Investments (Tables)

6 Months Ended

Jun. 30, 2012

Schedule Of Amortized Cost And Fair Value Of Fixed Maturities And Related OTTI Recognized In AOCI


	June 30, 2012
	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	$	3,106	$	188	$	—		$	3,294	$	—
Foreign		12,745		571		(48	)		13,268		(1	)
Corporate securities		14,432		938		(71	)		15,299		(12	)
Mortgage-backed securities		9,815		446		(80	)		10,181		(93	)
States, municipalities, and political subdivisions		2,218		128		(2	)		2,344		—

	$	42,316	$	2,271	$	(201	)	$	44,386	$	(106	)

Held to maturity
U.S. Treasury and agency	$	1,091	$	45	$	—		$	1,136	$	—
Foreign		921		32		(4	)		949		—
Corporate securities		2,207		82		(7	)		2,282		—
Mortgage-backed securities		2,448		98		(2	)		2,544		—
States, municipalities, and political subdivisions		1,115		40		(4	)		1,151		—

	$	7,782	$	297	$	(17	)	$	8,062	$	—


	December 31, 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	$	2,774	$	186	$	—		$	2,960	$	—
Foreign		12,025		475		(99	)		12,401		(2	)
Corporate securities		14,055		773		(135	)		14,693		(22	)
Mortgage-backed securities		9,979		397		(175	)		10,201		(151	)
States, municipalities, and political subdivisions		1,617		96		(1	)		1,712		—

	$	40,450	$	1,927	$	(410	)	$	41,967	$	(175	)

Held to maturity
U.S. Treasury and agency	$	1,078	$	48	$	—		$	1,126	$	—
Foreign		935		18		(23	)		930		—
Corporate securities		2,338		44		(45	)		2,337		—
Mortgage-backed securities		2,949		90		(3	)		3,036		—
States, municipalities, and political subdivisions		1,147		32		(3	)		1,176		—

	$	8,447	$	232	$	(74	)	$	8,605	$	—

Schedule Of Fixed Maturities By Contractual Maturity


	June 30, 2012				December 31, 2011
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(in millions of U.S. dollars)
Available for sale
Due in 1 year or less	$	2,299	$	2,329	$	2,321	$	2,349
Due after 1 year through 5 years		12,330		12,802		12,325		12,722
Due after 5 years through 10 years		13,839		14,694		12,379		12,995
Due after 10 years		4,033		4,380		3,446		3,700

		32,501		34,205		30,471		31,766
Mortgage-backed securities		9,815		10,181		9,979		10,201

	$	42,316	$	44,386	$	40,450	$	41,967

Held to maturity
Due in 1 year or less	$	669	$	676	$	393	$	396
Due after 1 year through 5 years		1,811		1,858		2,062		2,090
Due after 5 years through 10 years		2,202		2,296		2,376		2,399
Due after 10 years		652		688		667		684

		5,334		5,518		5,498		5,569
Mortgage-backed securities		2,448		2,544		2,949		3,036

	$	7,782	$	8,062	$	8,447	$	8,605

Schedule Of Cost And Fair Value Of Equity Securities


	June 30 2012			December 31 2011
	(in millions of U.S. dollars)
Cost	$	724		$	671
Gross unrealized appreciation		29			18
Gross unrealized depreciation		(24	)		(42	)

Fair value	$	729		$	647

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


	Three Months Ended June 30						Six Months Ended June 30
	2012			2011			2012			2011
	(in millions of U.S. dollars)
Fixed maturities:
OTTI on fixed maturities, gross	$	(1	)	$	(6	)	$	(8	)	$	(11	)
OTTI on fixed maturities recognized in OCI (pre-tax)		—			1			—			2

OTTI on fixed maturities, net		(1	)		(5	)		(8	)		(9	)
Gross realized gains excluding OTTI		104			108			216			217
Gross realized losses excluding OTTI		(35	)		(29	)		(106	)		(85	)

Total fixed maturities		68			74			102			123

Equity securities:
OTTI on equity securities		(4	)		—			(5	)		—
Gross realized gains excluding OTTI		—			4			2			12
Gross realized losses excluding OTTI		(1	)		—			(1	)		(1	)

Total equity securities		(5	)		4			(4	)		11

OTTI on other investments		(5	)		(3	)		(7	)		(3	)
Foreign exchange losses		(9	)		(30	)		(14	)		(109	)
Investment and embedded derivative instruments		(49	)		(48	)		(7	)		(68	)
Fair value adjustments on insurance derivative		(467	)		(70	)		(39	)		1
S&P put options and futures		70			3			(161	)		(68	)
Other derivative instruments		1			(2	)		(4	)		(3	)
Other		2			(1	)		—			(2	)

Net realized gains (losses)	$	(394	)	$	(73	)	$	(134	)	$	(118	)

Schedule Of Roll-Forward 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
	2012			2011			2012			2011
	(in millions of U.S. dollars)
Balance of credit losses related to securities still held – beginning of period	$	55		$	96		$	74		$	137
Additions where no OTTI was previously recorded		1			2			2			2
Additions where an OTTI was previously recorded		—			—			5			1
Reductions for securities sold during the period		(9	)		(4	)		(34	)		(46	)

Balance of credit losses related to securities still held – end of period	$	47		$	94		$	47		$	94

Schedule Of 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)
June 30, 2012
Foreign	$	1,231	$	(34.4	)	$	350	$	(18.0	)	$	1,581	$	(52.4	)
Corporate securities		1,800		(57.2	)		331		(21.2	)		2,131		(78.4	)
Mortgage-backed securities		280		(1.9	)		437		(80.2	)		717		(82.1	)
States, municipalities, and political subdivisions		289		(2.2	)		57		(3.3	)		346		(5.5	)

Total fixed maturities		3,600		(95.7	)		1,175		(122.7	)		4,775		(218.4	)
Equity securities		511		(24.0	)		—		—			511		(24.0	)
Other investments		69		(6.6	)		—		—			69		(6.6	)

Total	$	4,180	$	(126.3	)	$	1,175	$	(122.7	)	$	5,355	$	(249.0	)


	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, 2011
Foreign	$	1,801	$	(82.2	)	$	529	$	(40.0	)	$	2,330	$	(122.2	)
Corporate securities		3,084		(148.2	)		268		(32.2	)		3,352		(180.4	)
Mortgage-backed securities		440		(7.5	)		586		(170.2	)		1,026		(177.7	)
States, municipalities, and political subdivisions		30		(0.4	)		98		(3.5	)		128		(3.9	)

Total fixed maturities		5,355		(238.3	)		1,481		(245.9	)		6,836		(484.2	)
Equity securities		484		(42.3	)		—		—			484		(42.3	)
Other investments		88		(8.3	)		—		—			88		(8.3	)

Total	$	5,927	$	(288.9	)	$	1,481	$	(245.9	)	$	7,408	$	(534.8	)

Schedule Of Components Of Restricted Assets


	June 30 2012		December 31 2011
	(in millions of U.S. dollars)
Trust funds	$	10,807	$	9,940
Deposits with non-U.S. regulatory authorities		2,141		2,240
Deposits with U.S. regulatory authorities		1,340		1,307
Assets pledged under reverse repurchase agreements		1,401		1,251
Other pledged assets		480		364

	$	16,169	$	15,102

- 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.

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