v3.26.1
DERIVATIVES
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES DERIVATIVES
The Company uses derivatives as part of its overall asset/liability risk management primarily to reduce exposures to equity market and interest rate risks. Derivative hedging strategies are designed to reduce these risks from an economic perspective and are all executed within the framework of a “Derivative Use Plan” approved by applicable states’ insurance law. Derivatives are generally not accounted for using hedge accounting, with the exception of TIPS and cash flow hedges, which are discussed further below. Operation of these hedging programs is based on models involving numerous estimates and assumptions, including, among others, mortality, lapse, surrender and withdrawal rates, election rates, fund performance, market volatility and interest rates. A wide range of derivative contracts are used in these hedging programs, including exchange traded equity, currency and interest rate futures contracts, total return and/or other equity swaps, interest rate swap and floor contracts, bond and bond-index total return swaps, swaptions, variance swaps and equity options, credit and foreign exchange derivatives, as well as bond and repo transactions to support the hedging. The derivative contracts are collectively managed in an effort to reduce the economic impact of unfavorable changes in guaranteed benefits’ exposures attributable to movements in capital markets. In addition, as part of its hedging strategy, the Company targets an asset level for all variable annuity products at or above a CTE98 level under most economic scenarios (CTE is a statistical measure of tail risk which quantifies the total asset requirement (“TAR”) to sustain a loss if an event outside a given probability level has occurred. CTE98 denotes the financial resources a company would need to cover the average of the worst 2% of scenarios.)
Derivatives Utilized to Hedge Exposure to Variable Annuities with Guarantee Features
The Company has issued and continues to offer variable annuity products with GMxB features which are accounted for as MRBs. The risk associated with the GMDB feature is that under-performance of the financial markets could result in GMDB benefits, in the event of death, being higher than what accumulated policyholders’ account balances would support. The risk associated with the GMIB feature is that under-performance of the financial markets could result in the present value of GMIB, in the event of annuitization, being higher than what accumulated policyholders’ account balances would support, taking into account the relationship between current annuity purchase rates and the GMIB guaranteed annuity purchase rates. The risk associated with products that have a GMxB feature and are accounted for as MRBs is that under-performance of the financial markets could result in the GMxB features benefits being higher than what accumulated policyholders’ account balances would support.
For GMxB features, the Company retains certain risks including basis, credit spread, and some volatility risk and risk associated with actual experience compared to expected actuarial assumptions for mortality, lapse and surrender, withdrawal and policyholder election rates, among other things. The derivative contracts are managed to correlate with changes in the value of the GMxB features that result from financial markets movements. A portion of exposure to realized equity volatility is hedged using equity total return swaps and futures, a portion of exposure to credit risk is hedged using total return swaps and futures on treasuries. The Company has also purchased reinsurance contracts to mitigate the risks associated with GMDB features and the impact of potential market fluctuations on future policyholder elections of GMIB features contained in certain annuity contracts issued by the Company. The reinsurance of these features is accounted for as purchased MRBs. In addition, on June 1, 2021, we ceded legacy variable annuity policies sold by Equitable Financial between 2006-2008 (the “Block”), comprised of non-New York “Accumulator” policies containing fixed rate GMIB and/or GMDB guarantees to CS Life. As this contract provides full risk transfer and thus has the same risk attributes as the underlying direct contracts, the benefits of this treaty are accounted for in the same manner as the underlying gross reserves and therefore the amounts due from reinsurers related to excess benefits are accounted for as purchased MRBs.
Derivatives Utilized to Hedge Crediting Rate Exposure on SCS, SIO, MSO and IUL Products/Investment Options
The Company hedges crediting rates in the SCS variable annuity, SIO in the EQUI-VEST variable annuity series, MSO in the variable life insurance products and IUL insurance products. These products permit the contract owner to participate in the performance of an index, ETF or commodity price movement up to a cap for a set period of time. They also contain a protection feature, in which the Company will absorb, up to a certain percentage, the loss of value in an index, ETF or commodity price, which varies by product segment.
In order to support the returns associated with these features, the Company enters into derivative contracts whose payouts, in combination with fixed income investments, emulate those of the index, ETF or commodity price, subject to caps and buffers, thereby substantially reducing any exposure to market-related earnings volatility.
Derivatives Used to Hedge Equity Market Risks Associated with the General Account’s Seed Money Investments in Retail Mutual Funds
The Company’s General Account seed money investments in retail mutual funds expose us to market risk, including equity market risk which is partially hedged through equity-index futures contracts to minimize such risk.
Derivatives Used for General Account Investment Portfolio
The Company purchased 30-year TIPS and other sovereign bonds, both inflation linked and non-inflation linked, as General Account investments and enters into asset or cross-currency basis swaps, to result in payment of the given bond’s coupons and principal at maturity in the bond’s specified currency to the swap counterparty in return for fixed dollar amounts. These swaps, when considered in combination with the bonds, together result in a net position that is intended to replicate a dollar-denominated fixed-coupon cash bond with a yield higher than a term-equivalent U.S. Treasury bond.
Derivatives Utilized to Hedge Exposure to Foreign Currency Denominated Cash Flows
The Company purchases private placement debt securities and issues funding agreements in the FABN program in currencies other than its functional U.S. dollar currency. The Company enters into cross currency swaps with external counterparties to hedge the exposure of the foreign currency denominated cash flows of these instruments. The foreign currency received from or paid to the cross currency swap counterparty is exchanged for fixed U.S. dollar amounts with improved net investment yields or net product costs over equivalent U.S. dollar denominated instruments issued at that time. The transactions are accounted for as cash flow hedges when they are designated in hedging relationships and qualify for hedge accounting.
These cross currency swaps are for the period the foreign currency denominated private placement debt securities and funding agreement are outstanding, with the longest cross currency swap expiring in 2054. Since these cross currency swaps are designated and qualify as cash flow hedges, the corresponding interest accruals are recognized in Net investment income and in interest credited to policyholders’ account balances.
The tables below present quantitative disclosures about the Company’s derivative instruments designated in hedging relationships and derivative instruments which have not been designated in hedging relationships, including those embedded in other contracts required to be accounted for as derivative instruments.
The following table presents the gross notional amount and fair value of the Company’s derivatives:

Derivative Instruments by Category
June 30, 2026December 31, 2025
Fair ValueFair Value
Notional
Amount
Derivative
Assets
Derivative Liabilities
Net
Derivatives
Notional AmountDerivative AssetsDerivative Liabilities
Net Derivatives
(in millions)
Derivatives: designated for hedge accounting (1)
 Cash flow hedges:
 Currency swaps $3,555 $114 $129 $(15)$3,286 $96 $142 $(46)
 Interest swaps952 — 348 (348)952 — 330 (330)
 Total: designated for hedge accounting 4,507 114 477 (363)4,238 96 472 (376)
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures 18,198 — 2 (2)15,052 1 — 1 
Swaps 19,472 77 765 (688)18,290 61 47 14 
Options99,734 32,043 8,144 23,899 88,273 27,686 6,580 21,106 
Forwards
— 92 — 92 — 34 — 34 
June 30, 2026December 31, 2025
Fair ValueFair Value
Notional
Amount
Derivative
Assets
Derivative Liabilities
Net
Derivatives
Notional AmountDerivative AssetsDerivative Liabilities
Net Derivatives
Interest rate contracts:
Futures8,415 — — — 8,802 — — 
Swaps585 5 4 1 601 — 18 (18)
Options50 5 — 5 50 5 — 5 
Credit contracts:
Credit default swaps443 1 11 (10)397 1 11 (10)
Currency contracts:
Currency swaps110 3 — 3 — — — — 
Currency forwards116 20 18 2 90 15 16 (1)
Other freestanding contracts:
Margin— 1,099 — 1,099 — 948 — 948 
Collateral— 137 22,778 (22,641)— 144 20,776 (20,632)
Total: not designated for hedge accounting147,123 33,482 31,722 1,760 131,555 28,895 27,448 1,447 
Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2)— — 25,743 (25,743)— — 21,819 (21,819)
Modco payable
— 3 — 3 — (1)— (1)
Total embedded derivatives— 3 25,743 (25,740)— (1)21,819 (21,820)
Total derivative instruments$151,630 $33,599 $57,942 $(24,343)$135,793 $28,990 $49,739 $(20,749)
______________
(1)Reported in other invested assets in the consolidated balance sheets.
(2)Reported in policyholders’ account balances in the consolidated balance sheets.
The following table presents the effects of derivative instruments on the consolidated statements of income and comprehensive income (loss):
Derivative Instruments by Category
Three Months Ended June 30, 2026Six Months Ended June 30, 2026
Net Derivative Gains (Losses) (1)
Net Investment
Income
Interest Credited To Policyholders
Account Balances
AOCI
Net
Derivative
Gains
(Losses)
(1)
Net
Investment
Income
Interest Credited To Policyholders Account BalancesAOCI
(in millions)
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency swaps$(1)$6 $(6)$(12)$— $11 $(25)$54 
Interest swaps— (28)— 15 — (21)— 11 
Total: designated for hedge accounting(1)(22)(6)3 — (10)(25)65 
Derivatives: not Designated for hedge accounting
Equity contracts:
Futures492 — — — 407 — — — 
Swaps(2,118)— — — (1,598)— — — 
Options7,401 — — — 5,148 — — — 
Forwards
93 — — — 58 — — — 
Interest rate contracts:
Futures35 — — — 37 — — — 
Swaps— — — — (6)— — — 
Options
— — — — — — — — 
Credit contracts:
Credit default swaps(4)— — — (1)— — — 
Currency contracts:
Currency swaps3 — — — 3 — — — 
Currency forwards4 — — — 6 — — — 
Other freestanding contracts:
Margin— — — — — — — — 
Collateral— — — — — — — — 
Total: not designated for hedge accounting5,906 — — — 4,054 — — — 
Embedded derivatives:
SCS, SIO,MSO and IUL indexed features(7,949)— — — (5,512)— — — 
Modco payable
(11)— — — (17)— — — 
Total embedded derivatives(7,960)— — — (5,529)— — — 
Total derivative instruments$(2,055)$(22)$(6)$3 $(1,475)$(10)$(25)$65 
______________
(1)Reported in net derivative gains (losses) in the consolidated statements of income (loss).
Three Months Ended June 30, 2025Six Months Ended June 30, 2025
Net Derivative Gains (Losses) (1)
Net Investment IncomeInterest Credited To Policyholders Account BalancesAOCI
Net Derivative Gains (Losses) (1)
Net Investment IncomeInterest Credited To Policyholders Account BalancesAOCI
(in millions)
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency swaps$— $9 $73 $(151)$— $15 $106 $(188)
Interest swaps— (8)— 13 — (11)— (8)
Total: designated for hedge accounting— 1 73 (138)— 4 106 (196)
Derivatives: not Designated for hedge accounting
Equity contracts:
Futures472 — — — 272 — — — 
Swaps(1,204)— — — (499)— — — 
Options4,235 — — — 1,590 — — — 
Forwards
— — — — — — — — 
Interest rate contracts:
Futures(98)— — — (121)— — — 
Swaps(16)— — — (1)— — — 
Options(1)— — — (2)— — — 
Credit contracts:
Credit default swaps(3)— — — (3)— — — 
Currency contracts:
Currency swaps(57)— — — (87)— — — 
Currency forwards(6)— — — (6)— — — 
Total: not designated for hedge accounting3,322 — — — 1,143 — — — 
Embedded derivatives:
SCS, SIO,MSO and IUL indexed features(4,696)— — — (1,718)— — — 
Modco payable
— — — — — — — — 
Total embedded derivatives(4,696)— — — (1,718)— — — 
Total derivative instruments (1)
$(1,374)$1 $73 $(138)$(575)$4 $106 $(196)
______________
(1)Reported in net derivative gains (losses) in the consolidated statements of income (loss).
The following table presents a roll-forward of cash flow hedges recognized in AOCI:
Roll-forward of Cash flow hedges in AOCI
Three Months Ended June 30,Six Months Ended June 30,
2026202520262025
(in millions)
Balance, beginning of period $(5)$22 $(67)$80 
Amount recorded in AOCI
Currency swaps(17)(91)31 (81)
Interest swaps(16)— (18)(29)
Total amount recorded in AOCI(33)(91)13 (110)
Amount reclassified from (to) income to AOCI
Currency swaps (1)5 (60)23 (107)
Interest swaps (1)31 13 29 21 
Total amount reclassified from (to) income to AOCI
36 (47)52 (86)
Balance, end of period (2)$(2)$(116)$(2)$(116)
______________
(1)    Currency swaps and Interest rate swap income is reported in Net investment income in the consolidated statements of income (loss).
(2)    The Company does not estimate the amount of the deferred losses in AOCI at June 30, 2026 and 2025, which will be released and reclassified into net income (loss) over the next 12 months as the amounts cannot be reasonably estimated.
Equity-Based and Treasury Futures Contracts Margin
All outstanding equity-based and treasury futures contracts as of June 30, 2026 and December 31, 2025, are exchange-traded and net settled daily in cash. As of June 30, 2026 and December 31, 2025, respectively, the Company had open exchange-traded futures positions on: (i) the S&P 500, Nasdaq, Russell 2000 and Emerging Market indices, having initial margin requirements of $928 million and $810 million, (ii) the 2-year, 5-year and 10-year U.S. Treasury Notes on U.S. Treasury bonds and ultra-long bonds, having initial margin requirements of $153 million and $128 million, and (iii) Currency futures on the Euro/U.S. dollar, Pound/U.S. dollar, having initial margin requirements of $31 million and $26 million.
Collateral Arrangements
The Company generally has executed a CSA under the ISDA Master Agreement it maintains with each of its OTC derivative counterparties that requires both posting and accepting collateral either in the form of cash or high-quality securities, such as U.S. Treasury securities, U.S. government and government agency securities and investment grade corporate bonds. The Company nets the fair value of all derivative financial instruments with counterparties for which an ISDA Master Agreement and related CSA have been executed. As of June 30, 2026 and December 31, 2025, respectively, the Company held $22.8 billion and $20.8 billion in cash and securities collateral delivered by trade counterparties, representing the fair value of the related derivative agreements. The unrestricted cash collateral is reported in other invested assets. The Company posted collateral of $137 million and $144 million as of June 30, 2026 and December 31, 2025, respectively, in the normal operation of its collateral arrangements. The Company is exposed to losses in the event of non-performance by counterparties to financial derivative transactions with a positive fair value. The Company manages credit risk by: (i) entering into derivative transactions with highly rated major international financial institutions and other creditworthy counterparties governed by master netting agreements, as applicable; (ii) trading through central clearing and OTC parties; (iii) obtaining collateral, such as cash and securities, when appropriate; and (iv) setting limits on single party credit exposures which are subject to periodic management review.
Substantially all of the Company’s derivative agreements have zero thresholds which require daily full collateralization by the party in a liability position. In addition, certain of the Company’s derivative agreements contain credit-risk related contingent features; if the credit rating of one of the parties to the derivative agreement is to fall below a certain level, the party with positive fair value could request termination at the then fair value or demand immediate full collateralization from the party whose credit rating fell and is in a net liability position.
As of June 30, 2026 and December 31, 2025, there were no net liability derivative positions with counterparties with credit risk-related contingent features whose credit rating has fallen. All derivatives have been appropriately collateralized by the Company or the counterparty in accordance with the terms of the derivative agreements.
The following tables present information about the Company’s offsetting of financial assets and liabilities and derivative instruments:
Offsetting of Financial Assets and Liabilities and Derivative Instruments
As of June 30, 2026

Gross Amount RecognizedGross Amount Offset in the Balance SheetsNet Amount Presented in the Balance SheetsGross Amount not Offset in the Balance Sheets (3)Net Amount
(in millions)
Assets:
Derivative assets (1)$33,597 $25,348 $8,249 $(6,830)$1,419 
Secured lending
201 — 201 — 201 
Other financial assets2,166 — 2,166 — 2,166 
Other invested assets$35,964 $25,348 $10,616 $(6,830)$3,786 
Liabilities:
Derivative liabilities (2)$25,369 $25,348 $21 $— $21 
Secured lending
201 — 201 — 201 
Other financial liabilities6,602 — 6,602 — 6,602 
Other liabilities$32,172 $25,348 $6,824 $— $6,824 
______________
(1)Excludes Asset Management segment’s derivative assets of consolidated VIEs/VOEs.
(2)Excludes Asset Management segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)Financial instruments/collateral sent (held).
As of December 31, 2025

Gross Amount RecognizedGross Amount Offset in the Balance SheetsNet Amount Presented in the Balance SheetsGross Amount not Offset in the Balance Sheets (3)Net Amount
(in millions)
Assets:
Derivative assets (1)$28,990 $20,424 $8,566 $(7,344)$1,222 
Secured Lending
408 — 408 — 408 
Other financial assets1,994 — 1,994 — 1,994 
Other invested assets$31,392 $20,424 $10,968 $(7,344)$3,624 
Liabilities:
Derivative liabilities (2)$20,575 $20,424 $151 $— $151 
Secured Lending
408 — 408 — 408 
Other financial liabilities6,442 — 6,442 — 6,442 
Other liabilities$27,425 $20,424 $7,001 $— $7,001 
______________
(1)Excludes Asset Management segment’s derivative assets of consolidated VIEs/VOEs.
(2)Excludes Asset Management segment’s derivative liabilities of consolidated VIEs/VOEs.
(3)Financial instruments sent (held).