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Investments | 12 Months Ended
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Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
Investments | Investments a) Fixed maturities
December 31, 2019 | 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 | $ | 3,188 |  |  | $ | 96 |  |  | $ | (1 | ) |  | $ | 3,283 |  |  | $ | — |
Foreign | 22,670 |  |  | 1,099 |  |  | (62 | ) |  | 23,707 |  |  | (25 | )
Corporate securities | 30,689 |  |  | 1,180 |  |  | (78 | ) |  | 31,791 |  |  | (5 | )
Mortgage-backed securities | 18,712 |  |  | 494 |  |  | (14 | ) |  | 19,192 |  |  | — |
States, municipalities, and political subdivisions | 7,321 |  |  | 205 |  |  | (11 | ) |  | 7,515 |  |  | — |
| $ | 82,580 |  |  | $ | 3,074 |  |  | $ | (166 | ) |  | $ | 85,488 |  |  | $ | (30 | )
Held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 1,318 |  |  | $ | 29 |  |  | $ | — |  |  | $ | 1,347 |  |  | $ | — |
Foreign | 1,423 |  |  | 62 |  |  | — |  |  | 1,485 |  |  | — |
Corporate securities | 2,349 |  |  | 121 |  |  | (2 | ) |  | 2,468 |  |  | — |
Mortgage-backed securities | 2,331 |  |  | 65 |  |  | — |  |  | 2,396 |  |  | — |
States, municipalities, and political subdivisions | 5,160 |  |  | 150 |  |  | (1 | ) |  | 5,309 |  |  | — |
| $ | 12,581 |  |  | $ | 427 |  |  | $ | (3 | ) |  | $ | 13,005 |  |  | $ | — |
December 31, 2018 | 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 | $ | 4,158 |  |  | $ | 30 |  |  | $ | (43 | ) |  | $ | 4,145 |  |  | $ | — |
Foreign | 21,370 |  |  | 395 |  |  | (349 | ) |  | 21,416 |  |  | — |
Corporate securities | 27,183 |  |  | 150 |  |  | (750 | ) |  | 26,583 |  |  | (6 | )
Mortgage-backed securities | 15,758 |  |  | 66 |  |  | (284 | ) |  | 15,540 |  |  | (1 | )
States, municipalities, and political subdivisions | 10,854 |  |  | 49 |  |  | (117 | ) |  | 10,786 |  |  | — |
| $ | 79,323 |  |  | $ | 690 |  |  | $ | (1,543 | ) |  | $ | 78,470 |  |  | $ | (7 | )
Held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 1,185 |  |  | $ | 8 |  |  | $ | (11 | ) |  | $ | 1,182 |  |  | $ | — |
Foreign | 1,549 |  |  | 11 |  |  | (18 | ) |  | 1,542 |  |  | — |
Corporate securities | 2,601 |  |  | 11 |  |  | (104 | ) |  | 2,508 |  |  | — |
Mortgage-backed securities | 2,524 |  |  | 5 |  |  | (43 | ) |  | 2,486 |  |  | — |
States, municipalities, and political subdivisions | 5,576 |  |  | 16 |  |  | (51 | ) |  | 5,541 |  |  | — |
| $ | 13,435 |  |  | $ | 51 |  |  | $ | (227 | ) |  | $ | 13,259 |  |  | $ | — |
As discussed in Note 3 c), 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, 2019 and 2018, $3 million of net unrealized appreciation and $4 million of net unrealized depreciation, respectively, related to such securities are included in OCI. At December 31, 2019 and 2018, AOCI included cumulative net unrealized depreciation of $18 million and net unrealized appreciation of $1 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-backed securities held (refer to Note 10 b) (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, 2019 and 2018, 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 |
|  |  | 2019 |  |  |  |  | 2018 |
(in millions of U.S. dollars) | Amortized Cost |  |  | Fair Value |  |  | Amortized Cost |  |  | Fair Value |
Available for sale |  |  |  |  |  |  |
Due in 1 year or less | $ | 3,951 |  |  | $ | 3,973 |  |  | $ | 3,569 |  |  | $ | 3,568 |
Due after 1 year through 5 years | 27,142 |  |  | 27,720 |  |  | 27,134 |  |  | 27,005 |
Due after 5 years through 10 years | 23,901 |  |  | 24,874 |  |  | 24,095 |  |  | 23,543 |
Due after 10 years | 8,874 |  |  | 9,729 |  |  | 8,767 |  |  | 8,814 |
| 63,868 |  |  | 66,296 |  |  | 63,565 |  |  | 62,930 |
Mortgage-backed securities | 18,712 |  |  | 19,192 |  |  | 15,758 |  |  | 15,540 |
| $ | 82,580 |  |  | $ | 85,488 |  |  | $ | 79,323 |  |  | $ | 78,470 |
Held to maturity |  |  |  |  |  |  |
Due in 1 year or less | $ | 478 |  |  | $ | 479 |  |  | $ | 536 |  |  | $ | 537 |
Due after 1 year through 5 years | 3,869 |  |  | 3,940 |  |  | 3,122 |  |  | 3,106 |
Due after 5 years through 10 years | 3,756 |  |  | 3,883 |  |  | 4,468 |  |  | 4,407 |
Due after 10 years | 2,147 |  |  | 2,307 |  |  | 2,785 |  |  | 2,723 |
| 10,250 |  |  | 10,609 |  |  | 10,911 |  |  | 10,773 |
Mortgage-backed securities | 2,331 |  |  | 2,396 |  |  | 2,524 |  |  | 2,486 |
| $ | 12,581 |  |  | $ | 13,005 |  |  | $ | 13,435 |  |  | $ | 13,259 |
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. b) Gross unrealized loss At December 31, 2019, there were 4,091 fixed maturities out of a total of 31,203 fixed maturities in an unrealized loss position. The largest single unrealized loss in the fixed maturities was $6 million. Fixed maturities in an unrealized loss position at December 31, 2019, 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, 2019 | 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 | $ | 234 |  |  | $ | (1 | ) |  | $ | 339 |  |  | $ | — |  |  | $ | 573 |  |  | $ | (1 | )
Foreign | 1,846 |  |  | (34 | ) |  | 802 |  |  | (28 | ) |  | 2,648 |  |  | (62 | )
Corporate securities | 2,121 |  |  | (40 | ) |  | 988 |  |  | (40 | ) |  | 3,109 |  |  | (80 | )
Mortgage-backed securities | 1,174 |  |  | (6 | ) |  | 932 |  |  | (8 | ) |  | 2,106 |  |  | (14 | )
States, municipalities, and political subdivisions | 188 |  |  | — |  |  | 276 |  |  | (12 | ) |  | 464 |  |  | (12 | )
Total fixed maturities | $ | 5,563 |  |  | $ | (81 | ) |  | $ | 3,337 |  |  | $ | (88 | ) |  | $ | 8,900 |  |  | $ | (169 | )
| 0 – 12 Months |  |  | Over 12 Months |  |  | Total |
December 31, 2018 | 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 | $ | 523 |  |  | $ | (4 | ) |  | $ | 2,859 |  |  | $ | (50 | ) |  | $ | 3,382 |  |  | $ | (54 | )
Foreign | 6,764 |  |  | (208 | ) |  | 5,349 |  |  | (159 | ) |  | 12,113 |  |  | (367 | )
Corporate securities | 16,538 |  |  | (599 | ) |  | 4,873 |  |  | (255 | ) |  | 21,411 |  |  | (854 | )
Mortgage-backed securities | 6,103 |  |  | (98 | ) |  | 6,913 |  |  | (229 | ) |  | 13,016 |  |  | (327 | )
States, municipalities, and political subdivisions | 5,024 |  |  | (44 | ) |  | 7,768 |  |  | (124 | ) |  | 12,792 |  |  | (168 | )
Total fixed maturities | $ | 34,952 |  |  | $ | (953 | ) |  | $ | 27,762 |  |  | $ | (817 | ) |  | $ | 62,714 |  |  | $ | (1,770 | )
c) Net realized gains (losses) OTTI related to fixed maturities 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 and securities lending collateral are reviewed to identify impaired securities to be specifically evaluated for a potential OTTI. 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 $61 million of gross unrealized loss at December 31, 2019. 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 and foreign securities Projected cash flows for corporate and foreign securities (principally senior unsecured bonds) are driven primarily by assumptions regarding probability of default and the timing and amount of recoveries associated with defaults. Chubb developed projected cash flows for corporate and foreign 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. The following table presents default assumptions by Moody's rating category (historical mean default rate provided for comparison):
| Investment Grade |  | Below Investment Grade |
| Aaa-Baa |  | Ba |  |  | B |  |  | Caa-C |
1-in-100 Year Default Rate | 0.0 - 1.3% |  | 4.8 | % |  | 12.0 | % |  | 36.3 | %
Historical Mean Default Rate | 0.0 - 0.3% |  | 1.0 | % |  | 3.1 | % |  | 10.4 | %
Application of the methodology and assumptions described above resulted in pre-tax credit losses recognized in Net income for corporate and foreign securities of $37 million, $25 million, and $5 million for the years ended December 31, 2019, 2018, and 2017, 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, 2019, 2018, and 2017 there were no credit losses recognized in Net income for mortgage-backed securities. 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) | 2019 |  |  | 2018 |  |  | 2017 |
Balance of credit losses related to securities still held – beginning of year | $ | 34 |  |  | $ | 22 |  |  | $ | 35 |
Additions where no OTTI was previously recorded | 33 |  |  | 20 |  |  | 4 |
Additions where an OTTI was previously recorded | 4 |  |  | 5 |  |  | 2 |
Reductions for securities sold during the period | (41 | ) |  | (13 | ) |  | (19 | )
Balance of credit losses related to securities still held – end of year | $ | 30 |  |  | $ | 34 |  |  | $ | 22 |
The following table presents the components of Net realized gains (losses) and the change in net unrealized appreciation (depreciation) of investments:
| Year Ended December 31 |
(in millions of U.S. dollars) | 2019 |  |  | 2018 |  |  | 2017 |
Fixed maturities: |  |  |  |  |
OTTI on fixed maturities, gross | $ | (90 | ) |  | $ | (52 | ) |  | $ | (24 | )
OTTI on fixed maturities recognized in OCI (pre-tax) | 32 |  |  | 3 |  |  | 1 |
OTTI on fixed maturities, net | (58 | ) |  | (49 | ) |  | (23 | )
Gross realized gains excluding OTTI | 203 |  |  | 334 |  |  | 149 |
Gross realized losses excluding OTTI | (176 | ) |  | (587 | ) |  | (157 | )
Total fixed maturities | (31 | ) |  | (302 | ) |  | (31 | )
Equity securities (1) | 104 |  |  | (59 | ) |  | 16 |
OTTI on other investments | — |  |  | — |  |  | (12 | )
Other investments | (20 | ) |  | (5 | ) |  | — |
Foreign exchange gains | 7 |  |  | 131 |  |  | 36 |
Investment and embedded derivative instruments | (435 | ) |  | (75 | ) |  | (11 | )
Fair value adjustments on insurance derivative | (4 | ) |  | (248 | ) |  | 364 |
S&P futures | (138 | ) |  | (4 | ) |  | (261 | )
Other derivative instruments | (8 | ) |  | (3 | ) |  | (5 | )
Other | (5 | ) |  | (87 | ) |  | (12 | )
Net realized gains (losses) (pre-tax) | $ | (530 | ) |  | $ | (652 | ) |  | $ | 84 |
Change in net unrealized appreciation (depreciation) on investments (pre-tax): |  |  |  |  |
Fixed maturities available for sale | $ | 3,769 |  |  | $ | (1,958 | ) |  | $ | 519 |
Fixed maturities held to maturity | (31 | ) |  | (38 | ) |  | 18 |
Equity securities | — |  |  | — |  |  | 88 |
Other | (3 | ) |  | — |  |  | 8 |
Income tax (expense) benefit | (647 | ) |  | 297 |  |  | (241 | )
Change in net unrealized appreciation (depreciation) on investments (after-tax) | $ | 3,088 |  |  | $ | (1,699 | ) |  | $ | 392 |
(1) | 2017 included gross realized gains of $28 million and gross realized losses of $2 million on sales, and OTTI of $10 million.
Realized gains and losses from Equity securities and Other investments from the table above include sales of securities and unrealized gains and losses from fair value changes as follows:
| Year Ended December 31, 2019 |  |  | Year Ended December 31, 2018 |
(in millions of U.S. dollars) | Equity Securities |  |  | Other Investments |  |  | Total |  |  | Equity Securities |  |  | Other Investments |  |  | Total |
Net gains (losses) recognized during the period | $ | 104 |  |  | $ | (20 | ) |  | $ | 84 |  |  | $ | (59 | ) |  | $ | (5 | ) |  | $ | (64 | )
Less: Net gains (losses) recognized from sales of securities | 58 |  |  | (5 | ) |  | 53 |  |  | 70 |  |  | 121 |  |  | 191 |
Unrealized gains (losses) recognized for securities still held at reporting date | $ | 46 |  |  | $ | (15 | ) |  | $ | 31 |  |  | $ | (129 | ) |  | $ | (126 | ) |  | $ | (255 | )
d) Other investments
| December 31 |
(in millions of U.S. dollars) | 2019 |  |  | 2018 |
Alternative investments: |  |  |
Partially-owned investment companies | $ | 4,142 |  |  | $ | 3,623 |
Limited partnerships | 508 |  |  | 538 |
Investment funds | 271 |  |  | 83 |
Alternative investments | 4,921 |  |  | 4,244 |
Life insurance policies | 377 |  |  | 304 |
Policy loans | 247 |  |  | 243 |
Non-qualified separate account assets (1) | 283 |  |  | 252 |
Other | 234 |  |  | 234 |
Total | $ | 6,062 |  |  | $ | 5,277 |
(1) | Non-qualified separate account assets are comprised of mutual funds, supported by assets that do not qualify for separate account reporting under GAAP.
Alternative investments Alternative investments include partially-owned investment companies, 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 of alternative investments:
|  |  | December 31 |  |  | December 31 |
|  |  | 2019 |  |  | 2018 |
(in millions of U.S. dollars) | Expected Liquidation Period of Underlying Assets |  | Fair Value |  |  | Maximum Future Funding Commitments |  |  | Fair Value |  |  | Maximum Future Funding Commitments |
Financial | 2 to 10 Years |  | $ | 611 |  |  | $ | 329 |  |  | $ | 596 |  |  | $ | 193 |
Real Assets | 2 to 11 Years |  | 712 |  |  | 422 |  |  | 704 |  |  | 362 |
Distressed | 2 to 7 Years |  | 263 |  |  | 80 |  |  | 296 |  |  | 105 |
Private Credit | 3 to 8 Years |  | 104 |  |  | 272 |  |  | 147 |  |  | 310 |
Traditional | 2 to 14 Years |  | 2,844 |  |  | 2,160 |  |  | 2,362 |  |  | 2,735 |
Vintage | 1 to 2 Years |  | 116 |  |  | — |  |  | 56 |  |  | — |
Investment funds | Not Applicable |  | 271 |  |  | — |  |  | 83 |  |  | — |
|  |  | $ | 4,921 |  |  | $ | 3,263 |  |  | $ | 4,244 |  |  | $ | 3,705 |
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
Included in partially-owned investment companies and limited partnerships are 131 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 range between 5 and 120 days. Chubb can redeem its investment funds without consent from the investment fund managers. e) Investments in partially-owned insurance companies The following table presents Investments in partially-owned insurance companies:
| December 31, 2019 |  |  | December 31, 2018 |  |  |
(in millions of U.S. dollars, except for percentages) | Carrying Value |  |  | Direct Ownership Percentage |  |  | Carrying Value |  |  | Direct Ownership Percentage |  |  | Domicile
Huatai Group | $ | 1,053 |  |  | 31 | % |  | $ | 452 |  |  | 20 | % |  | China
Huatai Life Insurance Company | 147 |  |  | 20 | % |  | 106 |  |  | 20 | % |  | China
Freisenbruch-Meyer | 10 |  |  | 40 | % |  | 9 |  |  | 40 | % |  | Bermuda
Chubb Arabia Cooperative Insurance Company | 20 |  |  | 30 | % |  | 18 |  |  | 30 | % |  | Saudi Arabia
Russian Reinsurance Company | 2 |  |  | 23 | % |  | 2 |  |  | 23 | % |  | Russia
ABR Reinsurance Ltd. | 100 |  |  | 12 | % |  | 91 |  |  | 12 | % |  | Bermuda
Total | $ | 1,332 |  |  |  |  | $ | 678 |  |  |  |  |
Huatai Group has a 100 percent ownership interest in Huatai P&C and an approximately 80 percent ownership interest in Huatai Life. At December 31, 2019, through its investment in Huatai Group, Chubb has a 30.9 percent indirect ownership in Huatai P&C and a 25 percent indirect ownership in Huatai Life. Chubb has a 20 percent direct ownership interest in Huatai Life. Therefore, Chubb’s aggregate direct and indirect ownership in Huatai Life is approximately 45 percent, comprising 20 percent direct and 25 percent indirect ownership interest. The table above excludes the 15.3 percent and 7.1 percent of additional ownership commitments in Huatai Group that are pending regulatory approvals and other important conditions. Refer to Note 2 for additional information. f) Net investment income
| Year Ended December 31 |
(in millions of U.S. dollars) | 2019 |  |  | 2018 |  |  | 2017 |
Fixed maturities | $ | 3,385 |  |  | $ | 3,128 |  |  | $ | 2,987 |
Short-term investments | 84 |  |  | 90 |  |  | 56 |
Other interest income | 25 |  |  | 118 |  |  | 75 |
Equity securities | 26 |  |  | 33 |  |  | 38 |
Other investments | 78 |  |  | 104 |  |  | 133 |
Gross investment income (1) | 3,598 |  |  | 3,473 |  |  | 3,289 |
Investment expenses | (172 | ) |  | (168 | ) |  | (164 | )
Net investment income (1) | $ | 3,426 |  |  | $ | 3,305 |  |  | $ | 3,125 |
(1) Includes amortization expense related to fair value adjustment of acquired invested assets related to the Chubb Corp acquisition | $ | (161 | ) |  | $ | (248 | ) |  | $ | (332 | )
g) 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 $21.0 billion, at both December 31, 2019 and 2018, and cash of $109 million and $93 million, respectively. The following table presents the components of restricted assets:
| December 31 |  |  | December 31 |
(in millions of U.S. dollars) | 2019 |  |  | 2018 |
Trust funds | $ | 14,004 |  |  | $ | 13,988 |
Deposits with U.S. regulatory authorities | 2,466 |  |  | 2,405 |
Deposits with non-U.S. regulatory authorities | 2,709 |  |  | 2,531 |
Assets pledged under repurchase agreements | 1,464 |  |  | 1,468 |
Other pledged assets | 490 |  |  | 692 |
Total | $ | 21,133 |  |  | $ | 21,084 |

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