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Investments
3 Months Ended
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
Investments Investments
a) Fixed maturities

March 31, 2024Amortized
Cost
Valuation AllowanceGross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Fair Value
(in millions of U.S. dollars)
Available-for-sale
U.S. Treasury / Agency$3,058 $ $5 $(164)$2,899 
Non-U.S.36,962 (41)605 (1,381)36,145 
Corporate and asset-backed securities45,567 (73)306 (2,353)43,447 
Mortgage-backed securities25,696 (1)89 (2,029)23,755 
Municipal2,196  7 (160)2,043 
$113,479 $(115)$1,012 $(6,087)$108,289 

December 31, 2023Amortized
Cost
Valuation AllowanceGross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Fair Value
(in millions of U.S. dollars)
Available-for-sale
U.S. Treasury / Agency$3,721 $— $13 $(144)$3,590 
Non-U.S.35,918 (49)592 (1,297)35,164 
Corporate and asset-backed securities44,695 (104)390 (2,151)42,830 
Mortgage-backed securities23,720 (3)143 (1,802)22,058 
Municipal3,074 — 10 (155)2,929 
$111,128 $(156)$1,148 $(5,549)$106,571 

The following table presents fixed maturities by contractual maturity:
 March 31, 2024December 31, 2023
(in millions of U.S. dollars)Net Carrying ValueFair ValueNet Carrying ValueFair Value
Available-for-sale
Due in 1 year or less$4,521 $4,521 $4,729 $4,729 
Due after 1 year through 5 years33,533 33,533 33,573 33,573 
Due after 5 years through 10 years28,198 28,198 28,480 28,480 
Due after 10 years18,282 18,282 17,731 17,731 
84,534 84,534 84,513 84,513 
Mortgage-backed securities23,755 23,755 22,058 22,058 
$108,289 $108,289 $106,571 $106,571 

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 March 31, 2024, and December 31, 2023, 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 1 f) in the 2023 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 continuously been in an unrealized loss position:
0 – 12 MonthsOver 12 MonthsTotal
March 31, 2024Fair ValueGross
Unrealized
Loss
Fair ValueGross
Unrealized
Loss
Fair ValueGross
Unrealized
Loss
(in millions of U.S. dollars)
U.S. Treasury / Agency$632 $(13)$2,007 $(151)$2,639 $(164)
Non-U.S.3,793 (64)15,928 (1,079)19,721 (1,143)
Corporate and asset-backed securities4,675 (71)19,646 (1,487)24,321 (1,558)
Mortgage-backed securities4,907 (82)13,783 (1,919)18,690 (2,001)
Municipal443 (12)1,218 (148)1,661 (160)
Total AFS fixed maturities $14,450 $(242)$52,582 $(4,784)$67,032 $(5,026)

0 – 12 MonthsOver 12 MonthsTotal
December 31, 2023Fair ValueGross
Unrealized
Loss
Fair ValueGross
Unrealized
Loss
Fair ValueGross
Unrealized
Loss
(in millions of U.S. dollars)
U.S. Treasury / Agency$463 $(9)$2,504 $(135)$2,967 $(144)
Non-U.S.2,464 (43)15,971 (957)18,435 (1,000)
Corporate and asset-backed securities2,866 (51)20,334 (1,194)23,200 (1,245)
Mortgage-backed securities1,659 (58)13,831 (1,706)15,490 (1,764)
Municipal1,117 (15)1,310 (137)2,427 (152)
Total AFS fixed maturities$8,569 $(176)$53,950 $(4,129)$62,519 $(4,305)

At March 31, 2024, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $543 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 ability 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
March 31
(in millions of U.S. dollars)20242023
Available-for-sale
Valuation allowance for expected credit losses - beginning of period$156 $169 
Provision for expected credit loss31 59 
Write-offs charged against the expected credit loss(5)(2)
Recovery of expected credit loss(67)(58)
Valuation allowance for expected credit losses - end of period$115 $168 
Held-to-maturity
Valuation allowance for expected credit losses - beginning of period$ $34 
Recovery of expected credit loss (1)
Valuation allowance for expected credit losses - end of period$ $33 
Private debt held-for-investment
Valuation allowance for expected credit losses - beginning of period$4 $— 
Provision for expected credit loss1 — 
Valuation allowance for expected credit losses - end of period$5 $— 
c) Net realized gains (losses)

The following table presents the components of net realized gains (losses):
Three Months Ended
March 31
(in millions of U.S. dollars)20242023
Fixed maturities:
Gross realized gains$16 $
Gross realized losses(141)(159)
Other investments - Fixed maturities168 — 
Net (provision for) recovery of expected credit losses40 
Impairment (1)
(34)(25)
Total fixed maturities 49 (180)
Equity securities3 11 
Private equities (less than 3 percent ownership) 31 15 
Foreign exchange(131)131 
Investment and embedded derivative instruments(43)(46)
Other derivative instruments(2)(1)
Other(8)(7)
Net realized gains (losses) (pre-tax)$(101)$(77)
(1)Relates to certain securities we intended to sell and securities written to market entering default.


Realized gains and losses from Other investments, Equity securities and Private equities from the table above include sales of securities and unrealized gains and losses from fair value changes as follows:
Three Months Ended
March 31
20242023
(in millions of U.S. dollars)Equity SecuritiesOther InvestmentsPrivate EquitiesTotalEquity SecuritiesPrivate EquitiesTotal
Net gains (losses) recognized during the period$3 $168 $31 $202 $11 $15 $26 
Less: Net gains (losses) recognized from sales of securities(3)  (3)(5)— (5)
Unrealized gains (losses) recognized for securities still held at reporting date$6 $168 $31 $205 $16 $15 $31 
d) Private equities
Private equities include 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 for private equities:
 Expected
Liquidation
Period of Underlying Assets
March 31, 2024December 31, 2023
(in millions of U.S. dollars)Fair
Value
Maximum
Future Funding
Commitments
Fair
Value
Maximum
Future Funding
Commitments
Financial
2 to 10 Years
$1,289 $341 $1,241 $364 
Real assets
2 to 13 Years
2,095 424 2,137 445 
Distressed
2 to 8 Years
1,218 928 1,206 936 
Private credit
3 to 8 Years
328 296 331 298 
Traditional
2 to 14 Years
9,052 3,916 8,873 4,167 
Vintage
1 to 3 Years
67  72 — 
Investment fundsNot Applicable232  218 — 
$14,281 $5,905 $14,078 $6,210 

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:
Financialtargeting financial services companies, such as financial institutions and insurance services worldwide
Real assetstargeting investments related to hard physical assets, such as real estate, infrastructure, and natural resources
Distressedtargeting distressed corporate debt/credit and equity opportunities in the U.S.
Private credittargeting privately originated corporate debt investments, including senior secured loans and subordinated bonds
Traditionalemploying traditional private equity investment strategies, such as buyout and growth equity globally
Vintagefunds 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 March
31, 2024, and December 31, 2023, are investments, primarily fixed maturities, totaling $18,568 million and $18,242 million, respectively, and cash of $143 million and $172 million, respectively.
The following table presents the components of restricted assets:
March 31December 31
(in millions of U.S. dollars)20242023
Trust funds$8,626 $8,482 
Deposits with U.S. regulatory authorities2,488 2,544 
Deposits with non-U.S. regulatory authorities3,595 3,584 
Assets pledged under repurchase agreements3,097 2,924 
Other pledged assets905 880 
Total$18,711 $18,414 
f) Variable interest entities (VIEs)
Consolidated VIEs
Certain subsidiaries of Huatai Group are the investment manager of, and maintain investments in, sponsored investment products that are considered Variable interest entities. We have determined that we are the primary beneficiary and consolidate these investment products if we hold at least 10 percent ownership. Refer to Note 1 g) of our 2023 Form 10-K for further information on our consolidation criteria. The assets of these VIEs are not available to our creditors, and the investors in these VIEs have no recourse to Chubb in excess of the assets contained within the VIEs. Our economic exposures are limited to our investments based on our ownership interest in these VIEs. Our total exposure to these consolidated investment products represents the value of our economic ownership interest.
Unconsolidated VIEs
We do not consolidate sponsored investment products where we have determined that we are not the primary beneficiary. The carrying value of these investments at March 31, 2024, and December 31, 2023, was $140 million and $153 million, respectively, and our maximum risk of loss approximates the carrying amount. These investments are classified within Equity securities.