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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Schedule of Carrying Amount and Fair Value of Financial Instruments

The carrying amount and fair value of financial instruments are shown below:

						June 30, 2024												December 31, 2023
AS OF US$ MILLIONS						Carrying Amount						Fair Value						Carrying Amount						Fair Value
Financial assets
Available-for-sale fixed maturity securities						$	52,597					$	52,597					$	18,777					$	18,777
Equity securities1						2,804						2,804						3,663						3,663
Mortgage loans on real estate, net of allowance						12,444						12,228						5,962						5,683
Private loans, net of allowance						2,871						2,871						1,198						855
Policy loans						401						401						390						390
Short-term investments						2,910						2,910						3,115						3,115
Other invested assets:
Derivative assets						1,620						1,620						342						342
Separately managed accounts						89						89						105						105
Other2						900						883						58						58
Cash and cash equivalents						14,335						14,335						4,308						4,308
Reinsurance funds withheld3						1,573						1,573						7,248						7,248
Other assets – market risk benefit assets						704						704						34						34
Separate account assets4						1,266						1,266						1,189						1,189
Total financial assets						$	94,514					$	94,281					$	46,389					$	45,767
Financial liabilities
Policyholders’ account balances – embedded derivative						$	1,196					$	1,196					$	1,104					$	1,104
Market risk benefits						3,276						3,276						89						89
Other liabilities – derivative liabilities						14						14						12						12
Notes payable						657						657						174						174
Corporate and subsidiary borrowings						4,461						4,444						3,569						3,567
Separate account liabilities4						1,266						1,266						1,189						1,189
Total financial liabilities						$	10,870					$	10,853					$	6,137					$	6,135

1.Balance as of December 31, 2023 includes $424 million of private equity measured at cost less impairment, if any, as their fair values were not readily determinable and were therefore not subject to fair value hierarchy.

2.Balances include $471 million and $12 million of other invested assets not subject to fair value hierarchy as of June 30, 2024 and December 31, 2023, respectively. Balances exclude $1.6 billion and $209 million of derivative cash collaterals that are recorded as an offset to “Other invested assets” in the statements of financial position and are also not included in fair value hierarchy as of June 30, 2024 and December 31, 2023, respectively (refer to “Derivative Exposure” section of Note 9 for details).

3.Balances include $1.5 billion and $7.3 billion of assets not subject to fair value hierarchy as of June 30, 2024 and December 31, 2023, respectively.

4.Balances include $32 million and $26 million of assets, and corresponding liabilities, that are not subject to fair value hierarchy as of June 30, 2024 and December 31, 2023, respectively.

Schedule of Fair Value Hierarchy Measurements of Financial Instruments

The fair value hierarchy measurements of the assets and liabilities recorded at fair value are shown below:

						Assets and Liabilities Recorded at Fair Value by Hierarchy Level
AS OF JUN. 30, 2024 US$ MILLIONS						Total Fair Value						Level 1						Level 2						Level 3
Financial assets
Available-for-sale fixed maturity securities:
U.S. treasury and government						$	398					$	347					$	51					$	—
U.S. states and political subdivisions						3,384						—						3,132						252
Foreign governments						990						—						990						—
Corporate debt securities						36,228						—						33,307						2,921
Residential mortgage-backed securities						1,309						—						1,286						23
Commercial mortgage-backed securities						3,463						—						3,406						57
Collateralized debt securities						6,825						—						4,261						2,564
Total fixed maturity, available-for-sale						52,597						347						46,433						5,817
Equity securities:
Common stock						2,660						2,083						2						575
Preferred stock						140						37						—						103
Private equity and other						4						—						—						4
Total equity securities						2,804						2,120						2						682
Investment real estate1						1,279						—						—						1,279
Real estate partnerships1						39						—						—						39
Investment funds1, 2						111						—						—						111
Short-term investments						2,910						1,737						594						579
Other invested assets:
Derivative assets						1,620						—						1,366						254
Separately managed accounts						89						—						—						89
Other						429						—						4						425
Cash and cash equivalents						14,335						14,312						23						—
Reinsurance funds withheld – embedded derivative						34						—						—						34
Premiums due and other receivables – derivative asset						22						—						22						—
Other assets – market risk benefit assets						704						—						—						704
Separate account assets						1,234						200						1,034						—
Total financial assets						$	78,207					$	18,716					$	49,478					$	10,013
Financial liabilities
Policyholders’ account balances – embedded derivative						$	1,196					$	—					$	—					$	1,196
Market risk benefits						3,276						—						—						3,276
Funds withheld for reinsurance liabilities – embedded derivative						34						—						—						34
Other liabilities – derivative liabilities						14						—						14						—
Separate account liabilities						1,234						200						1,034						—
Total financial liabilities						$	5,754					$	200					$	1,048					$	4,506

1.Balances represent financial assets that are fair valued as a result of consolidation of investment company VIE in accordance with ASC 946.

2.Balance for investment funds excludes those measured at estimated fair value using net asset value (“NAV”) per share as a practical expedient. As of June 30, 2024 and December 31, 2023, the estimated fair values of investment funds measured at NAV as a practical expedient were $645 million and nil, respectively.

						Assets and Liabilities Recorded at Fair Value by Hierarchy Level
AS OF DEC. 31, 2023 US$ MILLIONS						Total Fair Value						Level 1						Level 2						Level 3
Financial assets
Available-for-sale fixed maturity securities:
U.S. treasury and government						$	497					$	442					$	55					$	—
U.S. states and political subdivisions						670						—						670						—
Foreign governments						614						—						614						—
Corporate debt securities						14,592						—						12,314						2,278
Residential mortgage-backed securities						376						—						376						—
Commercial mortgage-backed securities						726						—						696						30
Collateralized debt securities						1,302						—						961						341
Total fixed maturity, available-for-sale						18,777						442						15,686						2,649
Equity securities:
Common stock						3,073						2,682						—						391
Preferred stock						121						37						—						84
Private equity and other						45						—						—						45
Total equity securities						3,239						2,719						—						520
Short-term investments						3,115						1,948						40						1,127
Other invested assets:
Derivative assets						342						—						115						227
Separately managed accounts						105						—						—						105
Other						46						—						—						46
Cash and cash equivalents						4,308						4,264						44						—
Reinsurance funds withheld – embedded derivative						(46)						—						—						(46)
Other assets – market risk benefit assets						34						—						—						34
Separate account assets						1,163						405						758						—
Total financial assets						$	31,083					$	9,778					$	16,643					$	4,662
Financial liabilities
Policyholders’ account balances – embedded derivative						$	1,104					$	—					$	232					$	872
Market risk benefits						89						—						—						89
Other liabilities – derivative liabilities						12						8						4						—
Separate account liabilities						1,163						405						758						—
Total financial liabilities						$	2,368					$	413					$	994					$	961

Schedule of Carrying Value and Estimated Fair Value of Financial Instruments Not Recorded at Fair Value on a Recurring Basis

The carrying amount and estimated fair value of financial instruments not recorded at fair value on a recurring basis are shown below. The table below excludes cash and cash equivalents and accrued investment income, which are recorded at amortized cost in the statements of financial position, as their carrying amounts approximate the fair values due to their short-term nature.

AS OF JUN. 30, 2024 US$ MILLIONS												Carrying Amount						Fair Value						FV Hierarchy Level
																								Level 1						Level 2						Level 3
Financial assets
Mortgage loans on real estate, net of allowance												$	12,444					$	12,228					—						—						12,228
Private loans, net of allowance												2,871						2,871						—						1,056						1,815
Policy loans												401						401						—						—						401
Deposit assets												15,261						14,196						—						—						14,196
Other invested assets, excluding derivatives and separately managed accounts												471						454						—						403						51
Total financial assets									$	31,448					$	30,150
Financial liabilities
Policyholders’ account balances – investment contracts, excluding embedded derivative												$	76,797					$	76,797					—						—						76,797
Policy and contract claims – FHLB												1,880						1,880						—						—						1,880
Corporate and subsidiary borrowings												4,461						4,444						—						80						4,364
Notes payable												657						657						—						—						657
Total financial liabilities									$	83,795					$	83,778

AS OF DEC. 31, 2023 US$ MILLIONS												Carrying Amount						Fair Value						FV Hierarchy Level
																								Level 1						Level 2						Level 3
Financial assets
Mortgage loans on real estate, net of allowance												$	5,962					$	5,683					—						—						5,683
Private loans, net of allowance												1,198						855						—						—						855
Policy loans												390						390						—						—						390
Other invested assets, excluding derivatives and separately managed accounts												12						12						—						—						12
Total financial assets									$	7,562					$	6,940
Financial liabilities
Policyholders’ account balances – investment contracts, excluding embedded derivative												$	21,627					$	20,098					—						6,001						14,097
Corporate and subsidiary borrowings												3,569						3,567						133						249						3,185
Notes payable												174						174						—						—						174
Total financial liabilities									$	25,370					$	23,839

Schedule of Fair Value Assets Measured on Recurring Basis

For financial assets and financial liabilities measured at fair value on a recurring basis using Level 3 inputs during the periods, reconciliations of the beginning and ending balances are shown below:

						Assets																		Liabilities
FOR THE PERIODS ENDED JUN. 30, 2024 US$ MILLIONS						Invested assets1						Derivative assets						Reinsurance funds withheld – embedded derivative						Policyholders’ account balances – embedded derivative						Funds withheld for reinsurance liabilities – embedded derivative
Balance as of January 1, 2024						$	4,447					$	227					$	(46)					$	(872)					$	—
Fair value changes in net income						(5)						57						135						(38)						1
Fair value changes in other comprehensive income						8						—						—						—						—
Purchases						2,187						35						—						—						—
Sales						(2,056)						—						—						—						—
Settlements or maturities						(6)						(62)						—						—						—
Premiums less benefits						—						—						—						6						—
Balance as of March 31, 2024						$	4,575					$	257					$	89					$	(904)					$	1
Acquisition from business combination						4,288						—						—						—						—
Derecognition2						—						—						(196)						—						—
Fair value changes in net income						162						24						141						(287)						(35)
Fair value changes in other comprehensive income						19						—						—						—						—
Purchases						1,234						39						—						—						—
Sales						(1,260)						—						—						—						—
Settlements or maturities						(3)						(66)						—						30						—
Premiums less benefits						—						—						—						(35)						—
Transfers into Level 3						64						—						—						—						—
Transfers out of Level 3						(58)						—						—						—						—
Balance as of June 30, 2024						$	9,021					$	254					$	34					$	(1,196)					$	(34)

1.Balance includes separately managed accounts.

2.See Note 16 for the details of effective settlement of a reinsurance arrangement, resulting in the derecognition of reinsurance funds withheld.

						Assets																		Liabilities
FOR THE PERIODS ENDED JUN. 30, 2023 US$ MILLIONS						Invested assets1						Derivative assets						Reinsurance funds withheld – embedded derivative						Policyholders’ account balances – embedded derivative
Balance as of January 1, 2023						$	2,489					$	121					$	154					$	(726)
Fair value changes in net income						1						25						(55)						(50)
Fair value changes in other comprehensive income						77						—						—						—
Purchases						1,265						30						—						—
Sales						(320)						—						—						—
Settlements or maturities						—						(9)						—						—
Premiums less benefits						—						—						—						(8)
Balance as of March 31, 2023						$	3,512					$	167					$	99					$	(784)
Fair value changes in net income						(293)						47						27						(51)
Purchases						923						30						—						—
Sales						(33)						—						—						—
Settlements or maturities						—						(29)						—						—
Premiums less benefits						—						—						—						26
Balance as of June 30, 2023						$	4,109					$	215					$	126					$	(809)

1.Balance includes separately managed accounts.

Schedule of Valuation Techniques and Unobservable Inputs of Level 3 Fair Value Measurements

The following summarizes the valuation techniques and unobservable inputs of the Level 3 fair value measurements:

Type of Asset			Valuation Techniques			Significant Unobservable Inputs
Available-for-sale fixed maturity securities			Corporate debt securities •Discounted cash flows (yield analysis) •Income approach •Price at cost			Corporate debt securities •Contractual cash flows •Duration •Call provisions •Weighted-average life •Risk premium •Coupon rate
			Other asset-backed securities •Discounted cash flows			Other asset-backed securities •Discount rate •Weighted average life
			Collateralized debt securities •Broker quotes •Income approach			Collateralized debt securities •Contractual cash flows •Weighted-average coupon and maturity •Collateral type •Loss severity •Geography
Common stock, preferred stock and private equity			•Broker quotes •Income approach •Current Value Method (“CVM”) •Guideline public company method1			•Security structure •Last Twelve Months (“LTM”) Revenue Multiple2 •Next Calendar Year (“NCY”) Revenue Multiple3 •LTM EBITDA Multiple4 •NCY +1 EBITDA Multiple5
Investment real estate, real estate partnerships			•Broker price opinions (“BPOs”)			•Market comparable home sales •Age and size of the home •Location and property conditions
Separately managed accounts			Common stock and warrants •Guideline public company method1 •Option pricing method •CVM			Common stock and warrants •LTM Revenue Multiple2 •NCY Revenue Multiple3 •LTM EBITDA Multiple4 •NCY +1 EBITDA Multiple5 •Term •Volatility •Discount for lack of marketability (“DLOM”)
			Preferred stock •Guideline public company method1 •CVM			Preferred stock •LTM Revenue Multiple2 •NCY Revenue Multiple3 •LTM EBITDA Multiple4 •NCY +1 EBITDA Multiple5
			Fixed income •Discounted cash flows (yield analysis) •Market transactions approach •CVM •Cost			Fixed income •Discount rate •NCY EBITDA

1.Guideline public company method uses price multiples from data on comparable public companies. Multiples are then adjusted to account for differences between what is being valued and comparable firms.

2.LTM Revenue Multiple valuation metric shows revenue for the past 12-month period.

3.NCY Revenue Multiple shows forecast revenue over the next calendar year.

4.LTM EBITDA Multiple shows earnings before interest, taxes, depreciation and amortization (“EBITDA”) for the past 12-month period.

5.NCY +1 EBITDA Multiple shows forecasted EBITDA expected to be achieved over the next calendar year.

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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