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DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended
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Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Financial Statement Location and Amounts | The notional and fair values of freestanding derivative instruments, presented in the statements of financial position, are shown below:
AS OF US$ MILLIONS |  | Primary underlying risk |  | Location in the statements of financial position |  | June 30, 2024 |  | December 31, 2023
|  |  | Notional Amount |  | Carrying Amount / Fair Value |  | Notional Amount |  | Carrying Amount / Fair Value
|  |  |  | Assets |  | Liabilities |  |  | Assets |  | Liabilities
Derivatives designated as hedging instruments:
Foreign exchange forwards |  | Foreign currency |  | Other invested assets, Other liabilities |  | $ | 1,472 |  |  | $ | — |  |  | $ | (10) |  |  | $ | 1,532 |  |  | $ | 11 |  |  | $ | — |
Derivatives not designated as hedging instruments:
Equity-indexed options |  | Equity |  | Other invested assets |  | $ | 45,871 |  |  | $ | 1,611 |  |  | $ | — |  |  | $ | 8,795 |  |  | $ | 322 |  |  | $ | — |
Foreign exchange forwards |  | Foreign currency |  | Other invested assets, Other liabilities |  | 983 |  |  | 4 |  |  | (1) |  |  | 1,362 |  |  | 1 |  |  | (4) |
Bond futures |  | Interest rate |  | Other liabilities |  | 1,507 |  |  | — |  |  | (3) |  |  | 1,652 |  |  | — |  |  | (8) |
Cross currency swaps |  | Foreign currency |  | Other invested assets, Other liabilities |  | — |  |  | — |  |  | — |  |  | 8 |  |  | — |  |  | — |
Interest rate swaps |  | Interest rate |  | Other invested assets |  | 84 |  |  | 5 |  |  | — |  |  | 87 |  |  | 8 |  |  | — |
|  |  |  |  |  | $ | 49,917 |  |  | $ | 1,620 |  |  | $ | (14) |  |  | $ | 13,436 |  |  | $ | 342 |  |  | $ | (12) |
The following represents the financial statement location and amount of gains (losses) related to the derivatives and hedged items that qualify for fair value hedge accounting:
|  | Three Months Ended |  | Six Months Ended
FOR THE PERIODS ENDED JUN. 30 US$ MILLIONS |  | 2024 |  | 2023 |  | 2024 |  | 2023
Hedged items |  | $ | 15 |  |  | $ | — |  |  | $ | 56 |  |  | $ | — |
Derivatives designated as hedging instruments |  | (14) |  |  | — |  |  | (55) |  |  | — |
Investment related gains (losses) |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |
Schedule of Derivatives Instruments | The following represents the amount of gains (losses) related to the derivatives not designated as hedging instruments, recognized in “Investment related gains (losses)” on the statements of operations, except for equity-indexed options which are recognized in “Change in fair value of insurance-related derivatives and embedded derivatives”:
FOR THE PERIODS ENDED JUN. 30 US$ MILLIONS |  | Three Months Ended |  | Six Months Ended
| 2024 |  | 2023 |  | 2024 |  | 2023
Equity-indexed options |  | $ | 285 |  |  | $ | 68 |  |  | $ | 385 |  |  | $ | 93 |
Foreign exchange forwards |  | (6) |  |  | 41 |  |  | (2) |  |  | 37 |
Bond futures |  | 9 |  |  | (24) |  |  | 5 |  |  | (9) |
Interest rate swaps |  | — |  |  | — |  |  | (3) |  |  | — |
Interest rate options |  | 1 |  |  | — |  |  | 1 |  |  | — |
|  | $ | 289 |  |  | $ | 85 |  |  | $ | 386 |  |  | $ | 121 |
Schedule of Derivative Assets and Effects of Rights of Offset | Information regarding the Company’s exposure to credit loss on the derivatives it holds, including the effect of rights of offset, is presented below:
AS OF JUN. 30, 2024 US$ MILLIONS |  | Gross amount of derivative instruments 1 |  | Gross amounts offset in the statements of financial position 2 |  | Net amount presented on the statements of financial position |  | Collateral (received) pledged in cash 3 |  | Collateral (received) pledged in invested assets 3 |  | Exposure net of collateral
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | 1,619 |  |  | $ | (8) |  |  | $ | 1,611 |  |  | $ | (1,587) |  |  | $ | (21) |  |  | $ | 3 |
Foreign exchange forwards |  | 11 |  |  | (7) |  |  | 4 |  |  | — |  |  | — |  |  | 4 |
Bond futures |  | 10 |  |  | (10) |  |  | — |  |  | — |  |  | — |  |  | — |
Cross currency swaps |  | 12 |  |  | (12) |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | 27 |  |  | (22) |  |  | 5 |  |  | — |  |  | — |  |  | 5 |
Total derivative assets |  | $ | 1,679 |  |  | $ | (59) |  |  | $ | 1,620 |  |  | $ | (1,587) |  |  | $ | (21) |  |  | $ | 12 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | (8) |  |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Foreign exchange forwards |  | (18) |  |  | 7 |  |  | (11) |  |  | — |  |  | — |  |  | (11) |
Bond futures |  | (13) |  |  | 10 |  |  | (3) |  |  | 3 |  |  | — |  |  | — |
Cross currency swaps |  | (12) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | (22) |  |  | 22 |  |  | — |  |  | — |  |  | — |  |  | — |
Total derivative liabilities |  | $ | (73) |  |  | $ | 59 |  |  | $ | (14) |  |  | $ | 3 |  |  | $ | — |  |  | $ | (11) |
1. Represents derivative assets and liabilities on a gross basis, which are not offset under enforceable master netting agreements that meet all offsetting criteria.
2. Represents netting of derivative exposures covered by qualifying master netting agreements.
3. Excludes a portion of collaterals held in cash and invested assets that are excess collateral. As of June 30, 2024, the Company held excess collateral of $52 million.
AS OF DEC. 31, 2023 US$ MILLIONS |  | Gross amount of derivative instruments 1 |  | Gross amounts offset in the statements of financial position 2 |  | Net amount presented on the statements of financial position |  | Collateral (received) pledged in cash 3 |  | Collateral (received) pledged in invested assets 3 |  | Exposure net of collateral
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | 322 |  |  | $ | — |  |  | $ | 322 |  |  | $ | (209) |  |  | $ | (17) |  |  | $ | 96 |
Foreign exchange forwards |  | 16 |  |  | (4) |  |  | 12 |  |  | — |  |  | — |  |  | 12 |
Bond futures |  | 65 |  |  | (65) |  |  | — |  |  | — |  |  | — |  |  | — |
Cross currency swaps |  | 12 |  |  | (12) |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | 29 |  |  | (21) |  |  | 8 |  |  | — |  |  | — |  |  | 8 |
Total derivative assets |  | $ | 444 |  |  | $ | (102) |  |  | $ | 342 |  |  | $ | (209) |  |  | $ | (17) |  |  | $ | 116 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forwards |  | (8) |  |  | 4 |  |  | (4) |  |  | — |  |  | — |  |  | (4) |
Bond futures |  | (73) |  |  | 65 |  |  | (8) |  |  | — |  |  | — |  |  | (8) |
Cross currency swaps |  | (12) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | (21) |  |  | 21 |  |  | — |  |  | — |  |  | — |  |  | — |
Total derivative liabilities |  | $ | (114) |  |  | $ | 102 |  |  | $ | (12) |  |  | $ | — |  |  | $ | — |  |  | $ | (12) |
1. Represents derivative assets and liabilities on a gross basis, which are not offset under enforceable master netting agreements that meet all offsetting criteria.
2. Represents netting of derivative exposures covered by qualifying master netting agreements.
3. Excludes a portion of collaterals held in cash and invested assets that are excess collateral. As of December 31, 2023, the Company held excess collateral of $4 million.
Schedule of Derivative Liabilities and Effects of Rights of Offset | Information regarding the Company’s exposure to credit loss on the derivatives it holds, including the effect of rights of offset, is presented below:
AS OF JUN. 30, 2024 US$ MILLIONS |  | Gross amount of derivative instruments 1 |  | Gross amounts offset in the statements of financial position 2 |  | Net amount presented on the statements of financial position |  | Collateral (received) pledged in cash 3 |  | Collateral (received) pledged in invested assets 3 |  | Exposure net of collateral
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | 1,619 |  |  | $ | (8) |  |  | $ | 1,611 |  |  | $ | (1,587) |  |  | $ | (21) |  |  | $ | 3 |
Foreign exchange forwards |  | 11 |  |  | (7) |  |  | 4 |  |  | — |  |  | — |  |  | 4 |
Bond futures |  | 10 |  |  | (10) |  |  | — |  |  | — |  |  | — |  |  | — |
Cross currency swaps |  | 12 |  |  | (12) |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | 27 |  |  | (22) |  |  | 5 |  |  | — |  |  | — |  |  | 5 |
Total derivative assets |  | $ | 1,679 |  |  | $ | (59) |  |  | $ | 1,620 |  |  | $ | (1,587) |  |  | $ | (21) |  |  | $ | 12 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | (8) |  |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Foreign exchange forwards |  | (18) |  |  | 7 |  |  | (11) |  |  | — |  |  | — |  |  | (11) |
Bond futures |  | (13) |  |  | 10 |  |  | (3) |  |  | 3 |  |  | — |  |  | — |
Cross currency swaps |  | (12) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | (22) |  |  | 22 |  |  | — |  |  | — |  |  | — |  |  | — |
Total derivative liabilities |  | $ | (73) |  |  | $ | 59 |  |  | $ | (14) |  |  | $ | 3 |  |  | $ | — |  |  | $ | (11) |
1. Represents derivative assets and liabilities on a gross basis, which are not offset under enforceable master netting agreements that meet all offsetting criteria.
2. Represents netting of derivative exposures covered by qualifying master netting agreements.
3. Excludes a portion of collaterals held in cash and invested assets that are excess collateral. As of June 30, 2024, the Company held excess collateral of $52 million.
AS OF DEC. 31, 2023 US$ MILLIONS |  | Gross amount of derivative instruments 1 |  | Gross amounts offset in the statements of financial position 2 |  | Net amount presented on the statements of financial position |  | Collateral (received) pledged in cash 3 |  | Collateral (received) pledged in invested assets 3 |  | Exposure net of collateral
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |
Equity-indexed options |  | $ | 322 |  |  | $ | — |  |  | $ | 322 |  |  | $ | (209) |  |  | $ | (17) |  |  | $ | 96 |
Foreign exchange forwards |  | 16 |  |  | (4) |  |  | 12 |  |  | — |  |  | — |  |  | 12 |
Bond futures |  | 65 |  |  | (65) |  |  | — |  |  | — |  |  | — |  |  | — |
Cross currency swaps |  | 12 |  |  | (12) |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | 29 |  |  | (21) |  |  | 8 |  |  | — |  |  | — |  |  | 8 |
Total derivative assets |  | $ | 444 |  |  | $ | (102) |  |  | $ | 342 |  |  | $ | (209) |  |  | $ | (17) |  |  | $ | 116 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forwards |  | (8) |  |  | 4 |  |  | (4) |  |  | — |  |  | — |  |  | (4) |
Bond futures |  | (73) |  |  | 65 |  |  | (8) |  |  | — |  |  | — |  |  | (8) |
Cross currency swaps |  | (12) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | — |
Interest rate swaps |  | (21) |  |  | 21 |  |  | — |  |  | — |  |  | — |  |  | — |
Total derivative liabilities |  | $ | (114) |  |  | $ | 102 |  |  | $ | (12) |  |  | $ | — |  |  | $ | — |  |  | $ | (12) |
1. Represents derivative assets and liabilities on a gross basis, which are not offset under enforceable master netting agreements that meet all offsetting criteria.
2. Represents netting of derivative exposures covered by qualifying master netting agreements.
3. Excludes a portion of collaterals held in cash and invested assets that are excess collateral. As of December 31, 2023, the Company held excess collateral of $4 million.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The fair values of embedded derivatives that have been separated from their host contracts, presented in the statements of financial position, are shown below:
AS OF US$ MILLIONS |  | Location in the statements of financial position |  | June 30, 2024 |  | December 31, 2023
|  | Carrying Amount / Fair Value |  | Carrying Amount / Fair Value
|  | Assets |  | Liabilities |  | Assets |  | Liabilities
Modco arrangement |  | Reinsurance funds withheld |  | $ | 34 |  |  | $ | — |  |  | $ | (46) |  |  | $ | — |
Indexed annuity and variable annuity product |  | Policyholders’ account balances |  | — |  |  | (1,196) |  |  | — |  |  | (1,104) |
Funds withheld arrangement |  | Funds withheld for reinsurance liabilities |  | — |  |  | (34) |  |  | — |  |  | — |
|  |  |  | $ | 34 |  |  | $ | (1,230) |  |  | $ | (46) |  |  | $ | (1,104) |
Schedule of Derivative Instruments, Gain (Loss) | The following represents the amount of gains (losses) related to embedded derivatives recorded in the statements of operations:
FOR THE PERIODS ENDED JUN. 30 US$ MILLIONS |  | Location in the statements of operations |  | Three Months Ended |  | Six Months Ended
|  | 2024 |  | 2023 |  | 2024 |  | 2023
Modco arrangement |  | Net investment results from reinsurance funds withheld |  | $ | 141 |  |  | $ | 27 |  |  | $ | 276 |  |  | $ | (10) |
Indexed annuity and variable annuity product |  | Change in fair value of insurance-related derivatives and embedded derivatives |  | (237) |  |  | (39) |  |  | (294) |  |  | (134) |
Funds withheld arrangement |  | Change in fair value of insurance-related derivatives and embedded derivatives |  | (35) |  |  | — |  |  | (34) |  |  | — |
|  |  |  | $ | (131) |  |  | $ | (12) |  |  | $ | (52) |  |  | $ | (144) |

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