Investments (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value And Amortized Cost Of And The Gross Unrealized Appreciation (Depreciation) Related To Fixed Maturities As Well As Related OTTI Recognized In AOCI


	September 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	$	2,390	$	175	$	(1	)	$	2,564	$	—
Foreign		12,018		465		(123	)		12,360		(2	)
Corporate securities		14,109		646		(234	)		14,521		(21	)
Mortgage-backed securities		10,308		407		(166	)		10,549		(171	)
States, municipalities, and political subdivisions		1,509		76		(2	)		1,583		—

	$	40,334	$	1,769	$	(526	)	$	41,577	$	(194	)

Held to maturity
U.S. Treasury and agency	$	1,088	$	48	$	—		$	1,136	$	—
Foreign		1,038		14		(27	)		1,025		—
Corporate securities		2,289		35		(42	)		2,282		—
Mortgage-backed securities		3,181		94		(3	)		3,272		—
States, municipalities, and political subdivisions		1,135		25		(2	)		1,158		—

	$	8,731	$	216	$	(74	)	$	8,873	$	—


	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 subdivisions		1,302		15		(30	)		1,287		—

	$	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 subdivisions		1,175		5		(18	)		1,162		—

	$	9,501	$	112	$	(152	)	$	9,461	$	—

Schedule Of Fixed Maturities By Contractual Maturity


	September 30 2011				December 31 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	$	2,048	$	2,077	$	1,846	$	1,985
Due after 1 year through 5 years		12,610		12,997		13,094		13,444
Due after 5 years through 10 years		11,885		12,267		10,276		10,782
Due after 10 years		3,483		3,687		2,818		2,812

		30,026		31,028		28,034		29,023
Mortgage-backed securities		10,308		10,549		8,508		8,516

	$	40,334	$	41,577	$	36,542	$	37,539

Held to maturity; maturity period
Due in 1 year or less	$	351	$	354	$	400	$	404
Due after 1 year through 5 years		2,055		2,084		1,983		2,010
Due after 5 years through 10 years		2,481		2,483		2,613		2,524
Due after 10 years		663		680		694		677

		5,550		5,601		5,690		5,615
Mortgage-backed securities		3,181		3,272		3,811		3,846

	$	8,731	$	8,873	$	9,501	$	9,461

Fair Value And Cost Of And Gross Unrealized Appreciation (Depreciation) Related To Equity Securities


	September 30 2011			December 31 2010
	(in millions of U.S. dollars)
Cost	$	647		$	666
Gross unrealized appreciation		20			28
Gross unrealized depreciation		(46	)		(2	)

Fair value	$	621		$	692

Net Realized Gains (Losses) And The Losses Included In Net Realized Gains (Losses) And OCI


	Three Months Ended September 30						Nine Months Ended September 30
	2011			2010			2011			2010
	(in millions of U.S. dollars)
Fixed maturities:
OTTI on fixed maturities, gross	$	(30	)	$	(39	)	$	(41	)	$	(107	)
OTTI on fixed maturities recognized in OCI (pre-tax)		11			20			13			65

OTTI on fixed maturities, net		(19	)		(19	)		(28	)		(42	)
Gross realized gains excluding OTTI		92			138			309			434
Gross realized losses excluding OTTI		(53	)		(6	)		(138	)		(121	)

Total fixed maturities		20			113			143			271

Equity securities:
OTTI on equity securities		(1	)		—			(1	)		—
Gross realized gains excluding OTTI		—			8			12			85
Gross realized losses excluding OTTI		(1	)		(1	)		(2	)		(1	)

Total equity securities		(2	)		7			9			84

OTTI on other investments		—			—			(3	)		(13	)
Foreign exchange gains (losses)		20			(62	)		(89	)		(10	)
Investment and embedded derivative instruments		(89	)		(1	)		(157	)		23
Fair value adjustments on insurance derivative		(926	)		25			(925	)		(180	)
S&P put options and futures		220			(110	)		152			(26	)
Other derivative instruments		2			(14	)		(1	)		(19	)
Other		(5	)		(8	)		(7	)		(3	)

Net realized gains (losses)	$	(760	)	$	(50	)	$	(878	)	$	127

Roll Forward Of Pre-Tax Credit Losses Related To Fixed Maturities For Which A Portion Of OTTI Was Recognized In OCI


	Three Months Ended September 30						Nine Months Ended September 30
	2011			2010			2011			2010
	(in millions of U.S. dollars)
Balance of credit losses related to securities still held - beginning of period	$	94		$	137		$	137		$	174
Additions where no OTTI was previously recorded		6			8			8			32
Additions where an OTTI was previously recorded		3			11			4			10
Reductions for securities sold during the period		(24	)		(9	)		(70	)		(69	)

Balance of credit losses related to securities still held - end of period	$	79		$	147		$	79		$	147

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
	(in millions of U.S. dollars)
September 30, 2011
U.S. Treasury and agency	$	142	$	(0.8	)	$	—	$	—		$	142	$	(0.8	)
Foreign		2,342		(132.4	)		194		(17.1	)		2,536		(149.5	)
Corporate securities		5,052		(252.1	)		99		(24.1	)		5,151		(276.2	)
Mortgage-backed securities		426		(6.5	)		664		(162.8	)		1,090		(169.3	)
States, municipalities, and political subdivisions		203		(3.3	)		47		(1.1	)		250		(4.4	)

Total fixed maturities		8,165		(395.1	)		1,004		(205.1	)		9,169		(600.2	)
Equity securities		503		(46.2	)		1		(0.2	)		504		(46.4	)
Other investments		54		(2.7	)		—		—			54		(2.7	)

Total	$	8,722	$	(444.0	)	$	1,005	$	(205.3	)	$	9,727	$	(649.3	)


	0 – 12 Months					Over 12 Months					Total
	Fair Value		Gross Unrealized Loss			Fair Value		Gross Unrealized Loss			Fair Value		Gross Unrealized Loss
	(in millions of U.S. dollars)
December 31, 2010
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	)

Schedule Of Components Of Restricted Assets


	September 30 2011		December 31 2010
	(in millions of U.S. dollars)
Trust funds	$	9,482	$	8,200
Deposits with U.S. regulatory authorities		1,249		1,384
Deposits with non-U.S. regulatory authorities		2,223		2,289
Other pledged assets		280		190

	$	13,234	$	12,063

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details