
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


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	$	—


	December 31				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	$	4,760	$	4,760	$	3,951	$	3,973
Due after 1 year through 5 years	26,227		26,227		27,142		27,720
Due after 5 years through 10 years	27,232		27,232		23,901		24,874
Due after 10 years	14,010		14,010		8,874		9,729
	72,229		72,229		63,868		66,296
Mortgage-backed securities	18,470		18,470		18,712		19,192
	$	90,699	$	90,699	$	82,580	$	85,488
Held to maturity
Due in 1 year or less	$	1,231	$	1,240	$	478	$	479
Due after 1 year through 5 years	3,592		3,760		3,869		3,940
Due after 5 years through 10 years	3,029		3,228		3,756		3,883
Due after 10 years	1,802		2,136		2,147		2,307
	9,654		10,364		10,250		10,609
Mortgage-backed securities	1,999		2,146		2,331		2,396
	$	11,653	$	12,510	$	12,581	$	13,005

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
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)

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)


	Year Ended December 31
(in millions of U.S. dollars)	2019		2018
Balance of credit losses related to securities still held – beginning of year	$	34	$	22
Additions where no OTTI was previously recorded	33		20
Additions where an OTTI was previously recorded	4		5
Reductions for securities sold during the period	(41)		(13)
Balance of credit losses related to securities still held – end of year	$	30	$	34


	Year Ended December 31
(in millions of U.S. dollars)	2020		2019		2018
Fixed maturities:
OTTI on fixed maturities, gross	$	—	$	(90)	$	(52)
OTTI on fixed maturities recognized in OCI (pre-tax)	—		32		3
OTTI on fixed maturities, net	—		(58)		(49)
Gross realized gains excluding OTTI	244		203		334
Gross realized losses excluding OTTI	(366)		(176)		(587)
Recovery of expected credit losses	11		—		—
Impairment (1)	(170)		—		—
Total fixed maturities	(281)		(31)		(302)
Equity securities	586		104		(59)

Other investments	(32)		(20)		(5)
Foreign exchange gains (losses)	(483)		7		131
Investment and embedded derivative instruments	81		(435)		(75)
Fair value adjustments on insurance derivative	(202)		(4)		(248)
S&P futures	(108)		(138)		(4)
Other derivative instruments	1		(8)		(3)
Other	(60)		(5)		(87)
Net realized gains (losses) (pre-tax)	$	(498)	$	(530)	$	(652)

Change in net unrealized appreciation (depreciation) on investments (pre-tax):
Fixed maturities available for sale	$	2,628	$	3,769	$	(1,958)
Fixed maturities held to maturity	(24)		(31)		(38)

Other	(12)		(3)		—
Income tax (expense) benefit	(462)		(647)		297
Change in net unrealized appreciation (depreciation) on investments (after-tax)	$	2,130	$	3,088	$	(1,699)


	Year Ended December 31, 2020						Year Ended December 31, 2019						Year Ended December 31, 2018
(in millions of U.S. dollars)	Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total		Equity Securities		Other Investments		Total
Net gains (losses) recognized during the period	$	586	$	(32)	$	554	$	104	$	(20)	$	84	$	(59)	$	(5)	$	(64)
Less: Net gains (losses) recognized from sales of securities	455		—		455		58		(5)		53		70		121		191
Unrealized gains (losses) recognized for securities still held at reporting date	$	131	$	(32)	$	99	$	46	$	(15)	$	31	$	(129)	$	(126)	$	(255)


	Year Ended
	December 31
(in millions of U.S. dollars)	2020
Available for sale
Valuation allowance for expected credit losses - beginning of period	$	—
Impact of adoption of new accounting guidance	25
Provision for expected credit loss	188
Initial allowance for purchased securities with credit deterioration	5
Write-offs charged against the expected credit loss	(5)
Recovery of expected credit loss	(193)
Valuation allowance for expected credit losses - end of period	$	20
Held to maturity
Valuation allowance for expected credit losses - beginning of period	$	—
Impact of adoption of new accounting guidance	44
Provision for expected credit loss	9


Recovery of expected credit loss	(9)
Valuation allowance for expected credit losses - end of period	$	44

During the year ended December 31, 2020, we purchased $108 million of securities with credit deterioration, categorized as available for sale, and assessed an allowance for expected credit losses of $5 million at acquisition. These PCD securities had a par value at acquisition of $144 million.


	December 31
(in millions of U.S. dollars)	2020		2019
Alternative investments:
Partially-owned investment companies	$	5,969	$	4,142
Limited partnerships	547		508
Investment funds	254		271
Alternative investments	6,770		4,921
Life insurance policies	438		377
Policy loans	233		247
Non-qualified separate account assets (1)	316		283
Other	188		234
Total	$	7,945	$	6,062

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:


		December 31				December 31
		2020				2019
(in millions of U.S. dollars)	Expected Liquidation Period of Underlying Assets	Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 10 Years	$	673	$	237	$	611	$	329
Real Assets	2 to 11 Years	805		598		712		422
Distressed	2 to 8 Years	358		970		263		80
Private Credit	3 to 8 Years	88		270		104		272
Traditional	2 to 14 Years	4,519		1,125		2,844		2,160
Vintage	1 to 2 Years	73		—		116		—
Investment funds	Not Applicable	254		—		271		—
		$	6,770	$	3,200	$	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

Included in partially-owned investment companies and limited partnerships are 130 individual limited partnerships covering a broad range of investment strategies including large cap buyouts, specialist buyouts, growth capital, distressed, mezzanine, real estate, and co-investments. The underlying portfolio consists of various public and private debt and equity securities of publicly traded and privately held companies and real estate assets. The underlying investments across various partnerships, geographies, industries, asset types, and investment strategies provide risk diversification within the limited partnership portfolio and the overall investment portfolio.

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.


	December 31, 2020						December 31, 2019
(in millions of U.S. dollars, except for percentages)	Carrying Value		Goodwill		Direct Ownership Percentage		Carrying Value		Goodwill		Direct Ownership Percentage		Domicile
Huatai Group	$	2,461	$	1,313	47	%	$	1,053	$	460	31	%	China
Huatai Life Insurance Company	201		69		20	%	147		64		20	%	China
Freisenbruch-Meyer	10		3		40	%	10		3		40	%	Bermuda
Chubb Arabia Cooperative Insurance Company	23		—		30	%	20		—		30	%	Saudi Arabia
Russian Reinsurance Company	4		—		23	%	2		—		23	%	Russia
ABR Reinsurance Ltd.	114		—		16	%	100		—		12	%	Bermuda

Total	$	2,813	$	1,385			$	1,332	$	527


	Year Ended December 31
(in millions of U.S. dollars)	2020		2019		2018
Fixed maturities (1)	$	3,321	$	3,385	$	3,128
Short-term investments	48		84		90
Other interest income	19		25		118
Equity securities	81		26		33
Other investments	82		78		104
Gross investment income (1)	3,551		3,598		3,473
Investment expenses	(176)		(172)		(168)
Net investment income (1)	$	3,375	$	3,426	$	3,305
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition	$	(116)	$	(161)	$	(248)

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 are investments, primarily fixed maturities, totaling $19.6 billion and $21.0 billion, and cash of $89 million and $109 million, at December 31, 2020 and 2019, respectively.


	December 31		December 31
(in millions of U.S. dollars)	2020		2019
Trust funds	$	12,305	$	14,004
Deposits with U.S. regulatory authorities	2,438		2,466
Deposits with non-U.S. regulatory authorities	2,905		2,709
Assets pledged under repurchase agreements	1,462		1,464
Other pledged assets	584		490
Total	$	19,694	$	21,133