount rate includes a margin to reflect the business and nonperformance risk. Unobservable inputs include estimates for these items. The ILICO Closed Block policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Universal life liabilities and other life benefits

Athene elected the fair value option for certain blocks of universal and other life business ceded to Global Atlantic. Athene uses a present value of liability cash flows. Unobservable inputs include estimates of mortality, persistency, expenses, premium payments and a risk margin used in the discount rates that reflect the riskiness of the business. The universal life policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Other liabilities

Other liabilities include funds withheld liability embedded derivatives, as described above in funds withheld at interest embedded derivatives, and a ceded modco agreement of certain inforce funding agreement contracts for which Athene elected the fair value option. Athene estimates the fair value of the ceded modco agreement by discounting projected cash flows for net settlements and certain periodic and non-periodic payments. Unobservable inputs include estimates for asset portfolio returns and economic inputs used in the discount rate, including risk margin. Depending on the projected cash flows and other assumptions, the contract may be recorded as an asset or liability. The estimate is classified as Level 3.