
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


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
			2021				2020
(in millions of U.S. dollars)	Amortized cost		% of Total		Amortized cost		% of Total
AAA	$	2,089	21	%	$	2,511	22	%
AA	5,303		52	%	6,193		53	%
A	1,964		19	%	2,138		18	%
BBB	773		8	%	826		7	%
BB	23		—	%	28		—	%
Other	1		—	%	1		—	%
Total	$	10,153	100	%	$	11,697	100	%


					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	$	4,498	$	4,498	$	4,760	$	4,760
Due after 1 year through 5 years	25,542		25,542		26,227		26,227
Due after 5 years through 10 years	28,207		28,207		27,232		27,232
Due after 10 years	14,372		14,372		14,010		14,010
	72,619		72,619		72,229		72,229
Mortgage-backed securities	20,489		20,489		18,470		18,470
	$	93,108	$	93,108	$	90,699	$	90,699
Held to maturity
Due in 1 year or less	$	888	$	894	$	1,231	$	1,240
Due after 1 year through 5 years	3,744		3,846		3,592		3,760
Due after 5 years through 10 years	2,242		2,349		3,029		3,228
Due after 10 years	1,514		1,755		1,802		2,136
	8,388		8,844		9,654		10,364
Mortgage-backed securities	1,730		1,803		1,999		2,146
	$	10,118	$	10,647	$	11,653	$	12,510

Fixed maturities in an unrealized loss position at December 31, 2021 and 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 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 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)


	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)


	Year Ended December 31
(in millions of U.S. dollars)	2021		2020		2019
Fixed maturities:
OTTI on fixed maturities, gross	$	—	$	—	$	(90)
OTTI on fixed maturities recognized in OCI (pre-tax)	—		—		32
OTTI on fixed maturities, net	—		—		(58)
Gross realized gains excluding OTTI	142		244		203
Gross realized losses excluding OTTI	(123)		(366)		(176)
Net (provision for) recovery of expected credit losses	14		11		—
Impairment (1)	(30)		(170)		—
Total fixed maturities	3		(281)		(31)
Equity securities	662		586		104

Other investments	111		(32)		(20)
Foreign exchange	348		(483)		7
Investment and embedded derivative instruments	(72)		81		(435)
Fair value adjustments on insurance derivative	316		(202)		(4)
S&P futures	(202)		(108)		(138)
Other derivative instruments	(8)		1		(8)
Other	(6)		(60)		(5)
Net realized gains (losses) (pre-tax)	$	1,152	$	(498)	$	(530)

Change in net unrealized appreciation (depreciation) on investments (pre-tax):
Fixed maturities available for sale	$	(2,901)	$	2,628	$	3,769
Fixed maturities held to maturity	(18)		(24)		(31)

Other	(19)		(12)		(3)
Income tax (expense) benefit	521		(462)		(647)
Change in net unrealized appreciation (depreciation) on investments (after-tax)	$	(2,417)	$	2,130	$	3,088


													Year Ended December 31
	2021						2020						2019
(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	$	662	$	111	$	773	$	586	$	(32)	$	554	$	104	$	(20)	$	84
Less: Net gains (losses) recognized from sales of securities	157		—		157		455		—		455		58		(5)		53
Unrealized gains (losses) recognized for securities still held at reporting date	$	505	$	111	$	616	$	131	$	(32)	$	99	$	46	$	(15)	$	31


	Year Ended December 31
(in millions of U.S. dollars)	2021		2020
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 loss	14		188
Initial allowance for purchased securities with credit deterioration	—		5
Write-offs charged against the expected credit loss	—		(5)
Recovery of expected credit loss	(20)		(193)
Valuation allowance for expected credit losses - end of period	$	14	$	20
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		9


Recovery of expected credit loss	(10)		(9)
Valuation allowance for expected credit losses - end of period	$	35	$	44


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


	December 31
(in millions of U.S. dollars)	2021		2020
Alternative investments:
Partially-owned investment companies	$	9,210	$	5,969
Limited partnerships	631		547
Investment funds	267		254
Alternative investments	10,108		6,770
Life insurance policies	481		438
Policy loans	243		233
Non-qualified separate account assets (1)	278		316
Other	59		188
Total	$	11,169	$	7,945

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
		2021				2020
(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	$	1,096	$	267	$	673	$	237
Real assets	2 to 11 Years	1,193		766		805		598
Distressed	2 to 8 Years	753		641		358		970
Private credit	3 to 8 Years	84		279		88		270
Traditional	2 to 14 Years	6,647		5,200		4,519		1,125
Vintage	1 to 2 Years	68		—		73		—
Investment funds	Not Applicable	267		—		254		—
		$	10,108	$	7,153	$	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

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, 2021						December 31, 2020
(in millions of U.S. dollars, except for percentages)	Carrying Value		Goodwill		Direct Ownership Percentage		Carrying Value		Goodwill		Direct Ownership Percentage		Domicile
Huatai Group	$	2,698	$	1,355	47	%	$	2,461	$	1,313	47	%	China
Huatai Life Insurance Company	253		71		20	%	201		69		20	%	China
Freisenbruch-Meyer	10		3		40	%	10		3		40	%	Bermuda
Chubb Arabia Cooperative Insurance Company	23		—		30	%	23		—		30	%	Saudi Arabia
Russian Reinsurance Company	4		—		23	%	4		—		23	%	Russia
ABR Reinsurance Ltd.	142		—		17	%	114		—		16	%	Bermuda

Total	$	3,130	$	1,429			$	2,813	$	1,385


	Year Ended December 31
(in millions of U.S. dollars)	2021		2020		2019
Fixed maturities (1)	$	3,300	$	3,321	$	3,385
Short-term investments	35		48		84
Other interest income	11		19		25
Equity securities	150		81		26
Other investments	147		82		78
Gross investment income (1)	3,643		3,551		3,598
Investment expenses	(187)		(176)		(172)
Net investment income (1)	$	3,456	$	3,375	$	3,426
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition	$	(84)	$	(116)	$	(161)

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 $17,092 million and $19,605 million, and cash of $152 million and $89 million, at December 31, 2021 and 2020, respectively.


			December 31
(in millions of U.S. dollars)	2021		2020
Trust funds	$	9,915	$	12,305
Deposits with U.S. regulatory authorities	2,402		2,438
Deposits with non-U.S. regulatory authorities	2,873		2,905
Assets pledged under repurchase agreements	1,420		1,462
Other pledged assets	634		584
Total	$	17,244	$	19,694