Chubb Ltd

3. Investments

a) Transfers of securities

In June 2023, we determined that we no longer have the intent to hold securities in our held to maturity (HTM) portfolio until maturity. As a result, our entire HTM securities portfolio was transferred to the available-for-sale (AFS) portfolio. This decision allowed us to increase our flexibility to execute on our investment strategy and take advantage of the continuing higher reinvestment environment while not making any major change to our current asset allocation. At the time of the transfer on June 30, 2023, these securities had a carrying value of $8.2 billion and a fair value of $7.8 billion, resulting in an increase to Unrealized depreciation in OCI of $428 million, after-tax. This transfer represents a non-cash transaction and does not impact the Consolidated statements of cash flows.

b) Fixed maturities

The following table presents the amortized cost of our HTM securities according to S&P rating:

The following table presents fixed maturities by contractual maturity:

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.

c) Gross unrealized loss

Fixed maturities in an unrealized loss position at December 31, 2023 and 2022 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.

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:

The following table presents a roll-forward of valuation allowance for expected credit losses on fixed maturities:

d) Net realized gains (losses)

The following table presents the components of net realized gains (losses) and the change in net unrealized appreciation (depreciation) of investments:

(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:

e) Other investments

(1)Refer to Note 1 g) to the Consolidated Financial Statements for additional information on the consolidation of VIEs.

(2)Non-qualified separate account assets are comprised of mutual funds, supported by assets that do not qualify for separate account reporting under U.S. GAAP.

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:

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.

Included in private equities are 174 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.

f) Investments in partially-owned insurance companies

The following table presents Investments in partially-owned insurance companies:

Effective July 1, 2023, Huatai Group and Huatai Life Insurance Company are no longer classified as partially-owned insurance companies when Chubb obtained a controlling interest and applied consolidation accounting. Refer to Note 2 for additional information.

g) Net investment income

h) 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 are investments, primarily fixed maturities, totaling$18,242 million and $15,721 million, and cash of $172 million and $115 million, at December 31, 2023 and 2022, respectively.

The following table presents the components of restricted assets:

i) 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 (VIEs). We have determined that we are the primary beneficiary and consolidate these investment products (CIP) if we hold at least 10 percent ownership. Refer to Note 1 g) 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. At December 31, 2023, the carrying value of these investments was $153 million and our maximum risk of loss approximates the carrying amount. These investments are classified within Equity securities.