Investments (Tables)
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6 Months Ended |
Jun. 30, 2011
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Disclosure Investments Tables |
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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 | | $ | - |
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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 |
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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 |
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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 |
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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 |
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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) |
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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 |
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