2011
USD millions

Corporate debt securities

Residential mortgage-backed securities

Commercial mortgage-backed securities

US Agency securitised products

Other asset-backed securities

Equity securities held for proprietary investment purposes

Derivative interest rate contracts2

Derivative foreign exchange contracts

Derivative equity contracts2

Derivative credit contracts

Other derivative contracts

Other assets

    Total

1

Transfers are recognised at the date of the event or change in circumstances that caused the transfer.

2

During 2012 the Group revised the classification of certain derivative instruments from interest rate contracts to equity contracts and the 2011 figures have been revised accordingly. The revision has no impact on net income and shareholders’ equity of the Group.

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of 1 January 2011

1 748

7

3

0

123

203

839

162

0

1 214

202

1 411

5 912

Realised/ unrealised gains/losses:

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in net income

–1

–4

–5

 

–15

38

851

–63

1

–77

–48

39

716

Included in other comprehensive income

–1

4

 

 

–15

4

 

 

 

 

 

20

12

Purchases

76

 

49

10

163

21

206

95

11

163

 

1 136

1 930

Issuances

 

 

 

 

 

 

 

 

 

 

 

 

 

Sales

–670

 

–30

 

–218

–196

–397

–85

–1

–239

–134

–501

–2 471

Settlements

–147

–3

 

 

–12

 

13

 

 

–23

20

–1

–153

Transfers into level 31

223

4

17

 

10

1

 

 

41

 

 

9

305

Transfers out of level 31

–99

–3

–28

–10

–21

 

–41

 

–11

–52

 

–70

–335

Impact of foreign exchange movements

–18

–1

2

 

1

–2

 

3

 

 

–4

–2

–21

Closing balance as of 31 December 2011

1 111

4

8

0

16

69

1 471

112

41

986

36

2 041

5 895

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities for life and health policy benefits

Derivative interest rate contracts2

Derivative foreign exchange contracts

Derivative equity contracts2

Derivative credit contracts

Other derivative contracts

Total

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of 1 January 2011

 

 

 

 

 

 

–271

–825

–72

–56

–1 007

–2 572

–4 803

Realised/ unrealised gains/losses:

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in net income

 

 

 

 

 

 

–69

–413

13

2

–158

–771

–1 396

Included in other comprehensive income

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchases

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuances

 

 

 

 

 

 

 

 

–7

 

 

 

–7

Sales

 

 

 

 

 

 

 

46

 

 

90

8

144

Settlements

 

 

 

 

 

 

 

1

 

 

1

–154

–152

Transfers into level 31

 

 

 

 

 

 

 

 

 

–116

 

 

–116

Transfers out of level 31

 

 

 

 

 

 

 

116

 

 

 

 

116

Impact of foreign exchange movements

 

 

 

 

 

 

–1

 

 

 

–1

 

–2

Closing balance as of 31 December 2011

 

 

 

 

 

 

–341

–1 075

–66

–170

–1 075

–3 489

–6 216