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March 31, 2013 | 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 | $ | 3,690 | $ | 158 | $ | (5 | ) | $ | 3,843 | $ | — | ||||||||
Foreign | 13,007 | 673 | (16 | ) | 13,664 | — | |||||||||||||
Corporate securities | 15,769 | 1,180 | (28 | ) | 16,921 | (6 | ) | ||||||||||||
Mortgage-backed securities | 9,813 | 384 | (26 | ) | 10,171 | (39 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,191 | 162 | (5 | ) | 3,348 | — | |||||||||||||
$ | 45,470 | $ | 2,557 | $ | (80 | ) | $ | 47,947 | $ | (45 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 962 | $ | 35 | $ | — | $ | 997 | $ | — | |||||||||
Foreign | 882 | 55 | — | 937 | — | ||||||||||||||
Corporate securities | 2,064 | 138 | — | 2,202 | — | ||||||||||||||
Mortgage-backed securities | 1,812 | 81 | — | 1,893 | — | ||||||||||||||
States, municipalities, and political subdivisions | 1,147 | 41 | (4 | ) | 1,184 | — | |||||||||||||
$ | 6,867 | $ | 350 | $ | (4 | ) | $ | 7,213 | $ | — |
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 | $ | — |
March 31 | December 31 | ||||||||||||||
2013 | 2012 | ||||||||||||||
(in millions of U.S. dollars) | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Available for sale | |||||||||||||||
Due in 1 year or less | $ | 2,063 | $ | 2,084 | $ | 1,887 | $ | 1,906 | |||||||
Due after 1 year through 5 years | 13,790 | 14,417 | 13,411 | 14,010 | |||||||||||
Due after 5 years through 10 years | 15,488 | 16,539 | 15,032 | 16,153 | |||||||||||
Due after 10 years | 4,316 | 4,736 | 4,285 | 4,764 | |||||||||||
35,657 | 37,776 | 34,615 | 36,833 | ||||||||||||
Mortgage-backed securities | 9,813 | 10,171 | 10,051 | 10,473 | |||||||||||
$ | 45,470 | $ | 47,947 | $ | 44,666 | $ | 47,306 | ||||||||
Held to maturity | |||||||||||||||
Due in 1 year or less | $ | 496 | $ | 499 | $ | 656 | $ | 659 | |||||||
Due after 1 year through 5 years | 1,953 | 2,040 | 1,870 | 1,950 | |||||||||||
Due after 5 years through 10 years | 2,079 | 2,220 | 2,119 | 2,267 | |||||||||||
Due after 10 years | 527 | 561 | 597 | 641 | |||||||||||
5,055 | 5,320 | 5,242 | 5,517 | ||||||||||||
Mortgage-backed securities | 1,812 | 1,893 | 2,028 | 2,116 | |||||||||||
$ | 6,867 | $ | 7,213 | $ | 7,270 | $ | 7,633 |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Cost | $ | 781 | $ | 707 | |||
Gross unrealized appreciation | 55 | 41 | |||||
Gross unrealized depreciation | (4 | ) | (4 | ) | |||
Fair value | $ | 832 | $ | 744 |
• | the amount of time a security has been in a loss position and the magnitude of the loss position; |
• | the period in which cost is expected to be recovered, if at all, based on various criteria including economic conditions and other issuer-specific developments; and |
• | ACE’s ability and intent to hold the security to the expected recovery period. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Fixed maturities: | |||||||
OTTI on fixed maturities, gross | $ | (1 | ) | $ | (7 | ) | |
OTTI on fixed maturities recognized in OCI (pre-tax) | — | — | |||||
OTTI on fixed maturities, net | (1 | ) | (7 | ) | |||
Gross realized gains excluding OTTI | 62 | 112 | |||||
Gross realized losses excluding OTTI | (25 | ) | (71 | ) | |||
Total fixed maturities | 36 | 34 | |||||
Equity securities: | |||||||
OTTI on equity securities | (1 | ) | (1 | ) | |||
Gross realized gains excluding OTTI | 2 | 2 | |||||
Gross realized losses excluding OTTI | (2 | ) | — | ||||
Total equity securities | (1 | ) | 1 | ||||
OTTI on other investments | (1 | ) | (2 | ) | |||
Foreign exchange gains (losses) | 76 | (5 | ) | ||||
Investment and embedded derivative instruments | 18 | 42 | |||||
Fair value adjustments on insurance derivative | 328 | 428 | |||||
S&P put options and futures | (250 | ) | (231 | ) | |||
Other derivative instruments | — | (5 | ) | ||||
Other | — | (2 | ) | ||||
Net realized gains (losses) | $ | 206 | $ | 260 |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Balance of credit losses related to securities still held – beginning of period | $ | 43 | $ | 74 | |||
Additions where no OTTI was previously recorded | — | 1 | |||||
Additions where an OTTI was previously recorded | 1 | 5 | |||||
Reductions for securities sold during the period | (9 | ) | (25 | ) | |||
Balance of credit losses related to securities still held – end of period | $ | 35 | $ | 55 |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
March 31, 2013 | 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 | $ | 576 | $ | (5 | ) | $ | — | $ | — | $ | 576 | $ | (5 | ) | |||||||||
Foreign | 723 | (11 | ) | 69 | (5 | ) | 792 | (16 | ) | ||||||||||||||
Corporate securities | 1,163 | (21 | ) | 78 | (7 | ) | 1,241 | (28 | ) | ||||||||||||||
Mortgage-backed securities | 1,943 | (15 | ) | 140 | (11 | ) | 2,083 | (26 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 742 | (6 | ) | 37 | (3 | ) | 779 | (9 | ) | ||||||||||||||
Total fixed maturities | 5,147 | (58 | ) | 324 | (26 | ) | 5,471 | (84 | ) | ||||||||||||||
Equity securities | 47 | (4 | ) | — | — | 47 | (4 | ) | |||||||||||||||
Other investments | 4 | (3 | ) | — | — | 4 | (3 | ) | |||||||||||||||
Total | $ | 5,198 | $ | (65 | ) | $ | 324 | $ | (26 | ) | $ | 5,522 | $ | (91 | ) |
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 | ) | $ | — | $ | — | $ | 440 | $ | (1 | ) | |||||||||
Foreign | 1,234 | (8 | ) | 88 | (6 | ) | 1,322 | (14 | ) | ||||||||||||||
Corporate securities | 1,026 | (23 | ) | 85 | (8 | ) | 1,111 | (31 | ) | ||||||||||||||
Mortgage-backed securities | 855 | (4 | ) | 356 | (32 | ) | 1,211 | (36 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 316 | (3 | ) | 48 | (4 | ) | 364 | (7 | ) | ||||||||||||||
Total fixed maturities | 3,871 | (39 | ) | 577 | (50 | ) | 4,448 | (89 | ) | ||||||||||||||
Equity securities | 29 | (4 | ) | — | — | 29 | (4 | ) | |||||||||||||||
Other investments | 68 | (5 | ) | — | — | 68 | (5 | ) | |||||||||||||||
Total | $ | 3,968 | $ | (48 | ) | $ | 577 | $ | (50 | ) | $ | 4,545 | $ | (98 | ) |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Trust funds | $ | 11,421 | $ | 11,389 | |||
Deposits with non-U.S. regulatory authorities | 2,100 | 2,133 | |||||
Assets pledged under repurchase agreements | 1,402 | 1,401 | |||||
Deposits with U.S. regulatory authorities | 1,322 | 1,338 | |||||
Other pledged assets | 426 | 456 | |||||
$ | 16,671 | $ | 16,717 |
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• | Level 1 – Unadjusted quoted prices for identical assets or liabilities in active markets; |
• | Level 2 – Includes, among other items, inputs other than quoted prices that are observable for the asset or liability such as interest rates and yield curves, quoted prices for similar assets and liabilities in active markets, and quoted prices for identical or similar assets and liabilities in markets that are not active; and |
• | Level 3 – Inputs that are unobservable and reflect management’s judgments about assumptions that market participants would use in pricing an asset or liability. |
March 31, 2013 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,986 | $ | 1,857 | $ | — | $ | 3,843 | |||||||
Foreign | 223 | 13,406 | 35 | 13,664 | |||||||||||
Corporate securities | 19 | 16,784 | 118 | 16,921 | |||||||||||
Mortgage-backed securities | — | 10,158 | 13 | 10,171 | |||||||||||
States, municipalities, and political subdivisions | — | 3,348 | — | 3,348 | |||||||||||
2,228 | 45,553 | 166 | 47,947 | ||||||||||||
Equity securities | 337 | 493 | 2 | 832 | |||||||||||
Short-term investments | 2,130 | 763 | — | 2,893 | |||||||||||
Other investments | 277 | 215 | 2,328 | 2,820 | |||||||||||
Securities lending collateral | — | 1,786 | — | 1,786 | |||||||||||
Investment derivative instruments | (51 | ) | — | — | (51 | ) | |||||||||
Other derivative instruments | (37 | ) | 17 | — | (20 | ) | |||||||||
Separate account assets | 947 | 69 | — | 1,016 | |||||||||||
Total assets measured at fair value | $ | 5,831 | $ | 48,896 | $ | 2,496 | $ | 57,223 | |||||||
Liabilities: | |||||||||||||||
GLB(1) | $ | — | $ | — | $ | 753 | $ | 753 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
December 31, 2012 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 2,050 | $ | 1,685 | $ | — | $ | 3,735 | |||||||
Foreign | 222 | 13,431 | 60 | 13,713 | |||||||||||
Corporate securities | 20 | 16,586 | 102 | 16,708 | |||||||||||
Mortgage-backed securities | — | 10,460 | 13 | 10,473 | |||||||||||
States, municipalities, and political subdivisions | — | 2,677 | — | 2,677 | |||||||||||
2,292 | 44,839 | 175 | 47,306 | ||||||||||||
Equity securities | 253 | 488 | 3 | 744 | |||||||||||
Short-term investments | 1,503 | 725 | — | 2,228 | |||||||||||
Other investments | 268 | 196 | 2,252 | 2,716 | |||||||||||
Securities lending collateral | — | 1,791 | — | 1,791 | |||||||||||
Investment derivative instruments | 11 | — | — | 11 | |||||||||||
Other derivative instruments | (6 | ) | 30 | — | 24 | ||||||||||
Separate account assets | 872 | 71 | — | 943 | |||||||||||
Total assets measured at fair value | $ | 5,193 | $ | 48,140 | $ | 2,430 | $ | 55,763 | |||||||
Liabilities: | |||||||||||||||
GLB(1) | $ | — | $ | — | $ | 1,119 | $ | 1,119 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
March 31 | December 31 | ||||||||||||||||
Expected Liquidation Period | 2013 | 2012 | |||||||||||||||
(in millions of U.S. dollars) | Fair Value | Maximum Future Funding Commitments | Fair Value | Maximum Future Funding Commitments | |||||||||||||
Financial | 5 to 9 Years | $ | 237 | $ | 106 | $ | 225 | $ | 111 | ||||||||
Real estate | 3 to 9 Years | 342 | 67 | 292 | 62 | ||||||||||||
Distressed | 6 to 9 Years | 182 | 147 | 192 | 152 | ||||||||||||
Mezzanine | 6 to 9 Years | 274 | 282 | 284 | 279 | ||||||||||||
Traditional | 3 to 8 Years | 737 | 575 | 711 | 587 | ||||||||||||
Vintage | 1 to 3 Years | 14 | — | 14 | — | ||||||||||||
Investment funds | Not Applicable | 404 | — | 395 | — | ||||||||||||
$ | 2,190 | $ | 1,177 | $ | 2,113 | $ | 1,191 |
(in millions of U.S. dollars, except for percentages) | Fair Value at March 31, 2013 | Fair Value at December 31, 2012 | Valuation Technique | Significant Unobservable Inputs | Ranges | ||||||||
GLB(1) | $ | 753 | $ | 1,119 | Actuarial model | Lapse rate | 1% – 30% | ||||||
Annuitization rate | 0% – 50% |
(1) | Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits. |
Assets | Liabilities | ||||||||||||||||||||||
Available-for-Sale Debt Securities | Equity securities | Other investments | GLB(1) | ||||||||||||||||||||
Three Months Ended | Foreign | Corporate securities | MBS | ||||||||||||||||||||
March 31, 2013 | |||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
Balance–Beginning of Period | $ | 60 | $ | 102 | $ | 13 | $ | 3 | $ | 2,252 | $ | 1,119 | |||||||||||
Transfers into Level 3 | 3 | 12 | — | — | — | — | |||||||||||||||||
Transfers out of Level 3 | (27 | ) | (2 | ) | — | (1 | ) | — | — | ||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | 1 | — | — | 22 | — | |||||||||||||||||
Net Realized Gains/Losses | 1 | — | — | — | (1 | ) | (366 | ) | |||||||||||||||
Purchases | — | 10 | — | — | 136 | — | |||||||||||||||||
Sales | (1 | ) | — | — | — | (9 | ) | — | |||||||||||||||
Settlements | (1 | ) | (5 | ) | — | — | (72 | ) | — | ||||||||||||||
Balance–End of Period | $ | 35 | $ | 118 | $ | 13 | $ | 2 | $ | 2,328 | $ | 753 | |||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (366 | ) |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
Assets | Liabilities | ||||||||||||||||||||||||||||||||||
Available-for-Sale Debt Securities | Equity securities | Other investments | Other derivative instruments | GLB(1) | |||||||||||||||||||||||||||||||
Three Months Ended | U.S. Treasury and Agency | Foreign | Corporate securities | MBS | States, municipalities, and political subdivisions | ||||||||||||||||||||||||||||||
March 31, 2012 | |||||||||||||||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||||||||||
Balance–Beginning of Period | $ | 5 | $ | 33 | $ | 134 | $ | 28 | $ | 1 | $ | 13 | $ | 1,877 | $ | 3 | $ | 1,319 | |||||||||||||||||
Transfers out of Level 3 | (5 | ) | (1 | ) | (7 | ) | (12 | ) | — | — | — | — | — | ||||||||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | — | 2 | — | — | 1 | 9 | — | — | ||||||||||||||||||||||||||
Net Realized Gains/Losses | — | — | — | — | — | — | (2 | ) | (3 | ) | (456 | ) | |||||||||||||||||||||||
Purchases | — | 34 | 3 | 4 | — | 1 | 113 | — | — | ||||||||||||||||||||||||||
Sales | — | (17 | ) | (8 | ) | — | — | (5 | ) | (2 | ) | — | — | ||||||||||||||||||||||
Settlements | — | — | (7 | ) | (1 | ) | — | — | (41 | ) | (1 | ) | — | ||||||||||||||||||||||
Balance–End of Period | $ | — | $ | 49 | $ | 117 | $ | 19 | $ | 1 | $ | 10 | $ | 1,954 | $ | (1 | ) | $ | 863 | ||||||||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2 | ) | $ | (3 | ) | $ | (456 | ) |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1.05 billion at March 31, 2012, and $1.5 billion at December 31, 2011, which includes a fair value derivative adjustment of $863 million and $1.3 billion, respectively. |
March 31, 2013 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 641 | $ | 356 | $ | — | $ | 997 | $ | 962 | |||||||||
Foreign | — | 937 | — | 937 | 882 | ||||||||||||||
Corporate securities | — | 2,185 | 17 | 2,202 | 2,064 | ||||||||||||||
Mortgage-backed securities | — | 1,893 | — | 1,893 | 1,812 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,184 | — | 1,184 | 1,147 | ||||||||||||||
641 | 6,555 | 17 | 7,213 | 6,867 | |||||||||||||||
Partially-owned insurance companies | — | — | 449 | 449 | 449 | ||||||||||||||
Total assets | $ | 641 | $ | 6,555 | $ | 466 | $ | 7,662 | $ | 7,316 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 1,402 | $ | — | $ | 1,402 | $ | 1,402 | |||||||||
Long-term debt | — | 4,861 | — | 4,861 | 4,307 | ||||||||||||||
Trust preferred securities | — | 449 | — | 449 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 6,712 | $ | — | $ | 6,712 | $ | 6,018 |
December 31, 2012 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 619 | $ | 464 | $ | — | $ | 1,083 | $ | 1,044 | |||||||||
Foreign | — | 964 | — | 964 | 910 | ||||||||||||||
Corporate securities | — | 2,257 | 18 | 2,275 | 2,133 | ||||||||||||||
Mortgage-backed securities | — | 2,116 | — | 2,116 | 2,028 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,195 | — | 1,195 | 1,155 | ||||||||||||||
619 | 6,996 | 18 | 7,633 | 7,270 | |||||||||||||||
Partially-owned insurance companies | — | — | 454 | 454 | 454 | ||||||||||||||
Total assets | $ | 619 | $ | 6,996 | $ | 472 | $ | 8,087 | $ | 7,724 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 1,401 | $ | — | $ | 1,401 | $ | 1,401 | |||||||||
Long-term debt | — | 3,916 | — | 3,916 | 3,360 | ||||||||||||||
Trust preferred securities | — | 446 | — | 446 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 5,763 | $ | — | $ | 5,763 | $ | 5,070 |
|
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
GMDB | |||||||
Net premiums earned | $ | 20 | $ | 23 | |||
Policy benefits and other reserve adjustments | $ | 19 | $ | 27 | |||
GLB | |||||||
Net premiums earned | $ | 39 | $ | 41 | |||
Policy benefits and other reserve adjustments | 9 | 4 | |||||
Net realized gains | 369 | 458 | |||||
Gain recognized in income | $ | 399 | $ | 495 | |||
Net cash received | $ | 32 | $ | 39 | |||
Net decrease in liability | $ | 367 | $ | 456 |
• | policy account values and guaranteed values are fixed at the valuation date (March 31, 2013 and December 31, 2012, respectively); |
• | there are no lapses or withdrawals; |
• | mortality according to 100 percent of the Annuity 2000 mortality table; |
• | future claims are discounted in line with the discounting assumption used in the calculation of the benefit reserve averaging between 1.0 percent and 2.0 percent ; and |
• | reinsurance coverage ends at the earlier of the maturity of the underlying variable annuity policy or the reinsurance treaty. |
• | policy account values and guaranteed values are fixed at the valuation date (March 31, 2013 and December 31, 2012, respectively); |
• | there are no deaths, lapses, or withdrawals; |
• | policyholders annuitize at a frequency most disadvantageous to ACE (in other words, annuitization at a level that maximizes claims taking into account the treaty limits) under the terms of the reinsurance contracts; |
• | for annuitizing policyholders, the GMIB claim is calculated using interest rates in line with those used in calculating the reserve; |
• | future claims are discounted in line with the discounting assumption used in the calculation of the benefit reserve averaging between 3.5 percent and 4.5 percent; and |
• | reinsurance coverage ends at the earlier of the maturity of the underlying variable annuity policy or the reinsurance treaty. |
• | policy account values and guaranteed values are fixed at the valuation date (March 31, 2013 and December 31, 2012, respectively); |
• | there are no lapses, or withdrawals; |
• | mortality according to 100 percent of the Annuity 2000 mortality table; |
• | policyholders annuitize at a frequency most disadvantageous to ACE (in other words, annuitization at a level that maximizes claims taking into account the treaty limits) under the terms of the reinsurance contracts; |
• | for annuitizing policyholders, the GMIB claim is calculated using interest rates in line with those used in calculating the reserve; |
• | future claims are discounted in line with the discounting assumption used in the calculation of the benefit reserve averaging between 2.0 percent and 3.0 percent; and |
• | reinsurance coverage ends at the earlier of the maturity of the underlying variable annuity policy or the reinsurance treaty. |
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March 31 | December 31 | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
(in millions of U.S. dollars) | Consolidated Balance Sheet Location | Fair Value | Notional Value/ Payment Provision | Fair Value | Notional Value/ Payment Provision | ||||||||||||
Investment and embedded derivative instruments | |||||||||||||||||
Foreign currency forward contracts | AP | $ | (48 | ) | $ | 534 | $ | — | $ | 620 | |||||||
Cross-currency swaps | AP | — | 50 | — | 50 | ||||||||||||
Futures contracts on money market instruments | AP | 1 | 2,169 | 1 | 2,710 | ||||||||||||
Futures contracts on notes and bonds | AP | (4 | ) | 1,079 | 10 | 915 | |||||||||||
Options on money market instruments | AP | — | 3,335 | — | — | ||||||||||||
Convertible bonds | FM AFS | 274 | 231 | 309 | 279 | ||||||||||||
$ | 223 | $ | 7,398 | $ | 320 | $ | 4,574 | ||||||||||
Other derivative instruments | |||||||||||||||||
Futures contracts on equities(1) | AP | $ | (37 | ) | $ | 2,255 | $ | (6 | ) | $ | 2,308 | ||||||
Options on equity market indices(1) | AP | 17 | 250 | 30 | 250 | ||||||||||||
$ | (20 | ) | $ | 2,505 | $ | 24 | $ | 2,558 | |||||||||
GLB(2) | AP/FPB | $ | (985 | ) | $ | 721 | $ | (1,352 | ) | $ | 1,100 |
(1) | Related to GMDB and GLB blocks of business. |
(2) | Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Investment and embedded derivative instruments | |||||||
Foreign currency forward contracts | $ | 5 | $ | (8 | ) | ||
All other futures contracts and options | 7 | 26 | |||||
Convertible bonds | 6 | 24 | |||||
Total investment and embedded derivative instruments | $ | 18 | $ | 42 | |||
GLB and other derivative instruments | |||||||
GLB(1) | $ | 328 | $ | 428 | |||
Futures contracts on equities(2) | (237 | ) | (213 | ) | |||
Options on equity market indices(2) | (13 | ) | (18 | ) | |||
Credit default swaps | — | (5 | ) | ||||
Total GLB and other derivative instruments | $ | 78 | $ | 192 | |||
$ | 96 | $ | 234 |
(1) | Excludes foreign exchange gains (losses) related to GLB. |
(2) | Related to GMDB and GLB blocks of business. |
|
For the Three Months Ended March 31, 2013 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate and Other | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,284 | $ | 113 | $ | 1,620 | $ | 279 | $ | 502 | $ | — | $ | 3,798 | |||||||||||||
Net premiums earned | 1,338 | 52 | 1,459 | 247 | 477 | — | 3,573 | ||||||||||||||||||||
Losses and loss expenses | 878 | 32 | 747 | 106 | 157 | 6 | 1,926 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 131 | — | 131 | ||||||||||||||||||||
Policy acquisition costs | 143 | 4 | 339 | 48 | 80 | — | 614 | ||||||||||||||||||||
Administrative expenses | 125 | 5 | 236 | 12 | 85 | 51 | 514 | ||||||||||||||||||||
Underwriting income (loss) | 192 | 11 | 137 | 81 | 24 | (57 | ) | 388 | |||||||||||||||||||
Net investment income | 251 | 6 | 132 | 72 | 63 | 7 | 531 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | 26 | — | 34 | 20 | 127 | (1 | ) | 206 | |||||||||||||||||||
Interest (income) expense | (2 | ) | — | 1 | 1 | 4 | 56 | 60 | |||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (4 | ) | — | (4 | ) | ||||||||||||||||||
Other | (15 | ) | 8 | (1 | ) | (8 | ) | — | 10 | (6 | ) | ||||||||||||||||
Income tax expense (benefit) | 94 | 2 | 46 | 8 | 13 | (41 | ) | 122 | |||||||||||||||||||
Net income (loss) | $ | 392 | $ | 7 | $ | 257 | $ | 172 | $ | 201 | $ | (76 | ) | $ | 953 |
For the Three Months Ended March 31, 2012 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate and Other | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,174 | $ | 119 | $ | 1,528 | $ | 263 | $ | 488 | $ | — | $ | 3,572 | |||||||||||||
Net premiums earned | 1,228 | 59 | 1,391 | 230 | 473 | — | 3,381 | ||||||||||||||||||||
Losses and loss expenses | 811 | 38 | 705 | 102 | 148 | — | 1,804 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 147 | — | 147 | ||||||||||||||||||||
Policy acquisition costs | 137 | (10 | ) | 335 | 43 | 76 | 1 | 582 | |||||||||||||||||||
Administrative expenses | 150 | (3 | ) | 229 | 12 | 78 | 44 | 510 | |||||||||||||||||||
Underwriting income (loss) | 130 | 34 | 122 | 73 | 24 | (45 | ) | 338 | |||||||||||||||||||
Net investment income | 267 | 7 | 131 | 71 | 61 | 7 | 544 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (1 | ) | — | 20 | 13 | 231 | (3 | ) | 260 | ||||||||||||||||||
Interest expense | 3 | — | 1 | 1 | 3 | 54 | 62 | ||||||||||||||||||||
Other (income) expense | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||||
Other | (9 | ) | 8 | — | (5 | ) | 9 | 12 | 15 | ||||||||||||||||||
Income tax expense (benefit) | 83 | 8 | 38 | 6 | 11 | (36 | ) | 110 | |||||||||||||||||||
Net income (loss) | $ | 319 | $ | 25 | $ | 234 | $ | 155 | $ | 311 | $ | (71 | ) | $ | 973 |
For the Three Months Ended March 31, 2013 | Property & All Other | Casualty | Life, Accident & Health | ACE Consolidated | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Insurance – North American P&C | $ | 347 | $ | 902 | $ | 89 | $ | 1,338 | |||||||
Insurance – North American Agriculture | 52 | — | — | 52 | |||||||||||
Insurance – Overseas General | 585 | 339 | 535 | 1,459 | |||||||||||
Global Reinsurance | 135 | 112 | — | 247 | |||||||||||
Life | — | — | 477 | 477 | |||||||||||
$ | 1,119 | $ | 1,353 | $ | 1,101 | $ | 3,573 | ||||||||
For the Three Months Ended March 31, 2012 | |||||||||||||||
Insurance – North American P&C | $ | 322 | $ | 817 | $ | 89 | $ | 1,228 | |||||||
Insurance – North American Agriculture | 59 | — | — | 59 | |||||||||||
Insurance – Overseas General | 538 | 333 | 520 | 1,391 | |||||||||||
Global Reinsurance | 110 | 120 | — | 230 | |||||||||||
Life | — | — | 473 | 473 | |||||||||||
$ | 1,029 | $ | 1,270 | $ | 1,082 | $ | 3,381 |
|
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 28 | $ | 32,593 | $ | 28,738 | $ | — | $ | 61,359 | |||||||||
Cash | 197 | 560 | 98 | — | 855 | ||||||||||||||
Insurance and reinsurance balances receivable | — | 3,658 | 496 | — | 4,154 | ||||||||||||||
Reinsurance recoverable on losses and loss expenses | — | 16,432 | (4,902 | ) | — | 11,530 | |||||||||||||
Reinsurance recoverable on policy benefits | — | 1,162 | (931 | ) | — | 231 | |||||||||||||
Value of business acquired | — | 579 | 4 | — | 583 | ||||||||||||||
Goodwill and other intangible assets | — | 4,359 | 550 | — | 4,909 | ||||||||||||||
Investments in subsidiaries | 27,836 | — | — | (27,836 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 114 | — | — | (114 | ) | — | |||||||||||||
Other assets | 9 | 7,830 | 2,001 | — | 9,840 | ||||||||||||||
Total assets | $ | 28,184 | $ | 67,173 | $ | 26,054 | $ | (27,950 | ) | $ | 93,461 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | 30,593 | $ | 6,489 | $ | — | $ | 37,082 | |||||||||
Unearned premiums | — | 6,000 | 1,019 | — | 7,019 | ||||||||||||||
Future policy benefits | — | 3,877 | 588 | — | 4,465 | ||||||||||||||
Due to (from) subsidiaries and affiliates, net | — | 358 | (244 | ) | (114 | ) | — | ||||||||||||
Short-term debt | — | 851 | 551 | — | 1,402 | ||||||||||||||
Long-term debt | — | 4,307 | — | — | 4,307 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 242 | 8,985 | 1,708 | — | 10,935 | ||||||||||||||
Total liabilities | 242 | 55,280 | 10,111 | (114 | ) | 65,519 | |||||||||||||
Total shareholders’ equity | 27,942 | 11,893 | 15,943 | (27,836 | ) | 27,942 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 28,184 | $ | 67,173 | $ | 26,054 | $ | (27,950 | ) | $ | 93,461 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 31 | $ | 31,074 | $ | 29,159 | $ | — | $ | 60,264 | |||||||||
Cash(3) | 103 | 515 | (3 | ) | — | 615 | |||||||||||||
Insurance and reinsurance balances receivable | — | 3,654 | 493 | — | 4,147 | ||||||||||||||
Reinsurance recoverable on losses and loss expenses | — | 17,232 | (5,154 | ) | — | 12,078 | |||||||||||||
Reinsurance recoverable on policy benefits | — | 1,187 | (946 | ) | — | 241 | |||||||||||||
Value of business acquired | — | 610 | 4 | — | 614 | ||||||||||||||
Goodwill and other intangible assets | — | 4,419 | 556 | — | 4,975 | ||||||||||||||
Investments in subsidiaries | 27,251 | — | — | (27,251 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 204 | — | — | (204 | ) | — | |||||||||||||
Other assets | 13 | 7,563 | 2,035 | — | 9,611 | ||||||||||||||
Total assets | $ | 27,602 | $ | 66,254 | $ | 26,144 | $ | (27,455 | ) | $ | 92,545 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | 31,356 | $ | 6,590 | $ | — | $ | 37,946 | |||||||||
Unearned premiums | — | 5,872 | 992 | — | 6,864 | ||||||||||||||
Future policy benefits | — | 3,876 | 594 | — | 4,470 | ||||||||||||||
Due to (from) subsidiaries and affiliates, net | — | 384 | (180 | ) | (204 | ) | — | ||||||||||||
Short-term debt | — | 851 | 550 | — | 1,401 | ||||||||||||||
Long-term debt | — | 3,360 | — | — | 3,360 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 71 | 8,272 | 2,321 | — | 10,664 | ||||||||||||||
Total liabilities | 71 | 54,280 | 10,867 | (204 | ) | 65,014 | |||||||||||||
Total shareholders’ equity | 27,531 | 11,974 | 15,277 | (27,251 | ) | 27,531 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 27,602 | $ | 66,254 | $ | 26,144 | $ | (27,455 | ) | $ | 92,545 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
(3) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At December 31, 2012, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
For the Three Months Ended March 31, 2013 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments (2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | 2,082 | $ | 1,716 | $ | — | $ | 3,798 | |||||||||
Net premiums earned | — | 2,006 | 1,567 | — | 3,573 | ||||||||||||||
Net investment income | — | 248 | 283 | — | 531 | ||||||||||||||
Equity in earnings of subsidiaries | 914 | — | — | (914 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | 12 | 10 | 184 | — | 206 | ||||||||||||||
Losses and loss expenses | — | 1,253 | 673 | — | 1,926 | ||||||||||||||
Policy benefits | — | 81 | 50 | — | 131 | ||||||||||||||
Policy acquisition costs and administrative expenses | 15 | 626 | 487 | — | 1,128 | ||||||||||||||
Interest (income) expense | (7 | ) | 67 | — | — | 60 | |||||||||||||
Other (income) expense | (38 | ) | 34 | (6 | ) | — | (10 | ) | |||||||||||
Income tax expense | 3 | 56 | 63 | — | 122 | ||||||||||||||
Net income | $ | 953 | $ | 147 | $ | 767 | $ | (914 | ) | $ | 953 | ||||||||
Comprehensive income (loss) | $ | 716 | $ | (1 | ) | $ | 915 | $ | (914 | ) | $ | 716 |
For the Three Months Ended March 31, 2012 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments (2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | 2,098 | $ | 1,474 | $ | — | $ | 3,572 | |||||||||
Net premiums earned | — | 1,952 | 1,429 | — | 3,381 | ||||||||||||||
Net investment income | — | 265 | 279 | — | 544 | ||||||||||||||
Equity in earnings of subsidiaries | 928 | — | — | (928 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | 20 | 26 | 214 | — | 260 | ||||||||||||||
Losses and loss expenses | — | 1,182 | 622 | — | 1,804 | ||||||||||||||
Policy benefits | — | 86 | 61 | — | 147 | ||||||||||||||
Policy acquisition costs and administrative expenses | 12 | 640 | 440 | — | 1,092 | ||||||||||||||
Interest (income) expense | (9 | ) | 66 | 5 | — | 62 | |||||||||||||
Other (income) expense | (30 | ) | 25 | 2 | — | (3 | ) | ||||||||||||
Income tax expense | 2 | 85 | 23 | — | 110 | ||||||||||||||
Net income | $ | 973 | $ | 159 | $ | 769 | $ | (928 | ) | $ | 973 | ||||||||
Comprehensive income | $ | 1,271 | $ | 287 | $ | 641 | $ | (928 | ) | $ | 1,271 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
For the Three Months Ended March 31, 2013 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 53 | $ | 644 | $ | 216 | $ | — | $ | 913 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | (3,825 | ) | (2,327 | ) | — | (6,152 | ) | |||||||||||
Purchases of fixed maturities held to maturity | — | (137 | ) | (5 | ) | — | (142 | ) | |||||||||||
Purchases of equity securities | — | (89 | ) | (18 | ) | — | (107 | ) | |||||||||||
Sales of fixed maturities available for sale | — | 1,473 | 1,291 | — | 2,764 | ||||||||||||||
Sales of equity securities | — | 25 | 6 | — | 31 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | 879 | 1,137 | — | 2,016 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | 351 | 140 | — | 491 | ||||||||||||||
Net derivative instruments settlements | — | 4 | (283 | ) | — | (279 | ) | ||||||||||||
Advances from (to) affiliates | 43 | — | — | (43 | ) | — | |||||||||||||
Acquisition of subsidiaries | — | (33 | ) | — | — | (33 | ) | ||||||||||||
Other | — | (86 | ) | 31 | — | (55 | ) | ||||||||||||
Net cash flows from (used for) investing activities | 43 | (1,438 | ) | (28 | ) | (43 | ) | (1,466 | ) | ||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (2 | ) | — | — | — | (2 | ) | ||||||||||||
Common Shares repurchased | — | — | (154 | ) | — | (154 | ) | ||||||||||||
Net proceeds from issuance of long-term debt | — | 947 | — | — | 947 | ||||||||||||||
Net proceeds from issuance of short-term debt | — | — | 1 | — | 1 | ||||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | (8 | ) | 29 | — | 21 | |||||||||||||
Advances (to) from affiliates | — | (71 | ) | 28 | 43 | — | |||||||||||||
Net cash flows from (used for) financing activities | (2 | ) | 868 | (96 | ) | 43 | 813 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | (29 | ) | 9 | — | (20 | ) | ||||||||||||
Net increase in cash | 94 | 45 | 101 | — | 240 | ||||||||||||||
Cash – beginning of period(3) | 103 | 515 | (3 | ) | — | 615 | |||||||||||||
Cash – end of period | $ | 197 | $ | 560 | $ | 98 | $ | — | $ | 855 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations and certain consolidating adjustments. |
(3) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At December 31, 2012, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
For the Three Months Ended March 31, 2012 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 19 | $ | 66 | $ | 487 | $ | — | $ | 572 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | (2,650 | ) | (2,833 | ) | — | (5,483 | ) | |||||||||||
Purchases of fixed maturities held to maturity | — | (31 | ) | (1 | ) | — | (32 | ) | |||||||||||
Purchases of equity securities | — | (10 | ) | (9 | ) | — | (19 | ) | |||||||||||
Sales of fixed maturities available for sale | — | 1,935 | 1,860 | — | 3,795 | ||||||||||||||
Sales of equity securities | — | 24 | 2 | — | 26 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | 497 | 579 | — | 1,076 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | 267 | 78 | — | 345 | ||||||||||||||
Net derivative instruments settlements | (1 | ) | (1 | ) | (193 | ) | — | (195 | ) | ||||||||||
Advances from (to) affiliates | 66 | — | — | (66 | ) | — | |||||||||||||
Acquisition of subsidiaries | — | (25 | ) | — | — | (25 | ) | ||||||||||||
Other | — | 90 | (193 | ) | — | (103 | ) | ||||||||||||
Net cash flows from (used for) investing activities | 65 | 96 | (710 | ) | (66 | ) | (615 | ) | |||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (159 | ) | — | — | — | (159 | ) | ||||||||||||
Common Shares repurchased | — | — | (11 | ) | — | (11 | ) | ||||||||||||
Net proceeds from issuance (repayments) of short-term debt | 130 | 1 | 150 | — | 281 | ||||||||||||||
Proceeds from share-based compensation plans | 1 | — | 27 | — | 28 | ||||||||||||||
Advances from (to) affiliates | — | (48 | ) | (18 | ) | 66 | — | ||||||||||||
Net cash flows (used for) from financing activities | (28 | ) | (47 | ) | 148 | 66 | 139 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | (1 | ) | 6 | — | 5 | |||||||||||||
Net increase (decrease) in cash | 56 | 114 | (69 | ) | — | 101 | |||||||||||||
Cash – beginning of period | 106 | 382 | 126 | — | 614 | ||||||||||||||
Cash – end of period | $ | 162 | $ | 496 | $ | 57 | $ | — | $ | 715 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations and certain consolidating adjustments. |
|
|
March 31, 2013 | 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 | $ | 3,690 | $ | 158 | $ | (5 | ) | $ | 3,843 | $ | — | ||||||||
Foreign | 13,007 | 673 | (16 | ) | 13,664 | — | |||||||||||||
Corporate securities | 15,769 | 1,180 | (28 | ) | 16,921 | (6 | ) | ||||||||||||
Mortgage-backed securities | 9,813 | 384 | (26 | ) | 10,171 | (39 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,191 | 162 | (5 | ) | 3,348 | — | |||||||||||||
$ | 45,470 | $ | 2,557 | $ | (80 | ) | $ | 47,947 | $ | (45 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 962 | $ | 35 | $ | — | $ | 997 | $ | — | |||||||||
Foreign | 882 | 55 | — | 937 | — | ||||||||||||||
Corporate securities | 2,064 | 138 | — | 2,202 | — | ||||||||||||||
Mortgage-backed securities | 1,812 | 81 | — | 1,893 | — | ||||||||||||||
States, municipalities, and political subdivisions | 1,147 | 41 | (4 | ) | 1,184 | — | |||||||||||||
$ | 6,867 | $ | 350 | $ | (4 | ) | $ | 7,213 | $ | — |
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 | $ | — |
March 31 | December 31 | ||||||||||||||
2013 | 2012 | ||||||||||||||
(in millions of U.S. dollars) | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Available for sale | |||||||||||||||
Due in 1 year or less | $ | 2,063 | $ | 2,084 | $ | 1,887 | $ | 1,906 | |||||||
Due after 1 year through 5 years | 13,790 | 14,417 | 13,411 | 14,010 | |||||||||||
Due after 5 years through 10 years | 15,488 | 16,539 | 15,032 | 16,153 | |||||||||||
Due after 10 years | 4,316 | 4,736 | 4,285 | 4,764 | |||||||||||
35,657 | 37,776 | 34,615 | 36,833 | ||||||||||||
Mortgage-backed securities | 9,813 | 10,171 | 10,051 | 10,473 | |||||||||||
$ | 45,470 | $ | 47,947 | $ | 44,666 | $ | 47,306 | ||||||||
Held to maturity | |||||||||||||||
Due in 1 year or less | $ | 496 | $ | 499 | $ | 656 | $ | 659 | |||||||
Due after 1 year through 5 years | 1,953 | 2,040 | 1,870 | 1,950 | |||||||||||
Due after 5 years through 10 years | 2,079 | 2,220 | 2,119 | 2,267 | |||||||||||
Due after 10 years | 527 | 561 | 597 | 641 | |||||||||||
5,055 | 5,320 | 5,242 | 5,517 | ||||||||||||
Mortgage-backed securities | 1,812 | 1,893 | 2,028 | 2,116 | |||||||||||
$ | 6,867 | $ | 7,213 | $ | 7,270 | $ | 7,633 |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Cost | $ | 781 | $ | 707 | |||
Gross unrealized appreciation | 55 | 41 | |||||
Gross unrealized depreciation | (4 | ) | (4 | ) | |||
Fair value | $ | 832 | $ | 744 |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Fixed maturities: | |||||||
OTTI on fixed maturities, gross | $ | (1 | ) | $ | (7 | ) | |
OTTI on fixed maturities recognized in OCI (pre-tax) | — | — | |||||
OTTI on fixed maturities, net | (1 | ) | (7 | ) | |||
Gross realized gains excluding OTTI | 62 | 112 | |||||
Gross realized losses excluding OTTI | (25 | ) | (71 | ) | |||
Total fixed maturities | 36 | 34 | |||||
Equity securities: | |||||||
OTTI on equity securities | (1 | ) | (1 | ) | |||
Gross realized gains excluding OTTI | 2 | 2 | |||||
Gross realized losses excluding OTTI | (2 | ) | — | ||||
Total equity securities | (1 | ) | 1 | ||||
OTTI on other investments | (1 | ) | (2 | ) | |||
Foreign exchange gains (losses) | 76 | (5 | ) | ||||
Investment and embedded derivative instruments | 18 | 42 | |||||
Fair value adjustments on insurance derivative | 328 | 428 | |||||
S&P put options and futures | (250 | ) | (231 | ) | |||
Other derivative instruments | — | (5 | ) | ||||
Other | — | (2 | ) | ||||
Net realized gains (losses) | $ | 206 | $ | 260 |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Balance of credit losses related to securities still held – beginning of period | $ | 43 | $ | 74 | |||
Additions where no OTTI was previously recorded | — | 1 | |||||
Additions where an OTTI was previously recorded | 1 | 5 | |||||
Reductions for securities sold during the period | (9 | ) | (25 | ) | |||
Balance of credit losses related to securities still held – end of period | $ | 35 | $ | 55 |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
March 31, 2013 | 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 | $ | 576 | $ | (5 | ) | $ | — | $ | — | $ | 576 | $ | (5 | ) | |||||||||
Foreign | 723 | (11 | ) | 69 | (5 | ) | 792 | (16 | ) | ||||||||||||||
Corporate securities | 1,163 | (21 | ) | 78 | (7 | ) | 1,241 | (28 | ) | ||||||||||||||
Mortgage-backed securities | 1,943 | (15 | ) | 140 | (11 | ) | 2,083 | (26 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 742 | (6 | ) | 37 | (3 | ) | 779 | (9 | ) | ||||||||||||||
Total fixed maturities | 5,147 | (58 | ) | 324 | (26 | ) | 5,471 | (84 | ) | ||||||||||||||
Equity securities | 47 | (4 | ) | — | — | 47 | (4 | ) | |||||||||||||||
Other investments | 4 | (3 | ) | — | — | 4 | (3 | ) | |||||||||||||||
Total | $ | 5,198 | $ | (65 | ) | $ | 324 | $ | (26 | ) | $ | 5,522 | $ | (91 | ) |
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 | ) | $ | — | $ | — | $ | 440 | $ | (1 | ) | |||||||||
Foreign | 1,234 | (8 | ) | 88 | (6 | ) | 1,322 | (14 | ) | ||||||||||||||
Corporate securities | 1,026 | (23 | ) | 85 | (8 | ) | 1,111 | (31 | ) | ||||||||||||||
Mortgage-backed securities | 855 | (4 | ) | 356 | (32 | ) | 1,211 | (36 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 316 | (3 | ) | 48 | (4 | ) | 364 | (7 | ) | ||||||||||||||
Total fixed maturities | 3,871 | (39 | ) | 577 | (50 | ) | 4,448 | (89 | ) | ||||||||||||||
Equity securities | 29 | (4 | ) | — | — | 29 | (4 | ) | |||||||||||||||
Other investments | 68 | (5 | ) | — | — | 68 | (5 | ) | |||||||||||||||
Total | $ | 3,968 | $ | (48 | ) | $ | 577 | $ | (50 | ) | $ | 4,545 | $ | (98 | ) |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Trust funds | $ | 11,421 | $ | 11,389 | |||
Deposits with non-U.S. regulatory authorities | 2,100 | 2,133 | |||||
Assets pledged under repurchase agreements | 1,402 | 1,401 | |||||
Deposits with U.S. regulatory authorities | 1,322 | 1,338 | |||||
Other pledged assets | 426 | 456 | |||||
$ | 16,671 | $ | 16,717 |
|
March 31, 2013 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,986 | $ | 1,857 | $ | — | $ | 3,843 | |||||||
Foreign | 223 | 13,406 | 35 | 13,664 | |||||||||||
Corporate securities | 19 | 16,784 | 118 | 16,921 | |||||||||||
Mortgage-backed securities | — | 10,158 | 13 | 10,171 | |||||||||||
States, municipalities, and political subdivisions | — | 3,348 | — | 3,348 | |||||||||||
2,228 | 45,553 | 166 | 47,947 | ||||||||||||
Equity securities | 337 | 493 | 2 | 832 | |||||||||||
Short-term investments | 2,130 | 763 | — | 2,893 | |||||||||||
Other investments | 277 | 215 | 2,328 | 2,820 | |||||||||||
Securities lending collateral | — | 1,786 | — | 1,786 | |||||||||||
Investment derivative instruments | (51 | ) | — | — | (51 | ) | |||||||||
Other derivative instruments | (37 | ) | 17 | — | (20 | ) | |||||||||
Separate account assets | 947 | 69 | — | 1,016 | |||||||||||
Total assets measured at fair value | $ | 5,831 | $ | 48,896 | $ | 2,496 | $ | 57,223 | |||||||
Liabilities: | |||||||||||||||
GLB(1) | $ | — | $ | — | $ | 753 | $ | 753 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
December 31, 2012 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 2,050 | $ | 1,685 | $ | — | $ | 3,735 | |||||||
Foreign | 222 | 13,431 | 60 | 13,713 | |||||||||||
Corporate securities | 20 | 16,586 | 102 | 16,708 | |||||||||||
Mortgage-backed securities | — | 10,460 | 13 | 10,473 | |||||||||||
States, municipalities, and political subdivisions | — | 2,677 | — | 2,677 | |||||||||||
2,292 | 44,839 | 175 | 47,306 | ||||||||||||
Equity securities | 253 | 488 | 3 | 744 | |||||||||||
Short-term investments | 1,503 | 725 | — | 2,228 | |||||||||||
Other investments | 268 | 196 | 2,252 | 2,716 | |||||||||||
Securities lending collateral | — | 1,791 | — | 1,791 | |||||||||||
Investment derivative instruments | 11 | — | — | 11 | |||||||||||
Other derivative instruments | (6 | ) | 30 | — | 24 | ||||||||||
Separate account assets | 872 | 71 | — | 943 | |||||||||||
Total assets measured at fair value | $ | 5,193 | $ | 48,140 | $ | 2,430 | $ | 55,763 | |||||||
Liabilities: | |||||||||||||||
GLB(1) | $ | — | $ | — | $ | 1,119 | $ | 1,119 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
March 31 | December 31 | ||||||||||||||||
Expected Liquidation Period | 2013 | 2012 | |||||||||||||||
(in millions of U.S. dollars) | Fair Value | Maximum Future Funding Commitments | Fair Value | Maximum Future Funding Commitments | |||||||||||||
Financial | 5 to 9 Years | $ | 237 | $ | 106 | $ | 225 | $ | 111 | ||||||||
Real estate | 3 to 9 Years | 342 | 67 | 292 | 62 | ||||||||||||
Distressed | 6 to 9 Years | 182 | 147 | 192 | 152 | ||||||||||||
Mezzanine | 6 to 9 Years | 274 | 282 | 284 | 279 | ||||||||||||
Traditional | 3 to 8 Years | 737 | 575 | 711 | 587 | ||||||||||||
Vintage | 1 to 3 Years | 14 | — | 14 | — | ||||||||||||
Investment funds | Not Applicable | 404 | — | 395 | — | ||||||||||||
$ | 2,190 | $ | 1,177 | $ | 2,113 | $ | 1,191 |
(in millions of U.S. dollars, except for percentages) | Fair Value at March 31, 2013 | Fair Value at December 31, 2012 | Valuation Technique | Significant Unobservable Inputs | Ranges | ||||||||
GLB(1) | $ | 753 | $ | 1,119 | Actuarial model | Lapse rate | 1% – 30% | ||||||
Annuitization rate | 0% – 50% |
(1) | Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits. |
Assets | Liabilities | ||||||||||||||||||||||
Available-for-Sale Debt Securities | Equity securities | Other investments | GLB(1) | ||||||||||||||||||||
Three Months Ended | Foreign | Corporate securities | MBS | ||||||||||||||||||||
March 31, 2013 | |||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
Balance–Beginning of Period | $ | 60 | $ | 102 | $ | 13 | $ | 3 | $ | 2,252 | $ | 1,119 | |||||||||||
Transfers into Level 3 | 3 | 12 | — | — | — | — | |||||||||||||||||
Transfers out of Level 3 | (27 | ) | (2 | ) | — | (1 | ) | — | — | ||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | 1 | — | — | 22 | — | |||||||||||||||||
Net Realized Gains/Losses | 1 | — | — | — | (1 | ) | (366 | ) | |||||||||||||||
Purchases | — | 10 | — | — | 136 | — | |||||||||||||||||
Sales | (1 | ) | — | — | — | (9 | ) | — | |||||||||||||||
Settlements | (1 | ) | (5 | ) | — | — | (72 | ) | — | ||||||||||||||
Balance–End of Period | $ | 35 | $ | 118 | $ | 13 | $ | 2 | $ | 2,328 | $ | 753 | |||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (366 | ) |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
Assets | Liabilities | ||||||||||||||||||||||||||||||||||
Available-for-Sale Debt Securities | Equity securities | Other investments | Other derivative instruments | GLB(1) | |||||||||||||||||||||||||||||||
Three Months Ended | U.S. Treasury and Agency | Foreign | Corporate securities | MBS | States, municipalities, and political subdivisions | ||||||||||||||||||||||||||||||
March 31, 2012 | |||||||||||||||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||||||||||
Balance–Beginning of Period | $ | 5 | $ | 33 | $ | 134 | $ | 28 | $ | 1 | $ | 13 | $ | 1,877 | $ | 3 | $ | 1,319 | |||||||||||||||||
Transfers out of Level 3 | (5 | ) | (1 | ) | (7 | ) | (12 | ) | — | — | — | — | — | ||||||||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | — | 2 | — | — | 1 | 9 | — | — | ||||||||||||||||||||||||||
Net Realized Gains/Losses | — | — | — | — | — | — | (2 | ) | (3 | ) | (456 | ) | |||||||||||||||||||||||
Purchases | — | 34 | 3 | 4 | — | 1 | 113 | — | — | ||||||||||||||||||||||||||
Sales | — | (17 | ) | (8 | ) | — | — | (5 | ) | (2 | ) | — | — | ||||||||||||||||||||||
Settlements | — | — | (7 | ) | (1 | ) | — | — | (41 | ) | (1 | ) | — | ||||||||||||||||||||||
Balance–End of Period | $ | — | $ | 49 | $ | 117 | $ | 19 | $ | 1 | $ | 10 | $ | 1,954 | $ | (1 | ) | $ | 863 | ||||||||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2 | ) | $ | (3 | ) | $ | (456 | ) |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1.05 billion at March 31, 2012, and $1.5 billion at December 31, 2011, which includes a fair value derivative adjustment of $863 million and $1.3 billion, respectively. |
March 31, 2013 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 641 | $ | 356 | $ | — | $ | 997 | $ | 962 | |||||||||
Foreign | — | 937 | — | 937 | 882 | ||||||||||||||
Corporate securities | — | 2,185 | 17 | 2,202 | 2,064 | ||||||||||||||
Mortgage-backed securities | — | 1,893 | — | 1,893 | 1,812 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,184 | — | 1,184 | 1,147 | ||||||||||||||
641 | 6,555 | 17 | 7,213 | 6,867 | |||||||||||||||
Partially-owned insurance companies | — | — | 449 | 449 | 449 | ||||||||||||||
Total assets | $ | 641 | $ | 6,555 | $ | 466 | $ | 7,662 | $ | 7,316 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 1,402 | $ | — | $ | 1,402 | $ | 1,402 | |||||||||
Long-term debt | — | 4,861 | — | 4,861 | 4,307 | ||||||||||||||
Trust preferred securities | — | 449 | — | 449 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 6,712 | $ | — | $ | 6,712 | $ | 6,018 |
December 31, 2012 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 619 | $ | 464 | $ | — | $ | 1,083 | $ | 1,044 | |||||||||
Foreign | — | 964 | — | 964 | 910 | ||||||||||||||
Corporate securities | — | 2,257 | 18 | 2,275 | 2,133 | ||||||||||||||
Mortgage-backed securities | — | 2,116 | — | 2,116 | 2,028 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,195 | — | 1,195 | 1,155 | ||||||||||||||
619 | 6,996 | 18 | 7,633 | 7,270 | |||||||||||||||
Partially-owned insurance companies | — | — | 454 | 454 | 454 | ||||||||||||||
Total assets | $ | 619 | $ | 6,996 | $ | 472 | $ | 8,087 | $ | 7,724 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 1,401 | $ | — | $ | 1,401 | $ | 1,401 | |||||||||
Long-term debt | — | 3,916 | — | 3,916 | 3,360 | ||||||||||||||
Trust preferred securities | — | 446 | — | 446 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 5,763 | $ | — | $ | 5,763 | $ | 5,070 |
|
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
GMDB | |||||||
Net premiums earned | $ | 20 | $ | 23 | |||
Policy benefits and other reserve adjustments | $ | 19 | $ | 27 | |||
GLB | |||||||
Net premiums earned | $ | 39 | $ | 41 | |||
Policy benefits and other reserve adjustments | 9 | 4 | |||||
Net realized gains | 369 | 458 | |||||
Gain recognized in income | $ | 399 | $ | 495 | |||
Net cash received | $ | 32 | $ | 39 | |||
Net decrease in liability | $ | 367 | $ | 456 |
|
March 31 | December 31 | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
(in millions of U.S. dollars) | Consolidated Balance Sheet Location | Fair Value | Notional Value/ Payment Provision | Fair Value | Notional Value/ Payment Provision | ||||||||||||
Investment and embedded derivative instruments | |||||||||||||||||
Foreign currency forward contracts | AP | $ | (48 | ) | $ | 534 | $ | — | $ | 620 | |||||||
Cross-currency swaps | AP | — | 50 | — | 50 | ||||||||||||
Futures contracts on money market instruments | AP | 1 | 2,169 | 1 | 2,710 | ||||||||||||
Futures contracts on notes and bonds | AP | (4 | ) | 1,079 | 10 | 915 | |||||||||||
Options on money market instruments | AP | — | 3,335 | — | — | ||||||||||||
Convertible bonds | FM AFS | 274 | 231 | 309 | 279 | ||||||||||||
$ | 223 | $ | 7,398 | $ | 320 | $ | 4,574 | ||||||||||
Other derivative instruments | |||||||||||||||||
Futures contracts on equities(1) | AP | $ | (37 | ) | $ | 2,255 | $ | (6 | ) | $ | 2,308 | ||||||
Options on equity market indices(1) | AP | 17 | 250 | 30 | 250 | ||||||||||||
$ | (20 | ) | $ | 2,505 | $ | 24 | $ | 2,558 | |||||||||
GLB(2) | AP/FPB | $ | (985 | ) | $ | 721 | $ | (1,352 | ) | $ | 1,100 |
(1) | Related to GMDB and GLB blocks of business. |
(2) | Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2013 | 2012 | |||||
Investment and embedded derivative instruments | |||||||
Foreign currency forward contracts | $ | 5 | $ | (8 | ) | ||
All other futures contracts and options | 7 | 26 | |||||
Convertible bonds | 6 | 24 | |||||
Total investment and embedded derivative instruments | $ | 18 | $ | 42 | |||
GLB and other derivative instruments | |||||||
GLB(1) | $ | 328 | $ | 428 | |||
Futures contracts on equities(2) | (237 | ) | (213 | ) | |||
Options on equity market indices(2) | (13 | ) | (18 | ) | |||
Credit default swaps | — | (5 | ) | ||||
Total GLB and other derivative instruments | $ | 78 | $ | 192 | |||
$ | 96 | $ | 234 |
(1) | Excludes foreign exchange gains (losses) related to GLB. |
(2) | Related to GMDB and GLB blocks of business. |
|
For the Three Months Ended March 31, 2013 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate and Other | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,284 | $ | 113 | $ | 1,620 | $ | 279 | $ | 502 | $ | — | $ | 3,798 | |||||||||||||
Net premiums earned | 1,338 | 52 | 1,459 | 247 | 477 | — | 3,573 | ||||||||||||||||||||
Losses and loss expenses | 878 | 32 | 747 | 106 | 157 | 6 | 1,926 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 131 | — | 131 | ||||||||||||||||||||
Policy acquisition costs | 143 | 4 | 339 | 48 | 80 | — | 614 | ||||||||||||||||||||
Administrative expenses | 125 | 5 | 236 | 12 | 85 | 51 | 514 | ||||||||||||||||||||
Underwriting income (loss) | 192 | 11 | 137 | 81 | 24 | (57 | ) | 388 | |||||||||||||||||||
Net investment income | 251 | 6 | 132 | 72 | 63 | 7 | 531 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | 26 | — | 34 | 20 | 127 | (1 | ) | 206 | |||||||||||||||||||
Interest (income) expense | (2 | ) | — | 1 | 1 | 4 | 56 | 60 | |||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (4 | ) | — | (4 | ) | ||||||||||||||||||
Other | (15 | ) | 8 | (1 | ) | (8 | ) | — | 10 | (6 | ) | ||||||||||||||||
Income tax expense (benefit) | 94 | 2 | 46 | 8 | 13 | (41 | ) | 122 | |||||||||||||||||||
Net income (loss) | $ | 392 | $ | 7 | $ | 257 | $ | 172 | $ | 201 | $ | (76 | ) | $ | 953 |
For the Three Months Ended March 31, 2012 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate and Other | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,174 | $ | 119 | $ | 1,528 | $ | 263 | $ | 488 | $ | — | $ | 3,572 | |||||||||||||
Net premiums earned | 1,228 | 59 | 1,391 | 230 | 473 | — | 3,381 | ||||||||||||||||||||
Losses and loss expenses | 811 | 38 | 705 | 102 | 148 | — | 1,804 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 147 | — | 147 | ||||||||||||||||||||
Policy acquisition costs | 137 | (10 | ) | 335 | 43 | 76 | 1 | 582 | |||||||||||||||||||
Administrative expenses | 150 | (3 | ) | 229 | 12 | 78 | 44 | 510 | |||||||||||||||||||
Underwriting income (loss) | 130 | 34 | 122 | 73 | 24 | (45 | ) | 338 | |||||||||||||||||||
Net investment income | 267 | 7 | 131 | 71 | 61 | 7 | 544 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (1 | ) | — | 20 | 13 | 231 | (3 | ) | 260 | ||||||||||||||||||
Interest expense | 3 | — | 1 | 1 | 3 | 54 | 62 | ||||||||||||||||||||
Other (income) expense | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (18 | ) | — | (18 | ) | ||||||||||||||||||
Other | (9 | ) | 8 | — | (5 | ) | 9 | 12 | 15 | ||||||||||||||||||
Income tax expense (benefit) | 83 | 8 | 38 | 6 | 11 | (36 | ) | 110 | |||||||||||||||||||
Net income (loss) | $ | 319 | $ | 25 | $ | 234 | $ | 155 | $ | 311 | $ | (71 | ) | $ | 973 |
For the Three Months Ended March 31, 2013 | Property & All Other | Casualty | Life, Accident & Health | ACE Consolidated | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Insurance – North American P&C | $ | 347 | $ | 902 | $ | 89 | $ | 1,338 | |||||||
Insurance – North American Agriculture | 52 | — | — | 52 | |||||||||||
Insurance – Overseas General | 585 | 339 | 535 | 1,459 | |||||||||||
Global Reinsurance | 135 | 112 | — | 247 | |||||||||||
Life | — | — | 477 | 477 | |||||||||||
$ | 1,119 | $ | 1,353 | $ | 1,101 | $ | 3,573 | ||||||||
For the Three Months Ended March 31, 2012 | |||||||||||||||
Insurance – North American P&C | $ | 322 | $ | 817 | $ | 89 | $ | 1,228 | |||||||
Insurance – North American Agriculture | 59 | — | — | 59 | |||||||||||
Insurance – Overseas General | 538 | 333 | 520 | 1,391 | |||||||||||
Global Reinsurance | 110 | 120 | — | 230 | |||||||||||
Life | — | — | 473 | 473 | |||||||||||
$ | 1,029 | $ | 1,270 | $ | 1,082 | $ | 3,381 |
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(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 28 | $ | 32,593 | $ | 28,738 | $ | — | $ | 61,359 | |||||||||
Cash | 197 | 560 | 98 | — | 855 | ||||||||||||||
Insurance and reinsurance balances receivable | — | 3,658 | 496 | — | 4,154 | ||||||||||||||
Reinsurance recoverable on losses and loss expenses | — | 16,432 | (4,902 | ) | — | 11,530 | |||||||||||||
Reinsurance recoverable on policy benefits | — | 1,162 | (931 | ) | — | 231 | |||||||||||||
Value of business acquired | — | 579 | 4 | — | 583 | ||||||||||||||
Goodwill and other intangible assets | — | 4,359 | 550 | — | 4,909 | ||||||||||||||
Investments in subsidiaries | 27,836 | — | — | (27,836 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 114 | — | — | (114 | ) | — | |||||||||||||
Other assets | 9 | 7,830 | 2,001 | — | 9,840 | ||||||||||||||
Total assets | $ | 28,184 | $ | 67,173 | $ | 26,054 | $ | (27,950 | ) | $ | 93,461 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | 30,593 | $ | 6,489 | $ | — | $ | 37,082 | |||||||||
Unearned premiums | — | 6,000 | 1,019 | — | 7,019 | ||||||||||||||
Future policy benefits | — | 3,877 | 588 | — | 4,465 | ||||||||||||||
Due to (from) subsidiaries and affiliates, net | — | 358 | (244 | ) | (114 | ) | — | ||||||||||||
Short-term debt | — | 851 | 551 | — | 1,402 | ||||||||||||||
Long-term debt | — | 4,307 | — | — | 4,307 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 242 | 8,985 | 1,708 | — | 10,935 | ||||||||||||||
Total liabilities | 242 | 55,280 | 10,111 | (114 | ) | 65,519 | |||||||||||||
Total shareholders’ equity | 27,942 | 11,893 | 15,943 | (27,836 | ) | 27,942 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 28,184 | $ | 67,173 | $ | 26,054 | $ | (27,950 | ) | $ | 93,461 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 31 | $ | 31,074 | $ | 29,159 | $ | — | $ | 60,264 | |||||||||
Cash(3) | 103 | 515 | (3 | ) | — | 615 | |||||||||||||
Insurance and reinsurance balances receivable | — | 3,654 | 493 | — | 4,147 | ||||||||||||||
Reinsurance recoverable on losses and loss expenses | — | 17,232 | (5,154 | ) | — | 12,078 | |||||||||||||
Reinsurance recoverable on policy benefits | — | 1,187 | (946 | ) | — | 241 | |||||||||||||
Value of business acquired | — | 610 | 4 | — | 614 | ||||||||||||||
Goodwill and other intangible assets | — | 4,419 | 556 | — | 4,975 | ||||||||||||||
Investments in subsidiaries | 27,251 | — | — | (27,251 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 204 | — | — | (204 | ) | — | |||||||||||||
Other assets | 13 | 7,563 | 2,035 | — | 9,611 | ||||||||||||||
Total assets | $ | 27,602 | $ | 66,254 | $ | 26,144 | $ | (27,455 | ) | $ | 92,545 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | 31,356 | $ | 6,590 | $ | — | $ | 37,946 | |||||||||
Unearned premiums | — | 5,872 | 992 | — | 6,864 | ||||||||||||||
Future policy benefits | — | 3,876 | 594 | — | 4,470 | ||||||||||||||
Due to (from) subsidiaries and affiliates, net | — | 384 | (180 | ) | (204 | ) | — | ||||||||||||
Short-term debt | — | 851 | 550 | — | 1,401 | ||||||||||||||
Long-term debt | — | 3,360 | — | — | 3,360 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 71 | 8,272 | 2,321 | — | 10,664 | ||||||||||||||
Total liabilities | 71 | 54,280 | 10,867 | (204 | ) | 65,014 | |||||||||||||
Total shareholders’ equity | 27,531 | 11,974 | 15,277 | (27,251 | ) | 27,531 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 27,602 | $ | 66,254 | $ | 26,144 | $ | (27,455 | ) | $ | 92,545 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
For the Three Months Ended March 31, 2013 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments (2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | 2,082 | $ | 1,716 | $ | — | $ | 3,798 | |||||||||
Net premiums earned | — | 2,006 | 1,567 | — | 3,573 | ||||||||||||||
Net investment income | — | 248 | 283 | — | 531 | ||||||||||||||
Equity in earnings of subsidiaries | 914 | — | — | (914 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | 12 | 10 | 184 | — | 206 | ||||||||||||||
Losses and loss expenses | — | 1,253 | 673 | — | 1,926 | ||||||||||||||
Policy benefits | — | 81 | 50 | — | 131 | ||||||||||||||
Policy acquisition costs and administrative expenses | 15 | 626 | 487 | — | 1,128 | ||||||||||||||
Interest (income) expense | (7 | ) | 67 | — | — | 60 | |||||||||||||
Other (income) expense | (38 | ) | 34 | (6 | ) | — | (10 | ) | |||||||||||
Income tax expense | 3 | 56 | 63 | — | 122 | ||||||||||||||
Net income | $ | 953 | $ | 147 | $ | 767 | $ | (914 | ) | $ | 953 | ||||||||
Comprehensive income (loss) | $ | 716 | $ | (1 | ) | $ | 915 | $ | (914 | ) | $ | 716 |
For the Three Months Ended March 31, 2012 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments (2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | 2,098 | $ | 1,474 | $ | — | $ | 3,572 | |||||||||
Net premiums earned | — | 1,952 | 1,429 | — | 3,381 | ||||||||||||||
Net investment income | — | 265 | 279 | — | 544 | ||||||||||||||
Equity in earnings of subsidiaries | 928 | — | — | (928 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | 20 | 26 | 214 | — | 260 | ||||||||||||||
Losses and loss expenses | — | 1,182 | 622 | — | 1,804 | ||||||||||||||
Policy benefits | — | 86 | 61 | — | 147 | ||||||||||||||
Policy acquisition costs and administrative expenses | 12 | 640 | 440 | — | 1,092 | ||||||||||||||
Interest (income) expense | (9 | ) | 66 | 5 | — | 62 | |||||||||||||
Other (income) expense | (30 | ) | 25 | 2 | — | (3 | ) | ||||||||||||
Income tax expense | 2 | 85 | 23 | — | 110 | ||||||||||||||
Net income | $ | 973 | $ | 159 | $ | 769 | $ | (928 | ) | $ | 973 | ||||||||
Comprehensive income | $ | 1,271 | $ | 287 | $ | 641 | $ | (928 | ) | $ | 1,271 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations. |
For the Three Months Ended March 31, 2013 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 53 | $ | 644 | $ | 216 | $ | — | $ | 913 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | (3,825 | ) | (2,327 | ) | — | (6,152 | ) | |||||||||||
Purchases of fixed maturities held to maturity | — | (137 | ) | (5 | ) | — | (142 | ) | |||||||||||
Purchases of equity securities | — | (89 | ) | (18 | ) | — | (107 | ) | |||||||||||
Sales of fixed maturities available for sale | — | 1,473 | 1,291 | — | 2,764 | ||||||||||||||
Sales of equity securities | — | 25 | 6 | — | 31 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | 879 | 1,137 | — | 2,016 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | 351 | 140 | — | 491 | ||||||||||||||
Net derivative instruments settlements | — | 4 | (283 | ) | — | (279 | ) | ||||||||||||
Advances from (to) affiliates | 43 | — | — | (43 | ) | — | |||||||||||||
Acquisition of subsidiaries | — | (33 | ) | — | — | (33 | ) | ||||||||||||
Other | — | (86 | ) | 31 | — | (55 | ) | ||||||||||||
Net cash flows from (used for) investing activities | 43 | (1,438 | ) | (28 | ) | (43 | ) | (1,466 | ) | ||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (2 | ) | — | — | — | (2 | ) | ||||||||||||
Common Shares repurchased | — | — | (154 | ) | — | (154 | ) | ||||||||||||
Net proceeds from issuance of long-term debt | — | 947 | — | — | 947 | ||||||||||||||
Net proceeds from issuance of short-term debt | — | — | 1 | — | 1 | ||||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | (8 | ) | 29 | — | 21 | |||||||||||||
Advances (to) from affiliates | — | (71 | ) | 28 | 43 | — | |||||||||||||
Net cash flows from (used for) financing activities | (2 | ) | 868 | (96 | ) | 43 | 813 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | (29 | ) | 9 | — | (20 | ) | ||||||||||||
Net increase in cash | 94 | 45 | 101 | — | 240 | ||||||||||||||
Cash – beginning of period(3) | 103 | 515 | (3 | ) | — | 615 | |||||||||||||
Cash – end of period | $ | 197 | $ | 560 | $ | 98 | $ | — | $ | 855 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations and certain consolidating adjustments. |
(3) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At December 31, 2012, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
For the Three Months Ended March 31, 2012 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries and Eliminations(1) | Consolidating Adjustments(2) | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 19 | $ | 66 | $ | 487 | $ | — | $ | 572 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | (2,650 | ) | (2,833 | ) | — | (5,483 | ) | |||||||||||
Purchases of fixed maturities held to maturity | — | (31 | ) | (1 | ) | — | (32 | ) | |||||||||||
Purchases of equity securities | — | (10 | ) | (9 | ) | — | (19 | ) | |||||||||||
Sales of fixed maturities available for sale | — | 1,935 | 1,860 | — | 3,795 | ||||||||||||||
Sales of equity securities | — | 24 | 2 | — | 26 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | 497 | 579 | — | 1,076 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | 267 | 78 | — | 345 | ||||||||||||||
Net derivative instruments settlements | (1 | ) | (1 | ) | (193 | ) | — | (195 | ) | ||||||||||
Advances from (to) affiliates | 66 | — | — | (66 | ) | — | |||||||||||||
Acquisition of subsidiaries | — | (25 | ) | — | — | (25 | ) | ||||||||||||
Other | — | 90 | (193 | ) | — | (103 | ) | ||||||||||||
Net cash flows from (used for) investing activities | 65 | 96 | (710 | ) | (66 | ) | (615 | ) | |||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (159 | ) | — | — | — | (159 | ) | ||||||||||||
Common Shares repurchased | — | — | (11 | ) | — | (11 | ) | ||||||||||||
Net proceeds from issuance (repayments) of short-term debt | 130 | 1 | 150 | — | 281 | ||||||||||||||
Proceeds from share-based compensation plans | 1 | — | 27 | — | 28 | ||||||||||||||
Advances from (to) affiliates | — | (48 | ) | (18 | ) | 66 | — | ||||||||||||
Net cash flows (used for) from financing activities | (28 | ) | (47 | ) | 148 | 66 | 139 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | (1 | ) | 6 | — | 5 | |||||||||||||
Net increase (decrease) in cash | 56 | 114 | (69 | ) | — | 101 | |||||||||||||
Cash – beginning of period | 106 | 382 | 126 | — | 614 | ||||||||||||||
Cash – end of period | $ | 162 | $ | 496 | $ | 57 | $ | — | $ | 715 |
(1) | Includes all other subsidiaries of ACE Limited and intercompany eliminations. |
(2) | Includes ACE Limited parent company eliminations and certain consolidating adjustments. |
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