Investments

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Investments

3. Investments

a) Fixed maturities

September 30, 2022	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	$	2,725	$	—	$	5	$	(174)	$	2,556
Non-U.S.	26,766		(61)		77		(2,599)		24,183
Corporate and asset-backed securities	40,776		(85)		30		(4,341)		36,380
Mortgage-backed securities	18,425		(1)		1		(2,190)		16,235
Municipal	4,624		—		6		(243)		4,387
	$	93,316	$	(147)	$	119	$	(9,547)	$	83,741
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value
Held to maturity
U.S. Treasury / Agency	$	1,281	$	—	$	1,281	$	—	$	(52)	$	1,229
Non-U.S.	1,046		(4)		1,042		—		(86)		956
Corporate and asset-backed securities	1,769		(27)		1,742		—		(157)		1,585
Mortgage-backed securities	1,549		(1)		1,548		—		(110)		1,438
Municipal	3,364		(1)		3,363		1		(81)		3,283
	$	9,009	$	(33)	$	8,976	$	1	$	(486)	$	8,491

December 31, 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	$	2,111	$	—	$	109	$	(6)	$	2,214
Non-U.S.	25,156		(8)		953		(272)		25,829
Corporate and asset-backed securities	37,844		(6)		1,410		(185)		39,063
Mortgage-backed securities	20,080		—		532		(123)		20,489
Municipal	5,302		—		216		(5)		5,513
	$	90,493	$	(14)	$	3,220	$	(591)	$	93,108
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value
Held to maturity
U.S. Treasury / Agency	$	1,213	$	—	$	1,213	$	34	$	(3)	$	1,244
Non-U.S.	1,201		(5)		1,196		66		—		1,262
Corporate and asset-backed securities	2,032		(28)		2,004		197		—		2,201
Mortgage-backed securities	1,731		(1)		1,730		74		(1)		1,803
Municipal	3,976		(1)		3,975		162		—		4,137
	$	10,153	$	(35)	$	10,118	$	533	$	(4)	$	10,647

The following table presents the amortized cost of our held to maturity securities according to S&P rating:

	September 30, 2022				December 31, 2021
(in millions of U.S. dollars, except for percentages)	Amortized cost		% of Total		Amortized cost		% of Total
AAA	$	1,710	19	%	$	2,089	21	%
AA	4,975		55	%	5,303		52	%
A	1,679		19	%	1,964		19	%
BBB	622		7	%	773		8	%
BB	23		—	%	23		—	%
Other	—		—	%	1		—	%
Total	$	9,009	100	%	$	10,153	100	%

The following table presents fixed maturities by contractual maturity:

	September 30, 2022				December 31, 2021
(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	$	3,173	$	3,173	$	4,498	$	4,498
Due after 1 year through 5 years	23,685		23,685		25,542		25,542
Due after 5 years through 10 years	26,350		26,350		28,207		28,207
Due after 10 years	14,298		14,298		14,372		14,372
	67,506		67,506		72,619		72,619
Mortgage-backed securities	16,235		16,235		20,489		20,489
	$	83,741	$	83,741	$	93,108	$	93,108
Held to maturity
Due in 1 year or less	$	1,003	$	990	$	888	$	894
Due after 1 year through 5 years	3,373		3,233		3,744		3,846
Due after 5 years through 10 years	1,743		1,677		2,242		2,349
Due after 10 years	1,309		1,153		1,514		1,755
	7,428		7,053		8,388		8,844
Mortgage-backed securities	1,548		1,438		1,730		1,803
	$	8,976	$	8,491	$	10,118	$	10,647

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 September 30, 2022 and December 31, 2021 comprised both investment grade and below investment grade securities for which fair value declined, principally due to rising interest rates since the date of purchase. Refer to Note 3 in the 2021 Form 10-K for further information on factors considered in the evaluation of expected credit losses.

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 been in an unrealized loss position:

	0 – 12 Months				Over 12 Months				Total
September 30, 2022	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	$	1,873	$	(145)	$	227	$	(29)	$	2,100	$	(174)
Non-U.S.	16,585		(1,480)		3,907		(588)		20,492		(2,068)
Corporate and asset-backed securities	28,533		(2,832)		2,621		(456)		31,154		(3,288)
Mortgage-backed securities	12,776		(1,459)		3,324		(728)		16,100		(2,187)
Municipal	3,905		(216)		70		(18)		3,975		(234)
Total AFS fixed maturities	$	63,672	$	(6,132)	$	10,149	$	(1,819)	$	73,821	$	(7,951)

	0 – 12 Months				Over 12 Months				Total
December 31, 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	$	363	$	(3)	$	70	$	(3)	$	433	$	(6)
Non-U.S.	6,917		(196)		1,093		(62)		8,010		(258)
Corporate and asset-backed securities	9,449		(145)		806		(32)		10,255		(177)
Mortgage-backed securities	8,086		(116)		190		(7)		8,276		(123)
Municipal	226		(5)		—		—		226		(5)
Total AFS fixed maturities	$	25,041	$	(465)	$	2,159	$	(104)	$	27,200	$	(569)

During the nine months ended September 30, 2022, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $950 million necessary due to limitations on the utilization of these losses. As part of evaluating whether it was more likely than not that we could realize these losses, we considered realized gains, carryback capacity and available tax planning strategies.

The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:

	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2022		2021		2022		2021
Available for sale
Valuation allowance for expected credit losses - beginning of period	$	78	$	11	$	14	$	20
Provision for expected credit loss	91		3		169		8
Foreign currency revaluation	(2)		—		(2)		—
Recovery of expected credit loss	(20)		(2)		(34)		(16)
Valuation allowance for expected credit losses - end of period	$	147	$	12	$	147	$	12
Held to maturity
Valuation allowance for expected credit losses - beginning of period	$	34	$	37	$	35	$	44
Provision for expected credit loss	—		—		1		—
Recovery of expected credit loss	(1)		(2)		(3)		(9)
Valuation allowance for expected credit losses - end of period	$	33	$	35	$	33	$	35

c) Net realized gains (losses)

The following table presents the components of Net realized gains (losses):

	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2022		2021		2022		2021
Fixed maturities:
Gross realized gains	$	144	$	27	$	545	$	120
Gross realized losses	(331)		(27)		(1,158)		(99)
Net (provision for) recovery of expected credit losses	(70)		1		(133)		17
Impairment (1)	(22)		(11)		(111)		(12)
Total fixed maturities	(279)		(10)		(857)		26
Equity securities	(80)		(42)		(287)		475
Other investments	(42)		11		17		111
Foreign exchange	198		106		541		85
Investment and embedded derivative instruments	(198)		(9)		(232)		9
Fair value adjustments on insurance derivative	22		(59)		(86)		252
S&P futures	54		(4)		240		(112)
Other derivative instruments	(19)		(10)		(9)		(8)
Other (2)	(40)		(4)		(114)		(5)
Net realized gains (losses) (pre-tax)	$	(384)	$	(21)	$	(787)	$	833

(1)Relates to certain securities we intended to sell and securities written to market entering default.

(2)Other realized losses includes $36 million related to impairment of fixed assets. The nine months ended September 30, 2022 also includes impairment of assets related to Chubb’s Russian entities.

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
							September 30
	2022						2021
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	(80)	$	(42)	$	(122)	$	(42)	$	11	$	(31)
Less: Net gains (losses) recognized from sales of securities	(12)		—		(12)		19		—		19
Unrealized gains (losses) recognized for securities still held at reporting date	$	(68)	$	(42)	$	(110)	$	(61)	$	11	$	(50)

							Nine Months Ended
							September 30
	2022						2021
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	(287)	$	17	$	(270)	$	475	$	111	$	586
Less: Net gains recognized from sales of securities	406		—		406		109		—		109
Unrealized gains (losses) recognized for securities still held at reporting date	$	(693)	$	17	$	(676)	$	366	$	111	$	477

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:

	Expected Liquidation Period of Underlying Assets	September 30, 2022				December 31, 2021
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 10 Years	$	1,085	$	528	$	1,096	$	267
Real assets	2 to 13 Years	2,045		807		1,193		766
Distressed	2 to 8 Years	1,055		746		753		641
Private credit	3 to 8 Years	194		450		84		279
Traditional	2 to 14 Years	7,548		5,091		6,647		5,200
Vintage	1 to 2 Years	51		—		68		—
Investment funds	Not Applicable	414		—		267		—
		$	12,392	$	7,622	$	10,108	$	7,153

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.

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 September 30, 2022 and December 31, 2021 are investments, primarily fixed maturities, totaling $16,202 million and $17,092 million, respectively, and cash of $136 million and $152 million, respectively.

The following table presents the components of restricted assets:

	September 30		December 31
(in millions of U.S. dollars)	2022		2021
Trust funds	$	7,992	$	9,915
Deposits with U.S. regulatory authorities	2,318		2,402
Deposits with non-U.S. regulatory authorities	2,825		2,873
Assets pledged under repurchase agreements	2,529		1,420
Other pledged assets	674		634
Total	$	16,338	$	17,244