Investments (Tables)

6 Months Ended

Jun. 30, 2011

Disclosure Investments Tables

Fair values and amortized costs of and the gross unrealized appreciation (depreciation) related to fixed maturities as well as related OTTI recognized in AOCI

		June 30, 2011
		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		$	2,423	$	80	$	(8)	$	2,495	$	-
Foreign			12,341		389		(51)		12,679		(12)
Corporate securities			13,853		723		(63)		14,513		(14)
Mortgage-backed securities			9,932		259		(180)		10,011		(191)
States, municipalities, and political			1,313		36		(9)		1,340		-
	subdivisions
		$	39,862	$	1,487	$	(311)	$	41,038	$	(217)
Held to maturity
U.S. Treasury and agency		$	1,067	$	30	$	(5)	$	1,092	$	-
Foreign			1,051		1		(24)		1,028		-
Corporate securities			2,311		15		(34)		2,292		-
Mortgage-backed securities			3,414		69		(11)		3,472		-
States, municipalities, and political			1,190		10		(6)		1,194		-
	subdivisions
		$	9,033	$	125	$	(80)	$	9,078	$	-

		December 31, 2010
		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		$	2,904	$	74	$	(15)	$	2,963	$	-
Foreign			10,926		340		(80)		11,186		(28)
Corporate securities			12,902		754		(69)		13,587		(29)
Mortgage-backed securities			8,508		213		(205)		8,516		(228)
States, municipalities, and political			1,302		15		(30)		1,287		-
	subdivisions
		$	36,542	$	1,396	$	(399)	$	37,539	$	(285)
Held to maturity
U.S. Treasury and agency		$	1,105	$	32	$	(10)	$	1,127	$	-
Foreign			1,049		1		(37)		1,013		-
Corporate securities			2,361		12		(60)		2,313		-
Mortgage-backed securities			3,811		62		(27)		3,846		-
States, municipalities, and political			1,175		5		(18)		1,162		-
	subdivisions
		$	9,501	$	112	$	(152)	$	9,461	$	-

Fixed maturities by contractual maturity

	June 30				December 31
	2011				2010
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(in millions of U.S. dollars)
Available for sale; maturity period
Due in 1 year or less	$	2,046	$	2,074	$	1,846	$	1,985
Due after 1 year through 5 years		12,962		13,446		13,094		13,444
Due after 5 years through 10 years		11,468		11,972		10,276		10,782
Due after 10 years		3,454		3,535		2,818		2,812
		29,930		31,027		28,034		29,023
Mortgage-backed securities		9,932		10,011		8,508		8,516
	$	39,862	$	41,038	$	36,542	$	37,539
Held to maturity; maturity period
Due in 1 year or less	$	310	$	312	$	400	$	404
Due after 1 year through 5 years		2,127		2,163		1,983		2,010
Due after 5 years through 10 years		2,512		2,468		2,613		2,524
Due after 10 years		670		663		694		677
		5,619		5,606		5,690		5,615
Mortgage-backed securities		3,414		3,472		3,811		3,846
	$	9,033	$	9,078	$	9,501	$	9,461

Fair value, cost of, and gross unrealized appreciation (depreciation) related to equity securities

		June 30		December 31
		2011		2010
	(in millions of U.S. dollars)
Cost	$	549	$	666
Gross unrealized appreciation		37		28
Gross unrealized depreciation		(4)		(2)
Fair value	$	582	$	692

Net realized gains (losses) and the losses included in Net realized gains (losses) and OCI as a result of conditions which caused the Company to conclude the decline in fair value of certain investments was "other-than-temporary"

	Three Months Ended				Six Months Ended
	June 30				June 30
	2011		2010		2011		2010
	(in millions of U.S. dollars)
Fixed maturities:
OTTI on fixed maturities, gross	$	(6)	$	(18)	$	(11)	$	(68)
OTTI on fixed maturities recognized in OCI (pre-tax)		1		13		2		45
OTTI on fixed maturities, net		(5)		(5)		(9)		(23)
Gross realized gains excluding OTTI		108		128		217		296
Gross realized losses excluding OTTI		(29)		(46)		(85)		(115)
Total fixed maturities		74		77		123		158
Equity securities:
Gross realized gains excluding OTTI		4		32		12		77
Gross realized losses excluding OTTI		-		-		(1)		-
Total equity securities		4		32		11		77
OTTI on other investments		(3)		(13)		(3)		(13)
Foreign exchange gains (losses)		(30)		61		(109)		52
Investment and embedded derivative instruments		(48)		5		(68)		24
Fair value adjustments on insurance derivative		(70)		(301)		1		(205)
S&P put options and futures		3		143		(68)		84
Other derivative instruments		(2)		4		(3)		(5)
Other		(1)		1		(2)		5
Net realized gains (losses)	$	(73)	$	9	$	(118)	$	177

Rollforward of pre-tax credit losses related to fixed maturities for which a portion of OTTI was recognized in OCI

	Three Months Ended				Six Months Ended
	June 30				June 30
	2011		2010		2011		2010
		(in millions of U.S. dollars)
Balance of credit losses related to securities still held- beginning of period	$	96	$	163	$	137	$	174
Additions where no OTTI was previously recorded		2		5		2		22
Additions where an OTTI was previously recorded		-		-		1		1
Reductions for securities sold during the period		(4)		(31)		(46)		(60)
Balance of credit losses related to securities still held- end of period	$	94	$	137	$	94	$	137

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
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
June 30, 2011	(in millions of U.S. dollars)
U.S. Treasury and agency	$	551	$	(13.3)	$	-	$	-	$	551	$	(13.3)
Foreign		3,136		(60.7)		264		(14.1)		3,400		(74.8)
Corporate securities		3,709		(73.2)		152		(23.9)		3,861		(97.1)
Mortgage-backed securities		2,638		(35.1)		825		(155.4)		3,463		(190.5)
States, municipalities, and political subdivisions		663		(10.8)		62		(4.6)		725		(15.4)
Total fixed maturities		10,697		(193.1)		1,303		(198.0)		12,000		(391.1)
Equity securities		44		(3.3)		1		(0.4)		45		(3.7)
Other investments		19		(1.0)		-		-		19		(1.0)
Total	$	10,760	$	(197.4)	$	1,304	$	(198.4)	$	12,064	$	(395.8)

	0 – 12 Months				Over 12 Months				Total
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
December 31, 2010	(in millions of U.S. dollars)
U.S. Treasury and agency	$	864	$	(24.6)	$	-	$	-	$	864	$	(24.6)
Foreign		4,409		(79.0)		312		(37.6)		4,721		(116.6)
Corporate securities		3,553		(85.1)		273		(43.9)		3,826		(129.0)
Mortgage-backed securities		3,904		(67.3)		1,031		(165.1)		4,935		(232.4)
States, municipalities, and political subdivisions		1,115		(36.2)		79		(11.9)		1,194		(48.1)
Total fixed maturities		13,845		(292.2)		1,695		(258.5)		15,540		(550.7)
Equity securities		45		(1.9)		1		(0.3)		46		(2.2)
Other investments		66		(8.7)		-		-		66		(8.7)
Total	$	13,956	$	(302.8)	$	1,696	$	(258.8)	$	15,652	$	(561.6)

Components of the restricted assets

		June 30		December 31
		2011		2010
	(in millions of U.S. dollars)
Trust funds	$	9,143	$	8,200
Deposits with U.S. regulatory authorities		1,254		1,384
Deposits with non-U.S. regulatory authorities		2,264		2,289
Other pledged assets		273		190
	$	12,934	$	12,063