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Investments | 12 Months Ended
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Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract] |
Investments | Investments a) Transfers of securities During December 2017, we transferred securities, considered essential holdings in a diversified portfolio, with a total fair value of $4.3 billion from Fixed maturities available for sale to Fixed maturities held to maturity. These securities, which we have the intent and ability to hold to maturity, were transferred given the growth in our investment portfolio over the last several years, as well as continued efforts to manage the diversification of our global portfolio. The net unrealized appreciation at the date of the transfer continues to be reported in the carrying value of the transferred investments and is amortized through OCI over the remaining life of the securities using the effective interest method in a manner consistent with the amortization of any premium or discount. This transfer represents a non-cash transaction and does not impact the Consolidated statements of cash flows. b) Fixed maturities
December 31, 2017 | Amortized Cost |  |  | Gross Unrealized Appreciation |  |  | Gross Unrealized Depreciation |  |  | Fair Value |  |  | OTTI Recognized in AOCI |
(in millions of U.S. dollars) |  |  |  |
Available for sale |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 3,701 |  |  | $ | 32 |  |  | $ | (35 | ) |  | $ | 3,698 |  |  | $ | — |
Foreign | 20,514 |  |  | 622 |  |  | (106 | ) |  | 21,030 |  |  | (1 | )
Corporate securities | 23,453 |  |  | 638 |  |  | (95 | ) |  | 23,996 |  |  | (4 | )
Mortgage-backed securities | 15,279 |  |  | 111 |  |  | (100 | ) |  | 15,290 |  |  | (1 | )
States, municipalities, and political subdivisions | 14,888 |  |  | 125 |  |  | (88 | ) |  | 14,925 |  |  | — |
| $ | 77,835 |  |  | $ | 1,528 |  |  | $ | (424 | ) |  | $ | 78,939 |  |  | $ | (6 | )
Held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 908 |  |  | $ | 12 |  |  | $ | (5 | ) |  | $ | 915 |  |  | $ | — |
Foreign | 1,738 |  |  | 27 |  |  | (8 | ) |  | 1,757 |  |  | — |
Corporate securities | 3,159 |  |  | 67 |  |  | (7 | ) |  | 3,219 |  |  | — |
Mortgage-backed securities | 2,724 |  |  | 23 |  |  | (5 | ) |  | 2,742 |  |  | — |
States, municipalities, and political subdivisions | 5,806 |  |  | 50 |  |  | (15 | ) |  | 5,841 |  |  | — |
| $ | 14,335 |  |  | $ | 179 |  |  | $ | (40 | ) |  | $ | 14,474 |  |  | $ | — |
December 31, 2016 | Amortized Cost |  |  | Gross Unrealized Appreciation |  |  | Gross Unrealized Depreciation |  |  | Fair Value |  |  | OTTI Recognized in AOCI |
(in millions of U.S. dollars) |  |  |  |
Available for sale |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 2,883 |  |  | $ | 32 |  |  | $ | (45 | ) |  | $ | 2,870 |  |  | $ | — |
Foreign | 20,929 |  |  | 636 |  |  | (125 | ) |  | 21,440 |  |  | (5 | )
Corporate securities | 23,736 |  |  | 580 |  |  | (167 | ) |  | 24,149 |  |  | (8 | )
Mortgage-backed securities | 14,066 |  |  | 135 |  |  | (194 | ) |  | 14,007 |  |  | (1 | )
States, municipalities, and political subdivisions | 17,922 |  |  | 72 |  |  | (345 | ) |  | 17,649 |  |  | — |
| $ | 79,536 |  |  | $ | 1,455 |  |  | $ | (876 | ) |  | $ | 80,115 |  |  | $ | (14 | )
Held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 655 |  |  | $ | 9 |  |  | $ | (3 | ) |  | $ | 661 |  |  | $ | — |
Foreign | 640 |  |  | 28 |  |  | (1 | ) |  | 667 |  |  | — |
Corporate securities | 2,771 |  |  | 50 |  |  | (26 | ) |  | 2,795 |  |  | — |
Mortgage-backed securities | 1,393 |  |  | 35 |  |  | — |  |  | 1,428 |  |  | — |
States, municipalities, and political subdivisions | 5,185 |  |  | 26 |  |  | (92 | ) |  | 5,119 |  |  | — |
| $ | 10,644 |  |  | $ | 148 |  |  | $ | (122 | ) |  | $ | 10,670 |  |  | $ | — |
As discussed in Note 3 d), if a credit loss is incurred on an impaired fixed maturity, an OTTI is considered to have occurred and the portion of the impairment not related to credit losses (non-credit OTTI) is recognized in OCI. Included in the “OTTI Recognized in AOCI” columns above are the cumulative amounts of non-credit OTTI recognized in OCI adjusted for subsequent sales, maturities, and redemptions. OTTI recognized in AOCI does not include the impact of subsequent changes in fair value of the related securities. In periods subsequent to a recognition of OTTI in OCI, changes in the fair value of the related fixed maturities are reflected in Net unrealized appreciation on investments in the Consolidated statements of shareholders' equity. For the years ended December 31, 2017 and 2016, $2 million of net unrealized depreciation and $62 million of net unrealized appreciation, respectively, related to such securities is included in OCI. At December 31, 2017 and 2016, AOCI included cumulative net unrealized appreciation of $7 million and $10 million, respectively, related to securities remaining in the investment portfolio for which a non-credit OTTI was recognized. Mortgage-backed securities (MBS) issued by U.S. government agencies are combined with all other to be announced mortgage derivatives held (refer to Note 10 c) (iv)) and are included in the category, “Mortgage-backed securities”. Approximately 83 percent and 81 percent of the total mortgage-backed securities at December 31, 2017 and 2016, respectively, are represented by investments in U.S. government agency bonds. The remainder of the mortgage exposure consists of collateralized mortgage obligations and non-government mortgage-backed securities, the majority of which provide a planned structure for principal and interest payments and carry a rating of AAA by the major credit rating agencies. The following table presents fixed maturities by contractual maturity:
| December 31 |  |  | December 31 |
|  |  | 2017 |  |  |  |  | 2016 |
(in millions of U.S. dollars) | Amortized Cost |  |  | Fair Value |  |  | Amortized Cost |  |  | Fair Value |
Available for sale |  |  |  |  |  |  |
Due in 1 year or less | $ | 3,164 |  |  | $ | 3,182 |  |  | $ | 3,892 |  |  | $ | 3,913 |
Due after 1 year through 5 years | 24,749 |  |  | 25,068 |  |  | 24,027 |  |  | 24,429 |
Due after 5 years through 10 years | 25,388 |  |  | 25,704 |  |  | 27,262 |  |  | 27,379 |
Due after 10 years | 9,255 |  |  | 9,695 |  |  | 10,289 |  |  | 10,387 |
| 62,556 |  |  | 63,649 |  |  | 65,470 |  |  | 66,108 |
Mortgage-backed securities | 15,279 |  |  | 15,290 |  |  | 14,066 |  |  | 14,007 |
| $ | 77,835 |  |  | $ | 78,939 |  |  | $ | 79,536 |  |  | $ | 80,115 |
Held to maturity |  |  |  |  |  |  |
Due in 1 year or less | $ | 743 |  |  | $ | 746 |  |  | $ | 430 |  |  | $ | 435 |
Due after 1 year through 5 years | 2,669 |  |  | 2,688 |  |  | 2,646 |  |  | 2,691 |
Due after 5 years through 10 years | 4,744 |  |  | 4,756 |  |  | 2,969 |  |  | 2,944 |
Due after 10 years | 3,455 |  |  | 3,542 |  |  | 3,206 |  |  | 3,172 |
| 11,611 |  |  | 11,732 |  |  | 9,251 |  |  | 9,242 |
Mortgage-backed securities | 2,724 |  |  | 2,742 |  |  | 1,393 |  |  | 1,428 |
| $ | 14,335 |  |  | $ | 14,474 |  |  | $ | 10,644 |  |  | $ | 10,670 |
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) Equity securities
| December 31 |  |  | December 31 |
(in millions of U.S. dollars) | 2017 |  |  | 2016 |
Cost | $ | 737 |  |  | $ | 706 |
Gross unrealized appreciation | 212 |  |  | 129 |
Gross unrealized depreciation | (12 | ) |  | (21 | )
Fair value | $ | 937 |  |  | $ | 814 |
d) Net realized gains (losses) In accordance with guidance related to the recognition and presentation of OTTI, when an impairment related to a fixed maturity has occurred, OTTI is required to be recorded in Net income if management has the intent to sell the security or it is more likely than not that we will be required to sell the security before the recovery of its amortized cost. Further, in cases where we do not intend to sell the security and it is more likely than not that we will not be required to sell the security, we must evaluate the security to determine the portion of the impairment, if any, related to credit losses. If a credit loss is incurred, an OTTI is considered to have occurred and any portion of the OTTI related to credit losses must be reflected in Net income, while the portion of OTTI related to all other factors is recognized in OCI. For fixed maturities held to maturity, OTTI recognized in OCI is accreted from AOCI to the amortized cost of the fixed maturity prospectively over the remaining term of the securities. Each quarter, securities in an unrealized loss position (impaired securities), including fixed maturities, securities lending collateral, equity securities, and other investments, are reviewed to identify impaired securities to be specifically evaluated for a potential OTTI. For all non-fixed maturities, OTTI is evaluated based on the following:
• | the amount of time a security has been in a loss position and the magnitude of the loss position;
• | the period in which cost is expected to be recovered, if at all, based on various criteria including economic conditions and other issuer-specific developments; and
• | our ability and intent to hold the security to the expected recovery period.
As a general rule, we also consider that equity securities in an unrealized loss position for twelve consecutive months are other than temporarily impaired. For mutual funds included in equity securities in our Consolidated balance sheets, we employ analysis similar to fixed maturities, when applicable. Evaluation of potential credit losses related to fixed maturities We review each fixed maturity in an unrealized loss position to assess whether the security is a candidate for credit loss. Specifically, we consider credit rating, market price, and issuer-specific financial information, among other factors, to assess the likelihood of collection of all principal and interest as contractually due. Securities, for which we determine that credit loss is likely, are subjected to further analysis to estimate the credit loss recognized in Net income, if any. In general, credit loss recognized in Net income equals the difference between the security’s amortized cost and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security. All significant assumptions used in determining credit losses are subject to change as market conditions evolve. U.S. Treasury and agency obligations (including agency mortgage-backed securities); foreign government obligations; and states, municipalities, and political subdivisions obligations U.S. Treasury and agency obligations (including agency mortgage-backed securities); foreign government obligations; and states, municipalities, and political subdivisions obligations represent $311 million of gross unrealized loss at December 31, 2017. These securities were evaluated for credit loss primarily using qualitative assessments of the likelihood of credit loss considering credit rating of the issuers and level of credit enhancement, if any. We concluded that the high level of creditworthiness of the issuers coupled with credit enhancement, where applicable, supports recognizing no credit loss in Net income. Corporate securities Projected cash flows for corporate securities (principally senior unsecured bonds) are driven primarily by assumptions regarding probability of default and also the timing and amount of recoveries associated with defaults. Chubb developed projected cash flows for corporate securities using market observable data, issuer-specific information, and credit ratings. We use historical default data by Moody’s Investors Service (Moody’s) rating category to calculate a 1-in-100 year probability of default, which results in a default assumption in excess of the historical mean default rate. Consistent with management's approach, Chubb assumed a 32 percent recovery rate (the par value of a defaulted security that will be recovered) across all rating categories, rather than using Moody's historical mean recovery rate of 42 percent. We believe that use of a default assumption, in excess of the historical mean, is conservative in light of current market conditions. The following table presents default assumptions by Moody's rating category (historical mean default rate provided for comparison):
Moody's Rating Category | 1-in-100 Year Default Rate |  |  | Historical Mean Default Rate |
Investment Grade: |  |  |
Aaa-Baa | 0.0-1.3% |  |  | 0.0-0.3% |
Below Investment Grade: |  |  |
Ba | 4.8 | % |  | 1.0 | %
B | 12.1 | % |  | 3.2 | %
Caa-C | 36.8 | % |  | 10.5 | %
Application of the methodology and assumptions described above resulted in credit losses recognized in Net income for corporate securities of $5 million, $30 million, and $50 million for the years ended December 31, 2017, 2016, and 2015, respectively. Mortgage-backed securities For mortgage-backed securities, credit impairment is assessed using a cash flow model that estimates the cash flows on the underlying mortgages, using the security-specific collateral and transaction structure. The model estimates cash flows from the underlying mortgage loans and distributes those cash flows to various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then projects the remaining cash flows using a number of assumptions, including default rates, prepayment rates, and loss severity rates (the par value of a defaulted security that will not be recovered) on foreclosed properties. We develop specific assumptions using market data, where available, and include internal estimates as well as estimates published by rating agencies and other third-party sources. We project default rates by mortgage sector considering current underlying mortgage loan performance, generally assuming lower loss severity for Prime sector bonds versus ALT-A and Sub-prime bonds. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions used contemplate the actual collateral attributes, including geographic concentrations, rating agency loss projections, rating actions, and current market prices. If cash flow projections indicate that losses will exceed the credit enhancement for a given tranche, then we do not expect to recover our amortized cost basis, and we recognize an estimated credit loss in Net income. For the years ended December 31, 2017 and 2015, there were no credit losses recognized in Net income for mortgage-backed securities. For the year ended December 31, 2016, there was $1 million of credit losses recognized in Net income for mortgage-backed securities. The following table presents the Net realized gains (losses) and the losses included in Net realized gains (losses) and OCI as a result of conditions which caused us to conclude the decline in fair value of certain investments was “other-than-temporary” and the change in net unrealized appreciation (depreciation) of investments:
| Year Ended December 31 |
(in millions of U.S. dollars) | 2017 |  |  | 2016 |  |  | 2015 |
Fixed maturities: |  |  |  |  |
OTTI on fixed maturities, gross | $ | (24 | ) |  | $ | (89 | ) |  | $ | (142 | )
OTTI on fixed maturities recognized in OCI (pre-tax) | 1 |  |  | 8 |  |  | 39 |
OTTI on fixed maturities, net | (23 | ) |  | (81 | ) |  | (103 | )
Gross realized gains excluding OTTI | 149 |  |  | 183 |  |  | 158 |
Gross realized losses excluding OTTI | (157 | ) |  | (265 | ) |  | (235 | )
Total fixed maturities | (31 | ) |  | (163 | ) |  | (180 | )
Equity securities: |  |  |  |  |
OTTI on equity securities | (10 | ) |  | (8 | ) |  | (7 | )
Gross realized gains excluding OTTI | 28 |  |  | 65 |  |  | 47 |
Gross realized losses excluding OTTI | (2 | ) |  | (13 | ) |  | (11 | )
Total equity securities | 16 |  |  | 44 |  |  | 29 |
OTTI on other investments | (12 | ) |  | (14 | ) |  | (2 | )
Foreign exchange gains (losses) | 36 |  |  | 118 |  |  | (80 | )
Investment and embedded derivative instruments | (11 | ) |  | (33 | ) |  | 32 |
Fair value adjustments on insurance derivative | 364 |  |  | 53 |  |  | (203 | )
S&P put options and futures | (261 | ) |  | (136 | ) |  | (10 | )
Other derivative instruments | (5 | ) |  | (10 | ) |  | (12 | )
Other | (12 | ) |  | (4 | ) |  | 6 |
Net realized gains (losses) | 84 |  |  | (145 | ) |  | (420 | )
Change in net unrealized appreciation (depreciation) on investments: |  |  |  |  |
Fixed maturities available for sale | 519 |  |  | 142 |  |  | (1,119 | )
Fixed maturities held to maturity | 18 |  |  | (59 | ) |  | 43 |
Equity securities | 88 |  |  | 52 |  |  | (17 | )
Other | 8 |  |  | (51 | ) |  | (36 | )
Income tax (expense) benefit | (241 | ) |  | 100 |  |  | 152 |
Change in net unrealized appreciation (depreciation) on investments | 392 |  |  | 184 |  |  | (977 | )
Total net realized gains (losses) and change in net unrealized appreciation (depreciation) on investments | $ | 476 |  |  | $ | 39 |  |  | $ | (1,397 | )
The following table presents a roll-forward of pre-tax credit losses related to fixed maturities for which a portion of OTTI was recognized in OCI:
| Year Ended December 31 |
(in millions of U.S. dollars) | 2017 |  |  | 2016 |  |  | 2015 |
Balance of credit losses related to securities still held – beginning of year | $ | 35 |  |  | $ | 53 |  |  | $ | 28 |
Additions where no OTTI was previously recorded | 4 |  |  | 17 |  |  | 41 |
Additions where an OTTI was previously recorded | 2 |  |  | 14 |  |  | 9 |
Reductions for securities sold during the period | (19 | ) |  | (49 | ) |  | (25 | )
Balance of credit losses related to securities still held – end of year | $ | 22 |  |  | $ | 35 |  |  | $ | 53 |
e) Other investments
|  |  | December 31 |  |  |  |  | December 31 |
|  |  | 2017 |  |  |  |  | 2016 |
(in millions of U.S. dollars) | Fair Value |  |  | Cost |  |  | Fair Value |  |  | Cost |
Investment funds | $ | 270 |  |  | $ | 123 |  |  | $ | 251 |  |  | $ | 126 |
Limited partnerships | 549 |  |  | 441 |  |  | 730 |  |  | 607 |
Partially-owned investment companies | 2,803 |  |  | 2,803 |  |  | 2,645 |  |  | 2,645 |
Life insurance policies | 305 |  |  | 305 |  |  | 248 |  |  | 248 |
Policy loans | 244 |  |  | 244 |  |  | 209 |  |  | 209 |
Trading securities | 333 |  |  | 333 |  |  | 296 |  |  | 295 |
Other | 168 |  |  | 168 |  |  | 140 |  |  | 140 |
Total | $ | 4,672 |  |  | $ | 4,417 |  |  | $ | 4,519 |  |  | $ | 4,270 |
Investment funds include one highly diversified fund investment as well as several direct funds that employ a variety of investment styles such as long/short equity and arbitrage/distressed. Included in limited partnerships and partially-owned investment companies are 138 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. Trading securities comprise $333 million of mutual funds supported by assets that do not qualify for separate account reporting under GAAP at December 31, 2017 compared with $271 million at December 31, 2016. There were no trading securities held in rabbi trusts at December 31, 2017, compared with $14 million of equity securities and $11 million of fixed maturities at December 31, 2016. f) Investments in partially-owned insurance companies The following table presents Investments in partially-owned insurance companies:
| December 31, 2017 |  |  | December 31, 2016 |  |  |
(in millions of U.S. dollars, except for percentages) | Carrying Value |  |  | Issued Share Capital |  |  | Ownership Percentage |  |  | Carrying Value |  |  | Issued Share Capital |  |  | Ownership Percentage |  |  | Domicile
Huatai Group | $ | 438 |  |  | $ | 616 |  |  | 20 | % |  | $ | 447 |  |  | $ | 624 |  |  | 20 | % |  | China
Huatai Life Insurance Company | 105 |  |  | 495 |  |  | 20 | % |  | 99 |  |  | 428 |  |  | 20 | % |  | China
Freisenbruch-Meyer | 9 |  |  | — |  |  | 40 | % |  | 8 |  |  | 5 |  |  | 40 | % |  | Bermuda
Chubb Arabia Cooperative Insurance Company | 15 |  |  | 27 |  |  | 30 | % |  | 13 |  |  | 27 |  |  | 30 | % |  | Saudi Arabia
Russian Reinsurance Company | 2 |  |  | 4 |  |  | 23 | % |  | 2 |  |  | 4 |  |  | 23 | % |  | Russia
ABR Reinsurance Ltd. | 93 |  |  | 800 |  |  | 11 | % |  | 97 |  |  | 800 |  |  | 11 | % |  | Bermuda
Total | $ | 662 |  |  | $ | 1,942 |  |  |  |  | $ | 666 |  |  | $ | 1,888 |  |  |  |  |
Huatai Group and Huatai Life Insurance Company provide a range of P&C, life, and investment products. g) Gross unrealized loss At December 31, 2017, there were 9,828 fixed maturities out of a total of 30,932 fixed maturities in an unrealized loss position. The largest single unrealized loss in the fixed maturities was $7 million. There were 82 equity securities out of a total of 328 equity securities in an unrealized loss position. The largest single unrealized loss in the equity securities was $3 million. Fixed maturities in an unrealized loss position at December 31, 2017, comprised both investment grade and below investment grade securities for which fair value declined primarily due to widening credit spreads since the date of purchase. The following tables present, for all securities in an unrealized loss position (including securities on loan), 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 |
December 31, 2017 | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |
(in millions of U.S. dollars) |  |  |  |  |
U.S. Treasury and agency | $ | 2,172 |  |  | $ | (14 | ) |  | $ | 1,249 |  |  | $ | (26 | ) |  | $ | 3,421 |  |  | $ | (40 | )
Foreign | 5,657 |  |  | (65 | ) |  | 1,693 |  |  | (49 | ) |  | 7,350 |  |  | (114 | )
Corporate securities | 5,210 |  |  | (56 | ) |  | 1,332 |  |  | (46 | ) |  | 6,542 |  |  | (102 | )
Mortgage-backed securities | 6,194 |  |  | (31 | ) |  | 3,209 |  |  | (74 | ) |  | 9,403 |  |  | (105 | )
States, municipalities, and political subdivisions | 9,259 |  |  | (71 | ) |  | 1,402 |  |  | (32 | ) |  | 10,661 |  |  | (103 | )
Total fixed maturities | 28,492 |  |  | (237 | ) |  | 8,885 |  |  | (227 | ) |  | 37,377 |  |  | (464 | )
Equity securities | 115 |  |  | (12 | ) |  | — |  |  | — |  |  | 115 |  |  | (12 | )
Other investments | 78 |  |  | (8 | ) |  | — |  |  | — |  |  | 78 |  |  | (8 | )
Total | $ | 28,685 |  |  | $ | (257 | ) |  | $ | 8,885 |  |  | $ | (227 | ) |  | $ | 37,570 |  |  | $ | (484 | )
| 0 – 12 Months |  |  | Over 12 Months |  |  | Total |
December 31, 2016 | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |  |  | Fair Value |  |  | Gross Unrealized Loss |
(in millions of U.S. dollars) |  |  |  |  |
U.S. Treasury and agency | $ | 2,216 |  |  | $ | (48 | ) |  | $ | — |  |  | $ | — |  |  | $ | 2,216 |  |  | $ | (48 | )
Foreign | 5,918 |  |  | (99 | ) |  | 386 |  |  | (27 | ) |  | 6,304 |  |  | (126 | )
Corporate securities | 7,021 |  |  | (149 | ) |  | 641 |  |  | (44 | ) |  | 7,662 |  |  | (193 | )
Mortgage-backed securities | 8,638 |  |  | (189 | ) |  | 234 |  |  | (5 | ) |  | 8,872 |  |  | (194 | )
States, municipalities, and political subdivisions | 19,448 |  |  | (435 | ) |  | 49 |  |  | (2 | ) |  | 19,497 |  |  | (437 | )
Total fixed maturities | 43,241 |  |  | (920 | ) |  | 1,310 |  |  | (78 | ) |  | 44,551 |  |  | (998 | )
Equity securities | 199 |  |  | (21 | ) |  | — |  |  | — |  |  | 199 |  |  | (21 | )
Other investments | 201 |  |  | (18 | ) |  | — |  |  | — |  |  | 201 |  |  | (18 | )
Total | $ | 43,641 |  |  | $ | (959 | ) |  | $ | 1,310 |  |  | $ | (78 | ) |  | $ | 44,951 |  |  | $ | (1,037 | )
h) Net investment income
| Year Ended December 31 |
(in millions of U.S. dollars) | 2017 |  |  | 2016 |  |  | 2015 |
Fixed maturities | $ | 2,987 |  |  | $ | 2,779 |  |  | $ | 2,157 |
Short-term investments | 131 |  |  | 93 |  |  | 49 |
Equity securities | 38 |  |  | 36 |  |  | 16 |
Other investments | 133 |  |  | 98 |  |  | 86 |
Gross investment income (1) | 3,289 |  |  | 3,006 |  |  | 2,308 |
Investment expenses | (164 | ) |  | (141 | ) |  | (114 | )
Net investment income (1) | $ | 3,125 |  |  | $ | 2,865 |  |  | $ | 2,194 |
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition | $ | (332 | ) |  | $ | (393 | ) |  | $ | — |
i) 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. We also 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 also have investments in segregated portfolios primarily to provide collateral or guarantees for LOC and derivative transactions. Included in restricted assets at December 31, 2017 and 2016, are investments, primarily fixed maturities, totaling $23.3 billion and $20.1 billion, and cash of $123 million and $103 million, respectively. The following table presents the components of restricted assets:
| December 31 |  |  | December 31 |
(in millions of U.S. dollars) | 2017 |  |  | 2016 |
Trust funds | $ | 17,011 |  |  | $ | 13,880 |
Deposits with U.S. regulatory authorities | 2,345 |  |  | 2,203 |
Deposits with non-U.S. regulatory authorities | 2,250 |  |  | 2,191 |
Assets pledged under repurchase agreements | 1,434 |  |  | 1,461 |
Other pledged assets | 414 |  |  | 435 |
| $ | 23,454 |  |  | $ | 20,170 |

X
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