
September 30, 2021	Amortized Cost		Valuation Allowance		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value
(in millions of U.S. dollars)
Available for sale
U.S. Treasury / Agency	$	2,172	$	—	$	120	$	(5)	$	2,287
Non-U.S.	24,988		(6)		1,139		(194)		25,927
Corporate and asset-backed securities	37,283		(6)		1,596		(157)		38,716
Mortgage-backed securities	19,333		—		695		(65)		19,963
Municipal	5,559		—		236		(3)		5,792
	$	89,335	$	(12)	$	3,786	$	(424)	$	92,685
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value

Held to maturity
U.S. Treasury / Agency	$	1,209	$	—	$	1,209	$	38	$	—	$	1,247
Non-U.S.	1,259		(5)		1,254		76		—		1,330
Corporate and asset-backed securities	2,079		(28)		2,051		209		—		2,260
Mortgage-backed securities	1,771		(1)		1,770		99		(1)		1,868
Municipal	4,232		(1)		4,231		183		—		4,414
	$	10,550	$	(35)	$	10,515	$	605	$	(1)	$	11,119


December 31, 2020	Amortized Cost		Valuation Allowance		Gross 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 securities	34,095		(14)		2,322		(72)		36,331
Mortgage-backed securities	17,456		—		1,022		(8)		18,470
Municipal	6,572		—		304		(2)		6,874
	$	85,188	$	(20)	$	5,655	$	(124)	$	90,699
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair 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 securities	2,185		(35)		2,150		288		—		2,438
Mortgage-backed securities	2,000		(1)		1,999		148		(1)		2,146
Municipal	4,825		(1)		4,824		245		—		5,069
	$	11,697	$	(44)	$	11,653	$	859	$	(2)	$	12,510


	September 30, 2021				December 31, 2020
(in millions of U.S. dollars, except for percentages)	Amortized cost		% of Total		Amortized cost		% of Total
AAA	$	2,216	21	%	$	2,511	22	%
AA	5,479		52	%	6,193		53	%
A	2,011		19	%	2,138		18	%
BBB	815		8	%	826		7	%
BB	28		—	%	28		—	%
Other	1		—	%	1		—	%
Total	$	10,550	100	%	$	11,697	100	%


			September 30				December 31
			2021				2020
(in millions of U.S. dollars)	Net Carrying Value		Fair Value		Net Carrying Value		Fair Value
Available for sale
Due in 1 year or less	$	4,568	$	4,568	$	4,760	$	4,760
Due after 1 year through 5 years	25,747		25,747		26,227		26,227
Due after 5 years through 10 years	28,117		28,117		27,232		27,232
Due after 10 years	14,290		14,290		14,010		14,010
	72,722		72,722		72,229		72,229
Mortgage-backed securities	19,963		19,963		18,470		18,470
	$	92,685	$	92,685	$	90,699	$	90,699
Held to maturity
Due in 1 year or less	$	947	$	954	$	1,231	$	1,240
Due after 1 year through 5 years	3,666		3,792		3,592		3,760
Due after 5 years through 10 years	2,498		2,627		3,029		3,228
Due after 10 years	1,634		1,878		1,802		2,136
	8,745		9,251		9,654		10,364
Mortgage-backed securities	1,770		1,868		1,999		2,146
	$	10,515	$	11,119	$	11,653	$	12,510

Fixed maturities in an unrealized loss position at September 30, 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 Available for Sale (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 Months				Over 12 Months				Total
September 30, 2021	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
(in millions of U.S. dollars)
U.S. Treasury / Agency	$	231	$	(5)	$	—	$	—	$	231	$	(5)
Non-U.S.	5,704		(147)		780		(40)		6,484		(187)
Corporate and asset-backed securities	6,686		(124)		662		(20)		7,348		(144)
Mortgage-backed securities	5,948		(61)		157		(4)		6,105		(65)
Municipal	239		(2)		8		(1)		247		(3)
Total AFS fixed maturities	$	18,808	$	(339)	$	1,607	$	(65)	$	20,415	$	(404)


	0 – 12 Months				Over 12 Months				Total
December 31, 2020	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
(in millions of U.S. dollars)

Non-U.S.	$	1,628	$	(35)	$	114	$	(5)	$	1,742	$	(40)
Corporate and asset-backed securities	2,212		(33)		593		(14)		2,805		(47)
Mortgage-backed securities	875		(6)		35		(2)		910		(8)
Municipal	40		(1)		16		(1)		56		(2)
Total AFS fixed maturities	$	4,755	$	(75)	$	758	$	(22)	$	5,513	$	(97)


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2021		2020		2021		2020
Fixed maturities:



Gross realized gains	$	27	$	50	$	120	$	195
Gross realized losses	(27)		(32)		(99)		(331)
Net (provision for) recovery of expected credit losses	1		42		17		(4)
Impairment (1)	(11)		(11)		(12)		(163)
Total fixed maturities	$	(10)	$	49	$	26	$	(303)
Equity securities	(42)		—		475		119

Other investments	11		31		111		(71)
Foreign exchange	106		(222)		85		(351)
Investment and embedded derivative instruments	(9)		9		9		38
Fair value adjustments on insurance derivative	(59)		46		252		(426)
S&P futures	(4)		(52)		(112)		(30)
Other derivative instruments	(10)		1		(8)		(2)
Other	(4)		(3)		(5)		(43)
Net realized gains (losses) (pre-tax)	$	(21)	$	(141)	$	833	$	(1,069)


							Three Months Ended
							September 30
	2021						2020
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	(42)	$	11	$	(31)	$	—	$	31	$	31
Less: Net gains recognized from sales of securities	19		—		19		34		—		34
Unrealized gains (losses) recognized for securities still held at reporting date	$	(61)	$	11	$	(50)	$	(34)	$	31	$	(3)


							Nine Months Ended
							September 30
	2021						2020
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	475	$	111	$	586	$	119	$	(71)	$	48
Less: Net gains recognized from sales of securities	109		—		109		197		—		197
Unrealized gains (losses) recognized for securities still held at reporting date	$	366	$	111	$	477	$	(78)	$	(71)	$	(149)


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2021		2020		2021		2020
Available for sale
Valuation allowance for expected credit losses - beginning of period	$	11	$	69	$	20	$	—
Impact of adoption of new accounting guidance	—		—		—		25
Provision for expected credit loss	3		5		8		183
Initial allowance for purchased securities with credit deterioration	—		—		—		5
Write-offs charged against the expected credit loss	—		—		—		(5)

Recovery of expected credit loss	(2)		(40)		(16)		(174)
Valuation allowance for expected credit losses - end of period	$	12	$	34	$	12	$	34
Held to maturity
Valuation allowance for expected credit losses - beginning of period	$	37	$	51	$	44	$	—
Impact of adoption of new accounting guidance	—		—		—		44
Provision for expected credit loss	—		2		—		9


Recovery of expected credit loss	(2)		(8)		(9)		(8)
Valuation allowance for expected credit losses - end of period	$	35	$	45	$	35	$	45

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:


				September 30				December 31
	Expected Liquidation Period of Underlying Assets			2021				2020
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 10 Years	$	1,064	$	309	$	673	$	237
Real Assets	2 to 11 Years	1,092		772		805		598
Distressed	2 to 8 Years	568		813		358		970
Private Credit	3 to 8 Years	82		279		88		270
Traditional	2 to 14 Years	6,616		4,958		4,519		1,125
Vintage	1 to 2 Years	64		—		73		—
Investment funds	Not Applicable	282		—		254		—
		$	9,768	$	7,131	$	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:
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						funds 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.

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


	September 30		December 31
(in millions of U.S. dollars)	2021		2020
Trust funds	$	11,669	$	12,305
Deposits with U.S. regulatory authorities	2,418		2,438
Deposits with non-U.S. regulatory authorities	2,858		2,905
Assets pledged under repurchase agreements	1,425		1,462
Other pledged assets	632		584
Total	$	19,002	$	19,694