ACE LTD, 10-Q filed on 8/4/2011
Quarterly Report
Consolidated Balance Sheets (Unaudited) (USD $)
In Millions
Jun. 30, 2011
Dec. 31, 2010
Investments
 
 
Fixed maturities available for sale, at fair value (amortized cost - $39,862 and $36,542) (includes hybrid financial instruments of $398 and $416)
$ 41,038 
$ 37,539 
Fixed maturities held to maturity, at amortized cost (fair value - $9,078 and $9,461)
9,033 
9,501 
Equity securities, at fair value (cost - $549 and $666)
582 
692 
Short-term investments, at fair value and amortized cost
2,380 
1,983 
Other investments (cost - $1,916 and $1,511)
2,156 
1,692 
Total investments
55,189 
51,407 
Cash
833 
772 
Securities lending collateral
1,593 
1,495 
Accrued investment income
538 
521 
Insurance and reinsurance balances receivable
4,923 
4,233 
Reinsurance recoverables on losses and loss expenses
13,375 
12,871 
Reinsurance recoverable on policy benefits
250 
281 
Deferred policy acquisition costs
1,821 
1,641 
Value of business acquired
796 
634 
Goodwill and other intangible assets
4,858 
4,664 
Prepaid reinsurance premiums
1,711 
1,511 
Deferred tax assets
586 
769 
Investments in partially-owned insurance companies (cost - $349 and $357)
353 
360 
Other assets
2,428 
2,196 
Total assets
89,254 
83,355 
Liabilities
 
 
Unpaid losses and loss expenses
38,951 
37,391 
Unearned premiums
6,913 
6,330 
Future policy benefits
4,384 
3,106 
Insurance and reinsurance balances payable
3,785 
3,282 
Deposit liabilities
700 
421 
Securities lending payable
1,610 
1,518 
Payable for securities purchased
418 
292 
Accounts payable, accrued expenses, and other liabilities
3,288 
2,958 
Income taxes payable
23 
116 
Short-term debt
1,400 
1,300 
Long-term debt
3,360 
3,358 
Trust preferred securities
309 
309 
Total liabilities
65,141 
60,381 
Shareholders' equity
 
 
Common Shares (CHF 30.27 and CHF 30.57 par value, 342,775,070 and 341,094,559 shares issued, 337,912,324 and 334,942,852 shares outstanding)
10,098 
10,161 
Common Shares in treasury (4,862,746 and 6,151,707 shares)
(250)
(330)
Additional paid-in capital
5,484 
5,623 
Retained earnings
6,792 
5,926 
Deferred compensation obligation
Accumulated other comprehensive income (AOCI)
1,989 
1,594 
Common shares issued to employee trust
(2)
(2)
Total shareholders' equity
24,113 
22,974 
Total liabilities and shareholders' equity
$ 89,254 
$ 83,355 
Consolidated Balance Sheets (Unaudited) (Parentheticals) (USD $)
In Millions, except Share data
Jun. 30, 2011
Dec. 31, 2010
Consolidated balance sheets - assets - parenthetical disclosures
 
 
Fixed maturities available for sale, at amortized cost
$ 39,862 
$ 36,542 
Fixed maturities available for sale, hybrid financial instruments
398 
416 
Fixed maturities held to maturity, at fair value
9,078 
9,461 
Equity securities, at cost
549 
666 
Other investments, at cost
1,916 
1,511 
Investments in partially-owned insurance companies, at cost
$ 349 
$ 357 
Consolidated balance sheets - equity - parenthetical disclosures
 
 
Common Shares - shares issued
342,775,070 
341,094,559 
Common Shares - shares outstanding
337,912,324 
334,942,852 
Common Shares in treasury - shares
4,862,746 
6,151,707 
Consolidated Balance Sheets (Unaudited) (Parentheticals in CHF) (CHF)
Jun. 30, 2011
Dec. 31, 2010
Common shares - par value
 30.27 
 
Common Stock Par Value [Member]
 
 
Common shares - par value
 30.27 
 30.57 
Consolidated Statements of Operations and Comprehensive Income (Unaudited) (USD $)
In Millions, except Per Share data
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Revenue:
 
 
 
 
Net premiums written
$ 3,953 
$ 3,420 
$ 7,399 
$ 6,991 
Change in unearned premiums
(196)
(187)
(333)
(481)
Net premiums earned
3,757 
3,233 
7,066 
6,510 
Net investment income
569 
518 
1,113 
1,022 
Net realized gains (losses):
 
 
 
 
Other-than-temporary impairment (OTTI) losses gross
(9)
(31)
(14)
(81)
Portion of OTTI losses recognized in other comprehensive income (OCI)
13 
45 
Net OTTI losses recognized in income
(8)
(18)
(12)
(36)
Net realized gains (losses) excluding OTTI losses
(65)
27 
(106)
213 
Total net realized gains (losses) including OTTI
(73)
(118)
177 
Total revenues
4,253 
3,760 
8,061 
7,709 
Expenses:
 
 
 
 
Losses and loss expenses
2,226 
1,800 
4,489 
3,721 
Policy benefits
108 
87 
199 
174 
Policy acquisition costs
604 
536 
1,159 
1,090 
Administrative expenses
515 
463 
1,009 
923 
Interest expense
62 
52 
125 
104 
Other (income) expense
(5)
(1)
Total expenses
3,524 
2,941 
6,976 
6,011 
Income before income tax
729 
819 
1,085 
1,698 
Income tax expense (benefit)
122 
142 
219 
266 
Net income (loss)
607 
677 
866 
1,432 
Other comprehensive income (loss):
 
 
 
 
Unrealized appreciation
303 
487 
369 
1,070 
Reclassification adjustment for net realized gains included in net income
(78)
(97)
(134)
(226)
Subtotal
225 
390 
235 
844 
Change in cumulative translation adjustment
69 
(169)
301 
(259)
Change in pension liability
(5)
Other comprehensive income, before income tax
295 
223 
531 
593 
Income tax expense related to OCI items
(88)
(55)
(136)
(122)
Other comprehensive income
207 
168 
395 
471 
Comprehensive income
$ 814 
$ 845 
$ 1,261 
$ 1,903 
Earnings per share:
 
 
 
 
Basic earnings per share
$ 1.79 
$ 1.99 
$ 2.56 
$ 4.22 
Diluted earnings per share
$ 1.77 
$ 1.98 
$ 2.54 
$ 4.21 
Consolidated Statements of Shareholders' Equity (Unaudited) (USD $)
In Millions
Total
Common Shares [Member]
Common Shares in treasury [Member]
Additional paid-in capital [Member]
Retained earnings [Member]
Deferred compensation obligation [Member]
AOCI - Net unrealized appreciation (depreciation) on investments [Member]
AOCI - Cumulative translation adjustment [Member]
AOCI - Pension liability adjustment [Member]
AOCI - Total [Member]
Accumulated Income Tax Expense Benefit [Member]
Common Stock Issued Employee Stock Trust [Member]
Shareholders' equity - beginning of period at Dec. 31, 2009
 
$ 10,503 
$ (3)
$ 5,526 
$ 2,818 
$ 2 
$ 657 
$ 240 
$ (74)
 
 
$ (2)
Consolidated Statements of Shareholders' Equity
 
 
 
 
 
 
 
 
 
 
 
 
Exercise of stock options
 
 
 
 
 
 
 
 
 
 
Common shares issued in treasury, net of net shares redeemed under employee share-based compensation plans
 
 
(26)
 
 
 
 
 
 
 
 
 
Share-based compensation expense and other
 
 
 
68 
 
 
 
 
 
 
 
 
Net income (loss)
1,432 
 
 
 
1,432 
 
 
 
 
 
 
 
Dividends declared on Common Shares-par value reduction
 
(218)
 
 
 
 
 
 
 
 
 
 
Net shares issued (redeemed) under employee-based compensation plans
 
71 
 
(69)
 
 
 
 
 
 
 
 
Accumulated other comprehensive income (loss):
 
 
 
 
 
 
 
 
 
 
 
 
Change in period, net of income tax (expense) benefit of $(60) and $(213)
 
 
 
 
 
 
631 
 
 
 
(213)
 
Change in period, net of income tax (expense) benefit of $(77) and $94
 
 
 
 
 
 
 
(165)
 
 
94 
 
Change in period, net of income tax (expense) benefit of $1 and $(3)
 
 
 
 
 
 
 
 
 
(3)
 
Shareholders' equity - end of period at Jun. 30, 2010
21,410 
10,365 
(29)
5,530 
4,250 
1,288 
75 
(69)
1,294 
 
(2)
Shareholders' equity - beginning of period at Dec. 31, 2010
22,974 
10,161 
(330)
5,623 
5,926 
1,399 
262 
(67)
 
 
(2)
Consolidated Statements of Shareholders' Equity
 
 
 
 
 
 
 
 
 
 
 
 
Exercise of stock options
 
50 
 
20 
 
 
 
 
 
 
 
 
Common shares issued in treasury, net of net shares redeemed under employee share-based compensation plans
 
 
80 
 
 
 
 
 
 
 
 
 
Share-based compensation expense and other
 
 
 
71 
 
 
 
 
 
 
 
 
Dividends declared on Common Shares
 
 
 
 
(119)
 
 
 
 
 
 
 
Net income (loss)
866 
 
 
 
866 
 
 
 
 
 
 
 
Funding of dividends declared from Additional paid-in capital
 
 
 
 
119 
 
 
 
 
 
 
 
Funding of dividends declared to Retained Earnings
 
 
 
(119)
 
 
 
 
 
 
 
 
Dividends declared on Common Shares-par value reduction
 
(113)
 
 
 
 
 
 
 
 
 
 
Net shares issued (redeemed) under employee-based compensation plans
 
 
 
(111)
 
 
 
 
 
 
 
 
Accumulated other comprehensive income (loss):
 
 
 
 
 
 
 
 
 
 
 
 
Change in period, net of income tax (expense) benefit of $(60) and $(213)
 
 
 
 
 
 
175 
 
 
 
(60)
 
Change in period, net of income tax (expense) benefit of $(77) and $94
 
 
 
 
 
 
 
224 
 
 
(77)
 
Change in period, net of income tax (expense) benefit of $1 and $(3)
 
 
 
 
 
 
 
 
(4)
 
 
Shareholders' equity - end of period at Jun. 30, 2011
$ 24,113 
$ 10,098 
$ (250)
$ 5,484 
$ 6,792 
$ 2 
$ 1,574 
$ 486 
$ (71)
$ 1,989 
 
$ (2)
Consolidated Statement of Cash Flows (Unaudited) (USD $)
In Millions
6 Months Ended
Jun. 30,
2011
2010
Cash flows from operating activities:
 
 
Net income (loss)
$ 866 
$ 1,432 
Adjustments to reconcile net income to net cash flows from operating activities
 
 
Net realized (gains) losses
118 
(177)
Amortization of premiums/discounts on fixed maturities
63 
61 
Deferred income taxes
47 
(48)
Unpaid losses and loss expenses (cash flow)
1,001 
(452)
Unearned premiums (cash flow)
478 
818 
Future policy benefits (cash flow)
37 
40 
Insurance and reinsurance balances payable (cash flow)
449 
(16)
Accounts payable, accrued expenses, and other liabilities (cash flow)
33 
Income taxes payable (cash flow)
(91)
60 
Insurance and reinsurance balances receivable (cash flow)
(578)
(316)
Reinsurance recoverable on losses and loss expenses (cash flow)
(296)
346 
Reinsurance recoverable on policy benefits (cash flow)
29 
11 
Deferred policy acquisition costs (cash flow)
(149)
(167)
Prepaid reinsurance premiums (cash flow)
(156)
(411)
Other cash flows from operating activities
242 
477 
Net cash flows from operating activities
2,063 
1,691 
Cash flows used for investing activities:
 
 
Purchases of fixed maturities available for sale
(13,041)
(16,623)
Purchases of to be announced mortgage-backed securities
(642)
(720)
Purchases of fixed maturities held to maturity
(234)
(324)
Purchases of equity securities
(170)
(38)
Sales of fixed maturities available for sale
9,346 
12,866 
Sales of to be announced mortgage-backed securities
639 
684 
Sales of equity securities
347 
311 
Maturities and redemptions of fixed maturities available for sale
1,758 
1,776 
Maturities and redemptions of fixed maturities held to maturity
656 
570 
Net derivative instruments settlements
(46)
131 
Acquisition of subsidiaries (net of cash acquired of $95 in 2011)
(380)
 
Other cash flows from investing activities
(132)
(100)
Net cash flows from (used for) investing activities
(1,899)
(1,467)
Cash flows (used for) from financing activities:
 
 
Dividends paid on Common Shares
(223)
(210)
Common Shares repurchased (cash flow)
(68)
 
Proceeds from issuance of short term debt
3,311 
175 
Repayment of short-term debt
(3,211)
(175)
Proceeds from share-based compensation plans
76 
19 
Net cash flows (used for) from financing activities
(115)
(191)
Effect of foreign currency rate changes on cash and cash equivalents:
 
 
Effect of foreign currency rate changes on cash and cash equivalents
12 
(34)
Cash:
 
 
Net (decrease) increase in cash
61 
(1)
Cash - beginning of period
772 
669 
Cash - end of period
833 
668 
Supplement cash flow disclosures
 
 
Taxes paid (cash flow)
265 
256 
Interest paid (cash flow)
$ 112 
$ 101 
Consolidated Statements of Cash Flows (Unaudited) (Parentheticals) (USD $)
In Millions
6 Months Ended
Jun. 30, 2011
Consolidated Statements Of Cash Flows Parentheticals
 
Cash acquired from acquisition of subsidiary
$ 95 
General
General

1. General

 

ACE Limited is a holding company incorporated in Zurich, Switzerland. ACE Limited and its subsidiaries (collectively, ACE, we, us, or our) provide a broad range of insurance and reinsurance products to insureds worldwide. ACE operates through the following business segments: Insurance – North American, Insurance – Overseas General, Global Reinsurance, and Life.

The interim unaudited consolidated financial statements, which include the accounts of ACE and its subsidiaries, have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) and, in the opinion of management, reflect all adjustments (consisting of normally recurring accruals) necessary for a fair statement of the results and financial position for such periods. All significant intercompany accounts and transactions have been eliminated. The results of operations and cash flows for any interim period are not necessarily indicative of the results for the full year. These consolidated financial statements should be read in conjunction with the consolidated financial statements and related notes included in our Annual Report on Form 10-K for the year ended December 31, 2010.

Accounting guidance not yet adopted
Accounting guidance not yet adopted

2. Accounting guidance not yet adopted

 

Accounting for costs associated with acquiring or renewing insurance contracts

 

In October 2010, the Financial Accounting Standards Board (FASB) issued new guidance related to the accounting for costs associated with acquiring or renewing insurance contracts. The guidance modifies the definition of acquisition costs to specify that a cost must be directly related to the successful acquisition of a new or renewal insurance contract in order to be deferred. This guidance is effective for interim and annual reporting periods beginning on January 1, 2012, and may be applied prospectively or retrospectively. The amount of acquisition costs we will defer under the new guidance will be less than the amount deferred under our current accounting practice. We are in the process of assessing the impact that this guidance will have on our financial condition and results of operations.

 

Fair value measurements

 

In May 2011, the FASB issued new guidance on fair value measurements to revise the wording used to describe the requirements for measuring fair value and for disclosing information about fair value measurements.  The guidance is not necessarily intended to result in a significant change in the application of the current requirements.  Instead it is intended to clarify the intended application of existing fair value measurement requirements.  It also changes certain principles or requirements for measuring fair value and disclosing information about fair value measurements.  This guidance is effective for interim and annual reporting periods beginning on or after December 15, 2011.  We are in the process of assessing the impact this amendment will have on our financial statements. 

Acquisitions
Acquisitions

3. Acquisitions

 

ACE acquired New York Life's Korea operations on February 1, 2011 and New York Life's Hong Kong operations on April 1, 2011 for approximately $425 million in cash. These acquired businesses, now operating under our Life segment, expand our presence in the North Asia market and complement our life insurance business established in that region. These acquisitions generated approximately $123 million of goodwill, none of which is expected to be deductible for income tax purposes, and approximately $207 million of intangible assets. The most significant intangible asset is the value of business acquired (VOBA). VOBA represents the fair value of the future profits of the in-force long duration contracts and is amortized in relation to the premium or profit emergence of the underlying contracts, depending on the nature of the product, in a manner similar to deferred acquisition costs.

 

Prior year acquisitions

 

On December 28, 2010, ACE acquired all the outstanding common stock of Rain and Hail Insurance Service, Inc. (Rain and Hail) not previously owned by ACE for approximately $1.1 billion in cash. Rain and Hail has served America's farmers since 1919, providing comprehensive multiple peril crop and crop/hail insurance protection to customers in the U.S. and Canada. This acquisition is consistent with ACE's strategy to expand its specialty lines business and provides further diversification of ACE's global product mix. The acquisition of Rain and Hail generated $129 million of goodwill, none of which is expected to be deductible for income tax purposes, and $523 million of other intangible assets. Goodwill and other intangible assets arising from this acquisition are included in the Insurance – North American segment.

On December 1, 2010, ACE acquired Jerneh Insurance Berhad (Jerneh), a general insurance company in Malaysia, for approximately $218 million in cash. The acquisitions of Rain and Hail and Jerneh were financed with cash on hand and the use of reverse repurchase agreements of $1 billion.

Investments
Investments

4. Investments

 

a) Fixed maturities

 

The following tables present the fair value and amortized cost of and the gross unrealized appreciation (depreciation) related to fixed maturities as well as related OTTI recognized in AOCI:

  June 30, 2011
  Amortized Cost Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value OTTI Recognized in AOCI
                
  (in millions of U.S. dollars)
Available for sale              
U.S. Treasury and agency$ 2,423 $ 80 $ (8) $ 2,495 $ -
Foreign  12,341   389   (51)   12,679   (12)
Corporate securities  13,853   723   (63)   14,513   (14)
Mortgage-backed securities  9,932   259   (180)   10,011   (191)
States, municipalities, and political   1,313   36   (9)   1,340   -
 subdivisions         
  $ 39,862 $ 1,487 $ (311) $ 41,038 $ (217)
Held to maturity              
U.S. Treasury and agency$ 1,067 $ 30 $ (5) $ 1,092 $ -
Foreign  1,051   1   (24)   1,028   -
Corporate securities  2,311   15   (34)   2,292   -
Mortgage-backed securities  3,414   69   (11)   3,472   -
States, municipalities, and political   1,190   10   (6)   1,194   -
 subdivisions         
  $ 9,033 $ 125 $ (80) $ 9,078 $ -

  December 31, 2010
  Amortized Cost Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value OTTI Recognized in AOCI
                
  (in millions of U.S. dollars)
Available for sale              
U.S. Treasury and agency$ 2,904 $ 74 $ (15) $ 2,963 $ -
Foreign  10,926   340   (80)   11,186   (28)
Corporate securities  12,902   754   (69)   13,587   (29)
Mortgage-backed securities  8,508   213   (205)   8,516   (228)
States, municipalities, and political   1,302   15   (30)   1,287   -
 subdivisions         
  $ 36,542 $ 1,396 $ (399) $ 37,539 $ (285)
Held to maturity              
U.S. Treasury and agency$ 1,105 $ 32 $ (10) $ 1,127 $ -
Foreign  1,049   1   (37)   1,013   -
Corporate securities  2,361   12   (60)   2,313   -
Mortgage-backed securities  3,811   62   (27)   3,846   -
States, municipalities, and political   1,175   5   (18)   1,162   -
 subdivisions         
  $ 9,501 $ 112 $ (152) $ 9,461 $ -

As discussed in Note 4 c), if a credit loss is indicated on an impaired fixed maturity, an OTTI is considered to have occurred and the portion of the impairment not related to credit losses (non-credit OTTI) is recognized in OCI. Included in the OTTI Recognized in AOCI columns above is the cumulative amount of non-credit OTTI recognized in OCI adjusted for subsequent sales, maturities, and redemptions. OTTI Recognized in AOCI does not include the impact of subsequent changes in fair value of the related securities. In periods subsequent to a recognition of OTTI in OCI, changes in the fair value of the related fixed maturities are reflected in Unrealized appreciation (depreciation) in the consolidated statement of shareholders' equity. For the three and six months ended June 30, 2011, $25 million and $8 million, respectively, of net unrealized depreciation related to such securities is included in OCI. For the three and six months ended June 30, 2010, $33 million and $96 million, respectively, of net unrealized appreciation related to such securities is included in OCI. At June 30, 2011 and December 31, 2010, AOCI includes net unrealized depreciation of $109 million and $99 million, respectively, related to securities remaining in the investment portfolio at those dates for which ACE has recognized a non-credit OTTI.

Mortgage-backed securities issued by U.S. government agencies are combined with all other to be announced mortgage derivatives held (refer to Note 7 a) (iv)) and are included in the category, “Mortgage-backed securities”. Approximately 81 percent and 79 percent of the total mortgage-backed securities at June 30, 2011 and December 31, 2010, respectively, are represented by investments in U.S. government agency bonds. The remainder of the mortgage exposure consists of collateralized mortgage obligations and nongovernment mortgage-backed securities, the majority of which provide a planned structure for principal and interest payments and carry a rating of AAA by the major credit rating agencies.

The following table presents fixed maturities by contractual maturity. Expected maturities could differ from contractual maturities because borrowers may have the right to call or prepay obligations, with or without call or prepayment penalties.

 June 30 December 31
 2011 2010
 Amortized Cost Fair Value Amortized Cost Fair Value
            
 (in millions of U.S. dollars)
Available for sale; maturity period           
Due in 1 year or less$ 2,046 $ 2,074 $ 1,846 $ 1,985
Due after 1 year through 5 years  12,962   13,446   13,094   13,444
Due after 5 years through 10 years  11,468   11,972   10,276   10,782
Due after 10 years  3,454   3,535   2,818   2,812
   29,930   31,027   28,034   29,023
Mortgage-backed securities  9,932   10,011   8,508   8,516
 $ 39,862 $ 41,038 $ 36,542 $ 37,539
            
Held to maturity; maturity period           
Due in 1 year or less$ 310 $ 312 $ 400 $ 404
Due after 1 year through 5 years  2,127   2,163   1,983   2,010
Due after 5 years through 10 years  2,512   2,468   2,613   2,524
Due after 10 years  670   663   694   677
   5,619   5,606   5,690   5,615
Mortgage-backed securities  3,414   3,472   3,811   3,846
 $ 9,033 $ 9,078 $ 9,501 $ 9,461

b) Equity securities

 

The following table presents the fair value and cost of and gross unrealized appreciation (depreciation) related to equity securities:

 

  June 30  December 31
  2011  2010
      
 (in millions of U.S. dollars)
Cost$ 549 $ 666
Gross unrealized appreciation  37   28
Gross unrealized depreciation  (4)   (2)
Fair value$ 582 $ 692

c) Net realized gains (losses)

 

In accordance with guidance related to the recognition and presentation of OTTI, when an OTTI related to a fixed maturity has occurred, OTTI is required to be recorded in net income if management has the intent to sell the security or it is more likely than not that we will be required to sell the security before the recovery of its amortized cost. Further, in cases where we do not intend to sell the security and it is more likely than not that we will not be required to sell the security, ACE must evaluate the security to determine the portion of the impairment, if any, related to credit losses. If a credit loss is indicated, an OTTI is considered to have occurred and any portion of the OTTI related to credit losses must be reflected in net income while the portion of OTTI related to all other factors is recognized in OCI. For fixed maturities held to maturity, OTTI recognized in OCI is accreted from AOCI to the amortized cost of the fixed maturity prospectively over the remaining term of the securities.

 

Each quarter, securities in an unrealized loss position (impaired securities), including fixed maturities, securities lending collateral, equity securities, and other investments, are reviewed to identify impaired securities to be specifically evaluated for a potential OTTI.

 

For all non-fixed maturities, OTTI is evaluated based on the following:

 

  • 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.

 

As a general rule, we also consider that equity securities in an unrealized loss position for twelve consecutive months are impaired.

 

We review each fixed maturity in an unrealized loss position to assess whether the security is a candidate for credit loss. Specifically, we consider credit rating, market price, and issuer-specific financial information, among other factors, to assess the likelihood of collection of all principal and interest as contractually due. Securities for which we determine that credit loss is likely are subjected to further analysis to estimate the credit loss recognized in net income, if any. In general, credit loss recognized in net income equals the difference between the security's amortized cost and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security. All significant assumptions used in determining credit losses are subject to change as market conditions evolve.

 

Projected cash flows for corporate securities (principally senior unsecured bonds) are driven primarily by assumptions regarding probability of default and also the timing and amount of recoveries associated with defaults. We develop these estimates using information based on market observable data, issuer-specific information, and credit ratings. ACE developed its default assumption by using historical default data by Moody's Investors Service (Moody's) rating category to calculate a 1-in-100 year probability of default, which results in a default assumption in excess of the historical mean default rate.

There were no credit losses recognized in net income for corporate securities in 2011. For the three and six months ended June 30, 2010, credit losses recognized in net income for corporate securities were nil and $1 million, respectively.

 

For mortgage-backed securities, credit impairment is assessed using a cash flow model that estimates the cash flows on the underlying mortgages, using the security-specific collateral and transaction structure. The model estimates cash flows from the underlying mortgage loans and distributes those cash flows to various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then projects the remaining cash flows using a number of assumptions, including default rates, prepayment rates, and loss severity rates (the par value of a defaulted security that will not be recovered) on foreclosed properties.

 

Credit losses recognized in net income for mortgage-backed securities for the three and six months ended June 30, 2011 were $2 million and $3 million, respectively. Credit losses recognized in net income for mortgage-backed securities for the three and six months ended June 30, 2010 were $5 million and $22 million, respectively.

 

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 management to conclude the decline in fair value of certain investments was “other-than-temporary”:

 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
 (in millions of U.S. dollars)
Fixed maturities:           
OTTI on fixed maturities, gross$ (6) $ (18) $ (11) $ (68)
OTTI on fixed maturities recognized in OCI (pre-tax)  1   13   2   45
OTTI on fixed maturities, net  (5)   (5)   (9)   (23)
Gross realized gains excluding OTTI  108   128   217   296
Gross realized losses excluding OTTI  (29)   (46)   (85)   (115)
Total fixed maturities  74   77   123   158
            
Equity securities:           
Gross realized gains excluding OTTI  4   32   12   77
Gross realized losses excluding OTTI  -   -   (1)   -
Total equity securities  4   32   11   77
            
OTTI on other investments  (3)   (13)   (3)   (13)
Foreign exchange gains (losses)  (30)   61   (109)   52
Investment and embedded derivative instruments  (48)   5   (68)   24
Fair value adjustments on insurance derivative  (70)   (301)   1   (205)
S&P put options and futures  3   143   (68)   84
Other derivative instruments  (2)   4   (3)   (5)
Other  (1)   1   (2)   5
Net realized gains (losses) $ (73) $ 9 $ (118) $ 177

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:

 

 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
  (in millions of U.S. dollars)
Balance of credit losses related to securities still held- beginning of period$ 96 $ 163 $ 137 $ 174
Additions where no OTTI was previously recorded  2   5   2   22
Additions where an OTTI was previously recorded  -   -   1   1
Reductions for securities sold during the period  (4)   (31)   (46)   (60)
Balance of credit losses related to securities still held- end of period$ 94 $ 137 $ 94 $ 137

d) Gross unrealized loss

 

At June 30, 2011, there were 4,348 fixed maturities out of a total of 21,493 fixed maturities in an unrealized loss position. The largest single unrealized loss in the fixed maturities was $8 million. Fixed maturities in an unrealized loss position at June 30, 2011, comprised both investment grade and below investment grade securities for which fair value declined primarily due to widening credit spreads since the date of purchase.

 

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
 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss
                  
June 30, 2011(in millions of U.S. dollars)
U.S. Treasury and agency$ 551 $ (13.3) $ - $ - $ 551 $ (13.3)
Foreign  3,136   (60.7)   264   (14.1)   3,400   (74.8)
Corporate securities  3,709   (73.2)   152   (23.9)   3,861   (97.1)
Mortgage-backed securities  2,638   (35.1)   825   (155.4)   3,463   (190.5)
States, municipalities, and political subdivisions  663   (10.8)   62   (4.6)   725   (15.4)
Total fixed maturities  10,697   (193.1)   1,303   (198.0)   12,000   (391.1)
Equity securities  44   (3.3)   1   (0.4)   45   (3.7)
Other investments  19   (1.0)   -   -   19   (1.0)
Total $ 10,760 $ (197.4) $ 1,304 $ (198.4) $ 12,064 $ (395.8)

 0 – 12 Months Over 12 Months Total
 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss
                  
December 31, 2010(in millions of U.S. dollars)
U.S. Treasury and agency$ 864 $(24.6) $ - $ - $ 864 $(24.6)
Foreign  4,409  (79.0)   312   (37.6)   4,721  (116.6)
Corporate securities  3,553  (85.1)   273   (43.9)   3,826  (129.0)
Mortgage-backed securities  3,904  (67.3)   1,031   (165.1)   4,935  (232.4)
States, municipalities, and political subdivisions  1,115  (36.2)   79   (11.9)   1,194  (48.1)
Total fixed maturities  13,845  (292.2)   1,695   (258.5)   15,540  (550.7)
Equity securities  45  (1.9)   1   (0.3)   46  (2.2)
Other investments  66  (8.7)   -   -   66  (8.7)
Total $ 13,956 $(302.8) $ 1,696 $ (258.8) $ 15,652 $(561.6)

e) Restricted assets

 

ACE is required to maintain assets on deposit with various regulatory authorities to support its insurance and reinsurance operations. These requirements are generally promulgated in the statutory regulations of the individual jurisdictions. The assets on deposit are available to settle insurance and reinsurance liabilities. We also use trust funds in certain large reinsurance transactions where the trust funds are set up for the benefit of the ceding companies and generally take the place of letter of credit (LOC) requirements. We also have investments in segregated portfolios primarily to provide collateral or guarantees for LOCs and derivative transactions. Included in restricted assets at June 30, 2011 and December 31, 2010, are fixed maturities and short-term investments totaling $12.8 billion and $12.0 billion, respectively, and cash of $97 million and $104 million, respectively.

 

The following table presents the components of restricted assets:

     June 30  December 31
     2011  2010
    (in millions of U.S. dollars)
Trust funds   $ 9,143 $ 8,200
Deposits with U.S. regulatory authorities     1,254   1,384
Deposits with non-U.S. regulatory authorities     2,264   2,289
Other pledged assets     273   190
    $ 12,934 $ 12,063
Fair value measurements
Fair value measurements

5. Fair value measurements

 

a)       Fair value hierarchy

 

Fair value of financial assets and financial liabilities is estimated based on the framework established in the fair value accounting guidance. The guidance defines fair value as the price to sell an asset or transfer a liability in an orderly transaction between market participants and establishes a three-level valuation hierarchy in which inputs into valuation techniques used to measure fair value are classified. The fair value hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The three levels of the hierarchy are as follows:

 

  • 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.

 

We categorize financial instruments within the valuation hierarchy at the balance sheet date based upon the lowest level of inputs that are significant to the fair value measurement. Accordingly, transfers between levels within the valuation hierarchy occur when there are significant changes to the inputs, such as increases or decreases in market activity, changes to the availability of current prices, changes to the transparency to underlying inputs, and whether there are significant variances in quoted prices. Transfers in and/or out of any level are assumed to occur at the end of the period.

 

We use one or more pricing services to obtain fair value measurements for the majority of the investment securities we hold. Based on management's understanding of the methodologies used by these pricing services, all applicable investments have been valued in accordance with GAAP. The following is a description of the valuation techniques and inputs used to determine fair value for financial instruments carried at fair value, as well as the general classification of such financial instruments pursuant to the valuation hierarchy.

 

Fixed maturities

We use pricing services to estimate fair value measurements for the majority of our fixed maturities. The pricing services use market quotations for fixed maturities that have quoted prices in active markets; such securities are classified within Level 1. For fixed maturities other than U.S. Treasury securities that generally do not trade on a daily basis, the pricing services prepare estimates of fair value measurements using their pricing applications, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. Additional valuation factors that may be taken into account are nominal spreads, dollar basis, and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation, listed in the approximate order of priority include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic events. The extent of the use of each input is dependent on the asset class and the market conditions. Additionally, given the asset class, the priority of the use of inputs may change or some market inputs may not be relevant. The overwhelming majority of fixed maturities are classified within Level 2 because the most significant inputs used in the pricing techniques are observable. Fixed maturities for which pricing is unobservable are classified within Level 3.

 

Equity securities

Equity securities with active markets are classified within Level 1 as fair values are based on quoted market prices. For non-public equity securities, fair values are based on market valuations and are classified within Level 2. Equity securities for which pricing is unobservable are classified within Level 3.

 

Short-term investments

Short-term investments, which comprise securities due to mature within one year of the date of purchase that are traded in active markets, are classified within Level 1 as fair values are based on quoted market prices. Securities such as commercial paper and discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their cost approximates par value.

 

Other investments

Fair values for the majority of Other investments including investments in partially-owned investment companies, investment funds, and limited partnerships are based on their respective net asset values or equivalent (NAV). The majority of these investments, for which NAV was used as a practical expedient to measure fair value, are classified within Level 3 because either ACE will never have the contractual option to redeem the investment or will not have the contractual option to redeem the investments in the near term. The remainder of such investments are classified within Level 2. Equity securities and fixed maturities held in rabbi trusts maintained by ACE for deferred compensation plans as well as other portfolios, and included in Other investments, are classified within the valuation hierarchy on the same basis as other equity securities and fixed maturities.

 

Securities lending collateral

The underlying assets included in Securities lending collateral are fixed maturities which are classified in the valuation hierarchy on the same basis as other fixed maturities. Excluded from the valuation hierarchy is the corresponding liability related to ACE's obligation to return the collateral plus interest.

 

Investment derivative instruments

Actively traded investment derivative instruments, including futures, options, and exchange-traded forward contracts are classified within Level 1 as fair values are based on quoted market prices.

 

Guaranteed living benefits

The liability for Guaranteed Living Benefits (GLB) arises from life reinsurance programs covering living benefit guarantees whereby we assume the risk of Guaranteed Minimum Income Benefits (GMIB) and Guaranteed Minimum Accumulation Benefits (GMAB) associated with variable annuity contracts. For GLB reinsurance, ACE estimates fair value using an internal valuation model which includes current market information and estimates of policyholder behavior. All of the treaties contain claim limits, which are factored into the valuation model. The fair value depends on a number of inputs, including changes in interest rates, changes in equity markets, credit risk, current account value, changes in market volatility, expected annuitization rates, changes in policyholder behavior, and changes in policyholder mortality. 

 

The most significant policyholder behavior assumptions include lapse rates and the GMIB annuitization rates. Assumptions regarding lapse rates and GMIB annuitization rates differ by treaty but the underlying methodologies to determine rates applied to each treaty are comparable. The assumptions regarding lapse and GMIB annuitization rates determined for each treaty are based on a dynamic calculation that uses several underlying factors.

 

A lapse rate is the percentage of in-force policies surrendered in a given calendar year. All else equal, as lapse rates increase, ultimate claim payments will decrease. In general, the base lapse function assumes low lapse rates (ranging from about 1 percent to 6 percent per annum) during the surrender charge period of the GMIB contract, followed by a “spike” lapse rate (ranging from about 10 percent to 30 percent per annum) in the year immediately following the surrender charge period, and then reverting to an ultimate lapse rate (generally around 10 percent per annum), typically over a 2-year period.  This base rate is adjusted downward for policies with more valuable guarantees (policies with guaranteed values far in excess of their account values) by multiplying the base lapse rate by a factor ranging from 15 percent to 75 percent.  Additional lapses due to partial withdrawals and older policyholders with tax-qualified contracts (due to required minimum distributions) are also included.

 

The GMIB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GMIB. All else equal, as GMIB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits. In general ACE assumes that GMIB annuitization rates will be higher for policies with more valuable guarantees (policies with guaranteed values far in excess of their account values). In addition, we also assume that GMIB annuitization rates are higher in the first year immediately following the waiting period (the first year the policies are eligible to annuitize using the GMIB) in comparison to all subsequent years. We do not yet have a robust set of annuitization experience because most of our clients' policyholders are not yet eligible to annuitize using the GMIB.  However, for certain clients there are several years of annuitization experience. For these clients the annuitization function reflects the actual experience and has a maximum annuitization rate per annum of 8 percent (a higher maximum applies in the first year a policy is eligible to annuitize using the GMIB - it is over 13 percent).  For most clients, there is no currently observable relevant annuitization behavior data and so we use a weighted-average (with a heavier weighting on the observed experience noted previously) of three different annuitization functions with maximum annuitization rates per annum of 8 percent, 12 percent, and 30 percent, respectively (with significantly higher rates in the first year a policy is eligible to annuitize using the GMIB). The GMIB reinsurance treaties include claim limits to protect ACE in the event that actual annuitization behavior is significantly higher than expected.

 

The effect of changes in key market factors on assumed lapse and annuitization rates reflect emerging trends using data available from cedants. For treaties with limited experience, rates are established in line with data received from other ceding companies adjusted as appropriate with industry estimates. The model and related assumptions are continuously re-evaluated by management and enhanced, as appropriate, based upon additional experience obtained related to policyholder behavior and availability of more information, such as market conditions, market participant assumptions, and demographics of in-force annuities. Based on our first and second quarter 2011 review, no changes were made to actuarial or behavior assumptions. We made minor technical refinements to the model with a favorable net income impact of approximately $0.3 million and $6.3 million for the three and six months ended June 30, 2011, respectively.

 

We view the variable annuity reinsurance business as having a similar risk profile to that of catastrophe reinsurance, with the probability of a cumulative long-term economic net loss relatively small at the time of pricing. However, adverse changes in market factors and policyholder behavior will have an adverse impact on net income, which may be material. Because of the significant use of unobservable inputs including policyholder behavior, GLB reinsurance is classified within Level 3.

 

Other derivative instruments

We maintain positions in other derivative instruments including exchange-traded equity futures contracts and option contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, reserves for Guaranteed Minimum Death Benefits (GMDB) and GLB reinsurance business. Our position in exchange-traded equity futures contracts is classified within Level 1. The fair value of the majority of the remaining positions in other derivative instruments is based on significant observable inputs including equity security and interest rate indices. Accordingly, these are classified within Level 2. Our position in credit default swaps is typically included within Level 3.

The following tables present, by valuation hierarchy, the financial instruments measured at fair value on a recurring basis:

 Level 1 Level 2 Level 3 Total
            
 (in millions of U.S. dollars)
June 30, 2011           
Assets:           
Fixed maturities available for sale           
U.S. Treasury and agency$ 1,245 $ 1,250 $ - $ 2,495
Foreign  207   12,445   27   12,679
Corporate securities  43   14,328   142   14,513
Mortgage-backed securities  -   9,977   34   10,011
States, municipalities, and political subdivisions  -   1,339   1   1,340
   1,495   39,339   204   41,038
            
Equity securities  567   5   10   582
Short-term investments  1,266   1,114   -   2,380
Other investments  239   237   1,680   2,156
Securities lending collateral  -   1,593   -   1,593
Investment derivative instruments  3   -   -   3
Other derivative instruments  (37)   41   4   8
Total assets measured at fair value$ 3,533 $ 42,329 $ 1,898 $ 47,760
            
Liabilities:           
GLB(1)$ - $ - $ 524 $ 524
            
(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 6 for additional information.

 Level 1 Level 2 Level 3 Total
            
 (in millions of U.S. dollars)
December 31, 2010           
Assets:           
Fixed maturities available for sale           
U.S. Treasury and agency$ 1,564 $ 1,399 $ - $ 2,963
Foreign  187   10,973   26   11,186
Corporate securities  31   13,441   115   13,587
Mortgage-backed securities  -   8,477   39   8,516
States, municipalities, and political subdivisions  -   1,285   2   1,287
   1,782   35,575   182   37,539
            
Equity securities  676   3   13   692
Short-term investments  903   1,080   -   1,983
Other investments  39   221   1,432   1,692
Securities lending collateral  -   1,495   -   1,495
Investment derivative instruments  11   -   -   11
Other derivative instruments  (25)   46   4   25
Total assets measured at fair value$ 3,386 $ 38,420 $ 1,631 $ 43,437
            
Liabilities:           
GLB(1)$ - $ - $ 507 $ 507
            
(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 6 for additional information.

There were no significant gross transfers between Level 1 and Level 2 during the three and six months ended June 30, 2011 and 2010.

Fair value of alternative investments

 

Included in Other investments in the fair value hierarchy at June 30, 2011 and December 31, 2010 are investment funds, limited partnerships, and partially-owned investment companies measured at fair value using NAV as a practical expedient. At June 30, 2011 and December 31, 2010, there were no probable or pending sales related to any of the investments measured at fair value using NAV.

 

The following table presents, by investment category, the fair value and maximum future funding commitments related to these investments. The table also shows the expected liquidation period from June 30, 2011.

    June 30, 2011 December 31, 2010
  Expected Liquidation Period Fair Value Maximum Future Funding Commitments Fair Value Maximum Future Funding Commitments
        
               
    (in millions of U.S. dollars)
               
Financial 5 to 9 Years $ 207 $ 163 $ 192 $ 151
Real estate 3 to 9 Years   261   89   168   92
Distressed 6 to 9 Years   221   219   243   43
Mezzanine 6 to 9 Years   126   299   135   173
Traditional  3 to 8 Years   457   410   376   291
Vintage 1 to 3 Years   27   6   27   3
Investment funds Not Applicable   338   -   329   -
    $ 1,637 $ 1,186 $ 1,470 $ 753
               

Included in all categories in the above table except for Investment funds are investments for which ACE will never have the contractual option to redeem but receives distributions based on the liquidation of the underlying assets. Included in the “Expected Liquidation Period” column above is the range in years over which ACE expects the majority of underlying assets in the respective categories to be liquidated. Further, for all categories except for Investment funds, ACE does not have the ability to sell or transfer the investments without the consent from the general partner of individual funds.

 

Financial

Financial consists of investments in private equity funds targeting financial services companies such as financial institutions and insurance services around the world.

 

Real estate

Real estate consists of investments in private equity funds targeting global distress opportunities, value added U.S. properties, and global mezzanine debt securities in the commercial real estate market.

 

Distressed

Distressed consists of investments in private equity funds targeting distressed debt/credit and equity opportunities in the U.S.

 

Mezzanine

Mezzanine consists of investments in private equity funds targeting private mezzanine debt of large-cap and mid-cap companies in the U.S. and worldwide.

 

Traditional

Traditional consists of investments in private equity funds employing traditional private equity investment strategies such as buyout and venture with different geographical focuses including Brazil, Asia, Europe, and the U.S.

 

Vintage

Vintage consists of investments in private equity funds made before 2002 and where the funds' commitment periods had already expired.

 

Investment funds

ACE's investment funds employ various investment strategies such as long/short equity and arbitrage/distressed.  Included in this category are investments for which ACE has the option to redeem at agreed upon value as described in each investment fund's subscription agreement. Depending on the terms of the various subscription agreements, investment fund investments may be redeemed monthly, quarterly, semi-annually, or annually. If ACE wishes to redeem an investment fund investment, it must first determine if the investment fund is still in a lock-up period (a time when ACE cannot redeem its investment so that the investment fund manager has time to build the portfolio).  If the investment fund is no longer in its lock-up period, ACE must then notify the investment fund manager of its intention to redeem by the notification date prescribed by the subscription agreement.  Subsequent to notification, the investment fund can redeem ACE's investment within several months of the notification. Notice periods for redemption of the investment funds range between 5 and 120 days. ACE can redeem its investment funds without consent from the investment fund managers.

Level 3 financial instruments

 

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3):

  Three Months Ended June 30, 2011
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance- Beginning of Period$ 26$ 113$ 81$ 1$ 10$ 1,564$ 4 $ 449
Transfers into Level 3  5  29  3  -  -  -  -   -
Transfers out of Level 3  (6)  -  (35)  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  -  -  -  -  -  9  -   -
Net Realized Gains/Losses   1  (1)  -  -  2  (3)  -   75
Purchases  5  3  -  -  2  243  -   -
Issuances  -  -  -  -  -  -  -   -
Sales  (2)  (1)  (12)  -  (4)  (55)  -   -
Settlements  (2)  (1)  (3)  -  -  (78)  -   -
Balance-End of Period$ 27$ 142$ 34$ 1$ 10$ 1,680$ 4 $ 524
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (3)$ - $ 75
(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 6 for additional information.
                  
  Three Months Ended June 30, 2010
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance-Beginning of Period$ 21$ 133$ 12$ 2$ 13$ 1,236$ 14 $ 347
Transfers into (Out of) Level 3  6  -  -  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  1  3  -  -  (1)  14  -   -
Net Realized Gains/Losses   -  (1)  -  -  1  (14)  12   301
Purchases, Sales, Issuances, and Settlements, Net  -  (14)  -  1  3  (9)  (12)   
Balance- End of Period$ 28$ 121$ 12$ 3$ 16$ 1,227$ 14 $ 648
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (14)$ 12 $ 301
(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 $776 million at June 30, 2010, and $469 million at March 31, 2010, which includes a fair value derivative adjustment of $648 million and $347 million, respectively.

  Six Months Ended June 30, 2011
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance-Beginning of Period$ 26$ 115$ 39$ 2$ 13$ 1,432$ 4   507
Transfers into Level 3  9  34  4  -  -  -  -   -
Transfers out of Level 3  (7)  (4)  (35)  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  (1)  1  -  -  (1)  51  -   -
Net Realized Gains/Losses   1  (2)  -  -  4  (3)  1   17
Purchases  5  22  46  -  2  333  -   -
Sales  (3)  (20)  (15)  -  (8)  (55)  -   -
Settlements  (3)  (4)  (5)  (1)  -  (78)  (1)   -
Balance-End of Period$ 27$ 142$ 34$ 1$ 10$ 1,680$ 4 $ 524
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (3)$ 1 $ 17
(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 6 for additional information.
                  
  Six Months Ended June 30, 2010
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance- Beginning of Period$ 59$ 168$ 21$ 3$ 12$ 1,149$ 14 $ 443
Transfers into (Out of) Level 3  (31)  (35)  -  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  1  6  -  -  -  33  -   -
Net Realized Gains/Losses   (1)  (1)  -  -  1  (13)  12   205
Purchases, Sales, Issuances, and Settlements, Net  -  (17)  (9)  -  3  58  (12)   
Balance- End of Period$ 28$ 121$ 12$ 3$ 16$ 1,227$ 14 $ 648
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (13)$ 12 $ 205
(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. The liability for GLB reinsurance was $776 million at June 30, 2010, and $559 million at December 31, 2009, which includes a fair value derivative adjustment of $648 million and $443 million, respectively.

b) Financial instruments disclosed, but not carried, at fair value

 

ACE uses various financial instruments in the normal course of its business. Our insurance contracts are excluded from fair value of financial instruments accounting guidance, and therefore excluded from the discussion below.

 

The carrying values of cash, other assets, other liabilities, and other financial instruments not included below approximated their fair values.

 

Investments in partially-owned insurance companies

Fair values for investments in partially-owned insurance companies are based on ACE's share of the net assets based on the financial statements provided by those companies.

 

Short- and long-term debt and trust preferred securities

Where practical, fair values for short-term debt, long-term debt, and trust preferred securities are estimated using discounted cash flow calculations based principally on observable inputs including incremental borrowing rates, which reflect ACE's credit rating, for similar types of borrowings with maturities consistent with those remaining for the debt being valued.

 

The following table presents carrying values and fair values of financial instruments not measured at fair value:

   June 30, 2011 December 31, 2010
   Carrying Value Fair Value Carrying Value Fair Value
   (in millions of U.S. dollars)
Assets:        
Fixed maturities held to maturity        
U.S. Treasury and agency$ 1,067$ 1,092$ 1,105$ 1,127
Foreign  1,051  1,028  1,049  1,013
Corporate securities  2,311  2,292  2,361  2,313
Mortgage-backed securities  3,414  3,472  3,811  3,846
States, municipalities, and political subdivisions  1,190  1,194  1,175  1,162
 Total assets  9,033  9,078  9,501  9,461
Liabilities:        
Short-term debt  1,400  1,400  1,300  1,300
Long-term debt  3,360  3,719  3,358  3,846
Trust preferred securities  309  385  309  376
 Total liabilities$ 5,069$ 5,504$ 4,967$ 5,522
Assumed life reinsurance programs involving minimum benefits guarantees under annuity contracts
Reinsurance

6. Assumed life reinsurance programs involving minimum benefit guarantees under annuity contracts

 

The following table presents income and expenses relating to GMDB and GLB reinsurance. GLBs include GMIBs as well as some GMABs originating in Japan.

 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
 (in millions of U.S. dollars)
GMDB           
Net premiums earned$ 25 $ 27 $ 51 $ 56
Policy benefits and other reserve adjustments$ 21 $ 22 $ 43 $ 46
GLB           
Net premiums earned$ 41 $ 40 $ 82 $ 81
Policy benefits and other reserve adjustments  6   6   12   13
Net realized gains (losses)  (75)   (301)   (17)   (205)
Gain (loss) recognized in income$ (40) $ (267) $ 53 $ (137)
            
Net cash received$ 40 $ 40 $ 81 $ 80
Net increase in liability$ (80) $ (307) $ (28) $ (217)

At June 30, 2011, reported liabilities for GMDB and GLB reinsurance were $181 million and $676 million, respectively, compared with $185 million and $648 million, respectively, at December 31, 2010. The reported liability for GLB reinsurance of $676 million at June 30, 2011, and $648 million at December 31, 2010, includes a fair value derivative adjustment of $524 million and $507 million, respectively. Included in Net realized gains (losses) in the table above are gains (losses) related to foreign exchange and other fair value derivative adjustments. Reported liabilities for both GMDB and GLB reinsurance are determined using internal valuation models. Such valuations require considerable judgment and are subject to significant uncertainty. The valuation of these products is subject to fluctuations arising from, among other factors, changes in interest rates, changes in equity markets, changes in credit markets, changes in the allocation of the investments underlying annuitant's account values, and assumptions regarding future policyholder behavior. These models and the related assumptions are continually reviewed by management and enhanced, as appropriate, based upon improvements in modeling assumptions and availability of more information, such as market conditions and demographics of in-force annuities.

 

a) GMDB reinsurance

At June 30, 2011 and December 31, 2010, the net amount at risk from GMDB reinsurance programs was $3.1 billion and $2.9 billion, respectively.  For GMDB reinsurance programs, the net amount at risk is defined as the present value of future claim payments under the following assumptions:

 

  • policy account values and guaranteed values are fixed at the valuation date (June 30, 2011 and December 31, 2010, respectively);

  • there are no lapses or withdrawals;

  • mortality according to 100 percent of the Annuity 2000 mortality table; and

  • future claims are discounted in line with the discounting assumption used in the calculation of the benefit reserve averaging between 1 and 2 percent.

 

At June 30, 2011, if all of the cedants' policyholders covered under GMDB reinsurance agreements were to die immediately, the total claim amount payable, taking into account all appropriate claims limits, would be approximately $1.5 billion. As a result of the annual claim limits on the GMDB reinsurance agreements, the claims payable are lower in this case than if all the policyholders were to die over time, all else equal.

 

b) GLB reinsurance

At June 30, 2011 and December 31, 2010, the net amount at risk from GLB reinsurance programs was $789 million and $719 million, respectively. For GLB reinsurance programs, the net amount at risk is defined as the present value of future claim payments under the following assumptions:

 

  • policy account values and guaranteed values are fixed at the valuation date (June 30, 2011 and December 31, 2010, 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; and

  • future claims are discounted in line with the discounting assumption used in the calculation of the benefit reserve averaging between 0 and 1 percent.

 

The average attained age of all policyholders under all benefits reinsured, weighted by the guaranteed value of each reinsured policy, is approximately 67 years.

Commitments, contingencies, and guarantees
Commitments, contingencies, and guarantees

7. Commitments, contingencies, and guarantees

 

a) Derivative instruments

 

Derivative instruments employed

 

ACE maintains positions in derivative instruments such as futures, options, swaps, and foreign currency forward contracts for which the primary purposes are to manage duration and foreign currency exposure, yield enhancement, or to obtain an exposure to a particular financial market. Along with convertible bonds and to be announced mortgage-backed securities (TBA), discussed below, these are the most numerous and frequent derivative transactions.

 

ACE maintains positions in convertible bond investments that contain embedded derivatives. In addition, we purchase TBAs as part of our investing activities. These securities are included within the fixed maturities available for sale (FM AFS) portfolio.

 

Under reinsurance programs covering GLBs, ACE assumes the risk of GLBs, including GMIB and GMAB, associated with variable annuity contracts. The GMIB risk is triggered if, at the time the contract holder elects to convert the accumulated account value to a periodic payment stream (annuitize), the accumulated account value is not sufficient to provide a guaranteed minimum level of monthly income. The GMAB risk is triggered if, at contract maturity, the contract holder's account value is less than a guaranteed minimum value. The GLB reinsurance product meets the definition of a derivative instrument. Benefit reserves in respect of GLBs are classified as Future policy benefits (FPB) while the fair value derivative adjustment is classified within Accounts payable, accrued expenses, and other liabilities (AP). ACE also maintains positions in exchange-traded equity futures contracts and options on equity market indices to limit equity exposure in the GMDB and GLB blocks of business.

 

In relation to certain debt issuances, ACE, from time to time, has entered into interest rate swap transactions for the purpose of either fixing or reducing borrowing costs. Although the use of these interest rate swaps has the economic effect of fixing or reducing borrowing costs on a net basis, gross interest expense on the related debt issuances is included in Interest expense while the settlements related to the interest rate swaps are reflected in Net realized gains (losses) in the consolidated statements of operations. At June 30, 2011 and December 31, 2010, ACE had no in force interest rate swaps, having exited such positions upon the repayment of related debt issuances during the fourth quarter of 2010.

 

ACE buys credit default swaps to mitigate global credit risk exposure, primarily related to reinsurance recoverables.

 

All derivative instruments are carried at fair value with changes in fair value recorded in Net realized gains (losses) in the consolidated statements of operations. None of the derivative instruments are designated as hedges for accounting purposes.

 

The following table presents the balance sheet locations, fair values in an asset or (liability) position, and notional values/payment provisions of our derivative instruments:

 

  June 30, 2011 December 31, 2010
 Consolidated Balance Sheet Location Fair Value Notional Value/ Payment Provision  Fair Value Notional Value/ Payment Provision
           
  (in millions of U.S. dollars)
Investment and embedded derivative instruments          
Foreign currency forward contractsAP$ 1$ 753 $ 3$ 729
Futures contracts on money market instrumentsAP  2  10,098   3  4,297
Futures contracts on notes and bondsAP  -  1,158   5  676
Options on money market instrumentsAP  -  528   -  1
Convertible bondsFM AFS  398  367   416  382
TBAsFM AFS  123  117   101  98
  $ 524$ 13,021 $ 528$ 6,183
Other derivative instruments          
Futures contracts on equitiesAP$ (37)$ 1,110 $ (25)$ 1,069
Options on equity market indicesAP  41  250   46  250
Credit default swapsAP  4  350   4  350
OtherAP  -  6   -  17
  $ 8$ 1,716 $ 25$ 1,686
           
GLB(1)AP/FPB$ (676)$ 789 $ (648)$ 719

(1) Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 6 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.

 

The following table presents net realized gains (losses) related to derivative instrument activity in the consolidated statement of operations:

 

    Three Months Ended Six Months Ended
    June 30 June 30
    2011 2010 2011 2010
               
    (in millions of U.S. dollars)
Investment and embedded derivative instruments            
Foreign currency forward contracts   $ (3) $ 23 $ (18) $ 36
All other futures contracts and options     (24)   2   (27)   10
Convertible bonds     (21)   (20)   (22)   (22)
TBAs     -   -   (1)   -
    $ (48) $ 5 $ (68) $ 24
GLB and other derivative instruments            
GLB   $ (75) $ (301) $ (17) $ (205)
Futures contracts on equities     -   117   (63)   66
Options on equity market indices     3   26   (5)   18
Interest rate swaps     -   (8)   -   (17)
Credit default swaps     (2)   11   (3)   11
Other     -   1   -   1
    $ (74) $ (154) $ (88) $ (126)
    $ (122) $ (149) $ (156) $ (102)

Derivative instrument objectives

 

(i) Foreign currency exposure management

 

A foreign currency forward contract (forward) is an agreement between participants to exchange specific foreign currencies at a future date. ACE uses forwards to minimize the effect of fluctuating foreign currencies.

 

(ii) Duration management and market exposure

 

Futures

 

Futures contracts give the holder the right and obligation to participate in market movements, determined by the index or underlying security on which the futures contract is based. Settlement is made daily in cash by an amount equal to the change in value of the futures contract times a multiplier that scales the size of the contract. Exchange-traded bond and note futures contracts are used in fixed maturity portfolios as substitutes for ownership of the bonds and notes without significantly increasing the risk in the portfolio. Investments in futures contracts may be made only to the extent that there are assets under management not otherwise committed. Exchange-traded equity futures contracts are used to limit exposure to a severe equity market decline, which would cause an increase in expected claims and therefore, reserves for GMDB and GLB reinsurance business.

 

Options

 

An option contract conveys to the holder the right, but not the obligation, to purchase or sell a specified amount or value of an underlying security at a fixed price. Option contracts are used in the investment portfolio as protection against unexpected shifts in interest rates, which would affect the duration of the fixed maturity portfolio. By using options in the portfolio, the overall interest rate sensitivity of the portfolio can be reduced. Option contracts may also be used as an alternative to futures contracts in the synthetic strategy as described above. Another use for option contracts is to limit exposure to a severe equity market decline, which would cause an increase in expected claims and therefore, reserves for GMDB and GLB reinsurance business. The price of an option is influenced by the underlying security, expected volatility, time to expiration, and supply and demand.

 

The credit risk associated with the above derivative financial instruments relates to the potential for non-performance by counterparties. Although non-performance is not anticipated, in order to minimize the risk of loss, management monitors the creditworthiness of its counterparties and obtains collateral. The performance of exchange-traded instruments is guaranteed by the exchange on which they trade. For non-exchange-traded instruments, the counterparties are principally banks which must meet certain criteria according to our investment guidelines.

 

Interest rate swaps

 

An interest rate swap is a contract between two counterparties in which interest payments are made based on a notional principal amount, which itself is never paid or received. Under the terms of an interest rate swap, one counterparty makes interest payments based on a fixed interest rate and the other counterparty's payments are based on a floating rate. Interest rate swap contracts are used occasionally in the investment portfolio as protection against unexpected shifts in interest rates, which would affect the fair value of the fixed maturity portfolio. By using interest rate swaps in the portfolio, the overall duration or interest rate sensitivity of the portfolio can be reduced. Interest rate swaps are also employed related to certain debt issuances for the purpose of either fixing and/or reducing borrowing costs.

 

Credit default swaps

 

A credit default swap is a bilateral contract under which two counterparties agree to isolate and separately trade the credit risk of at least one third-party reference entity. Under a credit default swap agreement, a protection buyer pays a periodic fee to a protection seller in exchange for a contingent payment by the seller upon a credit event (such as a default or failure to pay) related to the reference entity. When a credit event is triggered, the protection seller pays the protection buyer the difference between the fair value of assets and the principal amount. We have purchased a credit default swap to mitigate our global credit risk exposure to one of our reinsurers.

 

(iii) Convertible security investments

 

A convertible bond is a debt instrument that can be converted into a predetermined amount of the issuer's equity at certain times prior to the bond's maturity. The convertible option is an embedded derivative within the fixed maturity host instruments which are classified in the investment portfolio as available for sale. ACE purchases convertible bonds for their total return and not specifically for the conversion feature.

 

(iv) TBA

 

By acquiring a TBA, a commitment is made to purchase a future issuance of mortgage-backed securities. For the period between purchase of the TBA and issuance of the underlying security, the position is accounted for as a derivative in the consolidated financial statements. ACE purchases TBAs both for their total return and for the flexibility they provide related to our mortgage-backed security strategy.

 

(v) GLB

 

Under the GLB program, as the assuming entity, ACE is obligated to provide coverage until the expiration or maturity of the underlying annuities. Premiums received under the reinsurance treaties are classified as premium. Expected losses allocated to premiums received are classified as future policy benefits and valued similar to GMDB reinsurance. Other changes in fair value, principally arising from changes in expected losses allocated to expected future premiums, are classified as Net realized gains (losses). Fair value represents management's estimate of exit price and thus, includes a risk margin. We may recognize a realized loss for other changes in fair value due to adverse changes in the capital markets (e.g., declining interest rates and/or declining equity markets) and changes in actual or estimated future policyholder behavior (e.g., increased annuitization or decreased lapse rates) although we expect the business to be profitable. We believe this presentation provides the most meaningful disclosure of changes in the underlying risk within the GLB reinsurance programs for a given reporting period.

b) Other investments

 

Included in Other investments are investments in limited partnerships and partially-owned investment companies with a carrying value of $1,299 million. In connection with these investments, we have commitments that may require funding of up to $1,186 million over the next several years.

c) Taxation

 

In 2010, ACE reached final settlement with the Internal Revenue Service (IRS) Appeals Division regarding its federal tax returns for 2002, 2003, and 2004. As a result of the settlement, the amount of unrecognized tax benefits was reduced by approximately $21 million. Additionally, in June 2010, the IRS completed its field examination of ACE's federal tax returns for 2005, 2006, and 2007 and has proposed several adjustments principally involving transfer pricing and other insurance-related matters. In July 2010, we filed a written protest with the IRS, and the case is currently being reviewed by the IRS Appeals Division. The IRS commenced its field examination of ACE's federal tax returns for 2008 and 2009 during January 2011. While it is reasonably possible that a significant change in the unrecognized tax benefits could occur in the next 12 months, we believe that the outcome of the appeal and the current examination will not have a material impact on our financial condition or results of operations. With few exceptions, our significant U.K. subsidiaries remain subject to examination for tax years 2007 and later.

 

d) Legal proceedings

 

(i) Claims and other litigation

 

ACE's insurance subsidiaries are subject to claims litigation involving disputed interpretations of policy coverage and, in some jurisdictions, direct actions by allegedly-injured persons seeking damages from policyholders. These lawsuits, involving claims on policies issued by ACE's subsidiaries, which are typical to the insurance industry in general and in the normal course of business, are considered in ACE's loss and loss expense reserves. In addition to claims litigation, ACE and its subsidiaries are subject to lawsuits and regulatory actions in the normal course of business that do not arise from, or directly relate to, claims on insurance policies. This category of business litigation typically involves, amongst other things, allegations of underwriting errors or misconduct, employment claims, regulatory activity, or disputes arising from business ventures. In the opinion of ACE's management, ACE's ultimate liability for these matters is not likely to have a material adverse effect on ACE's consolidated financial condition, although it is possible that the effect could be material to ACE's consolidated results of operations for an individual reporting period.

 

(ii) Business practices litigation

 

ACE, ACE INA Holdings Inc., and ACE USA, Inc., along with a number of other insurers and brokers, were named in a series of federal putative nationwide class actions brought by insurance policyholders. The Judicial Panel on Multidistrict Litigation (JPML) consolidated these cases in the District of New Jersey. On August 1, 2005, plaintiffs in the New Jersey consolidated proceedings filed two consolidated amended complaints – one concerning commercial insurance and the other concerning employee benefit plans. The employee benefit plans litigation against ACE has been dismissed.

 

In the commercial insurance complaint, the plaintiffs named ACE, ACE INA Holdings Inc., ACE USA, Inc., ACE American Insurance Co., Illinois Union Insurance Co., and Indemnity Insurance Co. of North America. They allege that certain brokers and insurers, including certain ACE entities, conspired to increase premiums and allocate customers through the use of “B” quotes and contingent commissions. In addition, they allege that the broker defendants received additional income by improperly placing their clients' business with insurers through related wholesale entities that acted as intermediaries between brokers and insurers. Plaintiffs also allege that broker defendants tied the purchase of primary insurance to the placement of such coverage with reinsurance carriers through the broker defendants' reinsurance broker subsidiaries. The complaint asserts the following causes of action against ACE: Federal Racketeer Influenced and Corrupt Organizations Act (RICO), federal antitrust law, state antitrust law, aiding and abetting breach of fiduciary duty, and unjust enrichment.

 

In 2006 and 2007, the Court dismissed plaintiffs' first two attempts to properly plead a case without prejudice and permitted plaintiffs one final opportunity to re-plead. The amended complaint, filed on May 22, 2007, purported to add several new ACE defendants: ACE Group Holdings, Inc., ACE US Holdings, Inc., Westchester Fire Insurance Company, INA Corporation, INA Financial Corporation, INA Holdings Corporation, ACE Property and Casualty Insurance Company, and Pacific Employers Insurance Company. Plaintiffs also added a new antitrust claim against Marsh, ACE, and other insurers based on the same allegations as the other claims but limited to excess casualty insurance. In 2007, the Court granted defendants' motions to dismiss plaintiffs' antitrust and RICO claims with prejudice. The Court also declined to exercise supplemental jurisdiction over plaintiffs' state law claims and dismissed those claims without prejudice. Plaintiffs appealed to the United States Court of Appeals for the Third Circuit. On August 16, 2010, the Third Circuit affirmed, in part, and vacated, in part, the District Court's previous dismissals with instructions for further briefing at the District Court on remand. Defendants renewed their motions consistent with the Third Circuit's instructions. On June 28, 2011, the District Court administratively terminated defendants' motions without prejudice to re-file after adjudication of issues related to a proposed class settlement involving a number of other parties. The Court set September 14, 2011 for a fairness hearing on the proposed settlement, but did not indicate when it would finally resolve all issues such that ACE may re-file its motions to dismiss.

 

As of August 3, 2011, plaintiffs have not specified an amount of alleged damages and the Court has not decided defendants' renewed motions to dismiss. The Court has also not determined if this case may proceed as a class action and has, therefore, not determined the size or scope of any class. As a result, ACE is unable to reasonably estimate the potential loss or range of losses, if any, arising from this litigation.

 

There are a number of federal actions brought by policyholders based on allegations similar to the allegations in the consolidated federal actions that were filed in, or transferred to, the United States District Court for the District of New Jersey for coordination (“tag-along cases”). All proceedings in these tag-along cases are currently stayed.

 

  • New Cingular Wireless Headquarters LLC et al. v. Marsh & McLennan Companies, Inc. et al. (Case No. 06-5120; D.N.J.), was originally filed in the Northern District of Georgia on April 4, 2006. ACE, ACE American Ins. Co., ACE USA, Inc., ACE Bermuda Ins. Co. Ltd., Illinois Union Ins. Co., Pacific Employers Ins. Co., and Lloyd's of London Syndicate 2488 AGM, along with a number of other insurers and brokers, are named.

 

  • Avery Dennison Corp. v. Marsh & McLennan Companies, Inc. et al. (Case No. 07-00757; D.N.J.) was filed on February 13, 2007. ACE, ACE INA Holdings Inc., ACE USA, Inc., and ACE American Insurance Co., along with a number of other insurers and brokers, are named.

 

  • Henley Management Co., Inc. et al v. Marsh, Inc. et al. (Case No. 07-2389; D.N.J.) was filed on May 27, 2007. ACE USA, Inc., along with a number of other insurers and Marsh, are named.

 

  • Lincoln Adventures LLC et al. v. Those Certain Underwriters at Lloyd's, London Members of Syndicates 0033 et al. (Case No. 07-60991; D.N.J.) was originally filed in the Southern District of Florida on July 13, 2007. Supreme Auto Transport LLC et al. v. Certain Underwriters of Lloyd's of London, et al. (Case No. 07-6703; D.N.J.) was originally filed in the Southern District of New York on July 25, 2007. Lloyd's of London Syndicate 2488 AGM, along with a number of other Lloyd's of London Syndicates and various brokers, are named in both actions. The allegations in these putative class-action lawsuits are similar to the allegations in the consolidated federal actions identified above, although these lawsuits focus on alleged conduct within the London insurance market.

 

  • Sears, Roebuck & Co. et al. v. Marsh & McLennan Companies, Inc. et al. (Case No. 07-2535; D.N.J.) was originally filed in the Northern District of Georgia on October 12, 2007. ACE American Insurance Co., ACE Bermuda Insurance Ltd., and Westchester Surplus Lines Insurance Co., along with a number of other insurers and brokers, are named.

 

As of August 3, 2011, plaintiffs have not specified an amount of alleged damages in any of the tag-along cases. The proceedings in the tag-along cases were stayed at a very early stage, before ACE could challenge the sufficiency of the claims with, for example, motions to dismiss. Also, the scope of the tag-along cases, in large part, will be affected by the outcome of the MDL Court's decision on defendants' renewed motions to dismiss. As a result, ACE is unable to reasonably estimate the potential loss or range of losses, if any, arising from these litigations.

 

In addition to the related federal cases, there are two pending state cases with allegations similar to those in the consolidated federal actions described above:

 

  • Van Emden Management Corporation v. Marsh & McLennan Companies, Inc., et al. (Case No. 05-0066A; Superior Court of Massachusetts), a class action in Massachusetts, was filed on January 13, 2005. Illinois Union Insurance Company is named. The Van Emden case has been stayed pending resolution of the consolidated proceedings in the District of New Jersey or until further order of the Court.

As of August 3, 2011, plaintiffs have not specified an amount of alleged damages in this case. The proceedings were stayed at a very early stage, before ACE could challenge the sufficiency of the claims with, for example, a motion to dismiss. As a result, ACE is unable to reasonably estimate the potential loss or range of losses, if any, arising from this litigation.

 

  • State of Ohio, ex. rel. Marc E. Dann, Attorney General v. American Int'l Group, Inc. et al. (Case No. 07-633857; Court of Common Pleas in Cuyahoga County, Ohio) is an Ohio state action filed by the Ohio Attorney General on August 24, 2007. ACE INA Holdings Inc., ACE American Insurance Co., ACE Property & Casualty Insurance Co., Insurance Company of North America, and Westchester Fire Insurance Co., along with a number of other insurance companies and Marsh, are named. Defendants filed motions to dismiss in November 2007. On July 2, 2008, the court denied all of the defendants' motions. Discovery is ongoing. Trial is set for September 12, 2011.

In January 2011, plaintiff submitted an expert report in which it claims that ACE should be liable for $11.3 million in overcharges to Ohio public entities; plaintiffs may claim that this amount should be trebled pursuant to Ohio antitrust law. Plaintiff also seeks to impose a $10.3 million penalty on ACE related to ACE's sales of private insurance in Ohio. ACE believes that these claims are without merit and continues to defend them vigorously.

 

In all of the lawsuits described above, except where specifically noted, plaintiffs seek compensatory and in some cases special damages without specifying an amount. As a result, ACE cannot at this time estimate its potential costs related to these legal matters and, accordingly, no liability for compensatory damages has been established in the consolidated financial statements.

 

ACE's ultimate liability for these matters is not likely to have a material adverse effect on ACE's consolidated financial condition, although it is possible that the effect could be material to ACE's consolidated results of operations for an individual reporting period.

 

Shareholders' equity
Shareholders' equity (Note)

8. Shareholders' equity

 

All of ACE's Common Shares are registered common shares under Swiss corporate law. Though the par value of Common Shares is stated in Swiss francs, ACE continues to use U.S. dollars as its reporting currency for preparing the consolidated financial statements. Under Swiss corporate law, dividends, including distributions through a reduction in par value (par value distributions) or from legal reserves, must be declared by ACE in Swiss francs though dividend payments are made by ACE in U.S. dollars. In light of a January 1, 2011 Swiss tax law change, at our May 2011 Annual General Meeting our shareholders approved a dividend for the coming year from our capital contributions reserves (additional paid in capital), a subaccount of legal reserves. Dividends declared in the first quarter of 2011 of CHF 0.30 ($0.33) per Common Share were paid in the form of a par value distribution (under the method approved by our shareholders at our May 2010 Annual General Meeting) and had the effect of reducing par value per Common Share to CHF 30.27. Dividends declared in the second quarter of 2011 of CHF 0.29 ($0.35) per Common Share were funded from capital contributions reserves (additional paid in capital) and paid from free reserves (retained earnings).

 

For the three and six months ended June 30, 2010, dividends declared per Common Share amounted to CHF 0.34 ($0.33), and CHF 0.67 ($0.64), respectively, and were paid by way of a par value distribution.

 

Common Shares in treasury are used principally for issuance upon the exercise of employee stock options. At June 30, 2011, 4,862,746 Common Shares remain in treasury after net shares redeemed under employee share-based compensation plans.

Share-based compensation
Share-based compensation

9. Share-based compensation

 

The ACE Limited 2004 Long-Term Incentive Plan (the 2004 LTIP) provides for grants of both incentive and non-qualified stock options principally at an option price per share equal to the fair value of ACE's Common Shares on the date of grant. Stock options are generally granted with a 3-year vesting period and a 10-year term. The stock options vest in equal annual installments over the respective vesting period, which is also the requisite service period. On February 24, 2011, ACE granted 1,620,954 stock options with a weighted-average grant date fair value of $14.63 each. The fair value of the options issued is estimated on the date of grant using the Black-Scholes option pricing model.

 

The 2004 LTIP also provides for grants of restricted stock and restricted stock units. ACE generally grants restricted stock and restricted stock units with a 4-year vesting period, based on a graded vesting schedule. The restricted stock is granted at market close price on the day of grant. On February 24, 2011, ACE granted 1,667,653 restricted stock awards and 249,660 restricted stock units to employees and officers of ACE and its subsidiaries with a grant date fair value of $62.64 each. Each restricted stock unit represents our obligation to deliver to the holder one Common Share upon vesting. On May 18, 2011, the date of the Company's annual general meeting, 32,660 restricted stock awards were granted to ACE's outside directors with a grant date fair value of $69.35 each. Such awards will vest at the 2012 annual general meeting.

Segment information
Segment information

10. Segment information

 

ACE operates through the following business segments, certain of which represent the aggregation of distinct operating segments: Insurance – North American, Insurance – Overseas General, Global Reinsurance, and Life. These segments distribute their products through various forms of brokers, agencies, and direct marketing programs. All business segments have established relationships with reinsurance intermediaries.

 

For segment reporting purposes, certain items have been presented in a different manner than in the consolidated financial statements. Management uses underwriting income as the main measure of segment performance. ACE calculates underwriting income by subtracting losses and loss expenses, policy benefits, policy acquisition costs, and administrative expenses from net premiums earned. For the Life business, management also includes net investment income as a component of underwriting income. The following tables present the operations by segment:

Statement of Operations by Segment
For the Three Months Ended June 30, 2011
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 1,735$ 1,477$ 282$ 459$ -$ 3,953
Net premiums earned  1,604  1,447  254  452  -  3,757
Losses and loss expenses  1,233  733  112  147  1  2,226
Policy benefits  -  -  -  108  -  108
Policy acquisition costs  143  348  47  66  -  604
Administrative expenses  147  242  14  72  40  515
Underwriting income (loss)  81  124  81  59  (41)  304
Net investment income  300  138  71  59  1  569
Net realized gains (losses) including OTTI  21  (10)  (14)  (68)  (2)  (73)
Interest expense  3  1  1  3  54  62
Other (income) expense  3  (5)  1  8  2  9
Income tax expense (benefit)  95  40  8  14  (35)  122
Net income (loss)$ 301$ 216$ 128$ 25$ (63)$ 607

Statement of Operations by Segment
For the Three Months Ended June 30, 2010
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 1,438$ 1,302$ 289$ 391$ -$ 3,420
Net premiums earned  1,326  1,263  256  388  -  3,233
Losses and loss expenses  924  644  103  129  -  1,800
Policy benefits  -  1  -  86  -  87
Policy acquisition costs  126  296  48  66  -  536
Administrative expenses  147  207  15  54  40  463
Underwriting income (loss)  129  115  90  53  (40)  347
Net investment income  287  115  73  43  -  518
Net realized gains (losses) including OTTI  85  48  28  (155)  3  9
Interest expense  -  -  -  -  52  52
Other (income) expense  4  (3)  (2)  3  1  3
Income tax expense (benefit)   110  59  9  16  (52)  142
Net income (loss)$ 387$ 222$ 184$ (78)$ (38)$ 677

Statement of Operations by Segment
For the Six Months Ended June 30, 2011
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 3,020$ 2,914$ 597$ 868$ -$ 7,399
Net premiums earned  2,950  2,751  514  851  -  7,066
Losses and loss expenses  2,227  1,595  391  275  1  4,489
Policy benefits  -  -  -  199  -  199
Policy acquisition costs  279  660  93  127  -  1,159
Administrative expenses  295  466  26  140  82  1,009
Underwriting income (loss)  149  30  4  110  (83)  210
Net investment income  595  269  143  105  1  1,113
Net realized gains (losses) including OTTI  10  (19)  (27)  (81)  (1)  (118)
Interest expense  7  2  1  6  109  125
Other (income) expense  (13)  (7)  (5)  13  7  (5)
Income tax expense (benefit)  184  59  18  27  (69)  219
Net income (loss)$ 576$ 226$ 106$ 88$ (130)$ 866

Statement of Operations by Segment
For the Six Months Ended June 30, 2010
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 2,833$ 2,722$ 660$ 776$ -$ 6,991
Net premiums earned  2,696  2,514  532  768  -  6,510
Losses and loss expenses  1,862  1,345  254  260  -  3,721
Policy benefits  -  4  -  170  -  174
Policy acquisition costs  282  579  102  127  -  1,090
Administrative expenses  295  409  27  112  80  923
Underwriting income (loss)  257  177  149  99  (80)  602
Net investment income  565  229  142  86  -  1,022
Net realized gains (losses) including OTTI  165  70  59  (112)  (5)  177
Interest expense  -  -  -  -  104  104
Other (income) expense  (1)  (1)  (6)  6  1  (1)
Income tax expense (benefit)  214  73  19  30  (70)  266
Net income (loss)$ 774$ 404$ 337$ 37$ (120)$ 1,432
             

Underwriting assets are reviewed in total by management for purpose of decision-making. Other than goodwill, ACE does not allocate assets to its segments.

The following table presents the net premiums earned for each segment by product:

 Property & All Other Casualty Life, Accident & Health ACE Consolidated
            
 (in millions of U.S. dollars)
For the Three Months Ended June 30, 2011      
Insurance – North American$ 657 $ 865 $ 82 $ 1,604
Insurance – Overseas General  533   348   566   1,447
Global Reinsurance  115   139   -   254
Life  -   -   452   452
 $ 1,305 $ 1,352 $ 1,100 $ 3,757
            
For the Three Months Ended June 30, 2010      
Insurance – North American$ 355 $ 895 $ 76 $ 1,326
Insurance – Overseas General  424   349   490   1,263
Global Reinsurance  120   136   -   256
Life  -   -   388   388
 $ 899 $ 1,380 $ 954 $ 3,233
            
 Property & All Other Casualty Life, Accident & Health ACE Consolidated
            
 (in millions of U.S. dollars)
            
For the Six Months Ended June 30, 2011      
Insurance – North American$ 1,035 $ 1,755 $ 160 $ 2,950
Insurance – Overseas General  964   690   1,097   2,751
Global Reinsurance  227   287   -   514
Life  -   -   851   851
 $ 2,226 $ 2,732 $ 2,108 $ 7,066
            
For the Six Months Ended June 30, 2010      
Insurance – North American$ 713 $ 1,839 $ 144 $ 2,696
Insurance – Overseas General  844   694   976   2,514
Global Reinsurance  258   274   -   532
Life  -   -   768   768
 $ 1,815 $ 2,807 $ 1,888 $ 6,510
Earnings per share
Earnings per share

11. Earnings per share

 

The following table presents the computation of basic and diluted earnings per share:

  Three Months Ended Six Months Ended
  June 30 June 30
  2011 2010 2011 2010
             
  (in millions of U.S. dollars, except share and per share data)
Numerator:           
Net Income$ 607 $ 677 $ 866 $ 1,432
             
Denominator:           
Denominator for basic earnings per share:           
 Weighted-average shares outstanding  338,920,580   339,975,261   338,021,487   339,202,374
Denominator for diluted earnings per share:           
 Share-based compensation plans  2,768,388   1,268,395   2,596,909   1,185,944
 Adjusted weighted-average shares outstanding and assumed conversions  341,688,968   341,243,656   340,618,396   340,388,318
             
            
Basic earnings per share$1.79 $1.99 $2.56 $4.22
             
            
Diluted earnings per share$1.77 $1.98 $2.54 $4.21

Excluded from adjusted weighted-average shares outstanding and assumed conversions is the impact of securities that would have been anti-dilutive during the respective periods. For the three months ended June 30, 2011 and 2010, the potential anti-dilutive share conversions were 1,212 shares and 426,167 shares, respectively. The potential anti-dilutive share conversions for the six months ended June 30, 2011 and 2010, were 81,718 shares and 429,990 shares, respectively.

Information provided in connection with outstanding debt of subsidiaries
Information provided in connection with outstanding debt of subsidiaries

12. Information provided in connection with outstanding debt of subsidiaries

 

The following tables present condensed consolidating financial information at June 30, 2011 and December 31, 2010, and for the three and six months ended June 30, 2011 and 2010, for ACE Limited (the Parent Guarantor) and ACE INA Holdings Inc. (the Subsidiary Issuer). The Subsidiary Issuer is an indirect 100 percent-owned subsidiary of the Parent Guarantor. Investments in subsidiaries are accounted for by the Parent Guarantor under the equity method for purposes of the supplemental consolidating presentation. Earnings of subsidiaries are reflected in the Parent Guarantor's investment accounts and earnings. The Parent Guarantor fully and unconditionally guarantees certain of the debt of the Subsidiary Issuer. Condensed consolidating financial information of the Subsidiary Issuer is presented on a consolidated basis and consists principally of the net assets, results of operations, and cash flows of operating insurance company subsidiaries.

Condensed Consolidating Balance Sheet at
June 30, 2011
(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$ 40 $ 29,095 $ 26,054 $ - $55,189
Cash  (185)   664   354   -   833
Insurance and reinsurance balances receivable  -   4,329   594   -   4,923
Reinsurance recoverable on losses and loss expenses  -   17,722   (4,347)   -   13,375
Reinsurance recoverable on policy benefits  -   941   (691)   -   250
Value of business acquired  -   796   -   -   796
Goodwill and other intangible assets  -   4,301   557   -   4,858
Investments in subsidiaries  23,590   -   -   (23,590)   -
Due from (to) subsidiaries and affiliates, net  853   -   -   (853)   -
Other assets  6   7,471   1,553   -   9,030
Total assets$ 24,304 $ 65,319 $ 24,074 $ (24,443) $ 89,254
               
Liabilities              
Unpaid losses and loss expenses$ - $ 31,820 $ 7,131 $ - $ 38,951
Unearned premiums  -   5,820   1,093   -   6,913
Future policy benefits  -   3,767   617   -   4,384
Due to subsidiaries and affiliates, net  -   907   (907)   -   -
Short-term debt  -   1,000   400   -   1,400
Long-term debt  -   3,360   -   -   3,360
Trust preferred securities  -   309   -   -   309
Other liabilities  191   8,060   1,573   -   9,824
Total liabilities  191   55,043   9,907   -   65,141
               
Total shareholders' equity  24,113   10,276   14,167   (24,443)   24,113
               
Total liabilities and shareholders' equity$ 24,304 $ 65,319 $ 24,074 $ (24,443) $ 89,254
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Balance Sheet at
December 31, 2010
(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$ 47 $ 26,718 $ 24,642 $ - $ 51,407
Cash  308   573   (109)   -   772
Insurance and reinsurance balances receivable  -   3,710   523   -   4,233
Reinsurance recoverable on losses and loss expenses  -   16,877   (4,006)   -   12,871
Reinsurance recoverable on policy benefits  -   959   (678)   -   281
Value of business acquired  -   634   -   -   634
Goodwill and other intangible assets  -   4,113   551   -   4,664
Investments in subsidiaries  22,529   -   -   (22,529)   -
Due from (to) subsidiaries and affiliates, net  564   (555)   555   (564)   -
Other assets  14   7,045   1,434   -   8,493
Total assets$ 23,462 $ 60,074 $ 22,912 $ (23,093) $ 83,355
               
Liabilities              
Unpaid losses and loss expenses$ - $ 30,430 $ 6,961 $ - $ 37,391
Unearned premiums  -   5,379   951   -   6,330
Future policy benefits  -   2,495   611   -   3,106
Short-term debt  300   1,000   -   -   1,300
Long-term debt  -   3,358   -   -   3,358
Trust preferred securities  -   309   -   -   309
Other liabilities  188   7,394   1,005   -   8,587
Total liabilities  488   50,365   9,528   -   60,381
               
Total shareholders' equity  22,974   9,709   13,384   (23,093)   22,974
               
Total liabilities and shareholders' equity$ 23,462 $ 60,074 $ 22,912 $ (23,093) $ 83,355
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Statement of Operations
For the Three Months Ended June 30, 2011
(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
               
Net premiums written$ - $ 2,306 $ 1,647 $ - $ 3,953
Net premiums earned  -   2,225   1,532   -   3,757
Net investment income  -   282   287   -   569
Equity in earnings of subsidiaries  579   -   -   (579)   -
Net realized gains (losses) including OTTI  (1)   17   (89)   -   (73)
Losses and loss expenses  -   1,438   788   -   2,226
Policy benefits  -   59   49   -   108
Policy acquisition costs and administrative expenses  18   609   504   (12)   1,119
Interest expense  (10)   66   (3)   9   62
Other (income) expense  (40)   20   29   -   9
Income tax expense  3   110   9   -   122
Net income$ 607 $ 222 $ 354 $ (576) $ 607

Condensed Consolidating Statement of Operations
For the Three Months Ended June 30, 2010
(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
               
Net premiums written$ - $ 1,993 $ 1,427 $ - $ 3,420
Net premiums earned  -   1,894   1,339   -   3,233
Net investment income  -   253   265   -   518
Equity in earnings of subsidiaries  648   -   -   (648)   -
Net realized gains (losses) including OTTI  12   63   (66)   -   9
Losses and loss expenses  -   1,147   653   -   1,800
Policy benefits  -   33   54   -   87
Policy acquisition costs and administrative expenses  16   583   410   (10)   999
Interest expense  (10)   61   (9)   10   52
Other (income) expense  (26)   19   10   -   3
Income tax expense  3   107   32   -   142
Net income$ 677 $ 260 $ 388 $ (648) $ 677
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Statement of Operations
For the Six Months Ended June 30, 2011
(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
               
Net premiums written$ - $ 4,329 $ 3,070 $ - $ 7,399
Net premiums earned  -   4,163   2,903   -   7,066
Net investment income  1   544   568   -   1,113
Equity in earnings of subsidiaries  827   -   -   (827)   -
Net realized gains (losses) including OTTI  (2)   4   (120)   -   (118)
Losses and loss expenses  -   2,739   1,750   -   4,489
Policy benefits  -   99   100   -   199
Policy acquisition costs and administrative expenses  36   1,188   965   (21)   2,168
Interest expense  (18)   133   (8)   18   125
Other (income) expense  (62)   32   25   -   (5)
Income tax expense  4   179   36   -   219
Net income$ 866 $ 341 $ 483 $ (824) $ 866
               

Condensed Consolidating Statement of Operations
For the Six Months Ended June 30, 2010
(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
               
Net premiums written$ - $ 4,220 $ 2,771 $ - $ 6,991
Net premiums earned  -   3,850   2,660   -   6,510
Net investment income  -   507   515   -   1,022
Equity in earnings of subsidiaries  1,383   -   -   (1,383)   -
Net realized gains (losses) including OTTI  11   73   93   -   177
Losses and loss expenses  -   2,463   1,258   -   3,721
Policy benefits  -   66   108   -   174
Policy acquisition costs and administrative expenses  32   1,144   854   (17)   2,013
Interest expense  (19)   121   (17)   19   104
Other (income) expense  (54)   38   15   -   (1)
Income tax expense (benefit)  3   203   60   -   266
Net income$ 1,432 $ 395 $ 990 $ (1,385) $ 1,432
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Statement of Cash Flows
For the Six Months Ended June 30, 2011
(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
                
Net cash flows from operating activities$ 117 $ 677 $ 1,949 $ (680) $ 2,063
                
Cash flows from (used for) investing activities              
 Purchases of fixed maturities available for sale  -   (6,330)   (7,353)   -   (13,683)
 Purchases of fixed maturities held to maturity  -   (233)   (1)   -   (234)
 Purchases of equity securities  -   (138)   (32)   -   (170)
 Sales of fixed maturities available for sale  8   5,022   4,955   -   9,985
 Sales of equity securities  -   332   15   -   347
 Maturities and redemptions of fixed maturities available for sale  -   847   911   -   1,758
 Maturities and redemptions of fixed maturities held to maturity  -   475   181   -   656
 Net derivative instruments settlements  (1)   (7)   (38)   -   (46)
 Capital contribution to subsidiary  (385)   -   -   385   -
 Advances (to) from affiliates  283   -   (283)   -   -
 Acquisition of subsidiaries (net of cash acquired of $95)  -   (343)   (37)   -   (380)
 Other   -   (449)   317   -   (132)
 Net cash flows from (used for) investing activities  (95)   (824)   (1,365)   385   (1,899)
                
Cash flows from (used for) financing activities              
 Dividends paid on Common Shares  (223)   -   -   -   (223)
 Common Shares repurchased  (68)   -   -   -   (68)
 Net proceeds from issuance (repayment) of short-term debt  (300)   -   400   -   100
 Proceeds from share based compensation plans  76   -   -   -   76
 Advances (to) from affiliates  -   226   (226)   -   -
 Dividends to parent company  -   -   (680)   680   -
 Capital contribution from parent  -   -   385   (385)   -
 Net cash flows from (used for) financing activities  (515)   226   (121)   295   (115)
                
Effect of foreign currency rate changes on cash and cash equivalents  -   12   -   -   12
                
 Net increase (decrease) in cash  (493)   91   463   -   61
 Cash - beginning of period  308   573   (109)   -   772
 Cash - end of period$ (185) $ 664 $ 354 $ - $ 833
                
(1)Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2)Includes elimination of dividends paid from subsidiaries to ACE Limited and capital contribution to subsidiaries by ACE Limited.

Condensed Consolidating Statement of Cash Flows
For the Six Months Ended June 30, 2010
(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 ACE Limited Consolidated
                
Net cash flows from operating activities$ 25 $ 677 $ 989 $ - $ 1,691
                
Cash flows from (used for) investing activities              
 Purchases of fixed maturities available for sale  -   (8,133)   (9,210)   -   (17,343)
 Purchases of fixed maturities held to maturity  -   (323)   (1)   -   (324)
 Purchases of equity securities  -   (28)   (10)   -   (38)
 Sales of fixed maturities available for sale  2   6,491   7,057   -   13,550
 Sales of equity securities  -   2   309   -   311
 Maturities and redemptions of fixed maturities available for sale  -   926   850   -   1,776
 Maturities and redemptions of fixed maturities held to maturity  -   461   109   -   570
 Net derivative instruments settlements  (1)   (3)   135   -   131
 Advances (to) from affiliates  196   -   (196)   -   -
 Other   -   (80)   (20)   -   (100)
 Net cash flows from (used for) investing activities  197   (687)   (977)   -   (1,467)
                
Cash flows from (used for) financing activities              
 Dividends paid on Common Shares  (210)   -   -   -   (210)
 Proceeds from share based compensation plans  19   -   -   -   19
 Advances (to) from affiliates  -   3   (3)   -   -
 Net cash flows from (used for) financing activities  (191)   3   (3)   -   (191)
                
Effect of foreign currency rate changes on cash and cash equivalents  -   (15)   (19)   -   (34)
                
 Net increase (decrease) in cash  31   (22)   (10)   -   (1)
 Cash - beginning of period  (1)   400   270   -   669
 Cash - end of period$ 30 $ 378 $ 260 $ - $ 668
                
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
Investments (Tables)
  June 30, 2011
  Amortized Cost Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value OTTI Recognized in AOCI
                
  (in millions of U.S. dollars)
Available for sale              
U.S. Treasury and agency$ 2,423 $ 80 $ (8) $ 2,495 $ -
Foreign  12,341   389   (51)   12,679   (12)
Corporate securities  13,853   723   (63)   14,513   (14)
Mortgage-backed securities  9,932   259   (180)   10,011   (191)
States, municipalities, and political   1,313   36   (9)   1,340   -
 subdivisions         
  $ 39,862 $ 1,487 $ (311) $ 41,038 $ (217)
Held to maturity              
U.S. Treasury and agency$ 1,067 $ 30 $ (5) $ 1,092 $ -
Foreign  1,051   1   (24)   1,028   -
Corporate securities  2,311   15   (34)   2,292   -
Mortgage-backed securities  3,414   69   (11)   3,472   -
States, municipalities, and political   1,190   10   (6)   1,194   -
 subdivisions         
  $ 9,033 $ 125 $ (80) $ 9,078 $ -

  December 31, 2010
  Amortized Cost Gross Unrealized Appreciation Gross Unrealized Depreciation Fair Value OTTI Recognized in AOCI
                
  (in millions of U.S. dollars)
Available for sale              
U.S. Treasury and agency$ 2,904 $ 74 $ (15) $ 2,963 $ -
Foreign  10,926   340   (80)   11,186   (28)
Corporate securities  12,902   754   (69)   13,587   (29)
Mortgage-backed securities  8,508   213   (205)   8,516   (228)
States, municipalities, and political   1,302   15   (30)   1,287   -
 subdivisions         
  $ 36,542 $ 1,396 $ (399) $ 37,539 $ (285)
Held to maturity              
U.S. Treasury and agency$ 1,105 $ 32 $ (10) $ 1,127 $ -
Foreign  1,049   1   (37)   1,013   -
Corporate securities  2,361   12   (60)   2,313   -
Mortgage-backed securities  3,811   62   (27)   3,846   -
States, municipalities, and political   1,175   5   (18)   1,162   -
 subdivisions         
  $ 9,501 $ 112 $ (152) $ 9,461 $ -
 June 30 December 31
 2011 2010
 Amortized Cost Fair Value Amortized Cost Fair Value
            
 (in millions of U.S. dollars)
Available for sale; maturity period           
Due in 1 year or less$ 2,046 $ 2,074 $ 1,846 $ 1,985
Due after 1 year through 5 years  12,962   13,446   13,094   13,444
Due after 5 years through 10 years  11,468   11,972   10,276   10,782
Due after 10 years  3,454   3,535   2,818   2,812
   29,930   31,027   28,034   29,023
Mortgage-backed securities  9,932   10,011   8,508   8,516
 $ 39,862 $ 41,038 $ 36,542 $ 37,539
            
Held to maturity; maturity period           
Due in 1 year or less$ 310 $ 312 $ 400 $ 404
Due after 1 year through 5 years  2,127   2,163   1,983   2,010
Due after 5 years through 10 years  2,512   2,468   2,613   2,524
Due after 10 years  670   663   694   677
   5,619   5,606   5,690   5,615
Mortgage-backed securities  3,414   3,472   3,811   3,846
 $ 9,033 $ 9,078 $ 9,501 $ 9,461
  June 30  December 31
  2011  2010
      
 (in millions of U.S. dollars)
Cost$ 549 $ 666
Gross unrealized appreciation  37   28
Gross unrealized depreciation  (4)   (2)
Fair value$ 582 $ 692
 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
 (in millions of U.S. dollars)
Fixed maturities:           
OTTI on fixed maturities, gross$ (6) $ (18) $ (11) $ (68)
OTTI on fixed maturities recognized in OCI (pre-tax)  1   13   2   45
OTTI on fixed maturities, net  (5)   (5)   (9)   (23)
Gross realized gains excluding OTTI  108   128   217   296
Gross realized losses excluding OTTI  (29)   (46)   (85)   (115)
Total fixed maturities  74   77   123   158
            
Equity securities:           
Gross realized gains excluding OTTI  4   32   12   77
Gross realized losses excluding OTTI  -   -   (1)   -
Total equity securities  4   32   11   77
            
OTTI on other investments  (3)   (13)   (3)   (13)
Foreign exchange gains (losses)  (30)   61   (109)   52
Investment and embedded derivative instruments  (48)   5   (68)   24
Fair value adjustments on insurance derivative  (70)   (301)   1   (205)
S&P put options and futures  3   143   (68)   84
Other derivative instruments  (2)   4   (3)   (5)
Other  (1)   1   (2)   5
Net realized gains (losses) $ (73) $ 9 $ (118) $ 177
 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
  (in millions of U.S. dollars)
Balance of credit losses related to securities still held- beginning of period$ 96 $ 163 $ 137 $ 174
Additions where no OTTI was previously recorded  2   5   2   22
Additions where an OTTI was previously recorded  -   -   1   1
Reductions for securities sold during the period  (4)   (31)   (46)   (60)
Balance of credit losses related to securities still held- end of period$ 94 $ 137 $ 94 $ 137
 0 – 12 Months Over 12 Months Total
 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss
                  
June 30, 2011(in millions of U.S. dollars)
U.S. Treasury and agency$ 551 $ (13.3) $ - $ - $ 551 $ (13.3)
Foreign  3,136   (60.7)   264   (14.1)   3,400   (74.8)
Corporate securities  3,709   (73.2)   152   (23.9)   3,861   (97.1)
Mortgage-backed securities  2,638   (35.1)   825   (155.4)   3,463   (190.5)
States, municipalities, and political subdivisions  663   (10.8)   62   (4.6)   725   (15.4)
Total fixed maturities  10,697   (193.1)   1,303   (198.0)   12,000   (391.1)
Equity securities  44   (3.3)   1   (0.4)   45   (3.7)
Other investments  19   (1.0)   -   -   19   (1.0)
Total $ 10,760 $ (197.4) $ 1,304 $ (198.4) $ 12,064 $ (395.8)

 0 – 12 Months Over 12 Months Total
 Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss Fair Value Gross Unrealized Loss
                  
December 31, 2010(in millions of U.S. dollars)
U.S. Treasury and agency$ 864 $(24.6) $ - $ - $ 864 $(24.6)
Foreign  4,409  (79.0)   312   (37.6)   4,721  (116.6)
Corporate securities  3,553  (85.1)   273   (43.9)   3,826  (129.0)
Mortgage-backed securities  3,904  (67.3)   1,031   (165.1)   4,935  (232.4)
States, municipalities, and political subdivisions  1,115  (36.2)   79   (11.9)   1,194  (48.1)
Total fixed maturities  13,845  (292.2)   1,695   (258.5)   15,540  (550.7)
Equity securities  45  (1.9)   1   (0.3)   46  (2.2)
Other investments  66  (8.7)   -   -   66  (8.7)
Total $ 13,956 $(302.8) $ 1,696 $ (258.8) $ 15,652 $(561.6)
     June 30  December 31
     2011  2010
    (in millions of U.S. dollars)
Trust funds   $ 9,143 $ 8,200
Deposits with U.S. regulatory authorities     1,254   1,384
Deposits with non-U.S. regulatory authorities     2,264   2,289
Other pledged assets     273   190
    $ 12,934 $ 12,063
Fair value measurements (Tables)
 Level 1 Level 2 Level 3 Total
            
 (in millions of U.S. dollars)
June 30, 2011           
Assets:           
Fixed maturities available for sale           
U.S. Treasury and agency$ 1,245 $ 1,250 $ - $ 2,495
Foreign  207   12,445   27   12,679
Corporate securities  43   14,328   142   14,513
Mortgage-backed securities  -   9,977   34   10,011
States, municipalities, and political subdivisions  -   1,339   1   1,340
   1,495   39,339   204   41,038
            
Equity securities  567   5   10   582
Short-term investments  1,266   1,114   -   2,380
Other investments  239   237   1,680   2,156
Securities lending collateral  -   1,593   -   1,593
Investment derivative instruments  3   -   -   3
Other derivative instruments  (37)   41   4   8
Total assets measured at fair value$ 3,533 $ 42,329 $ 1,898 $ 47,760
            
Liabilities:           
GLB(1)$ - $ - $ 524 $ 524
            
(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 6 for additional information.

 Level 1 Level 2 Level 3 Total
            
 (in millions of U.S. dollars)
December 31, 2010           
Assets:           
Fixed maturities available for sale           
U.S. Treasury and agency$ 1,564 $ 1,399 $ - $ 2,963
Foreign  187   10,973   26   11,186
Corporate securities  31   13,441   115   13,587
Mortgage-backed securities  -   8,477   39   8,516
States, municipalities, and political subdivisions  -   1,285   2   1,287
   1,782   35,575   182   37,539
            
Equity securities  676   3   13   692
Short-term investments  903   1,080   -   1,983
Other investments  39   221   1,432   1,692
Securities lending collateral  -   1,495   -   1,495
Investment derivative instruments  11   -   -   11
Other derivative instruments  (25)   46   4   25
Total assets measured at fair value$ 3,386 $ 38,420 $ 1,631 $ 43,437
            
Liabilities:           
GLB(1)$ - $ - $ 507 $ 507
            
(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 6 for additional information.
    June 30, 2011 December 31, 2010
  Expected Liquidation Period Fair Value Maximum Future Funding Commitments Fair Value Maximum Future Funding Commitments
        
               
    (in millions of U.S. dollars)
               
Financial 5 to 9 Years $ 207 $ 163 $ 192 $ 151
Real estate 3 to 9 Years   261   89   168   92
Distressed 6 to 9 Years   221   219   243   43
Mezzanine 6 to 9 Years   126   299   135   173
Traditional  3 to 8 Years   457   410   376   291
Vintage 1 to 3 Years   27   6   27   3
Investment funds Not Applicable   338   -   329   -
    $ 1,637 $ 1,186 $ 1,470 $ 753
               
  Three Months Ended June 30, 2011
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance- Beginning of Period$ 26$ 113$ 81$ 1$ 10$ 1,564$ 4 $ 449
Transfers into Level 3  5  29  3  -  -  -  -   -
Transfers out of Level 3  (6)  -  (35)  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  -  -  -  -  -  9  -   -
Net Realized Gains/Losses   1  (1)  -  -  2  (3)  -   75
Purchases  5  3  -  -  2  243  -   -
Issuances  -  -  -  -  -  -  -   -
Sales  (2)  (1)  (12)  -  (4)  (55)  -   -
Settlements  (2)  (1)  (3)  -  -  (78)  -   -
Balance-End of Period$ 27$ 142$ 34$ 1$ 10$ 1,680$ 4 $ 524
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (3)$ - $ 75
(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 6 for additional information.
                  
  Three Months Ended June 30, 2010
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance-Beginning of Period$ 21$ 133$ 12$ 2$ 13$ 1,236$ 14 $ 347
Transfers into (Out of) Level 3  6  -  -  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  1  3  -  -  (1)  14  -   -
Net Realized Gains/Losses   -  (1)  -  -  1  (14)  12   301
Purchases, Sales, Issuances, and Settlements, Net  -  (14)  -  1  3  (9)  (12)   
Balance- End of Period$ 28$ 121$ 12$ 3$ 16$ 1,227$ 14 $ 648
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (14)$ 12 $ 301
(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 $776 million at June 30, 2010, and $469 million at March 31, 2010, which includes a fair value derivative adjustment of $648 million and $347 million, respectively.

  Six Months Ended June 30, 2011
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance-Beginning of Period$ 26$ 115$ 39$ 2$ 13$ 1,432$ 4   507
Transfers into Level 3  9  34  4  -  -  -  -   -
Transfers out of Level 3  (7)  (4)  (35)  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  (1)  1  -  -  (1)  51  -   -
Net Realized Gains/Losses   1  (2)  -  -  4  (3)  1   17
Purchases  5  22  46  -  2  333  -   -
Sales  (3)  (20)  (15)  -  (8)  (55)  -   -
Settlements  (3)  (4)  (5)  (1)  -  (78)  (1)   -
Balance-End of Period$ 27$ 142$ 34$ 1$ 10$ 1,680$ 4 $ 524
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (3)$ 1 $ 17
(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 6 for additional information.
                  
  Six Months Ended June 30, 2010
 Assets Liabilities
  Available-for-Sale Debt Securities     
  Foreign Corporate securities Mortgage-backed securities States, municipalities, and political subdivisions Equity securities Other investments Other derivative instruments  GLB(1)
  (in millions of U.S. dollars)
Balance- Beginning of Period$ 59$ 168$ 21$ 3$ 12$ 1,149$ 14 $ 443
Transfers into (Out of) Level 3  (31)  (35)  -  -  -  -  -   -
Change in Net Unrealized Gains (Losses) included in OCI  1  6  -  -  -  33  -   -
Net Realized Gains/Losses   (1)  (1)  -  -  1  (13)  12   205
Purchases, Sales, Issuances, and Settlements, Net  -  (17)  (9)  -  3  58  (12)   
Balance- End of Period$ 28$ 121$ 12$ 3$ 16$ 1,227$ 14 $ 648
                  
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date$ -$ -$ -$ -$ -$ (13)$ 12 $ 205
(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. The liability for GLB reinsurance was $776 million at June 30, 2010, and $559 million at December 31, 2009, which includes a fair value derivative adjustment of $648 million and $443 million, respectively.
   June 30, 2011 December 31, 2010
   Carrying Value Fair Value Carrying Value Fair Value
   (in millions of U.S. dollars)
Assets:        
Fixed maturities held to maturity        
U.S. Treasury and agency$ 1,067$ 1,092$ 1,105$ 1,127
Foreign  1,051  1,028  1,049  1,013
Corporate securities  2,311  2,292  2,361  2,313
Mortgage-backed securities  3,414  3,472  3,811  3,846
States, municipalities, and political subdivisions  1,190  1,194  1,175  1,162
 Total assets  9,033  9,078  9,501  9,461
Liabilities:        
Short-term debt  1,400  1,400  1,300  1,300
Long-term debt  3,360  3,719  3,358  3,846
Trust preferred securities  309  385  309  376
 Total liabilities$ 5,069$ 5,504$ 4,967$ 5,522
Assumed life reinsurance programs involving minimum benefits guarantees under annuity contracts (Tables)
Income and expenses relating to GMDB and GLB reinsurance
 Three Months Ended Six Months Ended
 June 30 June 30
 2011 2010 2011 2010
            
 (in millions of U.S. dollars)
GMDB           
Net premiums earned$ 25 $ 27 $ 51 $ 56
Policy benefits and other reserve adjustments$ 21 $ 22 $ 43 $ 46
GLB           
Net premiums earned$ 41 $ 40 $ 82 $ 81
Policy benefits and other reserve adjustments  6   6   12   13
Net realized gains (losses)  (75)   (301)   (17)   (205)
Gain (loss) recognized in income$ (40) $ (267) $ 53 $ (137)
            
Net cash received$ 40 $ 40 $ 81 $ 80
Net increase in liability$ (80) $ (307) $ (28) $ (217)
Commitments, contingencies, and guarantees (Tables)
  June 30, 2011 December 31, 2010
 Consolidated Balance Sheet Location Fair Value Notional Value/ Payment Provision  Fair Value Notional Value/ Payment Provision
           
  (in millions of U.S. dollars)
Investment and embedded derivative instruments          
Foreign currency forward contractsAP$ 1$ 753 $ 3$ 729
Futures contracts on money market instrumentsAP  2  10,098   3  4,297
Futures contracts on notes and bondsAP  -  1,158   5  676
Options on money market instrumentsAP  -  528   -  1
Convertible bondsFM AFS  398  367   416  382
TBAsFM AFS  123  117   101  98
  $ 524$ 13,021 $ 528$ 6,183
Other derivative instruments          
Futures contracts on equitiesAP$ (37)$ 1,110 $ (25)$ 1,069
Options on equity market indicesAP  41  250   46  250
Credit default swapsAP  4  350   4  350
OtherAP  -  6   -  17
  $ 8$ 1,716 $ 25$ 1,686
           
GLB(1)AP/FPB$ (676)$ 789 $ (648)$ 719

(1) Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 6 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 Six Months Ended
    June 30 June 30
    2011 2010 2011 2010
               
    (in millions of U.S. dollars)
Investment and embedded derivative instruments            
Foreign currency forward contracts   $ (3) $ 23 $ (18) $ 36
All other futures contracts and options     (24)   2   (27)   10
Convertible bonds     (21)   (20)   (22)   (22)
TBAs     -   -   (1)   -
    $ (48) $ 5 $ (68) $ 24
GLB and other derivative instruments            
GLB   $ (75) $ (301) $ (17) $ (205)
Futures contracts on equities     -   117   (63)   66
Options on equity market indices     3   26   (5)   18
Interest rate swaps     -   (8)   -   (17)
Credit default swaps     (2)   11   (3)   11
Other     -   1   -   1
    $ (74) $ (154) $ (88) $ (126)
    $ (122) $ (149) $ (156) $ (102)
Segment information (Tables)
Statement of Operations by Segment
For the Three Months Ended June 30, 2011
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 1,735$ 1,477$ 282$ 459$ -$ 3,953
Net premiums earned  1,604  1,447  254  452  -  3,757
Losses and loss expenses  1,233  733  112  147  1  2,226
Policy benefits  -  -  -  108  -  108
Policy acquisition costs  143  348  47  66  -  604
Administrative expenses  147  242  14  72  40  515
Underwriting income (loss)  81  124  81  59  (41)  304
Net investment income  300  138  71  59  1  569
Net realized gains (losses) including OTTI  21  (10)  (14)  (68)  (2)  (73)
Interest expense  3  1  1  3  54  62
Other (income) expense  3  (5)  1  8  2  9
Income tax expense (benefit)  95  40  8  14  (35)  122
Net income (loss)$ 301$ 216$ 128$ 25$ (63)$ 607

Statement of Operations by Segment
For the Three Months Ended June 30, 2010
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 1,438$ 1,302$ 289$ 391$ -$ 3,420
Net premiums earned  1,326  1,263  256  388  -  3,233
Losses and loss expenses  924  644  103  129  -  1,800
Policy benefits  -  1  -  86  -  87
Policy acquisition costs  126  296  48  66  -  536
Administrative expenses  147  207  15  54  40  463
Underwriting income (loss)  129  115  90  53  (40)  347
Net investment income  287  115  73  43  -  518
Net realized gains (losses) including OTTI  85  48  28  (155)  3  9
Interest expense  -  -  -  -  52  52
Other (income) expense  4  (3)  (2)  3  1  3
Income tax expense (benefit)   110  59  9  16  (52)  142
Net income (loss)$ 387$ 222$ 184$ (78)$ (38)$ 677

Statement of Operations by Segment
For the Six Months Ended June 30, 2011
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 3,020$ 2,914$ 597$ 868$ -$ 7,399
Net premiums earned  2,950  2,751  514  851  -  7,066
Losses and loss expenses  2,227  1,595  391  275  1  4,489
Policy benefits  -  -  -  199  -  199
Policy acquisition costs  279  660  93  127  -  1,159
Administrative expenses  295  466  26  140  82  1,009
Underwriting income (loss)  149  30  4  110  (83)  210
Net investment income  595  269  143  105  1  1,113
Net realized gains (losses) including OTTI  10  (19)  (27)  (81)  (1)  (118)
Interest expense  7  2  1  6  109  125
Other (income) expense  (13)  (7)  (5)  13  7  (5)
Income tax expense (benefit)  184  59  18  27  (69)  219
Net income (loss)$ 576$ 226$ 106$ 88$ (130)$ 866

Statement of Operations by Segment
For the Six Months Ended June 30, 2010
(in millions of U.S. dollars)
             
 Insurance – North AmericanInsurance – Overseas GeneralGlobal ReinsuranceLifeCorporate and OtherACE Consolidated
Net premiums written $ 2,833$ 2,722$ 660$ 776$ -$ 6,991
Net premiums earned  2,696  2,514  532  768  -  6,510
Losses and loss expenses  1,862  1,345  254  260  -  3,721
Policy benefits  -  4  -  170  -  174
Policy acquisition costs  282  579  102  127  -  1,090
Administrative expenses  295  409  27  112  80  923
Underwriting income (loss)  257  177  149  99  (80)  602
Net investment income  565  229  142  86  -  1,022
Net realized gains (losses) including OTTI  165  70  59  (112)  (5)  177
Interest expense  -  -  -  -  104  104
Other (income) expense  (1)  (1)  (6)  6  1  (1)
Income tax expense (benefit)  214  73  19  30  (70)  266
Net income (loss)$ 774$ 404$ 337$ 37$ (120)$ 1,432
             
 Property & All Other Casualty Life, Accident & Health ACE Consolidated
            
 (in millions of U.S. dollars)
For the Three Months Ended June 30, 2011      
Insurance – North American$ 657 $ 865 $ 82 $ 1,604
Insurance – Overseas General  533   348   566   1,447
Global Reinsurance  115   139   -   254
Life  -   -   452   452
 $ 1,305 $ 1,352 $ 1,100 $ 3,757
            
For the Three Months Ended June 30, 2010      
Insurance – North American$ 355 $ 895 $ 76 $ 1,326
Insurance – Overseas General  424   349   490   1,263
Global Reinsurance  120   136   -   256
Life  -   -   388   388
 $ 899 $ 1,380 $ 954 $ 3,233
            
 Property & All Other Casualty Life, Accident & Health ACE Consolidated
            
 (in millions of U.S. dollars)
            
For the Six Months Ended June 30, 2011      
Insurance – North American$ 1,035 $ 1,755 $ 160 $ 2,950
Insurance – Overseas General  964   690   1,097   2,751
Global Reinsurance  227   287   -   514
Life  -   -   851   851
 $ 2,226 $ 2,732 $ 2,108 $ 7,066
            
For the Six Months Ended June 30, 2010      
Insurance – North American$ 713 $ 1,839 $ 144 $ 2,696
Insurance – Overseas General  844   694   976   2,514
Global Reinsurance  258   274   -   532
Life  -   -   768   768
 $ 1,815 $ 2,807 $ 1,888 $ 6,510
Earnings per share (Tables)
Schedule showing the computation of basic and diluted earnings per share.
  Three Months Ended Six Months Ended
  June 30 June 30
  2011 2010 2011 2010
             
  (in millions of U.S. dollars, except share and per share data)
Numerator:           
Net Income$ 607 $ 677 $ 866 $ 1,432
             
Denominator:           
Denominator for basic earnings per share:           
 Weighted-average shares outstanding  338,920,580   339,975,261   338,021,487   339,202,374
Denominator for diluted earnings per share:           
 Share-based compensation plans  2,768,388   1,268,395   2,596,909   1,185,944
 Adjusted weighted-average shares outstanding and assumed conversions  341,688,968   341,243,656   340,618,396   340,388,318
             
            
Basic earnings per share$1.79 $1.99 $2.56 $4.22
             
            
Diluted earnings per share$1.77 $1.98 $2.54 $4.21
Information provided in connection with outstanding debt of subsidiaries (Tables)
Condensed Consolidating Balance Sheet at
June 30, 2011
(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$ 40 $ 29,095 $ 26,054 $ - $55,189
Cash  (185)   664   354   -   833
Insurance and reinsurance balances receivable  -   4,329   594   -   4,923
Reinsurance recoverable on losses and loss expenses  -   17,722   (4,347)   -   13,375
Reinsurance recoverable on policy benefits  -   941   (691)   -   250
Value of business acquired  -   796   -   -   796
Goodwill and other intangible assets  -   4,301   557   -   4,858
Investments in subsidiaries  23,590   -   -   (23,590)   -
Due from (to) subsidiaries and affiliates, net  853   -   -   (853)   -
Other assets  6   7,471   1,553   -   9,030
Total assets$ 24,304 $ 65,319 $ 24,074 $ (24,443) $ 89,254
               
Liabilities              
Unpaid losses and loss expenses$ - $ 31,820 $ 7,131 $ - $ 38,951
Unearned premiums  -   5,820   1,093   -   6,913
Future policy benefits  -   3,767   617   -   4,384
Due to subsidiaries and affiliates, net  -   907   (907)   -   -
Short-term debt  -   1,000   400   -   1,400
Long-term debt  -   3,360   -   -   3,360
Trust preferred securities  -   309   -   -   309
Other liabilities  191   8,060   1,573   -   9,824
Total liabilities  191   55,043   9,907   -   65,141
               
Total shareholders' equity  24,113   10,276   14,167   (24,443)   24,113
               
Total liabilities and shareholders' equity$ 24,304 $ 65,319 $ 24,074 $ (24,443) $ 89,254
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Balance Sheet at
December 31, 2010
(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$ 47 $ 26,718 $ 24,642 $ - $ 51,407
Cash  308   573   (109)   -   772
Insurance and reinsurance balances receivable  -   3,710   523   -   4,233
Reinsurance recoverable on losses and loss expenses  -   16,877   (4,006)   -   12,871
Reinsurance recoverable on policy benefits  -   959   (678)   -   281
Value of business acquired  -   634   -   -   634
Goodwill and other intangible assets  -   4,113   551   -   4,664
Investments in subsidiaries  22,529   -   -   (22,529)   -
Due from (to) subsidiaries and affiliates, net  564   (555)   555   (564)   -
Other assets  14   7,045   1,434   -   8,493
Total assets$ 23,462 $ 60,074 $ 22,912 $ (23,093) $ 83,355
               
Liabilities              
Unpaid losses and loss expenses$ - $ 30,430 $ 6,961 $ - $ 37,391
Unearned premiums  -   5,379   951   -   6,330
Future policy benefits  -   2,495   611   -   3,106
Short-term debt  300   1,000   -   -   1,300
Long-term debt  -   3,358   -   -   3,358
Trust preferred securities  -   309   -   -   309
Other liabilities  188   7,394   1,005   -   8,587
Total liabilities  488   50,365   9,528   -   60,381
               
Total shareholders' equity  22,974   9,709   13,384   (23,093)   22,974
               
Total liabilities and shareholders' equity$ 23,462 $ 60,074 $ 22,912 $ (23,093) $ 83,355
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.
Condensed Consolidating Statement of Operations
For the Three Months Ended June 30, 2011
(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
               
Net premiums written$ - $ 2,306 $ 1,647 $ - $ 3,953
Net premiums earned  -   2,225   1,532   -   3,757
Net investment income  -   282   287   -   569
Equity in earnings of subsidiaries  579   -   -   (579)   -
Net realized gains (losses) including OTTI  (1)   17   (89)   -   (73)
Losses and loss expenses  -   1,438   788   -   2,226
Policy benefits  -   59   49   -   108
Policy acquisition costs and administrative expenses  18   609   504   (12)   1,119
Interest expense  (10)   66   (3)   9   62
Other (income) expense  (40)   20   29   -   9
Income tax expense  3   110   9   -   122
Net income$ 607 $ 222 $ 354 $ (576) $ 607

Condensed Consolidating Statement of Operations
For the Three Months Ended June 30, 2010
(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
               
Net premiums written$ - $ 1,993 $ 1,427 $ - $ 3,420
Net premiums earned  -   1,894   1,339   -   3,233
Net investment income  -   253   265   -   518
Equity in earnings of subsidiaries  648   -   -   (648)   -
Net realized gains (losses) including OTTI  12   63   (66)   -   9
Losses and loss expenses  -   1,147   653   -   1,800
Policy benefits  -   33   54   -   87
Policy acquisition costs and administrative expenses  16   583   410   (10)   999
Interest expense  (10)   61   (9)   10   52
Other (income) expense  (26)   19   10   -   3
Income tax expense  3   107   32   -   142
Net income$ 677 $ 260 $ 388 $ (648) $ 677
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.

Condensed Consolidating Statement of Operations
For the Six Months Ended June 30, 2011
(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
               
Net premiums written$ - $ 4,329 $ 3,070 $ - $ 7,399
Net premiums earned  -   4,163   2,903   -   7,066
Net investment income  1   544   568   -   1,113
Equity in earnings of subsidiaries  827   -   -   (827)   -
Net realized gains (losses) including OTTI  (2)   4   (120)   -   (118)
Losses and loss expenses  -   2,739   1,750   -   4,489
Policy benefits  -   99   100   -   199
Policy acquisition costs and administrative expenses  36   1,188   965   (21)   2,168
Interest expense  (18)   133   (8)   18   125
Other (income) expense  (62)   32   25   -   (5)
Income tax expense  4   179   36   -   219
Net income$ 866 $ 341 $ 483 $ (824) $ 866
               

Condensed Consolidating Statement of Operations
For the Six Months Ended June 30, 2010
(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
               
Net premiums written$ - $ 4,220 $ 2,771 $ - $ 6,991
Net premiums earned  -   3,850   2,660   -   6,510
Net investment income  -   507   515   -   1,022
Equity in earnings of subsidiaries  1,383   -   -   (1,383)   -
Net realized gains (losses) including OTTI  11   73   93   -   177
Losses and loss expenses  -   2,463   1,258   -   3,721
Policy benefits  -   66   108   -   174
Policy acquisition costs and administrative expenses  32   1,144   854   (17)   2,013
Interest expense  (19)   121   (17)   19   104
Other (income) expense  (54)   38   15   -   (1)
Income tax expense (benefit)  3   203   60   -   266
Net income$ 1,432 $ 395 $ 990 $ (1,385) $ 1,432
               
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2) Includes ACE Limited parent company eliminations.
Condensed Consolidating Statement of Cash Flows
For the Six Months Ended June 30, 2011
(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
                
Net cash flows from operating activities$ 117 $ 677 $ 1,949 $ (680) $ 2,063
                
Cash flows from (used for) investing activities              
 Purchases of fixed maturities available for sale  -   (6,330)   (7,353)   -   (13,683)
 Purchases of fixed maturities held to maturity  -   (233)   (1)   -   (234)
 Purchases of equity securities  -   (138)   (32)   -   (170)
 Sales of fixed maturities available for sale  8   5,022   4,955   -   9,985
 Sales of equity securities  -   332   15   -   347
 Maturities and redemptions of fixed maturities available for sale  -   847   911   -   1,758
 Maturities and redemptions of fixed maturities held to maturity  -   475   181   -   656
 Net derivative instruments settlements  (1)   (7)   (38)   -   (46)
 Capital contribution to subsidiary  (385)   -   -   385   -
 Advances (to) from affiliates  283   -   (283)   -   -
 Acquisition of subsidiaries (net of cash acquired of $95)  -   (343)   (37)   -   (380)
 Other   -   (449)   317   -   (132)
 Net cash flows from (used for) investing activities  (95)   (824)   (1,365)   385   (1,899)
                
Cash flows from (used for) financing activities              
 Dividends paid on Common Shares  (223)   -   -   -   (223)
 Common Shares repurchased  (68)   -   -   -   (68)
 Net proceeds from issuance (repayment) of short-term debt  (300)   -   400   -   100
 Proceeds from share based compensation plans  76   -   -   -   76
 Advances (to) from affiliates  -   226   (226)   -   -
 Dividends to parent company  -   -   (680)   680   -
 Capital contribution from parent  -   -   385   (385)   -
 Net cash flows from (used for) financing activities  (515)   226   (121)   295   (115)
                
Effect of foreign currency rate changes on cash and cash equivalents  -   12   -   -   12
                
 Net increase (decrease) in cash  (493)   91   463   -   61
 Cash - beginning of period  308   573   (109)   -   772
 Cash - end of period$ (185) $ 664 $ 354 $ - $ 833
                
(1)Includes all other subsidiaries of ACE Limited and intercompany eliminations.
(2)Includes elimination of dividends paid from subsidiaries to ACE Limited and capital contribution to subsidiaries by ACE Limited.

Condensed Consolidating Statement of Cash Flows
For the Six Months Ended June 30, 2010
(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 ACE Limited Consolidated
                
Net cash flows from operating activities$ 25 $ 677 $ 989 $ - $ 1,691
                
Cash flows from (used for) investing activities              
 Purchases of fixed maturities available for sale  -   (8,133)   (9,210)   -   (17,343)
 Purchases of fixed maturities held to maturity  -   (323)   (1)   -   (324)
 Purchases of equity securities  -   (28)   (10)   -   (38)
 Sales of fixed maturities available for sale  2   6,491   7,057   -   13,550
 Sales of equity securities  -   2   309   -   311
 Maturities and redemptions of fixed maturities available for sale  -   926   850   -   1,776
 Maturities and redemptions of fixed maturities held to maturity  -   461   109   -   570
 Net derivative instruments settlements  (1)   (3)   135   -   131
 Advances (to) from affiliates  196   -   (196)   -   -
 Other   -   (80)   (20)   -   (100)
 Net cash flows from (used for) investing activities  197   (687)   (977)   -   (1,467)
                
Cash flows from (used for) financing activities              
 Dividends paid on Common Shares  (210)   -   -   -   (210)
 Proceeds from share based compensation plans  19   -   -   -   19
 Advances (to) from affiliates  -   3   (3)   -   -
 Net cash flows from (used for) financing activities  (191)   3   (3)   -   (191)
                
Effect of foreign currency rate changes on cash and cash equivalents  -   (15)   (19)   -   (34)
                
 Net increase (decrease) in cash  31   (22)   (10)   -   (1)
 Cash - beginning of period  (1)   400   270   -   669
 Cash - end of period$ 30 $ 378 $ 260 $ - $ 668
                
(1) Includes all other subsidiaries of ACE Limited and intercompany eliminations.
Acquisitions (Details) (USD $)
In Millions
Dec. 28, 2010
Rain And Hail [Member]
Dec. 1, 2010
Jerneh Insurance [Member]
Dec. 31, 2010
Rain And Hail And Jerneh [Member]
Feb. 1, 2011
New York Life Korea And Hong Kong [Member]
Business Acquisition [Line Items]
 
 
 
 
Goodwill generated in acquisition
$ 129 
 
 
$ 123 
Reverse purchase agreements used to finance acquisitions
 
 
1,000 
 
Acquisition purchase price
1,100 
218 
 
425 
Other intangible assets generated in acquisition
$ 523 
 
 
$ 207 
Investments (Details) (USD $)
In Millions, unless otherwise specified
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
12 Months Ended
Dec. 31, 2010
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Due in 1 year or less - amortized cost (AFS)
$ 2,046 
 
$ 2,046 
 
$ 1,846 
Due after 1 year through 5 years - amortized cost (AFS)
12,962 
 
12,962 
 
13,094 
Due after 5 years though 10 years - amortized cost (AFS)
11,468 
 
11,468 
 
10,276 
Due after 10 years - amortized cost (AFS)
3,454 
 
3,454 
 
2,818 
Subtotal - amortized cost (AFS)
29,930 
 
29,930 
 
28,034 
Mortgage-backed securities - amortized costs (AFS)
9,932 
 
9,932 
 
8,508 
Amortized cost (AFS)
39,862 
 
39,862 
 
36,542 
Due in 1 year or less - fair value (AFS)
2,074 
 
2,074 
 
1,985 
Due after 1 year through 5 years - fair value (AFS)
13,446 
 
13,446 
 
13,444 
Due after 5 years through 10 years - fair value (AFS)
11,972 
 
11,972 
 
10,782 
Due after 10 years - fair value (AFS)
3,535 
 
3,535 
 
2,812 
Subtotal - fair value (AFS)
31,027 
 
31,027 
 
29,023 
Mortgage backed securities - fair value (AFS)
10,011 
 
10,011 
 
8,516 
Fixed maturities available for sale at fair value
41,038 
 
41,038 
 
37,539 
Gross unrealized loss - additional disclosure
 
 
 
 
 
Largest single unrealized loss in the fixed maturities
 
 
 
Gross Unrealized Loss Additional Disclosure Number Abstract
 
 
 
 
 
Number of fixed maturities in an unrealized loss position
4,348 
 
4,348 
 
 
Total number of fixed maturities
21,493 
 
21,493 
 
 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Due in 1 year or less - amortized cost (HTM)
310 
 
310 
 
400 
Due after 1 year through 5 years - amortized cost (HTM)
2,127 
 
2,127 
 
1,983 
Due after 5 years through 10 years - amortized cost (HTM)
2,512 
 
2,512 
 
2,613 
Due after 10 years - amortized cost (HTM)
670 
 
670 
 
694 
Subtotal - amortized cost (HTM)
5,619 
 
5,619 
 
5,690 
Mortgage backed securities - amortized cost (HTM)
3,414 
 
3,414 
 
3,811 
Amortized cost (HTM)
9,033 
 
9,033 
 
9,501 
Due in 1 year or less - fair value (HTM)
312 
 
312 
 
404 
Due after 1 year through 5 - fair value (HTM)
2,163 
 
2,163 
 
2,010 
Due after 5 years through 10 years - fair value (HTM)
2,468 
 
2,468 
 
2,524 
Due after 10 years - fair value (HTM)
663 
 
663 
 
677 
Subtotal - fair value (HTM)
5,606 
 
5,606 
 
5,615 
Mortgage backed securities - fair value (HTM)
3,472 
 
3,472 
 
3,846 
Fixed maturities held to maturity at fair value
9,078 
 
9,078 
 
9,461 
Fixed maturities available for sale
 
 
 
 
 
Fixed maturities available for sale at fair value
41,038 
 
41,038 
 
37,539 
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
9,033 
 
9,033 
 
9,501 
Fixed maturities held to maturity, at fair value
9,078 
 
9,078 
 
9,461 
Equity securities rollforward
 
 
 
 
 
Equity securities, at cost
549 
 
549 
 
666 
Gross unrealized appreciation (equities)
 
 
37 
 
28 
Gross unrealized depreciation (equities)
 
 
(4)
 
(2)
Equity securities at fair value
582 
 
582 
 
692 
Fixed maturities - additional disclosures
 
 
 
 
 
Net unrealized appreciation (depreciation) included in OCI
(25)
33 
(8)
96 
 
Net unrealized depreciation included in AOCI
109 
 
109 
 
99 
Percentage of mortgage-backed securities represented by investments in US Government Agency bonds
81.00% 
 
81.00% 
 
79.00% 
Mortgage Backed Securities Additional Disclosure Abstract
 
 
 
 
 
Credit losses in net income relating to mortgage-backed securities
22 
 
Fixed maturities
 
 
 
 
 
OTTI on fixed maturities, gross
(6)
(18)
(11)
(68)
 
OTTI on fixed maturities recognized in OCI (pre-tax)
13 
45 
 
OTTI on fixed maturities, net
(5)
(5)
(9)
(23)
 
Gross realized gains on fixed maturities excluding OTTI
108 
128 
217 
296 
 
Gross realized losses on fixed maturities excluding OTTI
(29)
(46)
(85)
(115)
 
Total fixed maturities
74 
77 
123 
158 
 
Equity securities
 
 
 
 
 
Gross realized gains on equity securities excluding OTTI
32 
12 
77 
 
Gross realized losses on equity securities excluding OTTI
 
 
(1)
 
 
Total equity securities
32 
11 
77 
 
OTTI on other investments
(3)
(13)
(3)
(13)
 
Foreign exchange gains (losses)
(30)
61 
(109)
52 
 
Investment and embedded derivative instruments
(48)
(68)
24 
 
Fair value adjustments on insurance derivative
(70)
(301)
(205)
 
S&P put options and futures
143 
(68)
84 
 
Other derivative instruments
(2)
(3)
(5)
 
Other realized gains (losses)
(1)
(2)
 
Net realized gains (losses)
(73)
(118)
177 
 
Net realized gains/losses - additional disclosure
 
 
 
 
 
Credit losses recognized in net income for corporate securities
 
 
 
 
Restricted Cash And Investments Abstract
 
 
 
 
 
Trust funds
9,143 
 
9,143 
 
8,200 
Deposits with U.S. regulatory authorities
1,254 
 
1,254 
 
1,384 
Deposits with non-U.S. regulatory authorities
2,264 
 
2,264 
 
2,289 
Other pledged assets
273 
 
273 
 
190 
Total - restricted assets
12,934 
 
12,934 
 
12,063 
Restricted assets in fixed maturities and short-term investments
12,800 
 
12,800 
 
12,000 
Restricted assets in cash
97 
 
97 
 
104 
Rollforward Of Pre Tax Credit Losses Relating To Fixed Maturities Abstract
 
 
 
 
 
Balance of credit losses related to securities still held - beginning of period
96 
163 
137 
174 
174 
Additions to credit losses where no OTTI was previously recorded
22 
 
Additions to credit losses where an OTTI was previously recorded
 
 
 
Reductions for securities sold during the period
(4)
(31)
(46)
(60)
 
Balance of credit losses related to securities still held - end of period
94 
137 
94 
137 
137 
US Treasury And Government [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
2,495 
 
2,495 
 
2,963 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
1,067 
 
1,067 
 
1,105 
Fixed maturities held to maturity at fair value
1,092 
 
1,092 
 
1,127 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
2,423 
 
2,423 
 
2,904 
Gross unrealized appreciation (AFS)
 
 
80 
 
74 
Gross unrealized depreciation (AFS)
 
 
(8)
 
(15)
Fixed maturities available for sale at fair value
2,495 
 
2,495 
 
2,963 
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
1,067 
 
1,067 
 
1,105 
Gross unrealized appreciation (HTM)
 
 
30 
 
32 
Gross unrealized depreciation (HTM)
 
 
(5)
 
(10)
Fixed maturities held to maturity, at fair value
1,092 
 
1,092 
 
1,127 
US Treasury And Government [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
551 
 
551 
 
864 
Gross unrealized loss - investments in a continuous unrealized loss position
(13.3)
 
(13.3)
 
(24.6)
US Treasury And Government [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
551 
 
551 
 
864 
Gross unrealized loss - investments in a continuous unrealized loss position
(13.3)
 
(13.3)
 
(24.6)
Foreign [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
12,679 
 
12,679 
 
11,186 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
1,051 
 
1,051 
 
1,049 
Fixed maturities held to maturity at fair value
1,028 
 
1,028 
 
1,013 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
12,341 
 
12,341 
 
10,926 
Gross unrealized appreciation (AFS)
 
 
389 
 
340 
Gross unrealized depreciation (AFS)
 
 
(51)
 
(80)
Fixed maturities available for sale at fair value
12,679 
 
12,679 
 
11,186 
OTTI recognized in AOCI (AFS)
(12)
 
(12)
 
(28)
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
1,051 
 
1,051 
 
1,049 
Gross unrealized appreciation (HTM)
 
 
 
Gross unrealized depreciation (HTM)
 
 
(24)
 
(37)
Fixed maturities held to maturity, at fair value
1,028 
 
1,028 
 
1,013 
Foreign [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
3,136 
 
3,136 
 
4,409 
Gross unrealized loss - investments in a continuous unrealized loss position
(60.7)
 
(60.7)
 
(79.0)
Foreign [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
264 
 
264 
 
312 
Gross unrealized loss - investments in a continuous unrealized loss position
(14.1)
 
(14.1)
 
(37.6)
Foreign [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
3,400 
 
3,400 
 
4,721 
Gross unrealized loss - investments in a continuous unrealized loss position
(74.8)
 
(74.8)
 
(116.6)
Corporate Securities [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
14,513 
 
14,513 
 
13,587 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
2,311 
 
2,311 
 
2,361 
Fixed maturities held to maturity at fair value
2,292 
 
2,292 
 
2,313 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
13,853 
 
13,853 
 
12,902 
Gross unrealized appreciation (AFS)
 
 
723 
 
754 
Gross unrealized depreciation (AFS)
 
 
(63)
 
(69)
Fixed maturities available for sale at fair value
14,513 
 
14,513 
 
13,587 
OTTI recognized in AOCI (AFS)
(14)
 
(14)
 
(29)
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
2,311 
 
2,311 
 
2,361 
Gross unrealized appreciation (HTM)
 
 
15 
 
12 
Gross unrealized depreciation (HTM)
 
 
(34)
 
(60)
Fixed maturities held to maturity, at fair value
2,292 
 
2,292 
 
2,313 
Corporate Securities [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
3,709 
 
3,709 
 
3,553 
Gross unrealized loss - investments in a continuous unrealized loss position
(73.2)
 
(73.2)
 
(85.1)
Corporate Securities [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
152 
 
152 
 
273 
Gross unrealized loss - investments in a continuous unrealized loss position
(23.9)
 
(23.9)
 
(43.9)
Corporate Securities [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
3,861 
 
3,861 
 
3,826 
Gross unrealized loss - investments in a continuous unrealized loss position
(97.1)
 
(97.1)
 
(129.0)
Mortgage-backed Securities [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
10,011 
 
10,011 
 
8,516 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
3,414 
 
3,414 
 
3,811 
Fixed maturities held to maturity at fair value
3,472 
 
3,472 
 
3,846 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
9,932 
 
9,932 
 
8,508 
Gross unrealized appreciation (AFS)
 
 
259 
 
213 
Gross unrealized depreciation (AFS)
 
 
(180)
 
(205)
Fixed maturities available for sale at fair value
10,011 
 
10,011 
 
8,516 
OTTI recognized in AOCI (AFS)
(191)
 
(191)
 
(228)
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
3,414 
 
3,414 
 
3,811 
Gross unrealized appreciation (HTM)
 
 
69 
 
62 
Gross unrealized depreciation (HTM)
 
 
(11)
 
(27)
Fixed maturities held to maturity, at fair value
3,472 
 
3,472 
 
3,846 
Mortgage-backed Securities [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
2,638 
 
2,638 
 
3,904 
Gross unrealized loss - investments in a continuous unrealized loss position
(35.1)
 
(35.1)
 
(67.3)
Mortgage-backed Securities [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
825 
 
825 
 
1,031 
Gross unrealized loss - investments in a continuous unrealized loss position
(155.4)
 
(155.4)
 
(165.1)
Mortgage-backed Securities [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
3,463 
 
3,463 
 
4,935 
Gross unrealized loss - investments in a continuous unrealized loss position
(190.5)
 
(190.5)
 
(232.4)
States, Municipalities, and Political Subdivisions [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
1,340 
 
1,340 
 
1,287 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
1,190 
 
1,190 
 
1,175 
Fixed maturities held to maturity at fair value
1,194 
 
1,194 
 
1,162 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
1,313 
 
1,313 
 
1,302 
Gross unrealized appreciation (AFS)
 
 
36 
 
15 
Gross unrealized depreciation (AFS)
 
 
(9)
 
(30)
Fixed maturities available for sale at fair value
1,340 
 
1,340 
 
1,287 
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
1,190 
 
1,190 
 
1,175 
Gross unrealized appreciation (HTM)
 
 
10 
 
Gross unrealized depreciation (HTM)
 
 
(6)
 
(18)
Fixed maturities held to maturity, at fair value
1,194 
 
1,194 
 
1,162 
States, Municipalities, and Political Subdivisions [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
663 
 
663 
 
1,115 
Gross unrealized loss - investments in a continuous unrealized loss position
(10.8)
 
(10.8)
 
(36.2)
States, Municipalities, and Political Subdivisions [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
62 
 
62 
 
79 
Gross unrealized loss - investments in a continuous unrealized loss position
(4.6)
 
(4.6)
 
(11.9)
States, Municipalities, and Political Subdivisions [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
725 
 
725 
 
1,194 
Gross unrealized loss - investments in a continuous unrealized loss position
(15.4)
 
(15.4)
 
(48.1)
Fixed Maturities [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
10,697 
 
10,697 
 
13,845 
Gross unrealized loss - investments in a continuous unrealized loss position
(193.1)
 
(193.1)
 
(292.2)
Fixed Maturities [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
1,303 
 
1,303 
 
1,695 
Gross unrealized loss - investments in a continuous unrealized loss position
(198.0)
 
(198.0)
 
(258.5)
Fixed Maturities [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
12,000 
 
12,000 
 
15,540 
Gross unrealized loss - investments in a continuous unrealized loss position
(391.1)
 
(391.1)
 
(550.7)
Equity Securities [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
44 
 
44 
 
45 
Gross unrealized loss - investments in a continuous unrealized loss position
(3.3)
 
(3.3)
 
(1.9)
Equity Securities [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
 
 
Gross unrealized loss - investments in a continuous unrealized loss position
(0.4)
 
(0.4)
 
(0.3)
Equity Securities [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
45 
 
45 
 
46 
Gross unrealized loss - investments in a continuous unrealized loss position
(3.7)
 
(3.7)
 
(2.2)
Other Investments [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
19 
 
19 
 
66 
Gross unrealized loss - investments in a continuous unrealized loss position
(1.0)
 
(1.0)
 
(8.7)
Other Investments [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
19 
 
19 
 
66 
Gross unrealized loss - investments in a continuous unrealized loss position
(1.0)
 
(1.0)
 
(8.7)
Investments [Member] |
Investments Continuous Unrealized Loss Position Less Than Twelve Months [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
10,760 
 
10,760 
 
13,956 
Gross unrealized loss - investments in a continuous unrealized loss position
(197.4)
 
(197.4)
 
(302.8)
Investments [Member] |
Investments Continuous Unrealized Loss Position Over Twelve Months Fair Value [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
1,304 
 
1,304 
 
1,696 
Gross unrealized loss - investments in a continuous unrealized loss position
(198.4)
 
(198.4)
 
(258.8)
Investments [Member] |
Investments Continuous Unrealized Loss Position Total [Member]
 
 
 
 
 
For all securities in a loss position, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position
 
 
 
 
 
Fair value - investments in a continuous unrealized loss position
12,064 
 
12,064 
 
15,652 
Gross unrealized loss - investments in a continuous unrealized loss position
(395.8)
 
(395.8)
 
(561.6)
Available for Sale Total [Member]
 
 
 
 
 
Available For Sale Securities Debt Maturities Abstract
 
 
 
 
 
Fixed maturities available for sale at fair value
41,038 
 
41,038 
 
37,539 
Fixed maturities available for sale
 
 
 
 
 
Amortized cost (AFS)
39,862 
 
39,862 
 
36,542 
Gross unrealized appreciation (AFS)
 
 
1,487 
 
1,396 
Gross unrealized depreciation (AFS)
 
 
(311)
 
(399)
Fixed maturities available for sale at fair value
41,038 
 
41,038 
 
37,539 
OTTI recognized in AOCI (AFS)
(217)
 
(217)
 
(285)
Held to Maturity Total [Member]
 
 
 
 
 
Held To Maturity Securities Debt Maturities Abstract
 
 
 
 
 
Amortized cost (HTM)
9,033 
 
9,033 
 
9,501 
Fixed maturities held to maturity at fair value
9,078 
 
9,078 
 
9,461 
Fixed maturities held to maturity
 
 
 
 
 
Amortized cost (HTM)
9,033 
 
9,033 
 
9,501 
Gross unrealized appreciation (HTM)
 
 
125 
 
112 
Gross unrealized depreciation (HTM)
 
 
(80)
 
(152)
Fixed maturities held to maturity, at fair value
$ 9,078 
 
$ 9,078 
 
$ 9,461 
Fair value measurements (Details) (USD $)
In Millions, unless otherwise specified
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
3 Months Ended
Jun. 30, 2011
6 Months Ended
Jun. 30, 2011
Dec. 31, 2010
Jun. 30, 2011
Investment Funds Limited Partnerships Partially Owned Investment Companies Fair Value [Member]
Dec. 31, 2010
Investment Funds Limited Partnerships Partially Owned Investment Companies Fair Value [Member]
Jun. 30, 2011
Maximum Future Funding Commitments (Alternative) [Member]
Dec. 31, 2010
Maximum Future Funding Commitments (Alternative) [Member]
2011
Liquidation Period Lower Range [Member]
2011
Liquidation Period Upper Range [Member]
2011
Redemption Notice Period Lower Range [Member]
2011
Redemption Notice Period Upper Range [Member]
2011
Foreign Government Debt Securities Available For Sale [Member]
2010
Foreign Government Debt Securities Available For Sale [Member]
2011
Foreign Government Debt Securities Available For Sale [Member]
2010
Foreign Government Debt Securities Available For Sale [Member]
2011
Domestic Corporate Debt Securities Available For Sale [Member]
2010
Domestic Corporate Debt Securities Available For Sale [Member]
2011
Domestic Corporate Debt Securities Available For Sale [Member]
2010
Domestic Corporate Debt Securities Available For Sale [Member]
2011
Mortgage Backed Securities Available For Sale [Member]
2010
Mortgage Backed Securities Available For Sale [Member]
2011
Mortgage Backed Securities Available For Sale [Member]
2010
Mortgage Backed Securities Available For Sale [Member]
2011
US States And Political Subdivisions Available For Sale [Member]
2010
US States And Political Subdivisions Available For Sale [Member]
2011
US States And Political Subdivisions Available For Sale [Member]
2010
US States And Political Subdivisions Available For Sale [Member]
2011
Equity Securities [Member]
2010
Equity Securities [Member]
2011
Equity Securities [Member]
2010
Equity Securities [Member]
2011
Other Investments [Member]
2010
Other Investments [Member]
2011
Other Investments [Member]
2010
Other Investments [Member]
2011
Other Derivative Instruments Fair Value [Member]
2010
Other Derivative Instruments Fair Value [Member]
2011
Other Derivative Instruments Fair Value [Member]
2010
Other Derivative Instruments Fair Value [Member]
Jun. 30, 2011
Guaranteed Living Benefit [Member]
Dec. 31, 2010
Guaranteed Living Benefit [Member]
Jun. 30, 2010
Guaranteed Living Benefit [Member]
Mar. 31, 2010
Guaranteed Living Benefit [Member]
Dec. 31, 2009
Guaranteed Living Benefit [Member]
2011
Guaranteed Living Benefit [Member]
2010
Guaranteed Living Benefit [Member]
2011
Guaranteed Living Benefit [Member]
2010
Guaranteed Living Benefit [Member]
Jun. 30, 2011
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Dec. 31, 2010
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Jun. 30, 2011
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
US Treasury And Government [Member]
Dec. 31, 2010
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
US Treasury And Government [Member]
Jun. 30, 2011
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Foreign [Member]
Dec. 31, 2010
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Foreign [Member]
Jun. 30, 2011
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Corporate Securities [Member]
Dec. 31, 2010
Level 1 - Quoted Prices in Active Markets for Identical Assets or Liabilities [Member]
Corporate Securities [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
US Treasury And Government [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
US Treasury And Government [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
Foreign [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
Foreign [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
Corporate Securities [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
Corporate Securities [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
Mortgage-backed Securities [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
Mortgage-backed Securities [Member]
Jun. 30, 2011
Level 2 - Significant Other Observable Inputs [Member]
States, Municipalities, and Political Subdivisions [Member]
Dec. 31, 2010
Level 2 - Significant Other Observable Inputs [Member]
States, Municipalities, and Political Subdivisions [Member]
Jun. 30, 2011
Level 3 - Significant Unobservable Inputs [Member]
Dec. 31, 2010
Level 3 - Significant Unobservable Inputs [Member]
Jun. 30, 2011
Level 3 - Significant Unobservable Inputs [Member]
Foreign [Member]
Dec. 31, 2010
Level 3 - Significant Unobservable Inputs [Member]
Foreign [Member]
Jun. 30, 2011
Level 3 - Significant Unobservable Inputs [Member]
Corporate Securities [Member]
Dec. 31, 2010
Level 3 - Significant Unobservable Inputs [Member]
Corporate Securities [Member]
Jun. 30, 2011
Level 3 - Significant Unobservable Inputs [Member]
Mortgage-backed Securities [Member]
Dec. 31, 2010
Level 3 - Significant Unobservable Inputs [Member]
Mortgage-backed Securities [Member]
Jun. 30, 2011
Level 3 - Significant Unobservable Inputs [Member]
States, Municipalities, and Political Subdivisions [Member]
Dec. 31, 2010
Level 3 - Significant Unobservable Inputs [Member]
States, Municipalities, and Political Subdivisions [Member]
Jun. 30, 2011
Fair Value Total [Member]
Dec. 31, 2010
Fair Value Total [Member]
Jun. 30, 2011
Fair Value Total [Member]
US Treasury And Government [Member]
Dec. 31, 2010
Fair Value Total [Member]
US Treasury And Government [Member]
Jun. 30, 2011
Fair Value Total [Member]
Foreign [Member]
Dec. 31, 2010
Fair Value Total [Member]
Foreign [Member]
Jun. 30, 2011
Fair Value Total [Member]
Corporate Securities [Member]
Dec. 31, 2010
Fair Value Total [Member]
Corporate Securities [Member]
Jun. 30, 2011
Fair Value Total [Member]
Mortgage-backed Securities [Member]
Dec. 31, 2010
Fair Value Total [Member]
Mortgage-backed Securities [Member]
Jun. 30, 2011
Fair Value Total [Member]
States, Municipalities, and Political Subdivisions [Member]
Dec. 31, 2010
Fair Value Total [Member]
States, Municipalities, and Political Subdivisions [Member]
Jun. 30, 2011
US Treasury And Government [Member]
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
US Treasury And Government [Member]
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
US Treasury And Government [Member]
Financial Instruments Fair Value [Member]
Dec. 31, 2010
US Treasury And Government [Member]
Financial Instruments Fair Value [Member]
Jun. 30, 2011
Foreign [Member]
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
Foreign [Member]
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
Foreign [Member]
Financial Instruments Fair Value [Member]
Dec. 31, 2010
Foreign [Member]
Financial Instruments Fair Value [Member]
Jun. 30, 2011
Corporate Securities [Member]
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
Corporate Securities [Member]
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
Corporate Securities [Member]
Financial Instruments Fair Value [Member]
Dec. 31, 2010
Corporate Securities [Member]
Financial Instruments Fair Value [Member]
Jun. 30, 2011
Mortgage-backed Securities [Member]
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
Mortgage-backed Securities [Member]
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
Mortgage-backed Securities [Member]
Financial Instruments Fair Value [Member]
Dec. 31, 2010
Mortgage-backed Securities [Member]
Financial Instruments Fair Value [Member]
Jun. 30, 2011
States, Municipalities, and Political Subdivisions [Member]
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
States, Municipalities, and Political Subdivisions [Member]
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
States, Municipalities, and Political Subdivisions [Member]
Financial Instruments Fair Value [Member]
Dec. 31, 2010
States, Municipalities, and Political Subdivisions [Member]
Financial Instruments Fair Value [Member]
Jun. 30, 2011
Guaranteed Minimum Death Benefit [Member]
Dec. 31, 2010
Guaranteed Minimum Death Benefit [Member]
Jun. 30, 2011
Financial Instruments Carrying Value [Member]
Dec. 31, 2010
Financial Instruments Carrying Value [Member]
Jun. 30, 2011
Financial Instruments Fair Value [Member]
Dec. 31, 2010
Financial Instruments Fair Value [Member]
Alternative Investments Fair Value [Line Items]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
 
 
$ 207 
$ 192 
$ 163 
$ 151 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Real estate
 
 
 
261 
168 
89 
92 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Distressed
 
 
 
221 
243 
219 
43 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mezzanine
 
 
 
126 
135 
299 
173 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Traditional
 
 
 
457 
376 
410 
291 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Vintage
 
 
 
27 
27 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment funds
 
 
 
338 
329 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Alternative investments total
 
 
 
1,637 
1,470 
1,186 
753 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Alternative Investments Liquidation [Line Items]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for financial alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for real estate alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for distressed alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for mezzanine alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for traditional alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liquidation period for vintage alternative investments (in years)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Notice period for redemption of investment funds alternative investments (in days)
 
 
 
 
 
 
 
 
 
120 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 Financial Instruments Rollforward Assets and Liabilities [Line Items]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance - beginning of period (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
26 
21 
26 
59 
113 
133 
115 
168 
81 
12 
39 
21 
10 
13 
13 
12 
1,564 
1,236 
1,432 
1,149 
14 
14 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Transfers out of Level 3 (Level 3 Assets)
 
 
 
 
 
 
 
 
 
 
 
(6)
 
(7)
 
 
 
(4)
 
(35)
 
(35)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Transfers into (out of) Level 3 (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
 
(31)
 
 
 
(35)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes in net unrealized gains/losses included in OCI (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
(1)
 
 
 
 
 
 
 
 
 
 
(1)
(1)
 
14 
51 
33 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Transfers into Level 3 (Level 3 Assets)
 
 
 
 
 
 
 
 
 
 
 
 
 
29 
 
34 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized gains/losses (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
(1)
(1)
(1)
(2)
(1)
 
 
 
 
 
 
 
 
(3)
(14)
(3)
(13)
 
12 
12 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases, sales, issuances, and settlements, net (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(14)
 
(17)
 
 
 
(9)
 
 
 
 
 
 
(9)
 
58 
 
(12)
 
(12)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Sales (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
(2)
 
(3)
 
(1)
 
(20)
 
(12)
 
(15)
 
 
 
 
 
(4)
 
(8)
 
(55)
 
(55)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
22 
 
 
 
46 
 
 
 
 
 
 
 
243 
 
333 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Settlements (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
(2)
 
(3)
 
(1)
 
(4)
 
(3)
 
(5)
 
 
 
(1)
 
 
 
 
 
(78)
 
(78)
 
 
 
(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance - end of period (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
27 
28 
27 
28 
142 
121 
142 
121 
34 
12 
34 
12 
10 
16 
10 
16 
1,680 
1,227 
1,680 
1,227 
14 
14 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized gains/losses attributable to changes in fair value (Level 3 assets)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(3)
(14)
(3)
(13)
 
12 
12 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance - beginning of period (Level 3 liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
449 
347 
507 
443 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized gains/losses (Level 3 liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
75 
301 
17 
205 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance - end of period (Level 3 liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
524 
648 
524 
648 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized gains/losses attributable to changes in fair value (Level 3 liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
75 
301 
17 
205 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities available for sale at fair value
41,038 
41,038 
37,539 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,495 
1,782 
1,245 
1,564 
207 
187 
43 
31 
39,339 
35,575 
1,250 
1,399 
12,445 
10,973 
14,328 
13,441 
9,977 
8,477 
1,339 
1,285 
204 
182 
27 
26 
142 
115 
34 
39 
41,038 
37,539 
2,495 
2,963 
12,679 
11,186 
14,513 
13,587 
10,011 
8,516 
1,340 
1,287 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities at fair value
582 
582 
692 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
567 
676 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
10 
13 
 
 
 
 
 
 
 
 
582 
692 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Short-term investments, at fair value and amortized cost
2,380 
2,380 
1,983 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,266 
903 
 
 
 
 
 
 
1,114 
1,080 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2,380 
1,983 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other investments at fair value
2,156 
2,156 
1,692 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
239 
39 
 
 
 
 
 
 
237 
221 
 
 
 
 
 
 
 
 
 
 
1,680 
1,432 
 
 
 
 
 
 
 
 
2,156 
1,692 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities lending collateral
1,593 
1,593 
1,495 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,593 
1,495 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,593 
1,495 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
11 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
11 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(37)
(25)
 
 
 
 
 
 
41 
46 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
25 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets at fair value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3,533 
3,386 
 
 
 
 
 
 
42,329 
38,420 
 
 
 
 
 
 
 
 
 
 
1,898 
1,631 
 
 
 
 
 
 
 
 
47,760 
43,437 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
524 
507 
 
 
 
 
 
 
 
 
524 
507 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements Additional Disclosure [Line Items]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Lapse rate - lower range
1.00% 
1.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Lapse rate - upper range
6.00% 
6.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Spike lapse rate - lower range
10.00% 
10.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Spike lapse rate - upper range
30.00% 
30.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Ultimate lapse rate
10.00% 
10.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Length of ultimate lapse rate period
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Adjustment factor for valuable guarantees - lower
15.00% 
15.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Adjustment factor for valuable guarantees - upper
75.00% 
75.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Maximum annuitization rate
8.00% 
8.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Maximum annuitization rate in the first year a policy can annuitize utilizing the GMIB
13.00% 
13.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Weighted average maximum annuitization rate - rate 1
8.00% 
8.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Weighted average maximum annuitization rate - rate 2
12.00% 
12.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Weighted average maximum annuitization rate - rate 3
30.00% 
30.00% 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
GLB - Number of different annuitization functions used
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Minimum number of pricing services used to obtain fair value measurements for the majority of the investment securities held
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The maximum maturity period in years to be classified as a short-term investment
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reported liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
676 
648 
776 
469 
559 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
181 
185 
 
 
 
 
Guaranteed Minimum Benefits Fair Value Derivative Adjustment In Liability
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
524 
507 
648 
347 
443 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Impact of GMIB valuation model changes on net income
0.3 
6.3 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed Maturities Held To Maturity Not Measured At Fair Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,067 
1,105 
1,092 
1,127 
1,051 
1,049 
1,028 
1,013 
2,311 
2,361 
2,292 
2,313 
3,414 
3,811 
3,472 
3,846 
1,190 
1,175 
1,194 
1,162 
 
 
9,033 
9,501 
9,078 
9,461 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Short-term debt
1,400 
1,400 
1,300 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1,400 
1,300 
1,400 
1,300 
Long-term debt
3,360 
3,360 
3,358 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3,360 
3,358 
3,719 
3,846 
Trust preferred securities
309 
309 
309 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
309 
309 
385 
376 
Total liabilities
$ 65,141 
$ 65,141 
$ 60,381 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ 5,069 
$ 4,967 
$ 5,504 
$ 5,522 
Assumed life reinsurance programs involving minimum benefits guarantees under annuity contracts (Details) (USD $)
In Millions, unless otherwise specified
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Dec. 31, 2010
Mar. 31, 2010
Dec. 31, 2009
Guaranteed Minimum Benefits [Line Items]
 
 
 
 
 
 
 
Net premiums earned
$ 3,757 
$ 3,233 
$ 7,066 
$ 6,510 
 
 
 
Policy benefits
108 
87 
199 
174 
 
 
 
Total net realized gains (losses) including OTTI
(73)
(118)
177 
 
 
 
Guaranteed Minimum Death Benefit [Member]
 
 
 
 
 
 
 
Guaranteed Minimum Benefits [Line Items]
 
 
 
 
 
 
 
Net premiums earned
25 
27 
51 
56 
 
 
 
Policy benefits
21 
22 
43 
46 
 
 
 
Reported liabilities
181 
 
181 
 
185 
 
 
Net amount at risk
3,100 
 
3,100 
 
2,900 
 
 
Discounting assumptions used in the calculation of the benefit reserve aging - lower range
1.00% 
 
1.00% 
 
 
 
 
Discounting assumptions used in the calculation of the benefits reserve aging - upper range
2.00% 
 
2.00% 
 
 
 
 
Percent of Annuity 2000 mortality table used for mortality assumption
100.00% 
 
100.00% 
 
 
 
 
Total claim amount payable if all of the Company's cedants' policyholders covered were to die immediately
1,500 
 
1,500 
 
 
 
 
Guaranteed Living Benefit [Member]
 
 
 
 
 
 
 
Guaranteed Minimum Benefits [Line Items]
 
 
 
 
 
 
 
Net premiums earned
41 
40 
82 
81 
 
 
 
Policy benefits
12 
13 
 
 
 
Total net realized gains (losses) including OTTI
(75)
(301)
(17)
(205)
 
 
 
Gain (loss) recognized in income
(40)
(267)
53 
(137)
 
 
 
Net cash received (disbursed)
40 
40 
81 
80 
 
 
 
Net (increase) decrease in liability
(80)
(307)
(28)
(217)
 
 
 
Reported liabilities
676 
776 
676 
776 
648 
469 
559 
Fair value derivative adjustment in liability
524 
648 
524 
648 
507 
347 
443 
Net amount at risk
$ 789 
 
$ 789 
 
$ 719 
 
 
Discounting assumptions used in the calculation of the benefits reserve aging - upper range
1.00% 
 
1.00% 
 
 
 
 
Average attained age of all policyholders under all benefits reinsured
 
 
67 
 
 
 
 
Commitments, contingencies, and guarantees (Details) (USD $)
In Millions
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Dec. 31, 2010
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
$ (122)
$ (149)
$ (156)
$ (102)
 
Commitments, contingencies, and guarantees - additional disclosures
 
 
 
 
 
Carrying value of limited partnerships and partially-owned investment companies included in other investments
1,299 
 
1,299 
 
 
Funding commitments relating to limited partnerships and partially-owned investment companies included in other investments
1,186 
 
1,186 
 
 
Unrecognized Tax Benefits Decreases Resulting From Settlements With Taxing Authorities
 
 
 
21 
 
Ohio Attorney General Penalty For Overcharges To Public Entities
11.3 
 
11.3 
 
 
Ohio Attorney General Penalty For Private Insurance Sales
10.3 
 
10.3 
 
 
Foreign Currency Forward Contracts [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(3)
23 
(18)
36 
 
Foreign Currency Forward Contracts [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
 
 
Notional value/payment provision (liabilities)
753 
 
753 
 
729 
Futures Money Market Instruments [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
 
 
Notional value/payment provision (liabilities)
10,098 
 
10,098 
 
4,297 
Futures Contracts on Notes and Bonds [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
 
 
 
 
Notional value/payment provision (liabilities)
1,158 
 
1,158 
 
676 
Options On Money Market Instruments [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Notional value/payment provision (liabilities)
528 
 
528 
 
Other Futures Contracts And Options [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(24)
(27)
10 
 
Convertible Bonds [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(21)
(20)
(22)
(22)
 
Convertible Bonds [Member] |
Balance Sheet Location Fixed Maturities Available For Sale [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
398 
 
398 
 
416 
Notional value/payment provision (assets)
367 
 
367 
 
382 
TBA Mortgage-backed Securities [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
 
 
(1)
 
 
TBA Mortgage-backed Securities [Member] |
Balance Sheet Location Fixed Maturities Available For Sale [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
123 
 
123 
 
101 
Notional value/payment provision (assets)
117 
 
117 
 
98 
Investment And Embedded Derivative Instruments [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
524 
 
524 
 
528 
Notional value/payment provision (liabilities)
13,021 
 
13,021 
 
6,183 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(48)
(68)
24 
 
Future Contracts on Equities [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
 
117 
(63)
66 
 
Future Contracts on Equities [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
(37)
 
(37)
 
(25)
Notional value/payment provision (liabilities)
1,110 
 
1,110 
 
1,069 
Interest Rate Swaps [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
 
(8)
 
(17)
 
Credit Default Swaps [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(2)
11 
(3)
11 
 
Credit Default Swaps [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
 
 
Notional value/payment provision (liabilities)
350 
 
350 
 
350 
Guaranteed Living Benefit [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
(75)
(301)
(17)
(205)
 
Guaranteed Living Benefit [Member] |
Balance Sheet Location Accounts Payable Future Policy Benefits [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
(676)
 
(676)
 
(648)
Notional value/payment provision (liabilities)
789 
 
789 
 
719 
Options Equity Market Indices [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
26 
(5)
18 
 
Options Equity Market Indices [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
41 
 
41 
 
46 
Notional value/payment provision (liabilities)
250 
 
250 
 
250 
Other Derivatives [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
 
 
 
Other Derivatives [Member] |
Balance Sheet Location Accounts Payable [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Notional value/payment provision (liabilities)
 
 
17 
Other Derivatives Total [Member]
 
 
 
 
 
Summary Of Derivative Instruments Abstract
 
 
 
 
 
Fair value (derivative instruments)
 
 
25 
Notional value/payment provision (liabilities)
1,716 
 
1,716 
 
1,686 
Guaranteed Living Benefit And Other Derivative Instruments [Member]
 
 
 
 
 
Gains (losses) related to derivative instrument activity in the income statement
 
 
 
 
 
Net realized gains (losses) related to derivative activity in the income statement
$ (74)
$ (154)
$ (88)
$ (126)
 
Shareholders' equity (Details) (USD $)
3 Months Ended
Jun. 30, 2011
3 Months Ended
Mar. 31, 2011
3 Months Ended
Jun. 30, 2010
6 Months Ended
Jun. 30, 2010
Dec. 31, 2010
Disclosure Shareholders Equity Details
 
 
 
 
 
Dividends declared per Common Share
$ 0.35 
$ 0.33 
$ 0.33 
$ 0.64 
 
Common Shares in treasury - shares
4,862,746 
 
 
 
6,151,707 
Shareholders' equity CHF (Details)
3 Months Ended
Jun. 30, 2011
USD ($)
3 Months Ended
Mar. 31, 2011
USD ($)
3 Months Ended
Jun. 30, 2010
USD ($)
6 Months Ended
Jun. 30, 2010
USD ($)
Jun. 30, 2011
CHF
3 Months Ended
Jun. 30, 2011
Common Stock Par Value [Member]
CHF
3 Months Ended
Mar. 31, 2011
Common Stock Par Value [Member]
CHF
3 Months Ended
Jun. 30, 2010
Common Stock Par Value [Member]
CHF
6 Months Ended
Jun. 30, 2010
Common Stock Par Value [Member]
CHF
Common Shares Par Value Abstract
 
 
 
 
 
 
 
 
 
Common shares - par value
 
 
 
 
 30.27 
 
 
 
 
Dividends declared per Common Share
$ 0.35 
$ 0.33 
$ 0.33 
$ 0.64 
 
 0.29 
 0.30 
 0.34 
 0.67 
Share-based compensation (Details) (USD $)
0 Months Ended
Feb. 24, 2011
6 Months Ended
Jun. 30, 2011
May 18, 2011
Stock Options (Abstract)
 
 
 
Stock option vesting period in years
 
 
Stock option term in years
 
10 
 
Weighted-average fair value for stock options granted
$ 14.63 
 
 
Options granted
1,620,954 
 
 
Restricted Stock And Restricted Stock Units (Abstract)
 
 
 
Restricted stock award and units vesting period in years
 
 
Weighted average grant date fair value of awards except for options granted to employees and officers of the Company
$ 62.64 
 
 
Restricted share awards granted to employees and officers of ACE and its subsidiaries
1,667,653 
 
 
Restricted stock units granted to employees and officers of ACE and its subsidiaries
249,660 
 
 
Restricted shares granted to outside directors at the annual general meeting
 
 
32,660 
Weighted average grant date fair value of restricted stock units awarded to directors of the Company
 
 
$ 69.35 
Segment information (Details) (USD $)
In Millions
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
$ 3,953 
$ 3,420 
$ 7,399 
$ 6,991 
Net premiums earned
3,757 
3,233 
7,066 
6,510 
Losses and loss expenses
2,226 
1,800 
4,489 
3,721 
Policy benefits
108 
87 
199 
174 
Policy acquisition costs
604 
536 
1,159 
1,090 
Administrative expenses
515 
463 
1,009 
923 
Net investment income
569 
518 
1,113 
1,022 
Total net realized gains (losses) including OTTI
(73)
(118)
177 
Interest expense
62 
52 
125 
104 
Other (income) expense
(5)
(1)
Income tax expense (benefit)
122 
142 
219 
266 
Net income (loss)
607 
677 
866 
1,432 
Segment Insurance North American [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
1,735 
1,438 
3,020 
2,833 
Net premiums earned
1,604 
1,326 
2,950 
2,696 
Losses and loss expenses
1,233 
924 
2,227 
1,862 
Policy acquisition costs
143 
126 
279 
282 
Administrative expenses
147 
147 
295 
295 
Underwriting income (loss)
81 
129 
149 
257 
Net investment income
300 
287 
595 
565 
Total net realized gains (losses) including OTTI
21 
85 
10 
165 
Interest expense
 
 
Other (income) expense
(13)
(1)
Income tax expense (benefit)
95 
110 
184 
214 
Net income (loss)
301 
387 
576 
774 
Segment Net Premiums Earned (Abstract)
 
 
 
 
Property and all other
657 
355 
1,035 
713 
Casualty
865 
895 
1,755 
1,839 
Life, accident & health
82 
76 
160 
144 
Segment Insurance Overseas General [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
1,477 
1,302 
2,914 
2,722 
Net premiums earned
1,447 
1,263 
2,751 
2,514 
Losses and loss expenses
733 
644 
1,595 
1,345 
Policy benefits
 
 
Policy acquisition costs
348 
296 
660 
579 
Administrative expenses
242 
207 
466 
409 
Underwriting income (loss)
124 
115 
30 
177 
Net investment income
138 
115 
269 
229 
Total net realized gains (losses) including OTTI
(10)
48 
(19)
70 
Interest expense
 
 
Other (income) expense
(5)
(3)
(7)
(1)
Income tax expense (benefit)
40 
59 
59 
73 
Net income (loss)
216 
222 
226 
404 
Segment Net Premiums Earned (Abstract)
 
 
 
 
Property and all other
533 
424 
964 
844 
Casualty
348 
349 
690 
694 
Life, accident & health
566 
490 
1,097 
976 
Segment Global Re [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
282 
289 
597 
660 
Net premiums earned
254 
256 
514 
532 
Losses and loss expenses
112 
103 
391 
254 
Policy acquisition costs
47 
48 
93 
102 
Administrative expenses
14 
15 
26 
27 
Underwriting income (loss)
81 
90 
149 
Net investment income
71 
73 
143 
142 
Total net realized gains (losses) including OTTI
(14)
28 
(27)
59 
Interest expense
 
 
Other (income) expense
(2)
(5)
(6)
Income tax expense (benefit)
18 
19 
Net income (loss)
128 
184 
106 
337 
Segment Net Premiums Earned (Abstract)
 
 
 
 
Property and all other
115 
120 
227 
258 
Casualty
139 
136 
287 
274 
Segment Life [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
459 
391 
868 
776 
Net premiums earned
452 
388 
851 
768 
Losses and loss expenses
147 
129 
275 
260 
Policy benefits
108 
86 
199 
170 
Policy acquisition costs
66 
66 
127 
127 
Administrative expenses
72 
54 
140 
112 
Underwriting income (loss)
59 
53 
110 
99 
Net investment income
59 
43 
105 
86 
Total net realized gains (losses) including OTTI
(68)
(155)
(81)
(112)
Interest expense
 
 
Other (income) expense
13 
Income tax expense (benefit)
14 
16 
27 
30 
Net income (loss)
25 
(78)
88 
37 
Segment Net Premiums Earned (Abstract)
 
 
 
 
Life, accident & health
452 
388 
851 
768 
Segment Corporate and Other [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Losses and loss expenses
 
 
Administrative expenses
40 
40 
82 
80 
Underwriting income (loss)
(41)
(40)
(83)
(80)
Net investment income
 
 
Total net realized gains (losses) including OTTI
(2)
(1)
(5)
Interest expense
54 
52 
109 
104 
Other (income) expense
Income tax expense (benefit)
(35)
(52)
(69)
(70)
Net income (loss)
(63)
(38)
(130)
(120)
Segment Consolidated Total [Member]
 
 
 
 
Segment Reporting [Line Items]
 
 
 
 
Net premiums written
3,953 
3,420 
7,399 
6,991 
Net premiums earned
3,757 
3,233 
7,066 
6,510 
Losses and loss expenses
2,226 
1,800 
4,489 
3,721 
Policy benefits
108 
87 
199 
174 
Policy acquisition costs
604 
536 
1,159 
1,090 
Administrative expenses
515 
463 
1,009 
923 
Underwriting income (loss)
304 
347 
210 
602 
Net investment income
569 
518 
1,113 
1,022 
Total net realized gains (losses) including OTTI
(73)
(118)
177 
Interest expense
62 
52 
125 
104 
Other (income) expense
(5)
(1)
Income tax expense (benefit)
122 
142 
219 
266 
Net income (loss)
607 
677 
866 
1,432 
Segment Net Premiums Earned (Abstract)
 
 
 
 
Property and all other
1,305 
899 
2,226 
1,815 
Casualty
1,352 
1,380 
2,732 
2,807 
Life, accident & health
$ 1,100 
$ 954 
$ 2,108 
$ 1,888 
Earnings per share (Details) (USD $)
In Millions, except Share data
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Earnings per share numerator
 
 
 
 
Net income (loss)
$ 607 
$ 677 
$ 866 
$ 1,432 
Denominator for basic earnings per share
 
 
 
 
Weighted-average shares outstanding
338,920,580 
339,975,261 
338,021,487 
339,202,374 
Denominator for diluted earnings per share
 
 
 
 
Share-based compensation plans (Diluted EPS)
2,768,388 
1,268,395 
2,596,909 
1,185,944 
Adjusted weighted-average shares outstanding and assumed conversions
341,688,968 
341,243,656 
340,618,396 
340,388,318 
Earnings per share:
 
 
 
 
Basic earnings per share
$ 1.79 
$ 1.99 
$ 2.56 
$ 4.22 
Diluted earnings per share
$ 1.77 
$ 1.98 
$ 2.54 
$ 4.21 
Anti-dilutive share conversions
 
 
 
 
Anti-dilutive share conversions
1,212 
426,167 
81,718 
429,990 
Information provided in connection with outstanding debt of subsidiaries Balance Sheet (Details) (USD $)
In Millions, unless otherwise specified
Jun. 30, 2011
Dec. 31, 2010
Jun. 30, 2010
Dec. 31, 2009
Assets (Condensed)
 
 
 
 
Investments
$ 55,189 
$ 51,407 
 
 
Cash
833 
772 
668 
669 
Insurance and reinsurance balances receivable
4,923 
4,233 
 
 
Reinsurance recoverables on losses and loss expenses
13,375 
12,871 
 
 
Reinsurance recoverable on policy benefits
250 
281 
 
 
Value of business acquired
796 
634 
 
 
Goodwill and other intangible assets
4,858 
4,664 
 
 
Other assets (condensed)
9,030 
8,493 
 
 
Total assets
89,254 
83,355 
 
 
Liabilities (Condensed)
 
 
 
 
Unpaid losses and loss expenses
38,951 
37,391 
 
 
Unearned premiums
6,913 
6,330 
 
 
Future policy benefits
4,384 
3,106 
 
 
Short-term debt
1,400 
1,300 
 
 
Long-term debt
3,360 
3,358 
 
 
Trust preferred securities
309 
309 
 
 
Other liabilities
9,824 
8,587 
 
 
Total liabilities
65,141 
60,381 
 
 
Shareholders' equity (FS)
24,113 
22,974 
21,410 
 
Total liabilities and shareholders' equity
89,254 
83,355 
 
 
Subsidiary Debt Additional Disclosure (Abstract)
 
 
 
 
Parent guarantor ownership percentage of subsidiary issuer
100.00% 
 
 
 
ACE Limited (Parent Guarantor) [Member]
 
 
 
 
Assets (Condensed)
 
 
 
 
Investments
40 
47 
 
 
Cash
(185)
308 
30 
(1)
Investments in subsidiaries
23,590 
22,529 
 
 
Due from (to) subsidiaries and affiliates, net
853 
564 
 
 
Other assets (condensed)
14 
 
 
Total assets
24,304 
23,462 
 
 
Liabilities (Condensed)
 
 
 
 
Short-term debt
 
300 
 
 
Other liabilities
191 
188 
 
 
Total liabilities
191 
488 
 
 
Shareholders' equity (FS)
24,113 
22,974 
 
 
Total liabilities and shareholders' equity
24,304 
23,462 
 
 
ACE INA Holdings Inc. (Subsidiary Issuer) [Member]
 
 
 
 
Assets (Condensed)
 
 
 
 
Investments
29,095 
26,718 
 
 
Cash
664 
573 
378 
400 
Insurance and reinsurance balances receivable
4,329 
3,710 
 
 
Reinsurance recoverables on losses and loss expenses
17,722 
16,877 
 
 
Reinsurance recoverable on policy benefits
941 
959 
 
 
Value of business acquired
796 
634 
 
 
Goodwill and other intangible assets
4,301 
4,113 
 
 
Due from (to) subsidiaries and affiliates, net
 
(555)
 
 
Other assets (condensed)
7,471 
7,045 
 
 
Total assets
65,319 
60,074 
 
 
Liabilities (Condensed)
 
 
 
 
Unpaid losses and loss expenses
31,820 
30,430 
 
 
Unearned premiums
5,820 
5,379 
 
 
Future policy benefits
3,767 
2,495 
 
 
Due to subsidiaries and affiliates, net
907 
 
 
 
Short-term debt
1,000 
1,000 
 
 
Long-term debt
3,360 
3,358 
 
 
Trust preferred securities
309 
309 
 
 
Other liabilities
8,060 
7,394 
 
 
Total liabilities
55,043 
50,365 
 
 
Shareholders' equity (FS)
10,276 
9,709 
 
 
Total liabilities and shareholders' equity
65,319 
60,074 
 
 
Other ACE Limited Subsidiaries And Eliminations [Member]
 
 
 
 
Assets (Condensed)
 
 
 
 
Investments
26,054 
24,642 
 
 
Cash
354 
(109)
260 
270 
Insurance and reinsurance balances receivable
594 
523 
 
 
Reinsurance recoverables on losses and loss expenses
(4,347)
(4,006)
 
 
Reinsurance recoverable on policy benefits
(691)
(678)
 
 
Goodwill and other intangible assets
557 
551 
 
 
Due from (to) subsidiaries and affiliates, net
 
555 
 
 
Other assets (condensed)
1,553 
1,434 
 
 
Total assets
24,074 
22,912 
 
 
Liabilities (Condensed)
 
 
 
 
Unpaid losses and loss expenses
7,131 
6,961 
 
 
Unearned premiums
1,093 
951 
 
 
Future policy benefits
617 
611 
 
 
Due to subsidiaries and affiliates, net
(907)
 
 
 
Short-term debt
400 
 
 
 
Other liabilities
1,573 
1,005 
 
 
Total liabilities
9,907 
9,528 
 
 
Shareholders' equity (FS)
14,167 
13,384 
 
 
Total liabilities and shareholders' equity
24,074 
22,912 
 
 
Consolidating Adjustments [Member]
 
 
 
 
Assets (Condensed)
 
 
 
 
Investments in subsidiaries
(23,590)
(22,529)
 
 
Due from (to) subsidiaries and affiliates, net
(853)
(564)
 
 
Total assets
(24,443)
(23,093)
 
 
Liabilities (Condensed)
 
 
 
 
Shareholders' equity (FS)
(24,443)
(23,093)
 
 
Total liabilities and shareholders' equity
$ (24,443)
$ (23,093)
 
 
Information provided in connection with outstanding debt of subsidiaries Statements of Operations (Details) (USD $)
In Millions
3 Months Ended
Jun. 30,
6 Months Ended
Jun. 30,
2011
2010
2011
2010
Condensed Consolidating Financial Statements [Line Items]
 
 
 
 
Net premiums written
$ 3,953 
$ 3,420 
$ 7,399 
$ 6,991 
Net premiums earned
3,757 
3,233 
7,066 
6,510 
Net investment income
569 
518 
1,113 
1,022 
Total net realized gains (losses) including OTTI
(73)
(118)
177 
Losses and loss expenses
2,226 
1,800 
4,489 
3,721 
Policy benefits
108 
87 
199 
174 
Policy acquisition costs and administrative expenses
1,119 
999 
2,168 
2,013 
Interest expense
62 
52 
125 
104 
Other (income) expense
(5)
(1)
Income tax expense (benefit)
122 
142 
219 
266 
Net income (loss)
607 
677 
866 
1,432 
ACE Limited (Parent Guarantor) [Member]
 
 
 
 
Condensed Consolidating Financial Statements [Line Items]
 
 
 
 
Net investment income
 
 
 
Equity in earnings of subsidiaries
579 
648 
827 
1,383 
Total net realized gains (losses) including OTTI
(1)
12 
(2)
11 
Policy acquisition costs and administrative expenses
18 
16 
36 
32 
Interest expense
(10)
(10)
(18)
(19)
Other (income) expense
(40)
(26)
(62)
(54)
Income tax expense (benefit)
Net income (loss)
607 
677 
866 
1,432 
ACE INA Holdings Inc. (Subsidiary Issuer) [Member]
 
 
 
 
Condensed Consolidating Financial Statements [Line Items]
 
 
 
 
Net premiums written
2,306 
1,993 
4,329 
4,220 
Net premiums earned
2,225 
1,894 
4,163 
3,850 
Net investment income
282 
253 
544 
507 
Total net realized gains (losses) including OTTI
17 
63 
73 
Losses and loss expenses
1,438 
1,147 
2,739 
2,463 
Policy benefits
59 
33 
99 
66 
Policy acquisition costs and administrative expenses
609 
583 
1,188 
1,144 
Interest expense
66 
61 
133 
121 
Other (income) expense
20 
19 
32 
38 
Income tax expense (benefit)
110 
107 
179 
203 
Net income (loss)
222 
260 
341 
395 
Other ACE Limited Subsidiaries And Eliminations [Member]
 
 
 
 
Condensed Consolidating Financial Statements [Line Items]
 
 
 
 
Net premiums written
1,647 
1,427 
3,070 
2,771 
Net premiums earned
1,532 
1,339 
2,903 
2,660 
Net investment income
287 
265 
568 
515 
Total net realized gains (losses) including OTTI
(89)
(66)
(120)
93 
Losses and loss expenses
788 
653 
1,750 
1,258 
Policy benefits
49 
54 
100 
108 
Policy acquisition costs and administrative expenses
504 
410 
965 
854 
Interest expense
(3)
(9)
(8)
(17)
Other (income) expense
29 
10 
25 
15 
Income tax expense (benefit)
32 
36 
60 
Net income (loss)
354 
388 
483 
990 
Consolidating Adjustments [Member]
 
 
 
 
Condensed Consolidating Financial Statements [Line Items]
 
 
 
 
Equity in earnings of subsidiaries
(579)
(648)
(827)
(1,383)
Policy acquisition costs and administrative expenses
(12)
(10)
(21)
(17)
Interest expense
10 
18 
19 
Net income (loss)
$ (576)
$ (648)
$ (824)
$ (1,385)
Information provided in connection with outstanding debt of subsidiaries Cash Flows (Details) (USD $)
In Millions
6 Months Ended
Jun. 30,
2011
2010
Condensed Consolidating Statement of Cash Flows
 
 
Net cash flows from operating activities
$ 2,063 
$ 1,691 
Cash flows used for investing activities
 
 
Purchases of fixed maturities available for sale (condensed)
(13,683)
(17,343)
Purchases of fixed maturities held to maturity
(234)
(324)
Purchases of equity securities
(170)
(38)
Sales of fixed maturities available for sale (condensed)
9,985 
13,550 
Sales of equity securities
347 
311 
Maturities and redemptions of fixed maturities available for sale
1,758 
1,776 
Maturities and redemptions of fixed maturities held to maturity
656 
570 
Net derivative instruments settlements
(46)
131 
Acquisition of subsidiaries (net of cash acquired of $95 in 2011)
(380)
 
Other cash flows from investing activities
(132)
(100)
Net cash flows from (used for) investing activities
(1,899)
(1,467)
Cash flows from (used for) financing activities
 
 
Dividends paid on Common Shares
(223)
(210)
Common Shares repurchased (cash flow)
(68)
 
Net proceeds from issurance (repayment) of short-term debt
100 
 
Proceeds from share-based compensation plans
76 
19 
Net cash flows (used for) from financing activities
(115)
(191)
Effect of foreign currency rate changes on cash and cash equivalents
12 
(34)
Net (decrease) increase in cash
61 
(1)
Cash - beginning of period
772 
669 
Cash - end of period
833 
668 
ACE Limited (Parent Guarantor) [Member]
 
 
Condensed Consolidating Statement of Cash Flows
 
 
Net cash flows from operating activities
117 
25 
Cash flows used for investing activities
 
 
Sales of fixed maturities available for sale (condensed)
Net derivative instruments settlements
(1)
(1)
Capital contribution to subsidiary
(385)
 
Advances (to) from affiliates (investing activities)
283 
196 
Net cash flows from (used for) investing activities
(95)
197 
Cash flows from (used for) financing activities
 
 
Dividends paid on Common Shares
(223)
(210)
Common Shares repurchased (cash flow)
(68)
 
Net proceeds from issurance (repayment) of short-term debt
(300)
 
Proceeds from share-based compensation plans
76 
19 
Net cash flows (used for) from financing activities
(515)
(191)
Net (decrease) increase in cash
(493)
31 
Cash - beginning of period
308 
(1)
Cash - end of period
(185)
30 
ACE INA Holdings Inc. (Subsidiary Issuer) [Member]
 
 
Condensed Consolidating Statement of Cash Flows
 
 
Net cash flows from operating activities
677 
677 
Cash flows used for investing activities
 
 
Purchases of fixed maturities available for sale (condensed)
(6,330)
(8,133)
Purchases of fixed maturities held to maturity
(233)
(323)
Purchases of equity securities
(138)
(28)
Sales of fixed maturities available for sale (condensed)
5,022 
6,491 
Sales of equity securities
332 
Maturities and redemptions of fixed maturities available for sale
847 
926 
Maturities and redemptions of fixed maturities held to maturity
475 
461 
Net derivative instruments settlements
(7)
(3)
Acquisition of subsidiaries (net of cash acquired of $95 in 2011)
(343)
 
Other cash flows from investing activities
(449)
(80)
Net cash flows from (used for) investing activities
(824)
(687)
Cash flows from (used for) financing activities
 
 
Advances (to) from affiliates (financing activities)
226 
Net cash flows (used for) from financing activities
226 
Effect of foreign currency rate changes on cash and cash equivalents
12 
(15)
Net (decrease) increase in cash
91 
(22)
Cash - beginning of period
573 
400 
Cash - end of period
664 
378 
Other ACE Limited Subsidiaries And Eliminations [Member]
 
 
Condensed Consolidating Statement of Cash Flows
 
 
Net cash flows from operating activities
1,949 
989 
Cash flows used for investing activities
 
 
Purchases of fixed maturities available for sale (condensed)
(7,353)
(9,210)
Purchases of fixed maturities held to maturity
(1)
(1)
Purchases of equity securities
(32)
(10)
Sales of fixed maturities available for sale (condensed)
4,955 
7,057 
Sales of equity securities
15 
309 
Maturities and redemptions of fixed maturities available for sale
911 
850 
Maturities and redemptions of fixed maturities held to maturity
181 
109 
Net derivative instruments settlements
(38)
135 
Advances (to) from affiliates (investing activities)
(283)
(196)
Acquisition of subsidiaries (net of cash acquired of $95 in 2011)
(37)
 
Other cash flows from investing activities
317 
(20)
Net cash flows from (used for) investing activities
(1,365)
(977)
Cash flows from (used for) financing activities
 
 
Net proceeds from issurance (repayment) of short-term debt
400 
 
Advances (to) from affiliates (financing activities)
(226)
(3)
Dividends to parent company
(680)
 
Capital contributions from parent
385 
 
Net cash flows (used for) from financing activities
(121)
(3)
Effect of foreign currency rate changes on cash and cash equivalents
 
(19)
Net (decrease) increase in cash
463 
(10)
Cash - beginning of period
(109)
270 
Cash - end of period
354 
260 
Consolidating Adjustments [Member]
 
 
Condensed Consolidating Statement of Cash Flows
 
 
Net cash flows from operating activities
(680)
 
Cash flows used for investing activities
 
 
Capital contribution to subsidiary
385 
 
Net cash flows from (used for) investing activities
385 
 
Cash flows from (used for) financing activities
 
 
Dividends to parent company
680 
 
Capital contributions from parent
(385)
 
Net cash flows (used for) from financing activities
$ 295 
 
Document and Entity Information
6 Months Ended
Jun. 30, 2011
Jul. 29, 2011
Entity Information
 
 
Entity registration name
ACE LTD 
 
Entity central index key
0000896159 
 
Entity current reporting status
Yes 
 
Entity voluntary filers
No 
 
Current fiscal year end date
--12-31 
 
Entity filer category
Large Accelerated Filer 
 
Entity well-known seasoned issuer
Yes 
 
Document fiscal year
2011 
 
Document fiscal period
Q2 
 
Document type
10-Q 
 
Document period end date
Jun. 30, 2011 
 
Amendment flag
FALSE 
 
Entity common stock, shares outstanding
 
337,967,945