Chubb Ltd - FORM 8-K - EX-99.2 - THIRD QUARTER 2011 FINANCIAL SUPPLEMENT

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EX-99.1 - PRESS RELEASE - Chubb Ltd	d246736dex991.htm
8-K - FORM 8-K - Chubb Ltd	d246736d8k.htm

Exhibit 99.2

LOGO


Investor Contact		This report is for informational purposes only. It should be read in conjunction with documents filed by ACE Limited with the Securities and Exchange Commission, including the most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q.
Helen M. Wilson
Phone: (441) 299-9283
Fax: (441) 292-8675 email: investorrelations@acegroup.com		Cautionary Statement Regarding Forward-Looking Statements:

		Any forward-looking statements made in this financial supplement reflect ACE’s current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties which may cause actual results to differ materially from those set forth in these statements. For example, the tables on page 10 include hypothetical future performance estimates based on estimates of future levels of the S&P 500 index and 10-Year Treasury yields, and the numbers and estimates in that table will necessarily vary based on future events and circumstances. Our forward-looking statements, such as statements concerning exposures, reserves and recoverables, could be affected by the frequency of unpredictable catastrophic events, actual loss experience, uncertainties in the reserving or settlement process, new theories of liability, judicial, legislative, regulatory and other governmental developments, litigation tactics and developments, investigation developments and actual settlement terms, the amount and timing of reinsurance receivable and credit developments among reinsurers.

		Our forward-looking statements could also be affected by competition, pricing and policy term trends, market acceptance, changes in demand, actual market developments, rating agency action, possible terrorism or the outbreak and effects of war. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the dates on which they are made. We undertake no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

ACE Limited

Financial Supplement Table of Contents


		Page
I.	Financial Highlights
	- Consolidated Financial Highlights	1

II.	Consolidated Results
	- Consolidated Results - Consecutive Quarters	2
	- Summary Consolidated Balance Sheets	3
	- Consolidated Premiums and Income Excluding Net Realized Gains (Losses) by Line of Business	4 - 5

III.	Segment Results
	- Insurance - North American	6
	- Insurance - Overseas General	7
	- Global Reinsurance	8
	- Life	9
	- Variable Annuity Reinsurance Lines	10

IV.	Balance Sheet Details
	- Loss Reserve Rollforward	11
	- Reinsurance Recoverable Analysis	12
	- Investment Portfolio	13 - 19
	- Net Realized and Unrealized Gains (Losses)	20
	- Capital Structure	21
	- Computation of Basic and Diluted Earnings Per Share	22

V.	Other Disclosures
	- Non-GAAP Financial Measures	23
	- Book Value and Book Value per Common Share	24
	- Glossary	25

ACE Limited

Consolidated Financial Highlights

(in millions of U.S. dollars, except share, per share data, and ratios)

(Unaudited)


							% Change					% Change									% Change					% Change
	Three months ended September 30						3Q-11 vs.			Constant $		3Q-11 vs.			Nine months ended September 30						YTD-11 vs.			Constant $		YTD-11 vs.
	2011			2010			3Q-10			2010 ⁽²⁾		3Q-10 ⁽²⁾			2011			2010			YTD-10			2010 ⁽²⁾		YTD-10 ⁽²⁾
Gross premiums written	$	5,900		$	5,002			18	%	$	5,159		14	%	$	15,967		$	14,946			7	%	$	15,274		5	%
Net premiums written	$	4,343		$	3,295			32	%	$	3,424		27	%	$	11,742		$	10,286			14	%	$	10,545		11	%
Net premiums earned	$	4,490		$	3,422			31	%	$	3,559		26	%	$	11,556		$	9,932			16	%	$	10,220		13	%
Net investment income	$	564		$	516			9	%						$	1,677		$	1,538			9	%
Net income (loss)	$	(31	)	$	675			-105	%						$	835		$	2,107			-60	%
Income excluding net realized gains (losses) ⁽¹⁾	$	759		$	688			10	%						$	1,713		$	1,955			-12	%
Comprehensive income (loss)	$	(181	)	$	1,491			-112	%						$	1,080		$	3,394			-68	%
Operating cash flow	$	935		$	1,084										$	2,998		$	2,775

P&C combined ratio
Loss and loss expense ratio		64.7	%		58.2	%										66.6	%		59.6	%
Underwriting and administrative expense ratio		25.6	%		30.2	%										28.6	%		30.6	%

Combined ratio		90.3	%		88.4	%										95.2	%		90.2	%

Annualized ROE *		13.6	%		13.4	%										10.4	%		13.1	%
Annualized ROE on net income		-0.5	%		12.2	%										4.8	%		13.2	%

Effective tax rate on income excluding net realized gains (losses)		17.6	%		18.7	%										18.0	%		16.9	%

Diluted earnings per share
Income excluding net realized gains (losses)⁽¹⁾	$	2.22		$	2.01			10	%						$	5.02		$	5.73			-12	%
Net income (loss) ⁽³⁾	$	(0.09	)	$	1.97			-105	%						$	2.45		$	6.18			-60	%

Book value per common share															$	70.60		$	67.34			5	%
Tangible book value per common share															$	56.28		$	55.83			1	%

Weighted average basic common shares outstanding		338.4			340.2											338.1			339.5
Weighted average diluted common shares outstanding		340.9			341.9											340.9			340.8

Debt/total capitalization		16.1	%		12.5	%

(1)	See Non-GAAP Financial Measures.

(2)	Prior periods on a constant dollar basis.

(3)	For the three months ended September 30, 2011, weighted-average basic common shares outstanding were used to calculate net loss per share.

*	Calculated using income excluding net realized gains (losses) divided by average shareholders’ equity for the period excluding unrealized gains (losses) on investments and the deferred tax component included in shareholders’ equity. To annualize a quarterly rate, multiply by four.


Financial Highlights		Page 1

ACE Limited

Consolidated Results - Consecutive Quarters

(in millions of U.S. dollars)

(Unaudited)

ACE Limited Consolidated

		3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11
	3Q-11			2Q-11			1Q-11			4Q-10			3Q-10			YTD 2011			YTD 2010			Full Year 2010
Consolidated Results Excluding Life Segment
Gross premiums written	$	5,431		$	4,949		$	4,228		$	4,152		$	4,624		$	14,608		$	13,780		$	17,932
Net premiums written		3,889			3,494			3,037			3,015			2,922			10,420			9,137			12,152
Net premiums earned		4,042			3,305			2,910			3,184			3,036			10,257			8,778			11,962
Losses and loss expenses		2,615			2,079			2,135			1,854			1,768			6,829			5,229			7,083
Policy benefits		—			—			—			—			—			—			4			4
Policy acquisition costs		596			538			494			575			542			1,628			1,505			2,080
Administrative expenses		440			443			426			445			374			1,309			1,185			1,630

Underwriting income (loss) excluding Life segment		391			245			(145	)		310			352			491			855			1,165

Life underwriting income excluding investment income and losses from separate account assets ⁽¹⁾		88			59			51			59			50			198			149			208
Net investment income		564			569			544			532			516			1,677			1,538			2,070
Net realized gains (losses)		(760	)		(73	)		(45	)		305			(50	)		(878	)		127			432
Interest expense		62			62			63			62			58			187			162			224
Other income (expense): ⁽¹⁾
Losses from separate account assets		(39	)		—			—			—			—			(39	)		—			—
Other		(48	)		(9	)		14			(10	)		25			(43	)		26			16
Income tax expense		165			122			97			133			160			384			426			559

Net income (loss)		(31	)		607			259			1,001			675			835			2,107			3,108

Net realized gains (losses)		(760	)		(73	)		(45	)		305			(50	)		(878	)		127			432
Net realized gains (losses) in other income (expense)⁽²⁾		(28	)		2			34			17			39			8			52			69
Tax expense (benefit) on net realized gains (losses)		2			8			(2	)		23			2			8			27			50

Income excluding net realized gains (losses) ⁽³⁾	$	759		$	686		$	268		$	702		$	688		$	1,713		$	1,955		$	2,657

% Change versus prior year period ⁽⁴⁾
Net premiums written		33	%		15	%		-5	%		3	%		5	%		14	%		3	%		3	%
Net premiums earned		33	%		16	%		0	%		6	%		0	%		17	%		0	%		1	%

Net premiums written constant $		28	%		11	%		-5	%		4	%		5	%		11	%		1	%		1	%
Net premiums earned constant $		28	%		12	%		0	%		6	%		1	%		13	%		-2	%		0	%

Other ratios
Net premiums written/gross premiums written		72	%		71	%		72	%		73	%		63	%		71	%		66	%		68	%
Effective tax rate on income excluding net realized gains (losses)		17.6	%		14.3	%		27.0	%		13.5	%		18.7	%		18.0	%		16.9	%		16.1	%

P&C combined ratio ⁽⁴⁾
Loss and loss expense ratio		64.7	%		62.9	%		73.4	%		58.2	%		58.2	%		66.6	%		59.6	%		59.2	%
Policy acquisition cost ratio		14.8	%		16.3	%		16.9	%		18.1	%		17.9	%		15.9	%		17.1	%		17.4	%
Administrative expense ratio		10.8	%		13.4	%		14.7	%		14.0	%		12.3	%		12.7	%		13.5	%		13.6	%

Combined ratio		90.3	%		92.6	%		105.0	%		90.3	%		88.4	%		95.2	%		90.2	%		90.2	%

P&C expense ratio		25.6	%		29.7	%		31.6	%		32.1	%		30.2	%		28.6	%		30.6	%		31.0	%
P&C expense ratio excluding A&H		21.0	%		25.1	%		27.3	%		28.2	%		25.7	%		24.1	%		26.3	%		26.8	%

		3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11			3Q-11
Large losses and other items (before tax) ⁽⁴⁾
Reinstatement premiums (expensed) collected	$	26		$	8		$	(74	)	$	1		$	(6	)	$	(40	)	$	(36	)	$	(35	)
Catastrophe losses	$	147		$	142		$	415		$	51		$	91		$	704		$	315		$	366
Prior period development - unfavorable (favorable) ⁽⁵⁾	$	(194	)	$	(146	)	$	(93	)	$	(57	)	$	(201	)	$	(433	)	$	(446	)	$	(503	)
Loss and loss expense ratio excluding catastrophe losses and prior period development ⁽⁵⁾		66.5	%		63.2	%		60.8	%		58.5	%		61.7	%		63.8	%		61.4	%		60.6	%

(1)	Losses from separate account assets that do not qualify for separate account reporting under GAAP are reclassified from Other income (expense) for purposes of presenting Life underwriting income.

(2)	Net realized investment and derivative losses related to unconsolidated entities.

(3)	See Non-GAAP Financial Measures.

(4)	Presented excluding the Life segment. This is a non-GAAP measure.

(5)	For Q3 2011, favorable prior period development is net of $26 million of net earned premium adjustments on loss sensitive policies.


Consolidated Results		Page 2

ACE Limited

Summary Consolidated Balance Sheets

(in millions of U.S. dollars, except per share data)


	September 30 2011			June 30 2011			March 31 2011			December 31 2010
	(Unaudited)			(Unaudited)			(Unaudited)			(Audited)
Assets
Fixed maturities available for sale, at fair value	$	41,577		$	41,038		$	38,718		$	37,539
Fixed maturities held to maturity, at amortized cost		8,731			9,033			9,270			9,501
Equity securities, at fair value		621			582			537			692
Short-term investments, at fair value		2,376			2,380			2,375			1,983
Other investments		2,194			2,156			1,839			1,692

Total investments		55,499			55,189			52,739			51,407

Cash		766			833			1,115			772
Securities lending collateral		1,269			1,593			1,326			1,495
Insurance and reinsurance balances receivable		5,403			4,923			4,102			4,233
Reinsurance recoverable on losses and loss expenses		12,837			13,375			13,749			12,871
Deferred policy acquisition costs		1,792			1,821			1,725			1,641
Value of business acquired		757			796			745			634
Prepaid reinsurance premiums		1,582			1,711			1,540			1,511
Goodwill and other intangible assets		4,817			4,858			4,729			4,664
Deferred tax assets		623			586			703			769
Investments in partially owned insurance companies		371			353			348			360
Other assets		3,004			3,216			3,399			2,998

Total assets	$	88,720		$	89,254		$	86,220		$	83,355

Liabilities
Unpaid losses and loss expenses	$	38,476		$	38,951		$	38,843		$	37,391
Unearned premiums		6,594			6,913			6,533			6,330
Future policy benefits		4,376			4,384			3,480			3,106
Insurance and reinsurance balances payable		3,492			3,785			3,277			3,282
Securities lending payable		1,290			1,610			1,346			1,518
Payable for securities purchased		362			418			613			292
Accounts payable, accrued expenses, and other liabilities		5,461			4,011			3,684			3,495
Short-term debt		1,250			1,400			1,401			1,300
Long-term debt		3,360			3,360			3,358			3,358
Trust preferred securities		309			309			309			309

Total liabilities		64,970			65,141			62,844			60,381

Shareholders’ equity
Total shareholders’ equity, excl. AOCI		21,911			22,124			21,594			21,380
Accumulated other comprehensive income (AOCI)		1,839			1,989			1,782			1,594

Total shareholders’ equity		23,750			24,113			23,376			22,974

Total liabilities and shareholders’ equity	$	88,720		$	89,254		$	86,220		$	83,355

Book value per common share ⁽¹⁾	$	70.60		$	71.36		$	69.33		$	68.59
% change over prior quarter		-1	%		3	%		1	%		2	%
Tangible book value per common share ⁽¹⁾	$	56.28		$	56.98		$	55.31		$	54.66
% change over prior quarter		-1	%		3	%		1	%		-2	%

(1)	See Non-GAAP Financial Measures.


Consol Bal Sheet		Page 3

ACE Limited

Consolidated Premiums and Income Excluding Net Realized Gains (Losses) by Line of Business

(in millions of U.S. dollars)

(Unaudited)

ACE Limited Consolidated


	3Q-11		% of Total Consolidated			3Q-10		% of Total Consolidated			% Change 3Q-11 vs. 3Q-10			YTD 2011		% of Total Consolidated			YTD 2010		% of Total Consolidated			% Change YTD-11 vs. YTD-10
Net premiums written
Property and all other	$	1,981		46	%	$	953		29	%		108	%	$	4,664		40	%	$	3,099		30	%		51	%
Casualty		1,270		29	%		1,420		43	%		-11	%		3,817		32	%		4,324		42	%		-12	%

Subtotal		3,251		75	%		2,373		72	%		37	%		8,481		72	%		7,423		72	%		14	%
Personal accident (A&H) ⁽¹⁾		883		20	%		792		24	%		11	%		2,681		23	%		2,470		24	%		9	%
Life ⁽²⁾		209		5	%		130		4	%		61	%		580		5	%		393		4	%		48	%

Total consolidated	$	4,343		100	%	$	3,295		100	%		32	%	$	11,742		100	%	$	10,286		100	%		14	%

Net premiums earned
Property and all other	$	2,075		46	%	$	1,056		31	%		96	%	$	4,301		37	%	$	2,871		29	%		50	%
Casualty		1,304		29	%		1,399		41	%		-7	%		4,036		35	%		4,206		42	%		-4	%

Subtotal		3,379		75	%		2,455		72	%		38	%		8,337		72	%		7,077		71	%		18	%
Personal accident (A&H) ⁽¹⁾		913		21	%		833		24	%		10	%		2,669		23	%		2,470		25	%		8	%
Life ⁽²⁾		198		4	%		134		4	%		48	%		550		5	%		385		4	%		43	%

Total consolidated	$	4,490		100	%	$	3,422		100	%		31	%	$	11,556		100	%	$	9,932		100	%		16	%

Income excluding net realized gains (losses)
Property, casualty, and all other	$	596		79	%	$	548		80	%		9	%	$	1,226		71	%	$	1,542		79	%		-20	%
Personal accident (A&H) ⁽¹⁾		115		15	%		105		15	%		10	%		352		21	%		306		16	%		15	%
Life ⁽²⁾		48		6	%		35		5	%		37	%		135		8	%		107		5	%		26	%

Total consolidated	$	759		100	%	$	688		100	%		10	%	$	1,713		100	%	$	1,955		100	%		-12	%

(1)	Consolidated A&H includes Combined Insurance which is reported in the Insurance - Overseas General and Life segments.

(2)	Excludes the North America A&H business from Combined Insurance which is included in the Life segment.


Line of Business		Page 4

ACE Limited

Consolidated Premiums and Income Excluding Net Realized Gains (Losses) by Line of Business, Adjusted for Foreign Exchange

(in millions of U.S. dollars)

(Unaudited)

ACE Limited Consolidated Constant Dollar


	3Q-11		Constant $ 3Q-10⁽³⁾		Constant $ % Change 3Q-11 vs. 3Q-10 ⁽³⁾			YTD 2011		Constant $ YTD 2010 ⁽³⁾		Constant $ % Change YTD-11 vs. YTD-10 ⁽³⁾
Net premiums written
Property, casualty, and all other	$	3,251	$	2,443		33	%	$	8,481	$	7,551		12	%
Personal accident (A&H) ⁽¹⁾		883		848		4	%		2,681		2,593		3	%
Life ⁽²⁾		209		133		57	%		580		400		45	%

Total consolidated	$	4,343	$	3,424		27	%	$	11,742	$	10,544		11	%

Net premiums earned
Property, casualty, and all other	$	3,379	$	2,529		34	%	$	8,337	$	7,227		15	%
Personal accident (A&H) ⁽¹⁾		913		893		2	%		2,669		2,600		3	%
Life ⁽²⁾		198		137		45	%		550		393		40	%

Total consolidated	$	4,490	$	3,559		26	%	$	11,556	$	10,220		13	%

Income excluding net realized gains (losses)
Property, casualty, and all other	$	596	$	563		6	%	$	1,226	$	1,563		-22	%
Personal accident (A&H) ⁽¹⁾		115		113		2	%		352		321		10	%
Life ⁽²⁾		48		35		37	%		135		107		26	%

Total consolidated	$	759	$	711		7	%	$	1,713	$	1,991		-14	%

⁽¹⁾	Consolidated A&H includes Combined Insurance which is reported in the Insurance - Overseas General and Life segments.

⁽²⁾	Excludes the North America A&H business from Combined Insurance which is included in the Life segment.

⁽³⁾	Prior periods on a constant dollar basis.


Line of Business 2		Page 5

ACE Limited

Segment Results - Consecutive Quarters

(in millions of U.S. dollars)

(Unaudited)

Insurance - North American


	3Q-11			2Q-11			1Q-11			4Q-10			3Q-10			YTD 2011			YTD 2010			Full Year 2010
Gross premiums written	$	3,294		$	2,714		$	1,958		$	2,256		$	2,759		$	7,966		$	7,538		$	9,794
Net premiums written		2,207			1,735			1,285			1,519			1,445			5,227			4,278			5,797
Net premiums earned		2,299			1,604			1,346			1,511			1,444			5,249			4,140			5,651
Losses and loss expenses		1,838			1,233			994			1,030			1,026			4,065			2,888			3,918
Policy acquisition costs		176			143			136			178			165			455			447			625
Administrative expenses		153			147			148			154			112			448			407			561

Underwriting income		132			81			68			149			141			281			398			547

Net investment income		291			300			295			286			287			886			852			1,138
Net realized gains (losses)		(2	)		21			(11	)		254			(2	)		8			163			417
Interest expense		4			3			4			3			6			11			6			9
Other income (expense)		(21	)		(3	)		16			1			20			(8	)		21			22
Income tax expense		120			95			89			114			108			304			322			436

Net income		276			301			275			573			332			852			1,106			1,679

Net realized gains (losses)		(2	)		21			(11	)		254			(2	)		8			163			417
Net realized gains (losses) in other income (expense)		(9	)		3			24			3			20			18			21			24
Tax expense (benefit) on net realized gains (losses)		1			7			1			14			(2	)		9			12			26

Income excluding net realized gains (losses) ⁽¹⁾	$	288		$	284		$	263		$	330		$	312		$	835		$	934		$	1,264


Combined ratio
Loss and loss expense ratio		80.0	%		76.9	%		73.8	%		68.1	%		71.0	%		77.4	%		69.8	%		69.3	%
Policy acquisition cost ratio		7.7	%		8.9	%		10.1	%		11.8	%		11.4	%		8.7	%		10.8	%		11.1	%
Administrative expense ratio		6.6	%		9.2	%		11.1	%		10.2	%		7.8	%		8.6	%		9.8	%		9.9	%

Combined ratio		94.3	%		95.0	%		95.0	%		90.1	%		90.2	%		94.7	%		90.4	%		90.3	%


Large losses and other items (before tax)
Reinstatement premiums (expensed) collected	$	7		$	—		$	(12	)	$	1		$	1		$	(5	)	$	(5	)	$	(4	)
Catastrophe losses	$	119		$	110		$	76		$	21		$	17		$	305		$	122		$	143
Prior period development - unfavorable (favorable) ⁽²⁾	$	(58	)	$	(71	)	$	(35	)	$	46		$	(35	)	$	(164	)	$	(153	)	$	(107	)
Loss and loss expense ratio excluding catastrophe losses and prior period development ⁽²⁾		77.6	%		74.4	%		70.2	%		63.7	%		72.4	%		74.7	%		71.5	%		69.4	%

% Change versus prior year period
Net premiums written		53	%		21	%		-8	%		7	%		5	%		22	%		1	%		3	%
Net premiums earned		59	%		21	%		-2	%		11	%		-2	%		27	%		-4	%		-1	%

Other ratios
Net premiums written/gross premiums written		67	%		64	%		66	%		67	%		52	%		66	%		57	%		59	%

(1)	See Non-GAAP Financial Measures.

(2)	For Q3 2011, favorable prior period development is net of $13 million of net earned premium adjustments on loss sensitive policies.


Insurance-North American		Page 6

ACE Limited

Segment Results - Consecutive Quarters

(in millions of U.S. dollars)

(Unaudited)

Insurance - Overseas General


	3Q-11			2Q-11			1Q-11			4Q-10			3Q-10			YTD 2011			YTD 2010			Full Year 2010
Gross premiums written	$	1,883		$	1,937		$	1,940		$	1,750		$	1,584		$	5,760		$	5,242		$	6,992
Net premiums written		1,432			1,477			1,437			1,353			1,205			4,346			3,927			5,280
Net premiums earned		1,503			1,447			1,304			1,405			1,321			4,254			3,835			5,240
Losses and loss expenses		683			733			862			697			605			2,278			1,950			2,647
Policy benefits		—			—			—			—			—			—			4			4
Policy acquisition costs		370			348			312			346			326			1,030			905			1,251
Administrative expenses		237			242			224			227			204			703			613			840

Underwriting income (loss)		213			124			(94	)		135			186			243			363			498

Net investment income		138			138			131			128			118			407			347			475
Net realized gains (losses)		1			(10	)		(9	)		21			32			(18	)		102			123
Interest expense		2			1			1			1			—			4			—			1
Other income (expense)		(10	)		5			2			8			4			(3	)		5			13
Income tax expense		56			40			19			37			63			115			136			173

Net income		284			216			10			254			277			510			681			935

Net realized gains (losses)		1			(10	)		(9	)		21			32			(18	)		102			123
Net realized gains (losses) in other income (expense)		(10	)		1			5			7			9			(4	)		15			22
Tax expense (benefit) on net realized gains (losses)		1			—			(3	)		3			6			(2	)		20			23

Income excluding net realized gains (losses) ⁽¹⁾	$	294		$	225		$	11		$	229		$	242		$	530		$	584		$	813


Combined ratio
Loss and loss expense ratio		45.4	%		50.7	%		66.1	%		49.6	%		45.8	%		53.6	%		50.9	%		50.6	%
Policy acquisition cost ratio		24.7	%		24.0	%		23.9	%		24.6	%		24.7	%		24.2	%		23.6	%		23.9	%
Administrative expense ratio		15.8	%		16.7	%		17.2	%		16.1	%		15.5	%		16.5	%		16.0	%		16.0	%

Combined ratio		85.9	%		91.4	%		107.2	%		90.3	%		86.0	%		94.3	%		90.5	%		90.5	%


Large losses and other items (before tax)
Reinstatement premiums (expensed) collected	$	17		$	3		$	(63	)	$	—		$	(7	)	$	(43	)	$	(33	)	$	(33	)
Catastrophe losses	$	34		$	10		$	187		$	25		$	25		$	231		$	107		$	132
Prior period development - unfavorable (favorable)	$	(126	)	$	(40	)	$	(44	)	$	(91	)	$	(117	)	$	(210	)	$	(199	)	$	(290	)
Loss and loss expense ratio excluding catastrophe losses and prior period development		52.1	%		52.9	%		52.8	%		54.4	%		52.5	%		52.5	%		52.9	%		53.3	%

% Change versus prior year period
Net premiums written as reported		19	%		14	%		1	%		0	%		0	%		11	%		3	%		3	%
Net premiums earned as reported		14	%		15	%		4	%		0	%		0	%		11	%		2	%		2	%

Net premiums written constant $		8	%		5	%		1	%		1	%		1	%		5	%		0	%		0	%
Net premiums earned constant $		4	%		5	%		2	%		1	%		2	%		4	%		-1	%		0	%
Underwriting income constant $													$	204					$	388
Income excluding net realized gains (losses), constant $													$	261					$	616

Other ratios
Net premiums written/gross premiums written		76	%		76	%		74	%		77	%		76	%		75	%		75	%		76	%

(1)	See Non-GAAP Financial Measures.


Insurance-Overseas General		Page 7

ACE Limited

Segment Results - Consecutive Quarters

(in millions of U.S. dollars)

(Unaudited)

Global Reinsurance


	3Q-11			2Q-11			1Q-11			4Q-10			3Q-10			YTD 2011			YTD 2010			Full Year 2010
Gross premiums written	$	254		$	298		$	330		$	146		$	281		$	882		$	1,000		$	1,146
Net premiums written		250			282			315			143			272			847			932			1,075
Net premiums earned		240			254			260			268			271			754			803			1,071
Losses and loss expenses		94			112			279			127			137			485			391			518
Policy acquisition costs		50			47			46			51			51			143			153			204
Administrative expenses		12			14			12			14			14			38			41			55

Underwriting income (loss)		84			81			(77	)		76			69			88			218			294

Net investment income		70			71			72			75			71			213			213			288
Net realized gains (losses)		(29	)		(14	)		(13	)		24			10			(56	)		69			93
Interest expense		—			1			—			—			—			1			—			—
Other income (expense)		(7	)		(1	)		6			7			10			(2	)		16			23
Income tax expense		7			8			10			11			12			25			31			42

Net income (loss)		111			128			(22	)		171			148			217			485			656

Net realized gains (losses)		(29	)		(14	)		(13	)		24			10			(56	)		69			93
Net realized gains (losses) in other income (expense)		(6	)		(2	)		4			6			10			(4	)		15			21
Tax expense (benefit) on net realized gains (losses)		(1	)		—			—			—			1			(1	)		1			1

Income excluding net realized gains (losses) ⁽¹⁾	$	145		$	144		$	(13	)	$	141		$	129		$	276		$	402		$	543


Combined ratio
Loss and loss expense ratio		39.2	%		44.1	%		107.3	%		47.5	%		50.4	%		64.3	%		48.7	%		48.4	%
Policy acquisition cost ratio		20.6	%		18.5	%		17.8	%		19.0	%		19.0	%		18.9	%		19.0	%		19.0	%
Administrative expense ratio		5.6	%		5.3	%		4.6	%		5.2	%		4.9	%		5.2	%		5.1	%		5.1	%

Combined ratio		65.4	%		67.9	%		129.7	%		71.7	%		74.3	%		88.4	%		72.8	%		72.5	%


Large losses and other items (before tax)
Reinstatement premiums collected	$	2		$	5		$	1		$	—		$	—		$	8		$	2		$	2
Catastrophe losses	$	(6	)	$	22		$	152		$	5		$	49		$	168		$	86		$	91
Prior period development - unfavorable (favorable)⁽²⁾	$	(10	)	$	(35	)	$	(14	)	$	(12	)	$	(49	)	$	(59	)	$	(94	)	$	(106	)
Loss and loss expense ratio excluding catastrophe losses and prior period development ⁽²⁾		49.1	%		50.1	%		54.4	%		50.3	%		50.2	%		51.2	%		49.9	%		50.0	%

% Change versus prior year period
Net premiums written		-8	%		-2	%		-15	%		-1	%		32	%		-9	%		4	%		4	%
Net premiums earned		-11	%		-1	%		-6	%		6	%		10	%		-6	%		11	%		9	%

Other ratios
Net premiums written/gross premiums written		99	%		95	%		95	%		98	%		97	%		96	%		93	%		94	%

(1)	See Non-GAAP Financial Measures.

(2)	For Q3 2011, favorable prior period development is net of $13 million of net earned premium adjustments on loss sensitive policies.


Global Reinsurance		Page 8

ACE Limited

Segment Results - Consecutive Quarters

(in millions of U.S. dollars)

(Unaudited)

Life


	3Q-11			2Q-11			1Q-11			4Q-10			3Q-10			YTD 2011			YTD 2010			Full Year 2010
Gross premiums written	$	469		$	474		$	416		$	413		$	378		$	1,359		$	1,166		$	1,579
Net premiums written		454			459			409			407			373			1,322			1,149			1,556
Net premiums earned		448			452			399			388			386			1,299			1,154			1,542
Losses and loss expenses		130			147			128			117			119			405			379			496
Policy benefits ⁽¹⁾		83			108			91			90			93			282			263			353
Losses from separate account assets ⁽¹⁾		39			—			—			—			—			39			—			—
Policy acquisition costs		70			66			61			65			65			197			192			257
Administrative expenses		77			72			68			57			59			217			171			228
Net investment income		60			59			46			43			43			165			129			172

Life underwriting income ⁽²⁾		109			118			97			102			93			324			278			380

Net realized gains (losses):
Mark-to-market on guaranteed living benefits derivative (net of related hedges)		(706	)		(67	)		—			2			(60	)		(773	)		(180	)		(178	)
Foreign exchange gains (losses) and all other		(26	)		(1	)		(13	)		3			(25	)		(40	)		(17	)		(14	)
Interest expense		3			3			3			3			—			9			—			3
Other income (expense) ⁽¹⁾		(8	)		(8	)		(5	)		(9	)		(5	)		(21	)		(11	)		(20	)
Income tax expense		13			14			13			16			16			40			46			62

Net income (loss)		(647	)		25			63			79			(13	)		(559	)		24			103

Net realized gains (losses)		(732	)		(68	)		(13	)		5			(85	)		(813	)		(197	)		(192	)
Net realized gains (losses) in other income (expense)		(2	)		(1	)		1			1			—			(2	)		1			2
Tax expense on net realized gains (losses)		1			1			—			5			—			2			2			7

Income excluding net realized gains (losses) ⁽³⁾	$	88		$	95		$	75		$	78		$	72		$	258		$	222		$	300


% Change versus prior year period
Net premiums written		22	%		17	%		6	%		4	%		0	%		15	%		6	%		5	%
Net premiums earned		16	%		16	%		5	%		5	%		7	%		13	%		9	%		8	%

(1)	Losses from separate account assets that do not qualify for separate account reporting under GAAP are reclassified from Other income (expense) for purposes of presenting Life underwriting income. The offsetting movement in the separate account liabilities is included in Policy benefits.

(2)	We assess the performance of our Life business based on Life underwriting income which includes Net investment income and Losses from separate account assets.

(3)	See Non-GAAP Financial Measures.


Life		Page 9

ACE Limited

Variable Annuity (VA) Reinsurance Lines

(in millions of U.S. dollars)

(Unaudited)


	Estimated Annual Operating Income							Estimated Net Income / Book Value Accretion

	Scenario 1: Traditional Life Insurance Model Interest Rates Used by ACE to Calculate Operating Income

	S&P 500 Index		10-Year Treasury Yield			Operating Income		Realized Gain/(Loss)		Net Income / Book Value Accretion
9/30/2011		1,131		1.92	%
9/30/2012		1,224		2.70	%	$	130-150	$	230-260	$	360-410
9/30/2013		1,324		3.28	%		110-130		110-140		220-270
9/30/2014		1,433		3.72	%		100-120		60-90		160-210

	Scenario 2: Fair Value Model “Risk-Neutral” Interest Rates

	S&P 500 Index		10-Year Treasury Yield			Operating Income		Realized Gain/(Loss)		Net Income / Book Value Accretion
9/30/2011		1,131		1.92	%
9/30/2012		1,224		2.21	%	$	110-130	$	20-50	$	130-180
9/30/2013		1,324		2.45	%		90-110		60-90		150-200
9/30/2014		1,433		2.68	%		90-110		60-90		150-200

Explanation:

This exhibit shows the annual ranges of operating income and net income/book value accretion associated with the variable annuity reinsurance business for the next three years under two different interest rate assumptions. The upper table reflects expected interest rates currently used by the company to determine reserves for operating income purposes; the lower table reflects operating income using the “fair value” model interest rates required by derivatives accounting. Both tables use the same equity level assumptions used in the company’s calculation of operating income.

Notes:

•

Equity levels have a significantly greater impact on operating income.

•

Interest rates have a significantly greater impact on fair value.

•

As of Monday, October 24, the S&P 500 Index was 1,254.

Assumptions:

•

No changes in actuarial assumptions - mortality, lapse, annuitization

•

No change in current hedge program - realized gain is net of associated hedges

•

Full recognition in benefit reserves of year-on-year changes in equity and interest rate levels


Variable Annuity		Page 10

ACE Limited

Loss Reserve Rollforward

(in millions of U.S. dollars)

(Unaudited)


	Unpaid Losses									Net Paid to Incurred Ratio
	Gross			Ceded			Net			Net Paid to Incurred Ratio
Balance at December 31, 2009	$	37,783		$	12,745		$	25,038
Losses and loss expenses incurred		2,544			623			1,921
Losses and loss expenses paid		(2,491	)		(729	)		(1,762	)		92	%
Other (incl. foreign exch. revaluation)		(285	)		(79	)		(206	)

Balance at March 31, 2010	$	37,551		$	12,560		$	24,991
Losses and loss expenses incurred		2,725			925			1,800
Losses and loss expenses paid		(2,824	)		(976	)		(1,848	)		103	%
Other (incl. foreign exch. revaluation)		(390	)		(135	)		(255	)

Balance at June 30, 2010	$	37,062		$	12,374		$	24,688
Losses and loss expenses incurred		3,236			1,349			1,887
Losses and loss expenses paid		(3,010	)		(1,139	)		(1,871	)		99	%
Other (incl. foreign exch. revaluation)		454			166			288

Balance at September 30, 2010	$	37,742		$	12,750		$	24,992
Losses and loss expenses incurred		2,350			379			1,971
Losses and loss expenses paid		(2,954	)		(1,022	)		(1,932	)		98	%
Other (incl. foreign exch. revaluation)		253			42			211

Balance at December 31, 2010	$	37,391		$	12,149		$	25,242
Losses and loss expenses incurred		3,820			1,557			2,263
Losses and loss expenses paid		(2,847	)		(884	)		(1,963	)		87	%
Other (incl. foreign exch. revaluation)		479			161			318

Balance at March 31, 2011	$	38,843		$	12,983		$	25,860
Losses and loss expenses incurred		2,752			526			2,226
Losses and loss expenses paid		(2,730	)		(872	)		(1,858	)		83	%
Other (incl. foreign exch. revaluation)		86			30			56

Balance at June 30, 2011	$	38,951		$	12,667		$	26,284
Losses and loss expenses incurred		3,207			462			2,745
Losses and loss expenses paid		(3,366	)		(992	)		(2,374	)		86	%
Other (incl. foreign exch. revaluation)		(316	)		(95	)		(221	)

Balance at September 30, 2011	$	38,476		$	12,042		$	26,434


Add net recoverable on paid losses		—			795			(795	)

Balance including net recoverable on paid losses	$	38,476		$	12,837		$	25,639


Loss Reserve Rollforward		Page 11

ACE Limited

Reinsurance Recoverable Analysis

(in millions of U.S. dollars)

(Unaudited)

Net Reinsurance Recoverable by Division


	September 30 2011			June 30 2011			March 31 2011			December 31 2010
Reinsurance recoverable on paid losses and loss expenses
Active operations	$	646		$	563		$	595		$	579
Brandywine		227			250			313			281
Other Run-off		37			44			38			38

Total	$	910		$	857		$	946		$	898

Reinsurance recoverable on unpaid losses and loss expenses
Active operations	$	10,222		$	10,751		$	10,893		$	9,956
Brandywine		1,759			1,822			1,931			2,024
Other Run-off		451			467			503			523

Total	$	12,432		$	13,040		$	13,327		$	12,503

Gross reinsurance recoverable
Active operations	$	10,868		$	11,314		$	11,488		$	10,535
Brandywine		1,986			2,072			2,244			2,305
Other Run-off		488			511			541			561

Total	$	13,342		$	13,897		$	14,273		$	13,401

Provision for uncollectible reinsurance ⁽¹⁾
Active operations	$	(310	)	$	(326	)	$	(323	)	$	(324	)
Brandywine		(170	)		(171	)		(172	)		(175	)
Other Run-off		(25	)		(25	)		(29	)		(31	)

Total	$	(505	)	$	(522	)	$	(524	)	$	(530	)

Net reinsurance recoverable
Active operations	$	10,558		$	10,988		$	11,165		$	10,211
Brandywine		1,816			1,901			2,072			2,130
Other Run-off		463			486			512			530

Total	$	12,837		$	13,375		$	13,749		$	12,871

(1)	The provision for uncollectible reinsurance is based on a default analysis applied to gross reinsurance recoverables, net of collateral.


Reinsurance Recoverable		Page 12

ACE Limited

Investment Portfolio

(in millions of U.S. dollars)

(Unaudited)


	September 30 2011					June 30 2011					March 31 2011					December 31 2010
Market Value
Fixed maturities available for sale	$	41,577				$	41,038				$	38,718				$	37,539
Fixed maturities held to maturity		8,873					9,078					9,202					9,461
Short-term investments		2,376					2,380					2,375					1,983

Total	$	52,826				$	52,496				$	50,295				$	48,983

Asset Allocation by Market Value
Treasury	$	2,060		4	%	$	1,832		3	%	$	1,880		4	%	$	2,075		4	%
Agency		1,640		3	%		1,755		3	%		1,946		4	%		2,015		4	%
Corporate and asset-backed		16,803		32	%		16,805		32	%		15,818		31	%		15,900		33	%
Mortgage-backed		13,821		26	%		13,483		26	%		12,880		25	%		12,362		25	%
Municipal ⁽¹⁾		2,741		5	%		2,534		5	%		2,453		5	%		2,449		5	%
Non-U.S.		13,385		25	%		13,707		26	%		12,943		26	%		12,199		25	%
Short-term investments		2,376		5	%		2,380		5	%		2,375		5	%		1,983		4	%

Total	$	52,826		100	%	$	52,496		100	%	$	50,295		100	%	$	48,983		100	%


Note: Insured municipal bonds represent $714 million, or 26% of our municipal bond holdings.

Credit Quality by Market Value
AAA	$	9,495		18	%	$	25,331		48	%	$	24,636		49	%	$	23,718		48	%
AA		21,105		40	%		4,783		9	%		4,543		9	%		4,714		10	%
A		9,923		19	%		9,944		19	%		8,847		18	%		8,482		17	%
BBB		5,883		11	%		5,691		11	%		5,583		11	%		5,487		11	%
BB		3,588		7	%		3,667		7	%		3,473		7	%		3,357		7	%
B		2,197		4	%		2,389		5	%		2,500		5	%		2,393		5	%
Other		635		1	%		691		1	%		713		1	%		832		2	%

Total	$	52,826		100	%	$	52,496		100	%	$	50,295		100	%	$	48,983		100	%

Cost/Amortized Cost
Fixed maturities available for sale	$	40,334				$	39,862				$	37,750				$	36,542
Fixed maturities held to maturity		8,731					9,033					9,270					9,501
Short-term investments		2,376					2,380					2,375					1,983

Subtotal		51,441					51,275					49,395					48,026
Equity securities		647					549					510					666
Other investments		1,970					1,916					1,613					1,511

Total	$	54,058				$	53,740				$	51,518				$	50,203

Avg. duration of fixed maturities		3.7 years					3.8 years					3.8 years					3.7 years
Avg. market yield of fixed maturities ⁽²⁾		3.2	%				3.4	%				3.5	%				3.6	%
Avg. credit quality		A/Aa					AA					AA					AA
Avg. yield on invested assets⁽³⁾		4.3	%				4.3	%				4.3	%				4.3	%

(1)	The rating of the municipal portfolio is AA with 13% of our holdings pre-funded with AA/Aaa Federal securities. The portfolio is highly diversified predominantly in State general obligation bonds and essential service revenue bonds (education, utilities, water, power, sewers).

(2)	Weighted average yield to maturity of our fixed income portfolio based on the market prices of the holdings as of that date.

(3)	Net investment income divided by average cost of fixed maturities and other investments, and average market value of equity securities.


Investments		Page 13

ACE Limited

Investment Portfolio - 2

(in millions of U.S. dollars)

(Unaudited)

Mortgage-backed Fixed Income Portfolio

Mortgage-backed securities


	S&P Credit Rating
	AAA		AA		A		BBB		BB and below		Total
Market Value at September 30, 2011
Agency residential mortgage-backed (RMBS)	$	—	$	11,550	$	—	$	—	$	—	$	11,550
Non-agency RMBS		250		41		14		22		573		900
Commercial mortgage-backed		1,333		22		13		3		—		1,371

Total mortgage-backed securities at market value	$	1,583	$	11,613	$	27	$	25	$	573	$	13,821


	S&P Credit Rating
	AAA		AA		A		BBB		BB and below		Total
Amortized Cost at September 30, 2011
Agency RMBS	$	—	$	11,110	$	—	$	—	$	—	$	11,110
Non-agency RMBS		259		45		16		24		719		1,063
Commercial mortgage-backed		1,281		19		13		3		—		1,316

Total mortgage-backed securities at amortized cost	$	1,540	$	11,174	$	29	$	27	$	719	$	13,489

Mortgage-backed securities total $13.8 billion, are rated predominantly AA and comprise 26% of the fixed income portfolio. This compares to a 35% mortgage-backed weighting in representative indices of the U.S. fixed income market. The minimum rating for initial purchases of mortgage-backed securities is AA for agency mortgages and AAA for non-agency mortgages.

Securities issued by Federal agencies with implied or explicit government guarantees total $11.6 billion and represent 93% of the residential mortgage-backed portfolio.

Non-agency residential mortgage-backed securities are backed by prime collateral, and broadly diversified in over 130,000 loans. The portfolio’s original loan-to-value ratio is approximately 69% with an average FICO score of 730. With this conservative loan-to-value ratio and subordinated collateral of 9%, the cumulative 5-year foreclosure rate would have to rise to 13% and real estate values would have to fall 12% from their current levels before principal is impaired. The current foreclosure rate of ACE’s non-agency RMBS portfolio is 9%.

Commercial mortgage-backed securities of $1.4 billion are rated predominantly AAA, broadly diversified with over 15,000 loans and seasoned with 64% of the portfolio issued before 2006 and 23% of the portfolio issued after 2009. The average loan-to-value ratio is approximately 67% with a debt service coverage ratio in excess of 1.6 and weighted average subordinated collateral of 32%. The cumulative foreclosure rate would have to rise to 42% before principal is impaired. The current foreclosure rate of the portfolio is about 2.5%.


Investments 2		Page 14

ACE Limited

Investment Portfolio - 3

(in millions of U.S. dollars)

(Unaudited)

U.S. Corporate and Asset-backed Fixed Income Portfolios


Market Value at September 30, 2011	S&P Credit Rating
	Investment Grade
	AAA		AA		A		BBB		Total
Asset-backed	$	295	$	95	$	5	$	5	$	400
Banks		—		576		2,036		204		2,816
Basic Materials		—		1		91		241		333
Communications		—		—		665		791		1,456
Consumer, Cyclical		—		99		244		239		582
Consumer, Non-Cyclical		70		551		628		528		1,777
Diversified Financial Services		2		68		144		187		401
Energy		82		14		208		581		885
Industrial		—		461		338		164		963
Utilities		—		7		520		563		1,090
All Others		51		128		514		383		1,076

Total	$	500	$	2,000	$	5,393	$	3,886	$	11,779

U.S. Investment Grade Corporate Fixed Income Portfolio

The average credit quality of ACE’s US investment grade bond portfolio is high at A.

ACE prohibits investments in complex structured securities (e.g. CDOs, CLOs) and over-the-counter derivatives and does not permit the use of portfolio leverage.

Corporate bond holdings are highly diversified across industries and geographies. Issuer limits are based on credit rating (AA 2%, A 1%, BBB 0.5% of total portfolio) and are monitored on a daily basis by ACE via an internal compliance system.


Market Value at September 30, 2011	S&P Credit Rating
	Below Investment Grade
	BB		B		CCC		Total
Asset-backed	$	1	$	12	$	5	$	18
Banks		5		32		—		37
Basic Materials		265		72		4		341
Communications		435		389		13		837
Consumer, Cyclical		342		306		13		661
Consumer, Non-Cyclical		630		414		8		1,052
Diversified Financial Services		17		30		3		50
Energy		686		197		6		889
Industrial		343		186		7		536
Utilities		238		46		5		289
All Others		165		145		4		314

Total	$	3,127	$	1,829	$	68	$	5,024

U.S. Below Investment Grade Corporate Fixed Income Portfolio

ACE manages high yield bonds as a distinct and separate asset class from investment grade bonds. ACE’s allocation to high yield bonds is explicitly set by internal management and is targeted to securities in the upper tier of credit quality (BB/B). Our minimum rating for initial purchase is BB/B.

Six external investment managers are responsible for high yield security selection and portfolio construction.

ACE’s high yield managers have a conservative approach to credit selection and very low historical default experience.

Securities holdings are highly diversified across industries and are subject to a 1.5% issuer limit as a percentage of high yield allocation. The portfolio comprises over 700 issuers with our largest current issuer exposure at $74 million. ACE monitors position limits on a daily basis through an internal compliance system.

Derivative and structured securities (e.g. credit default swaps, CLOs) are not permitted in high yield portfolios.


Investments 3		Page 15

ACE Limited

Investment Portfolio - 4

(in millions of U.S. dollars)

(Unaudited)

Non-U.S. Fixed Income Portfolio

Market Value at September 30, 2011


	S&P Credit Rating
	AAA		AA		A		BBB		BB and below		Total
United Kingdom	$	1,100	$	2	$	—	$	—	$	—	$	1,102
Canada		935		—		—		—		—		935
Republic of Korea		—		—		415		—		—		415
Japan		—		410		—		—		—		410
Germany		328		—		—		—		—		328
Province of Ontario		—		235		—		—		—		235
Federative Republic of Brazil		—		—		—		205		—		205
France		170		—		—		—		—		170
Swiss Confederation		152		—		—		—		—		152
Province of Quebec		—		—		141		—		—		141
Kingdom of Thailand		—		2		122		8		—		132
Federation of Malaysia		—		—		122		—		—		122
State of Queensland		72		38		—		—		—		110
Commonwealth of Australia		100		—		—		—		—		100
People’s Republic of China		55		38		—		—		—		93
United Mexican States		1		—		34		51		—		86
State of New South Wales		67		—		—		—		—		67
Taiwan		—		54		—		—		—		54
State of Victoria		49		—		—		—		—		49
Republic of Austria		45		—		—		—		—		45
Arab Republic of Egypt		—		23		—		—		18		41
State of Qatar		—		38		—		—		—		38
Dominion of New Zealand		1		36		—		—		—		37
Province of Manitoba		—		35		—		—		—		35
Province of British Columbia		33		—		—		—		—		33
Other Non-U.S. Government		164		121		58		54		53		450

Non-U.S. Government Securities	$	3,272	$	1,032	$	892	$	318	$	71	$	5,585
Eurozone Non-U.S. Corporate ⁽¹⁾		834		356		434		470		297		2,391
Other Non-U.S. Corporate		827		792		2,254		1,114		422		5,409

	$	4,933	$	2,180	$	3,580	$	1,902	$	790	$	13,385

(1)	Excludes United Kingdom

Non-U.S. Fixed Income Portfolio

ACE’s non-U.S. investment grade fixed income portfolios are currency-matched with the insurance liabilities of ACE’s non-U.S. operations.

80% of ACE’s non-U.S. fixed income is denominated in G7 currencies.

Average credit quality of non-U.S. fixed income securities is very high at AA and 54% of holdings are rated AAA or guaranteed by governments or quasi-government agencies.


Investments 4		Page 16

ACE Limited

Investment Portfolio - 5

(in millions of U.S. dollars)

(Unaudited)

Eurozone Non-U.S. Fixed Income Portfolio (Excluding United Kingdom)


Market Value at September 30, 2011	Industry
	Bank		Financial		Industrial		Utility		Total
Netherlands	$	188	$	145	$	230	$	129	$	692
France		151		39		98		137		425
Germany		285		22		62		8		377
Luxembourg		27		1		228		93		349
Euro Supranational		209		—		—		—		209
Spain		57		4		56		6		123
Ireland		21		—		74		19		114
Italy		32		1		15		2		50
Austria		21		—		4		—		25
Finland		7		—		3		3		13
Belgium		—		—		12		1		13
Portugal		—		—		1		—		1

Eurozone Non-U.S. Corporate Securities	$	998	$	212	$	783	$	398	$	2,391

Note: ACE has no investments in Greece

Top 10 Exposures - Eurozone Banks (Excluding United Kingdom)


September 30, 2011	Market Value		Rating
European Investment Bank	$	189		AAA
KFW		173		AAA
Rabobank Nederland NV		95		AAA
Deutsche Bank AG		47		A+
BNP Paribas SA		35		AA-
Credit Agricole Groupe		32		A+
Bank Nederlandse Gemeenten		30		AAA
Intesa Sanpaolo SpA		26		A
Banco Santander SA		25		AA-
Groupe BPCE		25		A+

Top 10 Exposures - Eurozone Corporate (Excluding United Kingdom)


September 30, 2011	Market Value		Rating
ING Groep NV	$	82	A
EDF SA		79	AA-
Deutsche Telekom AG		73	BBB+
Royal Dutch Shell PLC		62	AA
Telecom Italia SpA		50	BBB
Telefonica SA		46	BBB+
Intelsat SA		45	B
Gazprom OAO		42	BBB
France Telecom SA		36	A-
ArcelorMittal		36	BBB-


Investments 5		Page 17

ACE Limited

Investment Portfolio - 6

(in millions of U.S. dollars)

(Unaudited)

Investment portfolio

Top 25 Exposures - Fixed Maturity Investments


	September 30, 2011			Rating
1	JP Morgan Chase & Co	$	453	A+
2	General Electric Co		436	AA+
3	Citigroup Inc		359	A
4	Morgan Stanley		327	A
5	Goldman Sachs Group Inc/The		316	A
6	Verizon Communications Inc		314	A-
7	Bank of America Corp		302	A
8	AT&T INC		259	A-
9	Wells Fargo & Co		222	AA-
10	HSBC Holdings Plc		208	AA-
11	Lloyds Banking Group Plc		208	A
12	Comcast Corp		169	BBB+
13	Kraft Foods Inc		166	BBB
14	Royal Bank of Scotland Group PLC		160	A
15	Credit Suisse Group		148	A
16	Time Warner Cable Inc		146	BBB
17	ConocoPhillips		132	A
18	American Express Co		120	BBB+
19	Pfizer Inc		119	AA
20	Enterprise Products Partners LP		118	BBB-
21	Dominion Resources Inc/VA		115	A-
22	BP PLC		115	A
23	Anheuser-Busch InBev NV		114	A-
24	Barclays PLC		112	A+
25	UBS AG		111	A+


Investments 6		Page 18

ACE Limited

Investment Portfolio - 7

(in millions of U.S. dollars)

(Unaudited)


	Three months ended September 30, 2011
	Realized			Unrealized						Unrealized
	Gains			Gains			Net			Gains/(Losses)
	(Losses)			(Losses)			Impact			Balance
Fixed maturities
Investment Grade
US	$	(64	)⁽¹⁾	$	334		$	270		$	1,054
Non US		32			60			92			234

Total Investment Grade		(32	)		394			362			1,288
Below Investment Grade		6			(313	)		(307	)		(20	)
Convertible Bonds		(43	)⁽²⁾		—			(43	)		—

Total Fixed Maturities		(69	)		81			12			1,268

Public and Private Equity
Public Equity		(2	)		(59	)⁽³⁾		(61	)		(26	)
Private Equity		(24	)		(14	)		(38	)		221

Total Equity		(26	)		(73	)		(99	)		195

Total Portfolio	$	(95	)	$	8		$	(87	)	$	1,463

(1)	Realized loss primarily reflects the mark to market impact of exchange traded fixed income futures and options.

(2)	Realized loss primarily reflects the impact of changes in the market value of convertible bonds because the Company treats these as derivatives and recognizes the impact in realized gains (losses).

(3)	Net loss reflects the impact of changes in the market value of an Emerging Market bond fund and publicly traded equity securities.


Investments 7		Page 19

ACE Limited

Net Realized and Unrealized Gains (Losses)

(in millions of U.S. dollars)

(Unaudited)


	Three months ended September 30, 2011									Nine months ended September 30, 2011
	Net Realized			Net Unrealized						Net Realized			Net Unrealized
	Gains			Gains			Net			Gains			Gains			Net
	(Losses)⁽¹⁾			(Losses)			Impact			(Losses) ⁽¹⁾			(Losses)			Impact
Fixed maturities	$	20		$	81		$	101		$	143		$	244		$	387
Fixed income derivatives		(89	)		—			(89	)		(157	)		—			(157	)

Total fixed maturities		(69	)		81			12			(14	)		244			230

Public equity		(2	)		(59	)		(61	)		9			(51	)		(42	)
Private equity		(24	)		(14	)		(38	)		6			42			48

Total equity		(26	)		(73	)		(99	)		15			(9	)		6

Mark-to-market gains (losses) from derivative transactions ⁽²⁾		(704	)		—			(704	)		(774	)		—			(774	)
Foreign exchange gains (losses)		20			—			20			(89	)		—			(89	)
Other		(5	)		(4	)		(9	)		(7	)		2			(5	)
Partially-owned entities ⁽³⁾		(4	)		—			(4	)		(1	)		2			1
Income tax expense		2			52			54			8			112			120

Net gains (losses)	$	(790	)	$	(48	)	$	(838	)	$	(878	)	$	127		$	(751	)

(1)	Other-than-temporary impairments for the quarter includes $19 million for fixed maturities and $1 million for public equity. Year to date other-than-temporary impairments of $32 million include $28 million for fixed maturities, $3 million for private equity, and $1 million for public equity.

(2)	Includes $706 million of realized losses on the life reinsurance operations for the quarter which comprises a $926 million loss on guaranteed living benefit derivatives and $220 million of gains on other derivatives, including S&P put options and futures.

(3)	Partially-owned entities are investments where we hold more than an insignificant percentage of the investee’s shares. The net income or loss is included in other income (expense).


	Three months ended September 30, 2010								Nine months ended September 30, 2010
	Net Realized			Net Unrealized					Net Realized			Net Unrealized
	Gains			Gains		Net			Gains			Gains			Net
	(Losses)⁽⁴⁾			(Losses)		Impact			(Losses) ⁽⁴⁾			(Losses)			Impact
Fixed maturities	$	113		$	795	$	908		$	271		$	1,626		$	1,897
Fixed income derivatives		(1	)		—		(1	)		23			—			23

Total fixed maturities		112			795		907			294			1,626			1,920

Public Equity		7			14		21			84			(41	)		43
Private equity		41			19		60			38			52			90

Total equity		48			33		81			122			11			133

Mark-to-market gains (losses) from derivative transactions ⁽⁵⁾		(74	)		—		(74	)		(199	)		—			(199	)
Foreign exchange gains (losses)		(87	)		—		(87	)		(36	)		—			(36	)
Other		(8	)		3		(5	)		(3	)		40			37
Partially-owned entities ⁽⁶⁾		(2	)		2		—			1			—			1
Income tax expense		2			153		155			27			366			393

Net gains (losses)	$	(13	)	$	680	$	667		$	152		$	1,311		$	1,463

(4)	Other-than-temporary impairments for the quarter include $19 million for fixed maturities. Year to date other-than-temporary impairments of $55 million include $42 million for fixed maturities and $13 million for private equity.

(5)	Includes $60 million of realized losses on the life reinsurance operations for the quarter which comprises a $50 million gain on guaranteed living benefit derivatives and $110 million of losses on other derivatives, including S&P put options and futures.

(6)	Partially-owned entities are investments where we hold more than an insignificant percentage of the investee’s shares. The net income or loss is included in other income (expense).


Investment Gains (Losses)		Page 20

ACE Limited

Capital Structure

(in millions of U.S. dollars)

(Unaudited)


	September 30			June 30			March 31			December 31			December 31
	2011			2011			2011			2010			2009
Total short-term debt ⁽¹⁾	$	1,250		$	1,400		$	1,401		$	1,300		$	161
Total long-term debt		3,360			3,360			3,358			3,358			3,158

Total debt	$	4,610		$	4,760		$	4,759		$	4,658		$	3,319

Total trust preferred securities	$	309		$	309		$	309		$	309		$	309

Total shareholders’ equity	$	23,750		$	24,113		$	23,376		$	22,974		$	19,667

Total capitalization	$	28,669		$	29,182		$	28,444		$	27,941		$	23,295
Tangible capital ⁽²⁾	$	23,852		$	24,324		$	23,715		$	23,277		$	19,364

Leverage ratios
Debt/ total capitalization		16.1	%		16.3	%		16.7	%		16.7	%		14.2	%
Debt plus trust preferred securities/ total capitalization		17.2	%		17.4	%		17.8	%		17.8	%		15.6	%
Debt/ tangible capital		19.3	%		19.6	%		20.1	%		20.0	%		17.1	%
Debt plus trust preferred securities/ tangible capital		20.6	%		20.8	%		21.4	%		21.3	%		18.7	%

Note: As of September 30, 2011, there was $1.3 billion usage of credit facilities on a total commitment of $2.4 billion.

(1)	Repurchase agreements in the amount of $1.01 billion matured during the quarter, and there were new repurchase agreements in the amount of $860 million.

(2)	Tangible capital is equal to total capitalization less goodwill and other intangible assets.


Capital Structure		Page 21

ACE Limited

Computation of Basic and Diluted Earnings Per Share

(in millions of U.S. dollars, except share and per share data)

(Unaudited)


	Three months ended September 30						Nine months ended September 30
	2011			2010			2011			2010
Numerator
Income to common shares, excl. net realized gains (losses) ⁽¹⁾	$	759		$	688		$	1,713		$	1,955
Net realized gains (losses), net of income tax		(790	)		(13	)		(878	)		152

Net income available to the holders of common shares	$	(31	)	$	675		$	835		$	2,107

Rollforward of Common Shares Outstanding
Shares - beginning of period		337,912,324			338,755,604			334,942,852			336,524,657
Repurchase of shares		(1,597,432	)		—			(1,597,432	)		—
Issued under employee stock purchase plan		2,689			122,807			202,440			240,979
Shares (cancelled) granted		(55,936	)		(82,212	)		1,140,721			1,671,822
Issued for option exercises		128,648			433,223			1,701,712			791,964

Shares - end of period		336,390,293			339,229,422			336,390,293			339,229,422

Denominator
Weighted average shares outstanding		338,385,734			340,218,717			338,139,477			339,527,671
Effect of other dilutive securities⁽²⁾		2,464,705			1,636,802			2,733,434			1,314,662

Adj. wtd. avg. shares outstanding and assumed conversions		340,850,439			341,855,519			340,872,911			340,842,333

Basic earnings per share
Income excluding net realized gains (losses) ⁽¹⁾	$	2.24		$	2.02		$	5.06		$	5.76
Net realized gains (losses), net of income tax		(2.33	)		(0.04	)		(2.59	)		0.45

Net income (loss)	$	(0.09	)	$	1.98		$	2.47		$	6.21

Diluted earnings per share
Income excluding net realized gains (losses) ⁽¹⁾	$	2.22		$	2.01		$	5.02		$	5.73
Net realized gains (losses), net of income tax		(2.31	)		(0.04	)		(2.57	)		0.45

Net income (loss) ⁽²⁾	$	(0.09	)	$	1.97		$	2.45		$	6.18

(1)	See Non-GAAP Financial Measures.

(2)	For the three months ended September 30, 2011, weighted-average shares outstanding used to calculate net loss per share excludes the effect of dilutive securities. In periods where a net loss is recognized, inclusion of incremental dilution is anti-dilutive.


Earnings per share		Page 22

ACE Limited

Non-GAAP Financial Measures

(in millions of U.S. dollars)

(Unaudited)

Regulation G - Non-GAAP Financial Measures

In presenting our results, we have included and discussed certain non-GAAP measures. These non-GAAP measures, which may be defined differently by other companies, are important for an understanding of our overall results of operations. However, they should not be viewed as a substitute for measures determined in accordance with generally accepted accounting principles (GAAP). A reconciliation of book value per common share is provided on the next page.

In presenting our segment operating results, we have shown our performance with reference to underwriting results. Underwriting results are calculated by subtracting losses and loss expenses, policy benefits, policy acquisition costs, and administrative expenses from net premiums earned. We use underwriting results and operating ratios to monitor the results of our operations without the impact of certain factors, including investment income, other income and expenses, interest and income tax expense, and net realized gains (losses). Life underwriting income includes net investment income and gains (losses) from separate account assets that do not qualify for separate account reporting under GAAP.

Income excluding net realized gains (losses) and the related tax expense (benefit) is a common performance measurement and non-GAAP measure. We believe this presentation enhances the understanding of our results of operations by highlighting the underlying profitability of our insurance business. We exclude net realized gains (losses) and net realized gains (losses) included in other income (expense) related to partially owned entities because the amount of these gains (losses) is heavily influenced by, and fluctuates in part according to, the availability of market opportunities. Income excluding net realized gains (losses) should not be viewed as a substitute for net income determined in accordance with GAAP.

The following table presents the reconciliation of Net income to Income excluding net realized gains (losses):


	3Q-11			2Q-11			1Q-11			4Q-10		3Q-10			YTD 2011			YTD 2010		Full Year 2010
Net income, as reported	$	(31	)	$	607		$	259		$	1,001	$	675		$	835		$	2,107	$	3,108
Net realized gains (losses)		(760	)		(73	)		(45	)		305		(50	)		(878	)		127		432
Net realized gains (losses) in other income (expense) ⁽¹⁾		(28	)		2			34			17		39			8			52		69
Income tax expense (benefit) on net realized gains (losses)		2			8			(2	)		23		2			8			27		50

Income excluding net realized gains (losses)	$	759		$	686		$	268		$	702	$	688		$	1,713		$	1,955	$	2,657

(1)	Realized gains (losses) on partially-owned entities, which are investments where we hold more than an insignificant percentage of the investee’s shares. The net income or loss is included in other income (expense).


Reconciliation Non-GAAP		Page 23

ACE Limited

Book Value and Book Value per Common Share

(in millions of U.S. dollars, except share and per share data)

(Unaudited)

Reconciliation of Book Value per Common Share


	September 30			June 30			March 31			December 31			September 30
	2011			2011			2011			2010			2010
Shareholders’ equity	$	23,750		$	24,113		$	23,376		$	22,974		$	22,845
Less: goodwill and other intangible assets		4,817			4,858			4,729			4,664			3,906

Numerator for tangible book value per share	$	18,933		$	19,255		$	18,647		$	18,310		$	18,939

Denominator		336,390,293			337,912,324			337,173,864			334,942,852			339,229,422

Book value per common share	$	70.60		$	71.36		$	69.33		$	68.59		$	67.34
Tangible book value per common share	$	56.28		$	56.98		$	55.31		$	54.66		$	55.83

Reconciliation of Book Value

Shareholders’ equity, beginning of quarter	$	24,113		$	23,376		$	22,974		$	22,845		$	21,410
Income excluding net realized gains (losses)		759			686			268			702			688
Net realized gains (losses), net of tax		(790	)		(79	)		(9	)		299			(13	)
Net unrealized gains (losses), net of tax		(48	)		151			24			(569	)		680
Repurchase of shares		(100	)		—			—			(303	)		—
Dividend declared on common shares		(117	)		(119	)		(113	)		(113	)		(112	)
Cumulative translation, net of tax		(105	)		56			168			47			140
Pension liability		3			—			(4	)		6			(4	)
Other⁽¹⁾		35			42			68			60			56

	$	23,750		$	24,113		$	23,376		$	22,974		$	22,845

⁽¹⁾	Other primarily includes proceeds from exercise of stock options and stock compensation.


Reconciliation Book Value		Page 24

ACE Limited

Glossary

ACE Limited Consolidated comprises all segments including Corporate and Other.

Annualized return on ordinary shareholders’ equity (ROE): Income excluding net realized gains (losses) divided by average shareholders’ equity for the period excluding unrealized gains (losses) on investments and the deferred tax component included in shareholders’ equity. To annualize a quarterly rate multiply by four.

Book value per common share: Shareholders’ equity divided by the shares outstanding.

Combined Insurance: Combined Insurance Company of America, acquired April 1, 2008.

Combined ratio: The sum of the loss and loss expense ratio, acquisition cost ratio and the administrative expense ratio excluding life business. Calculated on a GAAP basis.

Effective tax rate: Income tax expense divided by the sum of income tax expense and income excluding net realized gains (losses).

G7: A group of seven industrialized nations including Canada, France, Germany, Italy, Japan, United Kingdom, and the United States.

Life underwriting income: Net premiums earned and net investment income less policy benefits, acquisition costs, and administrative expenses. In addition, Life underwriting income includes gains/losses from separate account assets that do not qualify for separate account reporting under GAAP.

NM: Not meaningful.

Tangible book value per common share: Shareholders’ equity less goodwill and other intangible assets divided by the shares outstanding.

Tangible capital: Total capitalization less goodwill and other intangible assets.

Total capitalization: Short-term debt, long-term debt, trust preferreds, and shareholders’ equity.


Glossary		Page 25

Chubb Ltd - FORM 8-K - EX-99.2 - THIRD QUARTER 2011 FINANCIAL SUPPLEMENT - October 25, 2011

Attached files

Chubb Ltd Reports