Fair value measurements

12 Months Ended

Dec. 31, 2024

Fair Value Disclosures [Abstract]

Fair value measurements

Fair value measurements

a) Fair value hierarchy

Fair value of financial assets and financial liabilities is estimated based on the framework established in the fair value accounting guidance. The guidance defines fair value as the price to sell an asset or transfer a liability (an exit price) in an orderly transaction between market participants and establishes a three-level valuation hierarchy based on the reliability of the inputs. The fair value hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data.

The three levels of the hierarchy are as follows:

•Level 1 – Unadjusted quoted prices for identical assets or liabilities in active markets;

•Level 2 – Includes, among other items, inputs other than quoted prices that are observable for the asset or liability such as

interest rates and yield curves, quoted prices for similar assets and liabilities in active markets, and quoted prices for identical or similar assets and liabilities in markets that are not active; and

•Level 3 – Inputs that are unobservable and reflect management’s judgments about assumptions that market participants

would use in pricing an asset or liability.

We categorize financial instruments within the valuation hierarchy at the balance sheet date based upon the lowest level of inputs that are significant to the fair value measurement.

We use pricing services to obtain fair value measurements for the majority of our investment securities. Based on management’s understanding of the methodologies used, these pricing services only produce an estimate of fair value if there is observable market information that would allow them to make a fair value estimate. Based on our understanding of the market inputs used by the pricing services, all applicable investments have been valued in accordance with U.S. GAAP. We do not adjust prices obtained from pricing services. The following is a description of the valuation techniques and inputs used to determine fair values for financial instruments carried at fair value, as well as the general classification of such financial instruments pursuant to the valuation hierarchy.

Fixed maturities

We use pricing services to estimate fair value measurements for the majority of our fixed maturities. The pricing services use market quotations for fixed maturities that have quoted prices in active markets; such securities are classified within Level 1. For fixed maturities other than U.S. Treasury securities that generally do not trade on a daily basis, the pricing services prepare estimates of fair value measurements using their pricing applications or pricing models, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. Additional valuation factors that can be considered are nominal spreads, dollar basis, and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation, listed in the approximate order of priority include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic events. The extent of the use of each input is dependent on the asset class and the market conditions. Given the asset class, the priority of the use of inputs may change, or some market inputs may not be relevant. Additionally, fixed maturities valuation is more subjective when markets are less liquid due to the lack of market-based inputs (i.e., stale pricing) and may require the use

of models to be priced. The lack of market-based inputs may increase the potential that an investment's estimated fair value is not reflective of the price at which an actual transaction would occur. The overwhelming majority of fixed maturities are classified within Level 2 because the most significant inputs used in the pricing techniques are observable. For a small number of fixed maturities, we obtain a single broker quote (typically from a market maker). Due to the disclaimers on the quotes that indicate that the price is indicative only, we include these fair value estimates in Level 3.

Equity securities

Equity securities with active markets are classified within Level 1 as fair values are based on quoted market prices. For equity securities in markets which are less active, fair values are based on market valuations and are classified within Level 2. Equity securities for which pricing is unobservable are classified within Level 3.

Short-term investments

Short-term investments, which comprise securities due to mature within one year of the date of purchase that are traded in active markets, are classified within Level 1 as fair values are based on quoted market prices. Securities such as commercial paper and discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity, and as such, their cost approximates fair value. Short-term investments for which pricing is unobservable are classified within Level 3.

Private equities

Fair values for Private equities including investments in partially-owned investment companies, investment funds, and limited partnerships are based on their respective NAV and are excluded from the fair value hierarchy table below.

Other investments

Certain of our long-duration contracts are supported by assets that do not qualify for separate account treatment under U.S. GAAP. These assets primarily comprise mutual funds, classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Other investments principally include fixed maturities carried at fair value with changes in fair value recorded through Net realized gains (losses) on the Consolidated statements of operations. These fixed maturities principally relate to the Huatai investment portfolio, including those portfolios supporting certain participating policies, and are classified within Level 2. Also included are life insurance policies collateralizing investments held in rabbi trusts maintained by Chubb for deferred compensation plans and supplemental retirement plans. These policies are carried at cash surrender value and are classified in the valuation hierarchy within Level 2.

Securities lending collateral

The underlying assets included in Securities lending collateral in the Consolidated balance sheets are fixed maturities which are classified in the valuation hierarchy on the same basis as other fixed maturities. Excluded from the valuation hierarchy is the corresponding liability related to Chubb’s obligation to return the collateral plus interest as it is reported at contract value and not fair value in the Consolidated balance sheets.

Investment derivatives

Actively traded investment derivative instruments, including futures, options, and forward contracts are classified within Level 1 as fair values are based on quoted market prices. These derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

Derivatives designated as hedging instruments

Certain of our derivatives are cross-currency swaps designated as fair value and net investment hedging instruments. The fair value of cross-currency swaps and interest rate swaps is based on market valuations and is classified within Level 2. These derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets.

Other derivative instruments

We maintain positions in exchange-traded equity futures contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected market risk benefits (MRB) claims, and therefore an increase in MRB reserves. Our positions in exchange-traded equity futures contracts are classified within Level 1. The fair value of the majority of the remaining positions in other derivative instruments is based on significant observable inputs including equity security and interest rate indices. Accordingly, these are classified within Level 2. Other derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. Chubb also maintains positions in convertible securities that contain embedded derivatives. Convertible securities are recorded in either Fixed maturities available-

for-sale (FM AFS) or Equity securities (ES) and are classified as either Level 1 or Level 2 depending on the underlying investment.

Separate account assets

Separate account assets represent segregated funds where investment risks are borne by the customers, except to the extent of certain guarantees made by Chubb. Separate account assets principally comprise mutual funds classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Separate account assets also include fixed maturities classified within Level 2 because the most significant inputs used in the pricing techniques are observable. Excluded from the valuation hierarchy are the corresponding liabilities as they are reported at contract value and not fair value in the Consolidated balance sheets.

Financial instruments measured at fair value on a recurring basis, by valuation hierarchy 

December 31, 2024	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available-for-sale
U.S. Treasury / Agency	$	1,765	$	576	$	—	$	2,341
Non-U.S.	—		35,234		604		35,838
Corporate and asset-backed securities	—		40,316		2,891		43,207
Mortgage-backed securities	—		27,245		3		27,248
Municipal	—		1,729		—		1,729
	1,765		105,100		3,498		110,363
Equity securities (1)	4,053		—		120		4,173
Short-term investments	3,156		1,972		14		5,142
Other investments (2)	573		6,783		—		7,356
Securities lending collateral	—		1,445		—		1,445
Investment derivatives	41		—		—		41
Derivatives designated as hedging instruments	—		146		—		146
Other derivative instruments	35		—		—		35
Separate account assets	6,165		66		—		6,231
Total assets measured at fair value (1) (2) (3)	$	15,788	$	115,512	$	3,632	$	134,932
Liabilities:
Investment derivatives	$	303	$	—	$	—	$	303
Derivatives designated as hedging instruments	—		116		—		116
Other derivative instruments	—		2		—		2
Market risk benefits (4)	—		—		607		607
Total liabilities measured at fair value	$	303	$	118	$	607	$	1,028

(1)Excluded from the table above is a fund of $4,978 million, measured using NAV as a practical expedient.

(2)Excluded from the table above are other investments of $1,241 million, principally policy loans measured using NAV as a practical expedient.

(3)Excluded from the table above are private equities of $14,769 million, measured using NAV as a practical expedient.

(4)Refer to Note 11 for additional information on Market risk benefits.

December 31, 2023	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available-for-sale
U.S. Treasury / Agency	$	2,911	$	679	$	—	$	3,590
Non-U.S.	—		34,472		692		35,164
Corporate and asset-backed securities	—		40,208		2,622		42,830
Mortgage-backed securities	—		22,051		7		22,058
Municipal	—		2,929		—		2,929
	2,911		100,339		3,321		106,571
Equity securities	3,368		—		87		3,455
Short-term investments	1,915		2,633		3		4,551
Other investments (1)	589		4,236		—		4,825
Securities lending collateral	—		1,299		—		1,299
Investment derivatives	54		—		—		54
Derivatives designated as hedging instruments	—		136		—		136
Separate account assets	5,482		91		—		5,573
Total assets measured at fair value (1) (2)	$	14,319	$	108,734	$	3,411	$	126,464
Liabilities:
Investment derivatives	$	136	$	—	$	—	$	136
Derivatives designated as hedging instruments	—		128		—		128
Other derivative instruments	37		5		—		42
Market risk benefits (3)	—		—		771		771
Total liabilities measured at fair value	$	173	$	133	$	771	$	1,077

(1)Excluded from the table above are other investments of $702 million, principally policy loans measured using NAV as a practical expedient.

(2)Excluded from the table above are private equities of $14,078 million, measured using NAV as a practical expedient.

(3)Refer to Note 11 for additional information on Market risk benefits.

Level 3 financial instruments

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3). Excluded from the following tables is the reconciliation of Market risk benefits, refer to Note 11 for additional information:

	Available-for-Sale Debt Securities						Equity securities		Short-term investments
Year Ended December 31, 2024	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities
(in millions of U.S. dollars)
Balance, beginning of year	$	692	$	2,622	$	7	$	87	$	3
Transfers into Level 3	2		57		—		—		—
Transfers out of Level 3	(7)		(9)		(54)		—		—
Change in Net Unrealized Gains (Losses) in OCI	7		12		—		—		—
Net Realized Gains (Losses)	(13)		(15)		—		8		—
Purchases	262		1,042		54		43		20
Sales	(99)		(250)		—		(18)		(1)
Settlements	(240)		(568)		(4)		—		(8)
Balance, end of year	$	604	$	2,891	$	3	$	120	$	14
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(3)	$	—	$	7	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	(2)	$	(2)	$	—	$	—	$	(1)

	Available-for-Sale Debt Securities						Equity securities		Short-term investments
Year Ended December 31, 2023	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities
(in millions of U.S. dollars)
Balance, beginning of year	$	564	$	2,449	$	11	$	90	$	3
Transfers into Level 3	21		30		—		—		—
Transfers out of Level 3	(22)		(26)		(15)		—		—
Change in Net Unrealized Gains (Losses) in OCI	13		28		—		—		(1)
Net Realized Gains (Losses)	(4)		(17)		—		(7)		(1)
Purchases	258		681		15		24		5
Sales	(82)		(81)		—		(20)		(3)
Settlements	(56)		(442)		(4)		—		—
Balance, end of year	$	692	$	2,622	$	7	$	87	$	3
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	(1)	$	(5)	$	—	$	(7)	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	7	$	12	$	—	$	—	$	—

	Available-for-Sale Debt Securities								Short-term investments
Year Ended December 31, 2022	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities		Equity securities
(in millions of U.S. dollars)
Balance, beginning of year	$	633	$	2,049	$	26	$	77	$	7
Transfers into Level 3	23		47		—		1		—
Transfers out of Level 3	(23)		(97)		(9)		—		—
Change in Net Unrealized Gains (Losses) in OCI	(53)		(80)		—		—		—
Net Realized Gains (Losses)	(6)		(14)		—		15		(2)
Purchases	156		921		4		9		3
Sales	(59)		(85)		—		(12)		—
Settlements	(107)		(292)		(10)		—		(5)
Balance, end of year	$	564	$	2,449	$	11	$	90	$	3
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	(9)	$	—	$	14	$	(1)
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	(53)	$	(84)	$	—	$	—	$	—

b) Financial instruments disclosed, but not measured, at fair value

Chubb uses various financial instruments in the normal course of its business. Our insurance contracts are excluded from fair value of financial instruments accounting guidance, and therefore, are not included in the amounts discussed below.

The carrying values of cash, other assets, other liabilities, and other financial instruments not included below approximated their fair values.

Private debt held-for-investment

The fair value of Private debt held-for-investment is derived using a discounted cash flow approach, which includes an evaluation of forecasted contractual cash flows and yield curve information, among other loan characteristics and assumptions. These assumptions are derived from internal and third-party sources. Since the valuation is derived from model-based techniques, Private debt held-for-investment is classified within Level 3 of the valuation hierarchy.

Short- and long-term debt, repurchase agreements, and hybrid debt

Where practical, fair values for short-term debt, long-term debt, repurchase agreements, and hybrid debt are estimated using discounted cash flow calculations based principally on observable inputs including incremental borrowing rates, which reflect Chubb’s credit rating, for similar types of borrowings with maturities consistent with those remaining for the debt being valued. Short-term debt, long-term debt, repurchase agreements, and hybrid debt are classified within Level 2 of the valuation hierarchy.

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:

December 31, 2024	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Private debt held-for-investment	$	—	$	—	$	2,680	$	2,680	$	2,628
Total assets	$	—	$	—	$	2,680	$	2,680	$	2,628
Liabilities:
Repurchase agreements	$	—	$	2,731	$	—	$	2,731	$	2,731
Short-term debt	—		797		—		797		800
Long-term debt	—		12,979		—		12,979		14,379
Hybrid debt	—		479		—		479		419
Total liabilities	$	—	$	16,986	$	—	$	16,986	$	18,329

December 31, 2023	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Private debt held-for-investment	$	—	$	—	$	2,560	$	2,560	$	2,553
Total assets	$	—	$	—	$	2,560	$	2,560	$	2,553
Liabilities:
Repurchase agreements	$	—	$	2,833	$	—	$	2,833	$	2,833
Short-term debt	—		1,431		—		1,431		1,460
Long-term debt	—		11,924		—		11,924		13,035
Hybrid debt	—		365		—		365		308
Total liabilities	$	—	$	16,553	$	—	$	16,553	$	17,636