XML 21 R10.htm IDEA: XBRL DOCUMENT v3.21.1
Investments
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Investments Investments
a) Fixed maturities
March 31, 2021Amortized
Cost		Valuation AllowanceGross
Unrealized
Appreciation		Gross
Unrealized
Depreciation		Fair
Value
(in millions of U.S. dollars)
Available for sale
U.S. Treasury / Agency$2,413 $— $121 $(7)$2,527 
Non-U.S.25,147 (6)1,214 (189)26,166 
Corporate and asset-backed securities35,224 (9)1,474 (289)36,400 
Mortgage-backed securities18,788 — 738 (89)19,437 
Municipal6,301 — 254 (14)6,541 
$87,873 $(15)$3,801 $(588)$91,071 
Amortized
Cost		Valuation AllowanceNet Carrying ValueGross
Unrealized
Appreciation		Gross
Unrealized
Depreciation		Fair
Value
Held to maturity
U.S. Treasury / Agency$1,158 $— $1,158 $39 $— $1,197 
Non-U.S.1,276 (6)1,270 82 (1)1,351 
Corporate and asset-backed securities2,163 (35)2,128 183 — 2,311 
Mortgage-backed securities1,888 (1)1,887 110 — 1,997 
Municipal4,690 (1)4,689 207 — 4,896 
$11,175 $(43)$11,132 $621 $(1)$11,752 
December 31, 2020Amortized
Cost		Valuation AllowanceGross
Unrealized
Appreciation		Gross
Unrealized
Depreciation		Fair
Value
(in millions of U.S. dollars)
Available for sale
U.S. Treasury / Agency$2,471 $— $199 $— $2,670 
Non-U.S.24,594 (6)1,808 (42)26,354 
Corporate and asset-backed securities34,095 (14)2,322 (72)36,331 
Mortgage-backed securities17,456 — 1,022 (8)18,470 
Municipal6,572 — 304 (2)6,874 
$85,188 $(20)$5,655 $(124)$90,699 
Amortized
Cost		Valuation AllowanceNet Carrying ValueGross
Unrealized
Appreciation		Gross Unrealized DepreciationFair
Value
Held to maturity
U.S. Treasury / Agency$1,392 $— $1,392 $60 $— $1,452 
Non-U.S.1,295 (7)1,288 118 (1)1,405 
Corporate and asset-backed securities2,185 (35)2,150 288 — 2,438 
Mortgage-backed securities2,000 (1)1,999 148 (1)2,146 
Municipal4,825 (1)4,824 245 — 5,069 
$11,697 $(44)$11,653 $859 $(2)$12,510 

The following table presents the amortized cost of our HTM securities according to S&P rating:
March 31, 2021December 31, 2020
(in millions of U.S. dollars, except for percentages)Amortized cost% of TotalAmortized cost% of Total
AAA$2,404 22 %$2,511 22 %
AA5,815 52 %6,193 53 %
A2,109 19 %2,138 18 %
BBB818 7 %826 7 %
BB28 — %28 — %
Other1 — %1 — %
Total$11,175 100 %$11,697 100 %
The following table presents fixed maturities by contractual maturity:
March 31December 31
 20212020
(in millions of U.S. dollars)Net Carrying ValueFair ValueNet Carrying ValueFair Value
Available for sale
Due in 1 year or less$4,767 $4,767 $4,760 $4,760 
Due after 1 year through 5 years26,100 26,100 26,227 26,227 
Due after 5 years through 10 years27,394 27,394 27,232 27,232 
Due after 10 years13,373 13,373 14,010 14,010 
71,634 71,634 72,229 72,229 
Mortgage-backed securities19,437 19,437 18,470 18,470 
$91,071 $91,071 $90,699 $90,699 
Held to maturity
Due in 1 year or less$1,099 $1,109 $1,231 $1,240 
Due after 1 year through 5 years3,471 3,613 3,592 3,760 
Due after 5 years through 10 years2,918 3,072 3,029 3,228 
Due after 10 years1,757 1,961 1,802 2,136 
9,245 9,755 9,654 10,364 
Mortgage-backed securities1,887 1,997 1,999 2,146 
$11,132 $11,752 $11,653 $12,510 

Expected maturities could differ from contractual maturities because borrowers may have the right to call or prepay obligations, with or without call or prepayment penalties. 

b) Gross unrealized loss
Fixed maturities in an unrealized loss position at March 31, 2021 comprised both investment grade and below investment grade securities for which fair value declined primarily due to widening credit spreads since the date of purchase.

The following tables present, for AFS fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have expected credit losses, the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:
0 – 12 MonthsOver 12 MonthsTotal
March 31, 2021Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
(in millions of U.S. dollars)
U.S. Treasury / Agency$220 $(7)$— $— $220 $(7)
Non-U.S.4,775 (161)381 (19)5,156 (180)
Corporate and asset-backed securities6,753 (254)737 (19)7,490 (273)
Mortgage-backed securities5,470 (87)62 (2)5,532 (89)
Municipal
367 (13)14 (1)381 (14)
Total AFS fixed maturities $17,585 $(522)$1,194 $(41)$18,779 $(563)
0 – 12 MonthsOver 12 MonthsTotal
December 31, 2020Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss		Fair ValueGross
Unrealized
Loss
(in millions of U.S. dollars)
Non-U.S.$1,628 $(35)$114 $(5)$1,742 $(40)
Corporate and asset-backed securities2,212 (33)593 (14)2,805 (47)
Mortgage-backed securities875 (6)35 (2)910 (8)
Municipal
40 (1)16 (1)56 (2)
Total AFS fixed maturities$4,755 $(75)$758 $(22)$5,513 $(97)

c) Net realized gains (losses)

The following table presents the components of Net realized gains (losses):
Three Months Ended
March 31
(in millions of U.S. dollars)20212020
Fixed maturities:
Gross realized gains$37 $77 
Gross realized losses(19)(125)
Net (provision for) recovery of expected credit losses6 (150)
Impairment (1)
— (121)
Total fixed maturities $24 $(319)
Equity securities367 (29)
Other investments38 5 
Foreign exchange gains (losses)76 (68)
Investment and embedded derivative instruments109 15 
Fair value adjustments on insurance derivative319 (685)
S&P futures(44)125 
Other derivative instruments(1)(2)
Other(1)— 
Net realized gains (losses) (pre-tax)$887 $(958)
(1)Relates to certain securities we intended to sell and securities written to market entering default.

Realized gains and losses from Equity securities and Other investments from the table above include sales of securities and unrealized gains and losses from fair value changes as follows:
Three Months Ended
March 31
20212020
(in millions of U.S. dollars)Equity SecuritiesOther InvestmentsTotalEquity SecuritiesOther InvestmentsTotal
Net gains (losses) recognized during the period$367 $38 $405 $(29)$5 $(24)
Less: Net gains (losses) recognized from sales of securities45 — 45 (24)— (24)
Unrealized gains (losses) recognized for securities still held at reporting date$322 $38 $360 $(5)$5 $— 
The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:
Three Months Ended
March 31
(in millions of U.S. dollars)20212020
Available for sale
Valuation allowance for expected credit losses - beginning of period$20 $— 
Impact of adoption of new accounting guidance— 25 
Provision for expected credit loss4 149 
Initial allowance for purchased securities with credit deterioration— 2 
Recovery of expected credit loss(9)— 
Valuation allowance for expected credit losses - end of period$15 $176 
Held to maturity
Valuation allowance for expected credit losses - beginning of period$44 $— 
Impact of adoption of new accounting guidance— 44 
Provision for expected credit loss— 1 
Recovery of expected credit loss(1)— 
Valuation allowance for expected credit losses - end of period$43 $45 

d) Alternative investments
Alternative investments include partially-owned investment companies, investment funds, and limited partnerships measured at fair value using net asset value (NAV) as a practical expedient. The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments:
March 31December 31
 Expected
Liquidation
Period of Underlying Assets		20212020
(in millions of U.S. dollars)Fair
Value		Maximum
Future Funding
Commitments		Fair
Value		Maximum
Future Funding
Commitments
Financial
2 to 10 Years
$710 $270 $673 $237 
Real Assets
2 to 11 Years
942 621 805 598 
Distressed
2 to 8 Years
481 864 358 970 
Private Credit
3 to 8 Years
86 276 88 270 
Traditional
2 to 14 Years
4,912 1,039 4,519 1,125 
Vintage
1 to 2 Years
72 — 73 — 
Investment fundsNot Applicable254 — 254 — 
$7,457 $3,070 $6,770 $3,200 

Included in all categories in the above table, except for Investment funds, are investments for which Chubb will never have the contractual option to redeem but receives distributions based on the liquidation of the underlying assets. Further, for all categories except for Investment funds, Chubb does not have the ability to sell or transfer the investments without the consent from the general partner of individual funds.
Investment Category: Consists of investments in private equity funds:
Financialtargeting financial services companies, such as financial institutions and insurance services worldwide
Real Assetstargeting investments related to hard, physical assets, such as real estate, infrastructure and natural resources
Distressedtargeting distressed corporate debt/credit and equity opportunities in the U.S.
Private Credittargeting privately originated corporate debt investments, including senior secured loans and subordinated bonds
Traditionalemploying traditional private equity investment strategies, such as buyout and growth equity globally
Vintagefunds where the initial fund term has expired

Investment funds employ various investment strategies, such as long/short equity and arbitrage/distressed. Included in this category are investments for which Chubb has the option to redeem at agreed upon value as described in each investment fund’s subscription agreement. Depending on the terms of the various subscription agreements, investment fund investments may be redeemed monthly, quarterly, semi-annually, or annually. If Chubb wishes to redeem an investment fund investment, it must first determine if the investment fund is still in a lock-up period (a time when Chubb cannot redeem its investment so that the investment fund manager has time to build the portfolio). If the investment fund is no longer in its lock-up period, Chubb must then notify the investment fund manager of its intention to redeem by the notification date prescribed by the subscription agreement. Subsequent to notification, the investment fund can redeem Chubb’s investment within several months of the notification. Notice periods for redemption of the investment funds are up to 270 days. Chubb can redeem its investment funds without consent from the investment fund managers.

e) Restricted assets
Chubb is required to maintain assets on deposit with various regulatory authorities to support its insurance and reinsurance operations. These requirements are generally promulgated in the statutory regulations of the individual jurisdictions. The assets on deposit are available to settle insurance and reinsurance liabilities. Chubb is also required to restrict assets pledged under repurchase agreements, which represent Chubb's agreement to sell securities and repurchase them at a future date for a predetermined price. We use trust funds in certain large reinsurance transactions where the trust funds are set up for the benefit of the ceding companies and generally take the place of letter of credit (LOC) requirements. We have investments in segregated portfolios primarily to provide collateral or guarantees for LOC and derivative transactions. Included in restricted assets at March 31, 2021 and December 31, 2020 are investments, primarily fixed maturities, totaling $20.8 billion and $19.6 billion, respectively, and cash of $157 million and $89 million, respectively.
The following table presents the components of restricted assets:
March 31December 31
(in millions of U.S. dollars)20212020
Trust funds$13,553 $12,305 
Deposits with U.S. regulatory authorities2,424 2,438 
Deposits with non-U.S. regulatory authorities2,917 2,905 
Assets pledged under repurchase agreements1,458 1,462 
Other pledged assets638 584 
Total$20,990 $19,694