Company: APO
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0001858681-25-000117
Chunk: 241

Company: Apollo Global Management, Inc.
Filing Date: 2025-08-07
Form: 10-Q
Item: Item 8
Chunk 241
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 in an amount equal to the difference in the daily fair values of those contracts.Interest rate swaps and forwardsAthene uses interest rate swaps and forwards to reduce market risks from interest rate changes and to alter interest rate exposure arising from duration mismatches between assets and liabilities. With an interest rate swap, Athene agrees with another party to exchange the difference between fixed-rate and floating-rate interest amounts tied to an agreed-upon notional principal amount at specified intervals.Other swapsOther swaps include total return swaps, credit default swaps and swaptions. Athene purchases total rate of return swaps to gain exposure and benefit from a reference asset or index without ownership. Credit default swaps provide a measure of protection against the default of an issuer or allow Athene to gain credit exposure to an issuer or traded index. Athene uses credit default swaps coupled with a bond to synthetically create the characteristics of a reference bond. Swaptions provide an option to enter into an interest rate swap and are used by Athene to hedge against interest rate exposure.Embedded derivativesAthene has embedded derivatives which are required to be separated from their host contracts and reported as derivatives. Host contracts include reinsurance agreements structured on a modco or funds withheld basis and indexed annuity products.

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Table of ContentsAPOLLO GLOBAL MANAGEMENT, INC.NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

The following is a summary of the gains (losses) related to derivatives not designated as hedges:Three months ended June 30,Six months ended June 30,(In millions)2025202420252024Equity options$871 $105 $(65)$1,702 Futures(9)(1)(16)126 Interest rate swaps and forwards and other swaps(1,079)(69)(1,425)(30)Foreign currency forwards(401)(556)(611)(866)Embedded derivatives on funds withheld41 (112)199 (187)Amounts recognized in investment related gains (losses)(577)(633)(1,918)745 Embedded derivatives in indexed annuity products1(887)182 116 (995)Total gains (losses) on derivatives not designated as hedges$(1,464)$(451)$(1,802)$(250)1 Included in interest sensitive contract benefits on the condensed consolidated statements of operations.Credit RiskAthene may be exposed to credit-related losses in the event of counterparty nonperformance on derivative financial instruments. Generally, the current credit exposure