
	September 30, 2025
(In millions)	Level 1		Level 2		Level 3			NAV		Total
Assets
Asset Management
Cash and cash equivalents	$	2,768	$	—	$	—		$	—	$	2,768
Restricted cash and cash equivalents	19		—		—			—		19
Cash and cash equivalents of VIEs	448		—		—			—		448

Investments, at fair value	287		87		1,199		1	179		1,752
Investments of consolidated VIEs	3		7		3,703			469		4,182
Due from related parties2	—		—		14			—		14
Derivative assets3	—		1		11			—		12
Total Assets – Asset Management	3,525		95		4,927			648		9,195
Retirement Services
AFS Securities
U.S. government and agencies	13,500		—		—			—		13,500
U.S. state, municipal and political subdivisions	—		832		—			—		832
Foreign governments	581		1,136		23			—		1,740
Corporate	10		87,017		6,483			—		93,510
CLO	—		29,952		—			—		29,952
ABS	—		13,613		16,987			—		30,600
CMBS	—		13,319		—			—		13,319
RMBS	—		10,079		489			—		10,568
Total AFS securities	14,091		155,948		23,982			—		194,021
Trading securities	24		5,316		12			—		5,352
Equity securities	192		843		7			—		1,042
Mortgage loans	—		—		81,891			—		81,891

Funds withheld at interest – embedded derivative	—		—		(2,473)			—		(2,473)
Derivative assets	174		8,708		2			—		8,884
Short-term investments	—		4		18			—		22
Other investments	—		954		869			—		1,823
Cash and cash equivalents	14,183		—		—			—		14,183
Restricted cash and cash equivalents	2,767		—		—			—		2,767
Investments in related parties
AFS securities
Corporate	—		1,099		1,201			—		2,300
CLO	—		6,668		698			—		7,366
ABS	—		1,000		13,836			—		14,836
CMBS	—		161		—			—		161
Total AFS securities – related parties	—		8,928		15,735			—		24,663
Trading securities	—		—		411			—		411
Equity securities	—		—		265			—		265
Mortgage loans	—		—		1,375			—		1,375
Investment funds	—		—		1,306			—		1,306
Funds withheld at interest – embedded derivative	—		—		(405)			—		(405)

Other investments	—		—		345			—		345
Reinsurance recoverable	—		—		1,901			—		1,901
Other assets5	—		—		223			—		223
(Continued)


	September 30, 2025
(In millions)	Level 1		Level 2		Level 3		NAV		Total
Assets of consolidated VIEs
Trading securities	—		939		1,958		—		2,897

Mortgage loans	—		—		2,080		—		2,080
Investment funds	—		—		263		20,140		20,403
Other investments	—		—		664		—		664
Cash and cash equivalents	1,016		—		—		—		1,016
Total Assets – Retirement Services	32,447		181,640		130,429		20,140		364,656
Total Assets	$	35,972	$	181,735	$	135,356	$	20,788	$	373,851
Liabilities
Asset Management


Contingent consideration obligations4	—		—		58		—		58
Derivative liabilities3	—		1		—		—		1

Total Liabilities – Asset Management	—		1		58		—		59
Retirement Services
Interest sensitive contract liabilities
Embedded derivative	—		—		14,299		—		14,299
Universal life benefits	—		—		777		—		777
Future policy benefits
AmerUs Life Insurance Company (“AmerUs”) Closed Block	—		—		1,102		—		1,102
Indianapolis Life Insurance Company (“ILICO”) Closed Block and life benefits	—		—		548		—		548
Market risk benefits5	—		—		4,835		—		4,835
Derivative liabilities	39		4,814		—		—		4,853
Other liabilities	—		—		308		—		308
Total Liabilities – Retirement Services	39		4,814		21,869		—		26,722
Total Liabilities	$	39	$	4,815	$	21,927	$	—	$	26,781

(Concluded)


	December 31, 2024
(In millions)	Level 1		Level 2		Level 3			NAV		Total
Assets
Asset Management
Cash and cash equivalents	$	2,692	$	—	$	—		$	—	$	2,692
Restricted cash and cash equivalents	3		—		—			—		3
Cash and cash equivalents of VIEs	158		—		—			—		158

Investments, at fair value	238		22		1,052		1	72		1,384
Investments of consolidated VIEs	191		111		2,258			234		2,794
Due from related parties2	—		—		27			—		27
Derivative assets3	—		40		29			—		69
Total Assets – Asset Management	3,282		173		3,366			306		7,127

Retirement Services
AFS Securities
U.S. government and agencies	7,149		2		—			—		7,151
U.S. state, municipal and political subdivisions	—		921		—			—		921
Foreign governments	658		881		29			—		1,568
Corporate	11		79,253		4,321			—		83,585
CLO	—		29,182		—			—		29,182
ABS	—		7,672		16,529			—		24,201
CMBS	—		10,741		—			—		10,741
RMBS	—		7,759		256			—		8,015
Total AFS securities	7,818		136,411		21,135			—		165,364
Trading securities	22		1,539		22			—		1,583
Equity securities	190		1,073		27			—		1,290
Mortgage loans	—		—		63,239			—		63,239

Funds withheld at interest – embedded derivative	—		—		(3,035)			—		(3,035)
Derivative assets	121		8,032		1			—		8,154
Short-term investments	—		86		169			—		255
Other investments	—		711		895			—		1,606
Cash and cash equivalents	12,733		—		—			—		12,733
Restricted cash and cash equivalents	943		—		—			—		943
Investments in related parties
AFS securities
Corporate	—		1,029		1,108			—		2,137
CLO	—		5,339		696			—		6,035
ABS	—		890		9,741			—		10,631
Total AFS securities – related parties	—		7,258		11,545			—		18,803
Trading securities	—		—		573			—		573
Equity securities	—		—		234			—		234
Mortgage loans	—		—		1,297			—		1,297
Investment funds	—		—		1,139			—		1,139
Funds withheld at interest – embedded derivative	—		—		(615)			—		(615)

Other investments	—		—		331			—		331
Reinsurance recoverable	—		—		1,661			—		1,661
Other assets5	—		—		313			—		313
Assets of consolidated VIEs
Trading securities	—		347		1,954			—		2,301

Mortgage loans	—		—		2,579			—		2,579
Investment funds	—		—		770			16,890		17,660

(Continued)


	December 31, 2024
(In millions)	Level 1		Level 2		Level 3		NAV		Total
Other investments	4		—		103		—		107
Cash and cash equivalents	583		—		—		—		583
Total Assets – Retirement Services	22,414		155,457		104,337		16,890		299,098
Total Assets	$	25,696	$	155,630	$	107,703	$	17,196	$	306,225
Liabilities
Asset Management


Contingent consideration obligations4	$	—	$	—	$	67	$	—	$	67


Total Liabilities – Asset Management	—		—		67		—		67


Retirement Services
Interest sensitive contract liabilities
Embedded derivative	—		—		11,242		—		11,242
Universal life benefits	—		—		742		—		742
Future policy benefits
AmerUs Closed Block	—		—		1,102		—		1,102
ILICO Closed Block and life benefits	—		—		538		—		538
Market risk benefits5	—		—		4,028		—		4,028
Derivative liabilities	19		3,536		1		—		3,556
Other liabilities	—		—		225		—		225
Total Liabilities – Retirement Services	19		3,536		17,878		—		21,433
Total Liabilities	$	19	$	3,536	$	17,945	$	—	$	21,500

(Concluded)


1 Investments as of September 30, 2025 and December 31, 2024 excludes $223 million and $248 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 related parties represents a receivable from a fund.
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 as of September 30, 2025 and December 31, 2024 includes profit sharing payable of $58 million and $67 million, respectively, 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. For periods prior to December 31, 2024, changes in fair value of contingent consideration obligations in connection with the acquisition of Griffin Capital were recorded in other income (loss), net, in the condensed consolidated statements of operations. Refer to note 17 for further details.

September 30, 2025

Fair Value

(In millions)

Valuation Technique

Unobservable Inputs

Ranges

Weighted Average

Financial Assets

Asset Management

Investments

869

Discounted cash flow

Discount rate

3.6% – 52.8%

17.2%

152

Direct capitalization

Capitalization rate

7.0%

178

Adjusted transaction value

N/A

Due from related parties

Discounted cash flow

Discount rate

14.0%

Derivative assets

Option model

Volatility rate

37.5%

Investments of consolidated VIEs

Bank loans

Discounted cash flow

Discount rate

4.9% – 15.6%

6.4%

657

Adjusted transaction value

N/A

Equity securities

375

Discounted cash flow

Discount rate

13.7% – 17.0%

13.7%

934

Adjusted transaction value

N/A

Option model

Volatility rate

80.0% – 85.0%

82.9%

Bonds

842

Discounted cash flow

Discount rate

5.2% – 7.5%

5.4%

865

Adjusted transaction value

N/A

Retirement Services

AFS, trading and equity securities

31,304

Discounted cash flow

Discount rate

2.4% – 22.6%

6.5%

Mortgage loans2

85,164

Discounted cash flow

Discount rate

1.2% – 31.4%

6.2%

182

Recoverability

Estimated proceeds

N/A

Investment funds2

1,303

Discounted cash flow

Discount rate

13.0% – 14.0%

13.1%

286

Recoverability

Estimated proceeds

N/A

Financial Liabilities

Asset Management

Contingent consideration obligations

Discounted cash flow

Discount rate

21.0% – 25.0%

23.8%

Retirement Services

Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives

14,299

Discounted cash flow

Nonperformance risk

0.4% – 1.0%

0.6%

Option budget

0.5% – 6.0%

3.1%

Surrender rate

5.9% – 14.1%

9.6%

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, 2024

Fair Value

(In millions)

Valuation Techniques

Unobservable Inputs

Ranges

Weighted Average

Financial Assets

Asset Management

Investments

765

Discounted cash flow

Discount rate

13.5% – 52.8%

17.8%

128

Direct capitalization

Capitalization rate

6.7%

159

Adjusted transaction value

N/A

Due from related parties

Discounted cash flow

Discount rate

14.0%

Derivative assets

Option model

Volatility rate

52.5%

Investments of consolidated VIEs

Bank loans

168

Discounted cash flow

Discount rate

5.6% – 23.4%

9.0%

179

Adjusted transaction value

N/A

Equity securities

495

Dividend discount model

Discount rate

14.1%

417

Discounted cash flow

Discount rate

8.3% – 13.3%

13.3%

Adjusted transaction value

N/A

Option model

Volatility rate

84.8% – 117.5%

110.7%

Bonds

412

Discounted cash flow

Discount rate

6.6% – 11.7%

7.0%

491

Adjusted transaction value

N/A

Retirement Services

AFS, trading and equity securities

28,655

Discounted cash flow

Discount rate

4.7% – 20.0%

7.1%

Mortgage loans2

67,115

Discounted cash flow

Discount rate

1.8% – 43.1%

6.7%

Investment funds2

1,909

Discounted cash flow

Discount rate

6.6% – 14.0%

10.8%

Financial Liabilities

Asset Management

Contingent consideration obligations

Discounted cash flow

Discount rate

20.0% – 25.0%

23.6%

Retirement Services

Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives

11,242

Discounted cash flow

Nonperformance risk

0.4% – 1.1%

0.7%

Option budget

0.5% – 6.0%

2.8%

Surrender rate

6.0% – 14.2%

9.0%

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.


	Three months ended September 30, 2025
			Total realized and unrealized gains (losses)
(In millions)	Beginning balance		Included in income		Included in OCI		Net purchases, issuances, sales and settlements		Net transfers in (out)		Ending balance		Total gains (losses) included in earnings1		Total gains (losses) included in OCI1
Assets – Asset Management
Investments and derivative assets	$	1,149	$	10	$	—	$	51	$	—	$	1,210	$	20	$	—
Investments of Consolidated VIEs	1,887		25		—		1,925		(134)		3,703		(5)		—
Total Level 3 assets – Asset Management	$	3,036	$	35	$	—	$	1,976	$	(134)	$	4,913	$	15	$	—
Assets – Retirement Services
AFS securities

Foreign governments	$	23	$	—	$	—	$	—	$	—	$	23	$	—	$	—
Corporate	7,392		(29)		7		321		(1,208)		6,483		(5)		29

ABS	14,144		(8)		52		3,346		(547)		16,987		2		37

RMBS	498		4		1		(14)		—		489		—		1
Trading securities	18		(5)		—		(1)		—		12		(5)		—
Equity securities	8		(1)		—		—		—		7		—		—
Mortgage loans	77,289		166		—		4,436		—		81,891		173		—

Funds withheld at interest – embedded derivative	(2,743)		270		—		—		—		(2,473)		—		—
Derivative assets	1		1		—		—		—		2		—		—
Short-term investments	12		—		—		6		—		18		—		—
Other investments	741		—		—		128		—		869		(1)		—
Investments in related parties
AFS securities
Corporate	1,099		—		(1)		100		3		1,201		—		(1)
CLO	1,070		—		1		(373)		—		698		—		1
ABS	10,810		—		51		2,983		(8)		13,836		—		48
Trading securities	399		(5)		—		16		1		411		—		—
Equity securities	266		(1)		—		—		—		265		(1)		—
Mortgage loans	1,275		30		—		70		—		1,375		30		—
Investment funds	1,297		9		—		—		—		1,306		9		—

Funds withheld at interest – embedded derivative	(478)		73		—		—		—		(405)		—		—
Other investments	339		6		—		—		—		345		6		—
Reinsurance recoverable	1,780		69		—		52		—		1,901		—		—
Assets of consolidated VIEs
Trading securities	2,338		(4)		—		(456)		80		1,958		(67)		—

Mortgage loans	2,544		1		—		(464)		(1)		2,080		—		—
Investment funds	270		(6)		—		(1)		—		263		(8)		—
Other investments	366		2		—		301		(5)		664		4		—
Total Level 3 assets – Retirement Services	$	120,758	$	572	$	111	$	10,450	$	(1,685)	$	130,206	$	137	$	115

															(Continued)


	Three months ended September 30, 2025
			Total realized and unrealized gains (losses)
(In millions)	Beginning balance		Included in income		Included in OCI		Net purchases, issuances, sales and settlements		Net transfers in (out)		Ending balance		Total gains (losses) included in earnings1		Total gains (losses) included in OCI1
Liabilities – Asset Management
Contingent consideration obligations	$	61	$	2	$	—	$	(5)	$	—	$	58	$	—	$	—

Total Level 3 liabilities – Asset Management	$	61	$	2	$	—	$	(5)	$	—	$	58	$	—	$	—
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative	$	(12,276)	$	(1,260)	$	—	$	(763)	$	—	$	(14,299)	$	—	$	—
Universal life benefits	(755)		(22)		—		—		—		(777)		—		—
Future policy benefits
AmerUs Closed Block	(1,097)		(5)		—		—		—		(1,102)		—		—
ILICO Closed Block and life benefits	(556)		8		—		—		—		(548)		—		—

Other liabilities	(295)		(98)		—		85		—		(308)		—		—
Total Level 3 liabilities – Retirement Services	$	(14,979)	$	(1,377)	$	—	$	(678)	$	—	$	(17,034)	$	—	$	—
(Concluded)
1 Related to instruments held at end of period.


	Three months ended September 30, 2024
			Total realized and unrealized gains (losses)
(In millions)	Beginning balance		Included in income		Included in OCI		Net purchases, issuances, sales and settlements		Net transfers in (out)		Ending balance		Total gains (losses) included in earnings1		Total gains (losses) included in OCI1
Assets – Asset Management
Investments and derivative assets	$	1,170	$	42	$	—	$	(39)	$	(68)	$	1,105	$	7	$	—
Investments of consolidated VIEs	1,507		48		—		(99)		452		1,908		8		—
Total Level 3 assets – Asset Management	$	2,677	$	90	$	—	$	(138)	$	384	$	3,013	$	15	$	—
Assets – Retirement Services
AFS securities

Foreign governments	$	34	$	—	$	1	$	—	$	—	$	35	$	—	$	—
Corporate	8,114		6		80		775		(4,800)		4,175		2		98

ABS	8,420		1		313		2,202		4,679		15,615		—		301
CMBS	20		2		(5)		—		—		17		—		(3)
RMBS	261		2		2		78		—		343		—		2
Trading securities	37		1		—		(1)		—		37		1		—
Equity securities	36		(1)		—		—		(9)		26		—		—
Mortgage loans	52,645		1,096		—		4,846		—		58,587		1,236		—

Funds withheld at interest – embedded derivative	(3,283)		702		—		—		—		(2,581)		—		—
Derivative assets	1		—		—		—		—		1		—		—
Short-term investments	80		—		—		166		(78)		168		—		—
Other investments	904		—		—		—		—		904		(1)		—
															(Continued)


	Three months ended September 30, 2024
			Total realized and unrealized gains (losses)
(In millions)	Beginning balance		Included in income		Included in OCI		Net purchases, issuances, sales and settlements		Net transfers in (out)		Ending balance		Total gains (losses) included in earnings1		Total gains (losses) included in OCI1
Investments in related parties
AFS securities
Corporate	1,194		(3)		12		(3)		(154)		1,046		—		(4)
CLO	521		—		2		42		—		565		—		2
ABS	10,580		28		75		(874)		—		9,809		7		73
Trading securities	719		—		—		(100)		—		619		(1)		—
Equity securities	247		10		—		—		—		257		10		—
Mortgage loans	1,320		39		—		(14)		—		1,345		(43)		—
Investment funds	1,066		40		—		—		—		1,106		40		—

Funds withheld at interest – embedded derivative	(717)		187		—		—		—		(530)		—		—
Other investments	335		13		—		—		—		348		13		—
Reinsurance recoverable	1,518		99		—		93		—		1,710		—		—
Assets of consolidated VIEs
Trading securities	1,876		82		—		34		(54)		1,938		82		—
Mortgage loans	2,120		51		—		55		—		2,226		51		—
Investment funds	913		(1)		—		338		(432)		818		(1)		—
Other investments	113		4		—		37		—		154		4		—
Total Level 3 assets – Retirement Services	$	89,074	$	2,358	$	480	$	7,674	$	(848)	$	98,738	$	1,400	$	469

Liabilities – Asset Management
Contingent consideration obligations	$	59	$	3	$	—	$	(6)	$	—	$	56	$	—	$	—

Total Level 3 liabilities – Asset Management	$	59	$	3	$	—	$	(6)	$	—	$	56	$	—	$	—
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative	$	(11,234)	$	(275)	$	—	$	(487)	$	—	$	(11,996)	$	—	$	—
Universal life benefits	(769)		(51)		—		—		—		(820)		—		—
Future policy benefits
AmerUs Closed Block	(1,120)		(46)		—		—		—		(1,166)		—		—
ILICO Closed Block and life benefits	(529)		(16)		—		—		—		(545)		—		—
Derivative liabilities	(1)		—		—		—		—		(1)		—		—
Other liabilities	(253)		(86)		—		2		—		(337)		—		—
Total Level 3 liabilities – Retirement Services	$	(13,906)	$	(474)	$	—	$	(485)	$	—	$	(14,865)	$	—	$	—


(Concluded)
1 Related to instruments held at end of period.


	Nine months ended September 30, 2025
			Total realized and unrealized gains (losses)
(In millions)	Beginning Balance		Included in Income		Included in OCI		Net Purchases, Issuances, Sales and Settlements		Net 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	$	59	$	—	$	70	$	—	$	1,210	$	9	$	—
Investments of consolidated VIEs	2,258		328		—		1,918		(801)		3,703		(34)		—
Total Level 3 assets – Asset Management	$	3,339	$	387	$	—	$	1,988	$	(801)	$	4,913	$	(25)	$	—

Assets – Retirement Services
AFS securities

Foreign governments	$	29	$	(1)	$	—	$	(5)	$	—	$	23	$	—	$	—
Corporate	4,321		41		85		3,392		(1,356)		6,483		29		109

ABS	16,529		(3)		525		5,191		(5,255)		16,987		2		519
CMBS	—		(23)		(4)		28		(1)		—		—		—
RMBS	256		13		2		267		(49)		489		—		1
Trading securities	22		(5)		—		9		(14)		12		(9)		—
Equity securities	27		(2)		—		(18)		—		7		(1)		—
Mortgage loans	63,239		1,938		—		16,714		—		81,891		1,887		—

Funds withheld at interest – embedded derivative	(3,035)		562		—		—		—		(2,473)		—		—
Derivative assets	1		1		—		—		—		2		—		—
Short-term investments	169		—		—		(150)		(1)		18		—		—
Other investments	895		2		—		(28)		—		869		(2)		—
Investments in related parties
AFS securities
Corporate	1,108		—		(9)		99		3		1,201		—		(10)
CLO	696		—		(1)		3		—		698		—		—
ABS	9,741		3		101		4,000		(9)		13,836		—		86
Trading securities	573		(5)		—		(160)		3		411		2		—
Equity securities	234		31		—		—		—		265		31		—
Mortgage loans	1,297		54		—		24		—		1,375		54		—
Investment funds	1,139		164		—		3		—		1,306		164		—

Funds withheld at interest – embedded derivative	(615)		210		—		—		—		(405)		—		—
Other investments	331		14		—		—		—		345		14		—
Reinsurance recoverable	1,661		104		—		136		—		1,901		—		—
Assets of consolidated VIEs
Trading securities	1,954		213		—		(356)		147		1,958		148		—

Mortgage loans	2,579		138		—		(636)		(1)		2,080		95		—
Investment funds	770		(9)		—		(498)		—		263		(22)		—
Other investments	103		2		—		564		(5)		664		11		—
Total Level 3 assets – Retirement Services	$	104,024	$	3,442	$	699	$	28,579	$	(6,538)	$	130,206	$	2,403	$	705

															(Continued)


	Nine months ended September 30, 2025
			Total realized and unrealized gains (losses)
(In millions)	Beginning Balance		Included in Income		Included in OCI		Net Purchases, Issuances, Sales and Settlements		Net Transfers In (Out)		Ending Balance		Total Gains (Losses) Included in Earnings1		Total Gains (Losses) Included in OCI1
Liabilities – Asset Management
Contingent consideration obligations	$	67	$	10	$	—	$	(19)	$	—	$	58	$	—	$	—

Total Level 3 liabilities – Asset Management	$	67	$	10	$	—	$	(19)	$	—	$	58	$	—	$	—

Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative	$	(11,242)	$	(1,144)	$	—	$	(1,913)	$	—	$	(14,299)	$	—	$	—
Universal life benefits	(742)		(35)		—		—		—		(777)		—		—
Future policy benefits
AmerUs Closed Block	(1,102)		—		—		—		—		(1,102)		—		—
ILICO Closed Block and life benefits	(538)		(10)		—		—		—		(548)		—		—
Derivative liabilities	(1)		1		—		—		—		—		—		—
Other liabilities	(225)		(169)		—		86		—		(308)		—		—
Total Level 3 liabilities – Retirement Services	$	(13,850)	$	(1,357)	$	—	$	(1,827)	$	—	$	(17,034)	$	—	$	—

(Concluded)
1 Related to instruments held at end of period.


	Nine months ended September 30, 2024
			Total realized and unrealized gains (losses)
(In millions)	Beginning Balance		Included in Income		Included in OCI		Net Purchases, Issuances, Sales and Settlements		Net Transfers In (Out)		Ending Balance		Total Gains (Losses) Included in Earnings1		Total Gains (Losses) Included in OCI1
Assets – Asset Management
Investments and derivative assets	$	1,201	$	6	$	—	$	(34)	$	(68)	$	1,105	$	7	$	—
Investments of consolidated VIEs	1,492		19		—		15		382		1,908		5		—
Total Level 3 assets – Asset Management	$	2,693	$	25	$	—	$	(19)	$	314	$	3,013	$	12	$	—
Assets – Retirement Services
AFS securities

Foreign governments	$	40	$	—	$	1	$	(6)	$	—	$	35	$	—	$	1
Corporate	2,525		3		87		2,387		(827)		4,175		—		110

ABS	6,943		(14)		314		8,371		1		15,615		—		298
CMBS	21		1		(5)		—		—		17		—		(3)
RMBS	265		5		3		72		(2)		343		—		2
Trading securities	28		1		—		(6)		14		37		—		—
Equity securities	26		(1)		—		1		—		26		—		—
Mortgage loans	44,115		825		—		13,647		—		58,587		965		—

Funds withheld at interest – embedded derivative	(3,379)		798		—		—		—		(2,581)		—		—
Derivative assets	—		—		—		—		1		1		—		—
Short-term investments	105		—		—		142		(79)		168		—		—
Other investments	630		(6)		—		280		—		904		(7)		—

															(Continued)


	Nine months ended September 30, 2024
			Total realized and unrealized gains (losses)
(In millions)	Beginning Balance		Included in Income		Included in OCI		Net Purchases, Issuances, Sales and Settlements		Net Transfers In (Out)		Ending Balance		Total Gains (Losses) Included in Earnings1		Total Gains (Losses) Included in OCI1
Investments in related parties
AFS securities
Corporate	1,171		(2)		33		(2)		(154)		1,046		—		18
CLO	506		—		17		42		—		565		—		18
ABS	7,826		46		22		1,915		—		9,809		2		20
Trading securities	838		(1)		—		(218)		—		619		(2)		—
Equity securities	255		2		—		—		—		257		2		—
Mortgage loans	1,281		41		—		23		—		1,345		(41)		—
Investment funds	1,082		24		—		—		—		1,106		24		—
Funds withheld at interest – embedded derivative	(721)		191		—		—		—		(530)		—		—

Other investments	343		5		—		—		—		348		5		—
Reinsurance recoverable	1,367		51		—		292		—		1,710		—		—
Assets of consolidated VIEs
Trading securities	1,852		31		—		103		(48)		1,938		30		—

Mortgage loans	2,173		2		—		51		—		2,226		2		—
Investment funds	977		(66)		—		339		(432)		818		(66)		—
Other investments	101		—		—		53		—		154		1		—
Total Level 3 assets – Retirement Services	$	70,370	$	1,936	$	472	$	27,486	$	(1,526)	$	98,738	$	915	$	464

Liabilities – Asset Management
Contingent consideration obligations	$	93	$	68	$	—	$	(105)	$	—	$	56	$	—	$	—

Total Level 3 liabilities – Asset Management	$	93	$	68	$	—	$	(105)	$	—	$	56	$	—	$	—




Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative	$	(9,059)	$	(1,270)	$	—	$	(1,667)	$	—	$	(11,996)	$	—	$	—
Universal life benefits	(834)		14		—		—		—		(820)		—		—
Future policy benefits
AmerUs Closed Block	(1,178)		12		—		—		—		(1,166)		—		—
ILICO Closed Block and life benefits	(522)		(23)		—		—		—		(545)		—		—
Derivative liabilities	(1)		—		—		—		—		(1)		—		—
Other liabilities	(330)		(123)		—		52		64		(337)		—		—
Total Level 3 liabilities – Retirement Services	$	(11,924)	$	(1,390)	$	—	$	(1,615)	$	64	$	(14,865)	$	—	$	—

(Concluded)
1 Related to instruments held at end of period.


	Three months ended September 30, 2025
(In millions)	Purchases		Issuances		Sales		Settlements		Net purchases, issuances, sales and settlements		Transfers In		Transfers Out		Net Transfers In (Out)
Assets – Asset Management
Investments and derivative assets	$	54	$	—	$	(3)	$	—	$	51	$	—	$	—	$	—
Investments of consolidated VIEs	2,530		—		(605)		—		1,925		—		(134)		(134)
Total Level 3 assets – Asset Management	$	2,584	$	—	$	(608)	$	—	$	1,976	$	—	$	(134)	$	(134)

Assets – Retirement Services
AFS securities


Corporate	$	479	$	—	$	(94)	$	(64)	$	321	$	125	$	(1,333)	$	(1,208)

ABS	4,385		—		(3)		(1,036)		3,346		—		(547)		(547)

RMBS	18		—		—		(32)		(14)		—		—		—
Trading securities	—		—		—		(1)		(1)		—		—		—

Mortgage loans	8,160		—		—		(3,724)		4,436		—		—		—



Short-term investments	18		—		—		(12)		6		—		—		—
Other investments	199		—		—		(71)		128		—		—		—
Investments in related parties
AFS securities
Corporate	102		—		—		(2)		100		3		—		3
CLO	—		—		—		(373)		(373)		—		—		—
ABS	3,712		—		(179)		(550)		2,983		—		(8)		(8)
Trading securities	28		—		—		(12)		16		1		—		1

Mortgage loans	75		—		—		(5)		70		—		—		—




Reinsurance recoverable	—		56		—		(4)		52		—		—		—
Assets of consolidated VIEs
Trading securities	30		—		(486)		—		(456)		80		—		80

Mortgage loans	32		—		(436)		(60)		(464)		—		(1)		(1)
Investment funds	—		—		(1)		—		(1)		—		—		—
Other investments	301		—		—		—		301		—		(5)		(5)
Total Level 3 assets – Retirement Services	$	17,539	$	56	$	(1,199)	$	(5,946)	$	10,450	$	209	$	(1,894)	$	(1,685)

Liabilities – Asset Management
Contingent consideration obligations	$	—	$	—	$	—	$	(5)	$	(5)	$	—	$	—	$	—

Total Level 3 liabilities – Asset Management	$	—	$	—	$	—	$	(5)	$	(5)	$	—	$	—	$	—

Liabilities – Retirement Services
Interest sensitive contract liabilities – embedded derivative	$	—	$	(1,002)	$	—	$	239	$	(763)	$	—	$	—	$	—





Other liabilities	—		—		—		85		85		—		—		—
Total Level 3 liabilities – Retirement Services	$	—	$	(1,002)	$	—	$	324	$	(678)	$	—	$	—	$	—


	Three months ended September 30, 2024
(In millions)	Purchases		Issuances		Sales		Settlements		Net purchases, issuances, sales and settlements		Transfers In		Transfers Out		Net Transfers In (Out)
Assets – Asset Management
Investments and derivative assets	$	7	$	—	$	(46)	$	—	$	(39)	$	—	$	(68)	$	(68)
Investments of consolidated VIEs	1,033		—		(1,132)		—		(99)		452		—		452
Total Level 3 assets – Asset Management	$	1,040	$	—	$	(1,178)	$	—	$	(138)	$	452	$	(68)	$	384

Assets – Retirement Services
AFS securities


Corporate	$	912	$	—	$	(16)	$	(121)	$	775	$	68	$	(4,868)	$	(4,800)

ABS	3,004		—		(351)		(451)		2,202		4,897		(218)		4,679

RMBS	81		—		—		(3)		78		—		—		—
Trading securities	—		—		—		(1)		(1)		—		—		—
Equity securities	—		—		—		—		—		—		(9)		(9)
Mortgage loans	7,518		—		—		(2,672)		4,846		—		—		—



Short-term investments	168		—		—		(2)		166		—		(78)		(78)

Investments in related parties
AFS securities
Corporate	—		—		—		(3)		(3)		—		(154)		(154)
CLO	42		—		—		—		42		—		—		—
ABS	1,193		—		—		(2,067)		(874)		—		—		—
Trading securities	—		—		—		(100)		(100)		—		—		—

Mortgage loans	—		—		—		(14)		(14)		—		—		—




Reinsurance recoverable	—		94		—		(1)		93		—		—		—
Assets of consolidated VIEs
Trading securities	38		—		(4)		—		34		34		(88)		(54)

Mortgage loans	70		—		—		(15)		55		—		—		—
Investment funds	338		—		—		—		338		—		(432)		(432)
Other investments	37		—		—		—		37		—		—		—
Total Level 3 assets – Retirement Services	$	13,401	$	94	$	(371)	$	(5,450)	$	7,674	$	4,999	$	(5,847)	$	(848)

Liabilities - Asset Management
Contingent consideration obligations	$	—	$	—	$	—	$	(6)	$	(6)	$	—	$	—	$	—

Total Level 3 liabilities – Asset Management	$	—	$	—	$	—	$	(6)	$	(6)	$	—	$	—	$	—

Liabilities – Retirement Services

Interest sensitive contract liabilities - embedded derivative	$	—	$	(750)	$	—	$	263	$	(487)	$	—	$	—	$	—





Other liabilities	—		—		—		2		2		—		—		—

Total Level 3 liabilities – Retirement Services	$	—	$	(750)	$	—	$	265	$	(485)	$	—	$	—	$	—


	Nine months ended September 30, 2025
(In millions)	Purchases		Issuances		Sales		Settlements		Net Purchases, Issuances, Sales and Settlements		Transfers In		Transfers Out		Net Transfers In (Out)
Assets – Asset Management
Investments and derivative assets	$	83	$	—	$	(13)	$	—	$	70	$	—	$	—	$	—
Investments of consolidated VIEs	3,819		—		(1,901)		—		1,918		—		(801)		(801)
Total Level 3 assets – Asset Management	$	3,902	$	—	$	(1,914)	$	—	$	1,988	$	—	$	(801)	$	(801)

Assets – Retirement Services
AFS securities

Foreign governments	$	—	$	—	$	—	$	(5)	$	(5)	$	—	$	—	$	—
Corporate	3,906		—		(100)		(414)		3,392		251		(1,607)		(1,356)

ABS	7,177		—		(26)		(1,960)		5,191		479		(5,734)		(5,255)
CMBS	28		—		—		—		28		13		(14)		(1)
RMBS	315		—		—		(48)		267		—		(49)		(49)
Trading securities	11		—		—		(2)		9		—		(14)		(14)
Equity securities	—		—		—		(18)		(18)		—		—		—
Mortgage loans	25,920		—		(172)		(9,034)		16,714		—		—		—



Short-term investments	30		—		—		(180)		(150)		—		(1)		(1)
Other investments	199		—		—		(227)		(28)		—		—		—
Investments in related parties
AFS securities
Corporate	107		—		—		(8)		99		3		—		3
CLO	376		—		—		(373)		3		—		—		—
ABS	5,971		—		(179)		(1,792)		4,000		14		(23)		(9)
Trading securities	98		—		(91)		(167)		(160)		3		—		3

Mortgage loans	75		—		(15)		(36)		24		—		—		—
Investment funds	3		—		—		—		3		—		—		—



Reinsurance recoverable	—		146		—		(10)		136		—		—		—
Assets of consolidated VIEs
Trading securities	465		—		(821)		—		(356)		170		(23)		147

Mortgage loans	66		—		(446)		(256)		(636)		—		(1)		(1)
Investment funds	—		—		(498)		—		(498)		—		—		—
Other investments	580		—		(16)		—		564		—		(5)		(5)
Total Level 3 assets – Retirement Services	$	45,327	$	146	$	(2,364)	$	(14,530)	$	28,579	$	933	$	(7,471)	$	(6,538)

Liabilities – Asset Management
Contingent consideration obligations	$	—	$	—	$	—	$	(19)	$	(19)	$	—	$	—	$	—

Total Level 3 liabilities – Asset Management	$	—	$	—	$	—	$	(19)	$	(19)	$	—	$	—	$	—

Liabilities – Retirement Services

Interest sensitive contract liabilities – embedded derivative	$	—	$	(2,615)	$	—	$	702	$	(1,913)	$	—	$	—	$	—





Other liabilities	—		—		—		86		86		—		—		—
Total Level 3 liabilities – Retirement Services	$	—	$	(2,615)	$	—	$	788	$	(1,827)	$	—	$	—	$	—


	Nine months ended September 30, 2024
(In millions)	Purchases		Issuances		Sales		Settlements		Net Purchases, Issuances, Sales and Settlements		Transfers In		Transfers Out		Net Transfers In (Out)
Assets – Asset Management
Investments and derivative assets	$	27	$	—	$	(61)	$	—	$	(34)	$	—	$	(68)	$	(68)
Investments of consolidated VIEs	3,122		—		(3,107)		—		15		452		(70)		382
Total Level 3 assets – Asset Management	$	3,149	$	—	$	(3,168)	$	—	$	(19)	$	452	$	(138)	$	314

Assets – Retirement Services
AFS securities

Foreign governments	$	—	$	—	$	—	$	(6)	$	(6)	$	—	$	—	$	—
Corporate	2,623		—		(18)		(218)		2,387		166		(993)		(827)

ABS	9,635		—		(423)		(841)		8,371		748		(747)		1

RMBS	81		—		—		(9)		72		—		(2)		(2)
Trading securities	—		—		—		(6)		(6)		14		—		14
Equity securities	2		—		(1)		—		1		9		(9)		—
Mortgage loans	19,226		—		(26)		(5,553)		13,647		—		—		—


Derivative assets	—		—		—		—		—		1		—		1
Short-term investments	171		—		(6)		(23)		142		—		(79)		(79)
Other investments	280		—		—		—		280		—		—		—
Investments in related parties
AFS securities
Corporate	6		—		(1)		(7)		(2)		—		(154)		(154)
CLO	42		—		—		—		42		—		—		—
ABS	5,780		—		(504)		(3,361)		1,915		—		—		—
Trading securities	4		—		—		(222)		(218)		—		—		—

Mortgage loans	87		—		—		(64)		23		—		—		—



Reinsurance recoverable	—		294		—		(2)		292		—		—		—
Assets of consolidated VIEs
Trading securities	201		—		(91)		(7)		103		40		(88)		(48)

Mortgage loans	125		—		—		(74)		51		—		—		—
Investment funds	339		—		—		—		339		—		(432)		(432)
Other investments	56		—		(3)		—		53		—		—		—

Total Level 3 assets – Retirement Services	$	38,658	$	294	$	(1,073)	$	(10,393)	$	27,486	$	978	$	(2,504)	$	(1,526)
Liabilities – Asset Management
Contingent consideration obligations	$	—	$	—	$	—	$	(105)	$	(105)	$	—	$	—	$	—

Total Level 3 liabilities – Asset Management	$	—	$	—	$	—	$	(105)	$	(105)	$	—	$	—	$	—

Liabilities – Retirement Services
Interest sensitive contract liabilities – embedded derivative	$	—	$	(2,408)	$	—	$	741	$	(1,667)	$	—	$	—	$	—





Other liabilities	—		—		—		52		52		64		—		64

Total Level 3 liabilities – Retirement Services	$	—	$	(2,408)	$	—	$	793	$	(1,615)	$	64	$	—	$	64

Previously, the Company elected the measurement alternative under ASC 321 to account for an equity security that did not have a readily determinable fair value because of which the equity security was held at cost less any impairment. In connection with the initial public offering of the issuer of the equity security during the second quarter of 2025, the Company transitioned to measuring the investment at fair value using Level 1 inputs. This resulted in an observable transaction price below the Company’s carrying amount. Consequently, the Company recognized an impairment loss of $257 million during the second quarter of 2025 and the carrying value of the investment was written down to its fair value of $101 million as of June 30, 2025. The carrying amount of the equity security was $358 million, net of an impairment of $42 million, as of December 31, 2024.

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.


(In millions)	September 30, 2025		December 31, 2024
Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status	$	642	$	195
Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status	(276)		(102)
Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status	$	366	$	93

Fair value of commercial mortgage loans 90 days or more past due	$	282	$	31
Fair value of commercial mortgage loans in non-accrual status	366		93


(In millions)	September 30, 2025		December 31, 2024
Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status	$	887	$	898
Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status	(87)		(51)
Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status	$	800	$	847

Fair value of residential mortgage loans 90 days or more past due1	$	800	$	847
Fair value of residential mortgage loans in non-accrual status	753		765

1 As of September 30, 2025 and December 31, 2024, includes $47 million and $82 million, respectively, of residential mortgage loans that are guaranteed by U.S. government-sponsored agencies.


	September 30, 2025
(In millions)	Carrying Value		Fair Value		NAV		Level 1		Level 2		Level 3
Financial assets
Investment funds	$	111	$	111	$	111	$	—	$	—	$	—
Policy loans	304		304		—		—		304		—
Funds withheld at interest	18,861		18,861		—		—		—		18,861
Short-term investments	165		165		—		—		—		165
Other investments	140		53		—		—		—		53
Investments in related parties
Investment funds	829		829		829		—		—		—
Funds withheld at interest	4,833		4,833		—		—		—		4,833
Short-term investments	18		18		—		—		18		—





Total financial assets not carried at fair value	$	25,261	$	25,174	$	940	$	—	$	322	$	23,912

Financial liabilities
Interest sensitive contract liabilities	$	251,613	$	248,815	$	—	$	—	$	—	$	248,815
Debt	7,856		7,669		—		591		7,078		—
Securities to repurchase	2,822		2,822		—		—		2,822		—
Funds withheld liability	5,340		5,340		—		—		—		5,340
Total financial liabilities not carried at fair value	$	267,631	$	264,646	$	—	$	591	$	9,900	$	254,155


	December 31, 2024
(In millions)	Carrying Value		Fair Value		NAV		Level 1		Level 2		Level 3
Financial assets
Investment funds	$	107	$	107	$	107	$	—	$	—	$	—
Policy loans	318		318		—		—		318		—
Funds withheld at interest	21,901		21,901		—		—		—		21,901
Short-term investments	192		192		—		—		—		192
Other investments	93		101		—		—		—		101
Investments in related parties
Investment funds	714		714		714		—		—		—
Funds withheld at interest	5,665		5,665		—		—		—		5,665
Short-term investments	743		743		—		—		743		—





Total financial assets not carried at fair value	$	29,733	$	29,741	$	821	$	—	$	1,061	$	27,859

Financial liabilities
Interest sensitive contract liabilities	$	200,278	$	192,025	$	—	$	—	$	—	$	192,025
Debt	6,309		5,844		—		581		5,263		—
Securities to repurchase	5,716		5,716		—		—		5,716		—
Funds withheld liability	4,331		4,331		—		—		—		4,331
Total financial liabilities not carried at fair value	$	216,634	$	207,916	$	—	$	581	$	10,979	$	196,356

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. Received but unused tax credits included in the carrying value as of September 30, 2025 are expected to be used during the year ending December 31, 2025.

Interest sensitive contract liabilities – The carrying and fair value of interest sensitive contract liabilities above includes fixed 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 fixed 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.

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.

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.

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 where Athene has entered into an agreement to sell at a specified price, the fair value is based on the estimated proceeds of the sale.

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 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.

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.

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.

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.

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.

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 where 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 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.

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.

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.

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.

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 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.