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DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

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 instruments1						Gross amounts offset in the statements of financial position2						Net amount presented on the statements of financial position						Collateral (received) pledged in cash3						Collateral (received) pledged in invested assets3						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 instruments1						Gross amounts offset in the statements of financial position2						Net amount presented on the statements of financial position						Collateral (received) pledged in cash3						Collateral (received) pledged in invested assets3						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 instruments1						Gross amounts offset in the statements of financial position2						Net amount presented on the statements of financial position						Collateral (received) pledged in cash3						Collateral (received) pledged in invested assets3						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 instruments1						Gross amounts offset in the statements of financial position2						Net amount presented on the statements of financial position						Collateral (received) pledged in cash3						Collateral (received) pledged in invested assets3						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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