v3.26.1
DERIVATIVE INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts and Fair Values of Freestanding Derivative Instruments
The notional amounts and fair values of freestanding derivative instruments are shown below:
AS OF
US$ MILLIONS		Primary underlying riskJune 30, 2026December 31, 2025
Notional Amount
Fair Value(1)
Notional Amount
Fair Value(1)
AssetsLiabilitiesAssetsLiabilities
Derivatives designated as hedging instruments:
Foreign exchange forwardsForeign currency$1,415 $9 $(30)$1,248 $3 $(17)
Cross currency swapsForeign currency1,469 1 (43)1,499 12 (5)
Interest rate swapsInterest rate2,914 6 (35)1,797 12 — 
Derivatives not designated as hedging instruments:
Equity-indexed optionsEquity$47,200 $1,601 $— $46,883 $1,571 $— 
Foreign exchange forwardsForeign currency7,603 81 (39)7,447 28 (59)
Cross currency swapsForeign currency43,519 1,001 (1,545)1,001 35 (16)
Interest rate optionsInterest rate77 — — — — — 
Interest rate swapsInterest rate85,435 3,071 (3,116)2,027 32 (22)
Inflation swapsInflation 13,645 461 (207)— — — 
$203,277 $6,231 $(5,015)$61,902 $1,693 $(119)
__________________________
(1)The asset and liability balances are presented on a gross basis. Amounts are reported in “Derivative assets” and “Derivative liabilities” in the statements of financial position after the evaluation for rights of offset. See “Derivative Exposure” section of this note for further details.
The following represents the amount of gains (losses) related to the derivatives and hedged items that qualify for fair value hedges:
FOR THE PERIODS ENDED JUN. 30
US$ MILLIONS		Three Months EndedSix Months Ended
2026202520262025
Foreign currency derivatives:
Hedged items$40 $(67)$48 $(32)
Derivatives designated as hedging instruments(40)58 (45)23 
Interest rate derivatives:
Hedged items29 8 42 18 
Derivatives designated as hedging instruments(29)(8)(42)(18)
Gains (losses) on fair value hedges$— $(9)$3 $(9)
Schedule of Carrying Amount and Cumulative Fair Value of Hedging Adjustments The following table presents the carrying amount and cumulative fair value hedging adjustments for a portion of PAB designated and qualifying as hedged items in fair value hedges in relation to interest rate derivatives:
AS OF
US$ MILLIONS		Carrying Amount of the Hedged Assets (Liabilities)Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets (Liabilities)
Location in the Statements of Financial PositionJune 30, 2026December 31, 2025June 30, 2026December 31, 2025
Policyholders’ account balances$(3,307)$(2,224)$35 $(12)
Schedule of Derivatives Instruments
The following represents the amount of gains (losses) related to the derivatives not designated as hedging instruments, recognized in “Investment related gains (losses)” on the statements of operations, except for equity-indexed options which are recognized in “Change in fair value of insurance-related derivatives and embedded derivatives”:
FOR THE PERIODS ENDED JUN. 30
US$ MILLIONS		Three Months EndedSix Months Ended
2026202520262025
Equity-indexed options$693 $232 $257 $(102)
Equity total return swaps— 20 — 33 
Foreign exchange forwards20 (234)80 (281)
Cross currency swaps172 (14)109 (15)
Interest rate options(7)— (9)— 
Interest rate swaps(59)(2)(58)3 
Inflation swaps(187)— (187)— 
Total$632 $2 $192 $(362)
Schedule of Derivative Assets and Effects of Rights of Offset
Information regarding the Company’s exposure to credit loss on the derivatives it holds, including the effect of rights of offset, is presented below:
AS OF JUN. 30, 2026
US$ 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 invested assets(3)
Net amount after collateral
Counterparty nettingCash collateral
Total derivative assets$6,234 $(3,169)$(2,894)$171 $(41)$130 
Total derivative liabilities$(5,016)$3,169 $1,271 $(576)$444 $(132)
AS OF DEC. 31, 2025
US$ 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 invested assets(3)
Net amount after collateral
Counterparty nettingCash collateral
Total derivative assets$1,693 $(82)$(1,548)$63 $(28)$35 
Total derivative liabilities$(119)$82 $— $(37)$— $(37)
__________________________
(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 $25 million and $115 million of excess collateral received and $105 million and $64 million of initial margin posted as of June 30, 2026 and December 31, 2025, respectively.
Schedule of Derivative Liabilities and Effects of Rights of Offset
Information regarding the Company’s exposure to credit loss on the derivatives it holds, including the effect of rights of offset, is presented below:
AS OF JUN. 30, 2026
US$ 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 invested assets(3)
Net amount after collateral
Counterparty nettingCash collateral
Total derivative assets$6,234 $(3,169)$(2,894)$171 $(41)$130 
Total derivative liabilities$(5,016)$3,169 $1,271 $(576)$444 $(132)
AS OF DEC. 31, 2025
US$ 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 invested assets(3)
Net amount after collateral
Counterparty nettingCash collateral
Total derivative assets$1,693 $(82)$(1,548)$63 $(28)$35 
Total derivative liabilities$(119)$82 $— $(37)$— $(37)
__________________________
(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 $25 million and $115 million of excess collateral received and $105 million and $64 million of initial margin posted as of June 30, 2026 and December 31, 2025, respectively.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The fair values of embedded derivatives that have been separated from their host contracts, presented in the statements of financial position, are shown below:
AS OF
US$ MILLIONS		June 30, 2026December 31, 2025
Location in the Statements of Financial PositionFair ValueFair Value
AssetsLiabilitiesAssetsLiabilities
Modco arrangementReinsurance funds withheld$56 $— $48 $— 
Indexed annuity product
Policyholders’ account balances
— (6,625)— (6,414)
Funds withheld arrangementFunds withheld for reinsurance liabilities— (20)— (74)
$56 $(6,645)$48 $(6,488)
Schedule of Derivative Instruments, Gains (Losses)
The following represents the amount of gains (losses) related to embedded derivatives recorded in the statements of operations:
FOR THE PERIODS ENDED JUN. 30
US$ MILLIONS		Location in the Statements of OperationsThree Months EndedSix Months Ended
2026202520262025
Modco arrangementNet investment results from reinsurance funds withheld$— $(2)$8 $(12)
Indexed annuity productChange in fair value of insurance-related derivatives and embedded derivatives(483)(355)(218)(200)
Funds withheld arrangementChange in fair value of insurance-related derivatives and embedded derivatives20 (8)53 (29)
$(463)$(365)$(157)$(241)