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Investments (Tables)
 12 Months Ended
Dec. 31, 2012
Investments, Debt and Equity Securities [Abstract]  
Schedule Of Amortized Cost And Fair Value Of Fixed Maturities And Related OTTI Recognized In AOCI
The following tables present the amortized cost and fair value of fixed maturities and related OTTI recognized in AOCI:
December 31, 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
$
3,553

 
$
183

 
$
(1
)
 
$
3,735

 
$
—

Foreign
13,016

 
711

 
(14
)
 
13,713

 
—

Corporate securities
15,529

 
1,210

 
(31
)
 
16,708

 
(7
)
Mortgage-backed securities
10,051

 
458

 
(36
)
 
10,473

 
(84
)
States, municipalities, and political subdivisions
2,517

 
163

 
(3
)
 
2,677

 
—

 
$
44,666

 
$
2,725

 
$
(85
)
 
$
47,306

 
$
(91
)
Held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
1,044

 
$
39

 
$
—

 
$
1,083

 
$
—

Foreign
910

 
54

 
—

 
964

 
—

Corporate securities
2,133

 
142

 
—

 
2,275

 
—

Mortgage-backed securities
2,028

 
88

 
—

 
2,116

 
—

States, municipalities, and political subdivisions
1,155

 
44

 
(4
)
 
1,195

 
—

 
$
7,270

 
$
367

 
$
(4
)
 
$
7,633

 
$
—

 
 
 
 
 
 
 
 
 
 
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
The following table presents fixed maturities by contractual maturity: 
 
December 31
 
 
December 31
 
 
 
 
2012

 
 
 
2011

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

 
Fair Value

 
Amortized Cost

 
Fair Value

Available for sale
 
 
 
 
 
 
 
Due in 1 year or less
$
1,887

 
$
1,906

 
$
2,321

 
$
2,349

Due after 1 year through 5 years
13,411

 
14,010

 
12,325

 
12,722

Due after 5 years through 10 years
15,032

 
16,153

 
12,379

 
12,995

Due after 10 years
4,285

 
4,764

 
3,446

 
3,700

 
34,615

 
36,833

 
30,471

 
31,766

Mortgage-backed securities
10,051

 
10,473

 
9,979

 
10,201

 
$
44,666

 
$
47,306

 
$
40,450

 
$
41,967

Held to maturity
 
 
 
 
 
 
 
Due in 1 year or less
$
656

 
$
659

 
$
393

 
$
396

Due after 1 year through 5 years
1,870

 
1,950

 
2,062

 
2,090

Due after 5 years through 10 years
2,119

 
2,267

 
2,376

 
2,399

Due after 10 years
597

 
641

 
667

 
684

 
5,242

 
5,517

 
5,498

 
5,569

Mortgage-backed securities
2,028

 
2,116

 
2,949

 
3,036

 
$
7,270

 
$
7,633

 
$
8,447

 
$
8,605
Schedule Of Cost And Fair Value Of Equity Securities
The following table presents the cost and fair value of equity securities:
 
December 31


December 31

(in millions of U.S. dollars)
2012


2011

Cost
$
707

 
$
671

Gross unrealized appreciation
41

 
18

Gross unrealized depreciation
(4
)
 
(42
)
Fair value
$
744

 
$
647
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
0.0-1.4%

 
0.0-0.3%

Below Investment Grade:
 
 
 
Ba
4.9
%
 
1.1
%
B
12.8
%
 
3.4
%
Caa-C
53.4
%
 
13.8
%
Schedule Of Significant Assumptions For Future Cash Flows For Mortgage Backed Securities

Schedule Of Net Realized Gains (Losses) And The Losses Included In Net Realized Gains (Losses) And OCI
The following table presents the Net realized gains (losses) and the losses included in Net realized gains (losses) and OCI as a result of conditions which caused us to conclude the decline in fair value of certain investments was “other-than-temporary” and the change in net unrealized appreciation (depreciation) of investments: 
 
Years Ended December 31
 
(in millions of U.S. dollars)
2012

 
2011

 
2010

Fixed maturities:
 
 
 
 
 
OTTI on fixed maturities, gross
$
(26
)
 
$
(61
)
 
$
(115
)
OTTI on fixed maturities recognized in OCI (pre-tax)
1

 
15

 
69

OTTI on fixed maturities, net
(25
)
 
(46
)
 
(46
)
Gross realized gains excluding OTTI
388

 
410

 
569

Gross realized losses excluding OTTI
(133
)
 
(200
)
 
(143
)
Total fixed maturities
230

 
164

 
380

Equity securities:
 
 
 
 
 
OTTI on equity securities
(5
)
 
(1
)
 
—

Gross realized gains excluding OTTI
11

 
15

 
86

Gross realized losses excluding OTTI
(2
)
 
(5
)
 
(2
)
Total equity securities
4

 
9

 
84

OTTI on other investments
(7
)
 
(3
)
 
(13
)
Foreign exchange losses
(16
)
 
(13
)
 
(54
)
Investment and embedded derivative instruments
(6
)
 
(143
)
 
58

Fair value adjustments on insurance derivative
171

 
(779
)
 
(28
)
S&P put options and futures
(297
)
 
(4
)
 
(150
)
Other derivative instruments
(4
)
 
(4
)
 
(19
)
Other
3

 
(22
)
 
174

Net realized gains (losses)
78

 
(795
)
 
432

Change in net unrealized appreciation (depreciation) on investments:
 
 
 
 
 
Fixed maturities available for sale
1,099

 
569

 
451

Fixed maturities held to maturity
(94
)
 
(89
)
 
522

Equity securities
61

 
(47
)
 
(44
)
Other
50

 
40

 
(35
)
Income tax expense
(198
)
 
(157
)
 
(152
)
Change in net unrealized appreciation on investments
918

 
316

 
742

Total net realized gains (losses) and change in net unrealized appreciation (depreciation) on investments
$
996

 
$
(479
)
 
$
1,174
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: 
 
Years Ended December 31
 
(in millions of U.S. dollars)
2012

 
2011

 
2010

Balance of credit losses related to securities still held – beginning of year
$
74

 
$
137

 
$
174

Additions where no OTTI was previously recorded
8

 
12

 
34

Additions where an OTTI was previously recorded
12

 
8

 
12

Reductions for securities sold during the period
(51
)
 
(83
)
 
(83
)
Balance of credit losses related to securities still held – end of year
$
43

 
$
74

 
$
137
Schedule Of Other Investments
The following table presents the fair value and cost of other investments:
 
 
 
December 31

 
 
 
December 31

 
 
 
2012

 
 
 
2011

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

 
Cost

 
Fair Value

 
Cost

Investment funds
$
395

 
$
278

 
$
378

 
$
277

Limited partnerships
531

 
398

 
531

 
429

Partially-owned investment companies
1,186

 
1,187

 
904

 
904

Life insurance policies
148

 
148

 
127

 
127

Policy loans
164

 
164

 
143

 
143

Trading securities
243

 
242

 
194

 
195

Other
49

 
48

 
37

 
37

Total
$
2,716

 
$
2,465

 
$
2,314

 
$
2,112
Schedule Of Partially Owned Insurance Companies
The following table presents Investments in partially-owned insurance companies:
 
December 31
 
 
December 31
 
 
 
 
2012
 
 
2011
 
 
 
(in millions of U.S. dollars, except percentages)
Carrying Value

 
Issued Share Capital

 
Ownership Percentage

 
Carrying Value

 
Issued Share Capital

 
Ownership Percentage

 
Domicile
Huatai Group
$
350

(1) 
$
474

 
20.0
%
 
$
228

 
$
457

 
20.0
%
 
China
Huatai Life Insurance Company
84

 
205

 
20.0
%
 
103

 
196

 
20.0
%
 
China
Freisenbruch-Meyer
9

 
6

 
40.0
%
 
8

 
5

 
40.0
%
 
Bermuda
ACE Cooperative Ins. Co. - Saudi Arabia
9

 
27

 
30.0
%
 
7

 
27

 
30.0
%
 
Saudi Arabia
Russian Reinsurance Company
2

 
4

 
23.3
%
 
2

 
4

 
23.3
%
 
Russia
Island Heritage
—

 
—

 
—

 
4

 
27

 
10.8
%
 
Cayman Islands
Total
$
454

 
$
716

 
 
 
$
352

 
$
716

 
 
 
 
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, 2012
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
$
440

 
$
(1.4
)
 
$
—

 
$
—

 
$
440

 
$
(1.4
)
Foreign
1,234

 
(8.6
)
 
88

 
(5.8
)
 
1,322

 
(14.4
)
Corporate securities
1,026

 
(22.7
)
 
85

 
(7.9
)
 
1,111

 
(30.6
)
Mortgage-backed securities
855

 
(3.8
)
 
356

 
(32.6
)
 
1,211

 
(36.4
)
States, municipalities, and political subdivisions
316

 
(3.0
)
 
48

 
(3.6
)
 
364

 
(6.6
)
Total fixed maturities
3,871

 
(39.5
)
 
577

 
(49.9
)
 
4,448

 
(89.4
)
Equity securities
29

 
(4.2
)
 
—

 
—

 
29

 
(4.2
)
Other investments
68

 
(4.9
)
 
—

 
—

 
68

 
(4.9
)
Total
$
3,968

 
$
(48.6
)
 
$
577

 
$
(49.9
)
 
$
4,545

 
$
(98.5
)
 
 
0 – 12 Months
 
 
Over 12 Months
 
 
Total
 
December 31, 2011
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

 
Fair Value

 
Gross
Unrealized Loss

(in millions of U.S. dollars)
 
 
 
 
 
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 Sources Of Net Investment Income
The following table presents the sources of net investment income:
 
Years Ended December 31
 
(in millions of U.S. dollars)
2012

 
2011

 
2010

Fixed maturities
$
2,134

 
$
2,196

 
$
2,071

Short-term investments
28

 
43

 
34

Equity securities
34

 
36

 
26

Other
104

 
62

 
44

Gross investment income
2,300

 
2,337

 
2,175

Investment expenses
(119
)
 
(95
)
 
(105
)
Net investment income
$
2,181

 
$
2,242

 
$
2,070
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)
2012

 
2011

Trust funds
$
11,389

 
$
9,940

Deposits with non-U.S. regulatory authorities
2,133

 
2,240

Assets pledged under reverse repurchase agreements
1,401

 
1,251

Deposits with U.S. regulatory authorities
1,338

 
1,307

Other pledged assets
456

 
364

 
$
16,717

 
$
15,102