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March 31, 2015 | 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 | $ | 2,793 | $ | 98 | $ | (2 | ) | $ | 2,889 | $ | — | ||||||||
Foreign | 14,262 | 761 | (76 | ) | 14,947 | — | |||||||||||||
Corporate securities | 17,259 | 834 | (94 | ) | 17,999 | (6 | ) | ||||||||||||
Mortgage-backed securities | 10,459 | 362 | (13 | ) | 10,808 | (1 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,611 | 160 | (4 | ) | 3,767 | — | |||||||||||||
$ | 48,384 | $ | 2,215 | $ | (189 | ) | $ | 50,410 | $ | (7 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 756 | $ | 24 | $ | — | $ | 780 | $ | — | |||||||||
Foreign | 816 | 57 | — | 873 | — | ||||||||||||||
Corporate securities | 2,249 | 122 | — | 2,371 | — | ||||||||||||||
Mortgage-backed securities | 1,907 | 77 | (1 | ) | 1,983 | — | |||||||||||||
States, municipalities, and political subdivisions | 1,254 | 47 | (1 | ) | 1,300 | — | |||||||||||||
$ | 6,982 | $ | 327 | $ | (2 | ) | $ | 7,307 | $ | — |
December 31, 2014 | 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 | $ | 2,741 | $ | 87 | $ | (8 | ) | $ | 2,820 | $ | — | ||||||||
Foreign | 14,703 | 629 | (90 | ) | 15,242 | — | |||||||||||||
Corporate securities | 16,897 | 704 | (170 | ) | 17,431 | (7 | ) | ||||||||||||
Mortgage-backed securities | 10,011 | 304 | (29 | ) | 10,286 | (1 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,474 | 147 | (5 | ) | 3,616 | — | |||||||||||||
$ | 47,826 | $ | 1,871 | $ | (302 | ) | $ | 49,395 | $ | (8 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 832 | $ | 20 | $ | (2 | ) | $ | 850 | $ | — | ||||||||
Foreign | 916 | 47 | — | 963 | — | ||||||||||||||
Corporate securities | 2,323 | 102 | (2 | ) | 2,423 | — | |||||||||||||
Mortgage-backed securities | 1,983 | 57 | (1 | ) | 2,039 | — | |||||||||||||
States, municipalities, and political subdivisions | 1,277 | 40 | (3 | ) | 1,314 | — | |||||||||||||
$ | 7,331 | $ | 266 | $ | (8 | ) | $ | 7,589 | $ | — |
March 31 | December 31 | ||||||||||||||
2015 | 2014 | ||||||||||||||
(in millions of U.S. dollars) | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Available for sale | |||||||||||||||
Due in 1 year or less | $ | 2,021 | $ | 2,042 | $ | 2,187 | $ | 2,206 | |||||||
Due after 1 year through 5 years | 16,209 | 16,735 | 15,444 | 15,857 | |||||||||||
Due after 5 years through 10 years | 15,047 | 15,649 | 15,663 | 16,089 | |||||||||||
Due after 10 years | 4,648 | 5,176 | 4,521 | 4,957 | |||||||||||
37,925 | 39,602 | 37,815 | 39,109 | ||||||||||||
Mortgage-backed securities | 10,459 | 10,808 | 10,011 | 10,286 | |||||||||||
$ | 48,384 | $ | 50,410 | $ | 47,826 | $ | 49,395 | ||||||||
Held to maturity | |||||||||||||||
Due in 1 year or less | $ | 318 | $ | 321 | $ | 353 | $ | 355 | |||||||
Due after 1 year through 5 years | 2,594 | 2,706 | 2,603 | 2,693 | |||||||||||
Due after 5 years through 10 years | 1,214 | 1,270 | 1,439 | 1,489 | |||||||||||
Due after 10 years | 949 | 1,027 | 953 | 1,013 | |||||||||||
5,075 | 5,324 | 5,348 | 5,550 | ||||||||||||
Mortgage-backed securities | 1,907 | 1,983 | 1,983 | 2,039 | |||||||||||
$ | 6,982 | $ | 7,307 | $ | 7,331 | $ | 7,589 |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Cost | $ | 447 | $ | 440 | |||
Gross unrealized appreciation | 99 | 83 | |||||
Gross unrealized depreciation | (10 | ) | (13 | ) | |||
Fair value | $ | 536 | $ | 510 |
• | the amount of time a security has been in a loss position and the magnitude of the loss position; |
• | the period in which cost is expected to be recovered, if at all, based on various criteria including economic conditions and other issuer-specific developments; and |
• | ACE’s ability and intent to hold the security to the expected recovery period. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Fixed maturities: | |||||||
OTTI on fixed maturities, gross | $ | (13 | ) | $ | (6 | ) | |
OTTI on fixed maturities recognized in OCI (pre-tax) | — | 1 | |||||
OTTI on fixed maturities, net | (13 | ) | (5 | ) | |||
Gross realized gains excluding OTTI | 44 | 36 | |||||
Gross realized losses excluding OTTI | (35 | ) | (20 | ) | |||
Total fixed maturities | (4 | ) | 11 | ||||
Equity securities: | |||||||
OTTI on equity securities | — | (6 | ) | ||||
Gross realized gains excluding OTTI | 3 | 2 | |||||
Gross realized losses excluding OTTI | (2 | ) | (1 | ) | |||
Total equity securities | 1 | (5 | ) | ||||
OTTI on other investments | — | — | |||||
Foreign exchange losses | (31 | ) | (9 | ) | |||
Investment and embedded derivative instruments | 1 | (25 | ) | ||||
Fair value adjustments on insurance derivative | (45 | ) | (48 | ) | |||
S&P put options and futures | (12 | ) | (19 | ) | |||
Other derivative instruments | — | (2 | ) | ||||
Other | 1 | (7 | ) | ||||
Net realized gains (losses) | $ | (89 | ) | $ | (104 | ) |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Balance of credit losses related to securities still held – beginning of period | $ | 28 | $ | 37 | |||
Additions where no OTTI was previously recorded | 3 | 2 | |||||
Additions where an OTTI was previously recorded | 1 | 2 | |||||
Reductions for securities sold during the period | (10 | ) | (6 | ) | |||
Balance of credit losses related to securities still held – end of period | $ | 22 | $ | 35 |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
March 31, 2015 | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
U.S. Treasury and agency | $ | 443 | $ | (1 | ) | $ | 141 | $ | (1 | ) | $ | 584 | $ | (2 | ) | ||||||||
Foreign | 1,747 | (64 | ) | 317 | (12 | ) | 2,064 | (76 | ) | ||||||||||||||
Corporate securities | 2,140 | (79 | ) | 500 | (15 | ) | 2,640 | (94 | ) | ||||||||||||||
Mortgage-backed securities | 1,301 | (6 | ) | 560 | (8 | ) | 1,861 | (14 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 462 | (3 | ) | 89 | (2 | ) | 551 | (5 | ) | ||||||||||||||
Total fixed maturities | 6,093 | (153 | ) | 1,607 | (38 | ) | 7,700 | (191 | ) | ||||||||||||||
Equity securities | 68 | (10 | ) | — | — | 68 | (10 | ) | |||||||||||||||
Other investments | 92 | (6 | ) | — | — | 92 | (6 | ) | |||||||||||||||
Total | $ | 6,253 | $ | (169 | ) | $ | 1,607 | $ | (38 | ) | $ | 7,860 | $ | (207 | ) |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
December 31, 2014 | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
U.S. Treasury and agency | $ | 350 | $ | (1 | ) | $ | 666 | $ | (9 | ) | $ | 1,016 | $ | (10 | ) | ||||||||
Foreign | 2,262 | (75 | ) | 375 | (15 | ) | 2,637 | (90 | ) | ||||||||||||||
Corporate securities | 4,684 | (150 | ) | 738 | (22 | ) | 5,422 | (172 | ) | ||||||||||||||
Mortgage-backed securities | 704 | (2 | ) | 1,663 | (28 | ) | 2,367 | (30 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 458 | (3 | ) | 490 | (5 | ) | 948 | (8 | ) | ||||||||||||||
Total fixed maturities | 8,458 | (231 | ) | 3,932 | (79 | ) | 12,390 | (310 | ) | ||||||||||||||
Equity securities | 101 | (13 | ) | — | — | 101 | (13 | ) | |||||||||||||||
Total | $ | 8,559 | $ | (244 | ) | $ | 3,932 | $ | (79 | ) | $ | 12,491 | $ | (323 | ) |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Trust funds | $ | 11,132 | $ | 10,838 | |||
Deposits with non-U.S. regulatory authorities | 2,296 | 2,305 | |||||
Assets pledged under repurchase agreements | 1,459 | 1,431 | |||||
Deposits with U.S. regulatory authorities | 1,336 | 1,345 | |||||
Other pledged assets | 446 | 457 | |||||
$ | 16,669 | $ | 16,376 |
|
• | 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 |
• | Level 3 – Inputs that are unobservable and reflect management’s judgments about assumptions that market participants |
March 31, 2015 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,747 | $ | 1,142 | $ | — | $ | 2,889 | |||||||
Foreign | — | 14,925 | 22 | 14,947 | |||||||||||
Corporate securities | — | 17,832 | 167 | 17,999 | |||||||||||
Mortgage-backed securities | — | 10,775 | 33 | 10,808 | |||||||||||
States, municipalities, and political subdivisions | — | 3,767 | — | 3,767 | |||||||||||
1,747 | 48,441 | 222 | 50,410 | ||||||||||||
Equity securities | 518 | 16 | 2 | 536 | |||||||||||
Short-term investments | 1,469 | 1,067 | — | 2,536 | |||||||||||
Other investments | 364 | 277 | 2,789 | 3,430 | |||||||||||
Securities lending collateral | — | 1,033 | — | 1,033 | |||||||||||
Investment derivative instruments | 21 | — | — | 21 | |||||||||||
Other derivative instruments | — | 1 | — | 1 | |||||||||||
Separate account assets | 1,488 | 86 | — | 1,574 | |||||||||||
Total assets measured at fair value | $ | 5,607 | $ | 50,921 | $ | 3,013 | $ | 59,541 | |||||||
Liabilities: | |||||||||||||||
Investment derivative instruments | $ | 25 | $ | — | $ | — | $ | 25 | |||||||
Other derivative instruments | 3 | — | 4 | 7 | |||||||||||
GLB(1) | — | — | 451 | 451 | |||||||||||
Total liabilities measured at fair value | $ | 28 | $ | — | $ | 455 | $ | 483 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
December 31, 2014 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,680 | $ | 1,140 | $ | — | $ | 2,820 | |||||||
Foreign | — | 15,220 | 22 | 15,242 | |||||||||||
Corporate securities | — | 17,244 | 187 | 17,431 | |||||||||||
Mortgage-backed securities | — | 10,271 | 15 | 10,286 | |||||||||||
States, municipalities, and political subdivisions | — | 3,616 | — | 3,616 | |||||||||||
1,680 | 47,491 | 224 | 49,395 | ||||||||||||
Equity securities | 492 | 16 | 2 | 510 | |||||||||||
Short-term investments | 1,183 | 1,139 | — | 2,322 | |||||||||||
Other investments | 370 | 257 | 2,719 | 3,346 | |||||||||||
Securities lending collateral | — | 1,330 | — | 1,330 | |||||||||||
Investment derivative instruments | 18 | — | — | 18 | |||||||||||
Other derivative instruments | — | 2 | — | 2 | |||||||||||
Separate account assets | 1,400 | 90 | — | 1,490 | |||||||||||
Total assets measured at fair value | $ | 5,143 | $ | 50,325 | $ | 2,945 | $ | 58,413 | |||||||
Liabilities: | |||||||||||||||
Investment derivative instruments | $ | 36 | $ | — | $ | — | $ | 36 | |||||||
Other derivative instruments | 21 | — | 4 | 25 | |||||||||||
GLB(1) | — | — | 406 | 406 | |||||||||||
Total liabilities measured at fair value | $ | 57 | $ | — | $ | 410 | $ | 467 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
March 31 | December 31 | ||||||||||||||||
Expected Liquidation Period of Underlying Assets | 2015 | 2014 | |||||||||||||||
(in millions of U.S. dollars) | Fair Value | Maximum Future Funding Commitments | Fair Value | Maximum Future Funding Commitments | |||||||||||||
Financial | 5 to 9 Years | $ | 298 | $ | 130 | $ | 282 | $ | 145 | ||||||||
Real Assets | 3 to 7 Years | 478 | 193 | 464 | 214 | ||||||||||||
Distressed | 5 to 9 Years | 251 | 249 | 232 | 175 | ||||||||||||
Private Credit | 3 to 7 Years | 303 | 181 | 299 | 190 | ||||||||||||
Traditional | 3 to 9 Years | 910 | 239 | 895 | 285 | ||||||||||||
Vintage | 1 to 2 Years | 9 | — | 11 | 1 | ||||||||||||
Investment funds | Not Applicable | 383 | — | 378 | — | ||||||||||||
$ | 2,632 | $ | 992 | $ | 2,561 | $ | 1,010 |
Investment Category | Consists of investments in private equity funds: | |
Financial | targeting financial services companies such as financial institutions and insurance services worldwide | |
Real Assets | targeting investments related to hard physical assets such as real estate, infrastructure and natural resources | |
Distressed | targeting distressed corporate debt/credit and equity opportunities in the U.S. | |
Private Credit | targeting privately originated corporate debt investments including senior secured loans and subordinated bonds | |
Traditional | employing traditional private equity investment strategies such as buyout and growth equity globally | |
Vintage | made before 2002 and where the funds’ commitment periods had already expired |
(in millions of U.S. dollars, except for percentages) | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges | |||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||
GLB(1) | $ | 451 | $ | 406 | Actuarial model | Lapse rate | 1% – 30% | ||||||
Annuitization rate | 0% – 55% |
(1) | Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits. |
Assets | Liabilities | ||||||||||||||||||||||||
Three Months Ended | Available-for-Sale Debt Securities | Equity securities | Other investments | Other derivative instruments | GLB(1) | ||||||||||||||||||||
March 31, 2015 | Foreign | Corporate securities | MBS | ||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||
Balance–Beginning of Period | $ | 22 | $ | 187 | $ | 15 | $ | 2 | $ | 2,719 | $ | 4 | $ | 406 | |||||||||||
Transfers into Level 3 | — | 1 | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | 3 | — | — | (20 | ) | — | — | |||||||||||||||||
Net Realized Gains/Losses | — | (3 | ) | — | — | — | — | 45 | |||||||||||||||||
Purchases | 1 | 8 | 18 | — | 147 | — | — | ||||||||||||||||||
Sales | (1 | ) | (3 | ) | — | — | — | — | — | ||||||||||||||||
Settlements | — | (26 | ) | — | — | (57 | ) | — | — | ||||||||||||||||
Balance–End of Period | $ | 22 | $ | 167 | $ | 33 | $ | 2 | $ | 2,789 | $ | 4 | $ | 451 | |||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | (2 | ) | $ | — | $ | — | $ | — | $ | — | $ | 45 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
Assets | Liabilities | ||||||||||||||||||||||||||
Three Months Ended | Available-for-Sale Debt Securities | Equity securities | Short-term investments | Other investments | GLB(1) | ||||||||||||||||||||||
March 31, 2014 | Foreign | Corporate securities | MBS | ||||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Balance–Beginning of Period | $ | 44 | $ | 166 | $ | 8 | $ | 4 | $ | 7 | $ | 2,440 | $ | 193 | |||||||||||||
Transfers into Level 3 | — | 4 | — | — | — | — | — | ||||||||||||||||||||
Transfers out of Level 3 | (18 | ) | (22 | ) | — | (2 | ) | (7 | ) | — | — | ||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | (1 | ) | — | — | 1 | — | 41 | — | |||||||||||||||||||
Net Realized Gains/Losses | — | — | — | — | — | — | 50 | ||||||||||||||||||||
Purchases | 2 | 15 | — | 1 | — | 200 | — | ||||||||||||||||||||
Sales | (1 | ) | (6 | ) | — | (2 | ) | — | (1 | ) | — | ||||||||||||||||
Settlements | — | (6 | ) | — | — | — | (69 | ) | — | ||||||||||||||||||
Balance–End of Period | $ | 26 | $ | 151 | $ | 8 | $ | 2 | $ | — | $ | 2,611 | $ | 243 | |||||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 50 |
(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 $483 million at March 31, 2014, and $427 million at December 31, 2013, which includes a fair value derivative adjustment of $243 million and $193 million, respectively. |
March 31, 2015 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 590 | $ | 190 | $ | — | $ | 780 | $ | 756 | |||||||||
Foreign | — | 873 | — | 873 | 816 | ||||||||||||||
Corporate securities | — | 2,357 | 14 | 2,371 | 2,249 | ||||||||||||||
Mortgage-backed securities | — | 1,983 | — | 1,983 | 1,907 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,300 | — | 1,300 | 1,254 | ||||||||||||||
590 | 6,703 | 14 | 7,307 | 6,982 | |||||||||||||||
Partially-owned insurance companies | — | — | 590 | 590 | 590 | ||||||||||||||
Total assets | $ | 590 | $ | 6,703 | $ | 604 | $ | 7,897 | $ | 7,572 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 2,563 | $ | — | $ | 2,563 | $ | 2,552 | |||||||||
Long-term debt | — | 4,575 | — | 4,575 | 4,157 | ||||||||||||||
Trust preferred securities | — | 465 | — | 465 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 7,603 | $ | — | $ | 7,603 | $ | 7,018 |
December 31, 2014 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 659 | $ | 191 | $ | — | $ | 850 | $ | 832 | |||||||||
Foreign | — | 963 | — | 963 | 916 | ||||||||||||||
Corporate securities | — | 2,408 | 15 | 2,423 | 2,323 | ||||||||||||||
Mortgage-backed securities | — | 2,039 | — | 2,039 | 1,983 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,314 | — | 1,314 | 1,277 | ||||||||||||||
659 | 6,915 | 15 | 7,589 | 7,331 | |||||||||||||||
Partially-owned insurance companies | — | — | 504 | 504 | 504 | ||||||||||||||
Total assets | $ | 659 | $ | 6,915 | $ | 519 | $ | 8,093 | $ | 7,835 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 2,571 | $ | — | $ | 2,571 | $ | 2,552 | |||||||||
Long-term debt | — | 3,690 | — | 3,690 | 3,357 | ||||||||||||||
Trust preferred securities | — | 462 | — | 462 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 6,723 | $ | — | $ | 6,723 | $ | 6,218 |
|
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
GMDB | |||||||
Net premiums earned | $ | 16 | $ | 19 | |||
Policy benefits and other reserve adjustments | $ | 9 | $ | 15 | |||
GLB | |||||||
Net premiums earned | $ | 32 | $ | 36 | |||
Policy benefits and other reserve adjustments | 12 | 9 | |||||
Net realized gains (losses) | (45 | ) | (50 | ) | |||
Loss recognized in Net income | $ | (25 | ) | $ | (23 | ) | |
Less: Net cash received | 28 | 33 | |||||
Net increase in liability | $ | (53 | ) | $ | (56 | ) |
|
|
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Consolidated Balance Sheet Location | Fair Value | Notional Value/ Payment Provision | Fair Value | Notional Value/ Payment Provision | |||||||||||||||||||||
(in millions of U.S. dollars) | Derivative Asset | Derivative (Liability) | Derivative Asset | Derivative (Liability) | |||||||||||||||||||||
Investment and embedded derivative instruments | |||||||||||||||||||||||||
Foreign currency forward contracts | OA / (AP) | $ | 15 | $ | (8 | ) | $ | 1,160 | $ | 12 | $ | (7 | ) | $ | 1,329 | ||||||||||
Cross-currency swaps | OA / (AP) | — | — | 95 | — | — | 95 | ||||||||||||||||||
Futures contracts on money market instruments | OA / (AP) | 1 | (1 | ) | 4,355 | — | — | 2,467 | |||||||||||||||||
Options/Futures contracts on notes and bonds | OA / (AP) | 5 | (16 | ) | 1,276 | 6 | (29 | ) | 1,636 | ||||||||||||||||
Convertible securities(1) | FM AFS / ES | 298 | — | 272 | 291 | — | 267 | ||||||||||||||||||
TBAs | FM AFS | 31 | — | 30 | — | — | — | ||||||||||||||||||
$ | 350 | $ | (25 | ) | $ | 7,188 | $ | 309 | $ | (36 | ) | $ | 5,794 | ||||||||||||
Other derivative instruments | |||||||||||||||||||||||||
Futures contracts on equities (2) | OA / (AP) | $ | — | $ | (3 | ) | $ | 1,340 | $ | — | $ | (21 | ) | $ | 1,384 | ||||||||||
Options on equity market indices (2) | OA / (AP) | 1 | — | 250 | 2 | — | 250 | ||||||||||||||||||
Other | OA / (AP) | — | (4 | ) | 10 | — | (4 | ) | 10 | ||||||||||||||||
$ | 1 | $ | (7 | ) | $ | 1,600 | $ | 2 | $ | (25 | ) | $ | 1,644 | ||||||||||||
GLB(3) | (AP) / (FPB) | $ | — | $ | (716 | ) | $ | 748 | $ | — | $ | (663 | ) | $ | 675 |
(1) | Includes fair value of embedded derivatives. |
(2) | Related to GMDB and GLB blocks of business. |
(3) | Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Investment and embedded derivative instruments | |||||||
Foreign currency forward contracts | $ | 25 | $ | (3 | ) | ||
All other futures contracts and options | (29 | ) | (22 | ) | |||
Convertible securities(1) | 5 | — | |||||
Total investment and embedded derivative instruments | $ | 1 | $ | (25 | ) | ||
GLB and other derivative instruments | |||||||
GLB(2) | $ | (45 | ) | $ | (48 | ) | |
Futures contracts on equities(3) | (11 | ) | (17 | ) | |||
Options on equity market indices(3) | (1 | ) | (2 | ) | |||
Other | — | (2 | ) | ||||
Total GLB and other derivative instruments | $ | (57 | ) | $ | (69 | ) | |
$ | (56 | ) | $ | (94 | ) |
(1) | Includes embedded derivatives. |
(2) | Excludes foreign exchange gains (losses) related to GLB. |
(3) | Related to GMDB and GLB blocks of business. |
|
For the Three Months Ended March 31, 2015 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,430 | $ | 88 | $ | 1,794 | $ | 273 | $ | 491 | $ | — | $ | 4,076 | |||||||||||||
Net premiums earned | 1,526 | 64 | 1,637 | 226 | 474 | — | 3,927 | ||||||||||||||||||||
Losses and loss expenses | 1,035 | 22 | 814 | 99 | 152 | — | 2,122 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 142 | — | 142 | ||||||||||||||||||||
Policy acquisition costs | 161 | (4 | ) | 389 | 54 | 107 | — | 707 | |||||||||||||||||||
Administrative expenses | 171 | (1 | ) | 256 | 12 | 73 | 43 | 554 | |||||||||||||||||||
Underwriting income (loss) | 159 | 47 | 178 | 61 | — | (43 | ) | 402 | |||||||||||||||||||
Net investment income | 263 | 6 | 138 | 75 | 66 | 3 | 551 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (6 | ) | — | (10 | ) | (11 | ) | (59 | ) | (3 | ) | (89 | ) | ||||||||||||||
Interest expense | 2 | — | 1 | 1 | 1 | 63 | 68 | ||||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (11 | ) | — | (11 | ) | ||||||||||||||||||
Other | (7 | ) | 8 | 17 | (5 | ) | (12 | ) | 5 | 6 | |||||||||||||||||
Income tax expense (benefit) | 80 | 10 | 52 | 8 | 9 | (39 | ) | 120 | |||||||||||||||||||
Net income (loss) | $ | 341 | $ | 35 | $ | 236 | $ | 121 | $ | 20 | $ | (72 | ) | $ | 681 | ||||||||||||
For the Three Months Ended March 31, 2014 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,418 | $ | 194 | $ | 1,771 | $ | 308 | $ | 494 | $ | — | $ | 4,185 | |||||||||||||
Net premiums earned | 1,487 | 103 | 1,612 | 284 | 484 | — | 3,970 | ||||||||||||||||||||
Losses and loss expenses | 940 | 126 | 817 | 126 | 151 | 1 | 2,161 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 114 | — | 114 | ||||||||||||||||||||
Policy acquisition costs | 159 | 5 | 386 | 67 | 111 | — | 728 | ||||||||||||||||||||
Administrative expenses | 161 | 1 | 250 | 14 | 68 | 41 | 535 | ||||||||||||||||||||
Underwriting income (loss) | 227 | (29 | ) | 159 | 77 | 40 | (42 | ) | 432 | ||||||||||||||||||
Net investment income | 270 | 7 | 132 | 77 | 64 | 3 | 553 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (9 | ) | (2 | ) | (10 | ) | (8 | ) | (76 | ) | 1 | (104 | ) | ||||||||||||||
Interest expense | 3 | — | 1 | 1 | 3 | 63 | 71 | ||||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | 6 | — | 6 | ||||||||||||||||||||
Other | (20 | ) | 8 | (6 | ) | (19 | ) | 7 | 7 | (23 | ) | ||||||||||||||||
Income tax expense (benefit) | 83 | (7 | ) | 37 | 10 | 10 | (40 | ) | 93 | ||||||||||||||||||
Net income (loss) | $ | 422 | $ | (25 | ) | $ | 249 | $ | 154 | $ | 2 | $ | (68 | ) | $ | 734 |
(in millions of U.S. dollars) | Property & All Other | Casualty | Life, Accident & Health | ACE Consolidated | |||||||||||
For the Three Months Ended March 31, 2015 | |||||||||||||||
Insurance – North American P&C | $ | 410 | $ | 1,015 | $ | 101 | $ | 1,526 | |||||||
Insurance – North American Agriculture | 64 | — | — | 64 | |||||||||||
Insurance – Overseas General | 728 | 382 | 527 | 1,637 | |||||||||||
Global Reinsurance | 117 | 109 | — | 226 | |||||||||||
Life | — | — | 474 | 474 | |||||||||||
$ | 1,319 | $ | 1,506 | $ | 1,102 | $ | 3,927 | ||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||
Insurance – North American P&C | $ | 405 | $ | 981 | $ | 101 | $ | 1,487 | |||||||
Insurance – North American Agriculture | 103 | — | — | 103 | |||||||||||
Insurance – Overseas General | 693 | 369 | 550 | 1,612 | |||||||||||
Global Reinsurance | 154 | 130 | — | 284 | |||||||||||
Life | — | — | 484 | 484 | |||||||||||
$ | 1,355 | $ | 1,480 | $ | 1,135 | $ | 3,970 |
|
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 31 | $ | 10 | $ | 63,853 | $ | — | $ | 63,894 | |||||||||
Cash(1) | 2 | 366 | 658 | (78 | ) | 948 | |||||||||||||
Insurance and reinsurance balances receivable | — | — | 5,746 | (720 | ) | 5,026 | |||||||||||||
Reinsurance recoverable on losses and loss expenses | — | — | 20,292 | (8,704 | ) | 11,588 | |||||||||||||
Reinsurance recoverable on policy benefits | — | — | 1,171 | (956 | ) | 215 | |||||||||||||
Value of business acquired | — | — | 440 | — | 440 | ||||||||||||||
Goodwill and other intangible assets | — | — | 5,516 | — | 5,516 | ||||||||||||||
Investments in subsidiaries | 29,798 | 18,767 | — | (48,565 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 233 | — | — | (233 | ) | — | |||||||||||||
Other assets | 4 | 291 | 14,088 | (3,612 | ) | 10,771 | |||||||||||||
Total assets | $ | 30,068 | $ | 19,434 | $ | 111,764 | $ | (62,868 | ) | $ | 98,398 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | — | $ | 45,518 | $ | (8,192 | ) | $ | 37,326 | ||||||||
Unearned premiums | — | — | 9,912 | (1,730 | ) | 8,182 | |||||||||||||
Future policy benefits | — | — | 5,700 | (956 | ) | 4,744 | |||||||||||||
Due to subsidiaries and affiliates, net | — | 103 | 130 | (233 | ) | — | |||||||||||||
Affiliated notional cash pooling programs(1) | 78 | — | — | (78 | ) | — | |||||||||||||
Short-term debt | — | 1,150 | 1,402 | — | 2,552 | ||||||||||||||
Long-term debt | — | 4,145 | 12 | — | 4,157 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 288 | 1,434 | 12,818 | (3,114 | ) | 11,426 | |||||||||||||
Total liabilities | 366 | 7,141 | 75,492 | (14,303 | ) | 68,696 | |||||||||||||
Total shareholders’ equity | 29,702 | 12,293 | 36,272 | (48,565 | ) | 29,702 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 30,068 | $ | 19,434 | $ | 111,764 | $ | (62,868 | ) | $ | 98,398 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2015, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 30 | $ | 225 | $ | 62,649 | $ | — | $ | 62,904 | |||||||||
Cash(1) | — | 1 | 1,209 | (555 | ) | 655 | |||||||||||||
Insurance and reinsurance balances receivable | — | — | 6,178 | (752 | ) | 5,426 | |||||||||||||
Reinsurance recoverable on losses and loss expenses | — | — | 20,992 | (9,000 | ) | 11,992 | |||||||||||||
Reinsurance recoverable on policy benefits | — | — | 1,194 | (977 | ) | 217 | |||||||||||||
Value of business acquired | — | — | 466 | — | 466 | ||||||||||||||
Goodwill and other intangible assets | — | — | 5,724 | — | 5,724 | ||||||||||||||
Investments in subsidiaries | 29,497 | 18,762 | — | (48,259 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 583 | — | — | (583 | ) | — | |||||||||||||
Other assets | 4 | 295 | 14,196 | (3,631 | ) | 10,864 | |||||||||||||
Total assets | $ | 30,114 | $ | 19,283 | $ | 112,608 | $ | (63,757 | ) | $ | 98,248 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | — | $ | 46,770 | $ | (8,455 | ) | $ | 38,315 | ||||||||
Unearned premiums | — | — | 9,958 | (1,736 | ) | 8,222 | |||||||||||||
Future policy benefits | — | — | 5,731 | (977 | ) | 4,754 | |||||||||||||
Due to subsidiaries and affiliates, net | — | 422 | 161 | (583 | ) | — | |||||||||||||
Affiliated notional cash pooling programs(1) | 246 | 309 | — | (555 | ) | — | |||||||||||||
Short-term debt | — | 1,150 | 1,402 | — | 2,552 | ||||||||||||||
Long-term debt | — | 3,345 | 12 | — | 3,357 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 281 | 1,404 | 12,659 | (3,192 | ) | 11,152 | |||||||||||||
Total liabilities | 527 | 6,939 | 76,693 | (15,498 | ) | 68,661 | |||||||||||||
Total shareholders’ equity | 29,587 | 12,344 | 35,915 | (48,259 | ) | 29,587 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 30,114 | $ | 19,283 | $ | 112,608 | $ | (63,757 | ) | $ | 98,248 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At December 31, 2014, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
For the Three Months Ended March 31, 2015 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | — | $ | 4,076 | $ | — | $ | 4,076 | |||||||||
Net premiums earned | — | — | 3,927 | — | 3,927 | ||||||||||||||
Net investment income | 1 | 1 | 549 | — | 551 | ||||||||||||||
Equity in earnings of subsidiaries | 648 | 204 | — | (852 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | — | — | (89 | ) | — | (89 | ) | ||||||||||||
Losses and loss expenses | — | — | 2,122 | — | 2,122 | ||||||||||||||
Policy benefits | — | — | 142 | — | 142 | ||||||||||||||
Policy acquisition costs and administrative expenses | 14 | 6 | 1,241 | — | 1,261 | ||||||||||||||
Interest (income) expense | (8 | ) | 69 | 7 | — | 68 | |||||||||||||
Other (income) expense | (41 | ) | (3 | ) | 39 | — | (5 | ) | |||||||||||
Income tax expense (benefit) | 3 | (26 | ) | 143 | — | 120 | |||||||||||||
Net income | $ | 681 | $ | 159 | $ | 693 | $ | (852 | ) | $ | 681 | ||||||||
Comprehensive income | $ | 642 | $ | 24 | $ | 654 | $ | (678 | ) | $ | 642 |
For the Three Months Ended March 31, 2014 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | — | $ | 4,185 | $ | — | $ | 4,185 | |||||||||
Net premiums earned | — | — | 3,970 | — | 3,970 | ||||||||||||||
Net investment income | — | — | 553 | — | 553 | ||||||||||||||
Equity in earnings of subsidiaries | 702 | 180 | — | (882 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | — | (1 | ) | (103 | ) | — | (104 | ) | |||||||||||
Losses and loss expenses | — | — | 2,161 | — | 2,161 | ||||||||||||||
Policy benefits | — | — | 114 | — | 114 | ||||||||||||||
Policy acquisition costs and administrative expenses | 17 | 6 | 1,240 | — | 1,263 | ||||||||||||||
Interest (income) expense | (10 | ) | 71 | 10 | — | 71 | |||||||||||||
Other (income) expense | (42 | ) | 14 | 11 | — | (17 | ) | ||||||||||||
Income tax expense (benefit) | 3 | (30 | ) | 120 | — | 93 | |||||||||||||
Net income | $ | 734 | $ | 118 | $ | 764 | $ | (882 | ) | $ | 734 | ||||||||
Comprehensive income | $ | 1,108 | $ | 266 | $ | 1,138 | $ | (1,404 | ) | $ | 1,108 |
Three Months Ended March 31, 2015 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 48 | $ | 4 | $ | 1,023 | $ | — | $ | 1,075 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | — | (4,336 | ) | — | (4,336 | ) | ||||||||||||
Purchases of fixed maturities held to maturity | — | — | (21 | ) | — | (21 | ) | ||||||||||||
Purchases of equity securities | — | — | (39 | ) | — | (39 | ) | ||||||||||||
Sales of fixed maturities available for sale | — | — | 2,002 | — | 2,002 | ||||||||||||||
Sales of equity securities | — | — | 28 | — | 28 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | — | 1,481 | — | 1,481 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | — | 324 | — | 324 | ||||||||||||||
Net change in short-term investments | — | 216 | (471 | ) | — | (255 | ) | ||||||||||||
Net derivative instruments settlements | — | — | (51 | ) | — | (51 | ) | ||||||||||||
Other | — | — | (153 | ) | — | (153 | ) | ||||||||||||
Net cash flows from (used for) investing activities | — | 216 | (1,236 | ) | — | (1,020 | ) | ||||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (214 | ) | — | — | — | (214 | ) | ||||||||||||
Common Shares repurchased | — | — | (347 | ) | — | (347 | ) | ||||||||||||
Proceeds from issuance of long-term debt | — | 800 | — | — | 800 | ||||||||||||||
Proceeds from issuance of short-term debt | — | — | 477 | — | 477 | ||||||||||||||
Repayment of short-term debt | — | — | (477 | ) | — | (477 | ) | ||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | — | 39 | — | 39 | ||||||||||||||
Advances (to) from affiliates | 336 | (340 | ) | 4 | — | — | |||||||||||||
Net payments to affiliated notional cash pooling programs(1) | (168 | ) | (309 | ) | — | 477 | — | ||||||||||||
Policyholder contract deposits | — | — | 101 | — | 101 | ||||||||||||||
Policyholder contract withdrawals | — | — | (40 | ) | — | (40 | ) | ||||||||||||
Other | — | (6 | ) | — | — | (6 | ) | ||||||||||||
Net cash flows (used for) from financing activities | (46 | ) | 145 | (243 | ) | 477 | 333 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | — | (95 | ) | — | (95 | ) | ||||||||||||
Net increase (decrease) in cash | 2 | 365 | (551 | ) | 477 | 293 | |||||||||||||
Cash – beginning of period(1) | — | 1 | 1,209 | (555 | ) | 655 | |||||||||||||
Cash – end of period(1) | $ | 2 | $ | 366 | $ | 658 | $ | (78 | ) | $ | 948 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2015 and December 31, 2014, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
Three Months Ended March 31, 2014 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from (used for) operating activities | $ | 57 | $ | (13 | ) | $ | 1,206 | $ | — | $ | 1,250 | ||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | — | (3,522 | ) | — | (3,522 | ) | ||||||||||||
Purchases of fixed maturities held to maturity | — | — | (30 | ) | — | (30 | ) | ||||||||||||
Purchases of equity securities | — | — | (37 | ) | — | (37 | ) | ||||||||||||
Sales of fixed maturities available for sale | — | — | 2,208 | — | 2,208 | ||||||||||||||
Sales of equity securities | — | — | 27 | — | 27 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | — | 1,550 | — | 1,550 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | — | 212 | — | 212 | ||||||||||||||
Net change in short-term investments | — | (8 | ) | (757 | ) | — | (765 | ) | |||||||||||
Net derivative instruments settlements | — | (9 | ) | (87 | ) | — | (96 | ) | |||||||||||
Other | — | (3 | ) | (47 | ) | — | (50 | ) | |||||||||||
Net cash flows used for investing activities | — | (20 | ) | (483 | ) | — | (503 | ) | |||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (214 | ) | — | — | — | (214 | ) | ||||||||||||
Common Shares repurchased | — | — | (335 | ) | — | (335 | ) | ||||||||||||
Proceeds from issuance of short-term debt | — | — | 426 | — | 426 | ||||||||||||||
Repayment of short-term debt | — | — | (426 | ) | — | (426 | ) | ||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | — | 40 | — | 40 | ||||||||||||||
Advances (to) from affiliates | 367 | (367 | ) | — | — | — | |||||||||||||
Net proceeds from (payments to) affiliated notional cash pooling programs(1) | (185 | ) | 385 | — | (200 | ) | — | ||||||||||||
Policyholder contract deposits | — | — | 51 | — | 51 | ||||||||||||||
Policyholder contract withdrawals | — | — | (14 | ) | — | (14 | ) | ||||||||||||
Net cash flows (used for) from financing activities | (32 | ) | 18 | (258 | ) | (200 | ) | (472 | ) | ||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | — | (7 | ) | — | (7 | ) | ||||||||||||
Net increase (decrease) in cash | 25 | (15 | ) | 458 | (200 | ) | 268 | ||||||||||||
Cash – beginning of period(1) | — | 16 | 748 | (185 | ) | 579 | |||||||||||||
Cash – end of period(1) | $ | 25 | $ | 1 | $ | 1,206 | $ | (385 | ) | $ | 847 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2014 and December 31, 2013, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
|
|
March 31, 2015 | 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 | $ | 2,793 | $ | 98 | $ | (2 | ) | $ | 2,889 | $ | — | ||||||||
Foreign | 14,262 | 761 | (76 | ) | 14,947 | — | |||||||||||||
Corporate securities | 17,259 | 834 | (94 | ) | 17,999 | (6 | ) | ||||||||||||
Mortgage-backed securities | 10,459 | 362 | (13 | ) | 10,808 | (1 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,611 | 160 | (4 | ) | 3,767 | — | |||||||||||||
$ | 48,384 | $ | 2,215 | $ | (189 | ) | $ | 50,410 | $ | (7 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 756 | $ | 24 | $ | — | $ | 780 | $ | — | |||||||||
Foreign | 816 | 57 | — | 873 | — | ||||||||||||||
Corporate securities | 2,249 | 122 | — | 2,371 | — | ||||||||||||||
Mortgage-backed securities | 1,907 | 77 | (1 | ) | 1,983 | — | |||||||||||||
States, municipalities, and political subdivisions | 1,254 | 47 | (1 | ) | 1,300 | — | |||||||||||||
$ | 6,982 | $ | 327 | $ | (2 | ) | $ | 7,307 | $ | — |
December 31, 2014 | 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 | $ | 2,741 | $ | 87 | $ | (8 | ) | $ | 2,820 | $ | — | ||||||||
Foreign | 14,703 | 629 | (90 | ) | 15,242 | — | |||||||||||||
Corporate securities | 16,897 | 704 | (170 | ) | 17,431 | (7 | ) | ||||||||||||
Mortgage-backed securities | 10,011 | 304 | (29 | ) | 10,286 | (1 | ) | ||||||||||||
States, municipalities, and political subdivisions | 3,474 | 147 | (5 | ) | 3,616 | — | |||||||||||||
$ | 47,826 | $ | 1,871 | $ | (302 | ) | $ | 49,395 | $ | (8 | ) | ||||||||
Held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 832 | $ | 20 | $ | (2 | ) | $ | 850 | $ | — | ||||||||
Foreign | 916 | 47 | — | 963 | — | ||||||||||||||
Corporate securities | 2,323 | 102 | (2 | ) | 2,423 | — | |||||||||||||
Mortgage-backed securities | 1,983 | 57 | (1 | ) | 2,039 | — | |||||||||||||
States, municipalities, and political subdivisions | 1,277 | 40 | (3 | ) | 1,314 | — | |||||||||||||
$ | 7,331 | $ | 266 | $ | (8 | ) | $ | 7,589 | $ | — |
March 31 | December 31 | ||||||||||||||
2015 | 2014 | ||||||||||||||
(in millions of U.S. dollars) | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Available for sale | |||||||||||||||
Due in 1 year or less | $ | 2,021 | $ | 2,042 | $ | 2,187 | $ | 2,206 | |||||||
Due after 1 year through 5 years | 16,209 | 16,735 | 15,444 | 15,857 | |||||||||||
Due after 5 years through 10 years | 15,047 | 15,649 | 15,663 | 16,089 | |||||||||||
Due after 10 years | 4,648 | 5,176 | 4,521 | 4,957 | |||||||||||
37,925 | 39,602 | 37,815 | 39,109 | ||||||||||||
Mortgage-backed securities | 10,459 | 10,808 | 10,011 | 10,286 | |||||||||||
$ | 48,384 | $ | 50,410 | $ | 47,826 | $ | 49,395 | ||||||||
Held to maturity | |||||||||||||||
Due in 1 year or less | $ | 318 | $ | 321 | $ | 353 | $ | 355 | |||||||
Due after 1 year through 5 years | 2,594 | 2,706 | 2,603 | 2,693 | |||||||||||
Due after 5 years through 10 years | 1,214 | 1,270 | 1,439 | 1,489 | |||||||||||
Due after 10 years | 949 | 1,027 | 953 | 1,013 | |||||||||||
5,075 | 5,324 | 5,348 | 5,550 | ||||||||||||
Mortgage-backed securities | 1,907 | 1,983 | 1,983 | 2,039 | |||||||||||
$ | 6,982 | $ | 7,307 | $ | 7,331 | $ | 7,589 |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Cost | $ | 447 | $ | 440 | |||
Gross unrealized appreciation | 99 | 83 | |||||
Gross unrealized depreciation | (10 | ) | (13 | ) | |||
Fair value | $ | 536 | $ | 510 |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Fixed maturities: | |||||||
OTTI on fixed maturities, gross | $ | (13 | ) | $ | (6 | ) | |
OTTI on fixed maturities recognized in OCI (pre-tax) | — | 1 | |||||
OTTI on fixed maturities, net | (13 | ) | (5 | ) | |||
Gross realized gains excluding OTTI | 44 | 36 | |||||
Gross realized losses excluding OTTI | (35 | ) | (20 | ) | |||
Total fixed maturities | (4 | ) | 11 | ||||
Equity securities: | |||||||
OTTI on equity securities | — | (6 | ) | ||||
Gross realized gains excluding OTTI | 3 | 2 | |||||
Gross realized losses excluding OTTI | (2 | ) | (1 | ) | |||
Total equity securities | 1 | (5 | ) | ||||
OTTI on other investments | — | — | |||||
Foreign exchange losses | (31 | ) | (9 | ) | |||
Investment and embedded derivative instruments | 1 | (25 | ) | ||||
Fair value adjustments on insurance derivative | (45 | ) | (48 | ) | |||
S&P put options and futures | (12 | ) | (19 | ) | |||
Other derivative instruments | — | (2 | ) | ||||
Other | 1 | (7 | ) | ||||
Net realized gains (losses) | $ | (89 | ) | $ | (104 | ) |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Balance of credit losses related to securities still held – beginning of period | $ | 28 | $ | 37 | |||
Additions where no OTTI was previously recorded | 3 | 2 | |||||
Additions where an OTTI was previously recorded | 1 | 2 | |||||
Reductions for securities sold during the period | (10 | ) | (6 | ) | |||
Balance of credit losses related to securities still held – end of period | $ | 22 | $ | 35 |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
March 31, 2015 | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
U.S. Treasury and agency | $ | 443 | $ | (1 | ) | $ | 141 | $ | (1 | ) | $ | 584 | $ | (2 | ) | ||||||||
Foreign | 1,747 | (64 | ) | 317 | (12 | ) | 2,064 | (76 | ) | ||||||||||||||
Corporate securities | 2,140 | (79 | ) | 500 | (15 | ) | 2,640 | (94 | ) | ||||||||||||||
Mortgage-backed securities | 1,301 | (6 | ) | 560 | (8 | ) | 1,861 | (14 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 462 | (3 | ) | 89 | (2 | ) | 551 | (5 | ) | ||||||||||||||
Total fixed maturities | 6,093 | (153 | ) | 1,607 | (38 | ) | 7,700 | (191 | ) | ||||||||||||||
Equity securities | 68 | (10 | ) | — | — | 68 | (10 | ) | |||||||||||||||
Other investments | 92 | (6 | ) | — | — | 92 | (6 | ) | |||||||||||||||
Total | $ | 6,253 | $ | (169 | ) | $ | 1,607 | $ | (38 | ) | $ | 7,860 | $ | (207 | ) |
0 – 12 Months | Over 12 Months | Total | |||||||||||||||||||||
December 31, 2014 | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | Fair Value | Gross Unrealized Loss | |||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||
U.S. Treasury and agency | $ | 350 | $ | (1 | ) | $ | 666 | $ | (9 | ) | $ | 1,016 | $ | (10 | ) | ||||||||
Foreign | 2,262 | (75 | ) | 375 | (15 | ) | 2,637 | (90 | ) | ||||||||||||||
Corporate securities | 4,684 | (150 | ) | 738 | (22 | ) | 5,422 | (172 | ) | ||||||||||||||
Mortgage-backed securities | 704 | (2 | ) | 1,663 | (28 | ) | 2,367 | (30 | ) | ||||||||||||||
States, municipalities, and political subdivisions | 458 | (3 | ) | 490 | (5 | ) | 948 | (8 | ) | ||||||||||||||
Total fixed maturities | 8,458 | (231 | ) | 3,932 | (79 | ) | 12,390 | (310 | ) | ||||||||||||||
Equity securities | 101 | (13 | ) | — | — | 101 | (13 | ) | |||||||||||||||
Total | $ | 8,559 | $ | (244 | ) | $ | 3,932 | $ | (79 | ) | $ | 12,491 | $ | (323 | ) |
March 31 | December 31 | ||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Trust funds | $ | 11,132 | $ | 10,838 | |||
Deposits with non-U.S. regulatory authorities | 2,296 | 2,305 | |||||
Assets pledged under repurchase agreements | 1,459 | 1,431 | |||||
Deposits with U.S. regulatory authorities | 1,336 | 1,345 | |||||
Other pledged assets | 446 | 457 | |||||
$ | 16,669 | $ | 16,376 |
|
March 31, 2015 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,747 | $ | 1,142 | $ | — | $ | 2,889 | |||||||
Foreign | — | 14,925 | 22 | 14,947 | |||||||||||
Corporate securities | — | 17,832 | 167 | 17,999 | |||||||||||
Mortgage-backed securities | — | 10,775 | 33 | 10,808 | |||||||||||
States, municipalities, and political subdivisions | — | 3,767 | — | 3,767 | |||||||||||
1,747 | 48,441 | 222 | 50,410 | ||||||||||||
Equity securities | 518 | 16 | 2 | 536 | |||||||||||
Short-term investments | 1,469 | 1,067 | — | 2,536 | |||||||||||
Other investments | 364 | 277 | 2,789 | 3,430 | |||||||||||
Securities lending collateral | — | 1,033 | — | 1,033 | |||||||||||
Investment derivative instruments | 21 | — | — | 21 | |||||||||||
Other derivative instruments | — | 1 | — | 1 | |||||||||||
Separate account assets | 1,488 | 86 | — | 1,574 | |||||||||||
Total assets measured at fair value | $ | 5,607 | $ | 50,921 | $ | 3,013 | $ | 59,541 | |||||||
Liabilities: | |||||||||||||||
Investment derivative instruments | $ | 25 | $ | — | $ | — | $ | 25 | |||||||
Other derivative instruments | 3 | — | 4 | 7 | |||||||||||
GLB(1) | — | — | 451 | 451 | |||||||||||
Total liabilities measured at fair value | $ | 28 | $ | — | $ | 455 | $ | 483 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
December 31, 2014 | Level 1 | Level 2 | Level 3 | Total | |||||||||||
(in millions of U.S. dollars) | |||||||||||||||
Assets: | |||||||||||||||
Fixed maturities available for sale | |||||||||||||||
U.S. Treasury and agency | $ | 1,680 | $ | 1,140 | $ | — | $ | 2,820 | |||||||
Foreign | — | 15,220 | 22 | 15,242 | |||||||||||
Corporate securities | — | 17,244 | 187 | 17,431 | |||||||||||
Mortgage-backed securities | — | 10,271 | 15 | 10,286 | |||||||||||
States, municipalities, and political subdivisions | — | 3,616 | — | 3,616 | |||||||||||
1,680 | 47,491 | 224 | 49,395 | ||||||||||||
Equity securities | 492 | 16 | 2 | 510 | |||||||||||
Short-term investments | 1,183 | 1,139 | — | 2,322 | |||||||||||
Other investments | 370 | 257 | 2,719 | 3,346 | |||||||||||
Securities lending collateral | — | 1,330 | — | 1,330 | |||||||||||
Investment derivative instruments | 18 | — | — | 18 | |||||||||||
Other derivative instruments | — | 2 | — | 2 | |||||||||||
Separate account assets | 1,400 | 90 | — | 1,490 | |||||||||||
Total assets measured at fair value | $ | 5,143 | $ | 50,325 | $ | 2,945 | $ | 58,413 | |||||||
Liabilities: | |||||||||||||||
Investment derivative instruments | $ | 36 | $ | — | $ | — | $ | 36 | |||||||
Other derivative instruments | 21 | — | 4 | 25 | |||||||||||
GLB(1) | — | — | 406 | 406 | |||||||||||
Total liabilities measured at fair value | $ | 57 | $ | — | $ | 410 | $ | 467 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
March 31 | December 31 | ||||||||||||||||
Expected Liquidation Period of Underlying Assets | 2015 | 2014 | |||||||||||||||
(in millions of U.S. dollars) | Fair Value | Maximum Future Funding Commitments | Fair Value | Maximum Future Funding Commitments | |||||||||||||
Financial | 5 to 9 Years | $ | 298 | $ | 130 | $ | 282 | $ | 145 | ||||||||
Real Assets | 3 to 7 Years | 478 | 193 | 464 | 214 | ||||||||||||
Distressed | 5 to 9 Years | 251 | 249 | 232 | 175 | ||||||||||||
Private Credit | 3 to 7 Years | 303 | 181 | 299 | 190 | ||||||||||||
Traditional | 3 to 9 Years | 910 | 239 | 895 | 285 | ||||||||||||
Vintage | 1 to 2 Years | 9 | — | 11 | 1 | ||||||||||||
Investment funds | Not Applicable | 383 | — | 378 | — | ||||||||||||
$ | 2,632 | $ | 992 | $ | 2,561 | $ | 1,010 |
(in millions of U.S. dollars, except for percentages) | Fair Value | Valuation Technique | Significant Unobservable Inputs | Ranges | |||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||
GLB(1) | $ | 451 | $ | 406 | Actuarial model | Lapse rate | 1% – 30% | ||||||
Annuitization rate | 0% – 55% |
(1) | Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits. |
Assets | Liabilities | ||||||||||||||||||||||||
Three Months Ended | Available-for-Sale Debt Securities | Equity securities | Other investments | Other derivative instruments | GLB(1) | ||||||||||||||||||||
March 31, 2015 | Foreign | Corporate securities | MBS | ||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||
Balance–Beginning of Period | $ | 22 | $ | 187 | $ | 15 | $ | 2 | $ | 2,719 | $ | 4 | $ | 406 | |||||||||||
Transfers into Level 3 | — | 1 | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | ||||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | — | 3 | — | — | (20 | ) | — | — | |||||||||||||||||
Net Realized Gains/Losses | — | (3 | ) | — | — | — | — | 45 | |||||||||||||||||
Purchases | 1 | 8 | 18 | — | 147 | — | — | ||||||||||||||||||
Sales | (1 | ) | (3 | ) | — | — | — | — | — | ||||||||||||||||
Settlements | — | (26 | ) | — | — | (57 | ) | — | — | ||||||||||||||||
Balance–End of Period | $ | 22 | $ | 167 | $ | 33 | $ | 2 | $ | 2,789 | $ | 4 | $ | 451 | |||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | (2 | ) | $ | — | $ | — | $ | — | $ | — | $ | 45 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information. |
Assets | Liabilities | ||||||||||||||||||||||||||
Three Months Ended | Available-for-Sale Debt Securities | Equity securities | Short-term investments | Other investments | GLB(1) | ||||||||||||||||||||||
March 31, 2014 | Foreign | Corporate securities | MBS | ||||||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Balance–Beginning of Period | $ | 44 | $ | 166 | $ | 8 | $ | 4 | $ | 7 | $ | 2,440 | $ | 193 | |||||||||||||
Transfers into Level 3 | — | 4 | — | — | — | — | — | ||||||||||||||||||||
Transfers out of Level 3 | (18 | ) | (22 | ) | — | (2 | ) | (7 | ) | — | — | ||||||||||||||||
Change in Net Unrealized Gains (Losses) included in OCI | (1 | ) | — | — | 1 | — | 41 | — | |||||||||||||||||||
Net Realized Gains/Losses | — | — | — | — | — | — | 50 | ||||||||||||||||||||
Purchases | 2 | 15 | — | 1 | — | 200 | — | ||||||||||||||||||||
Sales | (1 | ) | (6 | ) | — | (2 | ) | — | (1 | ) | — | ||||||||||||||||
Settlements | — | (6 | ) | — | — | — | (69 | ) | — | ||||||||||||||||||
Balance–End of Period | $ | 26 | $ | 151 | $ | 8 | $ | 2 | $ | — | $ | 2,611 | $ | 243 | |||||||||||||
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 50 |
(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 $483 million at March 31, 2014, and $427 million at December 31, 2013, which includes a fair value derivative adjustment of $243 million and $193 million, respectively. |
March 31, 2015 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 590 | $ | 190 | $ | — | $ | 780 | $ | 756 | |||||||||
Foreign | — | 873 | — | 873 | 816 | ||||||||||||||
Corporate securities | — | 2,357 | 14 | 2,371 | 2,249 | ||||||||||||||
Mortgage-backed securities | — | 1,983 | — | 1,983 | 1,907 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,300 | — | 1,300 | 1,254 | ||||||||||||||
590 | 6,703 | 14 | 7,307 | 6,982 | |||||||||||||||
Partially-owned insurance companies | — | — | 590 | 590 | 590 | ||||||||||||||
Total assets | $ | 590 | $ | 6,703 | $ | 604 | $ | 7,897 | $ | 7,572 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 2,563 | $ | — | $ | 2,563 | $ | 2,552 | |||||||||
Long-term debt | — | 4,575 | — | 4,575 | 4,157 | ||||||||||||||
Trust preferred securities | — | 465 | — | 465 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 7,603 | $ | — | $ | 7,603 | $ | 7,018 |
December 31, 2014 | Fair Value | Carrying Value | |||||||||||||||||
(in millions of U.S. dollars) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Fixed maturities held to maturity | |||||||||||||||||||
U.S. Treasury and agency | $ | 659 | $ | 191 | $ | — | $ | 850 | $ | 832 | |||||||||
Foreign | — | 963 | — | 963 | 916 | ||||||||||||||
Corporate securities | — | 2,408 | 15 | 2,423 | 2,323 | ||||||||||||||
Mortgage-backed securities | — | 2,039 | — | 2,039 | 1,983 | ||||||||||||||
States, municipalities, and political subdivisions | — | 1,314 | — | 1,314 | 1,277 | ||||||||||||||
659 | 6,915 | 15 | 7,589 | 7,331 | |||||||||||||||
Partially-owned insurance companies | — | — | 504 | 504 | 504 | ||||||||||||||
Total assets | $ | 659 | $ | 6,915 | $ | 519 | $ | 8,093 | $ | 7,835 | |||||||||
Liabilities: | |||||||||||||||||||
Short-term debt | $ | — | $ | 2,571 | $ | — | $ | 2,571 | $ | 2,552 | |||||||||
Long-term debt | — | 3,690 | — | 3,690 | 3,357 | ||||||||||||||
Trust preferred securities | — | 462 | — | 462 | 309 | ||||||||||||||
Total liabilities | $ | — | $ | 6,723 | $ | — | $ | 6,723 | $ | 6,218 |
|
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
GMDB | |||||||
Net premiums earned | $ | 16 | $ | 19 | |||
Policy benefits and other reserve adjustments | $ | 9 | $ | 15 | |||
GLB | |||||||
Net premiums earned | $ | 32 | $ | 36 | |||
Policy benefits and other reserve adjustments | 12 | 9 | |||||
Net realized gains (losses) | (45 | ) | (50 | ) | |||
Loss recognized in Net income | $ | (25 | ) | $ | (23 | ) | |
Less: Net cash received | 28 | 33 | |||||
Net increase in liability | $ | (53 | ) | $ | (56 | ) |
|
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Consolidated Balance Sheet Location | Fair Value | Notional Value/ Payment Provision | Fair Value | Notional Value/ Payment Provision | |||||||||||||||||||||
(in millions of U.S. dollars) | Derivative Asset | Derivative (Liability) | Derivative Asset | Derivative (Liability) | |||||||||||||||||||||
Investment and embedded derivative instruments | |||||||||||||||||||||||||
Foreign currency forward contracts | OA / (AP) | $ | 15 | $ | (8 | ) | $ | 1,160 | $ | 12 | $ | (7 | ) | $ | 1,329 | ||||||||||
Cross-currency swaps | OA / (AP) | — | — | 95 | — | — | 95 | ||||||||||||||||||
Futures contracts on money market instruments | OA / (AP) | 1 | (1 | ) | 4,355 | — | — | 2,467 | |||||||||||||||||
Options/Futures contracts on notes and bonds | OA / (AP) | 5 | (16 | ) | 1,276 | 6 | (29 | ) | 1,636 | ||||||||||||||||
Convertible securities(1) | FM AFS / ES | 298 | — | 272 | 291 | — | 267 | ||||||||||||||||||
TBAs | FM AFS | 31 | — | 30 | — | — | — | ||||||||||||||||||
$ | 350 | $ | (25 | ) | $ | 7,188 | $ | 309 | $ | (36 | ) | $ | 5,794 | ||||||||||||
Other derivative instruments | |||||||||||||||||||||||||
Futures contracts on equities (2) | OA / (AP) | $ | — | $ | (3 | ) | $ | 1,340 | $ | — | $ | (21 | ) | $ | 1,384 | ||||||||||
Options on equity market indices (2) | OA / (AP) | 1 | — | 250 | 2 | — | 250 | ||||||||||||||||||
Other | OA / (AP) | — | (4 | ) | 10 | — | (4 | ) | 10 | ||||||||||||||||
$ | 1 | $ | (7 | ) | $ | 1,600 | $ | 2 | $ | (25 | ) | $ | 1,644 | ||||||||||||
GLB(3) | (AP) / (FPB) | $ | — | $ | (716 | ) | $ | 748 | $ | — | $ | (663 | ) | $ | 675 |
(1) | Includes fair value of embedded derivatives. |
(2) | Related to GMDB and GLB blocks of business. |
(3) | Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts. |
Three Months Ended | |||||||
March 31 | |||||||
(in millions of U.S. dollars) | 2015 | 2014 | |||||
Investment and embedded derivative instruments | |||||||
Foreign currency forward contracts | $ | 25 | $ | (3 | ) | ||
All other futures contracts and options | (29 | ) | (22 | ) | |||
Convertible securities(1) | 5 | — | |||||
Total investment and embedded derivative instruments | $ | 1 | $ | (25 | ) | ||
GLB and other derivative instruments | |||||||
GLB(2) | $ | (45 | ) | $ | (48 | ) | |
Futures contracts on equities(3) | (11 | ) | (17 | ) | |||
Options on equity market indices(3) | (1 | ) | (2 | ) | |||
Other | — | (2 | ) | ||||
Total GLB and other derivative instruments | $ | (57 | ) | $ | (69 | ) | |
$ | (56 | ) | $ | (94 | ) |
(1) | Includes embedded derivatives. |
(2) | Excludes foreign exchange gains (losses) related to GLB. |
(3) | Related to GMDB and GLB blocks of business. |
|
For the Three Months Ended March 31, 2015 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,430 | $ | 88 | $ | 1,794 | $ | 273 | $ | 491 | $ | — | $ | 4,076 | |||||||||||||
Net premiums earned | 1,526 | 64 | 1,637 | 226 | 474 | — | 3,927 | ||||||||||||||||||||
Losses and loss expenses | 1,035 | 22 | 814 | 99 | 152 | — | 2,122 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 142 | — | 142 | ||||||||||||||||||||
Policy acquisition costs | 161 | (4 | ) | 389 | 54 | 107 | — | 707 | |||||||||||||||||||
Administrative expenses | 171 | (1 | ) | 256 | 12 | 73 | 43 | 554 | |||||||||||||||||||
Underwriting income (loss) | 159 | 47 | 178 | 61 | — | (43 | ) | 402 | |||||||||||||||||||
Net investment income | 263 | 6 | 138 | 75 | 66 | 3 | 551 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (6 | ) | — | (10 | ) | (11 | ) | (59 | ) | (3 | ) | (89 | ) | ||||||||||||||
Interest expense | 2 | — | 1 | 1 | 1 | 63 | 68 | ||||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | (11 | ) | — | (11 | ) | ||||||||||||||||||
Other | (7 | ) | 8 | 17 | (5 | ) | (12 | ) | 5 | 6 | |||||||||||||||||
Income tax expense (benefit) | 80 | 10 | 52 | 8 | 9 | (39 | ) | 120 | |||||||||||||||||||
Net income (loss) | $ | 341 | $ | 35 | $ | 236 | $ | 121 | $ | 20 | $ | (72 | ) | $ | 681 | ||||||||||||
For the Three Months Ended March 31, 2014 | Insurance – North American P&C | Insurance – North American Agriculture | Insurance – Overseas General | Global Reinsurance | Life | Corporate | ACE Consolidated | ||||||||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||||||||||
Net premiums written | $ | 1,418 | $ | 194 | $ | 1,771 | $ | 308 | $ | 494 | $ | — | $ | 4,185 | |||||||||||||
Net premiums earned | 1,487 | 103 | 1,612 | 284 | 484 | — | 3,970 | ||||||||||||||||||||
Losses and loss expenses | 940 | 126 | 817 | 126 | 151 | 1 | 2,161 | ||||||||||||||||||||
Policy benefits | — | — | — | — | 114 | — | 114 | ||||||||||||||||||||
Policy acquisition costs | 159 | 5 | 386 | 67 | 111 | — | 728 | ||||||||||||||||||||
Administrative expenses | 161 | 1 | 250 | 14 | 68 | 41 | 535 | ||||||||||||||||||||
Underwriting income (loss) | 227 | (29 | ) | 159 | 77 | 40 | (42 | ) | 432 | ||||||||||||||||||
Net investment income | 270 | 7 | 132 | 77 | 64 | 3 | 553 | ||||||||||||||||||||
Net realized gains (losses) including OTTI | (9 | ) | (2 | ) | (10 | ) | (8 | ) | (76 | ) | 1 | (104 | ) | ||||||||||||||
Interest expense | 3 | — | 1 | 1 | 3 | 63 | 71 | ||||||||||||||||||||
Other (income) expense: | |||||||||||||||||||||||||||
(Gains) losses from fair value changes in separate account assets | — | — | — | — | 6 | — | 6 | ||||||||||||||||||||
Other | (20 | ) | 8 | (6 | ) | (19 | ) | 7 | 7 | (23 | ) | ||||||||||||||||
Income tax expense (benefit) | 83 | (7 | ) | 37 | 10 | 10 | (40 | ) | 93 | ||||||||||||||||||
Net income (loss) | $ | 422 | $ | (25 | ) | $ | 249 | $ | 154 | $ | 2 | $ | (68 | ) | $ | 734 |
(in millions of U.S. dollars) | Property & All Other | Casualty | Life, Accident & Health | ACE Consolidated | |||||||||||
For the Three Months Ended March 31, 2015 | |||||||||||||||
Insurance – North American P&C | $ | 410 | $ | 1,015 | $ | 101 | $ | 1,526 | |||||||
Insurance – North American Agriculture | 64 | — | — | 64 | |||||||||||
Insurance – Overseas General | 728 | 382 | 527 | 1,637 | |||||||||||
Global Reinsurance | 117 | 109 | — | 226 | |||||||||||
Life | — | — | 474 | 474 | |||||||||||
$ | 1,319 | $ | 1,506 | $ | 1,102 | $ | 3,927 | ||||||||
For the Three Months Ended March 31, 2014 | |||||||||||||||
Insurance – North American P&C | $ | 405 | $ | 981 | $ | 101 | $ | 1,487 | |||||||
Insurance – North American Agriculture | 103 | — | — | 103 | |||||||||||
Insurance – Overseas General | 693 | 369 | 550 | 1,612 | |||||||||||
Global Reinsurance | 154 | 130 | — | 284 | |||||||||||
Life | — | — | 484 | 484 | |||||||||||
$ | 1,355 | $ | 1,480 | $ | 1,135 | $ | 3,970 |
|
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 31 | $ | 10 | $ | 63,853 | $ | — | $ | 63,894 | |||||||||
Cash(1) | 2 | 366 | 658 | (78 | ) | 948 | |||||||||||||
Insurance and reinsurance balances receivable | — | — | 5,746 | (720 | ) | 5,026 | |||||||||||||
Reinsurance recoverable on losses and loss expenses | — | — | 20,292 | (8,704 | ) | 11,588 | |||||||||||||
Reinsurance recoverable on policy benefits | — | — | 1,171 | (956 | ) | 215 | |||||||||||||
Value of business acquired | — | — | 440 | — | 440 | ||||||||||||||
Goodwill and other intangible assets | — | — | 5,516 | — | 5,516 | ||||||||||||||
Investments in subsidiaries | 29,798 | 18,767 | — | (48,565 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 233 | — | — | (233 | ) | — | |||||||||||||
Other assets | 4 | 291 | 14,088 | (3,612 | ) | 10,771 | |||||||||||||
Total assets | $ | 30,068 | $ | 19,434 | $ | 111,764 | $ | (62,868 | ) | $ | 98,398 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | — | $ | 45,518 | $ | (8,192 | ) | $ | 37,326 | ||||||||
Unearned premiums | — | — | 9,912 | (1,730 | ) | 8,182 | |||||||||||||
Future policy benefits | — | — | 5,700 | (956 | ) | 4,744 | |||||||||||||
Due to subsidiaries and affiliates, net | — | 103 | 130 | (233 | ) | — | |||||||||||||
Affiliated notional cash pooling programs(1) | 78 | — | — | (78 | ) | — | |||||||||||||
Short-term debt | — | 1,150 | 1,402 | — | 2,552 | ||||||||||||||
Long-term debt | — | 4,145 | 12 | — | 4,157 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 288 | 1,434 | 12,818 | (3,114 | ) | 11,426 | |||||||||||||
Total liabilities | 366 | 7,141 | 75,492 | (14,303 | ) | 68,696 | |||||||||||||
Total shareholders’ equity | 29,702 | 12,293 | 36,272 | (48,565 | ) | 29,702 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 30,068 | $ | 19,434 | $ | 111,764 | $ | (62,868 | ) | $ | 98,398 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2015, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
(in millions of U.S. dollars) | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
Assets | |||||||||||||||||||
Investments | $ | 30 | $ | 225 | $ | 62,649 | $ | — | $ | 62,904 | |||||||||
Cash(1) | — | 1 | 1,209 | (555 | ) | 655 | |||||||||||||
Insurance and reinsurance balances receivable | — | — | 6,178 | (752 | ) | 5,426 | |||||||||||||
Reinsurance recoverable on losses and loss expenses | — | — | 20,992 | (9,000 | ) | 11,992 | |||||||||||||
Reinsurance recoverable on policy benefits | — | — | 1,194 | (977 | ) | 217 | |||||||||||||
Value of business acquired | — | — | 466 | — | 466 | ||||||||||||||
Goodwill and other intangible assets | — | — | 5,724 | — | 5,724 | ||||||||||||||
Investments in subsidiaries | 29,497 | 18,762 | — | (48,259 | ) | — | |||||||||||||
Due from subsidiaries and affiliates, net | 583 | — | — | (583 | ) | — | |||||||||||||
Other assets | 4 | 295 | 14,196 | (3,631 | ) | 10,864 | |||||||||||||
Total assets | $ | 30,114 | $ | 19,283 | $ | 112,608 | $ | (63,757 | ) | $ | 98,248 | ||||||||
Liabilities | |||||||||||||||||||
Unpaid losses and loss expenses | $ | — | $ | — | $ | 46,770 | $ | (8,455 | ) | $ | 38,315 | ||||||||
Unearned premiums | — | — | 9,958 | (1,736 | ) | 8,222 | |||||||||||||
Future policy benefits | — | — | 5,731 | (977 | ) | 4,754 | |||||||||||||
Due to subsidiaries and affiliates, net | — | 422 | 161 | (583 | ) | — | |||||||||||||
Affiliated notional cash pooling programs(1) | 246 | 309 | — | (555 | ) | — | |||||||||||||
Short-term debt | — | 1,150 | 1,402 | — | 2,552 | ||||||||||||||
Long-term debt | — | 3,345 | 12 | — | 3,357 | ||||||||||||||
Trust preferred securities | — | 309 | — | — | 309 | ||||||||||||||
Other liabilities | 281 | 1,404 | 12,659 | (3,192 | ) | 11,152 | |||||||||||||
Total liabilities | 527 | 6,939 | 76,693 | (15,498 | ) | 68,661 | |||||||||||||
Total shareholders’ equity | 29,587 | 12,344 | 35,915 | (48,259 | ) | 29,587 | |||||||||||||
Total liabilities and shareholders’ equity | $ | 30,114 | $ | 19,283 | $ | 112,608 | $ | (63,757 | ) | $ | 98,248 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At December 31, 2014, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
For the Three Months Ended March 31, 2015 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | — | $ | 4,076 | $ | — | $ | 4,076 | |||||||||
Net premiums earned | — | — | 3,927 | — | 3,927 | ||||||||||||||
Net investment income | 1 | 1 | 549 | — | 551 | ||||||||||||||
Equity in earnings of subsidiaries | 648 | 204 | — | (852 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | — | — | (89 | ) | — | (89 | ) | ||||||||||||
Losses and loss expenses | — | — | 2,122 | — | 2,122 | ||||||||||||||
Policy benefits | — | — | 142 | — | 142 | ||||||||||||||
Policy acquisition costs and administrative expenses | 14 | 6 | 1,241 | — | 1,261 | ||||||||||||||
Interest (income) expense | (8 | ) | 69 | 7 | — | 68 | |||||||||||||
Other (income) expense | (41 | ) | (3 | ) | 39 | — | (5 | ) | |||||||||||
Income tax expense (benefit) | 3 | (26 | ) | 143 | — | 120 | |||||||||||||
Net income | $ | 681 | $ | 159 | $ | 693 | $ | (852 | ) | $ | 681 | ||||||||
Comprehensive income | $ | 642 | $ | 24 | $ | 654 | $ | (678 | ) | $ | 642 |
For the Three Months Ended March 31, 2014 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net premiums written | $ | — | $ | — | $ | 4,185 | $ | — | $ | 4,185 | |||||||||
Net premiums earned | — | — | 3,970 | — | 3,970 | ||||||||||||||
Net investment income | — | — | 553 | — | 553 | ||||||||||||||
Equity in earnings of subsidiaries | 702 | 180 | — | (882 | ) | — | |||||||||||||
Net realized gains (losses) including OTTI | — | (1 | ) | (103 | ) | — | (104 | ) | |||||||||||
Losses and loss expenses | — | — | 2,161 | — | 2,161 | ||||||||||||||
Policy benefits | — | — | 114 | — | 114 | ||||||||||||||
Policy acquisition costs and administrative expenses | 17 | 6 | 1,240 | — | 1,263 | ||||||||||||||
Interest (income) expense | (10 | ) | 71 | 10 | — | 71 | |||||||||||||
Other (income) expense | (42 | ) | 14 | 11 | — | (17 | ) | ||||||||||||
Income tax expense (benefit) | 3 | (30 | ) | 120 | — | 93 | |||||||||||||
Net income | $ | 734 | $ | 118 | $ | 764 | $ | (882 | ) | $ | 734 | ||||||||
Comprehensive income | $ | 1,108 | $ | 266 | $ | 1,138 | $ | (1,404 | ) | $ | 1,108 |
Three Months Ended March 31, 2015 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from operating activities | $ | 48 | $ | 4 | $ | 1,023 | $ | — | $ | 1,075 | |||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | — | (4,336 | ) | — | (4,336 | ) | ||||||||||||
Purchases of fixed maturities held to maturity | — | — | (21 | ) | — | (21 | ) | ||||||||||||
Purchases of equity securities | — | — | (39 | ) | — | (39 | ) | ||||||||||||
Sales of fixed maturities available for sale | — | — | 2,002 | — | 2,002 | ||||||||||||||
Sales of equity securities | — | — | 28 | — | 28 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | — | 1,481 | — | 1,481 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | — | 324 | — | 324 | ||||||||||||||
Net change in short-term investments | — | 216 | (471 | ) | — | (255 | ) | ||||||||||||
Net derivative instruments settlements | — | — | (51 | ) | — | (51 | ) | ||||||||||||
Other | — | — | (153 | ) | — | (153 | ) | ||||||||||||
Net cash flows from (used for) investing activities | — | 216 | (1,236 | ) | — | (1,020 | ) | ||||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (214 | ) | — | — | — | (214 | ) | ||||||||||||
Common Shares repurchased | — | — | (347 | ) | — | (347 | ) | ||||||||||||
Proceeds from issuance of long-term debt | — | 800 | — | — | 800 | ||||||||||||||
Proceeds from issuance of short-term debt | — | — | 477 | — | 477 | ||||||||||||||
Repayment of short-term debt | — | — | (477 | ) | — | (477 | ) | ||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | — | 39 | — | 39 | ||||||||||||||
Advances (to) from affiliates | 336 | (340 | ) | 4 | — | — | |||||||||||||
Net payments to affiliated notional cash pooling programs(1) | (168 | ) | (309 | ) | — | 477 | — | ||||||||||||
Policyholder contract deposits | — | — | 101 | — | 101 | ||||||||||||||
Policyholder contract withdrawals | — | — | (40 | ) | — | (40 | ) | ||||||||||||
Other | — | (6 | ) | — | — | (6 | ) | ||||||||||||
Net cash flows (used for) from financing activities | (46 | ) | 145 | (243 | ) | 477 | 333 | ||||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | — | (95 | ) | — | (95 | ) | ||||||||||||
Net increase (decrease) in cash | 2 | 365 | (551 | ) | 477 | 293 | |||||||||||||
Cash – beginning of period(1) | — | 1 | 1,209 | (555 | ) | 655 | |||||||||||||
Cash – end of period(1) | $ | 2 | $ | 366 | $ | 658 | $ | (78 | ) | $ | 948 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2015 and December 31, 2014, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
Three Months Ended March 31, 2014 | ACE Limited (Parent Guarantor) | ACE INA Holdings Inc. (Subsidiary Issuer) | Other ACE Limited Subsidiaries | Consolidating Adjustments and Eliminations | ACE Limited Consolidated | ||||||||||||||
(in millions of U.S. dollars) | |||||||||||||||||||
Net cash flows from (used for) operating activities | $ | 57 | $ | (13 | ) | $ | 1,206 | $ | — | $ | 1,250 | ||||||||
Cash flows from investing activities | |||||||||||||||||||
Purchases of fixed maturities available for sale | — | — | (3,522 | ) | — | (3,522 | ) | ||||||||||||
Purchases of fixed maturities held to maturity | — | — | (30 | ) | — | (30 | ) | ||||||||||||
Purchases of equity securities | — | — | (37 | ) | — | (37 | ) | ||||||||||||
Sales of fixed maturities available for sale | — | — | 2,208 | — | 2,208 | ||||||||||||||
Sales of equity securities | — | — | 27 | — | 27 | ||||||||||||||
Maturities and redemptions of fixed maturities available for sale | — | — | 1,550 | — | 1,550 | ||||||||||||||
Maturities and redemptions of fixed maturities held to maturity | — | — | 212 | — | 212 | ||||||||||||||
Net change in short-term investments | — | (8 | ) | (757 | ) | — | (765 | ) | |||||||||||
Net derivative instruments settlements | — | (9 | ) | (87 | ) | — | (96 | ) | |||||||||||
Other | — | (3 | ) | (47 | ) | — | (50 | ) | |||||||||||
Net cash flows used for investing activities | — | (20 | ) | (483 | ) | — | (503 | ) | |||||||||||
Cash flows from financing activities | |||||||||||||||||||
Dividends paid on Common Shares | (214 | ) | — | — | — | (214 | ) | ||||||||||||
Common Shares repurchased | — | — | (335 | ) | — | (335 | ) | ||||||||||||
Proceeds from issuance of short-term debt | — | — | 426 | — | 426 | ||||||||||||||
Repayment of short-term debt | — | — | (426 | ) | — | (426 | ) | ||||||||||||
Proceeds from share-based compensation plans, including windfall tax benefits | — | — | 40 | — | 40 | ||||||||||||||
Advances (to) from affiliates | 367 | (367 | ) | — | — | — | |||||||||||||
Net proceeds from (payments to) affiliated notional cash pooling programs(1) | (185 | ) | 385 | — | (200 | ) | — | ||||||||||||
Policyholder contract deposits | — | — | 51 | — | 51 | ||||||||||||||
Policyholder contract withdrawals | — | — | (14 | ) | — | (14 | ) | ||||||||||||
Net cash flows (used for) from financing activities | (32 | ) | 18 | (258 | ) | (200 | ) | (472 | ) | ||||||||||
Effect of foreign currency rate changes on cash and cash equivalents | — | — | (7 | ) | — | (7 | ) | ||||||||||||
Net increase (decrease) in cash | 25 | (15 | ) | 458 | (200 | ) | 268 | ||||||||||||
Cash – beginning of period(1) | — | 16 | 748 | (185 | ) | 579 | |||||||||||||
Cash – end of period(1) | $ | 25 | $ | 1 | $ | 1,206 | $ | (385 | ) | $ | 847 |
(1) | ACE maintains two notional multicurrency cash pools (Pools) with a third-party bank. Various ACE entities participate in one or the other of the Pools, pursuant to which credit and debit balances in individual ACE accounts are translated daily into a single currency and pooled on a notional basis. Individual ACE entities are permitted to overdraw on their individual accounts provided the overall Pool balances do not fall below zero. At March 31, 2014 and December 31, 2013, the cash balance of one or more entities was negative; however, the overall Pool balances were positive. |
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