Chubb Ltd
For the period ended Mar 31, 2024. Filed Apr 26, 2024.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2024 · Filed Apr 26, 2024
Extracted filing text, with the paragraph anchors used by the comparison.
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Net Realized and Unrealized Gains (Losses)
We take a long-term view with our investment strategy, and our investment managers manage our investment portfolio to maximize total return within specific guidelines designed to minimize risk. The majority of our investment portfolio is available-for-sale and reported at fair value.
The effect of market movements on our fixed maturities available-for-sale portfolio impacts Net income (through Net realized gains (losses)) when securities are sold, when we write down an asset, or when we record a change to the valuation allowance for expected credit losses. For a further discussion related to how we assess the valuation allowance for expected credit losses and the related impact on Net income, refer to Note 1 f) to the Consolidated Financial Statements in our 2023 Form 10-K. The effect of market movements on fixed maturities related to consolidated investment products (CIP) in the Huatai portfolio (Fixed maturities - CIP) impact Net realized gains (losses). Additionally, Net income is impacted through the reporting of changes in the fair value of public and private equity securities and derivatives, including financial futures, options, and swaps. Changes in unrealized appreciation and depreciation on available-for-sale securities, resulting from the revaluation of securities held, changes in cumulative foreign currency translation adjustment, changes in current discount rate on future policy benefits, changes in instrument-specific credit risk on market risk benefits, unrealized postretirement benefit obligations liability adjustment, and cross-currency swaps designated as hedges for accounting purposes are reported as separate components of Accumulated other comprehensive income (loss) in Shareholders’ equity in the Consolidated balance sheets.
The following tables present our net realized and unrealized gains (losses):
| Three Months Ended March 31 | ||||||
|---|---|---|---|---|---|---|
| 2024 | 2023 | |||||
| (in millions of U.S. dollars) | NetRealizedGains(Losses) | NetUnrealizedGains(Losses) | NetImpact | NetRealizedGains(Losses) | NetUnrealizedGains(Losses) | NetImpact |
| Fixed maturities | $49 | $(677) | $(628) | $(180) | $1,786 | $1,606 |
| Investment and embedded derivative instruments | (43) | — | (43) | (46) | — | (46) |
| Public equity | ||||||
| Sales | (3) | — | (3) | (5) | — | (5) |
| Mark-to-market | 6 | — | 6 | 16 | — | 16 |
| Private equity (less than 3 percent ownership) | ||||||
| Mark-to-market | 31 | — | 31 | 15 | — | 15 |
| Total investment portfolio | 40 | (677) | (637) | (200) | 1,786 | 1,586 |
| Other derivative instruments | (2) | — | (2) | (1) | — | (1) |
| Foreign exchange | (131) | 80 | (51) | 131 | (177) | (46) |
| Current discount rate on future policy benefits | — | (53) | (53) | — | (151) | (151) |
| Instrument-specific credit risk on market risk benefits | — | 5 | 5 | — | (3) | (3) |
| Other | (8) | 31 | 23 | (7) | (33) | (40) |
| Net gains (losses), pre-tax | $(101) | $(614) | $(715) | $(77) | $1,422 | $1,345 |
Pre-tax net unrealized losses of $677 million in our investment portfolio for the three months ended March 31, 2024, were primarily driven by higher interest rates.
Pre-tax net realized losses of $101 million for the three months ended March 31, 2024 mainly comprised foreign exchange losses.
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