
September 30, 2024	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	$	2,709	$	—	$	18	$	(98)	$	2,629
Non-U.S.	37,560		(23)		895		(931)		37,501
Corporate and asset-backed securities	47,588		(52)		736		(1,579)		46,693
Mortgage-backed securities	29,517		—		341		(1,384)		28,474
Municipal	2,067		—		18		(117)		1,968
	$	119,441	$	(75)	$	2,008	$	(4,109)	$	117,265


December 31, 2023	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	$	3,721	$	—	$	13	$	(144)	$	3,590
Non-U.S.	35,918		(49)		592		(1,297)		35,164
Corporate and asset-backed securities	44,695		(104)		390		(2,151)		42,830
Mortgage-backed securities	23,720		(3)		143		(1,802)		22,058
Municipal	3,074		—		10		(155)		2,929
	$	111,128	$	(156)	$	1,148	$	(5,549)	$	106,571


	September 30, 2024				December 31, 2023
(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	$	4,536	$	4,536	$	4,729	$	4,729
Due after 1 year through 5 years	35,739		35,739		33,573		33,573
Due after 5 years through 10 years	28,913		28,913		28,480		28,480
Due after 10 years	19,603		19,603		17,731		17,731
	88,791		88,791		84,513		84,513
Mortgage-backed securities	28,474		28,474		22,058		22,058
	$	117,265	$	117,265	$	106,571	$	106,571

Fixed maturities in an unrealized loss position at September 30, 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 Months				Over 12 Months				Total
September 30, 2024	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	$	—	$	—	$	1,677	$	(98)	$	1,677	$	(98)
Non-U.S.	1,706		(26)		13,628		(734)		15,334		(760)
Corporate and asset-backed securities	1,511		(13)		15,280		(959)		16,791		(972)
Mortgage-backed securities	664		(5)		13,684		(1,366)		14,348		(1,371)
Municipal	35		(1)		1,188		(114)		1,223		(115)
Total AFS fixed maturities	$	3,916	$	(45)	$	45,457	$	(3,271)	$	49,373	$	(3,316)


	0 – 12 Months				Over 12 Months				Total
December 31, 2023	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	$	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 securities	2,866		(51)		20,334		(1,194)		23,200		(1,245)
Mortgage-backed securities	1,659		(58)		13,831		(1,706)		15,490		(1,764)
Municipal	1,117		(15)		1,310		(137)		2,427		(152)
Total AFS fixed maturities	$	8,569	$	(176)	$	53,950	$	(4,129)	$	62,519	$	(4,305)

At September 30, 2024, the tax benefit on certain unrealized losses in our investment portfolio was reduced by a valuation allowance of $157 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.


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2024		2023		2024		2023
Available-for-sale
Valuation allowance for expected credit losses - beginning of period	$	122	$	193	$	156	$	169


Provision for expected credit loss	23		34		95		172

Write-offs charged against the expected credit loss	(1)		(1)		(6)		(5)

Recovery of expected credit loss	(69)		(68)		(170)		(178)
Valuation allowance for expected credit losses - end of period	$	75	$	158	$	75	$	158
Held-to-maturity
Valuation allowance for expected credit losses - beginning of period	$	—	$	—	$	—	$	34





Recovery of expected credit loss	—		—		—		(34)
Valuation allowance for expected credit losses - end of period	$	—	$	—	$	—	$	—
Private debt held-for-investment
Valuation allowance for expected credit losses - beginning of period	$	5	$	—	$	4	$	—
Provision for expected credit loss	—		—		2		—
Recovery of expected credit loss	—		—		(1)		—
Valuation allowance for expected credit losses - end of period	$	5	$	—	$	5	$	—


	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2024		2023		2024		2023
Fixed maturities:
Gross realized gains	$	21	$	97	$	73	$	116
Gross realized losses	(91)		(184)		(338)		(456)
Other investments - Fixed maturities	152		(1)		452		(1)
Net (provision for) recovery of expected credit losses	48		34		80		44
Impairment (1)	(19)		(16)		(81)		(60)
Total fixed maturities	111		(70)		186		(357)
Equity securities	123		(100)		147		(61)
Private equities (less than 3 percent ownership)	(41)		40		39		75
Foreign exchange	(58)		(67)		(162)		(122)
Investment and embedded derivative instruments	66		9		6		(92)
Other derivative instruments	(2)		(7)		(7)		(6)
Other (2)	(1)		92		(8)		79
Net realized gains (losses) (pre-tax)	$	198	$	(103)	$	201	$	(484)


											Three Months Ended
													September 30
							2024								2023
(in millions of U.S. dollars)	Equity Securities		Other Investments		Private Equities		Total		Equity Securities		Other Investments		Private Equities		Total
Net gains (losses) recognized during the period	$	123	$	152	$	(41)	$	234	$	(100)	$	(1)	$	40	$	(61)
Less: Net gains (losses) recognized from sales of securities	(6)		2		—		(4)		(45)		—		—		(45)
Unrealized gains (losses) recognized for securities still held at reporting date	$	129	$	150	$	(41)	$	238	$	(55)	$	(1)	$	40	$	(16)


													Nine Months Ended
													September 30
							2024								2023
(in millions of U.S. dollars)	Equity Securities		Other Investments		Private Equities		Total		Equity Securities		Other Investments		Private Equities		Total
Net gains (losses) recognized during the period	$	147	$	452	$	39	$	638	$	(61)	$	(1)	$	75	$	13
Less: Net gains (losses) recognized from sales of securities	5		2		—		7		(48)		—		—		(48)
Unrealized gains (losses) recognized for securities still held at reporting date	$	142	$	450	$	39	$	631	$	(13)	$	(1)	$	75	$	61

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	September 30, 2024				December 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	$	1,247	$	316	$	1,241	$	364
Real assets	2 to 13 Years	2,006		588		2,137		445
Distressed	2 to 8 Years	1,257		822		1,206		936
Private credit	3 to 8 Years	316		288		331		298
Traditional	2 to 14 Years	9,307		4,767		8,873		4,167
Vintage	1 to 3 Years	59		—		72		—
Investment funds	Not Applicable	213		—		218		—
		$	14,405	$	6,781	$	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:
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.

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, 2024, and December 31, 2023, are investments, primarily fixed maturities, totaling $19,536 million and $18,242 million, respectively, and cash of $153 million and $172 million, respectively.


	September 30		December 31
(in millions of U.S. dollars)	2024		2023
Trust funds	$	9,137	$	8,482
Assets pledged under repurchase agreements	3,273		2,924
Deposits with U.S. regulatory authorities	2,565		2,544

Deposits with non-U.S. regulatory authorities and other	4,714		4,464

Total	$	19,689	$	18,414

Certain subsidiaries of Huatai Group are the investment manager of, and maintain investments in, sponsored investment products that are considered VIEs. 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.

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 September 30, 2024, and December 31, 2023, was $110 million and $153 million, respectively, and our maximum risk of loss approximates the carrying amount. These investments are classified within Equity securities on the Consolidated balance sheets.