XML 50 R35.htm IDEA: XBRL DOCUMENT v3.10.0.1
Investments (Tables)
 12 Months Ended
Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Debt securities Available for sale
December 31, 2018
Amortized
Cost

 
Gross
Unrealized
Appreciation

 
Gross
Unrealized
Depreciation

 
Fair
Value

 
OTTI Recognized
in AOCI

(in millions of U.S. dollars)
 
 
 
 
Available for sale
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
4,158

 
$
30

 
$
(43
)
 
$
4,145

 
$
—

Foreign
21,370

 
395

 
(349
)
 
21,416

 
—

Corporate securities
27,183

 
150

 
(750
)
 
26,583

 
(6
)
Mortgage-backed securities
15,758

 
66

 
(284
)
 
15,540

 
(1
)
States, municipalities, and political subdivisions
10,854

 
49

 
(117
)
 
10,786

 
—

 
$
79,323

 
$
690

 
$
(1,543
)
 
$
78,470

 
$
(7
)
Held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
1,185

 
$
8

 
$
(11
)
 
$
1,182

 
$
—

Foreign
1,549

 
11

 
(18
)
 
1,542

 
—

Corporate securities
2,601

 
11

 
(104
)
 
2,508

 
—

Mortgage-backed securities
2,524

 
5

 
(43
)
 
2,486

 
—

States, municipalities, and political subdivisions
5,576

 
16

 
(51
)
 
5,541

 
—

 
$
13,435

 
$
51

 
$
(227
)
 
$
13,259

 
$
—



December 31, 2017
Amortized
Cost

 
Gross
Unrealized
Appreciation

 
Gross
Unrealized
Depreciation

 
Fair
Value

 
OTTI Recognized
in AOCI

(in millions of U.S. dollars)
 
 
 
 
Available for sale
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
3,701

 
$
32

 
$
(35
)
 
$
3,698

 
$
—

Foreign
20,514

 
622

 
(106
)
 
21,030

 
(1
)
Corporate securities
23,453

 
638

 
(95
)
 
23,996

 
(4
)
Mortgage-backed securities
15,279

 
111

 
(100
)
 
15,290

 
(1
)
States, municipalities, and political subdivisions
14,888

 
125

 
(88
)
 
14,925

 
—

 
$
77,835

 
$
1,528

 
$
(424
)
 
$
78,939

 
$
(6
)
Held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
908

 
$
12

 
$
(5
)
 
$
915

 
$
—

Foreign
1,738

 
27

 
(8
)
 
1,757

 
—

Corporate securities
3,159

 
67

 
(7
)
 
3,219

 
—

Mortgage-backed securities
2,724

 
23

 
(5
)
 
2,742

 
—

States, municipalities, and political subdivisions
5,806

 
50

 
(15
)
 
5,841

 
—

 
$
14,335

 
$
179

 
$
(40
)
 
$
14,474

 
$
—
Debt Securities Held to Maturity
December 31, 2018
Amortized
Cost

 
Gross
Unrealized
Appreciation

 
Gross
Unrealized
Depreciation

 
Fair
Value

 
OTTI Recognized
in AOCI

(in millions of U.S. dollars)
 
 
 
 
Available for sale
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
4,158

 
$
30

 
$
(43
)
 
$
4,145

 
$
—

Foreign
21,370

 
395

 
(349
)
 
21,416

 
—

Corporate securities
27,183

 
150

 
(750
)
 
26,583

 
(6
)
Mortgage-backed securities
15,758

 
66

 
(284
)
 
15,540

 
(1
)
States, municipalities, and political subdivisions
10,854

 
49

 
(117
)
 
10,786

 
—

 
$
79,323

 
$
690

 
$
(1,543
)
 
$
78,470

 
$
(7
)
Held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
1,185

 
$
8

 
$
(11
)
 
$
1,182

 
$
—

Foreign
1,549

 
11

 
(18
)
 
1,542

 
—

Corporate securities
2,601

 
11

 
(104
)
 
2,508

 
—

Mortgage-backed securities
2,524

 
5

 
(43
)
 
2,486

 
—

States, municipalities, and political subdivisions
5,576

 
16

 
(51
)
 
5,541

 
—

 
$
13,435

 
$
51

 
$
(227
)
 
$
13,259

 
$
—



December 31, 2017
Amortized
Cost

 
Gross
Unrealized
Appreciation

 
Gross
Unrealized
Depreciation

 
Fair
Value

 
OTTI Recognized
in AOCI

(in millions of U.S. dollars)
 
 
 
 
Available for sale
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
3,701

 
$
32

 
$
(35
)
 
$
3,698

 
$
—

Foreign
20,514

 
622

 
(106
)
 
21,030

 
(1
)
Corporate securities
23,453

 
638

 
(95
)
 
23,996

 
(4
)
Mortgage-backed securities
15,279

 
111

 
(100
)
 
15,290

 
(1
)
States, municipalities, and political subdivisions
14,888

 
125

 
(88
)
 
14,925

 
—

 
$
77,835

 
$
1,528

 
$
(424
)
 
$
78,939

 
$
(6
)
Held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
908

 
$
12

 
$
(5
)
 
$
915

 
$
—

Foreign
1,738

 
27

 
(8
)
 
1,757

 
—

Corporate securities
3,159

 
67

 
(7
)
 
3,219

 
—

Mortgage-backed securities
2,724

 
23

 
(5
)
 
2,742

 
—

States, municipalities, and political subdivisions
5,806

 
50

 
(15
)
 
5,841

 
—

 
$
14,335

 
$
179

 
$
(40
)
 
$
14,474

 
$
—
Schedule Of Fixed Maturities By Contractual Maturity
The following table presents fixed maturities by contractual maturity:
 
December 31
 
 
December 31
 
 
 
 
2018

 
 
 
2017

(in millions of U.S. dollars)
Amortized Cost

 
Fair Value

 
Amortized Cost

 
Fair Value

Available for sale
 
 
 
 
 
 
 
Due in 1 year or less
$
3,569

 
$
3,568

 
$
3,164

 
$
3,182

Due after 1 year through 5 years
27,134

 
27,005

 
24,749

 
25,068

Due after 5 years through 10 years
24,095

 
23,543

 
25,388

 
25,704

Due after 10 years
8,767

 
8,814

 
9,255

 
9,695

 
63,565

 
62,930

 
62,556

 
63,649

Mortgage-backed securities
15,758

 
15,540

 
15,279

 
15,290

 
$
79,323

 
$
78,470

 
$
77,835

 
$
78,939

Held to maturity
 
 
 
 
 
 
 
Due in 1 year or less
$
536

 
$
537

 
$
743

 
$
746

Due after 1 year through 5 years
3,122

 
3,106

 
2,669

 
2,688

Due after 5 years through 10 years
4,468

 
4,407

 
4,744

 
4,756

Due after 10 years
2,785

 
2,723

 
3,455

 
3,542

 
10,911

 
10,773

 
11,611

 
11,732

Mortgage-backed securities
2,524

 
2,486

 
2,724

 
2,742

 
$
13,435

 
$
13,259

 
$
14,335

 
$
14,474
Gain (Loss) on Securities [Table Text Block]
) Equity securities and Other investments
Effective January 1, 2018, we adopted new accounting guidance that requires any changes in fair value of equity securities and other investments that are accounted for under the cost-method to be recognized immediately in realized gains and losses in net income. As a result, beginning on January 1, 2018, realized gains and losses from these investments include both sales of securities and unrealized gains and losses as follows:
 
Year Ended December 31, 2018
 
(in millions of U.S. dollars)
Equity Securities

 
Other Investments

 
Total

Net losses recognized during the period
$
(59
)
 
$
(5
)
 
$
(64
)
Less: Net gains recognized from sales of securities
70

 
121

 
191

Unrealized losses recognized for securities still held at reporting date
$
(129
)
 
$
(126
)
 
$
(255
)
Schedule Of Default Assumptions By Moody's Rating Category
The following table presents default assumptions by Moody's rating category (historical mean default rate provided for comparison):
Moody's Rating Category
1-in-100 Year Default Rate

 
Historical Mean Default Rate

Investment Grade:
 
 
 
Aaa-Baa
0.0 - 1.3%

 
0.0 - 0.3%

Below Investment Grade:
 
 
 
Ba
4.8
%
 
1.0
%
B
12.0
%
 
3.2
%
Caa-C
36.6
%
 
10.5
%
Schedule Of Net Realized Gains (Losses) And The Losses Included In Net Realized Gains (Losses) And OCI
The following table presents the components of Net realized gains (losses) and the change in net unrealized appreciation (depreciation) of investments: 
 
Year Ended December 31
 
(in millions of U.S. dollars)
2018

 
2017

 
2016

Fixed maturities:
 
 
 
 
 
OTTI on fixed maturities, gross
$
(52
)
 
$
(24
)
 
$
(89
)
OTTI on fixed maturities recognized in OCI (pre-tax)
3

 
1

 
8

OTTI on fixed maturities, net
(49
)
 
(23
)
 
(81
)
Gross realized gains excluding OTTI
334

 
149

 
183

Gross realized losses excluding OTTI
(587
)
 
(157
)
 
(265
)
Total fixed maturities
(302
)
 
(31
)
 
(163
)
Equity securities:
 
 
 
 
 
OTTI on equity securities
—

 
(10
)
 
(8
)
Gross realized gains excluding OTTI
74

 
28

 
65

Gross realized losses excluding OTTI
(133
)
 
(2
)
 
(13
)
Total equity securities
(59
)
 
16

 
44

OTTI on other investments
—

 
(12
)
 
(14
)
Other investments
(5
)
 
—

 
—

Foreign exchange gains
131

 
36

 
118

Investment and embedded derivative instruments
(75
)
 
(11
)
 
(33
)
Fair value adjustments on insurance derivative
(248
)
 
364

 
53

S&P put options and futures
(4
)
 
(261
)
 
(136
)
Other derivative instruments
(3
)
 
(5
)
 
(10
)
Other
(87
)
 
(12
)
 
(4
)
Net realized gains (losses) (pre-tax)
$
(652
)
 
$
84

 
$
(145
)
 
 
 
 
 
 
Change in net unrealized appreciation (depreciation) on investments (pre-tax):
 
 
 
 
 
Fixed maturities available for sale
$
(1,958
)
 
$
519

 
$
142

Fixed maturities held to maturity
(38
)
 
18

 
(59
)
Equity securities
—

 
88

 
52

Other
—

 
8

 
(51
)
Income tax (expense) benefit
297

 
(241
)
 
100

Change in net unrealized appreciation (depreciation) on investments (after-tax)
$
(1,699
)
 
$
392

 
$
184
Schedule Of Roll-Forward Of Pre-Tax Credit Losses Related To Fixed Maturities For Which A Portion Of OTTI Was Recognized In OCI
The following table presents a roll-forward of pre-tax credit losses related to fixed maturities for which a portion of OTTI was recognized in OCI: 
 
Year Ended December 31
 
(in millions of U.S. dollars)
2018

 
2017

 
2016

Balance of credit losses related to securities still held – beginning of year
$
22

 
$
35

 
$
53

Additions where no OTTI was previously recorded
20

 
4

 
17

Additions where an OTTI was previously recorded
5

 
2

 
14

Reductions for securities sold during the period
(13
)
 
(19
)
 
(49
)
Balance of credit losses related to securities still held – end of year
$
34

 
$
22

 
$
35
Schedule Of Other Investments
 
 
 
December 31

 
 
 
December 31

 
 
 
2018

 
 
 
2017

(in millions of U.S. dollars)
Fair Value

 
Cost

 
Fair Value

 
Cost

Partially-owned investment companies
$
3,623

 
$
3,623

 
$
2,803

 
$
2,803

Limited partnerships
538

 
538

 
549

 
441

Investment funds
83

 
83

 
270

 
123

Other
 
 
 
 
 
 
 
Life insurance policies
304

 
304

 
305

 
305

Policy loans
243

 
243

 
244

 
244

Non-qualified separate account assets
252

 
252

 
333

 
333

Other
234

 
234

 
168

 
168

Total
$
5,277

 
$
5,277

 
$
4,672

 
$
4,417
Schedule Of Partially Owned Insurance Companies
 
December 31, 2018
 
 
December 31, 2017
 
 
 
(in millions of U.S. dollars, except for percentages)
Carrying Value

 
Issued
 Share
Capital

 
Ownership Percentage

 
Carrying Value

 
Issued Share Capital

 
Ownership Percentage

 
Domicile
Huatai Group
$
452

 
$
587

 
20
%
 
$
438

 
$
616

 
20
%
 
China
Huatai Life Insurance Company
106

 
472

 
20
%
 
105

 
495

 
20
%
 
China
Freisenbruch-Meyer
9

 
—

 
40
%
 
9

 
—

 
40
%
 
Bermuda
Chubb Arabia Cooperative Insurance Company
18

 
27

 
30
%
 
15

 
27

 
30
%
 
Saudi Arabia
Russian Reinsurance Company
2

 
4

 
23
%
 
2

 
4

 
23
%
 
Russia
ABR Reinsurance Ltd.
91

 
774

 
12
%
 
93

 
800

 
11
%
 
Bermuda
Total
$
678

 
$
1,864

 
 
 
$
662

 
$
1,942

 
 
 
 
Schedule Of Aggregate Fair Value And Gross Unrealized Loss By Length Of Time The Security Has Continuously Been In An Unrealized Loss Position
The following tables present, for all securities in an unrealized loss position (including securities on loan), the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:
 
0 – 12 Months
 
 
Over 12 Months
 
 
Total
 
December 31, 2018
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

(in millions of U.S. dollars)
 
 
 
 
 
U.S. Treasury and agency
$
523

 
$
(4
)
 
$
2,859

 
$
(50
)
 
$
3,382

 
$
(54
)
Foreign
6,764

 
(208
)
 
5,349

 
(159
)
 
12,113

 
(367
)
Corporate securities
16,538

 
(599
)
 
4,873

 
(255
)
 
21,411

 
(854
)
Mortgage-backed securities
6,103

 
(98
)
 
6,913

 
(229
)
 
13,016

 
(327
)
States, municipalities, and political subdivisions
5,024

 
(44
)
 
7,768

 
(124
)
 
12,792

 
(168
)
Total fixed maturities
$
34,952

 
$
(953
)
 
$
27,762

 
$
(817
)
 
$
62,714

 
$
(1,770
)
 
 
0 – 12 Months
 
 
Over 12 Months
 
 
Total
 
December 31, 2017
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

(in millions of U.S. dollars)
 
 
 
 
 
U.S. Treasury and agency
$
2,172

 
$
(14
)
 
$
1,249

 
$
(26
)
 
$
3,421

 
$
(40
)
Foreign
5,657

 
(65
)
 
1,693

 
(49
)
 
7,350

 
(114
)
Corporate securities
5,210

 
(56
)
 
1,332

 
(46
)
 
6,542

 
(102
)
Mortgage-backed securities
6,194

 
(31
)
 
3,209

 
(74
)
 
9,403

 
(105
)
States, municipalities, and political subdivisions
9,259

 
(71
)
 
1,402

 
(32
)
 
10,661

 
(103
)
Total fixed maturities
28,492

 
(237
)
 
8,885

 
(227
)
 
37,377

 
(464
)
Equity securities
115

 
(12
)
 
—

 
—

 
115

 
(12
)
Other investments
78

 
(8
)
 
—

 
—

 
78

 
(8
)
Total
$
28,685

 
$
(257
)
 
$
8,885

 
$
(227
)
 
$
37,570

 
$
(484
)
Schedule Of Sources Of Net Investment Income
 
Year Ended December 31
 
(in millions of U.S. dollars)
2018

 
2017

 
2016

Fixed maturities
$
3,128

 
$
2,987

 
$
2,779

Short-term investments
90

 
56

 
58

Other interest income
118

 
75

 
35

Equity securities
33

 
38

 
36

Other investments
104

 
133

 
98

Gross investment income (1)
3,473

 
3,289

 
3,006

Investment expenses
(168
)
 
(164
)
 
(141
)
Net investment income (1)
$
3,305

 
$
3,125

 
$
2,865

(1) Includes amortization expense related to fair value adjustment of acquired invested assets
    related to the Chub Corp acquisition

$
(248
)
 
$
(332
)
 
$
(393
)
Schedule Of Components Of Restricted Assets
The following table presents the components of restricted assets: 
 
December 31

 
December 31

(in millions of U.S. dollars)
2018

 
2017

Trust funds
$
13,988

 
$
17,011

Deposits with U.S. regulatory authorities
2,405

 
2,345

Deposits with non-U.S. regulatory authorities
2,531

 
2,250

Assets pledged under repurchase agreements
1,468

 
1,434

Other pledged assets
692

 
414

Total
$
21,084

 
$
23,454