Effective January 1, 2020, we adopted new accounting guidance that requires a valuation allowance for credit losses to be established for fixed maturity securities classified as held to maturity (HTM) or available for sale (AFS). For information on accounting policies applicable to periods prior to January 1, 2020, refer to the 2019 Form 10-K.


September 30, 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	$	2,564	$	—	$	227	$	—	$	2,791
Non-U.S.	23,858		(9)		1,548		(115)		25,282
Corporate and asset-backed securities	33,661		(25)		1,895		(233)		35,298
Mortgage-backed securities	18,272		—		1,078		(13)		19,337
Municipal	6,846		—		302		(4)		7,144
	$	85,201	$	(34)	$	5,050	$	(365)	$	89,852
	Amortized Cost		Valuation Allowance		Net Carrying Value		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value

Held to maturity
U.S. Treasury / Agency	$	1,240	$	—	$	1,240	$	69	$	—	$	1,309
Non-U.S.	1,273		(7)		1,266		109		(1)		1,374
Corporate and asset-backed securities	2,204		(36)		2,168		252		(6)		2,414
Mortgage-backed securities	2,104		(1)		2,103		152		(2)		2,253
Municipal	4,875		(1)		4,874		249		—		5,123
	$	11,696	$	(45)	$	11,651	$	831	$	(9)	$	12,473


December 31, 2019	Amortized Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Fair Value		OTTI Recognized in AOCI
(in millions of U.S. dollars)
Available for sale
U.S. Treasury / Agency	$	3,188	$	96	$	(1)	$	3,283	$	—
Non-U.S.	22,670		1,099		(62)		23,707		(25)
Corporate and asset-backed securities	30,689		1,180		(78)		31,791		(5)
Mortgage-backed securities	18,712		494		(14)		19,192		—
Municipal	7,321		205		(11)		7,515		—
	$	82,580	$	3,074	$	(166)	$	85,488	$	(30)
Held to maturity
U.S. Treasury / Agency	$	1,318	$	29	$	—	$	1,347	$	—
Non-U.S.	1,423		62		—		1,485		—
Corporate and asset-backed securities	2,349		121		(2)		2,468		—
Mortgage-backed securities	2,331		65		—		2,396		—
Municipal	5,160		150		(1)		5,309		—
	$	12,581	$	427	$	(3)	$	13,005	$	—

Management evaluates CECL for all HTM securities each quarter. U.S. Treasury and agency securities and U.S. government agency mortgage-backed securities are assumed to have no risk of non-payment and therefore are excluded from the CECL evaluation. The remaining HTM securities are evaluated for potential credit loss on a collective pool basis. We elected to pool HTM securities by 1) external credit rating and 2) time to maturity (duration). These characteristics are the most representative of similar risk characteristics within our portfolio. Chubb pools HTM securities and calculates an expected credit loss for each pool using Moody’s corporate bond default average, corporate bond recovery rate, and an economic cycle multiplier. The multiplier is based on the leading economic index and adjusts the average default frequency for a forward-looking economic outlook. Prior to the adoption of this guidance, HTM securities were evaluated individually for other-than-temporary impairment (OTTI).

Management evaluates expected credit losses (ECL) for AFS securities when fair value is below amortized cost. AFS securities are evaluated for potential credit loss on an individual security level but the evaluation may use assumptions consistent with expectations of credit losses for a group of similar securities. If management has the intent to sell or is required to sell the security before recovery, the entire impairment loss will be recorded through income to Net realized gains (losses). If management does not have the intent to sell or is not required to sell the security before recovery, an allowance for credit losses is established and the portion of loss that relates to credit losses is recorded in income to Net realized gains (losses) and the portion of loss that relates to non-credit loss is recorded in Other comprehensive income.

AFS securities that meet any one of the criteria included above are subject to a discounted cash flow analysis by comparing the present value of expected future cash flows with the amortized cost basis. If the present value of expected future cash flows is less than the amortized cost, a credit loss exists and an allowance for credit losses is then recognized. If the present value of expected future cash flows is equal to or greater than the amortized cost basis, management will conclude an expected credit loss does not exist.


			September 30				December 31
			2020				2019
(in millions of U.S. dollars)	Net Carrying Value		Fair Value		Amortized Cost		Fair Value
Available for sale
Due in 1 year or less	$	4,703	$	4,703	$	3,951	$	3,973
Due after 1 year through 5 years	26,319		26,319		27,142		27,720
Due after 5 years through 10 years	26,456		26,456		23,901		24,874
Due after 10 years	13,037		13,037		8,874		9,729
	70,515		70,515		63,868		66,296
Mortgage-backed securities	19,337		19,337		18,712		19,192
	$	89,852	$	89,852	$	82,580	$	85,488
Held to maturity
Due in 1 year or less	$	1,045	$	1,056	$	478	$	479
Due after 1 year through 5 years	3,501		3,667		3,869		3,940
Due after 5 years through 10 years	3,119		3,315		3,756		3,883
Due after 10 years	1,883		2,182		2,147		2,307
	9,548		10,220		10,250		10,609
Mortgage-backed securities	2,103		2,253		2,331		2,396
	$	11,651	$	12,473	$	12,581	$	13,005

Fixed maturities in an unrealized loss position at September 30, 2020 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 table presents, for AFS fixed maturities in an unrealized loss position (including securities on loan) that are not deemed to have 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, 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.	$	2,848	$	(89)	$	122	$	(14)	$	2,970	$	(103)
Corporate and asset-backed securities	6,149		(145)		721		(41)		6,870		(186)
Mortgage-backed securities	1,481		(11)		26		(2)		1,507		(13)
Municipal	190		(2)		54		(2)		244		(4)
Total AFS fixed maturities	$	10,668	$	(247)	$	923	$	(59)	$	11,591	$	(306)

The following table presents, for all securities in an unrealized loss position (including securities on loan), 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
December 31, 2019	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	$	234	$	(1)	$	339	$	—	$	573	$	(1)
Non-U.S.	1,846		(34)		802		(28)		2,648		(62)
Corporate and asset-backed securities	2,121		(40)		988		(40)		3,109		(80)
Mortgage-backed securities	1,174		(6)		932		(8)		2,106		(14)
Municipal	188		—		276		(12)		464		(12)
Total fixed maturities	$	5,563	$	(81)	$	3,337	$	(88)	$	8,900	$	(169)

Management reviews credit losses and the valuation allowance for expected credit losses each quarter. When all or a portion of a fixed maturity security is identified to be uncollectible and written off, the valuation allowance for expected credit losses is reduced by the same amount. In general, a security is considered uncollectible no later than when all efforts to collect contractual cash flows have been exhausted. Below are considerations for when a security may be deemed uncollectible:

Projected cash flows are driven primarily by assumptions regarding probability of default and also the timing and amount of recoveries associated with defaults. Chubb developed the projected cash flows using market data, issuer-specific information, and credit ratings. In combination with contractual cash flows and the use of historical default and recovery data by Moody’s Investors Service (Moody’s) rating category we generate expected cash flows using the average cumulative issuer-weighted global default rates by letter rating.


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2020		2019		2020		2019
Fixed maturities:
OTTI on fixed maturities, gross	$	—	$	(54)	$	—	$	(81)
OTTI on fixed maturities recognized in OCI (pre-tax)	—		30		—		31
OTTI on fixed maturities, net	—		(24)		—		(50)
Gross realized gains excluding OTTI	50		70		195		153
Gross realized losses excluding OTTI	(32)		(57)		(331)		(146)
Provision for expected credit losses	42		—		(4)		—
Impairment (1)	(11)		—		(163)		—
Total fixed maturities	49		(11)		(303)		(43)
Equity securities	—		3		119		66

Other investments	31		(4)		(71)		(18)
Foreign exchange gains (losses)	(222)		84		(351)		86
Investment and embedded derivative instruments	9		(97)		38		(408)
Fair value adjustments on insurance derivative	46		(106)		(426)		(57)
S&P futures	(52)		(6)		(30)		(89)
Other derivative instruments	1		(14)		(2)		(8)
Other	(3)		(4)		(43)		(4)
Net realized gains (losses) (pre-tax)	$	(141)	$	(155)	$	(1,069)	$	(475)


							Three Months Ended
							September 30
	2020						2019
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	—	$	31	$	31	$	3	$	(4)	$	(1)
Less: Net gains (losses) recognized from sales of securities	34		—		34		24		(2)		22
Unrealized gains (losses) recognized for securities still held at reporting date	$	(34)	$	31	$	(3)	$	(21)	$	(2)	$	(23)


							Nine Months Ended
							September 30
	2020						2019
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	119	$	(71)	$	48	$	66	$	(18)	$	48
Less: Net gains (losses) recognized from sales of securities	197		—		197		57		(4)		53
Unrealized gains (losses) recognized for securities still held at reporting date	$	(78)	$	(71)	$	(149)	$	9	$	(14)	$	(5)


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

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


Recoveries of amounts previously written off	(8)		(8)
Valuation allowance for expected credit losses - end of period	$	45	$	45

During the nine months ended September 30, 2020, we purchased $108 million of securities with credit deterioration, categorized as available for sale, and assessed an allowance for credit losses of $5 million at acquisition. These PCD securities had a par value at acquisition of $144 million.

Alternative investments include partially-owned investment companies, investment funds, and limited partnerships measured at fair value using their respective net asset values or equivalent (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			2020				2019
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 10 Years	$	579	$	293	$	611	$	329
Real Assets	2 to 11 Years	724		704		712		422
Distressed	2 to 8 Years	252		573		263		80
Private Credit	3 to 8 Years	86		272		104		272
Traditional	2 to 14 Years	3,727		1,455		2,844		2,160
Vintage	1 to 2 Years	83		—		116		—
Investment funds	Not Applicable	243		—		271		—
		$	5,694	$	3,297	$	4,921	$	3,263

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 range 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, 2020 and December 31, 2019 are investments, primarily fixed maturities, totaling $20.0 billion and $21.0 billion, respectively, and cash of $166 million and $109 million, respectively.


	September 30		December 31
(in millions of U.S. dollars)	2020		2019
Trust funds	$	12,746	$	14,004
Deposits with U.S. regulatory authorities	2,448		2,466
Deposits with non-U.S. regulatory authorities	2,957		2,709
Assets pledged under repurchase agreements	1,433		1,464
Other pledged assets	577		490
Total	$	20,161	$	21,133